The Prudential Series Fund

N-CSR 1 d948711dncsr.htm THE PRUDENTIAL SERIES FUND The Prudential Series Fund

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:		811-03623

Exact name of registrant as specified in charter:		The Prudential Series Fund

Address of principal executive offices:		655 Broad Street, 17^th Floor Newark, New Jersey 07102

Name and address of agent for service:		Andrew R. French 655 Broad Street, 17^th Floor Newark, New Jersey 07102

Registrant’s telephone number, including area code:		800-225-1852

Date of fiscal year end:		12/31/2020

Date of reporting period:		12/31/2020

Item 1 – Reports to Stockholders

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The Prudential Series Fund


ANNUAL REPORT		December 31, 2020

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Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.

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

Please note that this report may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

High Yield Bond Portfolio

Jennison 20/20 Focus Portfolio

Jennison Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

SP International Growth Portfolio

SP Prudential U.S. Emerging Growth Portfolio

SP Small Cap Value Portfolio

Stock Index Portfolio

Value Portfolio

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The Prudential Series Fund may offer three classes of shares in each portfolio: Class I, Class II and Class III. Class I and Class III shares are sold to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (Contracts). Class I shares are also sold to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such nonaffiliated insurance companies for the same types of Contracts. (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.

The Prudential Series Fund

Table of Contents

Annual Report

December 31, 2020

∎

LETTER TO CONTRACT OWNERS

∎

MARKET OVERVIEW

∎

REPORT OF THE INVESTMENT MANAGERS AND PRESENTATION OF PORTFOLIO HOLDINGS

∎

BENCHMARK GLOSSARY

∎

FEES AND EXPENSES

∎

FINANCIAL REPORTS


Section A	Schedule of Investments and Financial Statements

	Glossary	A1
	Conservative Balanced Portfolio	A2
	Diversified Bond Portfolio	A36
	Equity Portfolio	A67
	Flexible Managed Portfolio	A72
	Global Portfolio	A104
	Government Income Portfolio	A113
	Government Money Market Portfolio	A121
	High Yield Bond Portfolio	A125
	Jennison 20/20 Focus Portfolio	A145
	Jennison Portfolio	A149
	Natural Resources Portfolio	A153
	Small Capitalization Stock Portfolio	A158
	SP International Growth Portfolio	A171
	SP Prudential U.S. Emerging Growth Portfolio	A177
	SP Small Cap Value Portfolio	A182
	Stock Index Portfolio	A189
	Value Portfolio	A201

Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund

Letter to Contract Owners

Annual Report

December 31, 2020

∎

DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Prudential Series Fund annual 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 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.

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. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.

We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

January 31, 2021


Market Overview — unaudited		Annual Report		December 31, 2020

Equity Market Overview

A global pandemic caused by a novel coronavirus—followed by massive monetary and fiscal stimulus packages implemented by central banks and governments worldwide—whipsawed equity markets in 2020. When the chaos subsided, stocks in general closed the year higher, with several US indexes setting record highs as investors responded favorably to the stimulus and to new vaccines that they hoped would speed up the recovery.

Performance varied notably by investing style, market capitalization, geography, and sector. While some industries such as travel struggled during the pandemic, others such as online technology benefited from consumers working from home.

In the US, the broad-based Russell 3000Index and the large-cap S&P 500Index rose 20.89% and 18.40%, respectively, for the year. Meanwhile, the Dow Jones Industrial Average(Dow) surpassed 30,000 points with a return of 9.92%, and the tech-heavy Nasdaq Composite Indexreturned 43.64%. Internationally, the MSCI ACWI Ex-US Index, a broad measure of stock performance in developed and emerging markets outside the US, returned 10.65%. (All returns cited are in US dollars unless stated otherwise and assume reinvestment of dividends.)

Economies crashed, nations responded

When the year began, the outlook for the global economy and equity markets was generally upbeat. Sentiment swiftly shifted south in February and into March as concerns about the spread of COVID-19, the disease caused by the coronavirus, alarmed the markets. Many governments throughout the world rolled out restrictions such as stay-at-home orders, travel bans, and temporary business closures to help reduce transmission of COVID-19. These moves took a toll on the global economy, thrusting many countries into recession and sending stock markets sharply lower.

Lawmakers and central banks worldwide quickly implemented extraordinary stimulus to shore up liquidity. In the US, the Federal Reserve (the Fed) cut its federal funds rate target to a range of 0.00%-0.25%. Congress and the Fed rolled out trillions of dollars in combined stimulus. Real gross domestic product (GDP) in the US dropped at an annualized rate of 31.4% over the second quarter, and the national unemployment rate spiked to 14.7% in April. However, the economy responded favorably to the stimulus and reversed course, with GDP vaulting 33.4% over the third quarter.

Stocks retreated, rebounded, and rallied to record highs

Stock markets plunged in the first quarter as investors worried the recession would hamper growth and corporate profits, with the Dow posting its worst first-quarter performance in history. Stocks rebounded in the second quarter as national and state governments reopened their economies, and the Dow recorded its best performance for any quarter since 1987. Over the third quarter and through the end of the year, equity markets fluctuated yet continued their ascent, due in part to regulatory approval of two COVID-19 vaccines and better-than-expected economic data.

In December, the Fed committed to continue buying bonds until the US economy achieves full employment, provided that inflation stays at 2%, and the central bank also maintained its near-zero federal funds rate target. That same month, Congress approved $900 billion of additional fiscal stimulus, and the national unemployment rate dropped to 6.7%. A large number of countries outside the US also remained supportive of the markets. Many stock indexes closed the year at or near all-time highs.

S&P 500: leaders and laggards

Over the period, the top-performing sectors in the S&P 500 were information technology (+43.89%) and consumer discretionary (+33.30%). Many companies in the technology arena benefited from stronger demand for online shopping and delivery services as a result of the pandemic. Other sectors that posted gains were communication services (+23.61%), materials (+20.73%), health care (+13.45%), industrials (+11.06%), consumer staples (+10.75%), and utilities (+0.48%). Sectors that posted negative returns included financials (-1.69%), real estate (-2.17%), and energy (-33.68%). Energy stocks were dragged down by plunging oil prices during the first half of the year. Prices fell due to the onset of a price war between Russia and Saudi Arabia and lower oil demand after travel declined during the pandemic. Prices eventually stabilized but ended lower for the year.


Market Overview — unaudited (continued)		Annual Report		December 31, 2020

Growth outshined value, large caps edged out small caps

Over the year, the Russell 3000 Growth Index returned 38.26%, far surpassing the Russell 3000 Value Index, which rose 2.87%. The large-cap Russell 1000 Index gained 20.96%, the Russell Midcap Index returned 17.10%, and the small-cap Russell 2000 Index returned 19.96%. Although large caps outperformed smaller caps, the small-cap index topped its large-cap counterpart over the third and fourth quarters, with the indexes returning 37.85% and 24.46%, respectively, during that time.

Emerging market equities posted robust overall gains

Emerging market equities, as measured by the MSCI Emerging Markets Investable Market Index, dropped sharply in the first quarter but rebounded to return 18.40% for the year. The recovery was driven by a pickup in China’s economy fueled by aggressive stimulus and a surge in exports. Top-performing markets included Korea, Taiwan, China, and India, all of which posted double-digit returns. Latin American markets, Russia, and South Africa finished lower.

International developed market stocks rose, but regional results were mixed

For the year, stocks in developed markets outside the US and Canada, as measured by the MSCI EAFE Index, lagged those in emerging markets but advanced 7.82%. The MSCI Japan Index returned 14.48%, aided by substantial fiscal and monetary stimulus. The Japanese yen, often perceived as a “safe haven” currency, gained 5.3% against the US dollar. European equities, as measured by the MSCI Europe Index, ended in negative territory in local-currency terms yet returned 5.38% in US dollars. Concerns about the economy eased as the year ended after the European Union and the United Kingdom (UK) agreed to a post-Brexit trade deal. (Brexit refers to the UK’s exit from the European Union.) The MSCI UK Index returned -10.47%.

Fixed Income Market Overview

Government bond markets worldwide collectively rose in 2020 as central banks aggressively cut interest rates, amplified bond-buying programs, and enacted other stimulus measures to support their economies in response to a disruptive global pandemic caused by a novel coronavirus.

Higher-rated credits performed particularly well early in the year but gave back some gains later as investors gravitated toward riskier assets such as higher-yielding bonds, which plunged early in the year but rallied in the fourth quarter.

The global investment-grade bond market, as measured by the Bloomberg Barclays Global Aggregate Bond Index (unhedged), rose 9.20% for the year. Emerging market debt, based on the J.P. Morgan EMBI Global Diversified Index, returned 5.26%. In the US, the investment-grade Bloomberg Barclays US Aggregate Bond Index rose 7.51%, and high yield bonds (i.e., debt rated below investment grade), as measured by the ICE BofAML US Cash High Yield Index, returned 6.20%. (All returns cited are in US dollars unless stated otherwise.)

Massive stimulus supported global markets and economies

During the first few months of the year, many governments worldwide began to impose travel restrictions, stay-at-home orders, and social distancing guidelines to reduce the spread of COVID-19, the disease caused by the coronavirus. Many of these remedies crippled the travel, restaurant, energy, leisure, and various services industries.

To help buoy markets and local economies, policymakers and central banks responded with unprecedented levels of stimulus, beginning in the first quarter. In the US, the Federal Reserve (the Fed) slashed its federal funds rate target to virtually zero. Lawmakers and the Fed then rolled out trillions of dollars in combined stimulus. The central bank also implemented emergency lending facilities, expanded its asset-purchase program to include individual corporate bonds, and unveiled other bold initiatives. Although real gross domestic product (GDP) fell at an annualized rate of 31.4% in the second quarter and national unemployment spiked to 14.7% in April, the economy rebounded in the second half of the year. GDP rose 33.4% in the third quarter, and unemployment closed December at 6.7%—far below April’s peak but still above pre-pandemic levels. The dollar, as measured by the US Dollar Index, dropped 6.7%. Inflation remained subdued.


Market Overview — unaudited (continued)		Annual Report		December 31, 2020

Elsewhere, China’s economy weathered the COVID-19 crisis better than many other regional markets, largely due to severe lockdowns, stimulus packages, and a sharp rise in exports. The country’s exports soared almost 20% during the pandemic, surpassing exports of countries outside the region, including the US and eurozone. Latin America’s economy was a laggard, and many developed nations fell into recession as a result of the pandemic.

In December, the Fed maintained its near-zero federal funds rate target, and the central bank committed to continue buying bonds until the US economy achieves full employment, provided that inflation stays at 2%. Congress also approved $900 billion of additional fiscal stimulus. Outside the US, many nations maintained a stimulus mindset as they continued to deal with pandemic-related challenges.

A banner year for investment-grade bonds

During the first quarter, US investment-grade bond yields, which move opposite to bond prices, dropped in reaction to substantial monetary easing and a “flight to quality” from stocks and other riskier securities. At the time, investors favored higher-quality credits, particularly US Treasuries with longer maturities.

As investors’ risk appetite increased during the second half of year, yields on higher-rated debt such as Treasuries rose on worries that the implemented stimulus packages could lead to higher inflation. Higher-yielding assets fell into favor. The yield on the 10-year US Treasury dropped from approximately 1.88% at the beginning of 2020 to 0.70% at the end of the first quarter, and fell further to 0.58% during late April on strong demand. However, the yield subsequently rose to close 2020 at 0.93%, albeit notably lower than where it started the year.

Over the year, longer-dated US Treasury bonds returned 17.70%, while US Treasuries in general returned 8.00%. Treasury inflation-protected securities rose 10.99%. (Returns of US investment-grade bonds noted are based on Bloomberg Barclays bond indexes unless stated otherwise.)

Investment-grade corporate bonds delivered a stellar return of 9.89%. Central banks’ extraordinary moves to support markets, investors’ reaction to stimulus, expectations that US interest rates will remain low for some time, regulatory approval of two COVID-19 vaccines, and better-than-expected corporate earnings results fueled demand for corporates in the latter part of the year. Other notable performers included commercial mortgage-backed securities, which returned 8.11%, and municipal bonds, which rose 5.21%.

High yield bonds rebounded after a rocky start

As mentioned earlier, US high yield bonds returned 6.20% in 2020, thanks to a rebound late in the year. Earlier in 2020, high yield bond prices tumbled when concerns about the pandemic’s potential economic consequences were intensifying and crude oil prices were plunging. Prices fell due to the onset of a price war between Russia and Saudi Arabia and lower oil demand after travel declined during the pandemic. The lower prices hurt oil exporters, which constitute a significant chunk of the high yield issuer market.

Oil prices eventually stabilized but ended lower over the year. The price of a barrel of West Texas Intermediate crude oil traded above $61 when 2020 began and closed the year slightly above $48. The high yield market staged a comeback later in the year as investors applauded approval of the two COVID-19-vaccines. High yield bonds returned 6.50% over the fourth quarter.

Emerging market debt also rallied in the final quarter

Emerging market debt ended 2020 in positive territory, rising 5.26% for the year as mentioned earlier, including 5.80% in the fourth quarter. Like many high yield bond issuers, emerging market debt issuers include many exporters of crude oil.

The Prudential Series Fund, Conservative Balanced Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		11.43	%		9.19	%		8.64	%
Blended Index		12.92			9.68			8.67
S&P 500 Index		18.40			15.21			13.87

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.

Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Conservative Balanced Portfolio returned 11.43%. The Portfolio underperformed both its Blended Index and the S&P 500 Index.

What were the market conditions during the reporting period?

Following one of the quickest bear markets in US history during the first quarter of calendar-year 2020 (the reporting period), US equity markets bounced back dramatically later in the period, catching many investors off balance. Initial drivers of the recovery included positive reactions to robust fiscal and monetary stimulus, as well as a better understanding of the effects of the COVID-19 virus.

The rebound continued into the fourth quarter of 2020 as investment markets reacted strongly to positive vaccine news, with a sharp rotation into cyclical, value, and small-cap stocks that helped reduce their underperformance for the period. Pfizer-BioNTech and Moderna received regulatory approval for COVID-19 vaccines near the end of the period, with effectiveness rates exceeding 90% in final clinical trials. Performance was also helped by expectations of further federal stimulus packages following US election results.

Within fixed income markets, US interest rates dropped sharply in the first quarter of 2020, bottoming over the summer and recovering slightly by the end of the period. COVID-19 vaccination developments helped raise inflation estimates, which reflected the vast amounts of stimulus that had been injected into the economy over the period and also hopes for economic normalization. The Federal Reserve continued to communicate a loose monetary policy, ensuring investors that the central bank would continue to support the ongoing economic recovery. Complicating matters near the end of the period, however, were a rise in hospitalizations, renewed shutdowns, and the discovery of new variants of the virus. Production and mass distribution of vaccines are now the focus before economies are able to reopen and normalize.

What strategies or holdings affected the Portfolio’s performance?

Asset allocation decisions had a negative impact on the Portfolio’s performance during the period, driven by a slight overweight exposure to risk assets at the beginning of the first quarter of 2020. Although the Portfolio was quick to adjust its position, the speed of the drawdown in February and March made the impact material. Otherwise, the effects from asset allocation were slightly positive during the period.

The Portfolio shifted to an overweight position in equities for the remainder of the period, participating in the steady rebound in demand for risk assets. The overweight position was funded by allocations from both bonds and cash, which remained below the Portfolio’s benchmark index weight for the remaining quarters and underperformed the index. A small off-index diversifying exposure to international equities was a drag on performance as it trailed US equities during the period. The fixed income sleeve was a positive contributor during the period, bouncing back strongly following negative performance during the first quarter.

At period-end, the Portfolio was positioned with an overweight exposure to equities, a small position in international equity markets, and underweight exposures to fixed income investments and cash.

The Portfolio used equity futures and Treasury bond futures during the period to gain specific exposures to various markets. The use of these derivative instruments allowed the Portfolios to manage cash flows as well as risk. In aggregate, the derivative positions had a positive impact on the Portfolio’s performance during the period by allowing the portfolio management team to respond quickly to major market movements — such as the COVID crash — through the use of these highly liquid futures contracts.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Conservative Balanced Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Conservative Balanced Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Apple, Inc.	Technology Hardware, Storage & Peripherals	3.4%
Microsoft Corp.	Software	2.7%
Amazon.com, Inc.	Internet & Direct Marketing Retail	2.2%
Federal National Mortgage Assoc., 2.000%, TBA	U.S. Government Agency Obligations	2.0%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.1%
U.S. Treasury Notes, 0.125%, 09/30/22	U.S. Treasury Obligations	0.9%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	0.8%
Tesla, Inc.	Automobiles	0.8%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	0.8%
Berkshire Hathaway, Inc. (Class B Stock)	Diversified Financial Services	0.7%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Diversified Bond Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		8.45	%		6.29	%		5.53	%
Bloomberg Barclays U.S. Aggregate Bond Index		7.51			4.44			3.84

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Diversified Bond Portfolio returned 8.45%. The Portfolio outperformed the Bloomberg Barclays U.S. Aggregate Bond Index.

What were the market conditions during the reporting period?

Markets in calendar-year 2020 (the reporting period) were dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. US Treasury yields dropped and spread sectors declined sharply in March before narrowing into the end of the first quarter following aggressive actions from the Federal Reserve (the Fed). With the economy decelerating rapidly and financial markets selling off sharply in the first quarter, the Fed quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period amid improving economic data and a gradual reopening of the economy. This optimism was somewhat offset by threats of a second COVID-19 wave. However, emergency regulatory approval of the Pfizer-BioNTech and Moderna vaccines supported markets into the end of the period.

What strategies or holdings affected the Portfolio’s performance?

During the period, individual issue selection and sector allocation both contributed to outperformance. Overall sector allocation was positive, with overweights to high yield and collateralized loan obligations adding to the Portfolio’s performance. An underweight to mortgage-backed securities also added value. Overweights to emerging markets, investment-grade corporate bonds, municipal bonds, and bank loans detracted from the Portfolio’s performance. Strong security selection was highlighted by positioning in Treasuries, emerging markets, investment-grade corporates, and sovereigns. This was partially offset by selection in high yield and commercial mortgage-backed securities, which detracted from returns. Within credit, the Portfolio benefited from positions in the foreign non-corporate, healthcare & pharmaceutical, technology, and telecom sectors. Positions in the gaming & lodging & leisure, midstream energy, and aerospace & defense sectors detracted from the Portfolio’s performance. The Portfolio’s duration positioning added to performance for the period; however, this was somewhat offset by yield curve positioning, which detracted from the Portfolio’s performance. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.

During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on the Portfolio’s performance during the period. In addition, the Portfolio used futures to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures and options contributed to the Portfolio’s performance during the period. The Portfolio also used credit derivatives in the form of the Credit Default Swap Index (CDX) to manage credit risk. The use of CDX added to performance for the period.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Diversified Bond Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Diversified Bond Portfolio (As of 12/31/2020)
Credit Quality					% of Net Assets
AAA					36.7%
AA					2.8%
A					10.4%
BBB					23.3%
BB					10.7%
B					5.6%
CCC					1.9%
D					0.1%
NR					9.3%
Cash & Equivalents					-0.8%
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.


The Prudential Series Fund, Equity Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		29.00	%		15.61	%		12.80	%
Portfolio: Class II		28.49			15.14			12.35
Russell 1000^® Index		20.96			15.60			14.01
S&P 500 Index		18.40			15.21			13.87

The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2020, Equity Portfolio Class I shares returned 29.00% and Class II shares returned 28.49%. The Portfolio’s Class I & II shares outperformed both the Russell 1000 Index and the S&P 500 Index.

What were the market conditions during the reporting period?

US equities experienced periods of elevated volatility in calendar-year 2020 (the reporting period), but generally posted strong returns. After reaching an all-time high in mid-February 2020, equity markets abruptly reversed course, falling sharply later that month as the rapidly spreading COVID-19 virus and efforts to contain its spread took a toll on the global economy. Stocks rebounded from late March through the end of the period after aggressive monetary policy was implemented by the Federal Reserve, meaningful and significant fiscal stimulus was passed by the US Congress, the November presidential election was resolved, and two COVID-19 vaccines received regulatory approval in December. These factors eclipsed a resurgence of COVID-19 infections that threatened the economy late in the period.

The S&P 500 Index (the Index) gained 18.40% during the period. By sector, performance was mixed as seven sectors in the Index posted positive returns while four declined. Index gains were led by the information technology, consumer discretionary, and communication services sectors, all of which rose more than 20% over the period. In contrast, the energy, real estate, and financials sectors were the worst-performing sectors. Individual stocks that were the Index’s top contributors to performance during the period included Apple, Inc., Amazon.com, Inc., and Microsoft Corp. Conversely, Exxon Mobil Corp., Wells Fargo & Co., and AT&T, Inc. were among its top detractors.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio’s positions among automobile manufacturers were the dominant driver of absolute gains during the period, while holdings in the application software and internet & direct marketing retail industries contributed to a lesser degree. Meanwhile, positions in the aerospace & defense, diversified banks, and health care equipment sectors hampered the Portfolio’s absolute gains.

Relative to the Index, the Portfolio’s security selection and overweight position in automobile manufactures added the most value. Security selection in both data processing & outsourced services and semiconductors also was beneficial. Conversely, an overweight position in apparel accessories & luxury goods, along with security selection in aerospace & defense and managed health care, were among the main detractors from performance.

The most notable individual stock contributors to the Portfolio’s overall performance included electric car manufacturer Tesla, Inc., multinational technology company Apple, and e-commerce retailer Amazon.com. Tesla posted impressive financial results throughout the period, made possible by solid production, increased capacity, and strong execution. With its huge installed base, Apple continued to benefit from rapid growth in service business subscriptions, a key source of recurring revenue. Amazon continued to benefit from economies of scale and its platform-based business model, and it continued to strengthen its competitive edge by reinvestment in its businesses. Its Amazon Web Services cloud-computing platform remained an additional driver of revenue and profit.

The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares.

For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Equity Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Top detractors for the period included airline manufacturer The Boeing Co., aerospace-component and defense company Safran S.A., and medical device company Zimmer Biomet Holdings, Inc. Boeing has been affected by the longer-than-anticipated 737 Max 8 jet recertification process and the effects of the COVID-19 outbreak, which restricted air travel and compromised the financial health of airlines. The Portfolio eliminated its Boeing position during the period. Safran was also hurt by the pandemic’s impact on air travel. However, as COVID-19 vaccines are distributed and administered, the travel and aircraft industries are expected to rebound. Zimmer Biomet’s second-quarter 2020 revenue fell sharply as elective surgeries were postponed due to the pandemic. However, results improved as the year progressed, and the company could benefit from the COVID-19 vaccines.

Presentation of Portfolio Holdings — unaudited


Equity Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Apple, Inc.	Technology Hardware, Storage & Peripherals	5.8%
Amazon.com, Inc.	Internet & Direct Marketing Retail	4.2%
Tesla, Inc.	Automobiles	4.1%
Microsoft Corp.	Software	2.5%
Shopify, Inc. (Canada) (Class A Stock)	IT Services	2.2%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	2.2%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	2.0%
Netflix, Inc.	Entertainment	1.9%
Adyen NV (Netherlands), 144A	IT Services	1.9%
Adobe, Inc.	Software	1.8%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Flexible Managed Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		9.59	%		9.45	%		9.61	%
Blended Index		14.36			10.92			9.84
S&P 500 Index		18.40			15.21			13.87

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Flexible Managed Portfolio returned 9.59%. The Portfolio underperformed both its Blended Index and the S&P 500 Index.

What were the market conditions during the reporting period?

What strategies or holdings affected the Portfolio’s performance?

Select Portfolio underlying investments detracted from Portfolio returns and accounted for the majority of underperformance over the period. Specifically, the core US equity manager had a difficult period as a preference for inexpensive, high-quality stocks failed to keep pace with the strong performance of growth equities during the period. The fixed income manager ended the period in positive territory.

Asset allocation decisions also had a negative impact on the Portfolio’s performance during the period, driven by a slight overweight exposure to risk assets at the beginning of the first quarter of 2020. Although the Portfolio was quick to adjust its position, the speed of the drawdown in February and March made the impact material. Otherwise, the effects from asset allocation were slightly positive during the period.

At period-end, the Portfolio was positioned with an overweight exposure to equities, a small position in international equity markets, and underweight exposures to fixed income investments and cash.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Flexible Managed Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Flexible Managed Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Apple, Inc.	Technology Hardware, Storage & Peripherals	3.8%
Microsoft Corp.	Software	3.8%
Amazon.com, Inc.	Internet & Direct Marketing Retail	3.1%
Federal National Mortgage Assoc., 2.000%, TBA	U.S. Government Agency Obligations	1.9%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	1.7%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	1.2%
Procter & Gamble Co. (The)	Household Products	1.1%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	1.0%
Adobe, Inc.	Software	0.8%
Home Depot, Inc. (The)	Specialty Retail	0.8%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Global Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		15.84	%		12.79	%		10.38	%
MSCI World Index (GD)		16.50			12.82			10.48

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Global Portfolio returned 15.84%. The Portfolio underperformed the MSCI World Index (GD).

What were the market conditions during the reporting period?

It was a wild ride for markets in calendar-year 2020 (the reporting period), as the COVID-19 outbreak and subsequent lockdown/recession drove equity markets to the fastest plunge ever into a bear market. From its peak in early February to its low in March, the S&P 500 Index fell 34% in a month, with similar stock market declines in Europe, Japan, and emerging markets. US stocks saw a steeper decline of 57% during the 2008-09 global financial crisis; however, that drop occurred over a 17-month period. An unprecedented and timely policy response from the Federal Reserve helped equity markets rebound at the end of March and in April. Stocks also benefited from evidence that the initial lockdowns and quarantines succeeded in reducing the spread of COVID-19 in late spring, which enabled states to relax restrictions and reopen their economies over the summer.

What strategies or holdings affected the Portfolio’s performance?

The subadvisors’ performance during the period was mixed. The Portfolio’s international growth subadvisor significantly outperformed its style-specific benchmark and drove the Portfolio’s overall outperformance. The remaining subadvisors each underperformed their style-specific benchmarks during the period.

During the first quarter of 2020, the overall stock market was negatively impacted by the COVID-19 pandemic. The market’s subsequent recovery was driven mainly by technology stocks, which benefited from lockdowns and work-from-home policies by helping certain businesses that could continue to operate under such adverse conditions.

In this environment, the underlying international growth investments were uniquely positioned to outperform its benchmark index. Significant overweight exposure to the information technology sector relative to both the benchmark index, the MSCI EAFE Index, and the overall Portfolio’s benchmark index, the MSCI World Index.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Global Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Global Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	Country	% of Net Assets
Microsoft Corp.	Software	United States	2.2%
Thermo Fisher Scientific, Inc.	Life Sciences Tools & Services	United States	1.5%
Intuitive Surgical, Inc.	Health Care Equipment & Supplies	United States	1.5%
PayPal Holdings, Inc.	IT Services	United States	1.3%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	United States	1.3%
Amazon.com, Inc.	Internet & Direct Marketing Retail	United States	1.3%
Autodesk, Inc.	Software	United States	1.3%
Electronic Arts, Inc.	Entertainment	United States	1.3%
Mastercard, Inc. (Class A Stock)	IT Services	United States	1.3%
Intuit, Inc.	Software	United States	1.2%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Government Income Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		7.16	%		3.87	%		3.45	%
Bloomberg Barclays Government Bond Index		7.94			3.76			3.26

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Government Income Portfolio returned 7.16%. The Portfolio underperformed the Bloomberg Barclays Government Bond Index.

What were the market conditions during the reporting period?

Markets in calendar-year 2020 (the reporting period) were dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. US Treasury yields dropped and spread sectors declined sharply in March before narrowing into the end of the first quarter following aggressive actions from the Federal Reserve (the Fed). With the economy decelerating rapidly and financial markets selling off sharply in the first quarter, the Fed quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing (QE) purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period amid improving economic data and a gradual reopening of the economy. This optimism was somewhat offset by threats of a second COVID-19 wave. However, emergency regulatory approval of the Pfizer-BioNTech and Moderna vaccines supported markets into the end of the period.

US Treasury rates sold off and steepened during the period, with the 10-year/2-year Treasury spread rising from 0.34% to 0.80% over the period. In early August, the US 10-year Treasury yield dropped to its low for the period as COVID-19 cases flared up across the country, with the yield dropping to 50 basis points and the curve flattening amid uncertainty over the economic reopening. (One basis point equals 0.01%.) The Treasury curve then steepened in the last part of the period after the Fed adjusted its inflation-targeting framework to allow for overshoots of its 2% inflation target. With central banks re-examining how to achieve the inflation targets that they’ve been missing and with plenty of slack in the global economy, PGIM Fixed Income expects the QE flood to continue, given its key role in underpinning the markets and the recovery. Thus, the fed funds rate can be expected to stay at its current level for some time.

What strategies or holdings affected the Portfolio’s performance?

During the period, both sector allocation and security selection contributed to the Portfolio’s outperformance. An allocation to collateralized loan obligations (CLOs), coupled with an underweight to mortgage-backed securities (MBS), contributed to the Portfolio’s performance. Strong security selection was highlighted by positioning in Treasuries, MBS, CLOs, and commercial mortgage-backed securities. The combined impact of the Portfolio’s duration and yield curve strategies detracted from performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.

During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the period. The Portfolio used futures to manage the Fund’s interest rate risk, which is a more efficient way of managing interest rate risk than through the purchases and sales of cash bonds. The use of futures helped the Portfolio’s performance during the period.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Government Income Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Government Income Portfolio (As of 12/31/2020)
Credit Quality					% of Net Assets
AAA					98.6%
AA					0.9%
Cash & Equivalents					0.5%
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.


The Prudential Series Fund, Government Money Market Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	7-Day* Current Net Yield			1 Year			5 Years			10 Years /Since Inception
Portfolio: Class I		0.00	%		0.30	%		0.88	%		0.44	%
Portfolio: Class III		0.00			—			—			0.00
Lipper US Government Money Market Index		N/A			0.25			0.73			0.37

Portfolio Class III inception: 5/18/2020. The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.

7-DAY CURRENT NET YIELD*

LOGO

For the year ended December 31, 2020, the Government Money Market Portfolio Class I shares returned 0.30% and for the period ended December 31, 2020, Class III shares returned 0.00% from its inception of 5/18/2020. The Portfolio Class I shares outperformed the Lipper US Government Money Market Index.

What were the market conditions during the reporting period?

Markets in calendar-year 2020 (the reporting period) were dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. The Federal Reserve (the Fed) quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing (QE) purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period as the Fed’s unprecedented monetary responses significantly improved market liquidity. US Treasury rates sold off and steepened during the period, with the 10-year/2-year Treasury spread rising from 0.34% to 0.80% over the period. Meanwhile, the yield on the 3-month Treasury bill declined from 1.55% to 0.08% while the 3-month LIBOR (London Interbank Offered Rate) declined from 1.91% to 0.24%. In the short-term credit markets, investment-grade credit spreads tightened throughout the period. The Bloomberg Barclays 1-3 Year Credit Index, a proxy for the short-term spread market, outperformed similar short-duration Treasuries by 0.57% during the period. (Duration is a measure of a bond’s price sensitivity to interest rate changes over time.)

With central banks re-examining how to achieve the inflation targets that they’ve been missing and with plenty of slack in the global economy, PGIM Fixed Income expects the QE flood to continue, given its key role in underpinning the markets and the recovery. In a recently announced change to its framework for conducting monetary policy, the Fed confirmed that it will be targeting an inflation rate of 2% on average over time, while permitting periods of overshooting 2% to make up for previous undershoots. Thus, the fed funds rate can be expected to stay at its current level for some time.

What strategies or holdings affected the Portfolio’s performance?

For the first quarter of the period, the Portfolio’s weighted average maturity (WAM) remained longer than peers, shortening slightly following the Fed’s action. The Portfolio’s WAM remained longer than peers for the second quarter, then shortened versus peers during the third quarter, and remained shorter than peers throughout the remainder of the period. The Portfolio’s weighted average life remained extended through floating rate securities throughout the period.

Throughout the period, the Portfolio took advantage of changing floating rate spreads and shifted positioning across LIBOR floaters and secured overnight financing rate (SOFR) floaters accordingly. Floaters are bonds or other types of debt whose coupon rate changes with short-term interest rates.

Additionally, to take advantage of changing relative value between the sectors, the Portfolio shifted its positioning in agency discount notes, repurchase agreements, and US Treasuries throughout the period.

* Source: iMoneyNet, Inc. based on 87 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Government Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/31/2020. The graph is based on the 7-day current net yields of Class I shares.

An investment in the Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.

For a complete list of holdings, please refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Government Money Market Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Government Money Market Portfolio (As of 12/31/2020)
Ten Largest Holdings	Interest Rate	Maturity Date	% of Net Assets
U.S. Treasury Bills	0.090%	02/23/2021	4.1%
U.S. Treasury Bills	0.085%	02/04/2021	3.8%
U.S. Treasury Bills	0.085%	03/04/2021	3.2%
U.S. Cash Management Bills	0.095%	03/16/2021	2.9%
U.S. Treasury Bills	0.096%	04/01/2021	2.3%
U.S. Treasury Bills	0.090%	04/22/2021	2.3%
Federal Home Loan Bank	0.114%	01/13/2021	2.3%
Federal Home Loan Bank	0.100%	01/20/2021	2.3%
U.S. Treasury Bills	0.091%	01/26/2021	2.1%
Federal Home Loan Bank	0.085%	02/01/2021	1.9%

Holdings reflect only short-term investments.

For a complete list of holdings, please refer to the Schedule of Investments section of this report.

The Prudential Series Fund, High Yield Bond Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		7.11	%		9.04	%		7.14	%
Bloomberg Barclays US High Yield 1% Issuer Capped Index		6.59			8.46			6.70

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the High Yield Bond Portfolio returned 7.11%. The Portfolio outperformed the Bloomberg Barclays US High Yield 1% Issuer Capped Index.

What were market conditions during the reporting period?

The high yield market in calendar-year 2020 (the reporting period) was dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. US high yield bond spreads rose to a high of approximately 1,100 basis points (bps) in mid-March before narrowing into the end of the first quarter following aggressive actions from the Federal Reserve (the Fed). (One basis point equals 0.01%.) With the economy decelerating rapidly and financial markets selling off sharply in the first quarter, the Fed quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period amid improving economic data and a gradual reopening of the economy. This optimism was somewhat offset by threats of a second COVID-19 wave. However, emergency regulatory approval of the Pfizer-BioNTech and Moderna vaccines supported the high yield market into the end of the period, with high yield spreads ending the year at 386 bps, only 26 bps wider than at the start of the period. For the period, the Bloomberg Barclays 1% Issuer Constrained Index returned 6.59%. By quality, BB-rated credits fared the best, posting a total return of 9.52%, while B-rated and CCC-rated credits returned 4.16% and 2.20%, respectively. The Moody’s 12-month US speculative grade default rate ended November at 6.7%, the highest level registered since the 2008-09 financial crisis.

What strategies or holdings affected the Portfolio’s performance?

During the period, relative outperformance was driven largely by beta management, principally during the first half of the period. (Beta is a measure of the volatility or risk of a security or portfolio compared to the market or index.) Overall sector allocation detracted from the Portfolio’s performance, with underweights to the upstream energy and consumer non-cyclical industries, as well as an overweight to the media & entertainment industries, the largest detractors. This was partially offset by an underweight to the transportation & environmental services industry, as well as overweights to the electric utilities and chemicals industries. Security selection was also negative for the period, principally within the midstream energy and media & entertainment sectors. A few of the overall largest single-name detractors included overweights to AMC Entertainment Holdings, Inc. (gaming & lodging & leisure) and Ferrellgas Partners LP (midstream energy), as well as an underweight to Occidental Petroleum Corp. (upstream energy). This was partially offset by issue selection within telecom, consumer non-cyclicals, metals & mining, and upstream energy sectors, which helped returns. Overweights to telecom names Digicel Group, Sprint Corp., and CenturyLink, Inc. were the largest single-name contributors to the Portfolio’s performance.

During the period, the Portfolio used US Treasury futures to manage the Fund’s interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The impact of futures contributed to the Portfolio’s performance during the period. The Fund used credit derivatives in the form of credit default swaps to manage the overall risk profile of the Fund, which positively impacted the Portfolio’s performance.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, High Yield Bond Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


High Yield Bond (As of 12/31/2020)
Credit Quality					% of Net Assets
BBB					1.3%
BB					34.0%
B					34.9%
CCC					20.4%
CC					0.5%
C					0.5%
D					0.3%
NR					5.5%
Cash & Equivalents					2.6%
Total					100.0%


The Prudential Series Fund, Jennison 20/20 Focus Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		30.92	%		16.16	%		12.78	%
Portfolio: Class II		30.41			15.70			12.34
Russell 1000^® Index		20.96			15.60			14.01
S&P 500 Index		18.40			15.21			13.87

The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Jennison 20/20 Focus Portfolio’s Class I shares returned 30.92% and Class II shares returned 30.41%. The Portfolio’s Class I & II shares outperformed both the Russell 1000 Index and the S&P 500 Index.

What were the market conditions during the reporting period?

The S&P 500 Index (the Index) gained 18.40% during the period. By sector, performance was mixed as seven sectors in the Index posted positive returns while four declined. Index gains were led by the information technology, consumer discretionary, and communication services sectors, all of which rose more than 20% over the period. In contrast, the energy, real estate, and financials sectors were the worst-performing sectors. Individual stocks that were the Index’s top contributors to performance during the period included Apple, Inc., Amazon.com, Inc., and Microsoft Corp. Conversely, Exxon Mobil Corp., Wells Fargo & Co., and AT&T, Inc. were among its top detractors.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio’s positions among automobile manufacturers were the dominant driver of absolute gains during the period, while holdings in the data processing & outsourced services and semiconductors industries contributed to a lesser degree. Meanwhile, positions in the trucking, aerospace & defense, and health care equipment sectors hampered the Portfolio’s absolute gains.

Relative to the Index, the Portfolio’s security selection in data processing & outsourced services added the most value. Overweight positions in internet & direct marketing retail and application software also were beneficial. Conversely, an overweight position in apparel accessories & luxury goods, security selection in health care equipment, and an underweight position in technology hardware storage & peripherals were among the main detractors from relative performance.

The most notable individual stock contributors to the Portfolio’s overall performance included electric car manufacturer Tesla, Inc., technology company NVIDIA Corp., and online retailer Amazon.com. Tesla posted impressive financial results throughout the period, made possible by solid production, increased capacity, and strong execution. NVIDIA announced a new generation of products called data processing units, which offload critical networking, storage, and security tasks from central processing units (CPUs). This rollout signaled the company’s pursuit of the highly profitable data center CPU business. Amazon continued to benefit from economies of scale and its platform-based business model, and it continued to strengthen its competitive edge by reinvestment in its businesses. Its Amazon Web Services cloud-computing platform remained an additional driver of revenue and profit.

For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Jennison 20/20 Focus Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Top detractors for the period included ride-sharing company Uber Technologies, Inc., medical device company Zimmer Biomet Holdings, Inc., and health insurance company Humana, Inc. Uber was hit hard by the pandemic and stay-at-home mandates, which led to sharply falling revenues. Zimmer Biomet’s second-quarter 2020 revenues fell sharply as elective surgeries were postponed due to the pandemic. However, results improved as the year progressed and the company could benefit from the COVID-19 vaccines. Investor sentiment for Humana was negatively impacted by rising hospitalization costs due to COVID-19. Uber, Zimmer Biomet, and Humana were no longer held at the end of the reporting period.

Presentation of Portfolio Holdings — unaudited


Jennison 20/20 Focus Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Apple, Inc.	Technology Hardware, Storage & Peripherals	5.1%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	4.8%
Amazon.com, Inc.	Internet & Direct Marketing Retail	4.6%
Tesla, Inc.	Automobiles	4.0%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	3.3%
PayPal Holdings, Inc.	IT Services	3.2%
Shopify, Inc. (Canada) (Class A Stock)	IT Services	3.2%
Adyen NV (Netherlands), 144A	IT Services	3.1%
Adobe, Inc.	Software	3.1%
Texas Instruments, Inc.	Semiconductors & Semiconductor Equipment	3.0%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Jennison Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		56.20	%		22.86	%		18.60	%
Portfolio: Class II		55.57			22.37			18.13
Russell 1000^® Growth Index		38.49			21.00			17.21
S&P 500 Index		18.40			15.21			13.87

The Russell 1000^® Growth Index is a trademark/service of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2020, the Jennison Portfolio Class I shares returned 56.20% and Class II shares returned 55.57%. The Portfolio’s Class I & II shares outperformed both the Russell 1000 Growth Index and the S&P 500 Index.

What were the market conditions during the reporting period?

Equity markets were extremely volatile in calendar-year 2020 (the reporting period), unsettled by US-China trade discord and the COVID-19 pandemic. Stocks peaked at new highs in early 2020, then dropped dramatically in late February as the pandemic spread around the globe. The realities of the pandemic dictated daily conduct for individuals, businesses, and governments worldwide, as shelter-in-place and work-from-home initiatives became common. Stocks rebounded rapidly later in the period, but the pandemic-related economic damage continued to accumulate. The effects of fiscal stimulus blunted the pandemic’s impact on employment and spending, while comprehensive monetary policy initiatives to bolster liquidity and stabilize asset prices contributed to record-low interest rates.

What strategies or holdings affected the Portfolio’s performance?

Consumer discretionary positions were strong positive contributors to Portfolio performance during the reporting period. Shares of Tesla, Inc. continued to surge on impressive financial results made possible by solid production, increased capacity, and strong execution. The company’s technology, scale, and low-cost advantage have made it the breakaway leader in the electric vehicle market, and Jennison believes these characteristics also position Tesla to disrupt the overall automotive industry. Consumer businesses that have migrated to digital direct-to-consumer business models were notably strong performers, including Amazon.com, Inc. Amazon has operated in this mode for years, and its relevance and dominance became even more apparent during the period as the firm continued to benefit from economies of scale and its platform-based business model. The Amazon Web Services (AWS) cloud-computing platform remained a significant additional driver of revenue and profit.

In information technology, digital payments processors were strong performers. Netherlands-based Adyen NV has developed a dynamic, reliable, and secure payment platform that supports omnichannel commerce with end-to-end gateway, risk management, and processing services. PayPal Holdings, Inc., the largest e-commerce payments enabler in the US and many developing countries, is deepening and extending its services to global consumers and business clients. The growing importance of digital commerce in times of restricted personal mobility is also benefiting Shopify, Inc., the Canadian provider of user-friendly, cloud-based infrastructure tools to enable omnichannel e-commerce capability.

With millions of people around the world working from home, the advantage of housing mission-critical software applications and services on the cloud became clear. In addition to a strong and stable enterprise business, Microsoft Corp. has a differentiated hybrid cloud strategy that is leading to an increase in its share of technology capital spending. Its Azure cloud business hosts Microsoft software as well as hundreds of cloud-native applications created by Microsoft customers or third parties. Adobe, Inc. offers content creation and digital marketing applications and services that are transforming businesses operations.

Chipmaker NVIDIA Corp. benefited from increased demand for cloud storage, which led to robust data center spending by its largest customers. In Jennison’s view, NVIDIA’s April 2020 acquisition of Mellanox Technologies Ltd. could enhance NVIDIA’s functionality and potentially lead to further market share gains in the data center space.

For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Jennison Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

With its huge installed base, Apple, Inc. is benefiting from rapid growth in service business subscriptions, a key source of recurring revenue. Jennison believes the company’s current product cycle should provide robust revenue and profit growth.

In communication services, Netflix, Inc. continued to enhance its long-term competitive position with the industry’s largest commitment of investment dollars in exclusive and original content. Given its still-low global penetration and the accelerating shift from linear TV, Jennison believes Netflix still has significant room for growth.

The Portfolio’s industrials holdings advanced but lagged the sector’s gain within the Russell 1000 Growth Index. The longer-than-anticipated 737 Max 8 jet recertification process weighed on The Boeing Co. early in the period. With the pandemic restricting air travel and compromising the financial health of airlines, the Portfolio’s position in the company was eliminated during the period. Jennison also closed the Portfolio’s position in Safran SA based on the company’s exposure to the airline industry, as most of Safran’s revenue is generated by aircraft engine production.

The position in Adidas AG was eliminated based on the company’s softer-than-expected gross margin, COVID-19-related sporting event cancellations, and an anticipated backup in wholesale inventories.

Lastly, Jennison eliminated the Portfolio’s position in FleetCor Technologies, Inc., which provides specific-purpose charge cards and payment-processing services for commercial and government trucking fleets, based on the overhang from regulatory litigation related to the company’s marketing and fee practices, as well as its exposure to oil prices.

Presentation of Portfolio Holdings — unaudited


Jennison Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Amazon.com, Inc.	Internet & Direct Marketing Retail	7.7%
Apple, Inc.	Technology Hardware, Storage & Peripherals	7.1%
Tesla, Inc.	Automobiles	6.5%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	4.0%
Microsoft Corp.	Software	3.9%
Shopify, Inc. (Canada) (Class A Stock)	IT Services	3.7%
Netflix, Inc.	Entertainment	3.2%
NVIDIA Corp.	Semiconductors & Semiconductor Equipment	2.9%
PayPal Holdings, Inc.	IT Services	2.8%
Visa, Inc. (Class A Stock)	IT Services	2.7%

For a Complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Natural Resources Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		12.28	%		4.96	%		-4.40	%
Portfolio: Class II		11.82			4.54			-4.78
Blended Index		-13.19			3.88			-0.38
MSCI World Index (GD)		16.50			12.82			10.48

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2020, the Natural Resources Portfolio Class I shares returned 12.28% and Class II shares returned 11.82%. The Portfolio’s Class I & II shares outperformed the Blended Index and underperformed the MSCI World Index (GD).

What were the market conditions during the reporting period?

The COVID-19 pandemic made calendar-year 2020 (the reporting period) the most volatile year for investment markets since the global financial crisis in 2008. Global pandemic fears led to an extremely sharp sell-off in risk assets in February and March 2020. While the whole market experienced severe downside pressures, stocks in the cyclical and value segments of the market were hit especially hard, given their sensitivity to slower global economic growth during the reporting period. In addition, an ill-fated attempt at a price war by the Organization of the Petroleum Exporting Countries (OPEC) led to a collapse in the price of crude oil and energy stocks.

The market began to recover in April, and gains continued through the end of the period (the recovery period), driven by massive economic stimulus around the world as well as renewed optimism for a potential resumption of growth following the pandemic. The value and cyclical segments of the Portfolio recovered along with the market, with many subsectors outperforming the Portfolio’s benchmark index, the MSCI World Energy/Materials (60%/40%) Index (the Index), during the recovery period. Despite the strong rebound from the lows, energy stocks finished sharply lower for the reporting period, while mining stocks finished sharply higher and chemical stocks were mixed.

Early in the reporting period, the Portfolio began building a large overweight allocation of stocks expected to benefit from the ongoing transition of traditional fossil energy sources to renewable energy initiatives (e.g., solar, wind, hydrogen, electronic vehicles, and batteries). Renewable energy stocks delivered exceptionally robust performance versus the Index during the reporting period given superior growth characteristics, escalating policy support, and strong operational results.

During the reporting period, commodity prices were extremely volatile, with oil stocks trading in negative territory for a short time before recovering strongly by the end of the reporting period. Copper prices rallied throughout the period, based in part on a strong economic recovery in China as well as incremental optimism over long-term demand for copper used to produce electronic vehicles and solar, wind, and electrical infrastructure.

What strategies or holdings affected the Portfolio’s performance?

Management of risk combined with the Portfolio’s flexible and adaptive investment style was a strong contributor to performance during the reporting period. During the sharp sell-off in February and March of 2020, the subadvisors reduced the Portfolio’s risk and increased cash levels to mitigate downside risk. As a result, the Portfolio outperformed the Index during a period of extreme volatility. Beginning in April, the Portfolio was fully invested again, adding more risk and expanding its stock holdings in renewable energy. These actions led to substantial outperformance during the recovery period as well. All areas of focus for the Portfolio — energy, materials, industrials, and agriculture — delivered outperformance versus the Index during the reporting period.

The biggest contributors to outperformance during the reporting period were positions in renewable energy, with holdings in solar, wind, hydrogen, batteries, and electronic vehicles driving considerable absolute and relative performance. The subadvisors were early in identifying the powerful

For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Natural Resources Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

energy theme and repositioned the Portfolio to benefit from growing consumer demand. Top contributors included Enphase Energy Inc., Plug Power Inc., Sunrun Inc., SolarEdge Technologies Inc., Tesla Inc., Vestas Wind Systems A/S ADR, Sunnova Energy International Inc., LG Chem Ltd., and Samsung SDI Co.

In the materials sector, the Portfolio’s positions in copper and diversified miners delivered the strongest relative performance during the reporting period, led by First Quantum Minerals Ltd., Freeport-McMoRan Inc., Rio Tinto Ltd., and BHP Group Ltd.

Overall, the positive contribution from the Portfolio’s underweight exposure to the hard-hit energy sector more than made up for a negative contribution from stock selection.

Entering 2021, the subadvisors are optimistic about continued absolute and relative performance for the Portfolio, which remains broadly diversified across multiple attractive investment themes. The subadvisors believe the Portfolio has an excellent combination of secular growth and cyclical leverage. The Portfolio has a large overweight position within the “energy transition” investment theme. The subadvisors see escalating policy support in the US and around the world; rapidly declining costs; demand from governments, businesses, and consumers for renewable energy; powerful growth for electronic vehicles, and increasing credit given to companies with strong ESG — environmental, social, and governance — profiles.

In the oil and gas sectors, the subadvisors expect a market recovery from the severe underperformance of the preceding years, driven by newfound capital discipline, strong free cash flows, and attractive valuations relative to the market. If inflation and interest rates begin to move higher, the subadvisors expect this may provide a powerful catalyst for growth in certain cyclical portions of the Portfolio.

At times, the Portfolio uses a buy-write strategy, with call options written against long equity positions. At any given time, call options may be written against some of the long exposures, depending on premium income, market volatility, and outlook on underlying positions. The Portfolio did not use derivatives during the reporting period.

Presentation of Portfolio Holdings — unaudited


Natural Resources Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	Country	% of Net Assets
BHP Group Ltd.	Diversified Metals & Mining	Australia	3.6%
Rio Tinto PLC	Diversified Metals & Mining	Australia	3.4%
Chevron Corp.	Integrated Oil & Gas	United States	3.2%
Linde PLC	Industrial Gases	United Kingdom	2.9%
ConocoPhillips	Oil & Gas Exploration & Production	United States	2.8%
BP PLC	Integrated Oil & Gas	United Kingdom	2.4%
Invesco Solar ETF	Exchange-Traded Funds	United States	2.3%
Freeport-McMoRan, Inc.	Copper	United States	2.3%
Valero Energy Corp.	Oil & Gas Refining & Marketing	United States	2.3%
First Quantum Minerals Ltd.	Copper	Zambia	2.2%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Small Capitalization Stock Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		10.99	%		12.13	%		11.62	%
S&P SmallCap 600 Index		11.29			12.37			11.92

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Small Capitalization Stock Portfolio returned 10.99%. The Portfolio underperformed the S&P SmallCap 600 Index.

What were the market conditions during the reporting period?

The COVID-19 pandemic was the major headline during calendar-year 2020 (the reporting period). The pandemic had a significant negative impact on global economies during the first quarter of 2020. Fiscal and monetary stimulus policies led to a steep recovery in US stock prices in the second quarter, along with strong employment numbers as the US economy began to reopen. US equities ended the period in record-high territory, fueled by two vaccines that gained emergency use authorization from the US Food and Drug Administration in the fourth quarter and also by additional monetary stimulus and a projected resolution of the US presidential election.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio slightly underperformed its benchmark index, the S&P Small Cap 600 Index (the Index), during the period. Potential tracking error differences (i.e., the difference between the return of the Portfolio and the return of the Index) — as well as brokerage and other costs and expenses — may cause the Portfolio’s return to be lower than that of the Index.

In terms of positions, biopharmaceutical firm Momenta Pharmaceuticals, Inc. and fashion holding company Capri Holdings Ltd. were the largest contributors to the Portfolio’s performance during the period, while mortgage finance firms Invesco Mortgage Capital Inc. and New York Mortgage Trust, Inc. were the largest detractors. Momenta shares were eliminated from the Portfolio after the company was acquired and were no longer held at the end of the reporting period.

Most of the Portfolio’s buy or sell trades were performed “market-on-close” (i.e., as close as possible to the end of the trading day in order to more closely track the Index). The Portfolio also seeks to add income through securities lending. This income tends to be greater for small-cap stocks, which are often more difficult to borrow because they are not typically as widely traded as their mid-cap and large-cap counterparts.

The Portfolio had modest exposure to derivative instruments in the form of futures to help enhance liquidity, but the position did not have a material impact on performance during the period.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, Small Capitalization Stock Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


Small Capitalization Stock Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Capri Holdings Ltd.	Textiles, Apparel & Luxury Goods	0.7%
NeoGenomics, Inc.	Life Sciences Tools & Services	0.7%
Cleveland-Cliffs, Inc.	Metals & Mining	0.7%
YETI Holdings, Inc.	Leisure Products	0.6%
Omnicell, Inc.	Health Care Technology	0.6%
Brooks Automation, Inc.	Semiconductors & Semiconductor Equipment	0.6%
Power Integrations, Inc.	Semiconductors & Semiconductor Equipment	0.6%
Saia, Inc.	Road & Rail	0.5%
Exponent, Inc.	Professional Services	0.5%
Alarm.com Holdings, Inc.	Software	0.5%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, SP International Growth Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		32.11	%		14.83	%		9.19	%
Portfolio: Class II		31.58			14.35			8.75
MSCI EAFE^® Index (GD)		8.28			7.97			6.00

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2020, the SP International Growth Portfolio Class I shares returned 32.11% and Class II shares returned 31.58%. The Portfolio’s Class I & II shares outperformed the MSCI EAFE Index (GD).

What were the market conditions during the reporting period?

For calendar-year 2020 (the reporting period), the MSCI EAFE Index rose 8.28% despite the global COVID-19 crisis. While absolute returns for the index were positive, markets in Western European countries generally trailed US markets. For example, the S&P 500 Index, a broad-based index of large US stocks, rose 18.40% over the period. At the end of the period, many investors were optimistic about regulatory approval of two COVID-19 vaccines and the beginning of worldwide distribution. International stocks were bolstered by a weaker US dollar attributable to fiscal and monetary support from Congress and the Federal Reserve. As the period progressed, investors started to embrace risk, favoring stocks with growth and momentum characteristics. From a sector perspective, information technology and materials advanced while energy and real estate lagged.

What strategies or holdings affected the Portfolio’s performance?

All three of the Portfolio’s subadvisors had positive exposures to growth and price momentum, which were key factors driving positive relative returns during the period. Jennison favors a more aggressive portfolio and William Blair incorporates growth and momentum. Meanwhile, Neuberger Berman’s exposures to the aforementioned factors were a residual of its bottom-up stock selection process. In addition, each subadvisor’s underexposure to dividend-paying stocks with higher leverage further enhanced results. Investors eschewed these characteristics, doubting whether these companies could continue their dividend payments and sustain higher debt ratios during the pandemic.

Stock selection was also additive to relative performance, as all three of the Portfolio’s subadvisors invested in technology and avoided energy stocks during the period. Energy stocks performed poorly during the period as demand for oil dropped while consumers stayed at home amid the pandemic. The subadvisors instead invested in internet retail, software, and services, which performed well during the period. Given their growth mandate, the Portfolio’s subadvisors favored companies in these faster-growing industries and were subsequently rewarded.

Finally, the Portfolio benefited as all three subadvisors were overweight Chinese stocks, which outperformed during the period. China is home to the some of the world’s fastest-growing technology and internet firms. Although COVID-19 is believed to have originated in China, stocks there were also boosted by the country’s seemingly faster economic recovery during the pandemic versus other parts of the world.

The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, SP International Growth Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


SP International Growth Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	Country	% of Net Assets
Adyen NV, 144A	IT Services	Netherlands	3.0%
MercadoLibre, Inc.	Internet & Direct Marketing Retail	Argentina	2.6%
LVMH Moet Hennessy Louis Vuitton SE	Textiles, Apparel & Luxury Goods	France	2.4%
Sea Ltd., ADR	Entertainment	Taiwan	2.3%
ASML Holding NV	Semiconductors & Semiconductor Equipment	Netherlands	1.9%
Keyence Corp.	Electronic Equipment, Instruments & Components	Japan	1.9%
Shopify, Inc. (Class A Stock)	IT Services	Canada	1.7%
Tencent Holdings Ltd.	Interactive Media & Services	China	1.7%
L’Oreal SA	Personal Products	France	1.6%
Techtronic Industries Co. Ltd.	Machinery	Hong Kong	1.5%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio

December 31, 2020

Report of the Investment Managers - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		47.47	%		19.04	%		14.65	%
Portfolio: Class II		46.90			18.56			14.18
Russell Midcap^® Growth Index		35.59			18.66			15.04
S&P Midcap 400 Index		13.66			12.35			11.51

The Russell Midcap^® Growth Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2020, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned 47.47% and Class II shares returned 46.90%. The Portfolio’s Class I & II shares outperformed both the Russell Midcap Growth Index and the S&P Midcap 400 Index.

What were the market conditions during the reporting period?

Despite a volatile calendar-year 2020 (the reporting period) marked by the COVID-19 pandemic, US equity markets ended the period higher as the broad-based S&P 500 Index returned 18.40%. Within the mid-cap market, it was a positive year for growth stocks, with the Russell Midcap Growth Index returning 35.59% for the period versus the 4.96% return for the Russell Midcap Value Index.

The market environment strongly favored growth stocks during the period, which offered a positive backdrop for the Portfolio’s strategy. The Portfolio skewed toward companies benefiting from structural change, which helped performance as many secular trends that were in place before the pandemic — including digital transformation, artificial intelligence, and electric/autonomous vehicles — were turbocharged throughout the period.

Within the Russell Midcap Growth Index, every sector posted a positive return. The telecommunications (+74.1%) and technology (+58.4%) sectors had the highest returns. The utilities (+9.4%) and basic materials (+15.6%) sectors lagged.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio outperformed the Russell Midcap Growth Index during the period, helped by stock selection and stylistic tailwinds that saw growth stocks outperforming value. Stock selection across a variety of sectors drove outperformance, with the consumer discretionary and technology sectors leading the way. Stock selection in health care was the top detractor from the Portfolio’s performance, followed by real estate.

From an individual stock perspective, overweight positions in Tesla, Inc. and Enphase Energy, Inc. were the top contributors to the Portfolio’s performance. Tesla outperformed during the period as investors embraced the electric car company’s ability to sustain demand at higher production levels and profitable price points. The Portfolio eliminated its Tesla position in the third quarter due to market-capitalization constraints. Solar technology firm Enphase also outperformed after consistently posting strong quarterly results highlighted by solid customer demand. A more favorable political backdrop and the stock’s announced inclusion in the S&P 500 Index in the fourth quarter also drove shares higher.

Not owning digital documents provider DocuSign, Inc. and cloud communications provider Twilio, Inc. were the Portfolio’s biggest detractors from returns during the period. Both outperformed in the first half of the period, as COVID-19-related disruptions drove demand for both companies’ enterprise software solutions. The stocks were added to the Portfolio in the third quarter on indications both companies had products that could continue to fuel higher growth.

Throughout the period, the Portfolio’s risk profile was moderated by reducing positions that had experienced meaningful and/or sustained periods of outperformance, while adding to companies with more reasonable growth expectations. At the end of the period, the consumer discretionary and industrials sectors represented the Portfolio’s largest overweight exposures while the technology and heath care sectors were the largest underweights.

The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.

For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio		December 31, 2020

Report of the Investment Managers - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


SP Prudential U.S. Emerging Growth Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Trade Desk, Inc. (The) (Class A Stock)	Software	2.0%
Spotify Technology SA	Entertainment	1.7%
O’Reilly Automotive, Inc.	Specialty Retail	1.7%
Enphase Energy, Inc.	Semiconductors & Semiconductor Equipment	1.7%
Synopsys, Inc.	Software	1.6%
Match Group, Inc.	Interactive Media & Services	1.6%
Crowdstrike Holdings, Inc. (Class A Stock)	Software	1.5%
RingCentral, Inc. (Class A Stock)	Software	1.5%
Roku, Inc.	Entertainment	1.5%
Take-Two Interactive Software, Inc.	Entertainment	1.4%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, SP Small Cap Value Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		1.90	%		8.71	%		8.87	%
Russell 2000^® Value Index		4.63			9.65			8.66
Russell 2500^™ Index		19.99			13.64			11.97

The Russell 2000^® Value and Russell 2500^TM Index are trademark/service marks of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the SP Small Cap Value Portfolio returned 1.90%. The Portfolio underperformed both the Russell 2000 Value Index and the Russell 2500 Index.

What were the market conditions during the reporting period?

The Russell 2000 Value Index (the Index), a proxy for small market-capitalization value stocks, returned 4.63% in calendar-year 2020 (the reporting period), which was highlighted by extreme market conditions. In the first quarter of 2020, the Index sold off sharply with the onset of the COVID-19 pandemic, falling 35.66%. The magnitude and speed of the sell-off was unusual, and both high- and low-quality stocks declined indiscriminately. The second and fourth quarters saw exuberant returns of 18.91% and 33.36%, respectively, buoyed by significant monetary and fiscal policy, the conclusion of the presidential election in November, vaccine optimism, and hopes for a return to normalcy. A cyclically driven recovery in the second half of the period led to small-cap stocks outperforming large-cap stocks. The best-performing sectors in the small-value space during the second half of the period were consumer staples and healthcare, while the energy and financials sectors lagged.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio underperformed the Index during the reporting period. Stock selection in financials contributed to returns, while investments in materials detracted from returns.

Kinsale Capital Group, Inc., which represented 0.3% of the Portfolio’s weight at the end of the period, was a top contributor to returns. The property and casualty insurer benefited from improved operational efficiency in 2019 and early 2020, yielding strong earnings and premium growth despite 90% of its employees working remotely. Earnings reports that exceeded analysts’ estimates and a secondary share offering drove the stock higher in the second half of the period. Goldman Sachs believes Kinsale Capital’s low-cost, technology-enhanced underwriting model, combined with an improving pricing environment for its excess and surplus lines, will continue to support profitable growth over the long term. Saia, Inc. (0.6% Portfolio weight at the end of the period) is a less-than-truckload — LTL — (i.e., small shipments) logistics company that also contributed to returns for the period. The stock struggled in the beginning, reporting softer-than-expected earnings and operating metrics for LTL shipments in the early months of the period. However, better-than-expected quarterly earnings releases and improving shipping-efficiency data for the remainder of the period contributed to the stock’s strong performance. Goldman Sachs believes Saia is well positioned to benefit from the continued shift toward e-commerce and the digitization of consumption.

Redwood Trust, Inc. and MFA Financial, Inc. are mortgage real estate investment trusts (REITs) that detracted from the Portfolio’s returns during the period. The Portfolio did not hold positions in Redwood Trust or MFA Financial at period-end. Before the pandemic began, the Portfolio held overweight positions in residential mortgage credit within the mortgage REIT universe, given the health of consumers and home prices. Over a few trading days in late March 2020, investors sold shares of companies holding non-government-backed securities. The Portfolio eliminated these mortgage REIT positions, wary of their ability to meet high volumes of margin calls.

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund, SP Small Cap Value Portfolio

December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

Presentation of Portfolio Holdings — unaudited


SP Small Cap Value Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
iShares Russell 2000 Value ETF	Exchange-Traded Fund	1.6%
Darling Ingredients, Inc.	Food Products	1.4%
Avient Corp.	Chemicals	1.2%
KBR, Inc.	IT Services	1.1%
Rexnord Corp.	Machinery	1.0%
Stifel Financial Corp.	Capital Markets	0.9%
Cleveland-Cliffs, Inc.	Metals & Mining	0.9%
Performance Food Group Co.	Food & Staples Retailing	0.9%
MasTec, Inc.	Construction & Engineering	0.9%
Boyd Gaming Corp.	Hotels, Restaurants & Leisure	0.9%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Stock Index Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio		18.08	%		14.93	%		13.59	%
S&P 500 Index		18.40			15.21			13.87

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2020, the Stock Index Portfolio returned 18.08%. The Portfolio underperformed the S&P 500 Index.

What were the market conditions during the reporting period?

What strategies or holdings affected the Portfolio’s performance?

Potential tracking error differences (i.e., the difference between the return of the Portfolio and the return of its benchmark index) — as well as brokerage and other costs and expenses — caused the Portfolio’s return to be slightly lower than the return of its benchmark index, the S&P 500 Index (the Index), during the period.

Information technology — the largest sector within the Portfolio and the Index — was the top sector contributor to the Portfolio’s performance during the period.

Apple Inc. and Amazon.com Inc. were the largest individual stock contributors to the Portfolio’s performance during the period, while Exxon Mobil Corp. and Wells Fargo & Co. were the largest detractors from the Portfolio’s performance.

The Portfolio had some exposure to derivative instruments to help enhance liquidity, but that position did not have a material impact on performance during the period.

Presentation of Portfolio Holdings — unaudited


Stock Index Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
Apple, Inc.	Technology Hardware, Storage & Peripherals	6.5%
Microsoft Corp.	Software	5.2%
Amazon.com, Inc.	Internet & Direct Marketing Retail	4.3%
Facebook, Inc. (Class A Stock)	Interactive Media & Services	2.0%
Tesla, Inc.	Automobiles	1.6%
Alphabet, Inc. (Class A Stock)	Interactive Media & Services	1.6%
Alphabet, Inc. (Class C Stock)	Interactive Media & Services	1.6%
Berkshire Hathaway, Inc. (Class B Stock)	Diversified Financial Services	1.4%
Johnson & Johnson	Pharmaceuticals	1.3%
JPMorgan Chase & Co.	Banks	1.2%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Value Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited)


Average Annual Total Returns	1 Year			5 Years			10 Years
Portfolio: Class I		3.58	%		8.93	%		8.36	%
Portfolio: Class II		3.15			8.49			7.93
Russell 1000^® Value Index		2.80			9.74			10.50
S&P 500 Index		18.40			15.21			13.87

The Russell 1000^® Value Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2020, the Value Portfolio Class I shares returned 3.58% and Class II shares returned 3.15%. The Portfolio’s Class I & II shares outperformed the Russell 1000 Value Index and underperformed the S&P 500 Index.

What were the market conditions during the reporting period?

The Russell 1000 Value Index (the Index) returned 2.80% during the period. By sector, performance was mixed as seven sectors in the Index posted positive returns while four declined. The materials, health care, and industrials sectors posted the strongest absolute results, while energy and real estate posted the weakest returns.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio’s positions among semiconductors were the dominant driver of absolute gains over the period, while holdings in the technology hardware storage & peripherals sector contributed to a lesser degree. Meanwhile, positions in the diversified banks and integrated oil & gas sectors hampered absolute gains.

Relative to the Index, the Portfolio’s overweight allocation to internet media & services added the most value. Stock selection among software names was also beneficial, as was an overweight position to systems software. Conversely, stock selection among health care equipment names detracted the most from relative performance. Stock choices in the oil & gas exploration & production sector and an overweight allocation to diversified banks also detracted.

The most notable individual stock contributors to the Portfolio’s performance included multinational technology company Apple, Inc., semiconductors and wireless telecommunications company Qualcomm, Inc., and semiconductor and infrastructure software products firm Broadcom, Inc. With its huge installed base, Apple benefited from rapid growth in service business subscriptions, a key source of recurring revenue. Shares of both Qualcomm and Broadcom rallied sharply during the period as they benefited from the global build-out of fifth-generation (5G) infrastructure, coupled with the introduction of new 5G handset models. Qualcomm shares also advanced after a surprise announcement in July 2020 of a royalty settlement with Huawei Technologies Co. Ltd.

Top detractors for the period included Canadian integrated energy company Suncor Energy, Inc. and diversified banks JPMorgan Chase & Co. and Citigroup, Inc. Suncor Energy’s stock declined as investors reacted negatively to its weakening fundamentals, as the company’s balance sheet added a significant amount of debt. JPMorgan Chase and Citigroup were dragged down along with the overall financials sector. Financials was one of the

For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.


The Prudential Series Fund, Value Portfolio		December 31, 2020

Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)

worst-performing sectors during the period, as the contraction in the global economy triggered meaningfully diminished loan growth and payment transaction volumes. In addition, the sector experienced interest rate and credit-risk headwinds.

Presentation of Portfolio Holdings — unaudited


Value Portfolio (As of 12/31/2020)
Ten Largest Holdings	Line of Business	% of Net Assets
JPMorgan Chase & Co.	Banks	3.2%
Walt Disney Co. (The)	Entertainment	2.6%
Union Pacific Corp.	Road & Rail	2.4%
Linde PLC (United Kingdom)	Chemicals	2.4%
Bank of America Corp.	Banks	2.3%
Walmart, Inc.	Food & Staples Retailing	2.2%
Broadcom, Inc.	Semiconductors & Semiconductor Equipment	2.2%
Goldman Sachs Group, Inc. (The)	Capital Markets	2.2%
Chubb Ltd.	Insurance	2.2%
QUALCOMM, Inc.	Semiconductors & Semiconductor Equipment	2.1%

For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.

The Prudential Series Fund

Benchmark Glossary — unaudited

December 31, 2020

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.

Bloomberg Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the US Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years.

Bloomberg Barclays US Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds.

Bloomberg Barclays US High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of US dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 1% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.

Lipper US Government Money Market Index invests principally in financial instruments issued or guaranteed by the US government, its agencies, or its instrumentalities, with dollar-weighted average maturities of less than 90 days.

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends

MSCI World Index (GD) - The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends.

PSF Conservative Balanced Portfolio Blended Index consists of the S&P 500 Index (50%), an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market, Bloomberg Barclays US Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the US Treasury with maturities of three months, excluding zero coupon strips.

PSF Flexible Managed Portfolio Blended Index consists of the S&P 500 Index (60%), an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market, Bloomberg Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips.

PSF Natural Resources Portfolio Blended Index consists of the MSCI (Morgan Stanley Capital International) World Energy Index (ND) (60%), an unmanaged capitalization-weighted index that is designed to capture the large and mid-cap segments across twenty-three Developed Markets countries. All securities in the index are classified in the Energy sector. MSCI (Morgan Stanley Capital International) World Materials Energy Index (ND) (40%), an unmanaged capitalization-weighted index that is designed to capture the large and mid-cap segments across twenty-three Developed Markets countries. All securities in the index are classified in the Materials sector.

Russell 1000^® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market.

Russell 1000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 1000 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower forecasted growth values.

The Prudential Series Fund

Benchmark Glossary — unaudited (continued)

December 31, 2020

Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index.

Russell Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.

S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. stock market.

S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market.

S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks.

For Russell Indexes: Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell^® is a trademark of Russell Investment Group.

The S&P 500, S&P MidCap 400, and S&P SmallCap 600 indexes are products of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by PGIM, Inc. and/or its affiliates. Copyright ^© 2020 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P^® is a registered trademark of S&P Global and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC.

The PSF Conservative Balanced Portfolio Blended Index and the PSF Flexible Managed Portfolio Blended Index are calculated by PGIM, Inc. and/or its affiliates with permission from S&P Dow Jones Indices LLC and/or its affiliates. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index, including the PSF Conservative Balanced Portfolio Blended Index and the PSF Flexible Managed Portfolio Blended Index, to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index, including the PSF Conservative Balanced Portfolio Blended Index and the PSF Flexible Managed Portfolio Blended Index, or the data included therein.

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 2020

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 July 1, 2020 through December 31, 2020.

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 fees and charges were included, your costs would have been higher.


The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2020		Ending Account Value December 31, 2020		Annualized Expense Ratio based on the Six-Month Period			Expenses Paid During the Six-Month Period*

Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,117.20		0.57	%	$	3.03
Conservative Balanced (Class I)	Hypothetical	$	1,000.00	$	1,022.27		0.57	%	$	2.90

Diversified Bond (Class I)	Actual	$	1,000.00	$	1,046.40		0.43	%	$	2.21
Diversified Bond (Class I)	Hypothetical	$	1,000.00	$	1,022.97		0.43	%	$	2.19

Equity (Class I)	Actual	$	1,000.00	$	1,267.10		0.47	%	$	2.68
Equity (Class I)	Hypothetical	$	1,000.00	$	1,022.77		0.47	%	$	2.39

Equity (Class II)	Actual	$	1,000.00	$	1,264.70		0.87	%	$	4.95
Equity (Class II)	Hypothetical	$	1,000.00	$	1,020.76		0.87	%	$	4.42

Flexible Managed (Class I)	Actual	$	1,000.00	$	1,120.70		0.62	%	$	3.31
Flexible Managed (Class I)	Hypothetical	$	1,000.00	$	1,022.02		0.62	%	$	3.15

Global (Class I)	Actual	$	1,000.00	$	1,230.70		0.76	%	$	4.26
Global (Class I)	Hypothetical	$	1,000.00	$	1,021.32		0.76	%	$	3.86

Government Income (Class I)	Actual	$	1,000.00	$	1,007.60		0.51	%	$	2.57
Government Income (Class I)	Hypothetical	$	1,000.00	$	1,022.57		0.51	%	$	2.59

Government Money Market (Class I)	Actual	$	1,000.00	$	1,000.00		0.14	%	$	0.70
Government Money Market (Class I)	Hypothetical	$	1,000.00	$	1,024.43		0.14	%	$	0.71

Government Money Market (Class III)	Actual	$	1,000.00	$	1,000.00		0.13	%	$	0.65
Government Money Market (Class III)	Hypothetical	$	1,000.00	$	1,024.48		0.13	%	$	0.66

High Yield Bond (Class I)	Actual	$	1,000.00	$	1,117.50		0.57	%	$	3.03
High Yield Bond (Class I)	Hypothetical	$	1,000.00	$	1,022.27		0.57	%	$	2.90

The Prudential Series Fund

Fees and Expenses — unaudited (continued)

December 31, 2020


The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2020		Ending Account Value December 31, 2020		Annualized Expense Ratio based on the Six-Month Period			Expenses Paid During the Six-Month Period*
Jennison 20/20 Focus (Class I)	Actual	$	1,000.00	$	1,271.50		0.85	%	$	4.85
Jennison 20/20 Focus (Class I)	Hypothetical	$	1,000.00	$	1,020.86		0.85	%	$	4.32
Jennison 20/20 Focus (Class II)	Actual	$	1,000.00	$	1,269.00		1.25	%	$	7.13
Jennison 20/20 Focus (Class II)	Hypothetical	$	1,000.00	$	1,018.85		1.25	%	$	6.34

Jennison (Class I)	Actual	$	1,000.00	$	1,308.10		0.62	%	$	3.60
Jennison (Class I)	Hypothetical	$	1,000.00	$	1,022.02		0.62	%	$	3.15

Jennison (Class II)	Actual	$	1,000.00	$	1,305.40		1.02	%	$	5.91
Jennison (Class II)	Hypothetical	$	1,000.00	$	1,020.01		1.02	%	$	5.18

Natural Resources (Class I)	Actual	$	1,000.00	$	1,373.40		0.55	%	$	3.28
Natural Resources (Class I)	Hypothetical	$	1,000.00	$	1,022.37		0.55	%	$	2.80

Natural Resources (Class II)	Actual	$	1,000.00	$	1,370.10		0.95	%	$	5.66
Natural Resources (Class II)	Hypothetical	$	1,000.00	$	1,020.36		0.95	%	$	4.82

Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	1,352.60		0.40	%	$	2.37
Small Capitalization Stock (Class I)	Hypothetical	$	1,000.00	$	1,023.13		0.40	%	$	2.03
SP International Growth (Class I)	Actual	$	1,000.00	$	1,275.80		1.01	%	$	5.78
SP International Growth (Class I)	Hypothetical	$	1,000.00	$	1,020.06		1.01	%	$	5.13
SP International Growth (Class II)	Actual	$	1,000.00	$	1,273.00		1.41	%	$	8.06
SP International Growth (Class II)	Hypothetical	$	1,000.00	$	1,018.05		1.41	%	$	7.15
SP Prudential U.S. Emerging Growth (Class I)	Actual	$	1,000.00	$	1,321.90		0.65	%	$	3.79
SP Prudential U.S. Emerging Growth (Class I)	Hypothetical	$	1,000.00	$	1,021.87		0.65	%	$	3.30
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	1,319.50		1.05	%	$	6.12
SP Prudential U.S. Emerging Growth (Class II)	Hypothetical	$	1,000.00	$	1,019.86		1.05	%	$	5.33
SP Small Cap Value (Class I)	Actual	$	1,000.00	$	1,353.20		1.07	%	$	6.33
SP Small Cap Value (Class I)	Hypothetical	$	1,000.00	$	1,019.76		1.07	%	$	5.43

Stock Index (Class I)	Actual	$	1,000.00	$	1,219.70		0.30	%	$	1.67
Stock Index (Class I)	Hypothetical	$	1,000.00	$	1,023.63		0.30	%	$	1.53

Value (Class I)	Actual	$	1,000.00	$	1,221.50		0.43	%	$	2.40
Value (Class I)	Hypothetical	$	1,000.00	$	1,022.97		0.43	%	$	2.19

Value (Class II)	Actual	$	1,000.00	$	1,218.90		0.83	%	$	4.63
Value (Class II)	Hypothetical	$	1,000.00	$	1,020.96		0.83	%	$	4.22

* 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 184 days in the six-month period ended December 31, 2020, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2020 (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
BRL		Brazilian Real
CAD		Canadian Dollar
CNH		Chinese Renminbi
COP		Colombian Peso
EUR		Euro
GBP		British Pound
HUF		Hungarian Forint
NZD		New Zealand Dollar
USD		US Dollar
ZAR		South African Rand

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
BBR —		New Zealand Bank Bill Rate
BBSW —		Australian Bank Bill Swap Reference Rate
bps —		Basis Points
BROIS —		Brazil Overnight Index Swap
BUBOR —		Budapest Interbank Offered Rate
CDI —		Chess Depository Interest
CDX —		Credit Derivative Index
CLO —		Collateralized Loan Obligation
CMBS —		Collateralized Mortgage-Backed Security
CMBX —		Commercial Mortgage-Backed Index
COOIS —		Colombia Overnight Interbank Reference Rate
CVA —		Certificate Van Aandelen (Bearer)
CVT —		Convertible Security
EAFE —		Europe, Australasia, Far East
EMTN —		Euro Medium Term Note
EONIA —		Euro Overnight Index Average
ERISA —		Employee Retirement Income Security Act of 1974


ETF —		Exchange-Traded Fund
EURIBOR —		Euro Interbank Offered Rate
FHLMC —		Federal Home Loan Mortgage Corporation
FNMA —		Federal National Mortgage Association
GDR —		Global Depositary Receipt
GMTN —		Global Medium Term Note
GNMA —		Government National Mortgage Association
IO —		Interest Only (Principal amount represents notional)
JIBAR —		Johannesburg Interbank Agreed Rate
LIBOR —		London Interbank Offered Rate
LP —		Limited Partnership
M —		Monthly payment frequency for swaps
MASTR —		Morgan Stanley Structured Asset Security
MSCI —		Morgan Stanley Capital International
MTN —		Medium Term Note
OTC —		Over-the-counter
PIK —		Payment-in-Kind
PJSC —		Public Joint-Stock Company
PO —		Principal Only
PRFC —		Preference Shares
Q —		Quarterly payment frequency for swaps
REITs —		Real Estate Investment Trust
REMICS —		Real Estate Mortgage Investment Conduit Security
RSP —		Savings Shares
S —		Semiannual payment frequency for swaps
S&P —		Standard & Poor’s
SOFR —		Secured Overnight Financing Rate
SONIA —		Sterling Overnight Index Average
SPDR —		Standard & Poor’s Depositary Receipts
Strips —		Separate Trading of Registered Interest and Principal of Securities
T —		Swap payment upon termination
TBA —		To Be Announced
USAID —		United States Agency for International Development
USOIS —		United States Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS



		*CONSERVATIVE BALANCED PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 89.2%
COMMON STOCKS — 51.2%	Shares		Value
Aerospace & Defense — 0.8%
BAE Systems PLC (United Kingdom)		7,305	$	48,765
Boeing Co. (The)		22,550		4,827,053
General Dynamics Corp.		10,100		1,503,082
Howmet Aerospace, Inc.		15,080		430,383
Huntington Ingalls Industries, Inc.		1,900		323,912
L3Harris Technologies, Inc.		9,070		1,714,411
Lockheed Martin Corp.		10,620		3,769,888
Northrop Grumman Corp.		6,662		2,030,045
Raytheon Technologies Corp.		65,155		4,659,234
Singapore Technologies Engineering Ltd. (Singapore)		5,700		16,550
Teledyne Technologies, Inc.*		1,580		619,328
Textron, Inc.		8,800		425,304
TransDigm Group, Inc.*		2,400		1,485,240

				21,853,195

Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.		5,800		544,446
Deutsche Post AG (Germany)		6,232		314,056
Expeditors International of Washington, Inc.		7,300		694,303
FedEx Corp.		10,480		2,720,818
SG Holdings Co. Ltd. (Japan)		7,700		210,187
United Parcel Service, Inc. (Class B Stock)		30,600		5,153,040
Yamato Holdings Co. Ltd. (Japan)		5,300		135,125

				9,771,975

Airlines — 0.1%
Alaska Air Group, Inc.		4,300		223,600
American Airlines Group, Inc.(a)		19,400		305,938
Delta Air Lines, Inc.		26,600		1,069,586
Southwest Airlines Co.		24,700		1,151,267
United Airlines Holdings, Inc.*		11,100		480,075

				3,230,466

Auto Components — 0.1%
Aptiv PLC		11,600		1,511,364
BorgWarner, Inc.		9,600		370,944
Cie Generale des Etablissements Michelin SCA (France)		1,096		140,826
Continental AG (Germany)		216		32,121
Toyota Industries Corp. (Japan)		200		15,895

				2,071,150

Automobiles — 1.0%
Bayerische Motoren Werke AG (Germany)		657		58,834
Daimler AG (Germany)		4,979		353,232
Fiat Chrysler Automobiles NV (United Kingdom)*		2,124		38,184
Ford Motor Co.		163,085		1,433,517
General Motors Co.		53,100		2,211,084
Honda Motor Co. Ltd. (Japan)		1,900		53,341
Mazda Motor Corp. (Japan)		2,100		14,101
Peugeot SA (France)*		1,149		31,597
Suzuki Motor Corp. (Japan)		700		32,468


COMMON STOCKS (continued)	Shares		Value
Automobiles (cont’d.)
Tesla, Inc.*(a)		32,100	$	22,652,007
Toyota Motor Corp. (Japan)		3,900		300,812
Volkswagen AG (Germany)		111		23,179

				27,202,356

Banks — 2.0%
Banco Bilbao Vizcaya Argentaria SA (Spain)		7,112		35,254
Bank of America Corp.		327,141		9,915,644
Barclays PLC (United Kingdom)*		33,440		67,285
BNP Paribas SA (France)*		2,225		117,790
BOC Hong Kong Holdings Ltd. (China)		7,500		22,767
Chiba Bank Ltd. (The) (Japan)		32,900		181,645
Citigroup, Inc.		88,935		5,483,732
Citizens Financial Group, Inc.		17,800		636,528
Comerica, Inc.		5,600		312,816
Commonwealth Bank of Australia (Australia)		3,427		217,968
Credit Agricole SA (France)*		2,247		28,668
Danske Bank A/S (Denmark)*		1,320		21,694
DBS Group Holdings Ltd. (Singapore)		15,900		301,864
DNB ASA (Norway)*		14,249		276,403
Fifth Third Bancorp		30,521		841,464
First Republic Bank		7,700		1,131,361
Huntington Bancshares, Inc.		42,136		532,178
Intesa Sanpaolo SpA (Italy)*		32,532		76,243
Japan Post Bank Co. Ltd. (Japan)		1,400		11,477
JPMorgan Chase & Co.		131,045		16,651,888
KBC Group NV (Belgium)*		496		34,964
KeyCorp		41,800		685,938
M&T Bank Corp.		5,400		687,420
Mebuki Financial Group, Inc. (Japan)		97,000		190,687
Mediobanca Banca di Credito Finanziario SpA (Italy)*		3,438		31,818
Mizuho Financial Group, Inc. (Japan)		4,920		62,489
Nordea Bank Abp (Finland)*		6,324		51,969
Oversea-Chinese Banking Corp. Ltd. (Singapore)		27,200		207,085
People’s United Financial, Inc.		14,400		186,192
PNC Financial Services Group, Inc. (The)		18,333		2,731,617
Regions Financial Corp.		40,203		648,072
Resona Holdings, Inc. (Japan)		4,000		13,969
Sumitomo Mitsui Financial Group, Inc. (Japan)		2,400		74,052
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		600		18,470
SVB Financial Group*		2,300		892,009
Swedbank AB (Sweden) (Class A Stock)*		11,566		202,346
Truist Financial Corp.		57,101		2,736,851
U.S. Bancorp		57,985		2,701,521
United Overseas Bank Ltd. (Singapore)		2,300		39,333
Wells Fargo & Co.		176,164		5,316,630
Zions Bancorp NA		6,350		275,844

				54,653,945

Beverages — 0.8%
Brown-Forman Corp. (Class B Stock)		7,775		617,568

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Beverages (cont’d.)
Carlsberg A/S (Denmark) (Class B Stock)		195	$	31,064
Coca-Cola Co. (The)		165,901		9,098,011
Coca-Cola HBC AG (Switzerland)*		720		23,472
Constellation Brands, Inc. (Class A Stock)		7,300		1,599,065
Kirin Holdings Co. Ltd. (Japan)		1,500		35,369
Molson Coors Beverage Co. (Class B Stock)		7,300		329,887
Monster Beverage Corp.*		16,000		1,479,680
PepsiCo, Inc.		59,407		8,810,058

				22,024,174

Biotechnology — 1.0%
AbbVie, Inc.		75,901		8,132,792
Alexion Pharmaceuticals, Inc.*		9,500		1,484,280
Amgen, Inc.		25,037		5,756,507
Biogen, Inc.*		6,660		1,630,768
CSL Ltd. (Australia)		414		90,835
Gilead Sciences, Inc.		54,100		3,151,866
Incyte Corp.*		8,200		713,236
Regeneron Pharmaceuticals, Inc.*		4,540		2,193,319
Vertex Pharmaceuticals, Inc.*		11,300		2,670,642

				25,824,245

Building Products — 0.2%
A.O. Smith Corp.		5,600		306,992
AGC, Inc. (Japan)		400		13,968
Allegion PLC		3,833		446,084
Carrier Global Corp.		34,202		1,290,099
Cie de Saint-Gobain (France)*		3,054		140,911
Fortune Brands Home & Security, Inc.		5,900		505,748
Geberit AG (Switzerland)		128		80,799
Johnson Controls International PLC		31,022		1,445,315
Kingspan Group PLC (Ireland)*		527		37,060
Lixil Corp. (Japan)		900		19,475
Masco Corp.		10,900		598,737
Trane Technologies PLC		10,400		1,509,664

				6,394,852

Capital Markets — 1.4%
3i Group PLC (United Kingdom)		1,886		29,996
Ameriprise Financial, Inc.		5,120		994,970
Bank of New York Mellon Corp. (The)		34,958		1,483,618
BlackRock, Inc.		6,100		4,401,394
Cboe Global Markets, Inc.		4,500		419,040
Charles Schwab Corp. (The)		64,150		3,402,516
CME Group, Inc.		15,500		2,821,775
Credit Suisse Group AG (Switzerland)		8,463		110,655
Franklin Resources, Inc.(a)		9,300		232,407
Goldman Sachs Group, Inc. (The)		14,900		3,929,279
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		2,100		115,541
Intercontinental Exchange, Inc.		24,155		2,784,830
Invesco Ltd.		16,000		278,880
Julius Baer Group Ltd. (Switzerland)		440		25,298
Magellan Financial Group Ltd. (Australia)		1,557		64,865


COMMON STOCKS (continued)	Shares		Value
Capital Markets (cont’d.)
MarketAxess Holdings, Inc.		1,720	$	981,363
Moody’s Corp.		7,050		2,046,192
Morgan Stanley		61,619		4,222,750
MSCI, Inc.		3,700		1,652,161
Nasdaq, Inc.		5,000		663,700
Nomura Holdings, Inc. (Japan)		30,200		159,774
Northern Trust Corp.		8,900		828,946
Raymond James Financial, Inc.		5,200		497,484
S&P Global, Inc.		10,360		3,405,643
SBI Holdings, Inc. (Japan)		400		9,493
Schroders PLC (United Kingdom)		432		19,764
State Street Corp.		15,000		1,091,700
T. Rowe Price Group, Inc.		9,800		1,483,622
UBS Group AG (Switzerland)		23,716		339,954

				38,497,610

Chemicals — 0.9%
Air Products & Chemicals, Inc.		9,600		2,622,912
Akzo Nobel NV (Netherlands)		368		39,631
Albemarle Corp.		4,500		663,840
BASF SE (Germany)		1,083		85,538
Celanese Corp.		5,100		662,694
CF Industries Holdings, Inc.		8,900		344,519
Corteva, Inc.		31,347		1,213,756
Covestro AG (Germany), 144A		594		36,842
Dow, Inc.		31,847		1,767,509
DuPont de Nemours, Inc.		31,647		2,250,418
Eastman Chemical Co.		5,700		571,596
Ecolab, Inc.		10,800		2,336,688
Evonik Industries AG (Germany)		414		13,539
FMC Corp.		5,600		643,608
International Flavors & Fragrances, Inc.(a)		4,500		489,780
LANXESS AG (Germany)		288		22,170
Linde PLC (United Kingdom)		22,700		5,981,677
LyondellBasell Industries NV (Class A Stock)		11,000		1,008,260
Mitsubishi Gas Chemical Co., Inc. (Japan)		600		13,792
Mitsui Chemicals, Inc. (Japan)		700		20,608
Mosaic Co. (The)		12,800		294,528
Nitto Denko Corp. (Japan)		600		53,728
PPG Industries, Inc.		10,200		1,471,044
Sherwin-Williams Co. (The)		3,550		2,608,930
Shin-Etsu Chemical Co. Ltd. (Japan)		1,000		175,053
Tosoh Corp. (Japan)		3,900		61,023
Yara International ASA (Brazil)		340		14,233

				25,467,916

Commercial Services & Supplies — 0.2%
Brambles Ltd. (Australia)		2,993		24,608
Cintas Corp.		3,900		1,378,494
Copart, Inc.*		8,900		1,132,525
Dai Nippon Printing Co. Ltd. (Japan)		400		7,191
Rentokil Initial PLC (United Kingdom)*		3,573		24,935
Republic Services, Inc.		8,965		863,329
Rollins, Inc.		8,600		336,002
Secom Co. Ltd. (Japan)		800		73,823

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Commercial Services & Supplies (cont’d.)
Waste Management, Inc.		16,842	$	1,986,177

				5,827,084

Communications Equipment — 0.4%
Arista Networks, Inc.*		2,400		697,368
Cisco Systems, Inc.		181,600		8,126,600
F5 Networks, Inc.*		2,600		457,444
Juniper Networks, Inc.		11,900		267,869
Motorola Solutions, Inc.		7,389		1,256,573
Nokia OYJ (Finland)*		3,538		13,673
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		3,783		45,034

				10,864,561

Construction & Engineering — 0.0%
ACS Actividades de Construccion y Servicios SA (Spain)		975		32,436
Bouygues SA (France)		800		32,911
Jacobs Engineering Group, Inc.		5,600		610,176
Kajima Corp. (Japan)		800		10,717
Obayashi Corp. (Japan)		1,200		10,353
Quanta Services, Inc.		6,100		439,322
Skanska AB (Sweden) (Class B Stock)		437		11,157
Taisei Corp. (Japan)		700		24,084

				1,171,156

Construction Materials — 0.1%
HeidelbergCement AG (Germany)		1,085		82,909
James Hardie Industries PLC, CDI*		824		24,339
LafargeHolcim Ltd. (Switzerland)*		4,960		274,890
Martin Marietta Materials, Inc.		2,800		795,116
Taiheiyo Cement Corp. (Japan)		500		12,499
Vulcan Materials Co.		5,600		830,536

				2,020,289

Consumer Finance — 0.3%
American Express Co.		28,200		3,409,662
Capital One Financial Corp.		19,761		1,953,375
Discover Financial Services		13,140		1,189,564
Synchrony Financial		22,872		793,887

				7,346,488

Containers & Packaging — 0.2%
Amcor PLC		65,850		775,054
Avery Dennison Corp.		3,800		589,418
Ball Corp.		14,100		1,313,838
International Paper Co.		16,573		824,010
Packaging Corp. of America		4,200		579,222
Sealed Air Corp.		6,700		306,793
Smurfit Kappa Group PLC (Ireland)		476		22,219
Westrock Co.		10,444		454,627

				4,865,181

Distributors — 0.1%
Genuine Parts Co.		6,500		652,795
LKQ Corp.*		11,800		415,832
Pool Corp.		1,900		707,750

				1,776,377


COMMON STOCKS (continued)	Shares		Value
Diversified Financial Services — 0.7%
Berkshire Hathaway, Inc. (Class B Stock)*		83,700	$	19,407,519
Investor AB (Sweden) (Class B Stock)		880		64,608
M&G PLC (United Kingdom)		86,141		233,108

				19,705,235

Diversified Telecommunication Services — 0.7%
AT&T, Inc.		305,936		8,798,719
BT Group PLC (United Kingdom)*		12,300		22,338
CenturyLink, Inc.(a)		41,379		403,445
Deutsche Telekom AG (Germany)		6,471		118,855
Nippon Telegraph & Telephone Corp. (Japan)		5,400		137,981
Orange SA (France)		12,550		149,370
Proximus SADP (Belgium)		560		11,115
Swisscom AG (Switzerland)		52		28,088
Telecom Italia SpA (Italy), RSP		22,010		11,419
Telefonica Deutschland Holding AG (Germany)		1,869		5,166
Verizon Communications, Inc.		177,876		10,450,215

				20,136,711

Electric Utilities — 0.9%
Alliant Energy Corp.		10,200		525,606
American Electric Power Co., Inc.		21,460		1,786,974
Chubu Electric Power Co., Inc. (Japan)		1,200		14,455
CK Infrastructure Holdings Ltd. (Hong Kong)		6,000		32,188
Duke Energy Corp.		31,461		2,880,569
Edison International		15,900		998,838
Endesa SA (Spain)		5,844		159,985
Enel SpA (Italy)		16,295		165,226
Entergy Corp.		8,900		888,576
Evergy, Inc.		9,700		538,447
Eversource Energy		14,600		1,263,046
Exelon Corp.		42,013		1,773,789
FirstEnergy Corp.		22,906		701,153
Fortum OYJ (Finland)		10,965		265,085
Iberdrola SA (Spain)		11,469		163,893
Kansai Electric Power Co., Inc. (The) (Japan)		11,700		110,416
NextEra Energy, Inc.		83,900		6,472,885
NRG Energy, Inc.		10,400		390,520
Pinnacle West Capital Corp.		4,700		375,765
Power Assets Holdings Ltd. (Hong Kong)		2,500		13,527
PPL Corp.		32,400		913,680
Red Electrica Corp. SA (Spain)		810		16,622
Southern Co. (The)		44,900		2,758,207
Tohoku Electric Power Co., Inc. (Japan)		21,800		179,498
Xcel Energy, Inc.		22,710		1,514,076

				24,903,026

Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)		11,420		323,872
AMETEK, Inc.		9,800		1,185,212
Eaton Corp. PLC		17,337		2,082,867

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Electrical Equipment (cont’d.)
Emerson Electric Co.		25,800	$	2,073,546
Fuji Electric Co. Ltd. (Japan)		500		18,011
Legrand SA (France)		516		46,247
Rockwell Automation, Inc.		5,000		1,254,050
Schneider Electric SE (France)		2,589		375,835

				7,359,640

Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		12,800		1,673,856
CDW Corp.		6,100		803,919
Corning, Inc.		32,600		1,173,600
FLIR Systems, Inc.		4,600		201,618
Hirose Electric Co. Ltd. (Japan)		100		15,171
Ibiden Co. Ltd. (Japan)		200		9,346
IPG Photonics Corp.*		1,700		380,443
Keysight Technologies, Inc.*		8,000		1,056,720
Murata Manufacturing Co. Ltd. (Japan)		3,500		316,256
Omron Corp. (Japan)		300		26,778
TDK Corp. (Japan)		1,400		211,387
TE Connectivity Ltd.		14,300		1,731,301
Vontier Corp.*		5,700		190,380
Zebra Technologies Corp. (Class A Stock)*		2,430		933,922

				8,724,697

Energy Equipment & Services — 0.1%
Baker Hughes Co.(a)		27,398		571,248
Halliburton Co.		37,100		701,190
National Oilwell Varco, Inc.		14,100		193,593
Schlumberger NV		57,824		1,262,298
TechnipFMC PLC (United Kingdom)		17,200		161,680

				2,890,009

Entertainment — 1.2%
Activision Blizzard, Inc.		33,300		3,091,905
Electronic Arts, Inc.		12,500		1,795,000
Live Nation Entertainment, Inc.*(a)		6,000		440,880
Netflix, Inc.*		19,010		10,279,277
Nintendo Co. Ltd. (Japan)		600		382,855
Take-Two Interactive Software, Inc.*		5,000		1,038,950
Vivendi SA (France)		1,598		51,565
Walt Disney Co. (The)*		77,782		14,092,543

				31,172,975

Equity Real Estate Investment Trusts (REITs) — 1.2%
Alexandria Real Estate Equities, Inc.		5,080		905,358
American Tower Corp.		19,160		4,300,654
AvalonBay Communities, Inc.		6,075		974,612
Boston Properties, Inc.		6,000		567,180
Crown Castle International Corp.		18,200		2,897,258
Digital Realty Trust, Inc.		11,600		1,618,316
Duke Realty Corp.		15,100		603,547
Equinix, Inc.		3,854		2,752,450
Equity Residential		14,800		877,344
Essex Property Trust, Inc.		2,850		676,647
Extra Space Storage, Inc.		5,800		671,988
Federal Realty Investment Trust		2,700		229,824
Gecina SA (France)		161		24,927


COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (cont’d.)
Goodman Group (Australia)		8,642	$	125,955
Healthpeak Properties, Inc.		21,500		649,945
Host Hotels & Resorts, Inc.		29,682		434,248
Iron Mountain, Inc.(a)		12,002		353,819
Japan Real Estate Investment Corp. (Japan)		2		11,568
Japan Retail Fund Investment Corp. (Japan)		9		16,393
Kimco Realty Corp.		17,900		268,679
Klepierre SA (France)		10,423		234,992
Mid-America Apartment Communities, Inc.		4,900		620,781
Nippon Building Fund, Inc. (Japan)		211,594
Orix JREIT, Inc. (Japan)		89		146,998
Prologis, Inc.		31,877		3,176,862
Public Storage		6,500		1,501,045
Realty Income Corp.		14,800		920,116
Regency Centers Corp.		6,500		296,335
SBA Communications Corp.		4,900		1,382,437
Simon Property Group, Inc.		13,693		1,167,739
SL Green Realty Corp.(a)		3,300		196,614
Stockland (Australia)		72,605		235,106
UDR, Inc.		11,300		434,259
Ventas, Inc.		16,318		800,235
Vornado Realty Trust		6,325		236,175
Welltower, Inc.		17,800		1,150,236
Weyerhaeuser Co.		31,418		1,053,446

				32,525,682

Food & Staples Retailing — 0.7%
Coles Group Ltd. (Australia)		1,656		23,220
Costco Wholesale Corp.		19,100		7,196,498
Etablissements Franz Colruyt NV (Belgium)		848		50,262
Kesko OYJ (Finland) (Class B Stock)		528		13,607
Koninklijke Ahold Delhaize NV (Netherlands)		8,922		255,130
Kroger Co. (The)		31,892		1,012,890
Seven&i HoldingsCo. Ltd.(Japan)		1,800		63,832
Sysco Corp.		21,700		1,611,442
Tesco PLC (United Kingdom)		33,957		107,627
Walgreens Boots Alliance, Inc.		29,700		1,184,436
Walmart, Inc.		59,600		8,591,340
Wm Morrison Supermarkets PLC (United Kingdom)		8,409		20,442

				20,130,726

Food Products — 0.5%
Archer-Daniels-Midland Co.		24,026		1,211,151
Campbell Soup Co.(a)		7,900		381,965
Conagra Brands, Inc.		20,100		728,826
Danone SA (France)		1,215		79,972
General Mills, Inc.		26,400		1,552,320
Hershey Co. (The)		6,300		959,679
Hormel Foods Corp.(a)		12,200		568,642
J.M. Smucker Co. (The)		5,100		589,560
Kellogg Co.		11,000		684,530
Kraft Heinz Co. (The)		26,417		915,613
Lamb Weston Holdings, Inc.		6,600		519,684

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value

Food Products (cont’d.)
McCormick & Co., Inc.		10,840	$	1,036,304
MEIJI Holdings Co. Ltd. (Japan)		200		14,073
Mondelez International, Inc. (Class A Stock)		61,653		3,604,851
Nestle SA (Switzerland)		4,106		484,114
NH Foods Ltd. (Japan)		1,100		48,459
Orkla ASA (Norway)		9,937		100,965
Tate & Lyle PLC (United Kingdom)		7,241		66,757
Toyo Suisan Kaisha Ltd. (Japan)		300		14,606
Tyson Foods, Inc. (Class A Stock)		12,400		799,056
WH Group Ltd. (Hong Kong), 144A		239,500		201,248
Wilmar International Ltd. (China)		23,300		82,237

				14,644,612


Gas Utilities — 0.0%
Atmos Energy Corp.		5,300		505,779
Enagas SA (Spain)		457		10,025
Naturgy Energy Group SA (Spain)		564		13,077
Snam SpA (Italy)		6,780		38,270

				567,151


Health Care Equipment & Supplies — 1.9%
Abbott Laboratories		76,200		8,343,138
ABIOMED, Inc.*		2,060		667,852
Align Technology, Inc.*		3,100		1,656,578
Baxter International, Inc.		21,900		1,757,256
Becton, Dickinson & Co.		12,510		3,130,252
Boston Scientific Corp.*		60,267		2,166,599
Cooper Cos., Inc. (The)		2,240		813,837
Danaher Corp.		27,200		6,042,208
Dentsply Sirona, Inc.		9,600		502,656
DexCom, Inc.*		4,200		1,552,824
DiaSorin SpA (Italy)		48		9,990
Edwards Lifesciences Corp.*		26,900		2,454,087
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand)		1,035		24,531
Hologic, Inc.*		10,800		786,564
Hoya Corp. (Japan)		700		96,933
IDEXX Laboratories, Inc.*		3,700		1,849,519
Intuitive Surgical, Inc.*		5,120		4,188,672
Medtronic PLC		58,090		6,804,663
ResMed, Inc.		6,400		1,360,384
Sonova Holding AG (Switzerland)*		106		27,615
STERIS PLC		3,850		729,729
Stryker Corp.		14,100		3,455,064
Teleflex, Inc.		2,000		823,140
Varian Medical Systems, Inc.*		4,100		717,541
West Pharmaceutical Services, Inc.		3,200		906,592
Zimmer Biomet Holdings, Inc.		9,000		1,386,810

				52,255,034


Health Care Providers & Services — 1.4%
Alfresa Holdings Corp. (Japan)		700		12,812
AmerisourceBergen Corp.		6,300		615,888
Anthem, Inc.		10,700		3,435,663
Cardinal Health, Inc.		12,050		645,398
Centene Corp.*		25,050		1,503,751
Cigna Corp.		15,600		3,247,608


COMMON STOCKS (continued)	Shares		Value

Health Care Providers & Services (cont’d.)
CVS Health Corp.		56,483	$	3,857,789
DaVita, Inc.*(a)		3,300		387,420
Fresenius Medical Care AG & Co. KGaA (Germany)		2,017		170,893
Fresenius SE & Co. KGaA (Germany)		5,603		263,713
HCA Healthcare, Inc.		11,600		1,907,736
Henry Schein, Inc.*		6,000		401,160
Humana, Inc.		5,750		2,359,052
Laboratory Corp. of America Holdings*		4,200		854,910
McKesson Corp.		7,030		1,222,658
Medipal Holdings Corp. (Japan)		10,800		202,712
Quest Diagnostics, Inc.		6,000		715,020
Sonic Healthcare Ltd. (Australia)		839		20,795
UnitedHealth Group, Inc.		40,860		14,328,785
Universal Health Services, Inc. (Class B Stock)		3,400		467,500

				36,621,263


Health Care Technology — 0.0%
Cerner Corp.		13,100		1,028,088
M3, Inc. (Japan)		400		37,828

				1,065,916


Hotels, Restaurants & Leisure — 0.9%
Carnival Corp.		25,900		560,994
Chipotle Mexican Grill, Inc.*		1,270		1,761,122
Darden Restaurants, Inc.		5,450		649,204
Domino’s Pizza, Inc.		1,800		690,228
Evolution Gaming Group AB (Sweden), 144A		1,181		120,442
Hilton Worldwide Holdings, Inc.		11,800		1,312,868
La Francaise des Jeux SAEM (France), 144A		4,316		198,725
Las Vegas Sands Corp.		14,200		846,320
Marriott International, Inc. (Class A Stock)		11,528		1,520,774
McDonald’s Corp.		32,200		6,909,476
McDonald’s Holdings Co. Japan Ltd. (Japan)		1,500		72,745
MGM Resorts International		15,900		501,009
Norwegian Cruise Line Holdings Ltd.*(a)		11,600		294,988
Royal Caribbean Cruises Ltd.		7,600		567,644
Starbucks Corp.		50,500		5,402,490
Tabcorp Holdings Ltd. (Australia)		7,236		21,854
Wynn Resorts Ltd.		4,000		451,320
Yum! Brands, Inc.		13,000		1,411,280

				23,293,483


Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)*		1,968		18,125
Berkeley Group Holdings PLC (United Kingdom)		2,970		192,279
D.R. Horton, Inc.		14,200		978,664
Electrolux AB (Sweden) (Class B Stock)		800		18,617
Garmin Ltd.		6,500		777,790

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Household Durables (cont’d.)
Husqvarna AB (Sweden) (Class B Stock)		19,351	$	251,353
Iida Group Holdings Co. Ltd. (Japan)		5,800		117,232
Leggett & Platt, Inc.		5,400		239,220
Lennar Corp. (Class A Stock)		11,700		891,891
Mohawk Industries, Inc.*		2,540		358,013
Newell Brands, Inc.		15,914		337,854
NVR, Inc.*		160		652,778
Persimmon PLC (United Kingdom)		2,716		103,019
PulteGroup, Inc.		11,422		492,517
Rinnai Corp. (Japan)		100		11,624
Sekisui House Ltd. (Japan)		1,100		22,388
Sony Corp. (Japan)		3,800		382,231
Taylor Wimpey PLC (United Kingdom)*		7,050		16,058
Whirlpool Corp.(a)		2,726		492,016

				6,353,669

Household Products — 0.8%
Church & Dwight Co., Inc.		10,500		915,915
Clorox Co. (The)(a)		5,400		1,090,368
Colgate-Palmolive Co.		37,000		3,163,870
Essity AB (Sweden) (Class B Stock)		1,153		37,123
Henkel AG & Co. KGaA (Germany)		198		19,100
Kimberly-Clark Corp.		14,800		1,995,484
Procter & Gamble Co. (The)		106,625		14,835,802
Reckitt Benckiser Group PLC (United Kingdom)		1,407		126,207
Unicharm Corp. (Japan)		700		33,195

				22,217,064

Independent Power & Renewable Electricity Producers — 0.0%
AES Corp. (The)		26,400		620,400
Electric Power Development Co. Ltd. (Japan)		4,500		62,090

				682,490

Industrial Conglomerates — 0.6%
3M Co.		24,900		4,352,271
CK Hutchison Holdings Ltd. (United Kingdom)		5,000		34,876
DCC PLC (United Kingdom)		628		44,487
General Electric Co.		373,330		4,031,964
Honeywell International, Inc.		30,212		6,426,092
Roper Technologies, Inc.		4,520		1,948,527
Siemens AG (Germany)		173		25,293

				16,863,510

Insurance — 0.9%
Admiral Group PLC (United Kingdom)		350		13,906
Aflac, Inc.		27,400		1,218,478
Ageas SA/NV (Belgium)		4,320		230,445
AIA Group Ltd. (Hong Kong)		7,000		86,200
Allianz SE (Germany)		809		198,592
Allstate Corp. (The)		13,000		1,429,090
American International Group, Inc.		36,539		1,383,367
Aon PLC (Class A Stock)(a)		10,000		2,112,700
Arthur J. Gallagher & Co.		8,300		1,026,793
Assicurazioni Generali SpA (Italy)		5,221		91,161


COMMON STOCKS (continued)	Shares		Value
Insurance (cont’d.)
Assurant, Inc.		2,500	$	340,550
Aviva PLC (United Kingdom)		28,010		125,071
AXA SA (France)		1,450		34,967
Chubb Ltd.		19,486		2,999,285
Cincinnati Financial Corp.		6,437		562,401
CNP Assurances (France)*		1,739		28,292
Everest Re Group Ltd.		1,840		430,726
Gjensidige Forsikring ASA (Norway)		705		15,853
Globe Life, Inc.		4,325		410,702
Hartford Financial Services Group, Inc. (The)		15,000		734,700
Japan Post Holdings Co. Ltd. (Japan)		1,100		8,571
Japan Post Insurance Co. Ltd. (Japan)		9,100		186,718
Lincoln National Corp.		6,818		343,014
Loews Corp.		9,775		440,071
Marsh & McLennan Cos., Inc.		21,700		2,538,900
MetLife, Inc.		32,150		1,509,443
NN Group NV (Netherlands)		6,032		262,997
Poste Italiane SpA (Italy), 144A		1,854		18,902
Principal Financial Group, Inc.		10,900		540,749
Progressive Corp. (The)		25,300		2,501,664
Sampo OYJ (Finland) (Class A Stock)		905		38,302
Sompo Holdings, Inc. (Japan)		600		24,266
Swiss Life Holding AG (Switzerland)		178		83,286
T&D Holdings, Inc. (Japan)		2,000		23,643
Travelers Cos., Inc. (The)		10,935		1,534,946
Tryg A/S (Denmark)		434		13,605
Unum Group		6,610		151,633
W.R. Berkley Corp.		5,700		378,594
Willis Towers Watson PLC		5,640		1,188,235
Zurich Insurance Group AG (Switzerland)		289		122,527

				25,383,345

Interactive Media & Services — 2.8%
Alphabet, Inc. (Class A Stock)*		12,990		22,766,793
Alphabet, Inc. (Class C Stock)*		12,503		21,903,756
Facebook, Inc. (Class A Stock)*		103,330		28,225,623
REA Group Ltd. (Australia)		100		11,546
SEEK Ltd. (Australia)		651		14,395
Twitter, Inc.*		33,900		1,835,685

				74,757,798

Internet & Direct Marketing Retail — 2.5%
Amazon.com, Inc.*		18,330		59,699,527
Booking Holdings, Inc.*		1,820		4,053,631
eBay, Inc.		27,700		1,391,925
Etsy, Inc.*		4,900		871,759
Expedia Group, Inc.		6,150		814,260
HelloFresh SE (Germany)*		136		10,526
Prosus NV (China)*		985		107,286
Zalando SE (Germany), 144A*		282		31,803
ZOZO, Inc. (Japan)		400		9,873

				66,990,590

IT Services — 2.8%
Accenture PLC (Class A Stock)		27,300		7,131,033
Adyen NV (Netherlands), 144A*		37		86,331

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
IT Services (cont’d.)
Afterpay Ltd. (Australia)*		675	$	62,059
Akamai Technologies, Inc.*(a)		7,000		734,930
Atos SE (France)*		335		30,401
Automatic Data Processing, Inc.		18,600		3,277,320
Bechtle AG (Germany)		126		27,576
Broadridge Financial Solutions, Inc.		5,000		766,000
Capgemini SE (France)		319		49,675
Cognizant Technology Solutions Corp. (Class A Stock)		22,700		1,860,265
Computershare Ltd. (Australia)		969		10,948
DXC Technology Co.		10,928		281,396
Fidelity National Information Services, Inc.		26,800		3,791,128
Fiserv, Inc.*		24,000		2,732,640
FleetCor Technologies, Inc.*		3,600		982,188
Fujitsu Ltd. (Japan)		1,900		274,934
Gartner, Inc.*		3,900		624,741
Global Payments, Inc.		12,977		2,795,505
GMO Payment Gateway, Inc. (Japan)		100		13,413
International Business Machines Corp.		38,500		4,846,380
Jack Henry & Associates, Inc.		3,500		566,965
Leidos Holdings, Inc.		5,700		599,184
Mastercard, Inc. (Class A Stock)		37,800		13,492,332
NEC Corp. (Japan)		500		26,838
Nomura Research Institute Ltd. (Japan)		2,100		75,150
Obic Co. Ltd. (Japan)		100		20,100
Paychex, Inc.		13,800		1,285,884
PayPal Holdings, Inc.*		50,200		11,756,840
VeriSign, Inc.*		4,300		930,520
Visa, Inc. (Class A Stock)(a)		72,800		15,923,544
Western Union Co. (The)		17,610		386,364

				75,442,584

Leisure Products — 0.0%
Hasbro, Inc.		5,700		533,178
Shimano, Inc. (Japan)		300		70,090

				603,268

Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		13,314		1,577,576
Bio-Rad Laboratories, Inc. (Class A Stock)*		1,000		582,940
Illumina, Inc.*		6,300		2,331,000
IQVIA Holdings, Inc.*		8,300		1,487,111
Mettler-Toledo International, Inc.*		1,100		1,253,648
PerkinElmer, Inc.		4,900		703,150
Sartorius Stedim Biotech (France)		55		19,661
Thermo Fisher Scientific, Inc.		17,040		7,936,891
Waters Corp.*		2,800		692,776

				16,584,753

Machinery — 0.9%
Amada Co. Ltd. (Japan)		1,200		13,186
Atlas Copco AB (Sweden) (Class B Stock)		754		33,677
Caterpillar, Inc.		23,400		4,259,268
Cummins, Inc.		6,400		1,453,440
Deere & Co.		13,580		3,653,699


COMMON STOCKS (continued)	Shares		Value
Machinery (cont’d.)
Dover Corp.		6,400	$	808,000
Epiroc AB (Sweden) (Class A Stock)		7,936		143,576
Epiroc AB (Sweden) (Class B Stock)		1,360		22,882
FANUC Corp. (Japan)		400		98,703
Flowserve Corp.		5,500		202,675
Fortive Corp.		14,250		1,009,185
GEA Group AG (Germany)		561		20,142
IDEX Corp.		3,210		639,432
Illinois Tool Works, Inc.		12,500		2,548,500
Ingersoll Rand, Inc.*		14,600		665,176
Knorr-Bremse AG (Germany)		168		22,968
Kone OYJ (Finland) (Class B Stock)		1,346		109,328
Kubota Corp. (Japan)		1,900		41,499
Kurita Water Industries Ltd. (Japan)		1,100		42,109
Makita Corp. (Japan)		400		20,041
MINEBEA MITSUMI, Inc. (Japan)		700		13,904
Nabtesco Corp. (Japan)		400		17,582
Otis Worldwide Corp.		17,601		1,188,948
PACCAR, Inc.		14,943		1,289,282
Parker-Hannifin Corp.		5,565		1,515,962
Pentair PLC		6,577		349,173
Schindler Holding AG (Switzerland)		71		19,371
SKF AB (Sweden) (Class B Stock)		750		19,491
SMC Corp. (Japan)		100		61,087
Snap-on, Inc.		2,400		410,736
Spirax-Sarco Engineering PLC (United Kingdom)		141		21,860
Stanley Black & Decker, Inc.		6,897		1,231,528
Techtronic Industries Co. Ltd. (Hong Kong)		12,000		171,835
Volvo AB (Sweden) (Class B Stock)*		2,897		68,271
Westinghouse Air Brake Technologies Corp.		7,951		582,013
Xylem, Inc.		7,800		793,962

				23,562,491

Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		6		12,469
AP Moller - Maersk A/S (Denmark) (Class B Stock)		44		98,578
Kuehne + Nagel International AG (Switzerland)		102		23,444

				134,491

Media — 0.7%
Charter Communications, Inc. (Class A Stock)*		6,340		4,194,227
Comcast Corp. (Class A Stock)		195,780		10,258,872
Discovery, Inc. (Class A Stock)*(a)		6,000		180,540
Discovery, Inc. (Class C Stock)*		11,300		295,947
DISH Network Corp. (Class A Stock)*		9,017		291,610
Fox Corp. (Class A Stock)		14,200		413,504
Fox Corp. (Class B Stock)		6,633		191,561
Interpublic Group of Cos., Inc. (The)		16,431		386,457
News Corp. (Class A Stock)		16,175		290,665
News Corp. (Class B Stock)		4,800		85,296
Omnicom Group, Inc.		9,300		580,041
Publicis Groupe SA (France)		420		21,010

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Media (cont’d.)
ViacomCBS, Inc. (Class B Stock)(a)		23,830	$	887,906
WPP PLC (United Kingdom)		8,318		90,735

				18,168,371

Metals & Mining — 0.2%
Anglo American PLC (South Africa)		2,413		80,368
Antofagasta PLC (Chile)		750		14,739
ArcelorMittal SA (Luxembourg)*		1,355		31,720
BHP Group Ltd. (Australia)		5,616		183,529
BHP Group PLC (Australia)		11,455		301,927
BlueScope Steel Ltd. (Australia)		987		13,279
Boliden AB (Sweden)		2,553		90,812
Fortescue Metals Group Ltd. (Australia)		17,179		311,541
Freeport-McMoRan, Inc.		60,888		1,584,306
Newcrest Mining Ltd. (Australia)		1,513		29,957
Newmont Corp.		34,700		2,078,183
Norsk Hydro ASA (Norway)		2,565		11,928
Nucor Corp.		12,900		686,151
Rio Tinto Ltd. (Australia)		705		62,177
Rio Tinto PLC (Australia)		5,305		397,929
Sumitomo Metal Mining Co. Ltd. (Japan)		400		17,850

				5,896,396

Multiline Retail — 0.3%
Dollar General Corp.		10,500		2,208,150
Dollar Tree, Inc.*		10,265		1,109,031
Next PLC (United Kingdom)*		246		23,911
Target Corp.		21,500		3,795,395
Wesfarmers Ltd. (Australia)		5,196		202,416

				7,338,903

Multi-Utilities — 0.4%
AGL Energy Ltd. (Australia)		2,317		21,368
Ameren Corp.		10,700		835,242
CenterPoint Energy, Inc.		22,500		486,900
CMS Energy Corp.		12,300		750,423
Consolidated Edison, Inc.		14,300		1,033,461
Dominion Energy, Inc.		35,015		2,633,128
DTE Energy Co.		8,300		1,007,703
NiSource, Inc.		15,200		348,688
Public Service Enterprise Group, Inc.		21,500		1,253,450
Sempra Energy		12,519		1,595,046
WEC Energy Group, Inc.		13,613		1,252,804

				11,218,213

Oil, Gas & Consumable Fuels — 1.1%
Apache Corp.		13,914		197,440
Cabot Oil & Gas Corp.		17,000		276,760
Chevron Corp.		82,522		6,968,983
Concho Resources, Inc.		7,700		449,295
ConocoPhillips		45,077		1,802,629
Devon Energy Corp.		13,500		213,435
Diamondback Energy, Inc.		6,800		329,120
ENEOS Holdings, Inc. (Japan)		10,800		38,692
EOG Resources, Inc.		24,800		1,236,776
Equinor ASA (Norway)		3,481		58,598
Exxon Mobil Corp.		181,299		7,473,145


COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels (cont’d.)
Hess Corp.		11,300	$	596,527
HollyFrontier Corp.		5,400		139,590
Inpex Corp. (Japan)		1,900		10,258
Kinder Morgan, Inc.		81,898		1,119,546
Koninklijke Vopak NV (Netherlands)		256		13,508
Lundin Energy AB (Sweden)		5,203		140,955
Marathon Oil Corp.		28,782		191,976
Marathon Petroleum Corp.		27,619		1,142,322
Neste OYJ (Finland)		1,415		102,457
Occidental Petroleum Corp.		33,704		583,416
OMV AG (Austria)		6,338		256,067
ONEOK, Inc.		17,500		671,650
Origin Energy Ltd. (Australia)		3,423		12,564
Phillips 66		18,638		1,303,542
Pioneer Natural Resources Co.		6,950		791,535
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		7,908		139,747
Santos Ltd. (Australia)		3,381		16,398
TOTAL SE (France)		4,821		208,014
Valero Energy Corp.		17,500		989,975
Washington H Soul Pattinson & Co. Ltd. (Australia)		3,510		81,629
Williams Cos., Inc. (The)		50,300		1,008,515

				28,565,064

Paper & Forest Products — 0.0%
Mondi PLC (United Kingdom)		938		22,148

Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		9,800		2,608,662
L’Oreal SA (France)		351		133,485
Unilever PLC (United Kingdom)		7,451		448,832

				3,190,979

Pharmaceuticals — 2.1%
Astellas Pharma, Inc. (Japan)		3,400		52,529
AstraZeneca PLC (United Kingdom)		825		83,497
Bayer AG (Germany)		832		49,174
Bristol-Myers Squibb Co.		97,370		6,039,861
Catalent, Inc.*		7,000		728,490
Chugai Pharmaceutical Co. Ltd. (Japan)		3,300		176,336
Eli Lilly & Co.		34,300		5,791,212
GlaxoSmithKline PLC (United Kingdom)		20,929		384,894
Hikma Pharmaceuticals PLC (Jordan)		512		17,668
Johnson & Johnson		113,158		17,808,806
Merck & Co., Inc.		108,533		8,877,999
Novartis AG (Switzerland)		5,936		561,512
Novo Nordisk A/S (Denmark) (Class B Stock)		6,084		422,424
Ono Pharmaceutical Co. Ltd. (Japan)		1,400		42,190
Orion OYJ (Finland) (Class B Stock)		2,255		103,530
Otsuka Holdings Co. Ltd. (Japan)		3,300		141,280
Perrigo Co. PLC		5,100		228,072
Pfizer, Inc.		238,870		8,792,805
Roche Holding AG (Switzerland)		1,399		489,662
Sanofi (France)		4,258		411,902

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (cont’d.)
Shionogi & Co. Ltd. (Japan)		500	$	27,341
Viatris, Inc.*		49,686		931,116
Zoetis, Inc.		20,500		3,392,750

				55,555,050

Professional Services — 0.2%
Adecco Group AG (Switzerland)		1,620		108,705
Equifax, Inc.		5,200		1,002,768
Experian PLC (United Kingdom)		5,427		206,169
IHS Markit Ltd.		16,100		1,446,263
Nielsen Holdings PLC		13,200		275,484
Nihon M&A Center, Inc. (Japan)		300		20,100
Persol Holdings Co. Ltd. (Japan)		600		10,832
Randstad NV (Netherlands)*		414		27,149
Robert Half International, Inc.		4,700		293,656
Teleperformance (France)		90		30,059
Verisk Analytics, Inc.		7,000		1,453,130

				4,874,315

Real Estate Management & Development — 0.0%
Aroundtown SA (Germany)		3,861		28,995
CBRE Group, Inc. (Class A Stock)*		14,400		903,168
CK Asset Holdings Ltd. (Hong Kong)		4,500		23,085
Daito Trust Construction Co. Ltd. (Japan)		100		9,348
Deutsche Wohnen SE (Germany)		665		35,597
Henderson Land Development Co. Ltd. (Hong Kong)		6,000		23,439
Mitsubishi Estate Co. Ltd. (Japan)		2,300		36,883
Sino Land Co. Ltd. (Hong Kong)		4,000		5,202
Sumitomo Realty & Development Co. Ltd. (Japan)		600		18,469
Swire Properties Ltd. (Hong Kong)		4,200		12,228
Vonovia SE (Germany)		605		44,309

				1,140,723

Road & Rail — 0.5%
CSX Corp.		33,000		2,994,750
J.B. Hunt Transport Services, Inc.		3,600		491,940
Kansas City Southern		4,000		816,520
Norfolk Southern Corp.		11,100		2,637,471
Old Dominion Freight Line, Inc.		4,265		832,443
Union Pacific Corp.		28,960		6,030,051

				13,803,175

Semiconductors & Semiconductor Equipment — 2.6%
Advanced Micro Devices, Inc.*		50,700		4,649,697
Analog Devices, Inc.		15,958		2,357,475
Applied Materials, Inc.		39,400		3,400,220
ASML Holding NV (Netherlands)		382		187,748
Broadcom, Inc.		17,560		7,688,646
Intel Corp.		176,100		8,773,302
KLA Corp.		6,750		1,747,643
Lam Research Corp.		6,370		3,008,360
Maxim Integrated Products, Inc.		11,500		1,019,475
Microchip Technology, Inc.		11,100		1,533,021
Micron Technology, Inc.*		48,000		3,608,640
NVIDIA Corp.		26,690		13,937,518


COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment (cont’d.)
Qorvo, Inc.*		5,007	$	832,514
QUALCOMM, Inc.		48,600		7,403,724
Renesas Electronics Corp. (Japan)*		1,500		15,794
Skyworks Solutions, Inc.		7,200		1,100,736
STMicroelectronics NV (Switzerland)		5,776		214,231
Teradyne, Inc.		7,400		887,186
Texas Instruments, Inc.		39,600		6,499,548
Tokyo Electron Ltd. (Japan)		900		336,124
Xilinx, Inc.		10,500		1,488,585

				70,690,187

Software — 4.3%
Adobe, Inc.*		20,770		10,387,492
ANSYS, Inc.*		3,700		1,346,060
Autodesk, Inc.*		9,500		2,900,730
Cadence Design Systems, Inc.*		12,100		1,650,803
Check Point Software Technologies Ltd. (Israel)*(a)		1,800		239,238
Citrix Systems, Inc.		5,400		702,540
Fortinet, Inc.*		5,700		846,621
Intuit, Inc.		11,380		4,322,693
Microsoft Corp.		325,020		72,290,949
NortonLifeLock, Inc.		24,178		502,419
Oracle Corp.		81,500		5,272,235
Paycom Software, Inc.*		2,220		1,003,995
salesforce.com, Inc.*		39,350		8,756,556
SAP SE (Germany)		536		71,081
ServiceNow, Inc.*		8,370		4,607,099
Synopsys, Inc.*		6,600		1,710,984
Trend Micro, Inc. (Japan)*		300		17,284
Tyler Technologies, Inc.*		1,750		763,910
Xero Ltd. (New Zealand)*		235		26,777

				117,419,466

Specialty Retail — 1.1%
Advance Auto Parts, Inc.		3,100		488,281
AutoZone, Inc.*		1,000		1,185,440
Best Buy Co., Inc.		9,925		990,416
CarMax, Inc.*(a)		6,900		651,774
Gap, Inc. (The)		7,000		141,330
Home Depot, Inc. (The)		46,350		12,311,487
Industria de Diseno Textil SA (Spain)		249		7,948
JD Sports Fashion PLC (United Kingdom)*		20,566		241,874
Kingfisher PLC (United Kingdom)*		22,998		85,040
L Brands, Inc.		9,106		338,652
Lowe’s Cos., Inc.		31,500		5,056,065
Nitori Holdings Co. Ltd. (Japan)		300		62,872
O’Reilly Automotive, Inc.*		3,200		1,448,224
Ross Stores, Inc.		15,400		1,891,274
Shimamura Co. Ltd. (Japan)		100		10,505
Tiffany&Co.		4,720		620,444
TJX Cos., Inc. (The)		51,800		3,537,422
Tractor Supply Co.		4,900		688,842
Ulta Beauty, Inc.*		2,400		689,184
Yamada Holdings Co. Ltd. (Japan)		2,300		12,236

				30,459,310

SEE NOTES TO FINANCIAL STATEMENTS.

A10



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Shares		Value

COMMON STOCKS (continued)
Technology Hardware, Storage & Peripherals — 3.5%
Apple, Inc.		685,940	$	91,017,379
Brother Industries Ltd. (Japan)		400		8,239
FUJIFILM Holdings Corp. (Japan)		600		31,603
Hewlett Packard Enterprise Co.		51,148		606,104
HP, Inc.		57,148		1,405,269
Logitech International SA (Switzerland)		2,573		252,579
NetApp, Inc.		9,900		655,776
Seagate Technology PLC(a)		9,200		571,872
Western Digital Corp.		12,103		670,385
Xerox Holdings Corp.		5,490		127,313

				95,346,519

Textiles, Apparel & Luxury Goods — 0.4%
Hanesbrands, Inc.		12,500		182,250
LVMH Moet Hennessy Louis Vuitton SE (France)		414		258,448
NIKE, Inc. (Class B Stock)		53,800		7,611,086
Pandora A/S (Denmark)		319		35,853
PVH Corp.		2,800		262,892
Ralph Lauren Corp.		1,800		186,732
Swatch Group AG (The) (Switzerland)		77		4,074
Tapestry, Inc.		10,900		338,772
Under Armour, Inc. (Class A Stock)*		7,500		128,775
Under Armour, Inc. (Class C Stock)*		7,374		109,725
VF Corp.		13,800		1,178,658

				10,297,265

Tobacco — 0.4%
Altria Group, Inc.		79,000		3,239,000
British American Tobacco PLC (United Kingdom)		10,470		389,403
Imperial Brands PLC (United Kingdom)		4,124		87,044
Japan Tobacco, Inc. (Japan)		12,300		250,551
Philip Morris International, Inc.		66,700		5,522,093
Swedish Match AB (Sweden)		315		24,470

				9,512,561

Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		860		40,368
Brenntag AG (Germany)		3,236		251,327
Bunzl PLC (United Kingdom)		1,184		39,579
Fastenal Co.		24,800		1,210,984
Ferguson PLC		2,136		260,083
ITOCHU Corp. (Japan)		2,500		71,933
Marubeni Corp. (Japan)		9,400		62,654
Mitsubishi Corp. (Japan)		2,500		61,670
Mitsui & Co. Ltd. (Japan)		13,000		238,408
MonotaRO Co. Ltd. (Japan)		200		10,186
United Rentals, Inc.*		3,300		765,303
W.W. Grainger, Inc.		2,040		833,013

				3,845,508

Water Utilities — 0.1%
American Water Works Co., Inc.		7,900		1,212,413

Wireless Telecommunication Services — 0.2%
KDDI Corp. (Japan)		3,300		98,098
SoftBank Corp. (Japan)		18,200		227,908
SoftBank Group Corp. (Japan)		3,000		234,925


	Shares		Value

COMMON STOCKS (continued)
Wireless Telecommunication Services (cont’d.)
T-Mobile US, Inc.*		25,100	$	3,384,735
Vodafone Group PLC (United Kingdom)		52,345		86,587

				4,032,253

TOTAL COMMON STOCKS
(cost $356,539,551)				1,389,024,052

EXCHANGE-TRADED FUNDS — 0.4%
iShares Core S&P 500 ETF(a)		27,350		10,266,916
iShares MSCI EAFE ETF		1,659		121,041

TOTAL EXCHANGE-TRADED FUNDS
(cost $6,845,066)				10,387,957

PREFERRED STOCKS — 0.0%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		75		5,038
Volkswagen AG (Germany) (PRFC)		366		68,555

				73,593

Banks — 0.0%
Citigroup Capital XIII, 6.638%, Maturing 10/30/40		20,000		570,000

Capital Markets — 0.0%
State Street Corp. 5.350%, Series G(rr)		30,000		868,800

Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		797		89,805

TOTAL PREFERRED STOCKS
(cost $1,380,391)				1,602,198


Interest Rate	Maturity Date		Principal Amount (000)#

ASSET-BACKED SECURITIES — 6.9%
Automobiles — 1.9%
AmeriCredit Automobile Receivables Trust,
Series 2018-01, Class C
3.500%		01/18/24		1,200	1,243,160
Series 2019-01, Class B
3.130%		02/18/25		600	621,000
Series 2019-01, Class C
3.360%		02/18/25		700	737,130
Series 2019-02, Class C
2.740%		04/18/25		1,400	1,458,182
Series 2019-03, Class C
2.320%		07/18/25		2,300	2,382,785
Series 2020-02, Class C
1.480%		02/18/26		400	405,412
Series 2020-03, Class C
1.060%		08/18/26		700	702,943
Avis Budget Rental Car Funding AESOP LLC,
Series 2018-02A, Class A, 144A
4.000%		03/20/25		1,100	1,191,839
Series 2019-02A, Class A, 144A
3.350%		09/22/25		2,000	2,135,451

SEE NOTES TO FINANCIAL STATEMENTS.

A11



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Automobiles (cont’d.)
Series 2019-03A, Class A, 144A
2.360%		03/20/26			2,700	$	2,815,087
Series 2020-01A, Class A, 144A
2.330%		08/20/26			1,300		1,341,603
Ford Auto Securitization Trust (Canada),
Series 2019-BA, Class A2, 144A
2.321%		10/15/23	CAD		1,551		1,233,790
Ford Credit Auto Owner Trust,
Series 2018-01, Class A, 144A
3.190%		07/15/31			2,700		2,966,941
Series 2018-02, Class A, 144A
3.470%		01/15/30			2,200		2,359,051
Series 2019-01, Class A, 144A
3.520%		07/15/30			3,300		3,599,011
Series 2020-01, Class A, 144A
2.040%		08/15/31			2,500		2,635,541
Series 2020-02, Class A, 144A
1.060%		04/15/33			4,400		4,442,148
Ford Credit Floorplan Master Owner Trust,
Series 2017-03, Class A
2.480%		09/15/24			1,400		1,451,117
Series 2018-02, Class A
3.170%		03/15/25			8,200		8,692,483
GM Financial Consumer Automobile Receivables Trust,
Series 2018-04, Class C
3.620%		06/17/24			300		315,449
OneMain Direct Auto Receivables Trust,
Series 2018-01A, Class A, 144A
3.430%		12/16/24			2,261		2,283,422
Series 2019-01A, Class A, 144A
3.630%		09/14/27			3,600		3,953,109
Santander Drive Auto Receivables Trust,
Series 2020-02, Class C
1.460%		09/15/25			600		607,956
Series 2020-03, Class C
1.120%		01/15/26			1,800		1,814,357
Series 2020-04, Class C
1.010%		01/15/26			1,100		1,104,792

							52,493,759

Collateralized Loan Obligations — 3.2%
Anchorage Capital CLO Ltd. (Cayman Islands),
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)
1.606%(c)		07/22/32			2,500		2,499,635
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
1.517%(c)		07/15/29			500		499,412
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
1.487%(c)		07/15/29			1,000		999,466
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%)
1.038%(c)		01/17/28			840		835,182

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

Canyon Capital CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.487%(c)

04/15/29

2,500

2,499,995

CBAM Ltd. (Cayman Islands),

Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%)

1.578%(c)

10/20/32

4,000

4,006,001

CIFC Funding Ltd. (Cayman Islands),

Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

1.418%(c)

10/17/31

7,000

6,979,417

Galaxy CLO Ltd. (Cayman Islands),

Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% (Cap N/A, Floor 0.000%)

1.011%(c)

11/15/26

664

662,203

Greenwood Park CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%)

1.247%(c)

04/15/31

1,000

995,081

HPS Loan Management Ltd. (Cayman Islands),

Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)

1.536%(c)

07/22/32

2,500

2,508,344

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)

1.225%(c)

02/05/31

248

247,074

ICG US CLO Ltd. (Cayman Islands),

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

1.358%(c)

10/19/28

7,000

6,993,085

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)

1.489%(c)

10/23/29

1,250

1,249,996

Jamestown CLO Ltd. (Cayman Islands),

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

1.688%(c)

04/20/32

4,750

4,747,275

Jefferson Mill CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%)

1.393%(c)

10/20/31

4,237

4,211,307

MidOcean Credit CLO (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%)

1.329%(c)

04/21/31

3,468

3,443,334

Mountain View CLO Ltd. (Cayman Islands),

Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%)

1.357%(c)

07/15/31

2,500

2,487,571

Ocean Trails CLO Ltd. (Cayman Islands),

Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.618%(c)

04/17/30

1,750

1,746,168

OCP CLO Ltd. (Cayman Islands),

Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)

1.548%(c)

07/20/32

7,000

7,003,269

SEE NOTES TO FINANCIAL STATEMENTS.

A12



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

OZLM Ltd. (Cayman Islands),

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

1.298%(c)

04/17/31

2,956

2,942,606

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.464%(c)

10/30/30

742

740,046

Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%)

1.608%(c)

07/20/32

2,500

2,496,336

Palmer Square CLO Ltd. (Cayman Islands),

Series 2015-02A, Class A1R2, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)

1.318%(c)

07/20/30

5,000

4,994,406

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

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)

1.441%(c)

11/14/29

500

499,148

Telos CLO Ltd. (Cayman Islands),

Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%)

1.518%(c)

07/17/26

693

693,340

TIAA CLO Ltd. (Cayman Islands),

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 0.000%)

1.418%(c)

07/20/31

1,750

1,749,378

Trimaran Cavu Ltd. (Cayman Islands),

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)

1.678%(c)

07/20/32

7,500

7,489,054

Trinitas CLO Ltd. (Cayman Islands),

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)

1.425%(c)

01/25/31

1,750

1,744,377

Venture CLO Ltd. (Cayman Islands),

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)

1.117%(c)

07/15/27

731

730,324

Wellfleet CLO Ltd. (Cayman Islands),

Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)

1.368%(c)

01/17/31

2,000

1,988,343

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

1.418%(c)

10/20/31

3,750

3,731,204

York CLO Ltd. (Cayman Islands),

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.566%(c)

07/22/32

2,000

2,006,458

Zais CLO Ltd. (Cayman Islands),

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%)

1.607%(c)

07/15/29

1,214

1,204,193

87,623,028


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Consumer Loans — 0.2%
OneMain Financial Issuance Trust,
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%)
0.954%(c)		09/14/32		488	$	488,710
Series 2020-01A, Class A, 144A
3.840%		05/14/32		800		843,740
Series 2020-02A, Class A, 144A
1.750%		09/14/35		1,400		1,425,095
Oportun Funding LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,100		1,117,702
Series 2018-D, Class A, 144A
4.150%		12/09/24		800		813,935

						4,689,182

Equipment — 0.2%
MMAF Equipment Finance LLC,
Series 2017-B, Class A5, 144A
2.720%		06/15/40		2,100		2,164,920
Series 2018-A, Class A5, 144A
3.610%		03/10/42		500		536,595
Series 2019-A, Class A5, 144A
3.080%		11/12/41		1,600		1,717,345
Series 2019-B, Class A5, 144A
2.290%		11/12/41		1,600		1,698,026

						6,116,886

Home Equity Loans — 0.0%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.650%)
1.798%(c)		03/25/33		54		55,052
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%)
1.048%(c)		07/25/32		7		7,086

						62,138

Other — 0.2%
Sierra Timeshare Receivables Funding LLC,
Series 2018-02A, Class A, 144A
3.500%		06/20/35		671		696,590
Series 2019-02A, Class A, 144A
2.590%		05/20/36		1,042		1,076,517
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%)
2.948%(c)		06/25/24		2,240		2,164,784

						3,937,891

Residential Mortgage-Backed Securities — 0.4%
Countrywide Asset-Backed Certificates,
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%)
0.898%(c)		03/25/34		370		368,594

SEE NOTES TO FINANCIAL STATEMENTS.

A13



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (cont’d.)
Credit Suisse Mortgage Trust,
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		975	$	978,427
Series 2020-11R, Class 1A1, 144A
2.303%		04/25/38^		1,605		1,605,000
Legacy Mortgage Asset Trust,
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		148		148,857
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		915		919,267
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54		91		92,345
Long Beach Mortgage Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.795%)
0.943%(c)		06/25/34		143		139,530
Mill City Mortgage Loan Trust,
Series 2017-03, Class A1, 144A
2.750%(cc)		01/25/61		937		960,995
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		04/16/23		EUR 1,740		1,913,103
Towd Point Mortgage Trust,
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%)
0.748%(c)		02/25/57		1,448		1,443,164
Series 2020-04, Class A1, 144A
1.750%		10/25/60		976		998,153

						9,567,435

Student Loans — 0.8%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		1,034		1,060,709
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		778		807,651
Series 2018-CGS, Class A1, 144A
3.870%		02/25/46		254		262,497
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		625		636,332
Series 2018-B, Class A2FX, 144A
3.540%		05/26/43		1,065		1,089,621
Series 2019-A, Class A2FX, 144A
2.730%		10/25/48		730		747,327
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		2,137		2,179,418
Series 2018-CA, Class A2, 144A
3.520%		06/16/42		927		944,763
Series 2019-CA, Class A2, 144A
3.130%		02/15/68		1,400		1,442,403
Series 2019-EA, Class A2A, 144A
2.640%		05/15/68		1,500		1,546,209
Series 2020-BA, Class A2, 144A
2.120%		01/15/69		1,100		1,129,596


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Student Loans (cont’d.)
SoFi Professional Loan Program LLC,
Series 2019-A, Class A2FX, 144A
3.690%		06/15/48		2,600	$	2,709,839
Series 2019-B, Class A2FX, 144A
3.090%		08/17/48		1,400		1,446,625
Series 2019-C, Class A2FX, 144A
2.370%		11/16/48		1,629		1,692,289
SoFi Professional Loan Program Trust,
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		1,930		1,986,077
Series 2020-A, Class A2FX, 144A
2.540%		05/15/46		1,700		1,756,573

						21,437,929

TOTAL ASSET-BACKED SECURITIES (cost $182,492,601)						185,928,248


COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.8%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		3,100		3,295,378
Barclays Commercial Mortgage Securities Trust,
Series 2018-C02, Class A4
4.047%		12/15/51		3,850		4,475,968
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		3,600		4,106,933
CFCRE Commercial Mortgage Trust,
Series 2016-C04, Class A3
3.014%		05/10/58		2,500		2,679,123
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47		974		1,028,398
Series 2016-C01, Class A3
2.944%		05/10/49		2,700		2,891,606
Series 2017-P07, Class A3
3.442%		04/14/50		4,000		4,503,940
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		590		588,299
Series 2014-CR18, Class A4
3.550%		07/15/47		1,998		2,165,070
Series 2014-LC17, Class A4
3.648%		10/10/47		5,000		5,410,790
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		2,483		2,723,218
Series 2017-C08, Class A3
3.127%		06/15/50		3,800		4,107,280
Fannie Mae-Aces,
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		684		731,374
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.345%(cc)		05/25/22		17,824		262,819
Series K021, Class X1, IO
1.404%(cc)		06/25/22		5,064		74,798

SEE NOTES TO FINANCIAL STATEMENTS.

A14



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K055, Class X1, IO
1.362%(cc)		03/25/26		4,535	$	278,781
Series K064, Class AM
3.327%(cc)		03/25/27		4,200		4,786,535
Series K068, Class AM
3.315%		08/25/27		4,100		4,701,354
Series K069, Class AM
3.248%(cc)		09/25/27		750		854,919
Series K070, Class AM
3.364%		12/25/27		1,100		1,271,500
Series K075, Class AM
3.650%(cc)		02/25/28		2,550		2,996,898
Series K076, Class A2
3.900%		04/25/28		6,200		7,409,162
Series K076, Class AM
3.900%		04/25/28		1,825		2,160,582
Series K077, Class AM
3.850%(cc)		05/25/28		690		821,982
Series K080, Class AM
3.986%(cc)		07/25/28		5,150		6,169,593
Series K081, Class AM
3.900%(cc)		08/25/28		2,600		3,114,550
Series K086, Class AM
3.919%(cc)		12/25/28		800		960,228
Series K157, Class A2
3.990%(cc)		05/25/33		3,100		3,811,582
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,630		1,826,021
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		3,000		3,207,220
Series 2015-GC34, Class A3
3.244%		10/10/48		4,715		5,026,648
Series 2016-GS03, Class A3
2.592%		10/10/49		4,200		4,482,292
Series 2016-GS04, Class A3
3.178%		11/10/49		4,000		4,335,102
Series 2020-GSA02, Class A4
1.721%		12/12/53		4,150		4,185,338
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		656		698,346
Series 2015-C27, Class A3A1
2.920%		02/15/48		4,326		4,649,080
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP06, Class A3
3.109%		07/15/50		5,581		5,866,247
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		2,500		2,663,673
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46		498		518,403
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,081		1,119,941


Interest Rate	Maturity Date			Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust,
Series 2015-UBS08, Class A3
3.540%		12/15/48			5,000	$	5,408,896
Series 2016-UB11, Class A3
2.531%		08/15/49			6,300		6,686,976
Series 2019-H06, Class A3
3.158%		06/15/52			5,000		5,556,809
Series 2019-H07, Class A2
2.492%		07/15/52			9,400		9,841,926
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50			2,500		2,736,201
Series 2017-C05, Class A4
3.212%		11/15/50			5,000		5,521,839
Series 2018-C09, Class A3
3.854%		03/15/51			1,800		2,020,408
Series 2018-C14, Class A3
4.180%		12/15/51			2,900		3,391,013
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45			1,400		1,435,058
Series 2013-C05, Class A3
2.920%		03/10/46			577		591,401
Series 2013-C06, Class A3
2.971%		04/10/46			1,455		1,507,621
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49			4,500		4,832,253
Series 2017-C38, Class A4
3.190%		07/15/50			3,300		3,677,123
Series 2019-C49, Class A3
3.749%		03/15/52			7,300		8,118,764
Series 2020-C58, Class A3
1.810%		07/15/53			5,000		5,104,982

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $168,191,978)							183,392,241


CORPORATE BONDS — 11.9%
Aerospace & Defense — 0.2%
Boeing Co. (The),
Sr. Unsec’d. Notes
3.750%		02/01/50			1,470		1,538,950
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25			551		584,484
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23	(a)		765		814,878
Raytheon Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			910		1,084,627

							4,022,939

SEE NOTES TO FINANCIAL STATEMENTS.

A15



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Agriculture — 0.2%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			2,685	$	2,906,870
Vector Group Ltd.,
Sr. Sec’d. Notes, 144A
6.125%		02/01/25			1,000		1,016,269

							3,923,139

Airlines — 0.2%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28			1,916		1,795,465
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22			10		10,000
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			287		287,591
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26			264		266,449
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			183		187,717
Southwest Airlines Co.,
Sr. Unsec’d. Notes
2.625%		02/10/30	(a)		1,765		1,800,800

							4,348,022

Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
0.631%(c)		04/12/21			355		355,309
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.350%		05/04/21			1,455		1,469,129
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46			665		695,082
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			515		516,337
3.350%		11/01/22			2,845		2,888,569
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			740		997,944
6.600%		04/01/36			585		794,665
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
1.080%(c)		04/09/21			820		820,635
Gtd. Notes
3.550%		04/09/21			620		624,611
3.950%		04/13/24			1,700		1,853,468
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			2,300		2,301,755

							13,317,504


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks — 3.1%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
1.344%(c)		04/12/23			400	$	403,307
Sr. Unsec’d. Notes
3.848%		04/12/23			800		858,101
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		275		319,513
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,145		1,206,951
Sr. Unsec’d. Notes, MTN
1.898%(ff)		07/23/31			1,805		1,825,575
2.496%(ff)		02/13/31			5,165		5,478,583
3.194%(ff)		07/23/30			1,050		1,174,478
3.824%(ff)		01/20/28			615		705,963
Sub. Notes, MTN
4.000%		01/22/25			1,700		1,910,353
4.200%		08/26/24			745		834,041
4.450%		03/03/26			4,790		5,585,143
Bank of America NA,
Sub. Notes
6.000%		10/15/36			805		1,203,793
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			610		673,486
3.684%		01/10/23			320		329,754
4.375%		01/12/26			323		372,432
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			705		847,226
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
2.219%(ff)		06/09/26			1,650		1,726,826
Citigroup, Inc.,
Jr. Sub. Notes, Series Q, 3 Month LIBOR + 4.095%
4.316%(c)		—	(a)(rr)		1,590		1,588,927
Jr. Sub. Notes, Series V
4.700%(ff)		—	(rr)		1,675		1,720,990
Sr. Unsec’d. Notes
3.200%		10/21/26			670		748,811
3.700%		01/12/26			1,610		1,830,479
3.887%(ff)		01/10/28			560		643,340
8.125%		07/15/39			365		653,062
Sub. Notes
4.450%		09/29/27			1,485		1,752,853
4.750%		05/18/46			440		582,668
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
2.193%(ff)		06/05/26			1,100		1,149,016
4.282%		01/09/28			980		1,135,050
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes
2.129%(ff)		11/24/26			460		470,744
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,240		1,250,310
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			1,350		1,411,165

SEE NOTES TO FINANCIAL STATEMENTS.

A16



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (cont’d.)
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			595	$	685,397
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922%
4.128%(c)		—	(rr)		1,800		1,793,190
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		560		615,560
Sr. Unsec’d. Notes
3.750%		02/25/26			1,165		1,324,498
3.814%(ff)		04/23/29			440		509,052
3.850%		01/26/27			2,625		2,998,157
Sub. Notes
6.750%		10/01/37			225		342,110
ING Groep NV (Netherlands),
Sr. Unsec’d. Notes
3.550%		04/09/24			400		436,813
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series FF
5.000%(ff)		—	(rr)		540		567,241
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
3.684%(c)		—	(rr)		979		974,160
Jr. Sub. Notes, Series II
4.000%(ff)		—	(rr)		230		230,581
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,175		1,286,613
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			270		310,094
3.964%(ff)		11/15/48			2,240		2,813,194
4.005%(ff)		04/23/29			1,360		1,594,759
Sub. Notes
3.875%		09/10/24			3,525		3,945,436
Morgan Stanley,
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610%
3.847%(c)		—	(a)(rr)		640		635,177
Sr. Unsec’d. Notes
4.375%		01/22/47	(a)		930		1,262,461
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			610		653,921
3.772%(ff)		01/24/29			1,295		1,499,268
3.875%		01/27/26			550		630,363
4.431%(ff)		01/23/30			455		554,416
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,030		1,175,253
Sub. Notes, GMTN
4.350%		09/08/26			3,050		3,589,781
Natwest Group PLC (United Kingdom),
Sr. Unsec’d. Notes
4.445%(ff)		05/08/30			1,570		1,868,461
Societe Generale SA (France),
Sr. Unsec’d. Notes, 144A
1.488%(ff)		12/14/26			3,200		3,228,835
State Bank of India (India),
Sr. Unsec’d. Notes, 144A
4.375%		01/24/24			1,255		1,358,565


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (cont’d.)
UBS Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
1.364%(ff)		01/30/27			2,250	$	2,275,821
Wells Fargo & Co.,
Sr. Unsec’d. Notes, MTN
2.572%(ff)		02/11/31			2,895		3,071,201

							82,623,318

Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.700%		02/01/36			1,220		1,546,357

Biotechnology — 0.0%
Regeneron Pharmaceuticals, Inc.,
Sr. Unsec’d. Notes
2.800%		09/15/50			395		382,400

Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		01/15/28			300		316,707

Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,160		1,186,045
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			740		936,917
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			2,675		2,700,802
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41			350		463,796
9.400%		05/15/39			30		53,677
LYB International Finance BV,
Gtd. Notes
5.250%		07/15/43			620		807,314
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24			875		913,546
Sasol Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			600		638,495
6.500%		09/27/28			405		438,871

							8,139,463

Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			875		1,081,972
7.000%		10/15/37	(a)		390		603,519
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			735		786,876
5.250%		01/15/30			265		295,163

SEE NOTES TO FINANCIAL STATEMENTS.

A17



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Commercial Services (cont’d.)
5.875%		09/15/26			150	$	158,749

							2,926,279

Diversified Financial Services — 0.1%
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			445		487,478
Charles Schwab Corp. (The),
Jr. Sub. Notes, Series H
4.000%(ff)		—	(rr)		1,080		1,133,747
Discover Financial Services,
Sr. Unsec’d. Notes,
3.850%		11/21/22			900		957,609
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			465		642,293
Private Export Funding Corp.,
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25			255		282,372

							3,503,499

Electric — 1.4%
Arizona Public Service Co.,
Sr. Unsec’d. Notes
3.750%		05/15/46			910		1,108,766
Avista Corp.,
First Mortgage
4.350%		06/01/48			845		1,074,574
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			530		802,732
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37			335		483,057
CenterPoint Energy Houston Electric LLC,
General Ref. Mortgage, Series K2
6.950%		03/15/33			300		446,978
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series 09-C
5.500%		12/01/39			145		200,427
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,470		2,491,517
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48			1,075		1,407,141
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38			530		793,195
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			845		1,165,449
Enel Finance International NV (Italy),
Gtd. Notes, 144A
4.625%		09/14/25			1,545		1,797,632


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (cont’d.)
Engie Energia Chile SA (Chile),
Sr. Unsec’d. Notes, 144A
3.400%		01/28/30			400	$	433,609
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22			2,397		2,493,025
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,375		1,658,008
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33	(a)		380		549,191
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			140		188,889
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28			2,105		2,442,735
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			575		663,873
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24			1,560		1,679,454
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,035		1,267,875
NRG Energy, Inc.,
Sr. Sec’d. Notes, 144A
2.000%		12/02/25			225		233,109
2.450%		12/02/27			970		1,018,030
Ohio Power Co.,
Sr. Unsec’d. Notes
4.000%		06/01/49			465		580,509
PECO Energy Co.,
First Mortgage
2.800%		06/15/50			785		833,994
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			980		1,145,003
5.000%		03/15/44			495		637,550
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21			1,260		1,271,583
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			675		749,595
3.700%		05/01/28			850		986,964
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			515		745,610
Public Service Enterprise Group, Inc.,
Sr. Unsec’d. Notes
1.600%		08/15/30	(a)		1,235		1,217,433
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,010		1,264,502

SEE NOTES TO FINANCIAL STATEMENTS.

A18



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (cont’d.)
Southern California Edison Co.,
First Ref. Mortgage
4.000%		04/01/47			350	$	411,156
First Ref. Mortgage, Series C
3.600%		02/01/45			690		760,217
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			495		527,297
Sr. Sec’d. Notes, 144A
3.550%		07/15/24			1,475		1,595,716
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		613,146

							37,739,541

Electronics — 0.0%
Roper Technologies, Inc.,
Sr. Unsec’d. Notes
1.400%		09/15/27			1,185		1,200,486

Engineering & Construction — 0.1%
AECOM,
Gtd. Notes
5.125%		03/15/27			1,000		1,111,434
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
5.500%		07/31/47			1,350		1,414,031

							2,525,465

Foods — 0.1%
Kraft Heinz Foods Co.,
Gtd. Notes, 144A
4.875%		10/01/49	(a)		1,030		1,195,358
Mars, Inc.,
Gtd. Notes, 144A
3.950%		04/01/49			1,120		1,431,685
Sr. Unsec’d. Notes, 144A
2.375%		07/16/40			535		547,913

							3,174,956

Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,270		1,835,576

Gas — 0.2%
Eastern Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.600%		12/15/44			45		56,680
NiSource, Inc.,
Sr. Unsec’d. Notes
1.700%		02/15/31			835		829,783
3.490%		05/15/27	(a)		2,355		2,669,614
Piedmont Natural Gas Co., Inc.,
Sr. Unsec’d. Notes
3.500%		06/01/29			2,090		2,390,891

							5,946,968


Interest Rate	Maturity Date				Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Healthcare-Products — 0.1%
Abbott Laboratories,
Sr. Unsec’d. Notes
4.900%		11/30/46				720	$	1,061,689
DH Europe Finance II Sarl,
Gtd. Notes
1.350%		09/18/39		EUR		1,125		1,478,589
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31		EUR		200		278,206
2.250%		03/07/39		EUR		300		454,328

								3,272,812

Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36				480		712,057
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42				330		430,254
HCA, Inc.,
Gtd. Notes
5.875%		02/01/29				575		692,356
Sr. Sec’d. Notes
5.125%		06/15/39				665		849,770
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47				670		868,026
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22				160		164,780
MEDNAX, Inc.,
Gtd. Notes, 144A
5.250%		12/01/23	(a)			725		734,338
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45				340		426,483

								4,878,064

Home Builders — 0.0%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27				405		458,693
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%		03/01/24				600		644,698

								1,103,391

Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.700%		04/01/26				2,010		2,216,059

Insurance — 0.2%
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
3.951%		10/15/50				1,125		1,341,667

SEE NOTES TO FINANCIAL STATEMENTS.

A19



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Insurance (cont’d.)
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		701	$	969,340
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		165		204,372
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		650		1,004,770
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		105		135,033
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,430		1,783,983
6.850%		12/16/39		122		190,780

						5,629,945

Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22		805		827,367

Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,060		1,093,222

Media — 0.5%
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
4.800%		03/01/50		870		1,033,051
6.384%		10/23/35		1,695		2,321,448
6.484%		10/23/45		1,000		1,418,706
Comcast Cable Holdings LLC,
Gtd. Notes
9.875%		06/15/22		1,440		1,617,173
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28		1,455		1,745,064
Discovery Communications LLC,
Gtd. Notes, 144A
4.000%		09/15/55		823		916,382
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		270		347,355
ViacomCBS, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		1,340		1,741,063
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		850		893,684
Walt Disney Co. (The),
Gtd. Notes
7.625%		11/30/28		515		724,317

						12,758,243


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Miscellaneous Manufacturing — 0.1%
Amsted Industries, Inc.,
Gtd. Notes, 144A
5.625%		07/01/27			800	$	849,650
Pentair Finance Sarl,
Gtd. Notes
4.500%		07/01/29			2,415		2,866,937

							3,716,587

Multi-National — 0.0%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			480		485,355
2.750%		01/06/23	(a)		385		399,073
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22			226		232,486

							1,116,914

Oil & Gas — 0.6%
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25			950		891,849
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			850		996,491
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
2.875%		09/30/29			800		834,240
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			150		203,923
Continental Resources, Inc.,
Gtd. Notes
4.500%		04/15/23	(a)		430		443,393
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			225		274,544
Gazprom PJSC Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22			255		268,913
6.510%		03/07/22			440		466,934
Helmerich & Payne, Inc.,
Sr. Unsec’d. Notes
4.650%		03/15/25			1,555		1,726,819
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25			400		455,953
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			595		834,065
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
4.264%(s)		10/10/36			1,000		460,569
6.450%		09/15/36			1,040		1,084,031
Ovintiv Exploration, Inc.,
Gtd. Notes
5.750%		01/30/22			80		83,026

SEE NOTES TO FINANCIAL STATEMENTS.

A20



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
Ovintiv, Inc.,
Gtd. Notes
6.500%		02/01/38			240	$	267,621
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.093%		01/15/30	(a)		577		645,204
5.750%		02/01/29			610		711,111
6.900%		03/19/49			600		764,136
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.500%		01/21/21			205		205,368
6.350%		02/12/48			458		413,677
6.490%		01/23/27			346		364,919
6.500%		03/13/27			230		242,493
7.690%		01/23/50			1,682		1,699,055
Gtd. Notes, MTN
6.750%		09/21/47			561		525,415
6.875%		08/04/26			770		840,839
Sinopec Group Overseas Development 2018 Ltd. (China),
Gtd. Notes, 144A
3.680%		08/08/49			990		1,112,029
Valero Energy Corp.,
Sr. Unsec’d. Notes
4.000%		04/01/29	(a)		580		651,655

							17,468,272

Oil & Gas Services — 0.0%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25			139		157,967

Packaging & Containers — 0.0%
WestRock RKT LLC,
Gtd. Notes
4.900%		03/01/22			675		710,114

Pharmaceuticals — 0.8%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			950		1,059,000
4.250%		11/21/49			1,480		1,859,164
4.500%		05/14/35			1,595		2,005,044
4.550%		03/15/35			1,770		2,239,281
4.700%		05/14/45			855		1,113,651
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A
4.250%		12/15/25			1,150		1,315,631
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24			372		411,889
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes
4.125%		06/15/39			280		358,281
4.250%		10/26/49			1,285		1,730,020
5.000%		08/15/45			745		1,072,822
Cigna Corp.,
Gtd. Notes
4.375%		10/15/28			1,870		2,256,892


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pharmaceuticals (cont’d.)
Sr. Unsec’d. Notes
3.200%		03/15/40			530	$	581,512
CVS Health Corp.,
Sr. Unsec’d. Notes
2.700%		08/21/40			500		506,374
4.780%		03/25/38			210		265,169
5.125%		07/20/45			991		1,327,962
5.300%		12/05/43			185		249,601
Johnson & Johnson,
Sr. Unsec’d. Notes
2.100%		09/01/40			2,515		2,534,962
Viatris, Inc.,
Gtd. Notes, 144A
3.850%		06/22/40			1,230		1,380,815

							22,268,070

Pipelines — 0.7%
Energy Transfer Operating LP,
Gtd. Notes
4.950%		06/15/28			795		914,931
5.000%		05/15/50	(a)		990		1,069,216
6.125%		12/15/45			120		141,647
Energy Transfer Partners LP/Regency Energy Finance Corp.,
Gtd. Notes
5.000%		10/01/22			610		647,191
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25	(a)		1,055		1,181,859
Kinder Morgan, Inc.,
Gtd. Notes
3.250%		08/01/50	(a)		1,575		1,577,301
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25			1,140		1,270,067
4.700%		04/15/48			750		887,414
4.875%		06/01/25	(a)		2,275		2,627,647
5.200%		03/01/47			25		30,767
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			130		163,769
ONEOK, Inc.,
Gtd. Notes
3.100%		03/15/30	(a)		3,495		3,710,475
4.500%		03/15/50			245		259,683
4.950%		07/13/47			640		714,612
Western Midstream Operating LP,
Sr. Unsec’d. Notes
4.000%		07/01/22			1,315		1,350,988
5.300%		03/01/48			80		79,208
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48			230		282,646
4.900%		01/15/45			1,100		1,308,530

							18,217,951

SEE NOTES TO FINANCIAL STATEMENTS.

A21



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Real Estate Investment Trusts (REITs) — 0.3%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			725	$	832,397
Kimco Realty Corp.,
Sr. Unsec’d. Notes
2.700%		10/01/30	(a)		2,420		2,608,924
MPT Operating Partnership LP/MPT Finance Corp.,
Gtd. Notes
3.500%		03/15/31			750		774,487
Prologis LP,
Sr. Unsec’d. Notes
1.250%		10/15/30			2,385		2,360,111
Realty Income Corp.,
Sr. Unsec’d. Notes
3.250%		01/15/31			2,250		2,553,742

							9,129,661

Retail — 0.3%
AutoZone, Inc.,
Sr. Unsec’d. Notes
3.750%		04/18/29			1,820		2,095,564
Dollar Tree, Inc.,
Sr. Unsec’d. Notes
4.000%		05/15/25			3,395		3,832,127
L Brands, Inc.,
Gtd. Notes
5.625%		10/15/23			500		539,297
Macy’s Retail Holdings LLC,
Gtd. Notes
3.875%		01/15/22			168		166,676
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,020		1,052,482

							7,686,146

Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,195		1,252,465

Semiconductors — 0.2%
Broadcom, Inc.,
Gtd. Notes
3.459%		09/15/26			667		739,878
4.750%		04/15/29			3,650		4,362,786

							5,102,664

Software — 0.1%
Activision Blizzard, Inc.,
Sr. Unsec’d. Notes
2.500%		09/15/50			935		906,142
Microsoft Corp.,
Sr. Unsec’d. Notes
2.675%		06/01/60			360		390,553


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Software (cont’d.)
ServiceNow, Inc.,
Sr. Unsec’d. Notes
1.400%		09/01/30		1,425	$	1,389,657

						2,686,352

Telecommunications — 0.8%
AT&T, Inc.,
Sr. Unsec’d. Notes
3.100%		02/01/43		1,070		1,085,474
4.300%		02/15/30		490		585,376
4.500%		05/15/35		225		272,482
Sr. Unsec’d. Notes, 144A
2.550%		12/01/33		1,371		1,409,466
3.500%		09/15/53		4,437		4,457,069
3.650%		09/15/59		4		4,027
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30		350		578,901
CenturyLink, Inc.,
Sr. Sec’d. Notes, 144A
4.000%		02/15/27		785		801,640
Level 3 Financing, Inc.,
Gtd. Notes
5.375%		01/15/24		1,000		1,010,254
Sr. Sec’d. Notes, 144A
3.400%		03/01/27		250		271,383
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23		263		264,924
T-Mobile USA, Inc.,
Sr. Sec’d. Notes, 144A
3.875%		04/15/30		5,500		6,362,532
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
2.650%		11/20/40		1,095		1,106,707
4.016%		12/03/29		1,365		1,619,356
4.500%		08/10/33		865		1,090,547
4.862%		08/21/46		615		825,365

						21,745,503

Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		735		997,625
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		690		1,021,350
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		120		143,109

						2,162,084

TOTAL CORPORATE BONDS (cost $290,131,450)						322,672,472

SEE NOTES TO FINANCIAL STATEMENTS.

A22



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

MUNICIPAL BONDS — 0.6%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs, Series B
4.263%		09/15/32		180	$	212,584

California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
2.574%		04/01/31		415		447,092
6.263%		04/01/49		1,305		2,252,965
State of California,
General Obligation, BABs
7.300%		10/01/39		1,250		2,066,312
7.500%		04/01/34		350		583,230
7.625%		03/01/40		205		360,743

						5,710,342

Colorado — 0.0%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, Series B, BABs
5.844%		11/01/50		565		939,849

Illinois — 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		970		1,440,906
State of Illinois,
General Obligation
5.100%		06/01/33		200		213,628
General Obligation, Series D, BABs
5.000%		11/01/22		2,305		2,448,532

						4,103,066

New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, BABs
7.414%		01/01/40		1,000		1,677,310

New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,100		1,470,216

Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, BABs
4.910%		06/01/40		415		574,879
Ohio Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		275		330,074

						904,953

Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, BABs
5.834%		11/15/34		425		617,138

Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		505		751,076

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

MUNICIPAL BONDS (continued)

Virginia — 0.0%

University of Virginia,

Revenue Bonds, Taxable, Series C

4.179%

09/01/2117

355

475,910

TOTAL MUNICIPAL BONDS
(cost $12,034,211)

16,862,444

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.2%

Alternative Loan Trust,

Series 2004-18CB, Class 3A1

5.250%

09/25/35

19,866

Banc of America Mortgage Trust,

Series 2005-A, Class 2A1

3.672%(cc)

02/25/35

81,014

Bellemeade Re Ltd. (Bermuda),

Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)

1.748%(c)

04/25/28

86,859

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)

1.748%(c)

08/25/28

188

188,546

Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)

2.798%(c)

06/25/30

298

298,580

Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%)

3.548%(c)

06/25/30

160

161,643

Series 2020-04A, Class M2A, 144A, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%)

2.750%(c)

06/25/30

305

305,204

BVRT Financing Trust,

Series 2019-01, Class F, 144A

2.299%

09/15/21^

2,945

2,924,181

Central Park Funding Trust,

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

1.655%(c)

11/01/23

3,500

3,499,999

Chase Mortgage Finance Trust,

Series 2007-A01, Class 1A5

3.195%(cc)

02/25/37

149

147,488

CIM Trust,

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%)

2.155%(c)

01/25/57

1,563

1,574,159

Series 2017-06, Class A1, 144A

3.015%(cc)

06/25/57

1,651

1,652,585

Credit Suisse Mortgage Trust,

Series 2018-RPL09, Class A, 144A

3.850%(cc)

09/25/57

876

944,785

FHLMC REMICS,

Series 4535, Class PA

3.000%

03/15/44

740

771,685

FHLMC Structured Agency Credit Risk Debt Notes,

Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)

0.898%(c)

03/25/30

479

479,719

SEE NOTES TO FINANCIAL STATEMENTS.

A23



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%)

2.682%(c)

11/25/50

2,095

2,108,032

FHLMC Structured Agency Credit Risk REMIC Trust,

Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%)

3.748%(c)

07/25/50

1,080

1,087,473

Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%)

5.398%(c)

09/25/50

155

161,565

FHLMC Structured Agency Credit Risk Trust,

Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)

0.898%(c)

09/25/48

2,362

Home Re Ltd. (Bermuda),

Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%)

1.798%(c)

05/25/29

116

114,714

JPMorgan Mortgage Trust,

Series 2007-A01, Class 4A1

2.956%(cc)

07/25/35

57,353

LSTAR Securities Investment Trust,

Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%)

1.655%(c)

04/01/24

107

107,052

Mello Warehouse Securitization Trust,

Series 2020-01, Class A, 144A, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%)

1.048%(c)

10/25/53

1,260

1,260,527

Mortgage Repurchase Agreement Financing Trust,

Series 2020-03, Class A1, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)

1.399%(c)

01/23/23

400

400,295

Series 2020-04, Class A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.499%(c)

04/23/23

380

380,013

Series 2020-04, Class A2, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.499%(c)

04/23/23

735

735,026

Series 2020-05, Class A1, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)

1.149%(c)

08/10/23

1,090

1,090,213

MRA Issuance Trust,

Series 2020-15, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)

1.500%(c)

07/15/21

6,030

6,020,955

New Residential Mortgage Loan Trust,

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

0.898%(c)

01/25/48

332

332,434

Oaktown Re Ltd. (Bermuda),

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)

1.698%(c)

07/25/28

103

103,092

Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.548%(c)

07/25/29

28,737


Interest Rate	Maturity Date			Principal Amount (000)#		Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%)
3.348%(c)		07/25/30			128	$	128,246
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%)
4.898%(c)		07/25/30			600		606,078
PMT Credit Risk Transfer Trust,
Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%)
3.967%(c)		12/25/22			2,450		2,450,169
Seasoned Credit Risk Transfer Trust,
Series 2019-02, Class MA
3.500%		08/25/58			1,278		1,391,933
Station Place Securitization Trust,
Series 2020-10, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
1.643%(c)		05/20/21			320		320,329
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.080%(cc)		02/25/34			113		112,332

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $31,926,141)							32,135,243


SOVEREIGN BONDS — 0.9%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			2,420		2,712,527
Bermuda Government International Bond (Bermuda),
Sr. Unsec’d. Notes, 144A
2.375%		08/20/30			465		488,119
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			220		237,957
4.375%		07/12/21			400		409,024
5.000%		06/15/45			430		525,694
7.375%		09/18/37			450		657,033
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28			745		823,045
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		431,964
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25	EUR		1,200		1,656,437
4.450%		02/11/24			355		393,728
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24			750		861,674
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24	EUR		1,510		1,959,731
4.750%		01/08/26			350		409,214
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
3.375%		10/31/23			200		216,859

SEE NOTES TO FINANCIAL STATEMENTS.

A24



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date				Principal Amount (000)#		Value

SOVEREIGN BONDS (continued)
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		10/25/23				1,000	$	1,044,994
2.625%		04/20/22				1,400		1,440,543
3.000%		03/12/24				200		215,564
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
4.000%		09/22/24				395		437,793
4.500%		04/16/50	(a)			340		437,130
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23				800		860,088
4.817%		03/14/49				200		272,985
5.103%		04/23/48				665		934,864
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125%		03/11/39		EUR		960		1,465,726
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21				980		994,883
2.875%		03/04/23				1,285		1,343,130
4.000%		04/17/25				750		838,485
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22				1,200		1,235,127
3.250%		06/01/23				600		639,262
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55				405		562,568
5.100%		06/18/50	(a)			395		553,359

TOTAL SOVEREIGN BONDS (cost $22,424,958)								25,059,507


U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.1%
Federal Home Loan Bank
5.500%		07/15/36	(k)			850		1,310,616
Federal Home Loan Mortgage Corp.
2.000%		01/01/32				674		707,654
2.500%		03/01/30				381		405,655
3.000%		10/01/28				273		292,297
3.000%		06/01/29				541		578,987
3.000%		01/01/37				163		172,188
3.000%		01/01/40				4,221		4,425,840
3.000%		06/01/42				257		272,257
3.000%		10/01/42				619		657,818
3.000%		01/01/43				572		607,858
3.000%		07/01/43				1,504		1,598,985
3.000%		05/01/50				686		719,644
3.500%		06/01/42				242		260,086
3.500%		01/01/47				517		551,720
3.500%		02/01/47				729		775,075
4.000%		06/01/26				301		320,144
4.000%		09/01/26				106		112,481
4.000%		03/01/38				327		353,801
4.000%		10/01/39				500		550,964
4.000%		09/01/40				677		740,753
4.000%		12/01/40				286		315,040
4.000%		10/01/41				313		345,211


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.000%		01/01/42			96	$	105,132
4.500%		02/01/39			66		74,559
4.500%		09/01/39			102		114,460
4.500%		10/01/39			920		1,032,493
4.500%		12/01/39			88		98,325
4.500%		07/01/41			90		98,072
4.500%		07/01/41			1,505		1,690,875
4.500%		08/01/41			120		130,222
4.500%		08/01/41			183		202,140
4.500%		08/01/41			244		270,236
4.500%		10/01/41			103		111,517
4.500%		12/01/47			235		256,912
4.500%		08/01/48			550		596,462
5.000%		05/01/34			16		18,031
5.000%		05/01/34			198		230,114
5.000%		10/01/35			5		6,088
5.000%		07/01/37			332		385,529
5.000%		05/01/39			45		51,848
5.500%		12/01/33			40		44,766
5.500%		01/01/34			38		44,057
5.500%		06/01/34			73		85,677
5.500%		07/01/34			140		163,726
5.500%		05/01/37			39		46,340
5.500%		02/01/38			305		358,452
5.500%		05/01/38			34		40,530
5.500%		07/01/38			82		95,764
6.000%		03/01/32			134		152,392
6.000%		12/01/33			48		54,100
6.000%		11/01/36			40		46,886
6.000%		01/01/37			37		43,735
6.000%		05/01/37			18		21,124
6.000%		02/01/38			3		3,607
6.000%		08/01/39			48		57,449
6.750%		09/15/29			605		903,306
6.750%		03/15/31	(k)		550		847,037
7.000%		05/01/31			6		6,303
7.000%		06/01/31			12		13,331
7.000%		08/01/31			103		118,744
7.000%		10/01/31			6		6,519
Federal National Mortgage Assoc.
2.000%		TBA			9,500		9,866,999
2.000%		TBA			51,000		52,876,575
2.000%		08/01/31			632		663,778
2.500%		TBA			5,000		5,269,915
2.500%		TBA			6,000		6,312,883
2.500%		01/01/28			532		556,111
2.500%		10/01/43			536		572,715
2.500%		12/01/46			1,101		1,178,071
3.000%		02/01/27			1,034		1,098,995
3.000%		08/01/30			710		747,028
3.000%		11/01/36			1,334		1,395,789
3.000%		04/01/40			405		424,831
3.000%		12/01/42			1,165		1,241,833
3.000%		03/01/43			237		252,580
3.000%		11/01/46			845		891,873
3.000%		01/01/47			1,223		1,280,712
3.000%		02/01/47			1,248		1,312,383
3.000%		03/01/47			634		667,554

SEE NOTES TO FINANCIAL STATEMENTS.

A25



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%		06/01/49		41	$	43,389
3.000%		03/01/50		852		893,045
3.000%		04/01/50		844		884,876
3.000%		04/01/50		1,162		1,217,856
3.000%		05/01/50		525		549,708
3.500%		07/01/31		714		770,933
3.500%		02/01/33		1,752		1,872,099
3.500%		06/01/39		415		449,436
3.500%		01/01/42		2,982		3,220,110
3.500%		05/01/42		1,441		1,548,800
3.500%		07/01/42		655		711,734
3.500%		08/01/42		240		260,486
3.500%		08/01/42		706		762,095
3.500%		09/01/42		395		429,518
3.500%		09/01/42		1,372		1,491,721
3.500%		11/01/42		208		224,707
3.500%		03/01/43		1,963		2,146,437
3.500%		04/01/43		452		491,856
3.500%		04/01/43		602		654,718
3.500%		01/01/46		1,254		1,353,541
3.500%		07/01/46		1,171		1,246,830
3.500%		11/01/46		1,215		1,296,904
3.500%		09/01/47		656		696,536
3.500%		01/01/48		4,606		4,883,919
3.500%		05/01/48		1,193		1,261,662
3.500%		07/01/48		720		762,153
4.000%		10/01/41		1,779		1,945,671
4.000%		09/01/44		1,430		1,560,894
4.000%		10/01/46		359		386,453
4.000%		02/01/47		380		407,904
4.000%		09/01/47		1,100		1,180,413
4.000%		11/01/47		603		664,841
4.000%		11/01/47		1,780		1,913,374
4.500%		07/01/33		40		43,941
4.500%		08/01/33		33		36,416
4.500%		09/01/33		76		83,481
4.500%		10/01/33		6		6,372
4.500%		10/01/33		30		33,644
4.500%		10/01/33		88		97,667
4.500%		01/01/35		1		1,249
4.500%		07/01/39		662		743,345
4.500%		08/01/39		1,010		1,133,475
4.500%		03/01/41		318		355,557
4.500%		11/01/47		2,385		2,606,294
4.500%		01/01/49		481		521,794
5.000%		03/01/34		182		209,737
5.000%		06/01/35		67		77,619
5.000%		07/01/35		89		103,834
5.000%		09/01/35		63		72,937
5.000%		11/01/35		71		82,177
5.000%		02/01/36		83		96,187
5.000%		05/01/36		42		48,416
5.500%		09/01/33		174		202,720
5.500%		10/01/33		67		77,558
5.500%		12/01/33		40		46,306
5.500%		01/01/34		1		1,107
5.500%		12/01/34		142		166,547
5.500%		10/01/35		523		614,833


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%		03/01/36			48		$	54,585
5.500%		05/01/36			113			132,681
5.500%		04/01/37			74			86,820
6.000%		05/01/21			1			1,269
6.000%		08/01/22			12			12,512
6.000%		04/01/33			16			17,865
6.000%		06/01/33			5			5,474
6.000%		10/01/33			214			246,679
6.000%		11/01/33			4			5,266
6.000%		11/01/33			14			15,668
6.000%		11/01/33			44			49,930
6.000%		01/01/34			258			308,753
6.000%		02/01/34			53			63,067
6.000%		03/01/34			27			30,778
6.000%		03/01/34			40			45,685
6.000%		07/01/34			158			189,966
6.000%		08/01/34			1			669
6.000%		10/01/34			3			3,485
6.000%		11/01/34			2			2,760
6.000%		11/01/34			18			20,474
6.000%		01/01/35			52			59,766
6.000%		01/01/35			146			167,376
6.000%		02/01/35			1			1,563
6.000%		02/01/35			72			81,377
6.000%		02/01/35			198			238,145
6.000%		03/01/35			2			2,061
6.000%		04/01/35			1			816
6.000%		07/01/36			30			36,332
6.000%		02/01/37			58			68,822
6.000%		05/01/37			21			25,212
6.000%		06/01/37			—	(r)		562
6.000%		08/01/37			—	(r)		107
6.000%		08/01/37			13			15,249
6.000%		09/01/37			—	(r)		367
6.000%		10/01/37			34			40,097
6.000%		05/01/38			51			60,554
6.000%		06/01/38			2			2,290
6.250%		05/15/29	(a)(k)		610			869,019
6.500%		07/01/32			39			44,761
6.500%		09/01/32			2			1,683
6.500%		09/01/32			49			57,009
6.500%		09/01/32			57			65,941
6.500%		09/01/32			68			77,980
6.500%		04/01/33			76			87,936
6.500%		11/01/33			20			23,739
6.500%		01/01/34			31			35,571
6.500%		09/01/34			58			66,047
6.500%		10/01/34			42			49,345
6.500%		09/01/36			48			55,494
6.500%		10/01/36			18			21,086
6.500%		11/01/36			20			22,817
6.500%		01/01/37			38			42,740
6.500%		01/01/37			100			115,431
6.625%		11/15/30	(k)		800			1,210,605
7.000%		02/01/32			22			25,813
7.000%		05/01/32			12			14,952
7.000%		06/01/32			18			21,163
7.000%		07/01/32			41			48,163

SEE NOTES TO FINANCIAL STATEMENTS.

A26



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.125%		01/15/30	(k)		3,195		$	4,879,774
Government National Mortgage Assoc.
2.000%		12/20/50			1,000			1,046,315
2.500%		TBA			4,000			4,225,471
2.500%		03/20/43			216			230,430
2.500%		12/20/46			478			508,784
3.000%		12/20/44			185			196,750
3.000%		03/15/45			590			619,600
3.000%		11/20/45			569			605,397
3.000%		03/20/46			1,265			1,347,667
3.000%		07/20/46			3,268			3,482,038
3.000%		08/20/46			866			922,931
3.000%		10/20/46			747			796,192
3.000%		11/20/46			447			476,378
3.000%		12/20/46			801			853,117
3.000%		01/20/47			229			243,632
3.000%		04/20/47			980			1,043,572
3.000%		12/20/49			439			459,108
3.500%		12/20/42			933			1,015,606
3.500%		05/20/43			286			312,044
3.500%		04/20/45			1,041			1,117,225
3.500%		07/20/46			4,050			4,373,853
3.500%		07/20/48			3,405			3,640,403
3.500%		11/20/48			1,114			1,182,793
3.500%		06/20/49			5,000			5,301,037
4.000%		06/15/40			54			58,451
4.000%		05/20/41			47			52,499
4.000%		12/20/42			492			544,915
4.000%		08/20/44			209			230,430
4.000%		11/20/45			454			498,212
4.000%		12/20/45			1,222			1,337,394
4.000%		09/20/47			4,173			4,497,643
4.000%		02/20/49			1,818			1,949,649
4.500%		04/15/40			351			390,511
4.500%		01/20/41			357			402,981
4.500%		02/20/41			573			646,194
4.500%		03/20/41			287			320,127
4.500%		06/20/44			425			473,316
4.500%		09/20/46			369			410,862
4.500%		11/20/46			548			610,215
4.500%		03/20/47			326			354,946
4.500%		05/20/48			695			752,238
4.500%		08/20/48			1,203			1,304,024
5.000%		10/20/37			69			78,984
5.000%		04/20/45			453			518,914
5.500%		08/15/33			171			189,565
5.500%		08/15/33			176			195,275
5.500%		09/15/33			38			42,239
5.500%		12/15/33			13			14,011
5.500%		03/15/34			144			161,143
5.500%		12/15/34			262			304,666
5.500%		07/15/35			47			54,201
5.500%		04/15/36			69			77,321
6.000%		11/15/23			—	(r)		139
6.000%		05/15/32			—	(r)		67
6.000%		04/15/33			6			7,645
6.000%		12/15/33			74			82,940
6.000%		01/15/34			20			22,382


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		01/15/34		27		$	31,891
6.000%		01/15/34		45			53,170
6.000%		06/20/34		87			102,160
6.000%		07/15/34		61			73,914
6.500%		10/15/23		1			614
6.500%		12/15/23		2			2,028
6.500%		01/15/24		—	(r)		330
6.500%		01/15/24		—	(r)		485
6.500%		01/15/24		2			2,502
6.500%		01/15/24		7			7,988
6.500%		01/15/24		7			8,270
6.500%		01/15/24		10			11,517
6.500%		01/15/24		14			15,030
6.500%		01/15/24		32			34,988
6.500%		02/15/24		1			1,427
6.500%		02/15/24		3			2,860
6.500%		02/15/24		4			3,901
6.500%		02/15/24		4			4,057
6.500%		02/15/24		4			4,346
6.500%		02/15/24		5			5,255
6.500%		03/15/24		—	(r)		528
6.500%		03/15/24		1			615
6.500%		03/15/24		2			2,533
6.500%		04/15/24		—	(r)		274
6.500%		04/15/24		1			1,080
6.500%		04/15/24		1			1,259
6.500%		04/15/24		1			1,467
6.500%		04/15/24		5			5,340
6.500%		04/15/24		6			7,160
6.500%		05/15/24		3			2,920
6.500%		05/15/24		3			3,007
6.500%		05/15/24		10			11,327
6.500%		10/15/24		9			10,012
6.500%		11/15/28		4			4,599
6.500%		08/15/31		4			4,504
6.500%		12/15/31		10			10,971
6.500%		02/15/32		29			32,142
6.500%		06/15/32		13			14,394
6.500%		07/15/32		35			40,253
6.500%		08/15/32		4			3,977
6.500%		08/15/32		6			6,585
6.500%		08/15/32		7			7,881
6.500%		08/15/32		24			28,049
6.500%		08/15/32		140			165,699
6.500%		08/15/34		24			27,461
6.500%		06/15/35		31			36,176
6.500%		09/15/36		47			56,618
8.000%		01/15/24		5			4,869
8.000%		07/15/24		—	(r)		299
Tennessee Valley Authority, Sr. Unsec’d. Notes
7.125%		05/01/30		510			777,579

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $211,169,350)							219,113,295


U.S. TREASURY OBLIGATIONS — 1.2%
U.S. Treasury Bonds
3.625%		02/15/44		490			693,197
3.750%		11/15/43		490			704,758

SEE NOTES TO FINANCIAL STATEMENTS.

A27



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Notes
0.125%		09/30/22			24,000	$	24,000,000
0.125%		12/15/23			495		494,381
0.375%		11/30/25			1,905		1,907,530
3.125%		11/15/28	(a)		1,650		1,952,672
U.S. Treasury Strips Coupon
2.000%(s)		08/15/39	(k)		360		270,858
2.345%(s)		11/15/43			3,600		2,465,718

TOTAL U.S. TREASURY OBLIGATIONS (cost $32,151,706)							32,489,114

TOTAL LONG-TERM INVESTMENTS (cost $1,315,287,403)							2,418,666,771


				Shares

SHORT-TERM INVESTMENTS — 17.1%

AFFILIATED MUTUAL FUNDS — 17.0%
PGIM Core Ultra Short Bond Fund(w)					386,462,547		386,462,547
PGIM Institutional Money Market Fund (cost $72,863,817; includes $72,854,789 of cash collateral for securities on loan)(b)(w)					73,001,456		72,964,955

TOTAL AFFILIATED MUTUAL FUNDS (cost $459,326,364)							459,427,502


Interest Rate	Maturity Date			Principal Amount (000)#

U.S. TREASURY OBLIGATION(k)(n) — 0.1%
U.S. Treasury Bills
0.075%		03/18/21			2,975		2,974,587

(cost $2,974,526)
TOTAL SHORT-TERM INVESTMENTS (cost $462,300,890)							462,402,089

TOTAL INVESTMENTS — 106.3% (cost $1,777,588,293)							2,881,068,860
Liabilities in excess of other assets(z) — (6.3)%							(171,110,567	)

NET ASSETS — 100.0%						$	2,709,958,293

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

*	Non-income producing security.

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

^	Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $4,529,181 and 0.2% 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 $71,877,819; cash collateral of $72,854,789 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020.

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2020. 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.

(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.

(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)	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 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:

Futures contracts outstanding at December 31, 2020:


Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
192	2 Year U.S. Treasury Notes		Mar. 2021	$	42,427,500	$	36,526
279	5 Year U.S. Treasury Notes		Mar. 2021		35,199,773		22,087
93	10 Year U.S. Ultra Treasury Notes		Mar. 2021		14,541,422		(32,675	)
134	20 Year U.S. Treasury Bonds		Mar. 2021		23,207,125		(169,895	)
334	30 Year U.S. Ultra Treasury Bonds		Mar. 2021		71,329,875		(421,827	)
8	Mini MSCI EAFE Index		Mar. 2021		852,320		11,699

SEE NOTES TO FINANCIAL STATEMENTS.

A28



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Futures contracts outstanding at December 31, 2020 (continued):


Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions (cont’d):
185	S&P 500 E-Mini Index		Mar. 2021	$	34,676,400	$	685,765

							131,680

Short Positions:
23	10 Year Euro-Bund		Mar. 2021		4,991,320		(13,485	)
277	10 Year U.S. Treasury Notes		Mar. 2021		38,247,642		(43,482	)

							(56,967	)

						$	74,713

Forward foreign currency exchange contracts outstanding at December 31, 2020:


Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Canadian Dollar,
Expiring 01/20/21	Morgan Stanley & Co. International PLC		CAD	1,700	$	1,295,332	$	1,335,653	$	—	$	(40,321	)
Euro,
Expiring 01/12/21	Citibank, N.A.		EUR	494		591,841		603,834		—		(11,993	)
Expiring 01/12/21	HSBC Bank USA, N.A.		EUR	6,957		8,266,203		8,501,815		—		(235,612	)

					$	10,153,376	$	10,441,302	$	—	$	(287,926	)

Credit default swap agreement outstanding at December 31, 2020:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2020(4)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
Boeing Co.		12/20/21		1.000%(Q)		2,800		0.723	%	$	8,506	$	14,728	$	(6,222	)	Bank of America, N.A.

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)

SEE NOTES TO FINANCIAL STATEMENTS.

A29



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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.

Interest rate swap agreements outstanding at December 31, 2020:


Notional Amount (000)#	Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2020			Unrealized Appreciation (Depreciation)
Centrally Cleared Interest Rate Swap Agreements:
EUR 790		05/11/39		1.100%(A)	1 Day EONIA(1)(A)	$	(7,175	)	$	(224,642	)	$	(217,467	)
2,120		08/09/49		1.508%(A)	1 Day USOIS(1)(A)		—			(164,197	)		(164,197	)

						$	(7,175	)	$	(388,839	)	$	(381,664	)

(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 December 31, 2020:

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:

Bloomberg Barclays Capital U.S. CMBS (ERISA Only) Index(M)

1 Month LIBOR - 15 bps(M)

Barclays Bank PLC

5/01/21

11,035

79,395

—

79,395

(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 Swap Agreements:


	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	14,728	$	—	$	79,395	$	(6,222	)

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.	$	10,000	$	4,550,021
Goldman Sachs & Co. LLC		—		2,974,587

Total	$	10,000	$	7,524,608

Fair Value Measurements:

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

Level 1—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks	$	1,358,167,232	$	30,856,820	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A30



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1			Level 2			Level 3
Investments in Securities (continued)
Assets (continued)
Exchange-Traded Funds	$	10,387,957		$	—		$	—
Preferred Stocks		1,438,800			163,398			—
Asset-Backed Securities
Automobiles		—			52,493,759			—
Collateralized Loan Obligations		—			87,623,028			—
Consumer Loans		—			4,689,182			—
Equipment		—			6,116,886			—
Home Equity Loans		—			62,138			—
Other		—			3,937,891			—
Residential Mortgage-Backed Securities		—			7,962,435			1,605,000
Student Loans		—			21,437,929			—
Commercial Mortgage-Backed Securities		—			183,392,241			—
Corporate Bonds		—			322,672,472			—
Municipal Bonds		—			16,862,444			—
Residential Mortgage-Backed Securities		—			29,211,062			2,924,181
Sovereign Bonds		—			25,059,507			—
U.S. Government Agency Obligations		—			219,113,295			—
U.S. Treasury Obligations		—			35,463,701			—
Affiliated Mutual Funds		459,427,502			—			—

Total	$	1,829,421,491		$	1,047,118,188		$	4,529,181


Other Financial Instruments*
Assets
Futures Contracts	$	756,077		$	—		$	—
OTC Credit Default Swap Agreement		—			8,506			—
OTC Total Return Swap Agreement		—			79,395			—

Total	$	756,077		$	87,901		$	—


Liabilities
Futures Contracts	$	(681,364	)	$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			(287,926	)		—
Centrally Cleared Interest Rate Swap Agreements		—			(381,664	)		—

Total	$	(681,364	)	$	(669,590	)	$	—

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 December 31, 2020 were as follows (unaudited):


Affiliated Mutual Funds (2.7% represents investments purchased with collateral from securities on loan)	17.0	%
U.S. Government Agency Obligations	8.1
Commercial Mortgage-Backed Securities	6.8
Banks	5.1
Software	4.4
Technology Hardware, Storage & Peripherals	3.5
Collateralized Loan Obligations	3.2
Automobiles	2.9
Pharmaceuticals	2.9
IT Services	2.8
Interactive Media & Services	2.8
Semiconductors & Semiconductor Equipment	2.6
Internet & Direct Marketing Retail	2.5


Health Care Equipment & Supplies	1.9	%
Residential Mortgage-Backed Securities	1.6
Capital Markets	1.4
Electric	1.4
Health Care Providers & Services	1.4
U.S. Treasury Obligations	1.3
Chemicals	1.2
Equity Real Estate Investment Trusts (REITs)	1.2
Entertainment	1.2
Media	1.2
Insurance	1.1
Specialty Retail	1.1
Oil, Gas & Consumable Fuels	1.1
Biotechnology	1.0

SEE NOTES TO FINANCIAL STATEMENTS.

A31



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Industry Classification (continued):
Aerospace & Defense	1.0	%
Sovereign Bonds	0.9
Electric Utilities	0.9
Beverages	0.9
Machinery	0.9
Hotels, Restaurants & Leisure	0.9
Diversified Financial Services	0.8
Household Products	0.8
Telecommunications	0.8
Student Loans	0.8
Diversified Telecommunication Services	0.7
Food & Staples Retailing	0.7
Pipelines	0.7
Oil & Gas	0.6
Industrial Conglomerates	0.6
Municipal Bonds	0.6
Life Sciences Tools & Services	0.6
Food Products	0.5
Road & Rail	0.5
Auto Manufacturers	0.5
Multi-Utilities	0.4
Communications Equipment	0.4
Exchange-Traded Funds	0.4
Textiles, Apparel & Luxury Goods	0.4
Air Freight & Logistics	0.4
Tobacco	0.4
Real Estate Investment Trusts (REITs)	0.3
Electronic Equipment, Instruments & Components	0.3
Retail	0.3
Airlines	0.3
Electrical Equipment	0.3
Consumer Finance	0.3
Multiline Retail	0.3
Building Products	0.2
Household Durables	0.2
Equipment	0.2
Gas	0.2
Metals & Mining	0.2
Commercial Services & Supplies	0.2
Semiconductors	0.2
Healthcare-Services	0.2
Professional Services	0.2
Containers & Packaging	0.2


Consumer Loans	0.2	%
Wireless Telecommunication Services	0.2
Other	0.2
Agriculture	0.2
Trading Companies & Distributors	0.1
Miscellaneous Manufacturing	0.1
Healthcare-Products	0.1
Personal Products	0.1
Foods	0.1
Commercial Services	0.1
Energy Equipment & Services	0.1
Engineering & Construction	0.1
Housewares	0.1
Transportation	0.1
Auto Components	0.1
Construction Materials	0.1
Forest Products & Paper	0.1
Distributors	0.1
Savings & Loans	0.1
Water Utilities	0.1
Electronics	0.0	*
Construction & Engineering	0.0	*
Real Estate Management & Development	0.0	*
Multi-National	0.0	*
Home Builders	0.0	*
Machinery-Diversified	0.0	*
Health Care Technology	0.0	*
Lodging	0.0	*
Packaging & Containers	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Leisure Products	0.0	*
Gas Utilities	0.0	*
Building Materials	0.0	*
Oil & Gas Services	0.0	*
Marine	0.0	*
Home Equity Loans	0.0	*
Paper & Forest Products	0.0	*

	106.3
Liabilities in excess of other assets	(6.3	)

	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 December 31, 2020 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

Premiums paid for OTC swap agreements

14,728

—

SEE NOTES TO FINANCIAL STATEMENTS.

A32



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	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	—	$	—		Unrealized depreciation on OTC swap agreements	$	6,222
Equity contracts	Due from/to broker-variation margin futures		697,464	*	—		—
Foreign exchange contracts	—		—		Unrealized depreciation on OTC forward foreign currency exchange contracts		287,926
Interest rate contracts	Due from/to broker-variation margin futures		58,613	*	Due from/to broker-variation margin futures		681,364	*
Interest rate contracts	—		—		Due from/to broker-variation margin swaps		381,664	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		79,395		—		—

		$	850,200			$	1,357,176

*	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 year ended December 31, 2020 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)			Warrants(1)			Options Purchased(1)			Options Written			Futures			Forward Currency Contracts				Swaps
Credit contracts		$	—		$	—		$	—		$	—		$	—		$	—			$	473,393
Equity contracts			4,546			745			—			—			5,510,976			—				—
Foreign exchange contracts			—			—			—			—			—			(462,902	)			—
Interest rate contracts			—			—			581,135			174,112			8,762,452			—				(11,136,936	)

Total		$	4,546		$	745		$	581,135		$	174,112		$	14,273,428		$	(462,902	)		$	(10,663,543	)

(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)				Futures			Forward Currency Exchange Contracts				Swaps
Credit contracts		$	—			$	—			$	—		$	—			$	198,664
Equity contracts			(11	)			—				213,987			—				—
Foreign exchange contracts			—				—				—			(166,006	)			—
Interest rate contracts			—				(357,380	)			768,878			—				6,054,447

Total		$	(11	)		$	(357,380	)		$	982,865		$	(166,006	)		$	6,253,111

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

For the year ended December 31, 2020, 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)
$74,013	$251,800	$200,817,159	$103,008,520	$4,854,735

SEE NOTES TO FINANCIAL STATEMENTS.

A33



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Forward Foreign

Currency Exchange

Contracts—Sold(3)

Interest Rate

Swap

Agreements(2)

Credit Default

Swap Agreements—

Buy Protection(2)

$14,550,7850

$139,707,920

$12,480,000

Credit Default

Swap Agreements—

Sell Protection(2)

Total Return

Swap

Agreements(2)

$14,064,142

$11,006,922

(1)

Cost.

(2)	Notional Amount in USD.

(3)	Value at Settlement Date.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

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		$	71,877,819		$	(71,877,819	)		$	—

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.		$	14,728		$	(6,222	)		$	8,506			$	(8,506	)		$	—
Barclays Bank PLC			79,395			—				79,395				(10,000	)			69,395
Citibank, N.A.			—			(11,993	)			(11,993	)			—				(11,993	)
HSBC Bank USA, N.A.			—			(235,612	)			(235,612	)			—				(235,612	)
Morgan Stanley & Co. International PLC			—			(40,321	)			(40,321	)			—				(40,321	)

		$	94,123		$	(294,148	)		$	(200,025	)		$	(18,506	)		$	(218,531	)

(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.

A34



		*CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $71,877,819:
Unaffiliated investments (cost $1,318,261,929)	$	2,421,641,358
Affiliated investments (cost $459,326,364)		459,427,502
Foreign currency, at value (cost $319,185)		322,325
Cash		34
Dividends and interest receivable		6,085,334
Due from broker-variation margin futures		519,667
Tax reclaim receivable		302,733
Unrealized appreciation on OTC swap agreements		79,395
Premiums paid for OTC swap agreements		14,728
Deposit with broker for centrally cleared/exchange-traded derivatives		10,000
Receivable for investments sold		9,457
Receivable from affiliate		8,339
Receivable for Portfolio shares sold		326
Prepaid expenses		23,407

Total Assets		2,888,444,605

LIABILITIES
Payable for investments purchased		102,061,324
Payable to broker for collateral for securities on loan		72,854,789
Payable for Portfolio shares purchased		1,484,287
Management fee payable		1,252,007
Accrued expenses and other liabilities		430,522
Unrealized depreciation on OTC forward foreign currency exchange contracts		287,926
Payable to affiliate		90,660
Due to broker-variation margin swaps		13,702
Unrealized depreciation on OTC swap agreements		6,222
Trustees’ fees payable		3,893
Affiliated transfer agent fee payable		980

Total Liabilities		178,486,312

NET ASSETS	$	2,709,958,293

Net assets were comprised of:
Partners’ Equity	$	2,709,958,293

Net asset value and redemption price per share, $2,709,958,293 / 77,460,209 outstanding shares of beneficial interest	$	34.99

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS) INCOME
Interest income	$	28,474,192
Unaffiliated dividend income (net of $179,581 foreign withholding tax, of which $53,243 is reimbursable by an affiliate)		24,025,479
Affiliated dividend income		2,110,405
Income from securities lending, net (including affiliated income of $225,356)		238,085

Total income		54,848,161

EXPENSES
Management fee		13,971,305
Custodian and accounting fees		321,298
Shareholders’ reports		212,683
Audit fee		51,472
Trustees’ fees		41,930
Legal fees and expenses		34,306
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,680
Miscellaneous		64,742

Total expenses		14,708,416

NET INVESTMENT INCOME (LOSS)		40,139,745

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(83,912))		106,715,735
Futures transactions		14,273,428
Forward currency contract transactions		(462,902	)
Options written transactions		174,112
Swap agreements transactions		(10,663,543	)
Foreign currency transactions		29,015

		110,065,845

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $87,449)		122,654,929
Futures		982,865
Forward currency contracts		(166,006	)
Swap agreements		6,253,111
Foreign currencies		11,907

		129,736,806

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		239,802,651

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	279,942,396

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	40,139,745		$	50,692,568
Net realized gain (loss) on investment and foreign currency transactions		110,065,845			92,944,851
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		129,736,806			279,582,716

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		279,942,396			423,220,135

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [401,718 and 246,721 shares, respectively]		12,730,292			7,257,351
Portfolio shares purchased [5,642,700 and 6,977,375 shares, respectively]		(179,703,549	)		(203,275,054	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(166,973,257	)		(196,017,703	)

CAPITAL CONTRIBUTIONS		—			13,184

TOTAL INCREASE (DECREASE)		112,969,139			227,215,616
NET ASSETS:
Beginning of year		2,596,989,154			2,369,773,538

End of year	$	2,709,958,293		$	2,596,989,154

SEE NOTES TO FINANCIAL STATEMENTS.

A35



		*DIVERSIFIED BOND PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

LONG-TERM INVESTMENTS — 99.5%

ASSET-BACKED SECURITIES — 24.5%
Automobiles — 1.2%
AmeriCredit Automobile Receivables Trust,
Series 2020-02, Class D
2.130%		03/18/26		300	$	309,181
Avis Budget Rental Car Funding AESOP LLC,
Series 2019-03A, Class A, 144A
2.360%		03/20/26		1,000		1,042,625
Series 2020-02A, Class A, 144A
2.020%		02/20/27		900		916,864
Chase Auto Credit Linked Notes,
Series 2020-01, Class R, 144A
33.784%		01/25/28		796		1,166,905
Series 2020-02, Class D, 144A
1.487%		02/25/28		1,200		1,201,635
Exeter Automobile Receivables Trust,
Series 2020-03A, Class C
1.320%		07/15/25		300		302,368
Series 2020-03A, Class D
1.730%		07/15/26		200		202,721
Ford Credit Floorplan Master Owner Trust,
Series 2018-04, Class A
4.060%		11/15/30		2,400		2,827,166
Hertz Vehicle Financing II LP,
Series 2019-02A, Class A, 144A
3.420%		05/25/25		434		435,086
Series 2019-03A, Class A, 144A
2.670%		12/26/25		491		491,638
OneMain Direct Auto Receivables Trust,
Series 2019-01A, Class A, 144A
3.630%		09/14/27		3,500		3,843,300
Series 2019-01A, Class B, 144A
3.950%		11/14/28		800		880,551
Santander Drive Auto Receivables Trust,
Series 2020-02, Class D
2.220%		09/15/26		400		411,265
Series 2020-03, Class D
1.640%		11/16/26		1,400		1,420,646

						15,451,951

Collateralized Loan Obligations — 18.4%
Anchorage Capital CLO Ltd. (Cayman Islands),
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)
1.606%(c)		07/22/32		4,000		3,999,416
Anchorage Credit Opportunities CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 1.950%)
2.168%(c)		01/20/32		3,000		2,984,639
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)
1.517%(c)		07/15/29		250		249,706
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
1.490%(c)		07/16/29		493		490,161

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

Atrium (Cayman Islands),

Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%)

1.046%(c)

04/22/27

7,881

7,855,252

Ballyrock CLO Ltd. (Cayman Islands),

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)

1.587%(c)

10/15/28

2,500

2,499,995

Battalion CLO Ltd.,

Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%)

1.292%(c)

05/17/31

3,000

2,985,174

Benefit Street Partners CLO Ltd. (Cayman Islands),

Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.487%(c)

10/15/30

4,500

4,496,928

Series 2019-18A, Class A, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 1.340%)

1.577%(c)

10/15/32

2,500

2,499,995

Brookside Mill CLO Ltd. (Cayman Islands),

Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.568%(c)

01/17/28

2,500

2,482,870

Carlyle US CLO Ltd. (Cayman Islands),

Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%)

1.417%(c)

01/15/30

4,000

3,990,196

Catamaran CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)

1.476%(c)

04/22/30

7,710

7,691,377

CIFC Funding Ltd. (Cayman Islands),

Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% (Cap N/A, Floor 0.980%)

1.195%(c)

04/24/31

1,500

1,490,769

Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%)

1.326%(c)

01/22/31

3,750

3,740,742

Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.000%)

1.088%(c)

04/19/29

5,000

4,972,703

Columbia Cent CLO Ltd. (Cayman Islands),

Series 2020-29A, Class A2, 144A, 3 Month LIBOR + 2.100% (Cap N/A, Floor 2.100%)

2.319%(c)

07/20/31

3,500

3,507,925

Elevation CLO Ltd. (Cayman Islands),

Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% (Cap N/A, Floor 0.000%)

1.467%(c)

10/15/29

7,500

7,491,741

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)

1.457%(c)

07/15/30

5,250

5,231,698

Greenwood Park CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%)

1.247%(c)

04/15/31

6,000

5,970,485

SEE NOTES TO FINANCIAL STATEMENTS.

A36



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

Greywolf CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)

1.245%(c)

04/26/31

3,500

3,488,755

Hayfin Emerald CLO (Ireland),

Series 5A, Class A, 144A, 3 Month EURIBOR + 1.100% (Cap N/A, Floor 1.100%)

1.100%(c)

11/17/32

EUR

10,500

12,834,611

HPS Loan Management Ltd. (Cayman Islands),

Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)

1.536%(c)

07/22/32

4,000

4,013,350

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)

1.225%(c)

02/05/31

3,973

3,953,184

ICG US CLO Ltd. (Cayman Islands),

Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)

1.245%(c)

04/25/31

2,494

2,476,483

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)

1.489%(c)

10/23/29

1,250

1,249,996

Madison Park Funding Ltd. (Cayman Islands),

Series 2016-21A, Class A1AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)

1.587%(c)

10/15/32

1,750

1,749,996

Mariner CLO Ltd. (Cayman Islands),

Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%)

1.325%(c)

04/25/31

5,750

5,728,659

MidOcean Credit CLO (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%)

1.329%(c)

04/21/31

9,662

9,592,145

Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%)

1.374%(c)

02/20/31

4,000

3,996,085

Mountain View CLO LLC (Cayman Islands),

Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)

1.440%(c)

01/16/31

4,000

3,986,463

Mountain View CLO Ltd. (Cayman Islands),

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.474%(c)

10/12/30

7,483

7,469,245

Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%)

1.357%(c)

07/15/31

6,000

5,970,170

OCP CLO Ltd. (Cayman Islands),

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)

1.497%(c)

07/15/30

750

749,999

OZLM Ltd. (Cayman Islands),

Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

1.498%(c)

10/20/31

2,720

2,717,802

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.464%(c)

10/30/30

1,236

1,233,411

Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%)

1.608%(c)

07/20/32

4,000

3,994,138

Romark WM-R Ltd. (Cayman Islands),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)

1.248%(c)

04/20/31

3,958

3,927,154

Shackleton CLO Ltd. (Cayman Islands),

Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)

1.313%(c)

05/07/31

4,955

4,937,866

Sixth Street CLO Ltd. (Cayman Islands),

Series 2020-16A, Class A1A, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)

1.513%(c)

10/20/32

12,500

12,513,596

Sound Point CLO Ltd. (Cayman Islands),

Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%)

1.285%(c)

01/26/31

3,500

3,484,962

Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)

1.438%(c)

10/20/30

5,750

5,742,008

Telos CLO Ltd. (Cayman Islands),

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%)

1.458%(c)

01/17/30

3,470

3,461,750

TICP CLO Ltd. (Cayman Islands),

Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)

1.518%(c)

07/20/27

6,000

5,959,658

Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%)

1.358%(c)

01/20/31

3,000

2,995,603

Trinitas CLO Ltd. (Cayman Islands),

Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)

1.637%(c)

07/15/27

5,000

4,955,668

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)

1.425%(c)

01/25/31

4,000

3,987,147

Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)

1.815%(c)

01/25/31

1,500

1,490,709

Venture CLO Ltd. (Cayman Islands),

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)

1.117%(c)

07/15/27

3,655

3,651,622

Voya CLO Ltd. (Cayman Islands),

Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)

1.447%(c)

10/15/30

7,469

7,465,831

Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%)

1.185%(c)

04/25/31

3,000

2,977,745

SEE NOTES TO FINANCIAL STATEMENTS.

A37



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)
1.368%(c)		01/17/31		6,500	$	6,462,115
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
1.418%(c)		10/20/31		2,750		2,736,217
York CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%)
1.366%(c)		01/22/31		2,000		1,992,092
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%)
1.607%(c)		07/15/29		971		963,355
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%)
1.187%(c)		04/15/29		8,220		8,117,981

						237,659,343

Consumer Loans — 1.7%
Fairstone Financial Issuance Trust (Canada),
Series 2020-01A, Class A, 144A
2.509%		10/20/39	CAD	400		312,378
Lending Funding Trust,
Series 2020-02A, Class A, 144A
2.320%		04/21/31		300		303,827
Lendmark Funding Trust,
Series 2018-02A, Class A, 144A
4.230%		04/20/27		1,600		1,645,095
Series 2019-01A, Class A, 144A
3.000%		12/20/27		2,000		2,059,233
Series 2019-02A, Class A, 144A
2.780%		04/20/28		1,000		1,026,923
Mariner Finance Issuance Trust,
Series 2019-AA, Class A, 144A
2.960%		07/20/32		700		715,591
Series 2020-AA, Class A, 144A
2.190%		08/21/34		500		507,622
OneMain Financial Issuance Trust,
Series 2017-01A, Class B, 144A
2.790%		09/14/32		500		501,855
Series 2017-01A, Class C, 144A
3.350%		09/14/32		500		501,278
Series 2018-01A, Class A, 144A
3.300%		03/14/29		930		939,149
Series 2020-01A, Class A, 144A
3.840%		05/14/32		1,000		1,054,675
Series 2020-02A, Class A, 144A
1.750%		09/14/35		1,800		1,832,265
Oportun Funding IX LLC,
Series 2018-B, Class A, 144A
3.910%		07/08/24		1,200		1,209,204
Series 2018-B, Class C, 144A
5.430%		07/08/24		500		503,805
Oportun Funding VIII LLC,
Series 2018-A, Class A, 144A
3.610%		03/08/24		1,140		1,140,000


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Consumer Loans (cont’d.)
Oportun Funding X LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,400	$	1,422,530
Oportun Funding XII LLC,
Series 2018-D, Class A, 144A
4.150%		12/09/24		1,000		1,017,418
Oportun Funding XIII LLC,
Series 2019-A, Class A, 144A
3.080%		08/08/25		1,400		1,419,012
Series 2019-A, Class D, 144A
6.220%		08/08/25		1,800		1,813,808
PNMAC GMSR Issuer Trust,
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%)
2.998%(c)		02/25/23		1,280		1,258,361
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.798%(c)		08/25/25		1,200		1,158,600

						22,342,629

Credit Cards — 0.4%
Citibank Credit Card Issuance Trust,
Series 2018-A07, Class A7
3.960%		10/13/30		1,900		2,293,734
Newday Partnership Funding PLC (United Kingdom),
Series 2020-01A, Class A3, 144A, 1 Month Sterling Overnight Index Average + 1.400% (Cap N/A, Floor 0.000%)
1.448%(c)		11/15/28	GBP	1,625		2,227,987

						4,521,721

Home Equity Loans — 0.1%
Centex Home Equity Loan Trust,
Series 2004-B, Class AF6
4.686%		03/25/34		23		22,987
Floating Rate Mortgage Pass-Through Certificates,
Series 2001-02, Class M3, 1 Month LIBOR + 2.925% (Cap N/A, Floor 2.925%)
3.073%(c)		10/25/31		199		210,621
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)
1.348%(c)		08/25/35		144		142,879
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%)
1.168%(c)		10/25/33		263		262,374

						638,861

Other — 0.2%
PNMAC FMSR Issuer Trust,
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%)
2.498%(c)		04/25/23		120		116,070

SEE NOTES TO FINANCIAL STATEMENTS.

A38



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Other (cont’d.)
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%)
2.948%(c)		06/25/24		2,250	$	2,174,449

						2,290,519

Residential Mortgage-Backed Securities — 0.7%
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.780%)
0.928%(c)		10/25/34		830		816,677
Credit Suisse Mortgage Trust,
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58		1,108		1,112,169
Legacy Mortgage Asset Trust,
Series 2019-GS01, Class A1, 144A
4.000%		01/25/59		728		739,315
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59		817		818,715
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59		1,331		1,337,115
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54		366		369,381
Merrill Lynch Mortgage Investors Trust,
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520% (Cap N/A, Floor 0.520%)
0.668%(c)		06/25/35		401		396,765
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		04/16/23	EUR	3,578		3,933,484

						9,523,621

Student Loans — 1.8%
Earnest Student Loan Program LLC,
Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)
1.548%(c)		01/25/41		66		65,800
Laurel Road Prime Student Loan Trust,
Series 2018-A, Class A, 144A
0.000%		02/25/43		2,980		1,887,975
Series 2018-C, Class A, 144A
0.000%(cc)		08/25/43		1,848		1,900,563
Series 2018-D, Class A, 144A
0.000%		11/25/43		1,859		1,926,152
Series 2019-A, Class R, 144A
0.000%		10/25/48		3,243		275,621
SoFi Alternative Trust,
Series 2019-B, Class PT, 144A
0.000%		12/15/45		4,363		4,505,142
Series 2019-D, Class 1PT, 144A
2.639%(cc)		01/16/46		3,950		4,078,940
Series 2019-F, Class PT1, 144A
3.932%(cc)		02/15/45		3,639		3,743,947
SoFi RR Funding II Trust,
Series 2019-01, Class A, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.398%(c)		11/29/24		3,305		3,266,035

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Student Loans (cont’d.)

SoFi RR Funding III Trust,

Series 2020-01, Class A, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 3.750%)

3.898%(c)

11/29/24

1,939

1,958,131

23,608,306

TOTAL ASSET-BACKED SECURITIES
(cost $313,424,571)

316,036,951

BANK LOANS — 0.8%

Auto Manufacturers — 0.0%

Navistar, Inc.,

Tranche B Term Loan, 1 Month LIBOR + 3.500%

3.660%(c)

11/06/24

250

249,453

Commercial Services — 0.2%

Financial & Risk Holdings, Inc.,

Initial Dollar Term Loan, 1 Month LIBOR + 3.250%

3.397%(c)

10/01/25

2,967

2,961,403

Foods — 0.2%

Sigma Bidco BV (Netherlands),

Facility B4 Loan, 1 Month GBP LIBOR + 4.000%

4.036%(c)

07/02/25

GBP

1,550

2,068,989

Machinery-Construction & Mining — 0.0%

Vertiv Group Corp.,

Initial Term Loan, 1 Month LIBOR + 3.000%

3.153%(c)

03/02/27

250

248,214

Oil & Gas — 0.1%

Ascent Resources Utica Holdings LLC,

Second Lien Term Loan, 3 Month LIBOR + 9.000%

10.000%(c)

11/01/25

388

420,980

Chesapeake Energy Corp.,

Class A Loan, 3 Month LIBOR + 8.000% (Cap N/A, Floor 1.000%)

9.000%(c)

06/24/24

1,525

1,227,625

1,648,605

Pharmaceuticals — 0.1%

Nidda Healthcare Holding GmbH (Germany),

Term Loan F(GBP), 3 Month GBP LIBOR + 4.500%

4.551%(c)

08/21/26

GBP

1,000

1,334,452

Retail — 0.1%

EG America LLC (United Kingdom),

Second Lien Facility (USD), 3 Month LIBOR + 8.000%

9.000%(c)

04/20/26

565

547,150

EG Finco Ltd. (United Kingdom),

Second Lien Term Loan, 3 Month EURIBOR + 7.750%

8.750%(c)

04/20/26

EUR

374

444,638

991,788

Software — 0.1%

Dun & Bradstreet Corp. (The),

Term Loan B, 1 Month LIBOR + 3.750%

3.898%(c)

02/06/26

773

772,280

TOTAL BANK LOANS
(cost $10,590,303)

10,275,184

SEE NOTES TO FINANCIAL STATEMENTS.

A39



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES — 15.3%
Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A3
2.903%		07/15/49		2,300	$	2,474,569
BANK,
Series 2017-BNK05, Class A4
3.131%		06/15/60		4,400		4,913,107
Series 2017-BNK06, Class A4
3.254%		07/15/60		920		1,024,065
Series 2017-BNK08, Class A3
3.229%		11/15/50		1,950		2,161,081
Series 2019-BN18, Class A3
3.325%		05/15/62		1,500		1,689,552
Series 2020-BN29, Class A3
1.742%		11/15/53		1,000		1,015,573
Barclays Commercial Mortgage Securities Trust,
Series 2016-ETC, Class A, 144A
2.937%		08/14/36		1,170		1,127,166
Series 2016-ETC, Class B, 144A
3.189%		08/14/36		510		463,494
Series 2016-ETC, Class C, 144A
3.391%		08/14/36		430		358,569
Series 2016-ETC, Class D, 144A
3.609%(cc)		08/14/36		1,560		1,201,725
Benchmark Mortgage Trust,
Series 2019-B09, Class A4
3.751%		03/15/52		3,400		3,904,259
Series 2020-B18, Class A4
1.672%		07/15/53		2,900		2,936,704
Series 2020-B21, Class A4
1.704%		12/17/53		1,000		1,013,415
BFLD Trust,
Series 2020-OBRK, Class A, 144A, 1 Month LIBOR + 2.050% (Cap N/A, Floor 2.050%)
2.209%(c)		11/15/28		4,000		3,999,996
BX Commercial Mortgage Trust,
Series 2019-XL, Class G, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%)
2.459%(c)		10/15/36		1,519		1,506,630
Series 2020-BXLP, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%)
2.159%(c)		12/15/36		1,499		1,462,939
Cantor Commercial Real Estate Lending,
Series 2019-CF02, Class A3
2.647%		11/15/52		7,700		8,029,437
CD Mortgage Trust,
Series 2017-CD05, Class A3
3.171%		08/15/50		3,500		3,877,422
CFK Trust,
Series 2020-MF02, Class A, 144A
2.387%		03/15/39		6,550		6,824,154
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class B, 144A
2.778%(cc)		11/10/31		2,400		2,431,006
Series 2016-CLNE, Class C, 144A
2.778%(cc)		11/10/31		900		895,660


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Cold Storage Trust,
Series 2020-ICE05, Class E, 144A, 1 Month LIBOR + 2.766% (Cap N/A, Floor 2.833%)
2.924%(c)		11/15/37		1,350	$	1,346,614
Commercial Mortgage Trust,
Series 2014-UBS04, Class A4
3.420%		08/10/47		3,200		3,400,696
Series 2014-UBS05, Class A4
3.838%		09/10/47		3,600		3,972,785
Series 2015-DC01, Class A4
3.078%		02/10/48		5,000		5,269,163
Series 2015-LC21, Class A4
3.708%		07/10/48		820		917,250
Series 2015-PC01, Class A5
3.902%		07/10/50		730		816,486
Series 2016-COR01, Class A3
2.826%		10/10/49		2,500		2,674,502
Series 2017-COR02, Class A2
3.239%		09/10/50		4,500		5,017,234
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%)
2.309%(c)		05/15/36		2,600		2,584,746
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class A2
3.067%		06/15/52		1,200		1,289,237
DBWF Mortgage Trust,
Series 2016-85T, Class D, 144A
3.808%(cc)		12/10/36		1,400		1,430,202
Deutsche Bank Commercial Mortgage Trust,
Series 2017-C06, Class A4
3.071%		06/10/50		2,800		3,118,953
Eleven Madison Mortgage Trust,
Series 2015-11MD, Class C, 144A
3.555%(cc)		09/10/35		3,000		3,193,898
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.345%(cc)		05/25/22		24,456		360,613
Series K021, Class X1, IO
1.404%(cc)		06/25/22		14,334		211,717
Series K025, Class X1, IO
0.799%(cc)		10/25/22		9,732		111,148
Series K027, Class X1, IO
0.738%(cc)		01/25/23		123,200		1,455,777
Series K044, Class X1, IO
0.732%(cc)		01/25/25		80,056		1,927,692
Series K053, Class X1, IO
0.886%(cc)		12/25/25		87,569		3,400,494
Series K055, Class X1, IO
1.362%(cc)		03/25/26		13,606		836,342
Series KG03, Class X1, IO
1.381%(cc)		06/25/30		29,350		3,107,948
GS Mortgage Securities Trust,
Series 2014-GC18, Class A4
4.074%		01/10/47		10,550		11,441,331
Series 2015-GC30, Class A3
3.119%		05/10/50		2,984		3,207,932

SEE NOTES TO FINANCIAL STATEMENTS.

A40



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2017-GS06, Class A2
3.164%		05/10/50		3,400	$	3,747,716
Series 2019-GC38, Class A3
3.703%		02/10/52		5,800		6,751,570
IMT Trust,
Series 2017-APTS, Class AFX, 144A
3.478%		06/15/34		310		333,078
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		1,070		1,140,052
Series 2017-C05, Class A4
3.414%		03/15/50		1,975		2,182,254
Series 2017-C07, Class A4
3.147%		10/15/50		3,600		3,998,264
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2018-AON, Class E, 144A
4.613%(cc)		07/05/31		5,875		5,960,932
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2016-JP02, Class A3
2.559%		08/15/49		2,863		3,049,279
KKR Industrial Portfolio Trust,
Series 2020-AIP, Class E, 144A, 1 Month LIBOR + 2.626% (Cap N/A, Floor 2.626%)
2.785%(c)		03/15/37		771		761,697
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C05, Class XA, IO, 144A
1.414%(cc)		08/15/45		34,433		537,072
Series 2013-C08, Class A3
2.863%		12/15/48		1,531		1,586,584
Series 2013-C10, Class A3
3.967%(cc)		07/15/46		4,340		4,611,730
Morgan Stanley Capital I Trust,
Series 2017-H01, Class A4
3.259%		06/15/50		2,750		3,066,917
Series 2017-HR02, Class A3
3.330%		12/15/50		5,500		6,152,084
Series 2019-L03, Class A3
2.874%		11/15/52		1,200		1,314,758
Series 2019-MEAD, Class E, 144A
3.177%(cc)		11/10/36		575		450,890
Shops at Crystals Trust,
Series 2016-CSTL, Class A, 144A
3.126%		07/05/36		140		140,138
UBS Commercial Mortgage Trust,
Series 2017-C02, Class A3
3.225%		08/15/50		4,400		4,784,557
Series 2017-C07, Class A3
3.418%		12/15/50		5,600		6,270,163
Series 2018-C10, Class A3
4.048%		05/15/51		2,200		2,542,698
Series 2019-C17, Class A3
2.669%		10/15/52		2,000		2,122,049
Series 2019-C17, Class ASB
2.866%		10/15/52		600		662,243
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C05, Class A3
2.920%		03/10/46		830		850,139


Interest Rate	Maturity Date			Principal Amount (000)#			Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.548%		08/15/50			4,130		$	4,398,310
Series 2016-C32, Class A3
3.294%		01/15/59			2,250			2,439,100
Series 2016-C34, Class A3
2.834%		06/15/49			2,500			2,658,895
Series 2016-C35, Class A3
2.674%		07/15/48			4,600			4,900,145
Series 2017-C40, Class A3
3.317%		10/15/50			1,370			1,492,270
Series 2019-C54, Class A3
2.892%		12/15/52			1,200			1,326,894
Series 2020-C56, Class A4
2.194%		06/15/53			3,600			3,759,548

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $188,176,625)								198,395,309


CORPORATE BONDS — 39.3%
Aerospace & Defense — 0.5%
BAE Systems PLC (United Kingdom),
Sr. Unsec’d. Notes, 144A
1.900%		02/15/31	(a)		2,770			2,797,376
3.400%		04/15/30			385			434,950
Boeing Co. (The),
Sr. Unsec’d. Notes
3.950%		08/01/59			1,450			1,545,706
Raytheon Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			1,115			1,328,966

								6,106,998

Agriculture — 0.4%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
2.259%		03/25/28	(a)		1,530			1,581,461
3.222%		08/15/24			2,810			3,042,199

								4,623,660

Airlines — 0.6%
American Airlines 2016-1 Class AA Pass-Through Trust,
Pass-Through Certificates
3.575%		07/15/29			1,485			1,471,276
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22			—	(r)		189
Continental Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.983%		10/19/23			960			971,089
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			219			219,117
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			680			696,430

SEE NOTES TO FINANCIAL STATEMENTS.

A41



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date				Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Airlines (cont’d.)
Southwest Airlines Co.,
Sr. Unsec’d. Notes
5.125%		06/15/27				3,255	$	3,869,812
United Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.636%		01/02/24				462		464,377

								7,692,290

Apparel — 0.1%
Levi Strauss & Co.,
Sr. Unsec’d. Notes
5.000%		05/01/25				1,500		1,540,966

Auto Manufacturers — 0.9%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A
3.100%		04/12/21				570		574,103
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43				1,125		1,140,212
5.291%		12/08/46				290		303,118
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.350%		11/01/22				3,800		3,858,194
General Motors Co.,
Sr. Unsec’d. Notes
4.875%		10/02/23				1,350		1,498,335
5.150%		04/01/38				1,000		1,198,948
6.250%		10/02/43				1,455		1,962,174
6.600%		04/01/36				210		285,264
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
1.080%(c)		04/09/21				610		610,472
Gtd. Notes
3.550%		04/09/21				460		463,421

								11,894,241

Auto Parts & Equipment — 0.5%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
3.500%		08/15/24		EUR		701		852,277
Adient US LLC,
Sr. Sec’d. Notes, 144A
7.000%		05/15/26				175		190,478
American Axle & Manufacturing, Inc.,
Gtd. Notes
6.500%		04/01/27	(a)			1,225		1,289,235
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625%		11/15/26				1,150		1,060,134
Dana Financing Luxembourg Sarl,
Gtd. Notes, 144A
5.750%		04/15/25	(a)			875		907,762
Dana, Inc.,
Sr. Unsec’d. Notes
5.375%		11/15/27	(a)			350		371,342


Interest Rate	Maturity Date				Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Auto Parts & Equipment (cont’d.)
LKQ Italia Bondco SpA,
Gtd. Notes, 144A
3.875%		04/01/24		EUR		1,275	$	1,682,212

								6,353,440

Banks — 8.5%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
1.344%(c)		04/12/23				400		403,307
Sr. Unsec’d. Notes
3.848%		04/12/23				600		643,575
Sub. Notes
2.749%		12/03/30				1,000		1,031,164
Bank of America Corp.,
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)			1,655		1,744,544
Jr. Sub. Notes, Series MM
4.300%(ff)		—	(rr)			1,575		1,619,330
Sr. Unsec’d. Notes, GMTN
3.593%(ff)		07/21/28				740		840,819
Sr. Unsec’d. Notes, MTN
3.824%(ff)		01/20/28				3,185		3,656,084
3.974%(ff)		02/07/30				685		806,885
4.078%(ff)		04/23/40				2,340		2,868,683
4.125%		01/22/24				3,750		4,162,705
4.271%(ff)		07/23/29				910		1,082,385
Sub. Notes, MTN
4.000%		01/22/25				1,117		1,255,215
4.450%		03/03/26				1,735		2,023,011
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25				700		772,853
3.684%		01/10/23				480		494,632
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29	(a)			475		570,826
Sub. Notes
4.836%		05/09/28				720		832,690
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
1.904%(ff)		09/30/28				2,200		2,240,990
4.400%		08/14/28				420		497,488
Sr. Unsec’d. Notes, 144A, MTN
3.800%		01/10/24	(a)			855		931,818
BPCE SA (France),
Sr. Unsec’d. Notes, 144A, MTN
3.500%		10/23/27				300		336,324
Sub. Notes, 144A, MTN
4.500%		03/15/25				1,120		1,265,170
4.875%		04/01/26	(a)			380		448,429
Citigroup, Inc.,
Jr. Sub. Notes, Series Q, 3 Month LIBOR + 4.095%
4.316%(c)		—	(a)(rr)			1,355		1,354,086
Jr. Sub. Notes, Series V
4.700%(ff)		—	(rr)			1,435		1,474,400
Jr. Sub. Notes, Series W
4.000%(ff)		—	(rr)			880		904,016

SEE NOTES TO FINANCIAL STATEMENTS.

A42



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (cont’d.)
Sr. Unsec’d. Notes
2.666%(ff)		01/29/31			1,225	$	1,312,626
3.200%		10/21/26			3,255		3,637,880
3.887%(ff)		01/10/28			1,710		1,964,485
8.125%		07/15/39			1,060		1,896,564
Sub. Notes
4.450%		09/29/27			2,630		3,104,379
Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, MTN
3.625%		09/09/24			1,050		1,165,911
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290%
1.510%(c)		02/04/21			1,025		1,025,113
Sr. Unsec’d. Notes
4.250%		02/04/21			950		952,465
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			900		907,483
Sr. Unsec’d. Notes, MTN
3.700%		05/30/24			159		171,454
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			1,350		1,411,165
Discover Bank,
Sr. Unsec’d. Notes
3.450%		07/27/26			280		313,577
4.250%		03/13/26			1,150		1,324,718
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922%
4.128%(c)		—	(a)(rr)		1,950		1,942,622
Sr. Unsec’d. Notes
3.272%(ff)		09/29/25			4,063		4,449,210
3.750%		02/25/26			125		142,113
3.814%(ff)		04/23/29			1,060		1,226,353
3.850%		01/26/27			1,765		2,015,903
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
4.583%(ff)		06/19/29			1,000		1,182,703
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series FF
5.000%(ff)		—	(rr)		1,000		1,050,446
Jr. Sub. Notes, Series HH
4.600%(ff)		—	(a)(rr)		400		412,590
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
3.684%(c)		—	(rr)		2,998		2,983,179
Jr. Sub. Notes, Series II
4.000%(ff)		—	(a)(rr)		1,350		1,353,412
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,450		1,587,736
Sr. Unsec’d. Notes
2.525%(ff)		11/19/41			2,330		2,394,786
2.950%		10/01/26			1,740		1,931,531
3.200%		06/15/26			3,020		3,379,264
3.509%(ff)		01/23/29			1,435		1,638,831
3.782%(ff)		02/01/28			965		1,108,298
3.964%(ff)		11/15/48			985		1,237,052
4.005%(ff)		04/23/29			1,200		1,407,140
Sub. Notes
4.250%		10/01/27	(a)		420		497,798


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (cont’d.)
Morgan Stanley,
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610%
3.847%(c)		—	(a)(rr)		975	$	967,652
Sr. Unsec’d. Notes
4.375%		01/22/47			895		1,214,949
Sr. Unsec’d. Notes, GMTN
3.772%(ff)		01/24/29	(a)		1,875		2,170,754
4.431%(ff)		01/23/30			1,340		1,632,786
Sr. Unsec’d. Notes, MTN
1.794%(ff)		02/13/32			915		920,297
3.125%		07/27/26			2,725		3,051,340
Sub. Notes, GMTN
4.350%		09/08/26			750		882,733
PNC Financial Services Group, Inc. (The),
Sub. Notes
3.900%		04/29/24			975		1,078,353
Truist Financial Corp.,
Jr. Sub. Notes, Series N
4.800%(ff)		—	(rr)		960		1,010,248
UBS Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
2.859%(ff)		08/15/23			1,100		1,140,316
3.491%		05/23/23			2,970		3,091,090
UniCredit SpA (Italy),
Sr. Unsec’d. Notes, 144A
2.569%(ff)		09/22/26	(a)		685		697,939
Wells Fargo & Co.,
Sr. Unsec’d. Notes
3.068%(ff)		04/30/41			2,675		2,910,169
Sr. Unsec’d. Notes, MTN
2.572%(ff)		02/11/31			3,500		3,713,023

							109,871,865

Beverages — 0.3%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.900%		02/01/46			1,880		2,445,120
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
5.550%		01/23/49			1,440		2,038,836

							4,483,956

Building Materials — 0.2%
Masco Corp.,
Sr. Unsec’d. Notes
2.000%		10/01/30	(a)		925		941,912
Masonite International Corp.,
Gtd. Notes, 144A
5.375%		02/01/28			525		561,771
SRM Escrow Issuer LLC,
Sr. Sec’d. Notes, 144A
6.000%		11/01/28			1,275		1,331,930
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24	(a)		199		205,112

							3,040,725

SEE NOTES TO FINANCIAL STATEMENTS.

A43



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date				Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Chemicals — 1.1%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43				1,400	$	1,860,559
CF Industries, Inc.,
Gtd. Notes
4.950%		06/01/43				675		831,140
5.375%		03/15/44				700		886,272
Chemours Co. (The),
Gtd. Notes
7.000%		05/15/25	(a)			1,000		1,034,711
LYB International Finance BV,
Gtd. Notes
5.250%		07/15/43				1,000		1,302,120
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.625%		11/15/43				155		200,402
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24				1,150		1,200,661
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900%		06/01/43				870		1,118,436
5.250%		01/15/45				420		575,064
6.125%		01/15/41				450		646,460
Nutrition & Biosciences, Inc.,
Sr. Unsec’d. Notes, 144A
3.468%		12/01/50	(a)			1,495		1,619,692
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500%		11/14/22				1,525		1,554,080
Sasol Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24				375		399,059
Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes
3.450%		08/01/25				445		490,924
TPC Group, Inc.,
Sr. Sec’d. Notes, 144A
10.500%		08/01/24				450		371,980

								14,091,560

Commercial Services — 0.9%
ERAC USA Finance LLC,
Gtd. Notes, 144A
6.700%		06/01/34				920		1,351,674
7.000%		10/15/37	(a)			770		1,191,562
Gartner, Inc.,
Gtd. Notes, 144A
4.500%		07/01/28				470		496,127
Loxam SAS (France),
Sr. Sec’d. Notes
3.250%		01/14/25		EUR		1,200		1,465,980
Sr. Sub. Notes
4.500%		04/15/27		EUR		1,650		1,935,094
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22				627		628,584


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Commercial Services (cont’d.)
Refinitiv US Holdings, Inc.,
Gtd. Notes, 144A
8.250%		11/15/26			950	$	1,038,872
United Rentals North America, Inc.,
Gtd. Notes
3.875%		02/15/31			250		262,696
4.000%		07/15/30			250		263,573
4.875%		01/15/28	(a)		1,325		1,418,517
5.250%		01/15/30	(a)		525		584,757
5.500%		05/15/27	(a)		975		1,043,883

							11,681,319

Computers — 0.1%
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25	(a)		780		807,381

Diversified Financial Services — 0.4%
Charles Schwab Corp. (The),
Jr. Sub. Notes, Series H
4.000%(ff)		—	(rr)		1,335		1,401,437
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			650		897,830
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
5.500%		08/15/28			880		931,425
6.000%		01/15/27			275		292,592
OneMain Finance Corp.,
Gtd. Notes
5.375%		11/15/29	(a)		1,125		1,256,100
Power Finance Corp. Ltd. (India),
Sr. Unsec’d. Notes, 144A, MTN
6.150%		12/06/28			400		486,205

							5,265,589

Electric — 2.9%
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
3.350%		07/01/23			550		585,446
Calpine Corp.,
Sr. Unsec’d. Notes, 144A
4.625%		02/01/29			600		615,820
5.000%		02/01/31			750		782,579
5.125%		03/15/28			1,000		1,053,051
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series C
4.300%		12/01/56			235		298,827
Dominion Energy South Carolina, Inc.,
First Mortgage
4.600%		06/15/43			2,025		2,698,944
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,710		2,733,608
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			2,325		3,206,709

SEE NOTES TO FINANCIAL STATEMENTS.

A44



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (cont’d.)
Eskom Holdings SOC Ltd. (South Africa),
Sr. Unsec’d. Notes
5.750%		01/26/21			520	$	517,400
Sr. Unsec’d. Notes, 144A
5.750%		01/26/21			1,300		1,293,501
7.125%		02/11/25			390		399,505
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,900		2,291,066
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
4.350%		01/15/25			3,750		4,083,976
5.450%		07/15/44			340		429,217
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			1,150		1,551,588
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			680		785,101
Kentucky Utilities Co.,
First Mortgage
4.375%		10/01/45			3,050		3,949,018
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A
4.750%		07/13/21			250		255,588
Narragansett Electric Co. (The),
Sr. Unsec’d. Notes, 144A
3.395%		04/09/30			1,050		1,193,661
NRG Energy, Inc.,
Gtd. Notes
7.250%		05/15/26			1,235		1,303,287
Gtd. Notes, 144A
5.250%		06/15/29			375		412,223
Sr. Sec’d. Notes, 144A
2.000%		12/02/25			280		290,091
2.450%		12/02/27			1,210		1,269,914
PacifiCorp,
First Mortgage
3.300%		03/15/51			380		437,362
Tucson Electric Power Co.,
Sr. Unsec’d. Notes
4.000%		06/15/50			1,500		1,834,313
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			450		479,361
5.625%		02/15/27			600		637,859
Sr. Sec’d. Notes, 144A
3.700%		01/30/27			2,000		2,200,784

							37,589,799

Electrical Components & Equipment — 0.1%
WESCO Distribution, Inc.,
Gtd. Notes, 144A
7.125%		06/15/25			575		632,153
7.250%		06/15/28	(a)		550		624,719

							1,256,872


Interest Rate	Maturity Date			Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Electronics — 0.1%
Sensata Technologies BV,
Gtd. Notes, 144A
5.000%		10/01/25				1,000	$	1,108,597

Engineering & Construction — 0.2%
GMR Hyderabad International Airport Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250%		10/27/27				345		330,350
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
4.250%		10/31/26				605		642,407
5.500%		07/31/47				1,690		1,770,157

								2,742,914

Entertainment — 0.3%
AMC Entertainment Holdings, Inc.,
Sec’d. Notes, 144A, Cash coupon 10.000% / PIK 12.000% or Cash coupon 5.000% and PIK 6.000%
12.000%		06/15/26				1,238		270,643
Sr. Sec’d. Notes, 144A
10.500%		04/24/26				186		126,129
Caesars Entertainment, Inc.,
Sr. Sec’d. Notes, 144A
6.250%		07/01/25				860		915,694
Caesars Resort Collection LLC/CRC Finco, Inc.,
Gtd. Notes, 144A
5.250%		10/15/25	(a)			700		706,608
CPUK Finance Ltd. (United Kingdom),
Sec’d. Notes, 144A
4.875%		02/28/47			GBP	125		170,083
Golden Entertainment, Inc.,
Sr. Unsec’d. Notes, 144A
7.625%		04/15/26				875		937,323
Penn National Gaming, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		01/15/27	(a)			800		836,002
Scientific Games International, Inc.,
Gtd. Notes, 144A
7.000%		05/15/28				175		187,872

								4,150,354

Foods — 0.6%
Ingles Markets, Inc.,
Sr. Unsec’d. Notes
5.750%		06/15/23				42		42,445
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25				1,800		1,858,787
Kraft Heinz Foods Co.,
Gtd. Notes, 144A
4.625%		10/01/39				645		717,135
4.875%		10/01/49	(a)			1,325		1,537,718
Mars, Inc.,
Gtd. Notes, 144A
3.875%		04/01/39				440		536,965
4.200%		04/01/59				380		503,367

SEE NOTES TO FINANCIAL STATEMENTS.

A45



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Foods (cont’d.)
McCormick & Co., Inc.,
Sr. Unsec’d. Notes
2.500%		04/15/30			2,000	$	2,139,173

							7,335,590

Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
7.300%		11/15/39			1,000		1,594,111

Gas — 0.3%
AmeriGas Partners LP/AmeriGas Finance Corp.,
Sr. Unsec’d. Notes
5.875%		08/20/26			1,100		1,233,417
NiSource, Inc.,
Sr. Unsec’d. Notes
3.600%		05/01/30			375		434,060
4.800%		02/15/44			300		394,073
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400%		06/01/43			1,050		1,289,697

							3,351,247

Healthcare-Products — 0.5%
DH Europe Finance II Sarl,
Gtd. Notes
1.350%		09/18/39		EUR	1,275		1,675,734
Medtronic Global Holdings SCA,
Gtd. Notes
1.375%		10/15/40		EUR	540		718,627
1.625%		03/07/31		EUR	200		278,206
1.625%		10/15/50		EUR	495		674,578
2.250%		03/07/39		EUR	300		454,328
Stryker Corp.,
Sr. Unsec’d. Notes
2.125%		11/30/27		EUR	510		707,340
Thermo Fisher Scientific, Inc.,
Sr. Unsec’d. Notes, EMTN
1.500%		10/01/39		EUR	600		805,573
1.875%		10/01/49		EUR	425		600,155

							5,914,541

Healthcare-Services — 1.0%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.750%		12/15/37			1,900		2,898,462
Anthem, Inc.,
Sr. Unsec’d. Notes
4.650%		01/15/43			385		505,427
DaVita, Inc.,
Gtd. Notes, 144A
4.625%		06/01/30			1,025		1,089,931
Encompass Health Corp.,
Gtd. Notes
4.750%		02/01/30			500		535,211
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			1,475		1,657,546


Interest Rate	Maturity Date			Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Healthcare-Services (cont’d.)
5.875%		02/01/29				25	$	30,103
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.250%		09/01/24				1,495		1,625,731
Tenet Healthcare Corp.,
Gtd. Notes, 144A
6.125%		10/01/28				925		963,128
Sec’d. Notes, 144A
6.250%		02/01/27				375		395,318
Sr. Sec’d. Notes, 144A
4.625%		06/15/28				285		299,639
4.875%		01/01/26				850		888,257
5.125%		11/01/27				600		636,046
Sr. Unsec’d. Notes
7.000%		08/01/25	(a)			600		620,181
UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes
3.950%		10/15/42				220		277,709

								12,422,689

Home Builders — 0.2%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27				875		991,004
6.625%		07/15/27				1,050		1,137,258
Sr. Unsec’d. Notes, 144A
5.125%		08/01/30				45		50,391

								2,178,653

Housewares — 0.0%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.700%		04/01/26				670		738,686

Insurance — 1.0%
American International Group, Inc.,
Sr. Unsec’d. Notes
3.750%		07/10/25				2,110		2,370,548
4.500%		07/16/44				1,075		1,373,871
Liberty Mutual Finance Europe DAC,
Gtd. Notes, 144A
1.750%		03/27/24			EUR	800		1,029,317
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
3.951%		10/15/50				1,030		1,228,371
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000%		06/15/40				405		617,195
Markel Corp.,
Sr. Unsec’d. Notes
4.150%		09/17/50				180		227,231
5.000%		03/30/43				350		433,516
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42				150		192,904
Sompo International Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes
7.000%		07/15/34				1,350		1,903,617

SEE NOTES TO FINANCIAL STATEMENTS.

A46



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Insurance (cont’d.)
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			2,310	$	2,881,819
6.850%		12/16/39			196		306,499

							12,564,888

Lodging — 0.4%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22	(a)		1,325		1,361,815
Sr. Unsec’d. Notes, Series GG
3.500%		10/15/32	(a)		1,825		1,996,019
MGM Resorts International,
Gtd. Notes
4.750%		10/15/28	(a)		950		1,017,252
Sands China Ltd. (Macau),
Sr. Unsec’d. Notes
5.125%		08/08/25	(a)		400		448,284

							4,823,370

Machinery-Construction & Mining — 0.0%
Caterpillar, Inc.,
Sr. Unsec’d. Notes
3.250%		04/09/50	(a)		585		686,546

Machinery-Diversified — 0.3%
CNH Industrial Capital LLC,
Gtd. Notes
4.875%		04/01/21			1,050		1,060,130
Rockwell Automation, Inc.,
Sr. Unsec’d. Notes
5.200%		01/15/98			1,100		1,435,202
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,960		2,021,430

							4,516,762

Media — 2.3%
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
4.500%		05/01/32			450		480,401
5.375%		06/01/29			975		1,069,580
5.500%		05/01/26			3,300		3,425,282
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
4.800%		03/01/50			875		1,038,988
6.384%		10/23/35			2,470		3,382,878
6.484%		10/23/45			1,125		1,596,044
Clear Channel Worldwide Holdings, Inc.,
Gtd. Notes
9.250%		02/15/24	(a)		1,234		1,250,833
Comcast Corp.,
Gtd. Notes
2.450%		08/15/52	(a)		1,010		980,384
4.150%		10/15/28			1,820		2,182,829
4.250%		10/15/30			620		761,788


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (cont’d.)
Cox Communications, Inc.,
Sr. Unsec’d. Notes, 144A
3.150%		08/15/24			2,800	$	3,031,807
CSC Holdings LLC,
Gtd. Notes, 144A
3.375%		02/15/31			1,000		986,095
5.500%		04/15/27	(a)		650		689,233
Sr. Unsec’d. Notes, 144A
4.625%		12/01/30			1,000		1,045,883
Diamond Sports Group LLC/Diamond Sports Finance Co.,
Gtd. Notes, 144A
6.625%		08/15/27			520		314,560
Sr. Sec’d. Notes, 144A
5.375%		08/15/26			855		694,816
Discovery Communications LLC,
Gtd. Notes
5.300%		05/15/49			265		350,864
Gtd. Notes, 144A
4.000%		09/15/55	(a)		1,229		1,368,449
DISH DBS Corp.,
Gtd. Notes
7.375%		07/01/28	(a)		800		855,107
NBCUniversal Media LLC,
Gtd. Notes
4.450%		01/15/43			15		19,635
TCI Communications, Inc.,
Sr. Unsec’d. Notes
7.875%		02/15/26			750		1,006,826
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25	(a)		1,175		1,188,423
6.625%		06/01/27			975		1,046,870
Walt Disney Co. (The),
Gtd. Notes
7.625%		11/30/28			500		703,221

							29,470,796

Mining — 0.2%
Barrick Gold Corp. (Canada),
Sr. Unsec’d. Notes
5.250%		04/01/42			680		936,474
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%		05/01/43			410		597,269
Newmont Corp.,
Gtd. Notes
3.625%		06/09/21			825		831,931
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40			295		441,947

							2,807,621

Miscellaneous Manufacturing — 0.4%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.500%		12/01/24			1,600		1,532,887
7.500%		03/15/25			1,525		1,421,583

SEE NOTES TO FINANCIAL STATEMENTS.

A47



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Miscellaneous Manufacturing (cont’d.)
7.875%		04/15/27			1,825	$	1,677,976

							4,632,446

Multi-National — 0.3%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			1,240		1,253,834
4.375%		06/15/22			500		525,541
Inter-American Development Bank (Supranational Bank),
Unsec’d. Notes
6.950%		08/01/26			1,500		1,983,528

							3,762,903

Oil & Gas — 3.0%
Antero Resources Corp.,
Gtd. Notes
5.625%		06/01/23			1,200		1,173,194
Sr. Unsec’d. Notes, 144A
8.375%		07/15/26			400		407,031
Ascent Resources Utica Holdings LLC/ARU Finance Corp.,
Gtd. Notes, 144A
9.000%		11/01/27			204		226,950
Sr. Unsec’d. Notes, 144A
7.000%		11/01/26			350		332,885
8.250%		12/31/28			450		448,098
BP Capital Markets America, Inc.,
Gtd. Notes
2.772%		11/10/50	(a)		145		143,970
2.939%		06/04/51			1,835		1,874,037
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			1,000		1,172,342
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
9.250%		08/01/24			125		116,988
CITGO Petroleum Corp.,
Sr. Sec’d. Notes, 144A
7.000%		06/15/25	(a)		800		804,144
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
3.000%		05/09/23			750		780,081
CNX Resources Corp.,
Gtd. Notes, 144A
7.250%		03/14/27			975		1,047,363
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			180		244,708
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			850		1,037,166
Gazprom PJSC Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes
4.950%		07/19/22			390		411,279
Sr. Unsec’d. Notes, 144A
6.510%		03/07/22			1,665		1,766,923


Interest Rate	Maturity Date			Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
Helmerich & Payne, Inc.,
Sr. Unsec’d. Notes
4.650%		03/15/25				1,500	$	1,665,741
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25				1,160		1,322,263
4.750%		04/19/27				200		232,024
MEG Energy Corp. (Canada),
Gtd. Notes, 144A
7.000%		03/31/24				250		252,481
7.125%		02/01/27				425		439,207
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44				490		686,877
5.250%		11/15/43				700		991,184
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
4.264%(s)		10/10/36				2,000		921,137
6.450%		09/15/36				945		985,009
Ovintiv, Inc.,
Gtd. Notes
6.500%		02/01/38				200		223,017
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.093%		01/15/30	(a)			339		379,071
5.750%		02/01/29				725		845,172
6.625%		01/16/34			GBP	680		1,135,935
6.900%		03/19/49	(a)			1,495		1,903,973
7.375%		01/17/27				405		502,409
Petroleos Mexicanos (Mexico),
Gtd. Notes
4.750%		02/26/29			EUR	294		361,356
6.350%		02/12/48				840		758,709
6.490%		01/23/27				1,565		1,650,573
6.500%		03/13/27				2,155		2,272,056
6.500%		01/23/29				700		725,592
6.840%		01/23/30				306		318,762
7.690%		01/23/50				1,297		1,310,151
Gtd. Notes, EMTN
3.750%		02/21/24			EUR	400		494,680
4.875%		02/21/28			EUR	1,050		1,306,921
Pioneer Natural Resources Co.,
Sr. Unsec’d. Notes
1.900%		08/15/30				2,085		2,064,914
Range Resources Corp.,
Gtd. Notes
9.250%		02/01/26	(a)			1,200		1,253,936
Transocean, Inc.,
Gtd. Notes, 144A
8.000%		02/01/27				700		335,865
Valero Energy Corp.,
Sr. Unsec’d. Notes
2.150%		09/15/27				830		845,087
YPF SA (Argentina),
Sr. Unsec’d. Notes, 144A
8.500%		03/23/25				217		177,977

								38,349,238

SEE NOTES TO FINANCIAL STATEMENTS.

A48



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Oil & Gas Services — 0.0%
Cameron International Corp.,
Gtd. Notes
7.000%		07/15/38				450	$	606,472

Packaging & Containers — 0.1%
ARD Finance SA (Luxembourg),
Sr. Sec’d. Notes, Cash coupon 5.000% or PIK 5.750%
5.000%		06/30/27			EUR	1,278		1,591,941

Pharmaceuticals — 3.0%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25				1,020		1,137,032
4.050%		11/21/39				5,135		6,204,194
4.500%		05/14/35				1,715		2,155,894
4.550%		03/15/35				2,040		2,580,867
Bausch Health Americas, Inc.,
Gtd. Notes, 144A
8.500%		01/31/27				320		356,049
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
5.000%		01/30/28				430		442,834
5.000%		02/15/29				225		231,329
5.250%		01/30/30	(a)			300		314,424
5.250%		02/15/31				275		287,249
6.125%		04/15/25	(a)			325		334,856
6.250%		02/15/29				1,050		1,139,685
7.250%		05/30/29				100		112,315
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes
4.125%		06/15/39				420		537,422
4.250%		10/26/49				650		875,107
4.550%		02/20/48				1,145		1,585,240
5.000%		08/15/45				750		1,080,022
Cheplapharm Arzneimittel GmbH (Germany),
Sr. Sec’d. Notes, 144A
5.500%		01/15/28				475		493,389
Cigna Corp.,
Gtd. Notes
4.375%		10/15/28				1,320		1,593,101
4.500%		02/25/26				3,690		4,311,933
Sr. Unsec’d. Notes
3.200%		03/15/40				440		482,764
CVS Health Corp.,
Sr. Unsec’d. Notes
1.875%		02/28/31				765		774,251
2.700%		08/21/40				480		486,119
4.780%		03/25/38				270		340,931
5.050%		03/25/48				655		885,903
5.125%		07/20/45				565		757,112
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		06/30/28				233		193,863
Sec’d. Notes, 144A
9.500%		07/31/27				185		206,139
Mylan, Inc.,
Gtd. Notes
5.200%		04/15/48				1,890		2,488,179


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pharmaceuticals (cont’d.)
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
3.200%		09/23/26			3,745	$	4,185,817
Takeda Pharmaceutical Co. Ltd. (Japan),
Sr. Unsec’d. Notes
3.025%		07/09/40			525		554,334
4.000%		11/26/21			600		617,142
Viatris, Inc.,
Gtd. Notes, 144A
4.000%		06/22/50			1,465		1,668,856

							39,414,352

Pipelines — 1.9%
Boardwalk Pipelines LP,
Gtd. Notes
3.400%		02/15/31			1,730		1,794,666
Energy Transfer Operating LP,
Gtd. Notes
5.000%		05/15/50			280		302,405
5.150%		03/15/45			55		59,355
5.300%		04/15/47			120		131,743
6.125%		12/15/45			90		106,236
6.250%		04/15/49			1,400		1,700,570
Jr. Sub. Notes, Series G
7.125%(ff)		—	(rr)		875		836,560
Enterprise Products Operating LLC,
Gtd. Notes
3.200%		02/15/52			700		708,256
3.700%		01/31/51			130		143,052
3.950%		01/31/60			145		161,598
4.900%		05/15/46			2,110		2,649,829
Fermaca Enterprises S de RL de CV (Mexico),
Sr. Sec’d. Notes, 144A
6.375%		03/30/38			369		424,356
Kinder Morgan, Inc.,
Gtd. Notes
3.250%		08/01/50	(a)		1,940		1,942,835
Magellan Midstream Partners LP,
Sr. Unsec’d. Notes
4.200%		03/15/45			1,000		1,083,124
MPLX LP,
Sr. Unsec’d. Notes
4.500%		04/15/38			970		1,110,949
5.200%		03/01/47			115		141,527
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.375%		08/15/22			50		52,134
4.875%		08/15/27	(a)		225		254,520
ONEOK Partners LP,
Gtd. Notes
6.850%		10/15/37			1,250		1,607,544
ONEOK, Inc.,
Gtd. Notes
4.500%		03/15/50			2,685		2,845,914
4.950%		07/13/47			450		502,462

SEE NOTES TO FINANCIAL STATEMENTS.

A49



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pipelines (cont’d.)
Phillips 66 Partners LP,
Sr. Unsec’d. Notes
4.680%		02/15/45			1,900	$	2,057,276
Sunoco Logistics Partners Operations LP,
Gtd. Notes
5.400%		10/01/47			55		61,457
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,
Gtd. Notes, 144A
5.500%		01/15/28			575		587,143
7.500%		10/01/25	(a)		1,150		1,239,949
Sr. Unsec’d. Notes, 144A
6.000%		12/31/30	(a)		475		489,087
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.450%		04/01/44			575		580,919
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.900%		01/15/45			1,200		1,427,487

							25,002,953

Real Estate — 0.2%
Greystar Real Estate Partners LLC,
Sr. Sec’d. Notes, 144A
5.750%		12/01/25			1,200		1,233,868
Howard Hughes Corp. (The),
Gtd. Notes, 144A
5.375%		03/15/25			900		927,680

							2,161,548

Real Estate Investment Trusts (REITs) — 0.4%
Brixmor Operating Partnership LP,
Sr. Unsec’d. Notes
4.050%		07/01/30	(a)		1,125		1,293,374
Diversified Healthcare Trust,
Gtd. Notes
9.750%		06/15/25			1,000		1,133,630
Sr. Unsec’d. Notes
6.750%		12/15/21			250		254,145
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
Gtd. Notes, 144A
4.625%		06/15/25	(a)		405		433,589
MPT Operating Partnership LP/MPT Finance Corp.,
Gtd. Notes
3.500%		03/15/31			1,100		1,135,913
VEREIT Operating Partnership LP,
Gtd. Notes
2.850%		12/15/32	(a)		525		548,363

							4,799,014

Retail — 1.1%
1011778 BC ULC/New Red Finance, Inc. (Canada),
Sec’d. Notes, 144A
4.000%		10/15/30	(a)		1,525		1,545,345
AutoZone, Inc.,
Sr. Unsec’d. Notes
1.650%		01/15/31	(a)		335		332,130


Interest Rate	Maturity Date			Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Retail (cont’d.)
Best Buy Co., Inc.,
Sr. Unsec’d. Notes
1.950%		10/01/30				495	$	497,702
Dollar Tree, Inc.,
Sr. Unsec’d. Notes
4.200%		05/15/28				1,875		2,230,343
eG Global Finance PLC (United Kingdom),
Sr. Sec’d. Notes
4.375%		02/07/25			EUR	150		180,343
6.250%		10/30/25			EUR	1,450		1,820,703
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes
8.625%		06/15/20	(d)			850		221,407
8.625%		06/15/20	(d)			900		223,875
L Brands, Inc.,
Gtd. Notes
5.625%		10/15/23	(a)			1,600		1,725,752
O’Reilly Automotive, Inc.,
Sr. Unsec’d. Notes
1.750%		03/15/31				2,115		2,115,939
PetSmart, Inc.,
Sr. Sec’d. Notes, 144A
5.875%		06/01/25				100		102,605
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)			1,000		1,031,845
Suburban Propane Partners LP/Suburban Energy Finance Corp.,
Sr. Unsec’d. Notes
5.500%		06/01/24				1,800		1,832,040

								13,860,029

Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22				1,675		1,755,547

Semiconductors — 1.0%
Broadcom, Inc.,
Gtd. Notes
3.459%		09/15/26				3,509		3,892,402
4.700%		04/15/25				1,250		1,433,154
4.750%		04/15/29				1,500		1,792,926
5.000%		04/15/30				2,500		3,040,956
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A
4.625%		06/01/23				2,675		2,926,409

								13,085,847

Software — 0.3%
Boxer Parent Co., Inc.,
Sec’d. Notes, 144A
9.125%		03/01/26				850		914,421
Fidelity National Information Services, Inc.,
Gtd. Notes
0.750%		05/21/23			EUR	400		498,522
Microsoft Corp.,
Sr. Unsec’d. Notes
2.525%		06/01/50				1,815		1,908,857

SEE NOTES TO FINANCIAL STATEMENTS.

A50



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Software (cont’d.)
2.675%		06/01/60			435	$	471,918

							3,793,718

Telecommunications — 2.5%
AT&T, Inc.,
Sr. Unsec’d. Notes
4.300%		02/15/30			485		579,403
Sr. Unsec’d. Notes, 144A
2.550%		12/01/33			1,216		1,250,117
3.500%		09/15/53			6,381		6,409,862
3.550%		09/15/55			972		974,855
3.650%		09/15/59			895		900,976
CenturyLink, Inc.,
Sr. Unsec’d. Notes, 144A
4.500%		01/15/29			975		991,966
Sr. Unsec’d. Notes, Series P
7.600%		09/15/39	(a)		850		1,039,126
Digicel Holdings Bermuda Ltd./Digicel International Finance Ltd. (Jamaica),
Sr. Sec’d. Notes, 144A
8.750%		05/25/24	(a)		200		210,777
8.750%		05/25/24			997		1,049,527
Digicel Ltd. (Jamaica),
Gtd. Notes, 144A
6.750%		03/01/23			500		387,343
Embarq Corp.,
Sr. Unsec’d. Notes
7.995%		06/01/36			1,700		2,095,904
Level 3 Financing, Inc.,
Gtd. Notes, 144A
4.250%		07/01/28			1,525		1,569,290
Sr. Sec’d. Notes, 144A
3.400%		03/01/27			230		249,673
Qwest Corp.,
Sr. Unsec’d. Notes
6.750%		12/01/21			600		627,097
Sprint Capital Corp.,
Gtd. Notes
8.750%		03/15/32	(a)		700		1,108,142
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25			500		598,378
7.875%		09/15/23			2,000		2,314,353
T-Mobile USA, Inc.,
Sr. Sec’d. Notes, 144A
4.375%		04/15/40			425		516,183
4.500%		04/15/50			3,080		3,811,941
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
2.650%		11/20/40			3,285		3,320,121
4.016%		12/03/29			120		142,361
4.500%		08/10/33			990		1,248,140
4.522%		09/15/48			360		465,721

							31,861,256


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	$	312,687

Transportation — 0.0%
Lima Metro Line 2 Finance Ltd. (Peru),
Sr. Sec’d. Notes
5.875%		07/05/34		105		127,288

Water — 0.0%
American Water Capital Corp.,
Sr. Unsec’d. Notes
3.450%		05/01/50		625		738,007

TOTAL CORPORATE BONDS (cost $461,899,317)						508,563,272


MUNICIPAL BONDS — 1.8%
California — 0.5%
Bay Area Toll Authority,
Taxable, Revenue Bonds, BABs, Series S3
6.907%		10/01/50		1,125		2,075,085
State of California,
General Obligation Unlimited, BABs
7.300%		10/01/39		1,550		2,562,227
General Obligation Unlimited, Taxable, BABs
7.625%		03/01/40		725		1,275,797

						5,913,109

Colorado — 0.1%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, BABs, Series B
5.844%		11/01/50		770		1,280,856

Illinois — 0.4%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,380		2,049,949
State of Illinois,
General Obligation Unlimited, Series A
5.000%		10/01/22		20		21,230
General Obligation Unlimited, Series D
5.000%		11/01/22		2,650		2,815,015

						4,886,194

New Jersey — 0.4%
New Jersey Turnpike Authority,
Taxable, Revenue Bonds, BABs, Series A
7.102%		01/01/41		1,175		1,920,114
Taxable, Revenue Bonds, BABs, Series F
7.414%		01/01/40		2,050		3,438,486

						5,358,600

Ohio — 0.1%
Ohio State University (The),
Taxable, Revenue Bonds, BABs, Series C
4.910%		06/01/40		695		962,749

SEE NOTES TO FINANCIAL STATEMENTS.

A51



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

MUNICIPAL BONDS (continued)

Oregon — 0.1%

State of Oregon Department of Transportation,

Taxable, Revenue Bonds, BABs, Series A

5.834%

11/15/34

615

893,035

Pennsylvania — 0.1%

Pennsylvania Turnpike Commission,

Revenue Bonds, BABs, Series B

5.511%

12/01/45

800

1,189,824

Puerto Rico — 0.1%

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue,

Revenue Bonds, Restructured, Series A-1

5.000%

07/01/58

1,710

1,904,906

Texas — 0.0%

Texas Private Activity Bond Surface Transportation Corp.,

Taxable, Revenue Bonds, Series B

3.922%

12/31/49

450

512,874

Virginia — 0.0%

University of Virginia,

Taxable, Revenue Bonds, Series C

4.179%

09/01/2117

425

569,751

TOTAL MUNICIPAL BONDS
(cost $16,253,746)

23,471,898

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 7.8%

Alternative Loan Trust,

Series 2004-18CB, Class 3A1

5.250%

09/25/35

24,571

Bellemeade Re Ltd. (Bermuda),

Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)

1.748%(c)

04/25/28

416

414,910

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)

1.748%(c)

08/25/28

282

282,818

Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%)

1.998%(c)

10/25/28

568

566,452

Series 2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%)

1.598%(c)

04/25/29

268

267,859

Series 2019-04A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.548%(c)

10/25/29

174

173,370

Series 2019-04A, Class M1B, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%)

2.148%(c)

10/25/29

700

696,847

Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)

2.798%(c)

06/25/30

639

640,502

Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%)

3.548%(c)

06/25/30

270

272,773

Series 2020-02A, Class M1A, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%)

2.448%(c)

08/26/30

300

300,846

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%)

3.348%(c)

08/26/30

240

242,551

Series 2020-02A, Class M1C, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%)

4.148%(c)

08/26/30

275

280,759

Series 2020-03A, Class M1A, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%)

2.148%(c)

10/25/30

290

290,255

Series 2020-03A, Class M1B, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%)

2.998%(c)

10/25/30

215

215,547

Series 2020-03A, Class M1C, 144A, 1 Month LIBOR + 3.700% (Cap N/A, Floor 3.700%)

3.848%(c)

10/25/30

275

276,158

BVRT Financing Trust,

Series 2019-01, Class F, 144A

2.299%(cc)

09/15/21^

5,706

5,665,601

Central Park Funding Trust,

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

1.655%(c)

11/01/23

5,400

5,399,999

CIM Trust,

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%)

2.155%(c)

01/25/57

1,001

1,007,795

Series 2017-06, Class A1, 144A

3.015%(cc)

06/25/57

952

952,991

Citigroup Mortgage Loan Trust,

Series 2011-12, Class 3A2, 144A

2.997%(cc)

09/25/47

407

382,402

Connecticut Avenue Securities Trust,

Series 2019-R04, Class 2M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%)

2.248%(c)

06/25/39

660

658,119

Series 2019-R07, Class 1M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%)

2.248%(c)

10/25/39

746

743,160

Credit Suisse Mortgage Trust,

Series 2020-RPL05, Class A1, 144A

3.023%

08/25/60

510

511,177

Eagle Re Ltd. (Bermuda),

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%)

1.848%(c)

11/25/28

585

584,509

Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%)

1.948%(c)

04/25/29

180

179,628

Series 2020-02, Class M1A, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 0.000%)

3.148%(c)

10/25/30

1,040

1,048,772

Series 2020-02, Class M1B, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 0.000%)

4.148%(c)

10/25/30

520

527,400

Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.500% (Cap N/A, Floor 0.000%)

4.648%(c)

10/25/30

360

366,262

SEE NOTES TO FINANCIAL STATEMENTS.

A52



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Fannie Mae Connecticut Avenue Securities,

Series 2017-C07, Class 1M2, 1 Month LIBOR + 2.400% (Cap N/A, Floor 2.400%)

2.548%(c)

05/25/30

472

468,906

Series 2018-C03, Class 1M2, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%)

2.298%(c)

10/25/30

296

295,218

Fannie Mae REMICS,

Series 2011-116, Class ZA

3.500%

11/25/41

2,204

2,429,150

Series 2012-034, Class EB

4.000%

04/25/42

1,575

1,847,099

FHLMC Structured Agency Credit Risk Debt Notes,

Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.498%(c)

03/25/29

52,116

Series 2020-HQA05, Class B1, 144A, 30 Day Average SOFR + 4.000% (Cap N/A, Floor 0.000%)

4.082%(c)

11/25/50

900

915,708

Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%)

2.682%(c)

11/25/50

4,365

4,392,152

FHLMC Structured Agency Credit Risk REMIC Trust,

Series 2020-DNA02, Class M2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%)

1.998%(c)

02/25/50

1,220

1,212,513

Series 2020-DNA03, Class B1, 144A, 1 Month LIBOR + 5.100% (Cap N/A, Floor 0.000%)

5.248%(c)

06/25/50

205

212,954

Series 2020-DNA03, Class M2, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 0.000%)

3.148%(c)

06/25/50

835

839,169

Series 2020-DNA04, Class B1, 144A, 1 Month LIBOR + 6.000% (Cap N/A, Floor 0.000%)

6.148%(c)

08/25/50

1,570

1,666,018

Series 2020-DNA04, Class M2, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 0.000%)

3.898%(c)

08/25/50

810

821,316

Series 2020-DNA05, Class B1, 144A, 30 Day Average SOFR + 4.800% (Cap N/A, Floor 0.000%)

4.882%(c)

10/25/50

670

696,404

Series 2020-DNA05, Class M2, 144A, 30 Day Average SOFR + 2.800% (Cap N/A, Floor 0.000%)

2.882%(c)

10/25/50

500

506,388

Series 2020-HQA02, Class M2, 144A, 1 Month LIBOR + 3.100% (Cap N/A, Floor 0.000%)

3.248%(c)

03/25/50

90,619

Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%)

3.748%(c)

07/25/50

2,195

2,210,188

Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%)

5.398%(c)

09/25/50

320

333,555

Series 2020-HQA04, Class M2, 144A, 1 Month LIBOR + 3.150% (Cap N/A, Floor 0.000%)

3.298%(c)

09/25/50

230

232,119


Interest Rate	Maturity Date		Principal Amount (000)#		Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)
0.898%(c)		09/25/48		3	$	2,882
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)
2.798%(c)		01/25/49		222		221,111
Freddie Mac REMICS,
Series 4289, Class WZ
3.000%		01/15/44		778		835,952
Series 4768, Class GA
3.500%		09/15/45		1,381		1,448,737
Series 4768, Class VB
3.500%		06/15/38		500		518,497
Series 4939, Class KT
3.000%		07/15/48		989		1,035,071
GCAT LLC,
Series 2019-04, Class A1, 144A
3.228%		11/26/49		1,614		1,618,034
GSMSC Resecuritization Trust,
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%)
0.288%(c)		01/26/37		1,169		1,148,079
Home Re Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.748%(c)		10/25/28		151		150,646
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%)
1.798%(c)		05/25/29		179		177,533
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%)
2.748%(c)		10/25/30		800		806,340
Series 2020-01, Class M1B, 144A, 1 Month LIBOR + 3.250% (Cap N/A, Floor 3.250%)
3.398%(c)		10/25/30		500		507,989
Series 2020-01, Class M1C, 144A, 1 Month LIBOR + 4.150% (Cap N/A, Floor 4.150%)
4.298%(c)		10/25/30		200		204,459
Legacy Mortgage Asset Trust,
Series 2019-GS06, Class A1, 144A
3.000%		06/25/59		627		629,693
Series 2020-GS01, Class A1, 144A
2.882%		10/25/59		1,311		1,315,201
Series 2020-SL01, Class A, 144A
2.734%		01/25/60		1,463		1,464,719
LSTAR Securities Investment Trust,
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%)
1.655%(c)		04/01/24		551		548,643
Mortgage Repurchase Agreement Financing Trust,
Series 2020-03, Class A1, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.399%(c)		01/23/23		655		655,483
Series 2020-04, Class A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)
1.499%(c)		04/23/23		620		620,022

SEE NOTES TO FINANCIAL STATEMENTS.

A53



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Series 2020-04, Class A2, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.499%(c)

04/23/23

1,200

1,200,042

MRA Issuance Trust,

Series 2020-01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.555%(c)

12/08/20

3,936

3,938,046

Series 2020-07, Class A, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%)

1.755%(c)

12/11/21

11,580

11,582,258

Series 2020-08, Class A1X, 144A, 1 Month LIBOR + 1.750% (Cap N/A, Floor 2.250%)

2.250%(c)

09/23/21

5,460

5,464,014

Series 2020-08, Class A2, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 3.500%)

3.500%(c)

09/23/21

3,510

3,512,691

Series 2020-09, Class AY, 144A, 1 Month LIBOR + 1.750% (Cap N/A, Floor 2.250%)

2.250%(c)

05/05/21^

4,450

4,462,086

New Residential Mortgage Loan Trust,

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

0.898%(c)

01/25/48

854

854,831

Oaktown Re II Ltd. (Bermuda),

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)

1.698%(c)

07/25/28

103

103,092

Oaktown Re III Ltd. (Bermuda),

Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.548%(c)

07/25/29

46,382

Oaktown Re IV Ltd. (Bermuda),

Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%)

3.348%(c)

07/25/30

298

299,242

Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%)

4.898%(c)

07/25/30

1,100

1,111,144

Oaktown Re V Ltd. (Bermuda),

Series 2020-02A, Class M1A, 144A, 1 Month LIBOR + 2.400% (Cap N/A, Floor 2.400%)

2.548%(c)

10/25/30

195

195,252

Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 3.600%)

3.748%(c)

10/25/30

260

262,152

Radnor Re Ltd. (Bermuda),

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)

1.548%(c)

03/25/28

27,080

Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% (Cap N/A, Floor 0.000%)

2.848%(c)

03/25/28

360

360,732

Series 2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

1.348%(c)

06/25/29

46,580


Interest Rate	Maturity Date			Principal Amount (000)#		Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%)
1.098%(c)		02/25/30			500	$	499,401
Series 2020-01, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%)
1.598%(c)		02/25/30			1,500		1,483,702
Series 2020-02, Class M1A, 144A, 1 Month LIBOR + 3.150% (Cap N/A, Floor 3.150%)
3.298%(c)		10/25/30			1,330		1,334,913
Series 2020-02, Class M1B, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%)
4.148%(c)		10/25/30			840		848,933
Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.600% (Cap N/A, Floor 4.600%)
4.748%(c)		10/25/30			655		666,424
Station Place Securitization Trust,
Series 2020-10, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
1.643%(c)		05/20/21			4,400		4,404,525
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.080%(cc)		02/25/34			318		314,528
Series 2004-18, Class 3A1
2.586%(cc)		12/25/34			1,731		1,733,832

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $100,033,221)							100,856,598


SOVEREIGN BONDS — 6.4%
Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes
0.125%(cc)		07/09/30			2,858		1,162,058
0.125%(cc)		01/09/38			2,469		1,011,500
0.125%(cc)		07/09/41			356		134,447
1.000%		07/09/29			289		125,703
Bermuda Government International Bond (Bermuda),
Sr. Unsec’d. Notes, 144A
2.375%		08/20/30			570		598,340
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333%		02/15/28			1,284		1,393,131
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			250		270,406
5.000%		06/15/45			205		250,622
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes, 144A
6.000%		07/19/28			575		690,497
Egypt Government International Bond (Egypt),
Sr. Unsec’d. Notes, 144A, MTN
4.750%		04/11/25	EUR		875		1,112,980
4.750%		04/16/26	EUR		1,540		1,953,624
Ghana Government International Bond (Ghana),
Sr. Unsec’d. Notes, 144A
6.375%		02/11/27			970		1,009,036

SEE NOTES TO FINANCIAL STATEMENTS.

A54



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date				Principal Amount (000)#		Value

SOVEREIGN BONDS (continued)
Hellenic Republic Government Bond (Greece),
Bonds
3.650%(cc)		02/24/23		EUR		1,200	$	1,588,162
3.650%(cc)		02/24/26		EUR		380		549,003
3.650%(cc)		02/24/29		EUR		1,000		1,530,062
3.650%(cc)		02/24/31		EUR		620		979,665
3.650%(cc)		02/24/32		EUR		1,280		2,062,881
3.650%(cc)		02/24/34		EUR		640		1,064,295
3.650%(cc)		02/24/39		EUR		1,000		1,722,663
3.900%		01/30/33		EUR		1,990		3,301,847
4.000%		01/30/37		EUR		378		667,173
Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes
5.200%		07/17/34		EUR		1,500		2,699,858
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
5.375%		02/21/23				436		479,093
5.375%		03/25/24				290		331,331
5.750%		11/22/23				2,300		2,624,723
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
1.450%		09/18/26		EUR		375		480,134
3.375%		07/30/25		EUR		3,125		4,313,638
Sr. Unsec’d. Notes, EMTN
2.875%		07/08/21		EUR		1,225		1,518,346
3.750%		06/14/28		EUR		1,250		1,845,512
Iraq International Bond (Iraq),
Sr. Unsec’d. Notes, 144A
5.800%		01/15/28				422		392,865
6.752%		03/09/23				400		389,848
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
2.500%		05/23/24				1,000		1,069,256
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A
3.375%		09/27/23				600		646,821
Sr. Unsec’d. Notes, 144A, MTN
1.750%		09/05/24				600		625,638
2.625%		04/20/22				1,000		1,028,959
3.000%		03/12/24				600		646,691
Lithuania Government International Bond (Lithuania),
Sr. Unsec’d. Notes
6.625%		02/01/22				1,000		1,068,407
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25	(a)			450		498,643
Portugal Government International Bond (Portugal),
Sr. Unsec’d. Notes, EMTN
5.125%		10/15/24				10,260		11,928,402
Provincia de Buenos Aires (Argentina),
Sr. Unsec’d. Notes, 144A
6.500%		02/15/23				120		48,460
9.950%		06/09/21				1,940		787,694
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
5.103%		04/23/48				780		1,096,533


Interest Rate	Maturity Date				Principal Amount (000)#		Value

SOVEREIGN BONDS (continued)
Republic of Italy Government International Bond (Italy),
Sr. Unsec’d. Notes
2.375%		10/17/24				1,000	$	1,052,045
6.875%		09/27/23				260		301,957
Sr. Unsec’d. Notes, EMTN
6.000%		08/04/28		GBP		2,060		3,701,785
Sr. Unsec’d. Notes, MTN
5.375%		06/15/33				4,730		6,080,067
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, 144A, MTN
3.875%		10/29/35		EUR		945		1,412,635
Sr. Unsec’d. Notes, EMTN
3.875%		10/29/35		EUR		940		1,405,161
4.125%		03/11/39		EUR		254		387,807
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
4.000%		04/17/25				675		754,637
Serbia International Bond (Serbia),
Sr. Unsec’d. Notes
7.250%		09/28/21				533		558,714
Sr. Unsec’d. Notes, 144A
2.125%		12/01/30				1,435		1,423,527
Sri Lanka Government International Bond (Sri Lanka),
Sr. Unsec’d. Notes, 144A
5.750%		01/18/22				800		620,165
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22				600		617,564
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
5.625%		03/30/21				500		503,665
Ukraine Government International Bond (Ukraine),
Sr. Unsec’d. Notes
7.750%		09/01/21				160		165,812
7.750%		09/01/22				1,120		1,198,305
8.994%		02/01/24				200		226,536
Sr. Unsec’d. Notes, 144A
4.375%		01/27/30		EUR		1,325		1,545,147
7.750%		09/01/22				930		995,021
8.994%		02/01/24				200		226,536
9.750%		11/01/28				400		492,553
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55				500		694,528

TOTAL SOVEREIGN BONDS (cost $72,752,355)								82,063,114


U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2%
Federal Home Loan Mortgage Corp.
3.500%		02/01/47				1,408		1,516,187
5.500%		10/01/33				490		574,995
5.500%		06/01/34				5		5,539
6.000%		11/01/33				112		128,526
6.000%		05/01/34				51		57,345
6.000%		06/01/34				92		103,089
6.250%		07/15/32	(k)			830		1,284,575
6.500%		07/01/32				10		11,559
6.500%		07/01/32				18		20,438

SEE NOTES TO FINANCIAL STATEMENTS.

A55



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		08/01/32			25	$	27,694
6.500%		08/01/32			34		38,853
6.500%		08/01/32			39		44,294
6.500%		09/01/32			32		36,871
6.500%		09/01/32			94		108,767
6.750%		09/15/29	(k)		525		783,861
6.750%		03/15/31			600		924,040
Federal National Mortgage Assoc.
2.000%		TBA	(tt)		4,500		4,673,842
2.000%		TBA			8,500		8,812,762
4.500%		08/01/40	(k)		1,490		1,664,842
5.500%		02/01/33			12		13,544
5.500%		02/01/33			13		15,141
5.500%		03/01/33			18		21,434
5.500%		03/01/33			33		38,147
5.500%		03/01/33			37		43,485
5.500%		04/01/33			5		5,443
5.500%		04/01/33			23		26,881
5.500%		04/01/33			25		29,611
5.500%		04/01/33			27		31,490
5.500%		07/01/33			20		22,887
5.500%		07/01/33			27		31,243
5.500%		08/01/33			15		17,204
5.500%		02/01/34			23		27,408
5.500%		04/01/34			25		29,268
5.500%		06/01/34			36		41,665
6.000%		10/01/33			2		1,877
6.000%		10/01/33			191		219,152
6.000%		03/01/34			54		60,913
6.000%		02/01/35			163		195,740
6.000%		11/01/36			50		59,363
6.250%		05/15/29	(a)		535		762,173
6.500%		08/01/32			87		97,992
6.500%		09/01/32			95		109,901
6.500%		09/01/32			139		165,682
6.500%		10/01/32			63		73,006
6.500%		04/01/33			129		148,727
6.500%		11/01/33			3		3,487
6.625%		11/15/30	(k)		530		802,026
7.000%		05/01/32			55		58,452
7.000%		06/01/32			7		8,516
7.125%		01/15/30			785		1,198,943
Government National Mortgage Assoc.
3.500%		01/20/48			297		319,471
4.000%		02/20/49			720		772,138
5.500%		01/15/33			52		60,825
5.500%		02/15/33			34		39,234
5.500%		05/15/33			116		129,154
5.500%		05/15/33			168		186,222
5.500%		06/15/33			177		201,494
5.500%		09/15/33			84		95,607
5.500%		07/15/35			47		54,201
6.000%		12/15/32			103		124,871
6.000%		11/15/33			43		50,312
6.000%		01/15/34			8		9,532
6.000%		06/20/34			262		306,481
6.000%		11/15/34			393		474,467
6.500%		09/15/32			33		37,051


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		09/15/32			132	$	148,862
6.500%		09/15/32			135		151,900
6.500%		11/15/33			108		122,277

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $27,141,223)							28,462,979


U.S. TREASURY OBLIGATIONS — 1.2%
U.S. Treasury Bonds
2.500%		05/15/46	(h)(k)		965		1,152,270
3.000%		05/15/45	(k)		4,065		5,271,162
3.000%		02/15/48	(k)		270		354,206
3.125%		02/15/43	(h)(k)		3,795		4,973,229
3.625%		08/15/43	(h)		200		282,250
U.S. Treasury Notes
0.125%		12/15/23			290		289,638
U.S. Treasury Strips Coupon
1.467%(s)		11/15/41	(h)		500		358,730
2.056%(s)		11/15/38	(h)(k)		290		221,737
2.208%(s)		05/15/39	(h)(k)		3,425		2,589,755
2.395%(s)		11/15/43	(h)		619		423,967
3.176%(s)		08/15/40	(h)		120		88,359

TOTAL U.S. TREASURY OBLIGATIONS (cost $14,091,643)							16,005,303


				Shares

PREFERRED STOCKS — 0.2%
Banks — 0.1%
Citigroup Capital XIII, 6.584%, Maturing 10/30/40					45,000		1,282,500

Capital Markets — 0.1%
State Street Corp. 5.350%, Series G(rr)					35,000		1,013,600

TOTAL PREFERRED STOCKS (cost $2,000,000)							2,296,100

TOTAL LONG-TERM INVESTMENTS (cost $1,206,363,004)							1,286,426,708


SHORT-TERM INVESTMENTS — 4.5%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)					14,079,089		14,079,089
PGIM Institutional Money Market Fund (cost $44,051,971; includes $44,043,328 of cash collateral for securities on loan)(b)(w)					44,088,008		44,065,963

TOTAL SHORT-TERM INVESTMENTS (cost $58,131,060)							58,145,052

TOTAL INVESTMENTS — 104.0% (cost $1,264,494,064)							1,344,571,760
Liabilities in excess of other assets(z) — (4.0)%							(51,963,703	)

NET ASSETS — 100.0%						$	1,292,608,057

SEE NOTES TO FINANCIAL STATEMENTS.

A56



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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

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

^	Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $10,127,687 and 0.8% 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 $43,132,940; cash collateral of $44,043,328 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020.

(cc)

(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.

(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.

(tt)	All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 4,500,000 is 0.4% of net assets.

(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:

Futures contracts outstanding at December 31, 2020:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
968		5 Year U.S. Treasury Notes		Mar. 2021	$	122,126,810	$	191,991
202		10 Year U.S. Ultra Treasury Notes		Mar. 2021		31,584,595		(73,719	)
547		20 Year U.S. Treasury Bonds		Mar. 2021		94,733,562		(563,193	)
525		30 Year U.S. Ultra Treasury Bonds		Mar. 2021		112,120,312		(658,308	)

								(1,103,229	)

Short Positions:
2,179		2 Year U.S. Treasury Notes		Mar. 2021		481,507,929		(485,114	)
138		5 Year Euro-Bobl		Mar. 2021		22,789,685		1,674
173		10 Year Euro-Bund		Mar. 2021		37,543,406		(90,178	)
331		10 Year U.S. Treasury Notes		Mar. 2021		45,703,861		(81,897	)
57		Euro Schatz Index		Mar. 2021		7,818,163		4,233

								(651,282	)

							$	(1,754,511	)

Forward foreign currency exchange contracts outstanding at December 31, 2020:


Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Canadian Dollar,
Expiring 01/20/21		Goldman Sachs International	CAD	340	$	254,444	$	266,931	$	12,487	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A57



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Forward foreign currency exchange contracts outstanding at December 31, 2020 (continued):


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 01/20/21	BNP Paribas S.A.		AUD	559	$	396,731	$	431,341	$	—	$	(34,610	)
British Pound,
Expiring 01/12/21	Citibank, N.A.		GBP	253		338,217		346,255		—		(8,038	)
Expiring 01/12/21	Morgan Stanley & Co. International PLC		GBP	7,313		9,712,674		10,001,924		—		(289,250	)
Canadian Dollar,
Expiring 01/20/21	Morgan Stanley & Co. International PLC		CAD	400		304,708		314,271		—		(9,563	)
Euro,
Expiring 01/12/21	Citibank, N.A.		EUR	830		1,006,629		1,014,520		—		(7,891	)
Expiring 01/12/21	Citibank, N.A.		EUR	705		844,454		861,566		—		(17,112	)
Expiring 01/12/21	HSBC Bank USA, N.A.		EUR	46,972		55,810,873		57,401,650		—		(1,590,777	)
Expiring 01/12/21	HSBC Bank USA, N.A.		EUR	1,284		1,536,697		1,568,907		—		(32,210	)
Expiring 01/12/21	HSBC Bank USA, N.A.		EUR	1,204		1,452,433		1,470,860		—		(18,427	)
Expiring 01/12/21	Morgan Stanley & Co. International PLC		EUR	628		762,012		767,073		—		(5,061	)
Expiring 01/12/21	The Toronto-Dominion Bank		EUR	1,610		1,927,250		1,967,464		—		(40,214	)
South African Rand,
Expiring 03/17/21	Citibank, N.A.		ZAR	4,324		279,179		291,410		—		(12,231	)
Expiring 03/17/21	Morgan Stanley & Co. International PLC		ZAR	7,207		469,895		485,683		—		(15,788	)

					$	74,841,752	$	76,922,924		—		(2,081,172	)

									$	12,487	$	(2,081,172	)

Credit default swap agreements outstanding at December 31, 2020:


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	$	(44,500	)	$	(30,270	)	$	(14,230	)	Bank of America, N.A.
United Mexican States		06/20/23		1.000%(Q)		665		(11,391	)		2,410			(13,801	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		655		(11,220	)		6,016			(17,236	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		(3,768	)		2,263			(6,031	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		(3,768	)		2,078			(5,846	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		215		(3,683	)		733			(4,416	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		115		(1,969	)		417			(2,386	)	Citibank, N.A.
United Mexican States		12/20/24		1.000%(Q)		160		(2,802	)		895			(3,697	)	Citibank, N.A.
United Mexican States		12/20/24		1.000%(Q)		130		(2,277	)		870			(3,147	)	Citibank, N.A.

							$	(85,378	)	$	(14,588	)	$	(70,790	)


Reference Entity/ Obligation	Termination Date	Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2020(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):
Boeing Co.	12/20/21		1.000%(Q)		3,700	0.723%	$	11,240		$	19,462		$	(8,222	)	Bank of America, N.A.
Kingdom of Spain	06/20/23		1.000%(Q)		2,100	0.220%		41,368			18,531			22,837		Bank of America, N.A.
Petroleos Mexicanos	06/20/23		1.000%(Q)		2,205	2.744%		(91,697	)		(36,680	)		(55,017	)	Credit Suisse International
Petroleos Mexicanos	06/20/23		1.000%(Q)		550	2.744%		(22,872	)		(17,712	)		(5,160	)	Citibank, N.A.
Petroleos Mexicanos	06/20/23		1.000%(Q)		545	2.744%		(22,664	)		(21,068	)		(1,596	)	Citibank, N.A.
Petroleos Mexicanos	06/20/23		1.000%(Q)		185	2.744%		(7,694	)		(7,329	)		(365	)	Citibank, N.A.
Petroleos Mexicanos	06/20/23		1.000%(Q)		185	2.744%		(7,693	)		(7,196	)		(497	)	Citibank, N.A.

SEE NOTES TO FINANCIAL STATEMENTS.

A58



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Credit default swap agreements outstanding at December 31, 2020 (continued):


Reference Entity/ Obligation	Termination Date	Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2020(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)(cont’d.):
Petroleos Mexicanos	06/20/23		1.000%(Q)		180	2.744%	$	(7,485	)	$	(5,824	)	$	(1,661)	Citibank, N.A.
Petroleos Mexicanos	06/20/23		1.000%(Q)		90	2.744%		(3,743	)		(2,897	)		(846)	Citibank, N.A.
Petroleos Mexicanos	12/20/24		1.000%(Q)		160	3.330%		(13,826	)		(11,984	)		(1,842)	Citibank, N.A.
Petroleos Mexicanos	12/20/24		1.000%(Q)		130	3.330%		(11,234	)		(9,852	)		(1,382)	Citibank, N.A.
State of Illinois	06/20/24		1.000%(Q)		580	2.716%		(30,623	)		(5,098	)		(25,525)	Citibank, N.A.

							$	(166,923	)	$	(87,647	)	$	(79,276)


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2020(4)			Value at Trade Date		Value at December 31, 2020		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Sell Protection(2):
CDX.NA.HY.35.V1		12/20/25		5.000%(Q)		47,490		2.932	%	$	3,802,077	$	4,501,428	$	699,351

Reference Entity/

Obligation

Termination
Date

Fixed
Rate

Notional
Amount
(000)#(3)

Implied
Credit
Spread at
December 31,
2020(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

(161

)

(2,273

)

2,112

Deutsche Bank AG

(1)

(2)

(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

SEE NOTES TO FINANCIAL STATEMENTS.

A59



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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.

Interest rate swap agreements outstanding at December 31, 2020:


Notional Amount (000)#		Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at December 31, 2020			Unrealized Appreciation (Depreciation)
Centrally Cleared Interest Rate Swap Agreements:
AUD	6,000		02/13/30	1.210%(S)	6 Month BBSW(2)(S)	$	(25	)	$	147,634		$	147,659
BRL	12,664		01/02/25	5.903%(T)	1 Day BROIS(2)(T)		—			117,358			117,358
BRL	6,276		01/02/25	6.640%(T)	1 Day BROIS(2)(T)		—			109,153			109,153
BRL	7,043		01/02/25	6.670%(T)	1 Day BROIS(2)(T)		—			125,169			125,169
BRL	18,662		01/02/25	6.670%(T)	1 Day BROIS(2)(T)		—			330,424			330,424
CNH	16,230		06/14/24	2.900%(Q)	7 Day China Fixing Repo Rates(2)(Q)		40			26,969			26,929
CNH	46,000		06/28/24	2.901%(Q)	7 Day China Fixing Repo Rates(2)(Q)		—			74,127			74,127
CNH	16,400		09/19/24	2.940%(Q)	7 Day China Fixing Repo Rates(2)(Q)		(11	)		30,378			30,389
CNH	15,700		10/10/24	2.860%(Q)	7 Day China Fixing Repo Rates(2)(Q)		(7	)		24,030			24,037
COP	3,909,000		02/18/25	4.505%(Q)	1 Day COOIS(2)(Q)		—			76,813			76,813
COP	6,724,755		02/21/25	4.565%(Q)	1 Day COOIS(2)(Q)		—			130,286			130,286
COP	2,761,000		02/18/30	5.072%(Q)	1 Day COOIS(2)(Q)		—			80,275			80,275
COP	1,932,000		02/18/30	5.081%(Q)	1 Day COOIS(2)(Q)		—			54,319			54,319
COP	4,156,000		02/24/30	5.078%(Q)	1 Day COOIS(2)(Q)		—			116,443			116,443
EUR	3,815		05/11/26	0.250%(A)	1 Day EONIA(1)(A)		(62,921	)		(211,849	)		(148,928	)
EUR	3,815		05/11/28	0.500%(A)	1 Day EONIA(2)(A)		322,464			360,034			37,570
GBP	977		10/22/28	0.680%(A)	1 Day SONIA(1)(A)		—			(64,075	)		(64,075	)
GBP	2,100		05/08/30	1.100%(A)	1 Day SONIA(1)(A)		(145,549	)		(278,072	)		(132,523	)
GBP	230		05/08/34	1.200%(A)	1 Day SONIA(1)(A)		(9,088	)		(42,442	)		(33,354	)
HUF	99,000		02/13/30	1.595%(A)	6 Month BUBOR(2)(S)		—			8,108			8,108
HUF	1,548,000		02/14/30	1.605%(A)	6 Month BUBOR(2)(S)		—			131,536			131,536
HUF	432,000		02/18/30	1.803%(A)	6 Month BUBOR(2)(S)		—			64,186			64,186
NZD	2,100		02/14/30	1.523%(S)	3 Month BBR(2)(Q)		—			90,151			90,151
	3,100		02/14/30	1.382%(A)	1 Day USOIS(1)(A)		—			(230,855	)		(230,855	)
ZAR	102,100		07/07/25	5.160%(Q)	3 Month JIBAR(1)(Q)		(3,670	)		(210,296	)		(206,626	)
ZAR	24,600		12/17/25	4.855%(Q)	3 Month JIBAR(1)(Q)		—			(11,397	)		(11,397	)
ZAR	27,400		02/11/30	7.481%(Q)	3 Month JIBAR(2)(Q)		(1,167	)		163,459			164,626
ZAR	36,800		02/28/30	7.500%(Q)	3 Month JIBAR(2)(Q)		(10,698	)		215,772			226,470
ZAR	19,800		03/02/30	7.625%(Q)	3 Month JIBAR(2)(Q)		519			127,458			126,939
ZAR	22,200		03/12/30	7.840%(Q)	3 Month JIBAR(2)(Q)		(194	)		164,075			164,269
ZAR	14,700		03/12/30	7.900%(Q)	3 Month JIBAR(2)(Q)		(134	)		113,002			113,136
ZAR	58,300		03/18/30	10.650%(Q)	3 Month JIBAR(2)(Q)		—			275,560			275,560
ZAR	6,400		03/27/30	9.150%(Q)	3 Month JIBAR(2)(Q)		(128	)		87,594			87,722
ZAR	12,600		04/01/30	8.600%(Q)	3 Month JIBAR(2)(Q)		(52	)		148,946			148,998
ZAR	29,700		04/03/30	9.300%(Q)	3 Month JIBAR(2)(Q)		(585	)		456,147			456,732
ZAR	61,200		07/07/30	7.040%(Q)	3 Month JIBAR(2)(Q)		(1,669	)		214,336			216,005

						$	87,125		$	3,014,756		$	2,927,631

(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 December 31, 2020:


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		992	$	(601	)	$	(2,784	)	$	2,183

(1)

SEE NOTES TO FINANCIAL STATEMENTS.

A60



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

(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 Swap Agreements:


	Premiums Paid		Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	53,675	$	(160,967	)	$	27,132	$	(172,903	)

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


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	16,979,550

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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Asset-Backed Securities
Automobiles	$	—	$	15,451,951	$	—
Collateralized Loan Obligations		—		237,659,343		—
Consumer Loans		—		22,342,629		—
Credit Cards		—		4,521,721		—
Home Equity Loans		—		638,861		—
Other		—		2,290,519		—
Residential Mortgage-Backed Securities		—		9,523,621		—
Student Loans		—		23,608,306		—
Bank Loans		—		10,275,184		—
Commercial Mortgage-Backed Securities		—		198,395,309		—
Corporate Bonds		—		508,563,272		—
Municipal Bonds		—		23,471,898		—
Residential Mortgage-Backed Securities		—		90,728,911		10,127,687
Sovereign Bonds		—		82,063,114		—
U.S. Government Agency Obligations		—		28,462,979		—
U.S. Treasury Obligations		—		16,005,303		—
Preferred Stocks		2,296,100		—		—
Affiliated Mutual Funds		58,145,052		—		—

Total	$	60,441,152	$	1,274,002,921	$	10,127,687

Other Financial Instruments*
Assets
Futures Contracts	$	197,898	$	—	$	—
OTC Forward Foreign Currency Exchange Contract		—		12,487		—
Centrally Cleared Credit Default Swap Agreement		—		699,351		—
OTC Credit Default Swap Agreements		—		52,608		—
Centrally Cleared Interest Rate Swap Agreements		—		3,755,389		—

Total	$	197,898	$	4,519,835	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A61



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1			Level 2			Level 3
*Other Financial Instruments (continued)**
Liabilities
Futures Contracts	$	(1,952,409	)	$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			(2,081,172	)		—
OTC Credit Default Swap Agreements		—			(305,070	)		—
Centrally Cleared Interest Rate Swap Agreements		—			(827,758	)		—
OTC Total Return Swap Agreement		—			(601	)		—

Total	$	(1,952,409	)	$	(3,214,601	)	$	—

The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:


	Bank Loans			Residential Mortgage-Backed Securities
Balance as of 12/31/19	$	1,051,134		$	11,680,644
Realized gain (loss)		—			—
Change in unrealized appreciation (depreciation)		—			(27,853	)
Purchases/Exchanges/Issuances		—			6,361,643
Sales/Paydowns		—			(7,886,747	)
Accrued discount/premium		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		(1,051,134	)		—

Balance as of 12/31/20	$	—		$	10,127,687

Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end	$	—		$	(27,853	)

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:


Level 3 Securities	Fair Value as of December 31, 2020		Valuation Methodology		Unobservable Inputs
Residential Mortgage-Backed Securities	$	10,127,687		Market Approach	Single Broker Indicative Quote

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 are as follows:


Investments in Securities	Amount Transferred		Level Transfer	Logic
Bank Loans	$	1,051,134	L3 to L2	Single Broker Indicative Quote to Multiple Broker Quotes

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Collateralized Loan Obligations	18.4	%
Commercial Mortgage-Backed Securities	15.3
Banks	8.6
Residential Mortgage-Backed Securities	8.5
Sovereign Bonds	6.4
Affiliated Mutual Funds (3.4% represents investments purchased with collateral from securities on loan)	4.5
Pharmaceuticals	3.1
Oil & Gas	3.1
Electric	2.9


Telecommunications	2.5	%
Media	2.3
U.S. Government Agency Obligations	2.2
Pipelines	1.9
Student Loans	1.8
Municipal Bonds	1.8
Consumer Loans	1.7
U.S. Treasury Obligations	1.2
Automobiles	1.2
Retail	1.2

SEE NOTES TO FINANCIAL STATEMENTS.

A62



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Industry Classification (continued):


Commercial Services	1.1	%
Chemicals	1.1
Semiconductors	1.0
Insurance	1.0
Healthcare-Services	1.0
Auto Manufacturers	0.9
Foods	0.8
Airlines	0.6
Auto Parts & Equipment	0.5
Aerospace & Defense	0.5
Healthcare-Products	0.5
Diversified Financial Services	0.4
Lodging	0.4
Real Estate Investment Trusts (REITs)	0.4
Miscellaneous Manufacturing	0.4
Agriculture	0.4
Software	0.4
Credit Cards	0.4
Machinery-Diversified	0.3
Beverages	0.3
Entertainment	0.3
Multi-National	0.3
Gas	0.3
Building Materials	0.2
Mining	0.2


Engineering & Construction	0.2	%
Other	0.2
Home Builders	0.2
Real Estate	0.2
Savings & Loans	0.1
Forest Products & Paper	0.1
Packaging & Containers	0.1
Apparel	0.1
Electrical Components & Equipment	0.1
Electronics	0.1
Capital Markets	0.1
Computers	0.1
Home Equity Loans	0.1
Machinery-Construction & Mining	0.0	*
Housewares	0.0	*
Water	0.0	*
Oil & Gas Services	0.0	*
Textiles	0.0	*
Transportation	0.0	*

	104.0
Liabilities in excess of other assets	(4.0	)

	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 values of derivative instruments as of December 31, 2020 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	$	699,351	*	—	$	—
Credit contracts	Premiums paid for OTC swap agreements		53,675		Premiums received for OTC swap agreements		158,183
Credit contracts	Unrealized appreciation on OTC swap agreements		24,949		Unrealized depreciation on OTC swap agreements		172,903
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		12,487		Unrealized depreciation on OTC forward foreign currency exchange contracts		2,081,172
Interest rate contracts	Due from/to broker-variation margin futures		197,898	*	Due from/to broker-variation margin futures		1,952,409	*
Interest rate contracts	Due from/to broker-variation margin swaps		3,755,389	*	Due from/to broker-variation margin swaps		827,758	*
Interest rate contracts	—		—		Premiums received for OTC swap agreements		2,784
Interest rate contracts	Unrealized appreciation on OTC swap agreements		2,183		—		—

		$	4,745,932			$	5,195,209

SEE NOTES TO FINANCIAL STATEMENTS.

A63



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

*	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 year ended December 31, 2020 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 & Cross Currency Exchange Contracts			Swaps
Credit contracts	$	—	$	(8,252,678	)	$	—	$	—		$	5,680,952
Foreign exchange contracts		—		—			—		(3,100,389	)		—
Interest rate contracts		1,131,352		—			34,449,291		—			(39,582,580	)

Total	$	1,131,352	$	(8,252,678	)	$	34,449,291	$	(3,100,389	)	$	(33,901,628	)

(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 & Cross Currency Exchange Contracts			Swaps
Credit contracts	$	—		$	(33,112	)	$	—	$	—		$	794,408
Foreign exchange contracts		—			—			—		(1,048,812	)		—
Interest rate contracts		(415,466	)		—			3,229,232		—			21,016,604

Total	$	(415,466	)	$	(33,112	)	$	3,229,232	$	(1,048,812	)	$	21,811,012

(2)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. For the year ended December 31, 2020, 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)

$13,827

$51,594,000

$423,603,618

$611,946,861

$34,029,651

Forward Foreign

Currency Exchange

Contracts—Sold(3)

Interest Rate

Swap

Agreements(2)

Credit Default

Swap Agreements—

Buy Protection(2)

$94,622,815

$478,991,373

$60,975,906

Credit Default

Swap Agreements—

Sell Protection(2)

Total Return

Swap

Agreements(2)

$133,840,244

$1,183,262

(1)

Cost.

(2)	Notional Amount in USD.

(3)	Value at Settlement Date.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

SEE NOTES TO FINANCIAL STATEMENTS.

A64



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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

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	$	43,132,940	$	(43,132,940	)	$	—

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.	$	60,830	$	(52,722	)	$	8,108		$	(8,108	)	$	—
BNP Paribas S.A.		—		(34,610	)		(34,610	)		—			(34,610	)
Citibank, N.A.		15,682		(229,666	)		(213,984	)		213,984			—
Credit Suisse International		2,183		(94,481	)		(92,298	)		92,298			—
Deutsche Bank AG		2,112		(2,273	)		(161	)		—			(161	)
Goldman Sachs International		12,487		—			12,487			—			12,487
HSBC Bank USA, N.A.		—		(1,641,414	)		(1,641,414	)		1,641,414			—
Morgan Stanley & Co. International PLC		—		(319,662	)		(319,662	)		270,000			(49,662	)
The Toronto-Dominion Bank		—		(40,214	)		(40,214	)		—			(40,214	)

	$	93,294	$	(2,415,042	)	$	(2,321,748	)	$	2,209,588		$	(112,160	)

(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.

A65



		*DIVERSIFIED BOND PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $43,132,940:
Unaffiliated investments (cost $1,206,363,004)	$	1,286,426,708
Affiliated investments (cost $58,131,060)		58,145,052
Cash segregated for counterparty — OTC		793,000
Foreign currency, at value (cost $163,932)		164,390
Cash		42,959
Dividends and interest receivable		8,987,139
Due from broker-variation margin futures		571,640
Receivable for Portfolio shares sold		202,501
Due from broker-variation margin swaps		62,108
Premiums paid for OTC swap agreements		53,675
Unrealized appreciation on OTC swap agreements		27,132
Tax reclaim receivable		26,366
Receivable for investments sold		19,604
Unrealized appreciation on OTC forward foreign currency exchange contracts		12,487
Prepaid expenses		12,463

Total Assets		1,355,547,224

LIABILITIES
Payable to broker for collateral for securities on loan		44,043,328
Payable for investments purchased		15,359,440
Unrealized depreciation on OTC forward foreign currency exchange contracts		2,081,172
Management fee payable		435,376
Payable for Portfolio shares purchased		376,281
Accrued expenses and other liabilities		306,402
Unrealized depreciation on OTC swap agreements		172,903
Premiums received for OTC swap agreements		160,967
Trustees’ fees payable		2,318
Affiliated transfer agent fee payable		980

Total Liabilities		62,939,167

NET ASSETS	$	1,292,608,057

Net assets were comprised of:
Partners’ Equity	$	1,292,608,057

Net asset value and redemption price per share, $1,292,608,057 / 81,908,846 outstanding shares of beneficial interest	$	15.78

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	41,921,543
Unaffiliated dividend income		133,188
Affiliated dividend income		120,067
Income from securities lending, net (including affiliated income of $102,579)		106,420

Total income		42,281,218

EXPENSES
Management fee		4,939,610
Custodian and accounting fees		143,259
Shareholders’ reports		105,214
Audit fee		56,035
Legal fees and expenses		29,034
Trustees’ fees		25,280
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		32,988

Total expenses		5,342,103

NET INVESTMENT INCOME (LOSS)		36,939,115

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of
$(35,703))		10,185,875
Futures transactions		34,449,291
Forward and cross currency contract transactions		(3,100,389	)
Options written transactions		(8,252,678	)
Swap agreements transactions		(33,901,628	)
Foreign currency transactions		(95,487	)

		(715,016	)

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $9,715)		40,355,722
Futures		3,229,232
Forward and cross currency contracts		(1,048,812	)
Options written		(33,112	)
Swap agreements		21,811,012
Foreign currencies		(292,393	)

		64,021,649

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		63,306,633

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	100,245,748

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	36,939,115		$	41,162,817
Net realized gain (loss) on investment and foreign currency transactions		(715,016	)		77,712,920
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		64,021,649			1,002,602

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		100,245,748			119,878,339

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [7,159,168 and 3,069,133 shares, respectively]		108,389,140			43,101,026
Portfolio shares purchased [7,041,212 and 6,864,355 shares, respectively]		(106,131,559	)		(95,800,032	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		2,257,581			(52,699,006	)

TOTAL INCREASE (DECREASE)		102,503,329			67,179,333
NET ASSETS:
Beginning of year		1,190,104,728			1,122,925,395

End of year	$	1,292,608,057		$	1,190,104,728

SEE NOTES TO FINANCIAL STATEMENTS.

A66



		*EQUITY PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 99.2%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 1.9%
Airbus SE (France)*		250,596	$	27,536,332
Raytheon Technologies Corp.		601,101		42,984,732
Safran SA (France)*		265,243		37,744,410

				108,265,474

Air Freight & Logistics — 0.6%
FedEx Corp.		139,749		36,281,635

Automobiles — 5.0%
General Motors Co.		1,257,566		52,365,048
Tesla, Inc.*(a)		326,217		230,201,551

				282,566,599

Banks — 4.9%
Bank of America Corp.		1,996,681		60,519,401
Citigroup, Inc.		770,439		47,505,269
JPMorgan Chase & Co.		648,306		82,380,244
PNC Financial Services Group, Inc. (The)		313,584		46,724,016
Truist Financial Corp.		830,280		39,795,320

				276,924,250

Beverages — 0.6%
PepsiCo, Inc.		246,730		36,590,059

Biotechnology — 0.7%
Sarepta Therapeutics, Inc.*(a)		101,977		17,386,059
Vertex Pharmaceuticals, Inc.*		103,892		24,553,835

				41,939,894

Building Products — 1.1%
Johnson Controls International PLC		1,293,017		60,241,662

Capital Markets — 1.9%
Blackstone Group, Inc. (The) (Class A Stock)		278,853		18,072,463
Goldman Sachs Group, Inc. (The)		239,754		63,225,528
S&P Global, Inc.		72,962		23,984,798

				105,282,789

Chemicals — 2.1%
FMC Corp.		402,333		46,240,132
Linde PLC (United Kingdom)		279,016		73,523,506

				119,763,638

Consumer Finance — 1.2%
Capital One Financial Corp.		375,691		37,137,055
SLM Corp.		2,482,612		30,759,563

				67,896,618

Containers & Packaging — 0.7%
Crown Holdings, Inc.*		367,550		36,828,510

Diversified Telecommunication Services — 0.9%
Verizon Communications, Inc.		914,796		53,744,265

Electric Utilities — 0.8%
American Electric Power Co., Inc.		521,441		43,420,392

Entertainment — 4.4%
Netflix, Inc.*		199,715		107,991,892


COMMON STOCKS (continued)	Shares		Value
Entertainment (cont’d.)
Spotify Technology SA*		201,412	$	63,376,300
Walt Disney Co. (The)*		441,981		80,078,117

				251,446,309

Food & Staples Retailing — 1.1%
Walmart, Inc.		428,409		61,755,157

Food Products — 0.9%
Mondelez International, Inc. (Class A Stock)		824,252		48,194,014

Health Care Equipment & Supplies — 1.3%
Danaher Corp.		76,085		16,901,522
DexCom, Inc.*		49,114		18,158,428
Zimmer Biomet Holdings, Inc.		242,438		37,357,271

				72,417,221

Health Care Providers & Services — 1.2%
Cigna Corp.		157,552		32,799,176
Laboratory Corp. of America Holdings*		172,204		35,052,124

				67,851,300

Health Care Technology — 0.5%
Teladoc Health, Inc.*(a)		154,028		30,799,439

Hotels, Restaurants & Leisure — 0.9%
Airbnb, Inc. (Class A Stock)*		15,073		2,212,716
McDonald’s Corp.		152,795		32,786,751
Royal Caribbean Cruises Ltd.		205,223		15,328,106

				50,327,573

Household Durables — 0.5%
D.R. Horton, Inc.		423,143		29,163,016

Household Products — 0.6%
Procter & Gamble Co. (The)		239,033		33,259,052

Insurance — 2.3%
Chubb Ltd.		362,217		55,752,440
Marsh & McLennan Cos., Inc.		286,259		33,492,303
MetLife, Inc.		851,324		39,969,662

				129,214,405

Interactive Media & Services — 6.9%
Alphabet, Inc. (Class A Stock)*		64,571		113,169,717
Alphabet, Inc. (Class C Stock)*		28,166		49,343,452
Facebook, Inc. (Class A Stock)*		459,905		125,627,650
Match Group, Inc.*		642,301		97,109,488
Tencent Holdings Ltd. (China)		123,516		8,972,155

				394,222,462

Internet & Direct Marketing Retail — 6.9%
Amazon.com, Inc.*		72,951		237,596,301
Chewy, Inc. (Class A Stock)*(a)		445,040		40,004,646
Farfetch Ltd. (United Kingdom) (Class A Stock)*		406,978		25,969,266
MercadoLibre, Inc. (Argentina)*		52,047		87,190,175

				390,760,388

IT Services — 11.5%
Adyen NV (Netherlands), 144A*		45,073		105,167,149
Mastercard, Inc. (Class A Stock)		193,812		69,179,255

SEE NOTES TO FINANCIAL STATEMENTS.

A67



		*EQUITY PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
IT Services (cont’d.)
PayPal Holdings, Inc.*		392,377	$	91,894,693
Shopify, Inc. (Canada) (Class A Stock)*		112,956		127,860,544
Snowflake, Inc. (Class A Stock)*(a)		99,374		27,963,844
Square, Inc. (Class A Stock)*		327,992		71,384,179
Twilio, Inc. (Class A Stock)*		227,028		76,848,978
Visa, Inc. (Class A Stock)(a)		378,242		82,732,873

				653,031,515

Leisure Products — 1.0%
Peloton Interactive, Inc. (Class A Stock)*		372,639		56,536,789

Machinery — 1.1%
Fortive Corp.		398,969		28,254,985
Otis Worldwide Corp.		500,961		33,839,915

				62,094,900

Multi-Utilities — 1.0%
Dominion Energy, Inc.		759,773		57,134,930

Oil, Gas & Consumable Fuels — 1.6%
Chevron Corp.		1,090,506		92,093,232

Personal Products — 0.9%
Estee Lauder Cos., Inc. (The) (Class A Stock)		188,010		50,046,382

Pharmaceuticals — 2.7%
AstraZeneca PLC (United Kingdom), ADR(a)		1,286,388		64,306,536
Bristol-Myers Squibb Co.		530,038		32,878,257
Eli Lilly & Co.		324,149		54,729,317

				151,914,110

Road & Rail — 2.2%
Uber Technologies, Inc.*		1,253,697		63,938,547
Union Pacific Corp.		288,307		60,031,284

				123,969,831

Semiconductors & Semiconductor Equipment — 5.3%
Broadcom, Inc.		125,299		54,862,167
NVIDIA Corp.		181,281		94,664,938
QUALCOMM, Inc.		336,718		51,295,620
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan), ADR		452,792		49,372,440
Texas Instruments, Inc.		322,975		53,009,887

				303,205,052

Software — 9.5%
Adobe, Inc.*		209,475		104,762,637
Atlassian Corp. PLC (Class A Stock)*		150,441		35,183,637
Coupa Software, Inc.*		175,469		59,468,199
Crowdstrike Holdings, Inc. (Class A Stock)*		222,317		47,091,187
Microsoft Corp.		648,523		144,244,486
PTC, Inc.*		199,478		23,859,563
RingCentral, Inc. (Class A Stock)*		100,354		38,031,155
SAP SE (Germany), ADR(a)		258,994		33,770,228
Trade Desk, Inc. (The) (Class A Stock)*		51,028		40,873,428


COMMON STOCKS (continued)	Shares		Value
Software (cont’d.)
Zoom Video Communications, Inc. (Class A Stock)*		29,964	$	10,107,456

				537,391,976

Specialty Retail — 2.6%
Advance Auto Parts, Inc.		118,160		18,611,382
Home Depot, Inc. (The)		146,650		38,953,173
Lowe’s Cos., Inc.		327,195		52,518,069
Ross Stores, Inc.		314,684		38,646,342

				148,728,966

Technology Hardware, Storage & Peripherals — 5.8%
Apple, Inc.		2,475,409		328,462,020

Textiles, Apparel & Luxury Goods — 3.5%
Lululemon Athletica, Inc.*		166,215		57,847,806
LVMH Moet Hennessy Louis Vuitton SE (France)		100,585		62,792,198
NIKE, Inc. (Class B Stock)		568,558		80,433,900

				201,073,904

Trading Companies & Distributors — 0.6%
United Rentals, Inc.*		149,302		34,624,627

TOTAL LONG-TERM INVESTMENTS (cost $3,143,790,788)				5,629,464,355


SHORT-TERM INVESTMENTS — 9.6%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		34,536,497		34,536,497
PGIM Institutional Money Market Fund (cost $509,050,741; includes $509,005,347 of cash collateral for securities on loan)(b)(w)		509,583,640		509,328,849

TOTAL SHORT-TERM INVESTMENTS (cost $543,587,238)				543,865,346

TOTAL INVESTMENTS — 108.8% (cost $3,687,378,026)				6,173,329,701
Liabilities in excess of other assets — (8.8)%				(498,972,752	)

NET ASSETS — 100.0%			$	5,674,356,949

See the Glossary for a list of the abbreviation(s) used in the annual 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 $498,160,026; cash collateral of $509,005,347 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A68



		*EQUITY PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	42,984,732	$	65,280,742	$	—
Air Freight & Logistics		36,281,635		—		—
Automobiles		282,566,599		—		—
Banks		276,924,250		—		—
Beverages		36,590,059		—		—
Biotechnology		41,939,894		—		—
Building Products		60,241,662		—		—
Capital Markets		105,282,789		—		—
Chemicals		119,763,638		—		—
Consumer Finance		67,896,618		—		—
Containers & Packaging		36,828,510		—		—
Diversified Telecommunication Services		53,744,265		—		—
Electric Utilities		43,420,392		—		—
Entertainment		251,446,309		—		—
Food & Staples Retailing		61,755,157		—		—
Food Products		48,194,014		—		—
Health Care Equipment & Supplies		72,417,221		—		—
Health Care Providers & Services		67,851,300		—		—
Health Care Technology		30,799,439		—		—
Hotels, Restaurants & Leisure		50,327,573		—		—
Household Durables		29,163,016		—		—
Household Products		33,259,052		—		—
Insurance		129,214,405		—		—
Interactive Media & Services		385,250,307		8,972,155		—
Internet & Direct Marketing Retail		390,760,388		—		—
IT Services		547,864,366		105,167,149		—
Leisure Products		56,536,789		—		—
Machinery		62,094,900		—		—
Multi-Utilities		57,134,930		—		—
Oil, Gas & Consumable Fuels		92,093,232		—		—
Personal Products		50,046,382		—		—
Pharmaceuticals		151,914,110		—		—
Road & Rail		123,969,831		—		—
Semiconductors & Semiconductor Equipment		303,205,052		—		—
Software		537,391,976		—		—
Specialty Retail		148,728,966		—		—
Technology Hardware, Storage & Peripherals		328,462,020		—		—
Textiles, Apparel & Luxury Goods		138,281,706		62,792,198		—
Trading Companies & Distributors		34,624,627		—		—
Affiliated Mutual Funds		543,865,346		—		—

Total	$	5,931,117,457	$	242,212,244	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A69



		*EQUITY PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


IT Services	11.5	%
Affiliated Mutual Funds (9.0% represents investments purchased with collateral from securities on loan)	9.6
Software	9.5
Interactive Media & Services	6.9
Internet & Direct Marketing Retail	6.9
Technology Hardware, Storage & Peripherals	5.8
Semiconductors & Semiconductor Equipment	5.3
Automobiles	5.0
Banks	4.9
Entertainment	4.4
Textiles, Apparel & Luxury Goods	3.5
Pharmaceuticals	2.7
Specialty Retail	2.6
Insurance	2.3
Road & Rail	2.2
Chemicals	2.1
Aerospace & Defense	1.9
Capital Markets	1.9
Oil, Gas & Consumable Fuels	1.6
Health Care Equipment & Supplies	1.3
Consumer Finance	1.2
Health Care Providers & Services	1.2


Machinery	1.1	%
Food & Staples Retailing	1.1
Building Products	1.1
Multi-Utilities	1.0
Leisure Products	1.0
Diversified Telecommunication Services	0.9
Hotels, Restaurants & Leisure	0.9
Personal Products	0.9
Food Products	0.9
Electric Utilities	0.8
Biotechnology	0.7
Containers & Packaging	0.7
Beverages	0.6
Air Freight & Logistics	0.6
Trading Companies & Distributors	0.6
Household Products	0.6
Health Care Technology	0.5
Household Durables	0.5

	108.8
Liabilities in excess of other assets	(8.8	)

	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	$	498,160,026	$	(498,160,026	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A70



		*EQUITY PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $498,160,026:
Unaffiliated investments (cost $3,143,790,788)	$	5,629,464,355
Affiliated investments (cost $543,587,238)		543,865,346
Cash		44
Receivable for investments sold		16,450,268
Dividends receivable		2,080,393
Tax reclaim receivable		1,210,641
Receivable for Portfolio shares sold		879
Prepaid expenses and other assets		416,774

Total Assets		6,193,488,700

LIABILITIES
Payable to broker for collateral for securities on loan		509,005,347
Payable for Portfolio shares purchased		4,603,424
Payable for investments purchased		2,395,160
Management fee payable		2,135,273
Payable to affiliate		686,629
Accrued expenses and other liabilities		296,730
Trustees’ fees payable		7,005
Affiliated transfer agent fee payable		980
Payable to custodian		446
Distribution fee payable		416
Administration fee payable		341

Total Liabilities		519,131,751

NET ASSETS	$	5,674,356,949

Net assets were comprised of:
Partners’ Equity	$	5,674,356,949

Class I:
Net asset value and redemption price per share, $5,672,354,556 / 69,595,254 outstanding shares of beneficial interest	$	81.50

Class II:
Net asset value and redemption price per share, $2,002,393 / 25,098 outstanding shares of beneficial interest	$	79.78

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $261,838 foreign withholding tax)	$	59,096,365
Income from securities lending, net (including affiliated income of $819,055)		895,632
Affiliated dividend income		687,233

Total income		60,679,230

EXPENSES
Management fee		21,503,309
Distribution fee—Class II		4,236
Administration fee—Class II		2,542
Custodian and accounting fees		304,897
Shareholders’ reports		302,695
Trustees’ fees		71,541
Legal fees and expenses		43,411
Audit fee		30,971
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		110,185

Total expenses		22,384,469

NET INVESTMENT INCOME (LOSS)		38,294,761

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $372,577)		537,194,844
Foreign currency transactions		(39,176	)

		537,155,668

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $217,230)		719,946,180
Foreign currencies		11,696

		719,957,876

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		1,257,113,544

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,295,408,305

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	38,294,761		$	51,222,459
Net realized gain (loss) on investment and foreign currency transactions		537,155,668			305,388,687
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		719,957,876			742,710,537

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		1,295,408,305			1,099,321,683

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		10,494,011			5,848,700
Portfolio shares purchased		(344,263,770	)		(313,517,496	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(333,769,759	)		(307,668,796	)

CAPITAL CONTRIBUTIONS		—			3

TOTAL INCREASE (DECREASE)		961,638,546			791,652,890
NET ASSETS:
Beginning of year		4,712,718,403			3,921,065,513

End of year	$	5,674,356,949		$	4,712,718,403

SEE NOTES TO FINANCIAL STATEMENTS.

A71



		*FLEXIBLE MANAGED PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 95.4%
COMMON STOCKS — 62.7%	Shares		Value
Aerospace & Defense — 1.5%
L3Harris Technologies, Inc.		51,300	$	9,696,726
Lockheed Martin Corp.		60,600		21,511,788
Northrop Grumman Corp.		59,400		18,100,368
Raytheon Technologies Corp.		246,000		17,591,460

				66,900,342

Air Freight & Logistics — 0.0%
Deutsche Post AG (Germany)		8,660		436,413
SG Holdings Co. Ltd. (Japan)		9,900		270,240
Yamato Holdings Co. Ltd. (Japan)		8,900		226,908

				933,561

Auto Components — 0.0%
BorgWarner, Inc.		41,900		1,619,016
Cie Generale des Etablissements Michelin SCA (France)		1,500		192,737
Continental AG (Germany)		300		44,612
Faurecia SE (France)*		224		11,510
NGK Spark Plug Co. Ltd. (Japan)		900		15,371
Stanley Electric Co. Ltd. (Japan)		300		9,679
Toyota Industries Corp. (Japan)		400		31,790

				1,924,715

Automobiles — 0.5%
Bayerische Motoren Werke AG (Germany)		1,908		170,860
Daimler AG (Germany)		6,942		492,496
Fiat Chrysler Automobiles NV (United Kingdom)*		2,982		53,609
Ford Motor Co.		199,900		1,757,121
General Motors Co.		516,500		21,507,060
Peugeot SA (France)*		1,594		43,834
Suzuki Motor Corp. (Japan)		700		32,468
Toyota Motor Corp. (Japan)		5,500		424,221
Volkswagen AG (Germany)		88		18,376

				24,500,045

Banks — 2.0%
Aozora Bank Ltd. (Japan)		700		12,907
Banco Bilbao Vizcaya Argentaria SA (Spain)		16,284		80,720
Bank of America Corp.		129,250		3,917,567
Barclays PLC (United Kingdom)*		62,877		126,516
BNP Paribas SA (France)*		3,437		181,953
BOC Hong Kong Holdings Ltd. (China)		17,000		51,605
Chiba Bank Ltd. (The) (Japan)		45,800		252,867
Citigroup, Inc.		494,450		30,487,787
Commonwealth Bank of Australia (Australia)		4,781		304,086
Credit Agricole SA (France)*		3,115		39,742
Danske Bank A/S (Denmark)*		1,851		30,421
DBS Group Holdings Ltd. (Singapore)		21,700		411,979
DNB ASA (Norway)*		19,848		385,013
Erste Group Bank AG (Austria)*		749		22,921
FNB Corp.		245,500		2,332,250
Intesa Sanpaolo SpA (Italy)*		45,259		106,070
Japan Post Bank Co. Ltd. (Japan)		1,000		8,198


COMMON STOCKS (continued)	Shares		Value
Banks (cont’d.)
JPMorgan Chase & Co.		101,694	$	12,922,257
KBC Group NV (Belgium)*		693		48,851
Mebuki Financial Group, Inc. (Japan)		134,900		265,192
Mediobanca Banca di Credito Finanziario SpA (Italy)*		2,950		27,302
Mitsubishi UFJ Financial Group, Inc. (Japan)		14,200		62,769
Mizuho Financial Group, Inc. (Japan)		6,340		80,525
Nordea Bank Abp (Finland)*		8,835		72,604
Oversea-Chinese Banking Corp. Ltd. (Singapore)		39,500		300,730
PacWest Bancorp		91,000		2,311,400
Popular, Inc. (Puerto Rico)		92,900		5,232,128
Resona Holdings, Inc. (Japan)		5,600		19,557
Sumitomo Mitsui Financial Group, Inc. (Japan)		3,400		104,906
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		900		27,706
Swedbank AB (Sweden) (Class A Stock)*		7,129		124,721
United Overseas Bank Ltd. (Singapore).		3,300		56,434
Wells Fargo & Co.		942,400		28,441,632

				88,851,316

Beverages — 0.6%
Carlsberg A/S (Denmark) (Class B Stock)		275		43,808
Coca-Cola Co. (The)		71,500		3,921,060
Coca-Cola HBC AG (Switzerland)*		545		17,767
Kirin Holdings Co. Ltd. (Japan)		2,200		51,875
Monster Beverage Corp.*		192,900		17,839,392
PepsiCo, Inc.		19,020		2,820,666

				24,694,568

Biotechnology — 1.6%
AbbVie, Inc.		289,300		30,998,495
Biogen, Inc.*		53,700		13,148,982
CSL Ltd. (Australia)		183		40,152
Gilead Sciences, Inc.		344,950		20,096,787
Vertex Pharmaceuticals, Inc.*		26,800		6,333,912

				70,618,328

Building Products — 0.5%
AGC, Inc. (Japan)		600		20,951
American Woodmark Corp.*		13,900		1,304,515
Cie de Saint-Gobain (France)*		4,726		218,056
Fortune Brands Home & Security, Inc.		16,100		1,380,092
Geberit AG (Switzerland)		98		61,862
Kingspan Group PLC (Ireland)*		406		28,551
Lixil Corp. (Japan)		700		15,148
Masco Corp.		257,800		14,160,954
UFP Industries, Inc.		100,900		5,604,995
Xinyi Glass Holdings Ltd. (Hong Kong)		6,000		16,757

				22,811,881

Capital Markets — 2.2%
3i Group PLC (United Kingdom)		2,622		41,702
Affiliated Managers Group, Inc.		59,000		6,000,300

SEE NOTES TO FINANCIAL STATEMENTS.

A72



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Capital Markets (cont’d.)
Ameriprise Financial, Inc.		111,650	$	21,696,944
Bank of New York Mellon Corp. (The)		228,900		9,714,516
Cboe Global Markets, Inc.		75,300		7,011,936
Credit Suisse Group AG (Switzerland)		13,950		182,399
Federated Hermes, Inc.		154,900		4,475,061
Goldman Sachs Group, Inc. (The)		88,800		23,417,448
Hargreaves Lansdown PLC (United Kingdom)		867		18,144
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		3,300		181,565
Julius Baer Group Ltd. (Switzerland)		607		34,900
Magellan Financial Group Ltd. (Australia)		1,438		59,908
Morgan Stanley		304,500		20,867,385
Nomura Holdings, Inc. (Japan)		29,200		154,483
Raymond James Financial, Inc.		45,200		4,324,284
SBI Holdings, Inc. (Japan)		700		16,612
Schroders PLC (United Kingdom)		340		15,555
UBS Group AG (Switzerland)		32,097		460,091

				98,673,233

Chemicals — 1.0%
Akzo Nobel NV (Netherlands)		512		55,139
BASF SE (Germany)		1,215		95,963
Corteva, Inc.		204,500		7,918,240
Covestro AG (Germany), 144A		992		61,527
Element Solutions, Inc.		75,200		1,333,296
Evonik Industries AG (Germany)		559		18,280
Huntsman Corp.		108,400		2,725,176
ICL Group Ltd. (Israel)		2,000		10,230
LANXESS AG (Germany)		229		17,628
Linde PLC (United Kingdom)		15,100		3,979,001
Mitsubishi Gas Chemical Co., Inc. (Japan)		900		20,688
Mitsui Chemicals, Inc. (Japan)		500		14,720
Nitto Denko Corp. (Japan)		1,000		89,547
PPG Industries, Inc.		14,000		2,019,080
RPM International, Inc.		39,700		3,603,966
Sensient Technologies Corp.		26,000		1,918,020
Sherwin-Williams Co. (The)		25,700		18,887,187
Shin-Etsu Chemical Co. Ltd. (Japan)		1,900		332,601
Tosoh Corp. (Japan)		700		10,953
Yara International ASA (Brazil)		474		19,842

				43,131,084

Commercial Services & Supplies — 0.2%
Brambles Ltd. (Australia)		4,182		34,383
CoreCivic, Inc.(a)		199,250		1,305,088
Dai Nippon Printing Co. Ltd. (Japan)		600		10,787
Deluxe Corp.		70,100		2,046,920
Herman Miller, Inc.		122,700		4,147,260
Rentokil Initial PLC (United Kingdom)*		4,970		34,684
Secom Co. Ltd. (Japan)		1,600		147,645

				7,726,767

Communications Equipment — 0.8%
Cisco Systems, Inc.		737,100		32,985,225


COMMON STOCKS (continued)	Shares		Value
Communications Equipment (cont’d.)
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		4,768	$	56,759
Ubiquiti, Inc.(a)		3,400		946,934

				33,988,918

Construction & Engineering — 0.2%
ACS Actividades de Construccion y Servicios SA (Spain)		725		24,119
Bouygues SA (France)		620		25,506
EMCOR Group, Inc.		84,500		7,728,370
Kajima Corp. (Japan)		1,200		16,076
Obayashi Corp. (Japan)		1,700		14,667
Quanta Services, Inc.		43,000		3,096,860
Skanska AB (Sweden) (Class B Stock)		627		16,008
Taisei Corp. (Japan)		1,100		37,846

				10,959,452

Construction Materials — 0.0%
HeidelbergCement AG (Germany)		1,173		89,633
James Hardie Industries PLC, CDI*		1,171		34,589
LafargeHolcim Ltd. (Switzerland)*		7,319		405,630
Taiheiyo Cement Corp. (Japan)		700		17,498

				547,350

Consumer Finance — 0.1%
Capital One Financial Corp.		35,600		3,519,060
OneMain Holdings, Inc.		29,600		1,425,536

				4,944,596

Containers & Packaging — 0.0%
Smurfit Kappa Group PLC (Ireland)		605		28,241

Diversified Financial Services — 0.4%
Berkshire Hathaway, Inc. (Class B Stock)*		83,450		19,349,551
Investor AB (Sweden) (Class B Stock)		1,232		90,451
Kinnevik AB (Sweden) (Class B Stock)*		358		18,186
M&G PLC (United Kingdom)		131,118		354,821

				19,813,009

Diversified Telecommunication Services — 1.4%
AT&T, Inc.		953,600		27,425,536
BT Group PLC (United Kingdom)*		24,863		45,153
Deutsche Telekom AG (Germany)		9,003		165,360
Nippon Telegraph & Telephone Corp. (Japan)		7,600		194,196
Orange SA (France)		14,595		173,710
Proximus SADP (Belgium)		928		18,418
Swisscom AG (Switzerland)		73		39,431
Telecom Italia SpA (Italy), RSP		18,981		9,847
Telefonica Deutschland Holding AG (Germany)		2,556		7,066
Verizon Communications, Inc.		568,588		33,404,545

				61,483,262

Electric Utilities — 0.7%
Chubu Electric Power Co., Inc. (Japan)		1,700		20,478
CK Infrastructure Holdings Ltd. (Hong Kong)		3,500		18,776

SEE NOTES TO FINANCIAL STATEMENTS.

A73



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Electric Utilities (cont’d.)
Endesa SA (Spain)		8,661	$	237,102
Enel SpA (Italy)		22,623		229,390
Exelon Corp.		353,600		14,928,992
Fortum OYJ (Finland)		14,814		358,137
Iberdrola SA (Spain)		15,927		227,599
Kansai Electric Power Co., Inc. (The) (Japan)		16,900		159,490
NRG Energy, Inc.		398,850		14,976,818
Power Assets Holdings Ltd. (Hong Kong)		3,500		18,938
Red Electrica Corp. SA (Spain)		1,152		23,640
Tohoku Electric Power Co., Inc. (Japan)		30,400		250,309

				31,449,669

Electrical Equipment — 0.4%
ABB Ltd. (Switzerland)		15,888		450,586
Acuity Brands, Inc.		43,300		5,243,197
Atkore International Group, Inc.*		47,950		1,971,224
Eaton Corp. PLC		86,100		10,344,054
Legrand SA (France)		720		64,531
Schneider Electric SE (France)		3,608		523,759

				18,597,351

Electronic Equipment, Instruments & Components — 0.2%
Arrow Electronics, Inc.*		29,400		2,860,620
Hirose Electric Co. Ltd. (Japan)		100		15,171
Ibiden Co. Ltd. (Japan)		300		14,019
IPG Photonics Corp.*		8,500		1,902,215
Jabil, Inc.		69,400		2,951,582
Murata Manufacturing Co. Ltd. (Japan) .		5,200		469,867
Omron Corp. (Japan)		600		53,556
Shimadzu Corp. (Japan)		700		27,236
SYNNEX Corp.		24,600		2,003,424
TDK Corp. (Japan)		1,600		241,585

				10,539,275

Energy Equipment & Services — 0.2%
TechnipFMC PLC (United Kingdom)		730,200		6,863,880

Entertainment — 1.0%
Activision Blizzard, Inc.		249,300		23,147,505
Electronic Arts, Inc.		148,200		21,281,520
Nintendo Co. Ltd. (Japan)		800		510,474
Vivendi SA (France)		2,232		72,022

				45,011,521

Equity Real Estate Investment Trusts (REITs) — 1.2%
Apple Hospitality REIT, Inc.		206,950		2,671,724
Crown Castle International Corp.		106,100		16,890,059
Equinix, Inc.		4,900		3,499,482
Franklin Street Properties Corp.		55,450		242,316
Gaming & Leisure Properties, Inc.		246,067		10,433,241
Gecina SA (France)		124		19,199
GEO Group, Inc. (The)(a)		317,650		2,814,379
Goodman Group (Australia)		23,398		341,021
Japan Real Estate Investment Corp. (Japan)		3		17,352


COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (cont’d.)
Japan Retail Fund Investment Corp. (Japan)		7	$	12,750
Klepierre SA (France)		14,001		315,660
Nippon Building Fund, Inc. (Japan)		4		23,189
Orix JREIT, Inc. (Japan)		90		148,650
Stockland (Australia)		100,953		326,901
Weyerhaeuser Co.		523,700		17,559,661

				55,315,584

Food & Staples Retailing — 1.4%
Coles Group Ltd. (Australia)		3,642		51,068
Costco Wholesale Corp.		30,100		11,341,078
Etablissements Franz Colruyt NV (Belgium)		438		25,961
Kesko OYJ (Finland) (Class B Stock)		680		17,525
Koninklijke Ahold Delhaize NV (Netherlands)		12,421		355,185
Kroger Co. (The)		504,400		16,019,744
Seven & i Holdings Co. Ltd. (Japan)		2,000		70,925
Sprouts Farmers Market, Inc.*		96,600		1,941,660
Sundrug Co. Ltd. (Japan)		200		7,984
Tesco PLC (United Kingdom)		56,430		178,855
Walmart, Inc.		217,700		31,381,455
Wm Morrison Supermarkets PLC (United Kingdom)		13,956		33,926

				61,425,366

Food Products — 1.1%
Archer-Daniels-Midland Co.		273,300		13,777,053
Conagra Brands, Inc.		93,600		3,393,936
Danone SA (France)		1,703		112,092
General Mills, Inc.		218,300		12,836,040
Kraft Heinz Co. (The)		491,100		17,021,526
MEIJI Holdings Co. Ltd. (Japan)		300		21,109
Nestle SA (Switzerland)		5,723		674,765
NH Foods Ltd. (Japan)		1,900		83,703
Orkla ASA (Norway)		14,749		149,857
Tate & Lyle PLC (United Kingdom)		14,472		133,423
Toyo Suisan Kaisha Ltd. (Japan)		200		9,737
Tyson Foods, Inc. (Class A Stock)		29,900		1,926,756
WH Group Ltd. (Hong Kong), 144A		333,500		280,235
Wilmar International Ltd. (China)		32,800		115,767

				50,535,999

Gas Utilities — 0.2%
Enagas SA (Spain)		665		14,588
Naturgy Energy Group SA (Spain)		798		18,502
Snam SpA (Italy)		11,949		67,446
UGI Corp.		276,500		9,666,440

				9,766,976

Health Care Equipment & Supplies — 2.4%
Abbott Laboratories		296,800		32,496,632
Becton, Dickinson & Co.		70,000		17,515,400
Boston Scientific Corp.*		526,300		18,920,485
Danaher Corp.		117,400		26,079,236
DiaSorin SpA (Italy)		67		13,945

SEE NOTES TO FINANCIAL STATEMENTS.

A74



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Health Care Equipment & Supplies (cont’d.)
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand)		1,450	$	34,367
Hologic, Inc.*		18,100		1,318,223
Hoya Corp. (Japan)		900		124,628
IDEXX Laboratories, Inc.*		5,100		2,549,337
ResMed, Inc.		24,300		5,165,208
Sonova Holding AG (Switzerland)*		148		38,557
STERIS PLC		7,900		1,497,366
West Pharmaceutical Services, Inc.		8,300		2,351,473

				108,104,857

Health Care Providers & Services — 1.5%
Alfresa Holdings Corp. (Japan)		500		9,151
Cigna Corp.		105,000		21,858,900
Fresenius Medical Care AG & Co. KGaA (Germany)		3,167		268,328
Fresenius SE & Co. KGaA (Germany)		7,808		367,494
HCA Healthcare, Inc.		16,100		2,647,806
McKesson Corp.		28,300		4,921,936
Medipal Holdings Corp. (Japan)		15,100		283,422
Sonic Healthcare Ltd. (Australia)		1,161		28,776
UnitedHealth Group, Inc.		98,500		34,541,980

				64,927,793

Health Care Technology — 0.0%
M3, Inc. (Japan)		1,200		113,484

Hotels, Restaurants & Leisure — 0.7%
Darden Restaurants, Inc.		79,600		9,481,952
Evolution Gaming Group AB (Sweden), 144A		1,254		127,887
La Francaise des Jeux SAEM (France), 144A		6,159		283,585
McDonald’s Corp.		100,100		21,479,458
McDonald’s Holdings Co. Japan Ltd. (Japan)		2,400		116,392
Tabcorp Holdings Ltd. (Australia)		5,727		17,296

				31,506,570

Household Durables — 0.1%
Berkeley Group Holdings PLC (United Kingdom)		4,431		286,865
D.R. Horton, Inc.		29,000		1,998,680
Electrolux AB (Sweden) (Class B Stock)		1,312		30,532
Husqvarna AB (Sweden) (Class B Stock)		26,901		349,421
Iida Group Holdings Co. Ltd. (Japan)		10,000		202,124
Persimmon PLC (United Kingdom)		3,223		122,250
Rinnai Corp. (Japan)		200		23,247
Sekisui House Ltd. (Japan)		1,600		32,564
Sony Corp. (Japan)		4,100		412,408
Taylor Wimpey PLC (United Kingdom)*		9,825		22,379

				3,480,470

Household Products — 1.1%
Essity AB (Sweden) (Class B Stock)		1,607		51,741
Henkel AG & Co. KGaA (Germany)		279		26,913
Procter & Gamble Co. (The)		348,505		48,490,986


COMMON STOCKS (continued)	Shares		Value
Household Products (cont’d.)
Reckitt Benckiser Group PLC (United Kingdom)		1,961	$	175,900
Unicharm Corp. (Japan)		1,000		47,421

				48,792,961

Independent Power & Renewable Electricity Producers — 0.5%
AES Corp. (The)		480,800		11,298,800
Electric Power Development Co. Ltd. (Japan)		400		5,519
Vistra Corp.		554,200		10,895,572

				22,199,891

Industrial Conglomerates — 0.7%
3M Co.		134,200		23,456,818
CK Hutchison Holdings Ltd. (United Kingdom)		7,000		48,827
DCC PLC (United Kingdom)		1,843		130,556
Honeywell International, Inc.		35,200		7,487,040
Siemens AG (Germany)		242		35,380

				31,158,621

Insurance — 1.2%
Admiral Group PLC (United Kingdom)		496		19,707
Aflac, Inc.		129,600		5,763,312
Ageas SA/NV (Belgium)		6,678		356,230
AIA Group Ltd. (Hong Kong)		9,800		120,679
Allianz SE (Germany)		1,126		276,408
Allstate Corp. (The)		117,400		12,905,782
American Financial Group, Inc.		74,500		6,527,690
Assicurazioni Generali SpA (Italy)		9,840		171,812
Aviva PLC (United Kingdom)		21,609		96,489
AXA SA (France)		2,007		48,399
Baloise Holding AG (Switzerland)		128		22,845
CNP Assurances (France)*		2,004		32,604
Gjensidige Forsikring ASA (Norway)		522		11,738
Japan Post Insurance Co. Ltd. (Japan)		14,800		303,674
MetLife, Inc.		421,300		19,780,035
NN Group NV (Netherlands)		8,386		365,632
Old Republic International Corp.		275,500		5,430,105
Poste Italiane SpA (Italy), 144A		3,078		31,382
Sampo OYJ (Finland) (Class A Stock)		1,260		53,327
Sompo Holdings, Inc. (Japan)		900		36,399
Swiss Life Holding AG (Switzerland)		216		101,066
T&D Holdings, Inc. (Japan)		1,400		16,550
Tryg A/S (Denmark)		328		10,282
Zurich Insurance Group AG (Switzerland)		402		170,435

				52,652,582

Interactive Media & Services — 3.9%
Alphabet, Inc. (Class A Stock)*		30,250		53,017,360
Alphabet, Inc. (Class C Stock)*		25,932		45,429,752
Facebook, Inc. (Class A Stock)*		280,550		76,635,038
REA Group Ltd. (Australia)		138		15,934
SEEK Ltd. (Australia)		903		19,967

				175,118,051

SEE NOTES TO FINANCIAL STATEMENTS.

A75



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Internet & Direct Marketing Retail — 3.5%
Amazon.com, Inc.*		42,800	$	139,396,604
eBay, Inc.		327,200		16,441,800
HelloFresh SE (Germany)*		209		16,175
Mercari, Inc. (Japan)*		200		8,871
Prosus NV (China)*		1,369		149,111
Zalando SE (Germany), 144A*		395		44,547
ZOZO, Inc. (Japan)		300		7,405

				156,064,513

IT Services — 3.0%
Accenture PLC (Class A Stock)		128,650		33,604,666
Adyen NV (Netherlands), 144A*		52		121,330
Afterpay Ltd. (Australia)*		786		72,264
Amdocs Ltd.		118,300		8,391,019
Atos SE (France)*		558		50,639
Automatic Data Processing, Inc.		33,700		5,937,940
Bechtle AG (Germany)		304		66,533
CACI International, Inc. (Class A Stock)*		42,900		10,696,257
Capgemini SE (France)		440		68,517
Cognizant Technology Solutions Corp. (Class A Stock)		283,500		23,232,825
Computershare Ltd. (Australia)		1,343		15,173
EPAM Systems, Inc.*		29,700		10,642,995
Fujitsu Ltd. (Japan)		2,700		390,696
Genpact Ltd.		78,800		3,259,168
GMO Payment Gateway, Inc. (Japan)		100		13,413
International Business Machines Corp.		204,000		25,679,520
KBR, Inc.		96,500		2,984,745
NEC Corp. (Japan)		800		42,941
Nomura Research Institute Ltd. (Japan)		800		28,629
NTT Data Corp. (Japan)		1,700		23,290
Obic Co. Ltd. (Japan)		200		40,199
Perspecta, Inc.		13,800		332,304
TIS, Inc. (Japan)		600		12,277
Visa, Inc. (Class A Stock)(a)		30,400		6,649,392

				132,356,732

Leisure Products — 0.1%
American Outdoor Brands, Inc.*		24,575		418,512
Brunswick Corp.		32,700		2,493,048
Shimano, Inc. (Japan)		500		116,816
Smith & Wesson Brands, Inc.		136,600		2,424,650

				5,453,026

Life Sciences Tools & Services — 0.8%
Agilent Technologies, Inc.		17,400		2,061,726
IQVIA Holdings, Inc.*		11,800		2,114,206
PerkinElmer, Inc.		18,500		2,654,750
Sartorius Stedim Biotech (France)		78		27,883
Thermo Fisher Scientific, Inc.		65,100		30,322,278

				37,180,843

Machinery — 1.5%
AGCO Corp.		76,600		7,896,694
Allison Transmission Holdings, Inc.		3,300		142,329
Amada Co. Ltd. (Japan)		1,800		19,779
ANDRITZ AG (Austria)		451		20,625


COMMON STOCKS (continued)	Shares		Value
Machinery (cont’d.)
Atlas Copco AB (Sweden) (Class B Stock)		1,042	$	46,541
Crane Co.		52,200		4,053,852
Cummins, Inc.		75,400		17,123,340
Deere & Co.		85,600		23,030,680
Epiroc AB (Sweden) (Class A Stock)		13,919		251,818
Epiroc AB (Sweden) (Class B Stock)		1,075		18,087
FANUC Corp. (Japan)		600		148,055
GEA Group AG (Germany)		414		14,864
Knorr-Bremse AG (Germany)		190		25,975
Kone OYJ (Finland) (Class B Stock)		3,648		296,307
Kubota Corp. (Japan)		2,700		58,972
Kurita Water Industries Ltd. (Japan)		200		7,656
Makita Corp. (Japan)		600		30,061
MINEBEA MITSUMI, Inc. (Japan)		900		17,877
Oshkosh Corp.		48,600		4,183,002
Pentair PLC		144,100		7,650,269
Schindler Holding AG (Switzerland)		55		15,006
SKF AB (Sweden) (Class B Stock)		1,054		27,391
SMC Corp. (Japan)		200		122,174
Spirax-Sarco Engineering PLC (United Kingdom)		197		30,543
Techtronic Industries Co. Ltd. (Hong Kong)		13,500		193,314
Timken Co. (The)		17,300		1,338,328
Volvo AB (Sweden) (Class B Stock)*		4,042		95,254

				66,858,793

Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		9		18,704
AP Moller - Maersk A/S (Denmark) (Class B Stock)		35		78,414
Kuehne + Nagel International AG (Switzerland)		312		71,710
Nippon Yusen KK (Japan)		900		20,990

				189,818

Media — 0.4%
Comcast Corp. (Class A Stock)		126,900		6,649,560
Gray Television, Inc.*		96,300		1,722,807
News Corp. (Class A Stock)		123,000		2,210,310
Omnicom Group, Inc.		91,600		5,713,092
Publicis Groupe SA (France)		580		29,015
WPP PLC (United Kingdom)		12,978		141,567

				16,466,351

Metals & Mining — 0.7%
Anglo American PLC (South Africa)		3,380		112,575
Antofagasta PLC (Chile)		1,094		21,499
ArcelorMittal SA (Luxembourg)*		1,899		44,455
BHP Group Ltd. (Australia)		8,242		269,346
BHP Group PLC (Australia)		15,043		396,499
BlueScope Steel Ltd. (Australia)		1,300		17,489
Boliden AB (Sweden)		4,060		144,417
Evraz PLC (Russia)		3,352		21,588
Fortescue Metals Group Ltd. (Australia)		24,001		435,258
Freeport-McMoRan, Inc.		414,100		10,774,882

SEE NOTES TO FINANCIAL STATEMENTS.

A76



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Metals & Mining (cont’d.)
Newcrest Mining Ltd. (Australia)		2,109	$	41,757
Newmont Corp.		291,500		17,457,935
Norsk Hydro ASA (Norway)		3,486		16,212
Rio Tinto Ltd. (Australia)		979		86,342
Rio Tinto PLC (Australia)		7,293		547,049
South32 Ltd. (Australia)		10,330		19,726
Steel Dynamics, Inc.		34,800		1,283,076
Sumitomo Metal Mining Co. Ltd. (Japan)		600		26,775

				31,716,880

Mortgage Real Estate Investment Trusts (REITs) — 0.4%
Annaly Capital Management, Inc.		1,242,700		10,500,815
Starwood Property Trust, Inc.		222,900		4,301,970
TPG RE Finance Trust, Inc.		116,000		1,231,920

				16,034,705

Multiline Retail — 0.8%
Dollar Tree, Inc.*		120,900		13,062,036
Next PLC (United Kingdom)*		345		33,534
Target Corp.		126,600		22,348,698
Wesfarmers Ltd. (Australia)		5,794		225,712

				35,669,980

Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		10,441		96,291
MDU Resources Group, Inc.		35,300		929,802
Public Service Enterprise Group, Inc.		91,400		5,328,620
Sempra Energy		137,000		17,455,170

				23,809,883

Oil, Gas & Consumable Fuels — 0.9%
Chevron Corp.		107,200		9,053,040
Cimarex Energy Co.		260,800		9,782,608
ENEOS Holdings, Inc. (Japan)		18,000		64,487
Equinor ASA (Norway)		3,892		65,517
Kinder Morgan, Inc.		1,232,600		16,849,642
Koninklijke Vopak NV (Netherlands)		184		9,709
Lundin Energy AB (Sweden)		11,941		323,494
Neste OYJ (Finland)		1,143		82,762
OMV AG (Austria)		6,301		254,572
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		11,401		201,474
Santos Ltd. (Australia)		4,609		22,354
Teekay Tankers Ltd. (Bermuda)
(Class A Stock)*(a)		28,300		311,583
TOTAL SE (France)		6,696		288,916
Washington H Soul Pattinson & Co. Ltd. (Australia)		2,257		52,489
World Fuel Services Corp.		70,100		2,184,316

				39,546,963

Paper & Forest Products — 0.0%
Boise Cascade Co.		28,700		1,371,860
Mondi PLC (United Kingdom)		382		9,020

				1,380,880


COMMON STOCKS (continued)	Shares		Value
Personal Products — 0.0%
L’Oreal SA (France)		519	$	197,375
Unilever PLC (United Kingdom)		8,937		538,346

				735,721

Pharmaceuticals — 2.8%
Astellas Pharma, Inc. (Japan)		4,800		74,159
AstraZeneca PLC (United Kingdom)		1,150		116,390
Bayer AG (Germany)		1,171		69,211
Bristol-Myers Squibb Co.		452,200		28,049,966
Chugai Pharmaceutical Co. Ltd. (Japan)		5,100		272,519
Eli Lilly & Co.		42,700		7,209,468
GlaxoSmithKline PLC (United Kingdom)		29,096		535,089
Hikma Pharmaceuticals PLC (Jordan)		795		27,434
Johnson & Johnson		140,348		22,087,968
Merck & Co., Inc.		398,100		32,564,580
Novartis AG (Switzerland)		8,280		783,241
Novo Nordisk A/S (Denmark) (Class B Stock)		8,641		599,961
Ono Pharmaceutical Co. Ltd. (Japan)		2,200		66,299
Orion OYJ (Finland) (Class B Stock)		2,032		93,292
Otsuka Holdings Co. Ltd. (Japan)		6,600		282,560
Pfizer, Inc.		767,200		28,240,632
Roche Holding AG (Switzerland)		1,945		680,767
Sanofi (France)		5,921		572,773
Shionogi & Co. Ltd. (Japan)		700		38,277
Viatris, Inc.*		98,258		1,841,355

				124,205,941

Professional Services — 0.0%
Adecco Group AG (Switzerland)		1,612		108,169
Experian PLC (United Kingdom)		8,912		338,562
Randstad NV (Netherlands)*		326		21,378
Teleperformance (France)		131		43,752

				511,861

Real Estate Management & Development — 0.0%
Aroundtown SA (Germany)		2,750		20,652
CK Asset Holdings Ltd. (Hong Kong)		6,500		33,345
Daito Trust Construction Co. Ltd. (Japan)		200		18,695
Deutsche Wohnen SE (Germany)		928		49,676
Henderson Land Development Co. Ltd.
(Hong Kong)		4,000		15,626
Mitsubishi Estate Co. Ltd. (Japan)		3,300		52,920
Sino Land Co. Ltd. (Hong Kong)		8,000		10,405
Sumitomo Realty & Development Co. Ltd. (Japan)		900		27,704
Swire Properties Ltd. (Hong Kong)		3,200		9,316

				238,339

Road & Rail — 0.2%
Werner Enterprises, Inc.(a)		181,800		7,130,196

Semiconductors & Semiconductor Equipment — 3.7%
Applied Materials, Inc.		310,900		26,830,670
ASML Holding NV (Netherlands)		532		261,472
Broadcom, Inc.		12,600		5,516,910

SEE NOTES TO FINANCIAL STATEMENTS.

A77



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment (cont’d.)
Entegris, Inc.		36,300	$	3,488,430
Intel Corp.		686,150		34,183,993
KLA Corp.		34,500		8,932,395
Lam Research Corp.		15,900		7,509,093
MKS Instruments, Inc.		65,200		9,809,340
NVIDIA Corp.		29,100		15,196,020
Qorvo, Inc.*		43,300		7,199,491
QUALCOMM, Inc.		52,000		7,921,680
Renesas Electronics Corp. (Japan)*		2,000		21,058
Rohm Co. Ltd. (Japan)		200		19,446
Semtech Corp.*		40,200		2,898,018
STMicroelectronics NV (Switzerland)		8,057		298,833
Teradyne, Inc.		50,500		6,054,445
Texas Instruments, Inc.		178,400		29,280,792
Tokyo Electron Ltd. (Japan)		1,300		485,513

				165,907,599

Software — 5.9%
Adobe, Inc.*		71,250		35,633,550
Cadence Design Systems, Inc.*		15,100		2,060,093
Check Point Software Technologies Ltd. (Israel)*(a)		2,600		345,566
Intuit, Inc.		51,000		19,372,350
Microsoft Corp.		761,100		169,283,862
Nemetschek SE (Germany)		150		11,109
NortonLifeLock, Inc.		369,700		7,682,366
Oracle Corp.		449,750		29,094,328
SAP SE (Germany)		751		99,593
Trend Micro, Inc. (Japan)*		400		23,045
Xero Ltd. (New Zealand)*		329		37,488

				263,643,350

Specialty Retail — 1.4%
AutoNation, Inc.*		69,700		4,864,363
Home Depot, Inc. (The)		131,700		34,982,154
JD Sports Fashion PLC (United Kingdom)*		28,597		336,325
JD Sports Fashion PLC (United Kingdom)*		28,597		336,325
Kingfisher PLC (United Kingdom)*		32,550		120,361
Lowe’s Cos., Inc.		111,200		17,848,712
Nitori Holdings Co. Ltd. (Japan)		700		146,701
O’Reilly Automotive, Inc.*		12,900		5,838,153
Shimamura Co. Ltd. (Japan)		300		31,514
Yamada Holdings Co. Ltd. (Japan)		3,800		20,216

				64,188,499

Technology Hardware, Storage & Peripherals — 4.0%
Apple, Inc.		1,279,900		169,829,931
Brother Industries Ltd. (Japan)		600		12,358
FUJIFILM Holdings Corp. (Japan)		900		47,405
HP, Inc.		335,600		8,252,404
Logitech International SA (Switzerland) .		3,578		351,235

				178,493,333

Textiles, Apparel & Luxury Goods — 0.0%
LVMH Moet Hennessy Louis Vuitton SE (France)		571		356,458
Pandora A/S (Denmark)		526		59,118
Swatch Group AG (The) (Switzerland)		140		7,409


COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods (cont’d.)
Tapestry, Inc.		34,500	$	1,072,260

				1,495,245

Tobacco — 0.5%
Altria Group, Inc.		510,850		20,944,850
British American Tobacco PLC (United Kingdom)		14,575		542,077
Imperial Brands PLC (United Kingdom)		2,561		54,054
Japan Tobacco, Inc. (Japan)		17,100		348,327
Swedish Match AB (Sweden)		441		34,258

				21,923,566

Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,203		56,468
Brenntag AG (Germany)		4,503		349,729
Bunzl PLC (United Kingdom)		1,952		65,252
Ferguson PLC		2,885		351,283
GMS, Inc.*		102,400		3,121,152
ITOCHU Corp. (Japan)		3,500		100,706
Marubeni Corp. (Japan)		8,800		58,655
Mitsubishi Corp. (Japan)		3,800		93,739
Mitsui & Co. Ltd. (Japan)		18,600		341,106
MonotaRO Co. Ltd. (Japan)		300		15,279
Toyota Tsusho Corp. (Japan)		500		20,335

				4,573,704

Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		4,500		133,771
SoftBank Corp. (Japan)		26,600		333,096
SoftBank Group Corp. (Japan)		4,200		328,896
Vodafone Group PLC (United Kingdom)		72,935		120,645

				916,408

TOTAL COMMON STOCKS (cost $1,981,334,420)				2,806,784,698


EXCHANGE-TRADED FUND — 0.0%
iShares MSCI EAFE ETF (cost $155,789)		3,188		232,597


PREFERRED STOCKS — 0.0%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		151		10,142
Volkswagen AG (Germany) (PRFC)		724		135,612

				145,754

Banks — 0.0%
Citigroup Capital XIII, 6.584%, Maturing 10/30/40		22,000		627,000

Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		1,749		197,076

TOTAL PREFERRED STOCKS (cost $832,712)				969,830

SEE NOTES TO FINANCIAL STATEMENTS.

A78



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

ASSET-BACKED SECURITIES — 6.3%
Automobiles — 1.9%
AmeriCredit Automobile Receivables Trust,
Series 2018-01, Class C
3.500%		01/18/24			1,600	$	1,657,547
Series 2019-01, Class B
3.130%		02/18/25			1,000		1,035,001
Series 2019-01, Class C
3.360%		02/18/25			1,000		1,053,043
Series 2019-02, Class C
2.740%		04/18/25			2,000		2,083,117
Series 2019-03, Class C
2.320%		07/18/25			3,400		3,522,378
Series 2020-02, Class C
1.480%		02/18/26			600		608,118
Series 2020-03, Class C
1.060%		08/18/26			1,000		1,004,204
Avis Budget Rental Car Funding AESOP LLC,
Series 2018-02A, Class A, 144A
4.000%		03/20/25			1,600		1,733,584
Series 2019-02A, Class A, 144A
3.350%		09/22/25			3,000		3,203,176
Series 2019-03A, Class A, 144A
2.360%		03/20/26			4,000		4,170,500
Series 2020-01A, Class A, 144A
2.330%		08/20/26			1,800		1,857,605
Ford Auto Securitization Trust (Canada),
Series 2019-BA, Class A2, 144A
2.321%		10/15/23	CAD		2,282		1,814,397
Series 2020-AA, Class A3, 144A
1.153%		11/15/25	CAD		3,600		2,832,911
Ford Credit Auto Owner Trust,
Series 2018-01, Class A, 144A
3.190%		07/15/31			3,800		4,175,694
Series 2018-02, Class A, 144A
3.470%		01/15/30			3,000		3,216,888
Series 2019-01, Class A, 144A
3.520%		07/15/30			5,000		5,453,046
Series 2020-01, Class A, 144A
2.040%		08/15/31			3,600		3,795,178
Series 2020-02, Class A, 144A
1.060%		04/15/33			6,300		6,360,348
Ford Credit Floorplan Master Owner Trust,
Series 2017-03, Class A
2.480%		09/15/24			1,900		1,969,373
Series 2018-02, Class A
3.170%		03/15/25			11,250		11,925,663
GM Financial Consumer Automobile Receivables Trust,
Series 2018-04, Class C
3.620%		06/17/24			500		525,748
GMF Floorplan Owner Revolving Trust,
Series 2019-02, Class A, 144A
2.900%		04/15/26			5,700		6,143,316
OneMain Direct Auto Receivables Trust,
Series 2018-01A, Class A, 144A
3.430%		12/16/24			3,094		3,124,683
Series 2019-01A, Class A, 144A
3.630%		09/14/27			5,500		6,039,471

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Automobiles (cont’d.)

Santander Drive Auto Receivables Trust,

Series 2020-02, Class C

1.460%

09/15/25

800

810,608

Series 2020-03, Class C

1.120%

01/15/26

2,600

2,620,738

Series 2020-04, Class C

1.010%

01/15/26

1,600

1,606,971

84,343,306

Collateralized Loan Obligations — 3.0%

Anchorage Capital CLO Ltd. (Cayman Islands),

Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)

1.606%(c)

07/22/32

3,750

3,749,453

ArrowMark Colorado Holdings (Cayman Islands),

Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)

1.517%(c)

07/15/29

500

499,412

Ballyrock CLO Ltd. (Cayman Islands),

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)

1.587%(c)

10/15/28

4,500

4,499,990

Benefit Street Partners CLO Ltd. (Cayman Islands),

Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.487%(c)

07/15/29

1,499

1,499,199

Brookside Mill CLO Ltd. (Cayman Islands),

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%)

1.038%(c)

01/17/28

1,260

1,252,773

Canyon Capital CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.487%(c)

04/15/29

3,000

2,999,994

Catamaran CLO Ltd. (Cayman Islands),

Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%)

1.618%(c)

10/18/26

88,800

CBAM Ltd. (Cayman Islands),

Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%)

1.578%(c)

10/20/32

5,800

5,808,702

CIFC Funding Ltd. (Cayman Islands),

Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

1.418%(c)

10/17/31

9,750

9,721,331

Greenwood Park CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%)

1.247%(c)

04/15/31

2,000

1,990,162

Greywolf CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)

1.245%(c)

04/26/31

4,000

3,987,148

HPS Loan Management Ltd. (Cayman Islands),

Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)

1.536%(c)

07/22/32

3,750

3,762,516

SEE NOTES TO FINANCIAL STATEMENTS.

A79



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)

1.225%(c)

02/05/31

248

247,074

ICG US CLO Ltd. (Cayman Islands),

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

1.358%(c)

10/19/28

10,000

9,990,121

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%)

1.489%(c)

10/23/29

1,250

1,249,996

Jamestown CLO Ltd. (Cayman Islands),

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

1.688%(c)

04/20/32

5,750

5,746,701

Jefferson Mill CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%)

1.393%(c)

10/20/31

6,729

6,688,546

MidOcean Credit CLO (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%)

1.329%(c)

04/21/31

2,379

2,361,143

Ocean Trails CLO Ltd. (Cayman Islands),

Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.618%(c)

04/17/30

2,750

2,743,979

OCP CLO Ltd. (Cayman Islands),

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)

1.497%(c)

07/15/30

1,250

1,249,997

Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)

1.548%(c)

07/20/32

10,000

10,004,670

OZLM Ltd. (Cayman Islands),

Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

1.498%(c)

10/20/31

7,419

7,412,188

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.464%(c)

10/30/30

1,484

1,480,093

Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%)

1.608%(c)

07/20/32

3,750

3,744,504

Palmer Square CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%)

1.348%(c)

01/17/31

1,500

1,491,396

Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)

1.330%(c)

07/16/31

2,350

2,349,995

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

Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

1.498%(c)

10/20/31

8,750

8,749,978

Romark CLO Ltd. (Cayman Islands),

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%)

1.390%(c)

07/25/31

1,000

997,551

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (cont’d.)

Telos CLO Ltd. (Cayman Islands),

Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%)

1.518%(c)

07/17/26

416

416,004

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%)

1.458%(c)

01/17/30

2,479

2,472,679

TICP CLO Ltd. (Cayman Islands),

Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%)

1.058%(c)

04/20/28

3,839

3,837,389

Trimaran Cavu Ltd. (Cayman Islands),

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)

1.678%(c)

07/20/32

3,000

2,995,621

Trinitas CLO Ltd. (Cayman Islands),

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)

1.425%(c)

01/25/31

2,500

2,491,967

Venture CLO Ltd. (Cayman Islands),

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)

1.117%(c)

07/15/27

731

730,324

Wellfleet CLO Ltd. (Cayman Islands),

Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)

1.368%(c)

01/17/31

2,750

2,733,972

Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%)

1.318%(c)

07/17/31

3,500

3,476,476

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

1.418%(c)

10/20/31

5,750

5,721,180

Zais CLO Ltd. (Cayman Islands),

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%)

1.607%(c)

07/15/29

1,700

1,685,871

132,928,895

Consumer Loans — 0.2%

OneMain Financial Issuance Trust,

Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%)

0.954%(c)

09/14/32

695

695,472

Series 2020-01A, Class A, 144A

3.840%

05/14/32

1,200

1,265,610

Series 2020-02A, Class A, 144A

1.750%

09/14/35

2,100

2,137,643

Oportun Funding X LLC,

Series 2018-C, Class A, 144A

4.100%

10/08/24

1,600

1,625,748

Oportun Funding XII LLC,

Series 2018-D, Class A, 144A

4.150%

12/09/24

1,100

1,119,160

6,843,633

SEE NOTES TO FINANCIAL STATEMENTS.

A80



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Equipment — 0.2%
MMAF Equipment Finance LLC,
Series 2017-B, Class A5, 144A
2.720%		06/15/40			2,800	$	2,886,560
Series 2018-A, Class A5, 144A
3.610%		03/10/42			800		858,552
Series 2019-A, Class A5, 144A
3.080%		11/12/41			2,500		2,683,352
Series 2019-B, Class A5, 144A
2.290%		11/12/41			2,400		2,547,039

							8,975,503

Home Equity Loans — 0.0%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.650%)
1.798%(c)		03/25/33			43		43,698
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%)
1.048%(c)		07/25/32			6		6,527

							50,225

Other — 0.1%
Sierra Timeshare Receivables Funding LLC,
Series 2018-02A, Class A, 144A
3.500%		06/20/35			895		928,787
Series 2019-02A, Class A, 144A
2.590%		05/20/36			1,537		1,589,144
TH MSR Issuer Trust,
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%)
2.948%(c)		06/25/24			3,250		3,140,870

							5,658,801

Residential Mortgage-Backed Securities — 0.2%
Credit Suisse Mortgage Trust,
Series 2018-RPL08, Class A1, 144A
4.125%(cc)		07/25/58			1,024		1,027,700
Legacy Mortgage Asset Trust,
Series 2019-GS02, Class A1, 144A
3.750%		01/25/59			668		669,858
Series 2019-GS04, Class A1, 144A
3.438%		05/25/59			1,248		1,253,545
Series 2019-SL01, Class A, 144A
4.000%(cc)		12/28/54			320		323,208
Long Beach Mortgage Loan Trust,
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor
0.795%)
0.943%(c)		06/25/34			143		139,530
Mill City Mortgage Loan Trust,
Series 2017-03, Class A1, 144A
2.750%(cc)		01/25/61			1,302		1,335,468
TFS (Spain),
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900%
2.900%(c)		04/16/23	EUR		2,423		2,664,041


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (cont’d.)
Towd Point Mortgage Trust,
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%)
0.748%(c)		02/25/57		2,059	$	2,052,500
Series 2020-04, Class A1, 144A
1.750%		10/25/60		1,288		1,317,758

						10,783,608

Student Loans — 0.7%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		1,413		1,449,636
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		1,081		1,121,738
Series 2018-CGS, Class A1, 144A
3.870%		02/25/46		382		393,745
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		833		848,442
Series 2018-B, Class A2FX, 144A
3.540%		05/26/43		1,452		1,485,847
Series 2019-A, Class A2FX, 144A
2.730%		10/25/48		1,022		1,046,258
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		2,979		3,037,977
Series 2018-CA, Class A2, 144A
3.520%		06/16/42		1,313		1,338,414
Series 2019-CA, Class A2, 144A
3.130%		02/15/68		2,100		2,163,604
Series 2019-EA, Class A2A, 144A
2.640%		05/15/68		2,100		2,164,693
Series 2020-BA, Class A2, 144A
2.120%		01/15/69		1,600		1,643,049
SoFi Professional Loan Program LLC,
Series 2019-A, Class A2FX, 144A
3.690%		06/15/48		3,800		3,960,534
Series 2019-B, Class A2FX, 144A
3.090%		08/17/48		2,100		2,169,937
Series 2019-C, Class A2FX, 144A
2.370%		11/16/48		2,396		2,488,661
SoFi Professional Loan Program Trust,
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		2,719		2,798,563
Series 2020-A, Class A2FX, 144A
2.540%		05/15/46		2,400		2,479,867

						30,590,965

TOTAL ASSET-BACKED SECURITIES
(cost $274,698,732)						280,174,936

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.6%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		4,000		4,252,101
BANK,
Series 2017-BNK04, Class A3
3.362%		05/15/50		6,500		7,316,891

SEE NOTES TO FINANCIAL STATEMENTS.

A81



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Barclays Commercial Mortgage Securities Trust,
Series 2018-C02, Class A4
4.047%		12/15/51		5,400	$	6,277,981
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		5,000		5,704,073
Series 2018-B08, Class A4
3.963%		01/15/52		6,700		7,753,334
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47		1,282		1,353,156
Series 2014-GC23, Class A3
3.356%		07/10/47		2,193		2,375,131
Series 2016-C01, Class A3
2.944%		05/10/49		5,000		5,354,825
Series 2016-GC37, Class A3
3.050%		04/10/49		5,953		6,313,013
Series 2017-P07, Class A3
3.442%		04/14/50		5,500		6,192,917
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		797		794,204
Series 2014-CR18, Class A4
3.550%		07/15/47		2,664		2,886,760
Series 2014-CR20, Class A3
3.326%		11/10/47		5,000		5,333,512
Series 2015-CR27, Class A3
3.349%		10/10/48		6,100		6,690,144
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		2,979		3,267,861
Series 2017-C08, Class A3
3.127%		06/15/50		5,300		5,728,575
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.345%(cc)		05/25/22		21,554		317,828
Series K021, Class X1, IO
1.404%(cc)		06/25/22		6,266		92,547
Series K055, Class X1, IO
1.362%(cc)		03/25/26		13,603		836,193
Series K057, Class AM
2.624%		08/25/26		7,230		7,911,264
Series K064, Class AM
3.327%(cc)		03/25/27		5,900		6,723,941
Series K068, Class AM
3.315%		08/25/27		5,600		6,421,362
Series K069, Class AM
3.248%(cc)		09/25/27		1,050		1,196,887
Series K070, Class AM
3.364%		12/25/27		1,525		1,762,762
Series K075, Class AM
3.650%(cc)		02/25/28		3,575		4,201,533
Series K076, Class AM
3.900%		04/25/28		2,575		3,048,492
Series K077, Class AM
3.850%(cc)		05/25/28		950		1,131,715


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K080, Class AM
3.986%(cc)		07/25/28		7,050	$	8,445,753
Series K081, Class AM
3.900%(cc)		08/25/28		3,500		4,192,664
Series K086, Class AM
3.919%(cc)		12/25/28		1,300		1,560,370
Series K087, Class AM
3.832%(cc)		12/25/28		1,350		1,606,810
Series K157, Class A2
3.990%(cc)		05/25/33		4,200		5,164,079
Series W5FX, Class AFX
3.214%(cc)		04/25/28		2,260		2,531,784
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		4,000		4,276,293
Series 2015-GC32, Class A3
3.498%		07/10/48		5,800		6,297,900
Series 2016-GS03, Class A3
2.592%		10/10/49		5,800		6,189,831
Series 2016-GS04, Class A3
3.178%		11/10/49		5,500		5,960,765
Series 2020-GSA02, Class A4
1.721%		12/12/53		6,000		6,051,091
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		834		887,897
Series 2015-C27, Class A3A1
2.920%		02/15/48		5,191		5,578,896
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46		634		659,786
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,351		1,399,927
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class A3
2.531%		08/15/49		10,400		11,038,818
Series 2018-H04, Class A3
4.043%		12/15/51		1,900		2,228,659
Series 2019-H07, Class A2
2.492%		07/15/52		13,500		14,134,681
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50		3,500		3,830,681
Series 2017-C05, Class A4
3.212%		11/15/50		6,750		7,454,483
Series 2018-C09, Class A3
3.854%		03/15/51		2,500		2,806,122
Series 2018-C14, Class A3
4.180%		12/15/51		4,100		4,794,191
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45		1,700		1,742,570
Series 2013-C05, Class A3
2.920%		03/10/46		703		720,770
Series 2013-C06, Class A3
2.971%		04/10/46		1,746		1,809,146

SEE NOTES TO FINANCIAL STATEMENTS.

A82



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49			8,000	$	8,590,671
Series 2017-C38, Class A4
3.190%		07/15/50			4,600		5,125,687
Series 2018-C48, Class A4
4.037%		01/15/52			7,000		8,224,911
Series 2020-C58, Class A3
1.810%		07/15/53			7,100		7,249,074

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $230,095,239)							251,793,312


CORPORATE BONDS — 10.4%
Aerospace & Defense — 0.1%
Boeing Co. (The),
Sr. Unsec’d. Notes
3.750%		02/01/50			2,130		2,229,908
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25			906		961,057
Embraer Overseas Ltd. (Brazil),
Gtd. Notes,
144A 5.696%		09/16/23	(a)		950		1,011,940
Raytheon Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28			1,270		1,513,709

							5,716,614

Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24			3,740		4,049,047
Vector Group Ltd.,
Sr. Sec’d. Notes, 144A
6.125%		02/01/25			1,450		1,473,591

							5,522,638

Airlines — 0.1%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28			2,370		2,221,334
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22			334		334,544
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26			458		463,819
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24			191		195,226
Southwest Airlines Co.,
Sr. Unsec’d. Notes
5.125%		06/15/27			905		1,075,939

							4,290,862


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
0.631%(c)		04/12/21			495	$	495,431
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.350%		05/04/21			2,010		2,029,518
Ford Motor Co.,
Sr. Unsec’d. Notes
5.291%		12/08/46			1,220		1,275,187
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			680		681,765
3.350%		11/01/22			4,205		4,269,397
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			980		1,321,602
6.600%		04/01/36			760		1,032,385
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
1.080%(c)		04/09/21			1,060		1,060,820
Gtd. Notes
3.550%		04/09/21			805		810,987
3.950%		04/13/24			2,800		3,052,771
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			4,705		4,708,591

							20,738,454

Banks — 3.0%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
1.344%(c)		04/12/23			800		806,614
Sr. Unsec’d. Notes
3.848%		04/12/23			1,000		1,072,626
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		445		517,030
Jr. Sub. Notes, Series JJ
5.125%(ff)		—	(rr)		1,665		1,755,085
Jr. Sub. Notes, Series MM
4.300%(ff)		—	(rr)		940		966,457
Sr. Unsec’d. Notes, MTN
1.898%(ff)		07/23/31			2,600		2,629,638
2.496%(ff)		02/13/31			3,085		3,272,300
3.824%(ff)		01/20/28			955		1,096,251
4.125%		01/22/24			4,830		5,361,565
4.271%(ff)		07/23/29			510		606,612
Sub. Notes, MTN
4.000%		01/22/25			2,000		2,247,475
4.450%		03/03/26			8,455		9,858,536
Bank of America NA,
Sub. Notes
6.000%		10/15/36			410		613,112
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			850		938,464
3.684%		01/10/23			585		602,832

SEE NOTES TO FINANCIAL STATEMENTS.

A83



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			3,825	$	4,596,654
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
2.219%(ff)		06/09/26			2,330		2,438,488
Citigroup, Inc.,
Jr. Sub. Notes, Series Q, 3 Month LIBOR + 4.095%
4.316%(c)		—	(a)(rr)		2,205		2,203,512
Jr. Sub. Notes, Series V
4.700%(ff)		—	(rr)		1,400		1,438,440
Sr. Unsec’d. Notes
3.200%		10/21/26			1,870		2,089,965
3.700%		01/12/26			6,180		7,026,311
Sub. Notes
4.450%		09/29/27			5,965		7,040,920
4.750%		05/18/46			820		1,085,881
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
2.193%(ff)		06/05/26			1,560		1,629,514
4.282%		01/09/28			1,370		1,586,753
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes
2.129%(ff)		11/24/26			440		450,277
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,640		1,653,636
Sr. Unsec’d. Notes, Series D
5.000%		02/14/22			2,400		2,508,737
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			970		1,117,371
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922%
4.128%(c)		—	(rr)		2,215		2,206,620
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		740		813,419
Sr. Unsec’d. Notes
3.500%		01/23/25			4,100		4,523,776
3.750%		02/25/26			1,010		1,148,277
3.814%(ff)		04/23/29			540		624,746
3.850%		01/26/27			2,910		3,323,671
Sub. Notes
6.750%		10/01/37			104		158,131
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series HH
4.600%(ff)		—	(rr)		290		299,128
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
3.684%(c)		—	(rr)		978		973,165
Jr. Sub. Notes, Series II
4.000%(ff)		—	(rr)		1,045		1,047,641
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,275		1,396,112
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			695		798,204
3.964%(ff)		11/15/48			3,250		4,081,643
4.005%(ff)		04/23/29			2,170		2,544,578
4.452%(ff)		12/05/29			3,350		4,094,257


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Banks (cont’d.)
Sub. Notes
3.875%		09/10/24			3,775	$	4,225,254
Morgan Stanley,
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610%
3.847%(c)		—	(a)(rr)		840		833,670
Sr. Unsec’d. Notes
4.375%		01/22/47	(a)		1,045		1,418,571
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			950		1,018,401
3.772%(ff)		01/24/29			8,775		10,159,130
3.875%		01/27/26			675		773,627
4.431%(ff)		01/23/30			515		627,526
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,255		1,431,983
Sub. Notes, GMTN
4.350%		09/08/26			3,825		4,501,938
Societe Generale SA (France),
Sr. Unsec’d. Notes, 144A
1.488%(ff)		12/14/26			4,400		4,439,649
State Bank of India (India),
Sr. Unsec’d. Notes, 144A
4.375%		01/24/24			1,925		2,083,854
Wells Fargo & Co.,
Sr. Unsec’d. Notes, MTN
2.572%(ff)		02/11/31			4,175		4,429,106

							133,187,133

Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.900%		02/01/46			620		806,369
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
5.550%		01/23/49			450		637,136
8.000%		11/15/39			1,285		2,169,213
8.200%		01/15/39			250		428,680
Constellation Brands, Inc.,
Gtd. Notes
4.250%		05/01/23			1,400		1,525,927

							5,567,325

Biotechnology — 0.0%
Regeneron Pharmaceuticals, Inc.,
Sr. Unsec’d. Notes
2.800%		09/15/50			570		551,817

Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.375%		07/15/30			760		813,263
4.750%		01/15/28			700		738,983

							1,552,246

Chemicals — 0.3%
Braskem Netherlands Finance BV (Brazil),
Gtd. Notes, 144A
5.875%		01/31/50			285		294,783

SEE NOTES TO FINANCIAL STATEMENTS.

A84



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (cont’d.)
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21			1,500	$	1,533,679
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44			1,015		1,285,095
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22			3,680		3,715,495
Dow Chemical Co. (The), Sr. Unsec’d. Notes
5.250%		11/15/41			45		59,631
9.400%		05/15/39			347		620,867
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24			1,300		1,357,269
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
3.150%		10/01/22			780		811,844
Orbia Advance Corp. SAB de CV (Mexico),
Gtd. Notes, 144A
4.875%		09/19/22	(a)		2,000		2,125,909
Sasol Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24			700		744,910
6.500%		09/27/28			670		726,034

							13,275,516

Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46			975		1,205,626
6.700%		06/01/34			420		617,069
7.000%		10/15/37	(a)		380		588,044
Massachusetts Institute of Technology,
Unsec’d. Notes
3.885%		07/01/2116			1,500		1,902,999
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			1,190		1,273,989
5.250%		01/15/30	(a)		385		428,822
5.875%		09/15/26			135		142,874

							6,159,423

Diversified Financial Services — 0.1%
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			480		525,819
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		957,609
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			560		773,515
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,675		1,679,733


Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Diversified Financial Services (cont’d.)
U.S. Gov’t.
Gtd. Notes, Series NN
3.250%		06/15/25		330	$	365,422

						4,302,098

Electric — 1.2%
Arizona Public Service Co.,
Sr. Unsec’d. Notes
3.750%		05/15/46		1,200		1,462,110
Avista Corp.,
First Mortgage
4.350%		06/01/48		1,160		1,475,155
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36		550		833,024
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37		305		439,798
CenterPoint Energy Houston Electric LLC,
General Ref. Mortgage, Series K2
6.950%		03/15/33		590		879,057
Commonwealth Edison Co.,
First Mortgage, Series 123
3.750%		08/15/47		1,610		1,955,668
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series 09-C
5.500%		12/01/39		220		304,096
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		3,210		3,237,964
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,490		1,950,363
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		550		823,127
First Ref. Mortgage
4.000%		09/30/42		570		700,306
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		670		924,084
Enel Finance International NV (Italy),
Gtd. Notes, 144A
4.625%		09/14/25		2,245		2,612,092
Engie Energia Chile SA (Chile),
Sr. Unsec’d. Notes, 144A
3.400%		01/28/30		400		433,609
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		3,470		3,609,009
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39		1,425		1,718,299
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		295		426,346

SEE NOTES TO FINANCIAL STATEMENTS.

A85



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (cont’d.)
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33			145	$	195,635
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28			2,910		3,376,893
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28			470		542,644
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24			2,170		2,336,163
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,580		1,935,501
NRG Energy, Inc.,
Sr. Sec’d. Notes, 144A
2.000%		12/02/25	(a)		320		331,533
2.450%		12/02/27			1,395		1,464,074
PECO Energy Co.,
First Mortgage
2.800%		06/15/50			1,110		1,179,277
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			1,360		1,588,983
5.000%		03/15/44			695		895,145
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21			1,760		1,776,179
Public Service Electric & Gas Co.,
First Mortgage, MTN
2.050%		08/01/50			1,005		939,561
3.000%		05/15/27			1,130		1,254,878
3.700%		05/01/28			1,280		1,486,252
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			535		774,566
Public Service Enterprise Group, Inc.,
Sr. Unsec’d. Notes
1.600%		08/15/30	(a)		710		699,901
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,400		1,752,776
Southern California Edison Co.,
First Ref. Mortgage
4.000%		04/01/47			580		681,345
First Ref. Mortgage, Series C
3.600%		02/01/45			860		947,517
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27			725		772,303
Sr. Sec’d. Notes, 144A
3.550%		07/15/24			2,135		2,309,731
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		613,146

							51,638,110


Interest Rate	Maturity Date		Principal Amount (000)#			Value

CORPORATE BONDS (continued)
Electronics — 0.0%
Roper Technologies, Inc.,
Sr. Unsec’d. Notes
1.400%		09/15/27			1,705	$	1,727,282

Engineering & Construction — 0.1%
AECOM,
Gtd. Notes
5.125%		03/15/27			1,050		1,167,006
Mexico City Airport Trust (Mexico),
Sr. Sec’d. Notes, 144A
3.875%		04/30/28			700		724,510
5.500%		07/31/47			800		837,944

							2,729,460

Foods — 0.1%
Kraft Heinz Foods Co.,
Gtd. Notes, 144A
4.875%		10/01/49			1,290		1,497,099
Mars, Inc.,
Gtd. Notes, 144A
3.950%		04/01/49			1,720		2,198,660
Sr. Unsec’d. Notes, 144A
2.375%		07/16/40			660		675,930

							4,371,689

Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,595		2,305,309

Gas — 0.1%
Eastern Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.600%		12/15/44			65		81,872
NiSource, Inc.,
Sr. Unsec’d. Notes
1.700%		02/15/31			1,205		1,197,471
3.490%		05/15/27			3,285		3,723,857

							5,003,200

Healthcare-Products — 0.1%
DH Europe Finance II Sarl,
Gtd. Notes
1.350%		09/18/39		EUR	1,635		2,148,883
Medtronic Global Holdings SCA,
Gtd. Notes
1.625%		03/07/31		EUR	300		417,309
2.250%		03/07/39		EUR	400		605,770

							3,171,962

Healthcare-Services — 0.1%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36			515		763,978
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42			390		508,481

SEE NOTES TO FINANCIAL STATEMENTS.

A86



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Healthcare-Services (cont’d.)
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			555	$	623,687
5.875%		02/01/29			525		632,151
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47			940		1,217,828
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			190		195,676
MEDNAX, Inc.,
Gtd. Notes, 144A
5.250%		12/01/23	(a)		1,075		1,088,845
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45			445		558,192
Providence St. Joseph Health Obligated Group,
Unsec’d. Notes, Series 19A
2.532%		10/01/29	(a)		765		815,469

							6,404,307

Home Builders — 0.0%
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27			525		594,602
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%		03/01/24			800		859,598

							1,454,200

Housewares — 0.0%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.700%		04/01/26			1,695		1,868,766

Insurance — 0.2%
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
3.951%		10/15/50			1,215		1,449,001
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37			772		1,067,518
Markel Corp.,
Sr. Unsec’d. Notes
4.150%		09/17/50			410		517,581
5.000%		03/30/43			200		247,723
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39			660		1,020,228
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42			130		167,184
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47			1,450		1,808,934
6.850%		12/16/39			124		193,908

							6,472,077


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			980	$	1,007,229

Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21			1,260		1,299,491

Media — 0.3%
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
4.800%		03/01/50			1,260		1,496,142
5.375%		04/01/38			1,950		2,438,520
6.384%		10/23/35			875		1,198,388
6.484%		10/23/45			1,386		1,966,327
Comcast Corp.,
Gtd. Notes
3.700%		04/15/24			330		363,771
6.400%		05/15/38			530		824,241
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41			360		463,140
ViacomCBS, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44			1,450		1,883,986
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22			1,040		1,093,448

							11,727,963

Mining — 0.0%
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40			425		636,703

Miscellaneous Manufacturing — 0.0%
Amsted Industries, Inc.,
Gtd. Notes, 144A
5.625%		07/01/27			1,200		1,274,476

Multi-National — 0.0%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.125%		09/27/21			905		915,097
2.750%		01/06/23	(a)		315		326,514
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22			289		297,294

							1,538,905

Oil & Gas — 0.5%
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25			1,400		1,314,304
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47			1,200		1,406,810

SEE NOTES TO FINANCIAL STATEMENTS.

A87



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
2.875%		09/30/29			1,200	$	1,251,360
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47			210		285,492
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41			300		366,059
Gazprom PJSC Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22			350		369,097
6.510%		03/07/22			580		615,505
Helmerich & Payne, Inc.,
Sr. Unsec’d. Notes
4.650%		03/15/25			1,995		2,215,436
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
4.750%		04/24/25			550		626,935
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44			835		1,170,495
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
4.264%(s)		10/10/36			2,000		921,137
6.450%		09/15/36			1,155		1,203,900
Ovintiv, Inc.,
Gtd. Notes
6.500%		08/15/34			370		425,870
6.500%		02/01/38			275		306,649
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.093%		01/15/30	(a)		797		891,209
5.750%		02/01/29			840		979,234
6.900%		03/19/49			1,000		1,273,561
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.500%		01/21/21			330		330,593
6.350%		02/12/48			1,536		1,387,353
6.490%		01/23/27			471		496,754
6.500%		03/13/27			330		347,925
7.690%		01/23/50			2,146		2,167,760
Gtd. Notes, MTN
6.750%		09/21/47			703		658,408
6.875%		08/04/26			670		731,639
Sinopec Group Overseas Development 2018 Ltd. (China),
Gtd. Notes, 144A
3.680%		08/08/49			1,445		1,623,113

							23,366,598

Oil & Gas Services — 0.0%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25			183		207,971


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Packaging & Containers — 0.0%
WestRock RKT LLC,
Gtd. Notes
4.900%		03/01/22			800	$	841,617

Pharmaceuticals — 1.0%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25			1,175		1,309,816
4.250%		11/21/49			2,515		3,159,323
4.500%		05/14/35			1,910		2,401,024
4.550%		03/15/35			2,190		2,770,636
4.700%		05/14/45			1,460		1,901,673
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A
4.250%		12/15/25			1,600		1,830,443
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24			474		524,827
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes
4.125%		06/15/39			410		524,626
4.250%		10/26/49			1,115		1,501,145
4.550%		02/20/48			1,200		1,661,387
5.000%		08/15/45			645		928,819
Cigna Corp.,
Gtd. Notes
4.375%		10/15/28			9,285		11,206,014
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38			3,810		4,810,920
5.125%		07/20/45			610		817,413
5.300%		12/05/43			250		337,298
Johnson & Johnson,
Sr. Unsec’d. Notes
2.100%		09/01/40			3,655		3,684,011
Mylan, Inc.,
Gtd. Notes
5.200%		04/15/48			1,375		1,810,183
Viatris, Inc.,
Gtd. Notes, 144A
3.850%		06/22/40			1,380		1,549,207
Wyeth LLC,
Gtd. Notes
6.450%		02/01/24			60		70,783

							42,799,548

Pipelines — 0.6%
Boardwalk Pipelines LP,
Gtd. Notes
3.400%		02/15/31			1,625		1,685,741
Energy Transfer Operating LP,
Gtd. Notes
4.950%		06/15/28			1,115		1,283,205
5.000%		05/15/50	(a)		1,435		1,549,824
6.125%		12/15/45			180		212,471
Energy Transfer Partners LP/Regency Energy Finance Corp.,
Gtd. Notes
5.000%		10/01/22			675		716,154

SEE NOTES TO FINANCIAL STATEMENTS.

A88



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pipelines (cont’d.)
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25	(a)		1,345	$	1,506,730
Kinder Morgan, Inc.,
Gtd. Notes
3.250%		08/01/50	(a)		2,260		2,263,302
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25			1,430		1,593,154
4.000%		03/15/28	(a)		1,980		2,278,626
4.875%		06/01/25			3,250		3,753,781
5.200%		03/01/47			40		49,227
5.500%		02/15/49	(a)		395		518,398
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			145		182,665
ONEOK, Inc.,
Gtd. Notes
3.100%		03/15/30			5,205		5,525,901
4.500%		03/15/50			295		312,680
4.950%		07/13/47			935		1,044,004
Western Midstream Operating LP,
Sr. Unsec’d. Notes
5.300%		03/01/48			125		123,762
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48			315		387,102
4.900%		01/15/45			1,000		1,189,573
5.100%		09/15/45	(a)		500		621,549

							26,797,849

Real Estate Investment Trusts (REITs) — 0.3%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			1,050		1,205,541
Kimco Realty Corp.,
Sr. Unsec’d. Notes
2.700%		10/01/30	(a)		3,480		3,751,676
MPT Operating Partnership LP/MPT Finance Corp.,
Gtd. Notes
3.500%		03/15/31			1,125		1,161,729
Prologis LP,
Sr. Unsec’d. Notes
1.250%		10/15/30			3,430		3,394,206
Realty Income Corp.,
Sr. Unsec’d. Notes
3.250%		01/15/31			3,235		3,671,714

							13,184,866

Retail — 0.2%
AutoZone, Inc.,
Sr. Unsec’d. Notes
1.650%		01/15/31			770		763,403
Dollar Tree, Inc.,
Sr. Unsec’d. Notes
4.000%		05/15/25			4,705		5,310,798


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Retail (cont’d.)
L Brands, Inc.,
Gtd. Notes
5.625%		10/15/23			750	$	808,946
Macy’s Retail Holdings LLC,
Gtd. Notes
3.875%		01/15/22			201		199,416
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,375		1,418,787

							8,501,350

Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,455		1,524,968

Semiconductors — 0.2%
Broadcom, Inc.,
Gtd. Notes
3.459%		09/15/26			1,052		1,166,944
4.750%		04/15/29			5,175		6,185,593

							7,352,537

Software — 0.1%
Activision Blizzard, Inc.,
Sr. Unsec’d. Notes
2.500%		09/15/50			1,340		1,298,643
Microsoft Corp.,
Sr. Unsec’d. Notes
2.525%		06/01/50			1,425		1,498,689
ServiceNow, Inc.,
Sr. Unsec’d. Notes
1.400%		09/01/30			2,055		2,004,032

							4,801,364

Telecommunications — 0.7%
AT&T, Inc.,
Sr. Unsec’d. Notes
3.100%		02/01/43			770		781,136
4.300%		02/15/30			615		734,707
Sr. Unsec’d. Notes, 144A
2.550%		12/01/33			1,216		1,250,117
3.500%		09/15/53			8,133		8,169,786
3.650%		09/15/59			160		161,068
CenturyLink, Inc.,
Sr. Sec’d. Notes, 144A
4.000%		02/15/27			1,150		1,174,377
Level 3 Financing, Inc.,
Gtd. Notes
5.375%		01/15/24			1,400		1,414,356
Sr. Sec’d. Notes, 144A
3.400%		03/01/27			300		325,660
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			375		378,463

SEE NOTES TO FINANCIAL STATEMENTS.

A89



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Telecommunications (cont’d.)
T-Mobile USA, Inc.,
Sr. Sec’d. Notes, 144A
3.875%		04/15/30		8,000	$	9,254,592
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
2.650%		11/20/40		1,575		1,591,839
4.016%		12/03/29		1,900		2,254,049
4.125%		08/15/46		725		889,054
4.500%		08/10/33		1,205		1,519,201
4.862%		08/21/46		860		1,154,169

						31,052,574

Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		670		909,399
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		715		1,058,356
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		100		119,257

						2,087,012

TOTAL CORPORATE BONDS (cost $418,840,485)						468,013,509


MUNICIPAL BONDS — 0.5%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Taxable, Revenue Bonds, Series B
4.263%		09/15/32		240		283,445

California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs, Series F2
6.263%		04/01/49		1,325		2,287,493
Taxable, Revenue Bonds
2.574%		04/01/31		1,210		1,303,569
State of California,
General Obligation Unlimited, BABs
7.300%		10/01/39		1,270		2,099,373
General Obligation Unlimited, Taxable, BABs
7.500%		04/01/34		475		791,526
7.625%		03/01/40		215		378,340
7.550%		04/01/39		245		431,494

						7,291,795

Colorado — 0.0%
Regional Transportation District Sales Tax Revenue,
Revenue Bonds, BABs, Series B
5.844%		11/01/50		680		1,131,146

Illinois — 0.1%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,030		1,530,034


Interest Rate	Maturity Date		Principal Amount (000)#		Value

MUNICIPAL BONDS (continued)
Illinois (cont’d.)
State of Illinois,
General Obligation Unlimited, Series D
5.000%		11/01/22		3,190	$	3,388,641
General Obligation Unlimited, Taxable, Pension
5.100%		06/01/33		325		347,146

						5,265,821

New Jersey — 0.1%
New Jersey Turnpike Authority,
Taxable, Revenue Bonds, BABs, Series F
7.414%		01/01/40		1,070		1,794,722

New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Taxable, Revenue Bonds, BABs
5.767%		08/01/36		1,130		1,510,313

Ohio — 0.0%
Ohio State University (The),
Taxable, Revenue Bonds, BABs, Series C
4.910%		06/01/40		455		630,289
Ohio Water Development Authority Water Pollution Control Loan Fund,
Taxable, Revenue Bonds, BABs, Series B2
4.879%		12/01/34		300		360,081

						990,370

Oregon — 0.0%
State of Oregon Department of Transportation,
Taxable, Revenue Bonds, BABs, Series A
5.834%		11/15/34		445		646,180

Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		550		818,004

Virginia — 0.0%
University of Virginia,
Taxable, Revenue Bonds, Series C
4.179%		09/01/2117		495		663,592

TOTAL MUNICIPAL BONDS (cost $14,911,656)						20,395,388


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/35		16		15,684
Banc of America Mortgage Trust,
Series 2005-A, Class 2A1
3.672%(cc)		02/25/35		217		219,277
Bellemeade Re Ltd. (Bermuda),
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%)
1.748%(c)		08/25/28		188		188,546
Series 2019-03A, Class M1A, 144A, 1 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%)
1.248%(c)		07/25/29		404		403,716
Series 2019-03A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%)
1.748%(c)		07/25/29		1,200		1,200,953

SEE NOTES TO FINANCIAL STATEMENTS.

A90



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%)

2.798%(c)

06/25/30

423

423,791

Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%)

3.548%(c)

06/25/30

230

232,362

Series 2020-02A, Class M1A, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%)

2.448%(c)

08/26/30

195

195,550

Series 2020-04A, Class M2A, 144A, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%)

2.750%(c)

06/25/30

435

435,291

BVRT Financing Trust,

Series 2019-01, Class F, 144A

2.299%(cc)

09/15/21^

4,233

4,203,510

Central Park Funding Trust,

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

1.655%(c)

11/01/23

4,700

4,699,999

Chase Mortgage Finance Trust,

Series 2007-A01, Class 1A5

3.195%(cc)

02/25/37

154

152,756

CIM Trust,

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%)

2.155%(c)

01/25/57

2,113

2,128,030

Series 2017-05, Class A3, 144A

4.000%(cc)

05/25/57

600

600,057

Series 2017-06, Class A1, 144A

3.015%(cc)

06/25/57

2,349

2,352,180

Credit Suisse Mortgage Trust,

Series 2018-RPL09, Class A, 144A

3.850%(cc)

09/25/57

1,184

1,276,936

Eagle Re Ltd. (Bermuda),

Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%)

1.948%(c)

04/25/29

180

179,628

FHLMC REMICS,

Series 4535, Class PA

3.000%

03/15/44

1,069

1,114,374

FHLMC Structured Agency Credit Risk Debt Notes,

Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)

0.898%(c)

03/25/30

591

591,653

Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%)

2.682%(c)

11/25/50

3,020

3,038,786

FHLMC Structured Agency Credit Risk REMIC Trust,

Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%)

3.748%(c)

07/25/50

1,555

1,565,760

Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%)

5.398%(c)

09/25/50

225

234,531

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

FHLMC Structured Agency Credit Risk Trust,

Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%)

0.898%(c)

09/25/48

3,259

Home Re Ltd. (Bermuda),

Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%)

1.798%(c)

05/25/29

168

166,608

JPMorgan Mortgage Trust,

Series 2007-A01, Class 4A1

2.956%(cc)

07/25/35

61,901

LSTAR Securities Investment Trust,

Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%)

1.655%(c)

04/01/24

452

450,512

Mello Warehouse Securitization Trust,

Series 2020-01, Class A, 144A, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%)

1.048%(c)

10/25/53

1,815

1,815,759

Mortgage Repurchase Agreement Financing Trust,

Series 2020-03, Class A1, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)

1.399%(c)

01/23/23

575

575,424

Series 2020-04, Class A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.499%(c)

04/23/23

550

550,019

Series 2020-04, Class A2, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%)

1.499%(c)

04/23/23

1,060

1,060,037

Series 2020-05, Class A1, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%)

1.149%(c)

08/10/23

1,570

1,570,306

MRA Issuance Trust,

Series 2020-07, Class A, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%)

1.755%(c)

12/11/21

7,510

7,511,464

Series 2020-08, Class A1X, 144A, 1 Month LIBOR + 1.750% (Cap N/A, Floor 2.250%)

2.250%(c)

09/23/21

5,100

5,103,749

Series 2020-08, Class A2, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 3.500%)

3.500%(c)

09/23/21

3,510

3,512,691

New Residential Mortgage Loan Trust,

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

0.898%(c)

01/25/48

522

522,397

Oaktown Re II Ltd. (Bermuda),

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%)

1.698%(c)

07/25/28

136

136,081

Oaktown Re III Ltd. (Bermuda),

Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%)

1.548%(c)

07/25/29

47,390

SEE NOTES TO FINANCIAL STATEMENTS.

A91



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#			Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Oaktown Re IV Ltd. (Bermuda),
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%)
3.348%(c)		07/25/30			213	$	213,744
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%)
4.898%(c)		07/25/30			750		757,598
PMT Credit Risk Transfer Trust,
Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%)
3.967%(c)		12/25/22			3,530		3,530,244
Seasoned Credit Risk Transfer Trust,
Series 2019-02, Class MA
3.500%		08/25/58			1,078		1,174,443
Station Place Securitization Trust,
Series 2020-10, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)
1.643%(c)		05/20/21			3,360		3,363,455
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.080%(cc)		02/25/34			91		89,865

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $57,386,375)							57,670,316


SOVEREIGN BONDS — 0.8%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			3,350		3,754,944
Bermuda Government International Bond (Bermuda),
Sr. Unsec’d. Notes, 144A
2.375%		08/20/30			710		745,300
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			175		189,284
4.375%		07/12/21			500		511,280
5.000%		06/15/45			620		757,978
7.375%		09/18/37			625		912,545
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28			1,040		1,148,949
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		431,964
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25		EUR	1,500		2,070,546
4.450%		02/11/24			505		560,092
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24			950		1,091,454
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24		EUR	2,100		2,725,454
4.750%		01/08/26			540		631,358
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21			200		200,956
2.125%		10/25/23			1,400		1,462,992


Interest Rate	Maturity Date			Principal Amount (000)#			Value

SOVEREIGN BONDS (continued)
2.625%		04/20/22				2,000	$	2,057,918
3.000%		03/12/24				400		431,127
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
4.000%		09/22/24				515		570,794
4.500%		04/16/50	(a)			475		610,697
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23				1,105		1,187,996
4.817%		03/14/49				500		682,462
5.103%		04/23/48				915		1,286,317
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, EMTN
4.125%		03/11/39			EUR	1,395		2,129,883
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21				1,325		1,345,122
2.875%		03/04/23				1,785		1,865,749
4.000%		04/17/25				1,035		1,157,109
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22				1,800		1,852,691
3.250%		06/01/23				800		852,349
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55				1,025		1,423,783
5.100%		06/18/50	(a)			545		763,496

TOTAL SOVEREIGN BONDS (cost $31,602,082)								35,412,589


U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.8%
Federal Home Loan Bank
5.500%		07/15/36	(k)			1,080		1,665,253
Federal Home Loan Mortgage Corp.
2.000%		01/01/32				734		770,646
2.500%		03/01/30				381		405,655
2.500%		10/01/32				799		850,484
3.000%		10/01/28				273		292,297
3.000%		06/01/29				677		723,734
3.000%		03/01/32				819		879,036
3.000%		01/01/37				381		401,772
3.000%		01/01/43				762		810,477
3.000%		07/01/43				1,504		1,598,985
3.000%		01/01/47				4,259		4,494,427
3.500%		03/01/42				410		441,219
3.500%		06/01/42				242		260,086
3.500%		01/01/47				776		827,819
3.500%		02/01/47				952		1,012,340
4.000%		06/01/26				351		373,501
4.000%		09/01/26				178		189,532
4.000%		10/01/39				666		734,619
4.000%		12/01/40				286		315,040
4.000%		10/01/41				313		345,212
4.000%		01/01/42				104		113,359
4.000%		10/01/45				374		405,178
4.500%		09/01/39				204		228,921
4.500%		10/01/39				1,171		1,314,082
4.500%		12/01/39				352		393,301

SEE NOTES TO FINANCIAL STATEMENTS.

A92



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		07/01/41			95	$	102,895
4.500%		07/01/41			1,580		1,774,033
4.500%		08/01/41			126		136,626
4.500%		08/01/41			192		212,082
4.500%		08/01/41			255		283,526
4.500%		10/01/41			103		111,517
4.500%		10/01/46			233		256,709
4.500%		12/01/47			1,107		1,208,605
5.000%		05/01/34			17		20,276
5.000%		05/01/34			158		184,091
5.000%		08/01/35			17		19,690
5.000%		09/01/35			29		33,988
5.000%		10/01/36			28		32,134
5.000%		05/01/37			17		20,049
5.000%		07/01/37			345		400,796
5.000%		09/01/38			42		48,512
5.000%		09/01/38			44		51,177
5.000%		09/01/38			50		58,459
5.000%		02/01/39			17		19,546
5.000%		06/01/39			50		57,655
5.500%		02/01/34			31		34,964
5.500%		04/01/34			294		332,095
5.500%		06/01/34			78		91,114
5.500%		06/01/34			151		176,842
5.500%		05/01/37			39		46,340
5.500%		02/01/38			305		358,452
5.500%		05/01/38			57		67,551
5.500%		07/01/38			269		316,020
6.000%		03/01/32			134		152,392
6.000%		12/01/33			48		54,100
6.000%		07/01/36			3		3,304
6.000%		12/01/36			7		8,167
6.000%		05/01/37			10		12,148
6.000%		12/01/37			16		18,311
6.000%		01/01/38			4		3,964
6.000%		01/01/38			11		12,862
6.000%		01/01/38			212		249,660
6.000%		10/01/38			68		81,393
6.000%		08/01/39			34		40,014
6.750%		09/15/29			935		1,396,019
6.750%		03/15/31			500		770,033
7.000%		01/01/31			17		19,577
7.000%		06/01/31			13		14,168
7.000%		09/01/31			3		3,186
7.000%		10/01/31			32		36,424
7.000%		10/01/32			28		30,779
Federal National Mortgage Assoc.
2.000%		TBA	(tt)		9,000		9,347,684
2.000%		TBA			82,500		85,535,635
2.000%		08/01/31			1,054		1,106,296
2.500%		TBA	(tt)		5,000		5,269,915
2.500%		TBA			5,500		5,786,809
2.500%		01/01/28			798		834,166
2.500%		10/01/43			803		859,072
2.500%		12/01/46			1,425		1,524,563
3.000%		02/01/27			1,144		1,215,884
3.000%		08/01/30			710		747,028
3.000%		11/01/36			1,778		1,861,052


Interest Rate	Maturity Date		Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%		12/01/42		904	$	961,977
3.000%		12/01/42		1,398		1,490,199
3.000%		03/01/43		237		252,580
3.000%		11/01/46		235		248,036
3.000%		01/01/47		1,836		1,922,422
3.000%		02/01/47		1,248		1,312,383
3.000%		03/01/47		952		1,001,331
3.000%		03/01/49		1,557		1,632,575
3.000%		12/01/49		917		971,606
3.500%		07/01/31		714		770,933
3.500%		11/01/32		363		397,366
3.500%		02/01/33		867		926,478
3.500%		05/01/33		1,409		1,502,506
3.500%		06/01/39		519		561,794
3.500%		01/01/42		4,386		4,735,455
3.500%		05/01/42		2,018		2,168,147
3.500%		07/01/42		655		711,734
3.500%		08/01/42		240		260,486
3.500%		08/01/42		706		762,095
3.500%		09/01/42		790		859,036
3.500%		09/01/42		1,314		1,428,414
3.500%		11/01/42		415		449,415
3.500%		03/01/43		2,498		2,731,830
3.500%		04/01/43		452		491,856
3.500%		04/01/43		1,003		1,091,196
3.500%		07/01/43		206		223,737
3.500%		06/01/45		4,178		4,473,575
3.500%		07/01/46		726		772,683
3.500%		11/01/46		1,215		1,296,904
3.500%		09/01/47		1,160		1,231,262
3.500%		01/01/48		8,376		8,880,686
3.500%		05/01/48		1,193		1,261,662
3.500%		06/01/48		4,319		4,667,491
4.000%		12/01/36		866		938,348
4.000%		10/01/41		2,224		2,432,089
4.000%		07/01/44		848		930,451
4.000%		09/01/44		1,634		1,783,879
4.000%		10/01/46		570		612,685
4.000%		06/01/47		867		934,566
4.000%		09/01/47		327		351,164
4.000%		11/01/47		843		930,105
4.000%		11/01/47		1,584		1,703,113
4.000%		12/01/47		4,545		4,882,078
4.500%		07/01/33		40		43,941
4.500%		08/01/33		10		11,098
4.500%		09/01/33		33		36,003
4.500%		10/01/33		88		97,667
4.500%		03/01/34		26		29,132
4.500%		01/01/35		2		2,065
4.500%		07/01/39		662		743,345
4.500%		08/01/39		505		566,737
4.500%		09/01/39		321		358,807
4.500%		12/01/39		4		4,038
4.500%		03/01/41		1,113		1,244,451
4.500%		07/01/42		103		115,124
5.000%		03/01/34		182		209,737
5.000%		04/01/35		434		501,513
5.000%		06/01/35		106		123,298

SEE NOTES TO FINANCIAL STATEMENTS.

A93



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.000%		07/01/35			79	$	91,450
5.000%		07/01/35			107		124,601
5.000%		09/01/35			69		80,230
5.000%		11/01/35			78		90,394
5.000%		02/01/36			59		69,019
5.500%		02/01/33			90		105,414
5.500%		08/01/33			161		185,796
5.500%		10/01/33			45		51,705
5.500%		12/01/33			40		46,306
5.500%		12/01/34			114		133,238
5.500%		10/01/35			471		553,350
5.500%		03/01/36			48		54,089
5.500%		04/01/36			105		122,088
5.500%		01/01/37			54		63,424
5.500%		04/01/37			28		33,034
5.500%		05/01/37			169		199,154
5.500%		08/01/37			212		248,889
6.000%		05/01/21			2		2,076
6.000%		10/01/33			184		211,439
6.000%		11/01/33			22		25,199
6.000%		11/01/33			29		32,169
6.000%		01/01/34			225		270,159
6.000%		02/01/34			84		101,082
6.000%		03/01/34			2		1,957
6.000%		03/01/34			12		13,068
6.000%		03/01/34			27		30,456
6.000%		11/01/34			21		24,117
6.000%		01/01/35			39		44,591
6.000%		01/01/35			110		125,532
6.000%		02/01/35			3		2,892
6.000%		02/01/35			103		115,911
6.000%		02/01/35			171		205,911
6.000%		04/01/35			14		16,835
6.000%		05/01/36			32		38,622
6.000%		06/01/36			15		16,460
6.000%		02/01/37			58		68,822
6.000%		06/01/37			24		27,005
6.000%		05/01/38			149		175,741
6.250%		05/15/29	(a)		950		1,353,390
6.500%		09/01/32			1		1,122
6.500%		09/01/32			13		14,145
6.500%		09/01/32			34		39,187
6.500%		09/01/32			38		43,961
6.500%		10/01/32			39		44,913
6.500%		04/01/33			50		57,830
6.500%		11/01/33			20		23,739
6.500%		01/01/34			31		35,571
6.500%		09/01/34			48		54,761
6.500%		10/01/34			28		32,896
6.500%		09/01/36			106		122,531
6.500%		10/01/36			25		30,260
6.500%		11/01/36			36		40,486
6.500%		01/01/37			38		42,740
6.500%		01/01/37			100		115,431
6.500%		09/01/37			12		14,272
6.625%		11/15/30	(k)		550		832,291
7.000%		02/01/32			22		25,813
7.000%		05/01/32			12		14,953


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		06/01/32			13	$	15,116
7.000%		07/01/32			41		48,163
7.125%		01/15/30	(k)		3,600		5,498,337
Government National Mortgage Assoc.
2.000%		12/20/50			2,000		2,092,630
2.500%		TBA			11,000		11,620,044
2.500%		03/20/43			577		617,048
2.500%		12/20/46			657		699,578
3.000%		03/15/45			738		774,500
3.000%		11/20/45			853		907,906
3.000%		03/20/46			5,481		5,839,892
3.000%		07/20/46			3,630		3,867,797
3.000%		10/20/46			1,196		1,274,091
3.000%		12/20/46			801		853,117
3.000%		02/20/47			1,677		1,785,408
3.000%		12/20/49			439		459,108
3.500%		12/20/42			1,399		1,523,408
3.500%		05/20/43			286		312,044
3.500%		03/20/45			1,079		1,165,023
3.500%		04/20/45			1,487		1,596,036
3.500%		07/20/46			5,523		5,964,345
3.500%		06/20/49			9,217		9,771,336
4.000%		06/15/40			110		119,147
4.000%		05/20/41			213		235,466
4.000%		12/20/42			492		544,915
4.000%		08/20/44			209		230,430
4.000%		11/20/45			1,135		1,245,529
4.000%		12/20/45			1,222		1,337,394
4.000%		11/20/46			275		300,012
4.000%		09/20/47			4,251		4,582,504
4.000%		02/20/49			2,911		3,121,370
4.500%		04/15/40			438		488,139
4.500%		01/20/41			972		1,096,706
4.500%		02/20/41			594		670,719
4.500%		06/20/44			638		710,856
4.500%		09/20/46			369		410,862
4.500%		11/20/46			730		813,620
4.500%		03/20/47			652		709,892
4.500%		05/20/48			865		935,632
4.500%		06/20/48			1,156		1,250,405
4.500%		08/20/48			3,651		3,956,139
5.000%		10/20/37			91		104,071
5.000%		04/20/45			598		685,534
5.500%		11/15/32			61		68,972
5.500%		02/15/33			43		50,217
5.500%		08/15/33			52		57,566
5.500%		08/15/33			71		78,543
5.500%		09/15/33			40		44,688
5.500%		09/15/33			64		72,328
5.500%		10/15/33			62		71,369
5.500%		12/15/33			6		7,006
5.500%		04/15/34			246		284,773
5.500%		07/15/35			47		54,201
5.500%		02/15/36			110		129,189
6.000%		02/15/33			2		1,992
6.000%		04/15/33			13		15,123
6.000%		09/15/33			11		13,070
6.000%		12/15/33			30		36,301

SEE NOTES TO FINANCIAL STATEMENTS.

A94



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		12/15/33			74		$	82,940
6.000%		01/15/34			14			16,897
6.000%		01/15/34			27			31,891
6.000%		06/20/34			58			68,107
6.000%		07/15/34			122			147,827
6.000%		10/15/34			155			182,097
6.500%		10/15/23			1			614
6.500%		12/15/23			2			2,028
6.500%		01/15/24			1			983
6.500%		01/15/24			1			1,326
6.500%		01/15/24			3			3,157
6.500%		01/15/24			7			7,988
6.500%		01/15/24			8			8,365
6.500%		01/15/24			31			34,988
6.500%		02/15/24			—	(r)		150
6.500%		02/15/24			—	(r)		185
6.500%		02/15/24			1			1,626
6.500%		02/15/24			2			1,706
6.500%		02/15/24			2			2,581
6.500%		02/15/24			4			4,346
6.500%		02/15/24			5			5,255
6.500%		02/15/24			6			6,274
6.500%		02/15/24			8			9,105
6.500%		02/15/24			20			22,336
6.500%		04/15/24			—	(r)		274
6.500%		04/15/24			1			945
6.500%		04/15/24			1			1,311
6.500%		04/15/24			1			1,337
6.500%		04/15/24			1			1,467
6.500%		04/15/24			1			1,643
6.500%		04/15/24			6			7,160
6.500%		05/15/24			7			7,331
6.500%		05/15/24			10			10,985
6.500%		10/15/24			9			10,012
6.500%		12/15/30			6			7,027
6.500%		01/15/32			17			19,156
6.500%		02/15/32			13			14,705
6.500%		07/15/32			38			43,040
6.500%		08/15/32			4			4,223
6.500%		08/15/32			7			8,327
6.500%		08/15/32			26			29,787
6.500%		08/15/32			149			175,995
6.500%		06/15/35			30			35,435
6.500%		07/15/35			7			7,298
8.000%		01/15/24			5			4,869
8.000%		04/15/25			3			2,977

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $293,511,793)								304,332,808


U.S. TREASURY OBLIGATIONS — 1.0%
U.S. Treasury Bonds
2.875%		05/15/43			325			410,516
3.625%		02/15/44			490			693,197
U.S. Treasury Notes
0.125%		09/30/22			34,000			34,000,000
0.375%		11/30/25			2,615			2,618,473
3.125%		11/15/28	(k)		625			739,648


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Strips Coupon
2.000%(s)		08/15/39			3,780	$	2,844,007
2.228%(s)		05/15/28	(k)		718		677,079
2.365%(s)		08/15/44	(k)		3,095		2,089,488
2.395%(s)		11/15/43			1,156		791,770

TOTAL U.S. TREASURY OBLIGATIONS (cost $44,094,108)							44,864,178

TOTAL LONG-TERM INVESTMENTS (cost $3,347,463,391)							4,270,644,161

				Shares

SHORT-TERM INVESTMENTS — 8.8%

AFFILIATED MUTUAL FUNDS — 8.8%
PGIM Core Ultra Short Bond Fund(w)					353,385,879		353,385,879
PGIM Institutional Money Market Fund (cost $41,018,205; includes $41,012,268 of cash collateral for securities on loan)(b)(w)					41,117,792		41,097,233

TOTAL AFFILIATED MUTUAL FUNDS (cost $394,404,084)							394,483,112

				Principal Amount (000)#

U.S. TREASURY OBLIGATION(k)(n) — 0.0%
U.S. Treasury Bills
0.079%		03/18/21			350		349,951

(cost $349,941)
TOTAL SHORT-TERM INVESTMENTS (cost $394,754,025)							394,833,063

TOTAL INVESTMENTS—104.2% (cost $3,742,217,416)							4,665,477,224
Liabilities in excess of other assets(z) — (4.2)%							(186,392,758	)

NET ASSETS — 100.0%						$	4,479,084,466

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

*	Non-income producing security.

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

^	Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $4,203,510 and 0.1% of net assets.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $39,532,084; cash collateral of $41,012,268 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment.

SEE NOTES TO FINANCIAL STATEMENTS.

A95



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020.

(cc)

(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.

(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.

(tt)	All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 14,000,000 is 0.3% of net assets.

(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:

Futures contracts outstanding at December 31, 2020:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
279		2 Year U.S. Treasury Notes		Mar. 2021	$	61,652,461	$	61,229
558		5 Year U.S. Treasury Notes		Mar. 2021		70,399,545		43,478
178		10 Year U.S. Ultra Treasury Notes		Mar. 2021		27,831,970		(62,378	)
227		20 Year U.S. Treasury Bonds		Mar. 2021		39,313,563		(275,791	)
448		30 Year U.S. Ultra Treasury Bonds		Mar. 2021		95,676,000		(559,843	)
11		Mini MSCI EAFE Index		Mar. 2021		1,171,940		16,086
6		S&P 500 E-Mini Index		Mar. 2021		1,124,640		28,389

								(748,830	)

Short Positions:
31		5 Year Euro-Bobl		Mar. 2021		5,119,422		(2,592	)
20		10 Year Euro-Bund		Mar. 2021		4,340,278		(11,405	)
391		10 Year U.S. Treasury Notes		Mar. 2021		53,988,549		(57,875	)
15		Euro Schatz Index		Mar. 2021		2,057,411		688

								(71,184	)

							$	(820,014	)

Forward foreign currency exchange contracts outstanding at December 31, 2020:


Sale Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Canadian Dollar,
Expiring 01/20/21		Citibank, N.A.		CAD	3,544	$	2,696,896	$	2,784,759	$	—	$	(87,863	)
Expiring 01/20/21		Morgan Stanley & Co. International PLC		CAD	2,500		1,904,900		1,964,196		—		(59,296	)
Euro,
Expiring 01/12/21		Citibank, N.A.		EUR	348		417,171		425,624		—		(8,453	)
Expiring 01/12/21		HSBC Bank USA, N.A.		EUR	10,002		11,883,728		12,222,450		—		(338,722	)

						$	16,902,695	$	17,397,029	$	—	$	(494,334	)

SEE NOTES TO FINANCIAL STATEMENTS.

A96



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Credit default swap agreements outstanding at December 31, 2020:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2020(4)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
Boeing Co.		12/20/21		1.000%(Q)		4,100		0.723	%	$	12,455	$	21,566	$	(9,111	)	Bank of America, N.A.

(1)

(2)

(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)

Interest rate swap agreements outstanding at December 31, 2020:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2020			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR1,190		05/11/39		1.100%(A)	1 Day EONIA(1)(A)	$	(10,808	)	$	(338,384	)	$	(327,576	)
	3,085		08/09/49		1.508%(A)	1 Day USOIS(1)(A)		—			(238,938	)		(238,938	)

							$	(10,808	)	$	(577,322	)	$	(566,514	)

(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 December 31, 2020:

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:

Bloomberg Barclays Capital U.S. CMBS (ERISA Only) Index (M)

1 Month LIBOR-
15 bps (M)

Barclays Bank
PLC

5/01/21

16,050

115,483

—

115,483

(1)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A97



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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


	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Swap Agreements	$	21,566	$	—	$	115,483	$	(9,111	)

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


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	6,629,815
Goldman Sachs & Co. LLC		—		349,951

Total	$	—	$	6,979,766

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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks	$	2,763,997,255	$	42,787,443	$	—
Exchange-Traded Fund		232,597		—		—
Preferred Stocks		627,000		342,830		—
Asset-Backed Securities
Automobiles		—		84,343,306		—
Collateralized Loan Obligations		—		132,928,895		—
Consumer Loans		—		6,843,633		—
Equipment		—		8,975,503		—
Home Equity Loans		—		50,225		—
Other		—		5,658,801		—
Residential Mortgage-Backed Securities		—		10,783,608		—
Student Loans		—		30,590,965		—
Commercial Mortgage-Backed Securities		—		251,793,312		—
Corporate Bonds		—		468,013,509		—
Municipal Bonds		—		20,395,388		—
Residential Mortgage-Backed Securities		—		53,466,806		4,203,510
Sovereign Bonds		—		35,412,589		—
U.S. Government Agency Obligations		—		304,332,808		—
U.S. Treasury Obligations		—		45,214,129		—
Affiliated Mutual Funds		394,483,112		—		—

Total	$	3,159,339,964	$	1,501,933,750	$	4,203,510

Other Financial Instruments*
Assets
Futures Contracts	$	149,870	$	—	$	—
OTC Credit Default Swap Agreement		—		12,455		—
OTC Total Return Swap Agreement		—		115,483		—

Total	$	149,870	$	127,938	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A98



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1			Level 2			Level 3
*Other Financial Instruments (continued)**
Liabilities
Futures Contracts	$	(969,884	)	$	—		$	—
OTC Forward Foreign Currency Exchange Contracts		—			(494,334	)		—
Centrally Cleared Interest Rate Swap Agreements		—			(566,514	)		—

Total	$	(969,884	)	$	(1,060,848	)	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Affiliated Mutual Funds (0.9% represents investments purchased with collateral from securities on loan)	8.8	%
U.S. Government Agency Obligations	6.8
Software	6.0
Commercial Mortgage-Backed Securities	5.6
Banks	5.0
Technology Hardware, Storage & Peripherals	4.0
Interactive Media & Services	3.9
Pharmaceuticals	3.8
Semiconductors & Semiconductor Equipment	3.7
Internet & Direct Marketing Retail	3.5
Collateralized Loan Obligations	3.0
IT Services	3.0
Automobiles	2.4
Health Care Equipment & Supplies	2.4
Capital Markets	2.2
Aerospace & Defense	1.6
Biotechnology	1.6
Residential Mortgage-Backed Securities	1.5
Machinery	1.5
Health Care Providers & Services	1.5
Specialty Retail	1.4
Diversified Telecommunication Services	1.4
Food & Staples Retailing	1.4
Insurance	1.4
Chemicals	1.3
Equity Real Estate Investment Trusts (REITs)	1.2
Electric	1.2
Food Products	1.1
Household Products	1.1
U.S. Treasury Obligations	1.0
Entertainment	1.0
Oil, Gas & Consumable Fuels	0.9
Life Sciences Tools & Services	0.8
Multiline Retail	0.8
Sovereign Bonds	0.8
Communications Equipment	0.8
Metals & Mining	0.7
Hotels, Restaurants & Leisure	0.7
Electric Utilities	0.7
Industrial Conglomerates	0.7
Telecommunications	0.7
Student Loans	0.7
Beverages	0.7


Media	0.7	%
Pipelines	0.6
Diversified Financial Services	0.5
Multi-Utilities	0.5
Oil & Gas	0.5
Building Products	0.5
Independent Power & Renewable Electricity Producers	0.5
Tobacco	0.5
Auto Manufacturers	0.5
Municipal Bonds	0.5
Electrical Equipment	0.4
Mortgage Real Estate Investment Trusts (REITs)	0.4
Real Estate Investment Trusts (REITs)	0.3
Construction & Engineering	0.2
Electronic Equipment, Instruments & Components	0.2
Gas Utilities	0.2
Equipment	0.2
Retail	0.2
Commercial Services & Supplies	0.2
Semiconductors	0.2
Road & Rail	0.2
Energy Equipment & Services	0.2
Consumer Loans	0.2
Healthcare-Services	0.1
Commercial Services	0.1
Other	0.1
Agriculture	0.1
Leisure Products	0.1
Gas	0.1
Consumer Finance	0.1
Trading Companies & Distributors	0.1
Foods	0.1
Airlines	0.1
Household Durables	0.1
Healthcare-Products	0.1
Engineering & Construction	0.1
Forest Products & Paper	0.1
Transportation	0.1
Auto Components	0.0	*
Housewares	0.0	*
Electronics	0.0	*
Building Materials	0.0	*
Multi-National	0.0	*
Savings & Loans	0.0	*

SEE NOTES TO FINANCIAL STATEMENTS.

A99



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Industry Classification (continued):


Textiles, Apparel & Luxury Goods	0.0	*%
Home Builders	0.0	*
Paper & Forest Products	0.0	*
Machinery-Diversified	0.0	*
Miscellaneous Manufacturing	0.0	*
Lodging	0.0	*
Air Freight & Logistics	0.0	*
Wireless Telecommunication Services	0.0	*
Packaging & Containers	0.0	*
Personal Products	0.0	*
Mining	0.0	*
Construction Materials	0.0	*
Professional Services	0.0	*


Real Estate Management & Development	0.0	*%
Exchange-Traded Fund	0.0	*
Oil & Gas Services	0.0	*
Marine	0.0	*
Health Care Technology	0.0	*
Home Equity Loans	0.0	*
Containers & Packaging	0.0	*

	104.2
Liabilities in excess of other assets	(4.2	)

	100.0	%

*	Less than +/- 0.05%

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

Fair values of derivative instruments as of December 31, 2020 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				Statement of
	Assets and	Fair			Assets and	Fair
	Liabilities Location	Value			Liabilities Location	Value
Credit contracts	Premiums paid for OTC swap agreements	$	21,566		—	$	—
Credit contracts	—		—		Unrealized depreciation on OTC swap agreements		9,111
Equity contracts	Due from/to broker-variation margin futures		44,475	*	—		—
Foreign exchange contracts	—		—		Unrealized depreciation on OTC forward foreign currency exchange contracts		494,334
Interest rate contracts	Due from/to broker-variation margin futures		105,395	*	Due from/to broker-variation margin futures		969,884	*
Interest rate contracts	—		—		Due from/to broker-variation margin swaps		566,514	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		115,483		—		—

		$	286,919			$	2,039,843

*	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.

A100



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)		Options Written		Futures		Forward Currency Contracts			Swaps
Credit contracts	$	—	$	—	$	—	$	—	$	—		$	722,377
Equity contracts		1,137		—		—		188,725		—			—
Foreign exchange contracts		—		—		—		—		(612,593	)		—
Interest rate contracts		—		795,193		248,975		14,451,274		—			(16,726,620	)

Total	$	1,137	$	795,193	$	248,975	$	14,639,999	$	(612,593	)	$	(16,004,243	)

(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)			Futures		Forward Currency Exchange Contracts			Swaps
Credit contracts	$	—		$	—		$	—	$	—		$	306,098
Equity contracts		(18	)		—			47,543		—			—
Foreign exchange contracts		—			—			—		(343,891	)		—
Interest rate contracts		—			(498,216	)		1,680,681		—			9,180,715

Total	$	(18	)	$	(498,216	)	$	1,728,224	$	(343,891	)	$	9,486,813

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

For the year ended December 31, 2020, 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)
$105,450	$358,400	$251,200,864	$170,146,635	$7,009,849

Forward Foreign

Currency Exchange

Contracts—Sold(3)

Interest Rate

Swap

Agreements(2)

Credit Default

Swap Agreements—

Buy Protection(2)

$20,615,679

$233,772,870

$19,200,000

Credit Default

Swap Agreements—

Sell Protection(2)

Total Return

Swap

Agreements(2)

$21,418,005

$16,010,068

(1)

Cost.

(2)	Notional Amount in USD.

(3)	Value at Settlement Date.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A101



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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	$	39,532,084	$	(39,532,084	)	$	—

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.	$	21,566	$	(9,111	)	$	12,455		$	(12,455	)	$	—
Barclays Bank PLC		115,483		—			115,483			(20,000	)		95,483
Citibank, N.A.		—		(96,316	)		(96,316	)		—			(96,316	)
HSBC Bank USA, N.A.		—		(338,722	)		(338,722	)		—			(338,722	)
Morgan Stanley & Co. International PLC		—		(59,296	)		(59,296	)		—			(59,296	)

	$	137,049	$	(503,445	)	$	(366,396	)	$	(32,455	)	$	(398,851	)

(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.

A102



		*FLEXIBLE MANAGED PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $39,532,084:
Unaffiliated investments (cost $3,347,813,332)	$	4,270,994,112
Affiliated investments (cost $394,404,084)		394,483,112
Foreign currency, at value (cost $426,174)		429,013
Dividends and interest receivable		9,433,692
Tax reclaim receivable		458,537
Due from broker-variation margin futures		431,647
Unrealized appreciation on OTC swap agreements		115,483
Receivable for investments sold		26,951
Premiums paid for OTC swap agreements		21,566
Receivable from affiliate		7,996
Receivable for Portfolio shares sold		1,211
Prepaid expenses and other assets		544,057

Total Assets		4,676,947,377

LIABILITIES
Payable for investments purchased		151,916,532
Payable to broker for collateral for securities on loan		41,012,268
Management fee payable		2,256,910
Payable for Portfolio shares purchased		1,575,891
Unrealized depreciation on OTC forward foreign currency exchange contracts		494,334
Accrued expenses and other liabilities		388,077
Payable to affiliate		180,363
Due to broker-variation margin swaps		20,516
Unrealized depreciation on OTC swap agreements		9,111
Trustees’ fees payable		5,849
Due to broker-variation margin futures		2,080
Affiliated transfer agent fee payable		980

Total Liabilities		197,862,911

NET ASSETS	$	4,479,084,466

Net assets were comprised of:
Partners’ Equity	$	4,479,084,466

Net asset value and redemption price per share, $4,479,084,466 / 119,083,184 outstanding shares of beneficial interest	$	37.61

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $289,613 foreign withholding tax, of which $63,091 is reimbursable by an affiliate)	$	51,833,987
Interest income		40,775,545
Affiliated dividend income		1,475,434
Income from securities lending, net (including affiliated income of $319,762)		328,818

Total income		94,413,784

EXPENSES
Management fee		25,024,560
Custodian and accounting fees		413,402
Shareholders’ reports		236,006
Trustees’ fees		62,969
Audit fee		48,970
Legal fees and expenses		40,902
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,680
Miscellaneous		91,208

Total expenses		25,928,697

NET INVESTMENT INCOME (LOSS)		68,485,087

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $498,927)		129,044,144
Futures transactions		14,639,999
Forward currency contract transactions		(612,593	)
Options written transactions		248,975
Swap agreements transactions		(16,004,243	)
Foreign currency transactions		47,488

		127,363,770

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $54,515)		185,123,998
Futures		1,728,224
Forward currency contracts		(343,891	)
Swap agreements		9,486,813
Foreign currencies		30,511

		196,025,655

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		323,389,425

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	391,874,512



STATEMENTS OF CHANGES IN NET ASSETS
	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	68,485,087		$	79,405,892
Net realized gain (loss) on investment and foreign currency transactions		127,363,770			176,760,040
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		196,025,655			485,992,068

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		391,874,512			742,158,000

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [273,315 and 177,562 shares, respectively]		8,597,942			5,636,300
Portfolio shares purchased [7,294,813 and 7,989,312 shares, respectively]		(249,244,194	)		(253,479,611	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(240,646,252	)		(247,843,311	)

CAPITAL CONTRIBUTIONS		—			14,632

TOTAL INCREASE (DECREASE)		151,228,260			494,329,321
NET ASSETS:
Beginning of year		4,327,856,206			3,833,526,885

End of year	$	4,479,084,466		$	4,327,856,206

SEE NOTES TO FINANCIAL STATEMENTS.

A103



		*GLOBAL PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 97.7%
COMMON STOCKS — 97.2%	Shares		Value
Argentina — 0.3%
MercadoLibre, Inc.*		2,691	$	4,508,017

Australia — 1.4%
AGL Energy Ltd.		66,200		610,522
Aristocrat Leisure Ltd.		93,098		2,235,303
Beach Energy Ltd.		395,200		552,464
CSL Ltd.		15,610		3,424,958
Fortescue Metals Group Ltd.		201,900		3,661,458
Harvey Norman Holdings Ltd.		196,000		711,948
Inghams Group Ltd.		268,900		647,994
Metcash Ltd.		412,500		1,077,196
Perenti Global Ltd.		432,300		457,319
Qantas Airways Ltd.*		292,200		1,099,408
Rio Tinto Ltd.		20,600		1,816,796
Service Stream Ltd.		343,700		480,012
St. Barbara Ltd.		343,600		622,467
Stockland, REIT		279,500		905,063
Super Retail Group Ltd.		105,600		861,419

				19,164,327

Austria — 0.2%
BAWAG Group AG, 144A*		20,500		953,907
OMV AG		33,700		1,361,545
Wienerberger AG		26,400		839,424

				3,154,876

Belgium — 0.2%
Bekaert SA		22,500		747,981
Telenet Group Holding NV		18,900		813,526
UCB SA		15,000		1,551,029

				3,112,536

Brazil — 0.0%
Yara International ASA		14,900		623,736

Canada — 2.0%
Canadian National Railway Co.		38,942		4,281,203
Magna International, Inc.		75,329		5,333,293
Shopify, Inc. (Class A Stock)*		12,110		13,707,915
TC Energy Corp.		92,956		3,785,168

				27,107,579

China — 2.2%
Alibaba Group Holding Ltd.*		196,444		5,916,539
Alibaba Group Holding Ltd., ADR*		27,654		6,435,915
China Resources Cement Holdings Ltd.		1,042,000		1,166,816
Kingboard Holdings Ltd.		216,000		910,384
Lee & Man Paper Manufacturing Ltd.		1,049,000		861,360
NetEase, Inc.		198,225		3,793,888
TAL Education Group, ADR*		58,391		4,175,540
Tencent Holdings Ltd.		86,000		6,247,007
Wilmar International Ltd.		203,400		717,897

				30,225,346

Denmark — 1.3%
Chr Hansen Holding A/S*		8,603		883,817
Coloplast A/S (Class B Stock)		21,319		3,241,116
Danske Bank A/S*		61,200		1,005,829


COMMON STOCKS (continued)	Shares		Value
Denmark (cont’d.)
Dfds A/S*		11,300	$	509,443
DSV Panalpina A/S		15,269		2,560,879
Novo Nordisk A/S (Class B Stock)		51,184		3,553,805
Orsted A/S, 144A		24,469		5,018,829
Pandora A/S		4,700		528,239

				17,301,957

Finland — 0.5%
Neste OYJ		63,119		4,570,320
Nordea Bank Abp*		83,600		687,003
Valmet OYJ		41,500		1,187,640

				6,444,963

France — 4.3%
Airbus SE*		36,255		3,983,822
Arkema SA		11,900		1,364,588
AXA SA		54,100		1,304,626
BNP Paribas SA*		28,200		1,492,894
Bouygues SA		27,600		1,135,429
Capgemini SE		5,300		825,321
Carrefour SA		89,600		1,538,548
Cie de Saint-Gobain*		15,800		729,007
Cie Generale des Etablissements Michelin SCA		9,600		1,233,519
CNP Assurances*		55,200		898,063
Credit Agricole SA*		78,500		1,001,512
Engie SA*		49,600		761,756
L’Oreal SA		8,890		3,380,862
LVMH Moet Hennessy Louis Vuitton SE		11,698		7,302,710
Natixis SA*		146,400		502,415
Nexity SA		13,100		569,212
Orange SA(a)		140,000		1,666,280
Peugeot SA*		42,800		1,176,982
Rubis SCA		15,500		722,388
Safran SA*		33,329		4,742,758
Sanofi		39,700		3,840,416
Sartorius Stedim Biotech		5,611		2,005,763
Societe BIC SA		15,900		900,590
Societe Generale SA*		28,600		599,672
Sopra Steria Group*		7,100		1,151,621
Teleperformance		6,565		2,192,610
TOTAL SE		58,800		2,537,072
TOTAL SE, ADR(a)		238,892		10,011,964

				59,572,400

Germany — 2.3%
Allianz SE		7,500		1,841,085
Aurubis AG		10,800		841,068
Bayer AG		23,300		1,377,117
Bayerische Motoren Werke AG		12,500		1,119,365
Daimler AG		17,600		1,248,621
Deutsche Lufthansa AG*		54,200		715,927
Deutsche Post AG		50,800		2,560,023
Deutsche Telekom AG		59,200		1,087,341
Evonik Industries AG		36,500		1,193,625
Fresenius SE & Co. KGaA		25,700		1,209,605
HOCHTIEF AG		11,400		1,129,728

SEE NOTES TO FINANCIAL STATEMENTS.

A104



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Germany (cont’d.)
Infineon Technologies AG		158,914	$	6,140,025
Muenchener Rueckversicherungs-Gesellschaft AGin Muenchen		4,500		1,359,850
Rational AG(a)		3,355		3,128,867
Rheinmetall AG		9,200		979,937
Siltronic AG(a)		8,900		1,400,659
TeamViewer AG, 144A*		31,338		1,686,488
United Internet AG		24,700		1,040,477
Volkswagen AG		10,600		2,213,519

				32,273,327

Hong Kong — 0.7%
AIA Group Ltd.		357,600		4,403,567
PAX Global Technology Ltd.		933,000		838,723
Skyworth Group Ltd.*		793,433		221,689
Tongda Group Holdings Ltd.		8,180,000		603,771
WH Group Ltd., 144A		1,291,500		1,085,227
Xinyi Glass Holdings Ltd.		506,000		1,413,179
Yue Yuen Industrial Holdings Ltd.		296,500		620,522

				9,186,678

India — 0.6%
HDFC Bank Ltd., ADR*		54,472		3,936,147
Reliance Industries Ltd., 144A, GDR		67,445		3,693,513

				7,629,660

Ireland — 0.3%
Kingspan Group PLC*		44,734		3,145,827
Smurfit Kappa Group PLC		23,100		1,078,275

				4,224,102

Israel — 0.1%
Check Point Software Technologies Ltd.*(a)		9,500		1,262,645

Italy — 0.5%
A2A SpA		546,200		873,772
Enel SpA		269,500		2,732,648
Leonardo SpA		97,000		704,861
Mediobanca Banca di Credito Finanziario SpA*		87,600		810,727
Pirelli & C SpA, 144A*		171,800		933,372
UnipolSai Assicurazioni SpA		253,700		674,251

				6,729,631

Japan — 6.1%
AGC, Inc.		5,600		195,547
Aozora Bank Ltd.		36,000		663,790
Asahi Intecc Co. Ltd.		46,800		1,707,710
Astellas Pharma, Inc.		167,000		2,580,116
Brother Industries Ltd.		44,300		912,450
Credit Saison Co. Ltd.		42,600		491,301
Dai-ichi Life Holdings, Inc.		39,900		601,364
Daikin Industries Ltd.		20,300		4,516,963
Daiwa House Industry Co. Ltd.		31,900		946,957
DTS Corp.		30,500		628,244
EDION Corp.		63,900		649,752
Haseko Corp.		53,900		617,441


COMMON STOCKS (continued)	Shares		Value
Japan (cont’d.)
Hazama Ando Corp.		85,900	$	599,273
Hitachi Capital Corp.		28,500		688,652
Hitachi Ltd.		35,700		1,407,530
Honda Motor Co. Ltd.		61,600		1,729,369
Hoya Corp.		30,100		4,168,129
Isuzu Motors Ltd.		78,200		742,395
ITOCHU Corp.		80,300		2,310,477
Itoham Yonekyu Holdings, Inc.		72,200		471,177
Japan Airlines Co. Ltd.*		35,700		692,760
Japan Aviation Electronics Industry Ltd.		46,000		705,118
Kaneka Corp.		14,800		520,482
KDDI Corp.		98,800		2,937,009
Keiyo Bank Ltd. (The)		76,500		309,155
Keyence Corp.		11,500		6,472,673
Lintec Corp.		30,000		661,871
M3, Inc.		13,600		1,286,152
Marubeni Corp.		173,200		1,154,432
Matsumotokiyoshi Holdings Co. Ltd.		23,800		1,013,221
Medipal Holdings Corp.		30,600		574,352
Mitsubishi Chemical Holdings Corp.		82,800		501,032
Mitsubishi Gas Chemical Co., Inc.		70,200		1,613,632
Mitsubishi UFJ Financial Group, Inc.		274,000		1,211,175
Mitsubishi UFJ Lease & Finance Co. Ltd.		221,700		1,066,295
Mitsui & Co. Ltd.		56,300		1,032,488
Mitsui Chemicals, Inc.		42,400		1,248,275
Mizuho Financial Group, Inc.		73,620		935,050
Nihon M&A Center, Inc.		38,900		2,606,308
Nippon Telegraph & Telephone Corp.		107,900		2,757,065
Nishi-Nippon Financial Holdings, Inc.		48,600		311,497
Nisshin Oillio Group Ltd. (The)		21,400		629,837
Nomura Holdings, Inc.		239,300		1,266,021
Nomura Real Estate Holdings, Inc.		38,100		841,730
Obayashi Corp.		97,500		841,200
ORIX Corp.		79,000		1,214,568
Rengo Co. Ltd.		134,300		1,124,928
Resona Holdings, Inc.		366,600		1,280,265
Sankyu, Inc.		18,100		682,500
Sawai Pharmaceutical Co. Ltd.		14,300		648,549
Shionogi & Co. Ltd.		21,300		1,164,715
Shiseido Co. Ltd.		32,100		2,219,316
SKY Perfect JSAT Holdings, Inc.		151,000		745,650
SMC Corp.		6,500		3,970,663
Sompo Holdings, Inc.		26,600		1,075,803
Sumitomo Corp.		38,200		507,205
Sumitomo Heavy Industries Ltd.		32,300		800,469
Sumitomo Mitsui Financial Group, Inc.		40,900		1,261,962
Taisei Corp.		19,200		660,588
Teijin Ltd.		67,300		1,269,572
Toagosei Co. Ltd.		28,700		337,968
Toho Holdings Co. Ltd.		12,400		218,068
Tokuyama Corp.		26,500		598,350
Towa Pharmaceutical Co. Ltd.		28,200		523,116
Toyota Motor Corp.		15,730		1,213,273
Tsubakimoto Chain Co.		17,000		448,338
Ube Industries Ltd.		41,500		755,394
Ulvac, Inc.		10,900		466,577

SEE NOTES TO FINANCIAL STATEMENTS.

A105



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Japan (cont’d.)
Yokohama Rubber Co. Ltd. (The)		62,000	$	927,171

				83,932,475

Netherlands — 2.5%
ABN AMRO Bank NV, 144A, CVA*		45,300		439,852
Adyen NV, 144A*		2,567		5,989,485
Aegon NV		215,700		855,991
ASML Holding NV		7,215		3,546,084
ING Groep NV*		93,300		884,393
Koninklijke Ahold Delhaize NV		95,900		2,742,313
NN Group NV		27,800		1,212,088
NXP Semiconductors NV		98,833		15,715,435
Royal Dutch Shell PLC (Class B Stock)		96,500		1,652,800
Signify NV, 144A*		46,800		2,012,757

				35,051,198

New Zealand — 0.2%
Air New Zealand Ltd.*		485,600		631,572
Fisher & Paykel Healthcare Corp. Ltd.		78,915		1,870,379

				2,501,951

Norway — 0.4%
DNB ASA*		68,200		1,322,947
Equinor ASA		41,200		693,552
Leroy Seafood Group ASA		148,600		1,051,643
TOMRA Systems ASA		44,888		2,218,637

				5,286,779

Portugal — 0.0%
Altri SGPS SA		46,700		295,620

Singapore — 0.2%
DBS Group Holdings Ltd.		62,300		1,182,777
Venture Corp. Ltd.		79,500		1,171,704

				2,354,481

South Africa — 0.1%
Anglo American PLC		48,300		1,608,682
Investec PLC		79,700		205,509

				1,814,191

Spain — 0.6%
Amadeus IT Group SA		39,903		2,916,325
Banco Santander SA*		390,156		1,212,508
Enagas SA		18,000		394,868
Endesa SA		37,700		1,032,070
Mapfre SA(a)		494,400		965,857
Repsol SA		117,700		1,192,758
Telefonica SA		176,500		702,010

				8,416,396

Sweden — 1.6%
Atlas Copco AB (Class A Stock)		82,895		4,227,074
Boliden AB		35,400		1,259,206
Hexagon AB (Class B Stock)		65,498		5,982,704
Nibe Industrier AB (Class B Stock)		76,966		2,526,550
Securitas AB (Class B Stock)		65,700		1,061,417
Skanska AB (Class B Stock)		31,100		794,016
SKF AB (Class B Stock)		70,400		1,829,516


COMMON STOCKS (continued)	Shares		Value
Sweden (cont’d.)
Swedbank AB (Class A Stock)*		27,700	$	484,608
Swedish Orphan Biovitrum AB*		51,000		1,033,790
Volvo AB (Class B Stock)*		113,600		2,677,118

				21,875,999

Switzerland — 2.9%
Adecco Group AG		15,300		1,026,662
Baloise Holding AG		6,000		1,070,851
Credit Suisse Group AG		136,900		1,789,990
dormakaba Holding AG		1,200		682,528
Helvetia Holding AG		7,600		805,511
Lonza Group AG		7,838		5,053,522
Novartis AG		29,700		2,809,452
Partners Group Holding AG		3,233		3,851,824
Roche Holding AG		17,900		6,265,159
Sika AG		14,052		3,854,736
Straumann Holding AG		3,456		4,029,970
Swiss Life Holding AG		4,900		2,292,692
Temenos AG		19,019		2,666,468
UBS Group AG		114,800		1,645,588
Zurich Insurance Group AG		3,900		1,653,479

				39,498,432

Taiwan — 0.7%
Sea Ltd., ADR*(a)		13,882		2,763,212
Taiwan Semiconductor Manufacturing Co. Ltd.		367,000		6,932,611

				9,695,823

United Kingdom — 4.7%
3i Group PLC		92,900		1,477,555
Ashtead Group PLC		106,619		5,004,616
Aviva PLC		197,000		879,647
Babcock International Group PLC*		113,300		434,124
BAE Systems PLC		251,200		1,676,916
Barclays PLC*		373,500		751,528
Barratt Developments PLC*		61,900		570,097
Bellway PLC		23,200		940,880
British American Tobacco PLC		75,200		2,796,859
BT Group PLC*		455,900		827,953
Centrica PLC*		457,200		292,048
CK Hutchison Holdings Ltd.		160,300		1,118,132
Compass Group PLC		137,357		2,557,630
Crest Nicholson Holdings PLC*		143,814		643,958
Diageo PLC		82,783		3,261,191
Dialog Semiconductor PLC*		14,700		804,522
Experian PLC		104,810		3,981,675
GlaxoSmithKline PLC		216,800		3,987,054
Go-Ahead Group PLC (The)*		34,500		465,889
Halma PLC		63,868		2,142,786
Imperial Brands PLC		56,400		1,190,410
Inchcape PLC*		64,600		570,432
International Consolidated Airlines
Group SA*		150,000		330,405
J Sainsbury PLC		458,700		1,413,496
Keller Group PLC		48,200		458,620
Kingfisher PLC*		357,200		1,320,829
Legal & General Group PLC		302,800		1,112,850

SEE NOTES TO FINANCIAL STATEMENTS.

A106



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
United Kingdom (cont’d.)
Lloyds Banking Group PLC*		1,666,000	$	828,674
London Stock Exchange Group PLC		31,849		3,934,053
Marks & Spencer Group PLC*		279,900		521,576
Micro Focus International PLC*		73,300		425,073
National Express Group PLC*		114,300		372,172
Paragon Banking Group PLC		105,900		710,701
Premier Foods PLC*		357,756		490,222
QinetiQ Group PLC		88,900		390,178
Redrow PLC*		77,600		609,796
Rentokil Initial PLC*		338,656		2,363,374
Royal Mail PLC*		9,200		42,496
Segro PLC, REIT		228,249		2,967,837
Spirax-Sarco Engineering PLC		15,385		2,385,264
Tate & Lyle PLC		141,000		1,299,931
Taylor Wimpey PLC*		263,400		599,970
Tesco PLC		611,284		1,937,468
Trainline PLC, 144A*		232,318		1,484,530
Vesuvius PLC		69,300		508,140
Vistry Group PLC*		39,822		514,021
Wm Morrison Supermarkets PLC		291,000		707,404

				64,104,982

United States — 60.3%
AbbVie, Inc.		64,380		6,898,317
Adobe, Inc.*		26,379		13,192,665
Alphabet, Inc. (Class C Stock)*		10,475		18,350,943
Amazon.com, Inc.*		5,613		18,281,148
Ameren Corp.		47,592		3,715,032
American International Group, Inc.		263,045		9,958,884
Anthem, Inc.		3,500		1,123,815
Applied Materials, Inc.		111,666		9,636,776
Atlassian Corp. PLC (Class A Stock)*		8,509		1,990,000
Autodesk, Inc.*		59,419		18,142,997
AvalonBay Communities, Inc., REIT		12,319		1,976,337
Bank of America Corp.		147,629		4,474,635
Becton, Dickinson & Co.		26,810		6,708,398
Boeing Co. (The)		17,396		3,723,788
Brown-Forman Corp. (Class B Stock)		146,163		11,609,727
Bunge Ltd.		58,985		3,868,236
Caterpillar, Inc.		21,202		3,859,188
CF Industries Holdings, Inc.		131,205		5,078,946
Charles Schwab Corp. (The)		131,915		6,996,772
Chubb Ltd.		74,291		11,434,871
Cintas Corp.		39,969		14,127,443
Cisco Systems, Inc.		163,998		7,338,911
Citrix Systems, Inc.		27,140		3,530,914
Coca-Cola Co. (The)		69,953		3,836,223
Comcast Corp. (Class A Stock)		114,175		5,982,770
Conagra Brands, Inc.		134,988		4,894,665
ConocoPhillips		98,728		3,948,133
Costco Wholesale Corp.		26,420		9,954,528
Cummins, Inc.		15,530		3,526,863
CVS Health Corp.		83,150		5,679,145
Danaher Corp.		62,956		13,985,046
DexCom, Inc.*		34,089		12,603,385
DuPont de Nemours, Inc.(a)		145,311		10,333,065
Edison International		79,560		4,997,959
Edwards Lifesciences Corp.*		147,047		13,415,098
Elanco Animal Health, Inc.*		131,039		4,018,966


COMMON STOCKS (continued)	Shares		Value
United States (cont’d.)
Electronic Arts, Inc.		122,683	$	17,617,279
Entergy Corp.		23,829		2,379,087
Equitable Holdings, Inc.		155,007		3,966,629
Estee Lauder Cos., Inc. (The) (Class A Stock)		49,920		13,288,205
Exxon Mobil Corp.		107,905		4,447,844
Fifth Third Bancorp		230,285		6,348,957
Fortive Corp.		175,421		12,423,315
Fortune Brands Home & Security, Inc.		31,382		2,690,065
Fox Corp. (Class B Stock)		100,905		2,914,136
General Electric Co.		1,333,766		14,404,673
Genpact Ltd.		195,995		8,106,353
Gilead Sciences, Inc.		38,510		2,243,593
Goldman Sachs Group, Inc. (The)		10,339		2,726,498
Hologic, Inc.*		66,229		4,823,458
Illinois Tool Works, Inc.		17,805		3,630,083
International Paper Co.		163,742		8,141,252
Intuit, Inc.		43,485		16,517,777
Intuitive Surgical, Inc.*		24,528		20,066,357
Johnson & Johnson		50,138		7,890,718
JPMorgan Chase & Co.		49,192		6,250,827
Kimberly-Clark Corp.		22,839		3,079,382
Kohl’s Corp.		62,106		2,527,093
L3Harris Technologies, Inc.		55,718		10,531,816
Las Vegas Sands Corp.		48,577		2,895,189
Lululemon Athletica, Inc.*		35,716		12,430,239
Marsh & McLennan Cos., Inc.		42,519		4,974,723
Mastercard, Inc. (Class A Stock)		48,851		17,436,876
Match Group, Inc.*		80,884		12,228,852
Medtronic PLC		81,795		9,581,466
Merck & Co., Inc.		32,893		2,690,647
MetLife, Inc.		177,172		8,318,225
Microsoft Corp.		135,104		30,049,832
Morgan Stanley		208,472		14,286,586
News Corp. (Class A Stock)		200,932		3,610,748
NextEra Energy, Inc.		86,412		6,666,686
Nielsen Holdings PLC		108,684		2,268,235
PayPal Holdings, Inc.*		79,397		18,594,777
Perrigo Co. PLC		58,377		2,610,619
Pfizer, Inc.		129,871		4,780,552
Philip Morris International, Inc.		81,257		6,727,267
Pioneer Natural Resources Co.		23,957		2,728,463
QUALCOMM, Inc.		78,297		11,927,765
Rockwell Automation, Inc.		11,155		2,797,786
Roper Technologies, Inc.		32,115		13,844,455
SBA Communications Corp., REIT		48,152		13,585,124
Schlumberger NV		61,906		1,351,408
Sempra Energy		21,441		2,731,798
ServiceNow, Inc.*		17,129		9,428,315
Sherwin-Williams Co. (The)		20,601		15,139,881
Signature Bank		22,848		3,091,106
SL Green Realty Corp., REIT(a)		33,051		1,969,179
Southern Co. (The)		202,085		12,414,082
Southwest Airlines Co.		81,545		3,800,812
State Street Corp.		52,723		3,837,180
Stericycle, Inc.*		30,192		2,093,211
TE Connectivity Ltd.		34,960		4,232,607
Texas Instruments, Inc.		42,427		6,963,544
Thermo Fisher Scientific, Inc.		45,035		20,976,402

SEE NOTES TO FINANCIAL STATEMENTS.

A107



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
United States (cont’d.)
TJX Cos., Inc. (The)		74,981	$	5,120,453
Tyson Foods, Inc. (Class A Stock)		95,079		6,126,891
United Parcel Service, Inc. (Class B Stock)		70,260		11,831,784
Walmart, Inc.		26,885		3,875,473
Walt Disney Co. (The)*		32,773		5,937,812
Wells Fargo & Co.		389,407		11,752,303
Welltower, Inc., REIT		44,596		2,881,794
Weyerhaeuser Co., REIT		281,902		9,452,174
Zimmer Biomet Holdings, Inc.		30,767		4,740,887
Zoetis, Inc.		96,983		16,050,687

				831,044,881

TOTAL COMMON STOCKS (cost $871,845,490)				1,338,394,988


PREFERRED STOCKS — 0.5%
Germany — 0.1%
Porsche Automobil Holding SE (PRFC)		17,000		1,196,885

United States — 0.4%
Becton, Dickinson & Co., Series B, CVT, 6.000%, Maturing 06/01/23(a)		18,231		1,005,075
Elanco Animal Health, Inc., CVT, 5.000%, Maturing 02/01/23		2,497		121,954
Sempra Energy, Series A, CVT, 6.000%, Maturing 01/15/21		23,160		2,310,442
Sempra Energy, Series B, CVT, 6.750%, Maturing 07/15/21(a)		5,748		596,240
Southern Co. (The), CVT, 6.750%, Maturing 08/01/22		34,946		1,813,697

				5,847,408

TOTAL PREFERRED STOCKS (cost $6,693,523)				7,044,293


	Units

*RIGHTS — 0.0%**
Spain
Repsol SA, expiring 01/13/21		117,700		40,361

(cost $41,309)
TOTAL LONG-TERM INVESTMENTS (cost $878,580,322)				1,345,479,642


	Shares		Value

SHORT-TERM INVESTMENTS — 3.2%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		26,392,925	$	26,392,925
PGIM Institutional Money Market Fund (cost $17,537,893; includes $17,534,242 of cash collateral for securities on loan)(b)(w)		17,564,760		17,555,978

TOTAL SHORT-TERM INVESTMENTS (cost $43,930,818)				43,948,903

TOTAL INVESTMENTS — 100.9% (cost $922,511,140)				1,389,428,545
Liabilities in excess of other assets — (0.9)%				(12,379,399	)

NET ASSETS — 100.0%			$	1,377,049,146

See the Glossary for a list of the abbreviation(s) used in the annual 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 $16,945,392; cash collateral of $17,534,242 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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.

A108



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Argentina	$	4,508,017	$	—	$	—
Australia		—		19,164,327		—
Austria		—		3,154,876		—
Belgium		—		3,112,536		—
Brazil		—		623,736		—
Canada		27,107,579		—		—
China		10,611,455		19,613,891		—
Denmark		—		17,301,957		—
Finland		—		6,444,963		—
France		10,011,964		49,560,436		—
Germany		—		32,273,327		—
Hong Kong		—		9,186,678		—
India		3,936,147		3,693,513		—
Ireland		—		4,224,102		—
Israel		1,262,645		—		—
Italy		—		6,729,631		—
Japan		—		83,932,475		—
Netherlands		15,715,435		19,335,763		—
New Zealand		—		2,501,951		—
Norway		—		5,286,779		—
Portugal		—		295,620		—
Singapore		—		2,354,481		—
South Africa		—		1,814,191		—
Spain		—		8,416,396		—
Sweden		—		21,875,999		—
Switzerland		—		39,498,432		—
Taiwan		2,763,212		6,932,611		—
United Kingdom		—		64,104,982		—
United States		831,044,881		—		—
Preferred Stocks
Germany		—		1,196,885		—
United States		5,847,408		—		—
Rights
Spain		—		40,361		—
Affiliated Mutual Funds		43,948,903		—		—

Total	$	956,757,646	$	432,670,899	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Health Care Equipment & Supplies	7.3	%
Software	7.2
IT Services	5.0
Pharmaceuticals	4.8
Semiconductors & Semiconductor Equipment	4.6
Insurance	4.3
Banks	4.2
Machinery	3.3
Chemicals	3.2
Affiliated Mutual Funds (1.3% represents investments purchased with collateral from securities on loan)	3.2
Capital Markets	3.0
Oil, Gas & Consumable Fuels	2.9
Electric Utilities	2.8


Interactive Media & Services	2.6	%
Internet & Direct Marketing Retail	2.6
Equity Real Estate Investment Trusts (REITs)	2.4
Industrial Conglomerates	2.2
Entertainment	2.2
Life Sciences Tools & Services	2.0
Electronic Equipment, Instruments & Components	1.9
Aerospace & Defense	1.8
Food & Staples Retailing	1.8
Commercial Services & Supplies	1.7
Textiles, Apparel & Luxury Goods	1.5
Personal Products	1.4
Food Products	1.3
Beverages	1.3

SEE NOTES TO FINANCIAL STATEMENTS.

A109



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Industry Classification (continued):
Air Freight & Logistics	1.3	%
Building Products	1.1
Media	1.1
Biotechnology	1.1
Professional Services	1.0
Multi-Utilities	0.9
Tobacco	0.8
Automobiles	0.8
Containers & Packaging	0.8
Trading Companies & Distributors	0.8
Metals & Mining	0.7
Auto Components	0.7
Health Care Providers & Services	0.6
Diversified Telecommunication Services	0.6
Specialty Retail	0.6
Hotels, Restaurants & Leisure	0.6
Airlines	0.6
Communications Equipment	0.5
Diversified Financial Services	0.5
Construction & Engineering	0.4
Road & Rail	0.4
Electrical Equipment	0.3


Household Durables	0.3	%
Diversified Consumer Services	0.3
Multiline Retail	0.3
Household Products	0.2
Wireless Telecommunication Services	0.2
Real Estate Management & Development	0.2
Construction Materials	0.1
Energy Equipment & Services	0.1
Health Care Technology	0.1
Consumer Finance	0.1
Paper & Forest Products	0.1
Technology Hardware, Storage & Peripherals	0.1
Thrifts & Mortgage Finance	0.1
Gas Utilities	0.0	*
Distributors	0.0	*
Marine	0.0	*

	100.9
Liabilities in excess of other assets	(0.9	)

	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 December 31, 2020 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

Unaffiliated investments

40,361

—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 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	$	(263,129	)

(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	$	(1,213	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A110



		*GLOBAL PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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

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	$	16,945,392	$	(16,945,392	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A111



		*GLOBAL PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $16,945,392:
Unaffiliated investments (cost $878,580,322)	$	1,345,479,642
Affiliated investments (cost $43,930,818)		43,948,903
Foreign currency, at value (cost $4,176,670)		4,193,151
Tax reclaim receivable		2,048,392
Dividends and interest receivable		1,278,871
Receivable for investments sold		364,057
Receivable from affiliate		63,074
Receivable for Portfolio shares sold		14,939
Prepaid expenses		11,627

Total Assets		1,397,402,656

LIABILITIES
Payable to broker for collateral for securities on loan		17,534,242
Payable to affiliate		921,130
Management fee payable		819,768
Payable for Portfolio shares purchased		543,898
Payable for investments purchased		332,746
Accrued expenses and other liabilities		198,419
Trustees’ fees payable		2,327
Affiliated transfer agent fee payable		980

Total Liabilities		20,353,510

NET ASSETS	$	1,377,049,146

Net assets were comprised of:
Partners’ Equity	$	1,377,049,146

Net asset value and redemption price per share, $1,377,049,146 / 28,653,078 outstanding shares of beneficial interest	$	48.06

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $1,311,064 foreign withholding tax, of which $232,294 is reimbursable by an affiliate)	$	20,640,903
Affiliated dividend income		268,677
Income from securities lending, net (including affiliated income of $84,936)		156,464

Total income		21,066,044

EXPENSES
Management fee		8,929,624
Custodian and accounting fees		285,694
Shareholders’ reports		110,888
Audit fee		29,437
Legal fees and expenses		29,023
Trustees’ fees		25,022
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		70,124

Total expenses		9,490,496
Less: Fee waiver and/or expense reimbursement		(423,881	)

Net expenses		9,066,615

NET INVESTMENT INCOME (LOSS)		11,999,429

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(2,977))		96,799,155
Foreign currency transactions		104,586

		96,903,741

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $9,043)		74,693,088
Foreign currencies		80,255

		74,773,343

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		171,677,084

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	183,676,513

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	11,999,429		$	16,320,560
Net realized gain (loss) on investment and foreign currency transactions		96,903,741			49,044,379
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		74,773,343			235,305,845

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		183,676,513			300,670,784

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [386,642 and 589,747 shares, respectively]		15,803,644			22,043,834
Portfolio shares purchased [2,188,536 and 1,764,963 shares, respectively]		(86,119,207	)		(65,786,251	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(70,315,563	)		(43,742,417	)

CAPITAL CONTRIBUTIONS		—			85,664

TOTAL INCREASE (DECREASE)		113,360,950			257,014,031
NET ASSETS:
Beginning of year		1,263,688,196			1,006,674,165

End of year	$	1,377,049,146		$	1,263,688,196

SEE NOTES TO FINANCIAL STATEMENTS.

A112



		*GOVERNMENT INCOME PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

LONG-TERM INVESTMENTS — 99.3%

ASSET-BACKED SECURITIES — 10.7%

Collateralized Loan Obligations

AGL Core CLO Ltd. (Cayman Islands),

Series 2019-02A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%)

1.608%(c)

04/20/32

1,000

1,002,973

Series 2020-04A, Class A, 144A, 3 Month LIBOR + 2.210% (Cap N/A, Floor 2.210%)

2.428%(c)

04/20/28

2,000

1,999,622

Atlas Senior Loan Fund Ltd. (Cayman Islands),

Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)

1.490%(c)

07/16/29

1,232

1,225,403

Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)

1.530%(c)

01/16/30

250

249,661

Battalion CLO Ltd.,

Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)

1.568%(c)

01/17/33

2,500

2,500,007

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),

Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)

1.538%(c)

01/20/32

750

749,998

Catamaran CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)

1.476%(c)

04/22/30

1,990

1,984,872

Elevation CLO Ltd. (Cayman Islands),

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)

1.457%(c)

07/15/30

2,000

1,993,028

Mountain View CLO Ltd. (Cayman Islands),

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%)

1.727%(c)

04/15/29

2,000

1,999,154

Octagon Investment Partners 45 Ltd. (Cayman Islands),

Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)

1.567%(c)

10/15/32

2,250

2,257,275

OZLM Ltd. (Cayman Islands),

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

1.464%(c)

10/30/30

3,709

3,700,232

Race Point CLO Ltd. (Cayman Islands),

Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)

1.447%(c)

10/15/30

995

994,470

Sound Point CLO Ltd. (Cayman Islands),

Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)

1.459%(c)

10/23/31

1,000

997,515

Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%)

1.588%(c)

01/20/32

1,000

999,997

Trimaran Cavu Ltd. (Cayman Islands),

Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)

1.678%(c)

07/20/32

2,500

2,496,351


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (cont’d.)
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%)
1.278%(c)		10/20/29		1,250	$	1,242,613

TOTAL ASSET-BACKED SECURITIES (cost $25,784,208)						26,393,171


COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.4%
Barclays Commercial Mortgage Trust,
Series 2019-C04, Class A4
2.661%		08/15/52		3,000		3,262,509
CD Mortgage Trust,
Series 2019-CD08, Class A3
2.657%		08/15/57		4,000		4,250,142
Fannie Mae-Aces,
Series 2012-M02, Class A2
2.717%		02/25/22		74		75,262
Series 2018-M14, Class A1
3.578%(cc)		08/25/28		860		968,569
Series 2019-M01, Class A2
3.555%(cc)		09/25/28		1,100		1,295,730
FHLMC Multifamily Structured Pass-Through Certificates,
Series K019, Class X1, IO
1.585%(cc)		03/25/22		14,891		187,979
Series K020, Class X1, IO
1.345%(cc)		05/25/22		7,876		116,129
Series K021, Class X1, IO
1.404%(cc)		06/25/22		8,583		126,777
Series K025, Class X1, IO
0.799%(cc)		10/25/22		24,029		274,428
Series K060, Class AM
3.300%(cc)		10/25/26		1,930		2,192,816
Series K064, Class AM
3.327%(cc)		03/25/27		1,100		1,253,616
Series K068, Class AM
3.315%		08/25/27		1,700		1,949,342
Series K076, Class AM
3.900%		04/25/28		425		503,149
Series K077, Class AM
3.850%(cc)		05/25/28		180		214,430
Series K078, Class AM
3.920%		06/25/28		525		625,372
Series K079, Class AM
3.930%		06/25/28		675		805,523
Series K080, Class AM
3.986%(cc)		07/25/28		1,900		2,276,160
Series K081, Class AM
3.900%(cc)		08/25/28		1,500		1,796,856
Series K083, Class AM
4.030%(cc)		10/25/28		250		301,834
Series K084, Class AM
3.880%(cc)		10/25/28		1,300		1,541,040
Series K085, Class AM
4.060%(cc)		10/25/28		650		781,747
Series K086, Class AM
3.919%(cc)		12/25/28		200		240,057

SEE NOTES TO FINANCIAL STATEMENTS.

A113



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K087, Class AM
3.832%(cc)		12/25/28		200	$	238,046
Series K088, Class AM
3.761%(cc)		01/25/29		520		619,759
Series K090, Class AM
3.492%(cc)		03/25/29		800		939,853
Series K091, Class AM
3.566%		03/25/29		850		1,004,307
Series K151, Class A3
3.511%		04/25/30		400		473,427
Series K152, Class A2
3.080%		01/25/31		140		160,506
Series K157, Class A2
3.990%(cc)		05/25/33		1,700		2,090,223
Series K157, Class A3
3.990%(cc)		08/25/33		280		350,056
Series KC03, Class A2
3.499%		01/25/26		650		711,115
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,100		1,232,284

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $29,087,787)						32,859,043


CORPORATE BONDS — 1.1%
Diversified Financial Services
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21		1,445		1,449,083
U.S. Gov’t. Gtd. Notes, Series BB
4.300%		12/15/21		1,255		1,300,782

TOTAL CORPORATE BONDS (cost $2,729,339)						2,749,865


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2%
Government National Mortgage Assoc.,
Series 2015-143, Class WA
4.000%		10/20/45		389		427,632
Merrill Lynch Mortgage Investors Trust,
Series 2003-E, Class A1, 1 Month LIBOR + 0.620% (Cap 11.750%, Floor 0.620%)
0.768%(c)		10/25/28		11		10,942
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.080%(cc)		02/25/34		52		51,672

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $472,558)						490,246


U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.6%
Fannie Mae Principal Strips, MTN
2.001%(s)		10/08/27		350		325,845
Federal Home Loan Bank
3.250%		11/16/28		1,025		1,222,036
Federal Home Loan Mortgage Corp.
2.000%		01/01/32		215		225,764
2.500%		02/01/28		461		484,905


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
2.500%		03/01/30			381	$	405,655
2.500%		11/01/46			434		463,968
3.000%		06/01/29			271		289,494
3.000%		01/01/37			529		556,741
3.000%		06/01/45			222		236,471
3.000%		01/01/48			481		503,825
3.500%		12/01/32			499		535,556
3.500%		07/01/42			391		421,312
3.500%		10/01/42			650		701,680
3.500%		08/01/43			852		925,994
3.500%		09/01/45			307		332,373
3.500%		10/01/45			313		335,496
3.500%		02/01/47			328		348,784
3.500%		07/01/47			705		750,257
3.500%		03/01/48			918		972,341
4.000%		06/01/26			31		33,096
4.000%		09/01/26			119		126,355
4.000%		09/01/40			238		260,006
4.000%		12/01/40			260		285,555
4.000%		12/01/40			286		315,040
4.000%		11/01/43			495		542,891
4.500%		09/01/39			918		1,030,143
4.500%		08/01/48			387		419,732
5.000%		06/01/33			220		252,800
5.000%		05/01/34			179		207,799
5.500%		05/01/37			39		46,340
5.500%		02/01/38			131		153,622
5.500%		05/01/38			57		67,551
6.000%		09/01/34			67		75,721
6.000%		01/01/37			68		80,740
6.000%		09/01/38			39		45,667
6.000%		08/01/39			48		57,449
6.250%		07/15/32			30		46,430
6.500%		09/01/32			18		21,001
Federal Home Loan Mortgage Corp., MTN
1.846%(s)		11/15/38			600		410,417
Federal National Mortgage Assoc.
0.875%		08/05/30			250		245,246
2.000%		TBA			13,000		13,478,343
2.000%		08/01/31			211		221,259
2.000%		10/01/34			85		88,604
2.500%		TBA			500		526,074
2.500%		TBA	(tt)		1,000		1,053,983
2.500%		03/01/24			36		37,029
2.500%		06/01/28			1,204		1,273,436
2.500%		04/01/35			941		980,367
2.500%		02/01/43			146		155,781
2.500%		12/01/46			518		554,386
2.500%		03/01/50			420		443,330
2.500%		05/01/50			1,376		1,451,147
2.500%		10/01/50			3,688		3,890,788
3.000%		TBA			5,500		5,761,648
3.000%		02/01/31			605		634,981
3.000%		11/01/36			445		465,263
3.000%		03/01/43			652		693,151
3.000%		07/01/43			674		731,740
3.000%		07/01/43			866		922,853
3.000%		09/01/46			704		737,918

SEE NOTES TO FINANCIAL STATEMENTS.

A114



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.000%		11/01/46		280		$	294,459
3.000%		11/01/46		374			395,274
3.000%		11/01/46		1,598			1,675,705
3.000%		12/01/47		820			867,070
3.000%		01/01/50		956			1,002,246
3.000%		06/01/50		537			563,234
3.500%		07/01/31		714			770,933
3.500%		02/01/33		125			133,895
3.500%		06/01/39		207			224,718
3.500%		04/01/42		340			369,348
3.500%		06/01/42		564			611,532
3.500%		07/01/42		336			363,124
3.500%		07/01/42		655			711,734
3.500%		06/01/45		1,099			1,177,039
3.500%		07/01/46		462			491,708
3.500%		12/01/46		317			338,952
3.500%		12/01/46		705			765,841
3.500%		11/01/48		718			759,177
4.000%		09/01/40		872			953,272
4.000%		06/01/42		638			695,403
4.000%		09/01/44		409			445,970
4.000%		09/01/44		673			733,970
4.000%		04/01/45		415			453,977
4.000%		07/01/45		335			364,899
4.000%		10/01/45		493			535,255
4.000%		10/01/46		175			189,084
4.000%		02/01/47		190			203,952
4.000%		06/01/47		277			299,061
4.000%		07/01/47		292			313,655
4.000%		10/01/47		897			962,059
4.000%		11/01/47		231			247,843
4.000%		11/01/47		366			393,188
4.500%		05/01/40		1,573			1,765,657
4.500%		04/01/42		532			596,969
5.000%		12/01/31		24			26,973
5.000%		03/01/34		242			279,650
5.000%		06/01/35		106			123,298
5.000%		07/01/35		54			62,300
5.000%		05/01/36		72			83,221
5.500%		02/01/34		174			202,991
5.500%		09/01/34		191			223,948
5.500%		02/01/35		196			226,476
5.500%		06/01/35		34			37,642
5.500%		06/01/35		98			110,044
5.500%		09/01/35		36			40,074
5.500%		09/01/35		96			108,698
5.500%		10/01/35		174			202,017
5.500%		11/01/35		99			113,017
5.500%		11/01/35		218			255,770
5.500%		11/01/35		341			401,018
6.000%		05/01/21		1			692
6.000%		12/01/33		10			11,060
6.000%		02/01/34		84			101,083
6.000%		08/01/34		—	(r)		421
6.000%		11/01/34		—	(r)		524
6.000%		12/01/34		1			1,000
6.000%		01/01/35		19			20,936
6.000%		01/01/36		58			65,031


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		05/01/38		33		$	38,396
6.500%		07/01/32		145			170,779
6.500%		08/01/32		63			72,131
6.500%		10/01/32		192			229,861
6.500%		10/01/37		101			121,665
6.625%		11/15/30		435			658,266
7.000%		12/01/31		—	(r)		490
7.000%		12/01/31		64			75,485
7.000%		01/01/36		15			18,107
8.000%		10/01/23		—	(r)		77
8.000%		09/01/24		1			721
8.000%		11/01/24		1			844
8.000%		01/01/26		—	(r)		157
9.000%		02/01/25		5			5,942
9.000%		04/01/25		3			2,874
Government National Mortgage Assoc.
2.000%		TBA		1,500			1,565,857
2.500%		TBA		3,000			3,169,103
2.500%		12/20/46		179			190,794
3.000%		03/15/45		885			929,400
3.000%		07/20/46		827			881,286
3.000%		09/20/46		892			950,568
3.000%		10/20/46		221			235,609
3.000%		04/20/47		956			1,018,725
3.000%		12/20/48		607			639,370
3.000%		04/20/49		658			689,244
3.000%		12/20/49		1,685			1,762,622
3.500%		01/20/43		735			800,285
3.500%		04/20/43		358			390,106
3.500%		03/20/45		540			582,511
3.500%		04/20/45		445			478,172
3.500%		04/20/46		768			830,172
3.500%		07/20/46		1,167			1,260,569
3.500%		07/20/48		1,048			1,120,011
3.500%		11/20/48		271			287,784
3.500%		01/20/49		473			506,268
3.500%		05/20/49		1,098			1,163,747
3.500%		12/20/49		222			235,366
4.000%		06/15/40		112			121,393
4.000%		08/20/46		457			499,602
4.000%		11/20/46		275			300,012
4.000%		09/20/47		433			466,737
4.000%		02/20/49		720			772,138
4.500%		02/20/41		344			387,716
4.500%		03/20/41		292			325,219
4.500%		06/20/44		221			246,018
4.500%		09/20/46		275			305,825
4.500%		11/20/46		548			610,215
4.500%		01/20/47		69			76,072
5.000%		07/15/33		104			120,210
5.000%		09/15/33		168			191,690
5.000%		04/15/34		75			82,522
5.000%		10/20/48		161			175,851
5.500%		03/15/34		202			233,504
5.500%		03/15/36		45			52,977
6.500%		07/15/32		15			17,649
6.500%		08/15/32		2			1,742
6.500%		08/15/32		3			3,420

SEE NOTES TO FINANCIAL STATEMENTS.

A115



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		08/15/32			11		$	12,411
6.500%		08/15/32			61			72,394
7.000%		05/15/23			1			1,165
7.000%		06/15/23			1			512
7.000%		06/15/23			2			2,408
7.000%		06/15/23			3			2,670
7.000%		07/15/23			—	(r)		268
7.000%		07/15/23			7			7,164
7.000%		08/15/23			1			910
7.000%		08/15/23			2			1,748
7.000%		09/15/23			1			781
7.000%		10/15/23			1			1,199
7.000%		10/15/23			2			1,546
7.000%		11/15/23			2			1,830
7.000%		11/15/23			5			4,745
7.000%		01/15/24			28			30,001
7.000%		05/15/24			19			19,989
7.000%		08/15/28			29			33,463
7.500%		12/15/25			2			1,552
7.500%		12/15/25			21			23,509
7.500%		02/15/26			4			4,225
8.500%		09/15/24			29			30,634
8.500%		04/15/25			3			3,710
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes
5.500%		09/18/33			300			440,828
Resolution Funding Corp. Interest Strips, Bonds
1.636%(s)		04/15/28			500			457,342
2.197%(s)		01/15/30			140			121,923
2.477%(s)		01/15/29			300			269,717
3.624%(s)		04/15/30			500			437,179
Resolution Funding Corp. Principal Strips, Bonds, PO
1.875%(s)		01/15/30			285			251,537
3.143%(s)		04/15/30			2,305			2,044,876
Tennessee Valley Authority, Sr. Unsec’d. Notes
0.750%		05/15/25			325			329,640
2.875%		02/01/27			175			197,133
5.880%		04/01/36			230			351,495
6.750%		11/01/25			510			660,160
7.125%		05/01/30			530			808,072

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $100,784,537)								104,934,878


U.S. TREASURY OBLIGATIONS — 31.3%
U.S. Treasury Bonds
1.375%		11/15/40			170			168,008
1.625%		11/15/50			130			129,330
2.875%		05/15/43	(k)		1,950			2,463,094
3.000%		11/15/44			170			219,884
3.625%		08/15/43			4,090			5,772,012
3.750%		11/15/43			21,640			31,124,406
U.S. Treasury Notes
0.625%		11/30/27			70			69,956
0.875%		11/15/30			5,030			5,010,352
3.125%		11/15/28			6,000			7,100,625
U.S. Treasury Strips Coupon
0.807%(s)		11/15/29			15			13,770
1.020%(s)		05/15/33			375			320,801
1.123%(s)		05/15/36			350			282,229


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS (continued)
1.159%(s)		02/15/36			120	$	97,322
1.225%(s)		02/15/41			130		94,829
1.351%(s)		08/15/43			205		141,554
1.417%(s)		02/15/38			1,015		788,330
1.450%(s)		08/15/42			60		42,366
1.463%(s)		11/15/42			155		108,815
1.488%(s)		11/15/41			730		523,746
1.982%(s)		08/15/39			2,120		1,595,052
1.990%(s)		02/15/39			2,900		2,204,113
2.010%(s)		08/15/30			1,060		957,271
2.022%(s)		02/15/37			240		190,312
2.056%(s)		11/15/38			345		263,790
2.169%(s)		05/15/39			990		748,571
2.172%(s)		02/15/28	(k)		550		521,146
2.334%(s)		08/15/41			2,210		1,595,085
2.353%(s)		02/15/44			780		531,862
2.365%(s)		05/15/44			2,860		1,939,996
2.370%(s)		05/15/29			565		523,442
2.380%(s)		05/15/41			1,855		1,347,266
2.434%(s)		11/15/45			345		227,107
2.436%(s)		02/15/46			390		255,115
2.506%(s)		11/15/43			4,315		2,955,438
2.741%(s)		08/15/27			2,575		2,459,527
2.857%(s)		05/15/31			500		444,629
3.019%(s)		11/15/35			695		566,208
3.176%(s)		08/15/40			800		589,062
4.096%(s)		02/15/42	(k)		3,725		2,654,354

TOTAL U.S. TREASURY OBLIGATIONS (cost $70,156,325)							77,040,775

TOTAL LONG-TERM INVESTMENTS (cost $229,014,754)							244,467,978


				Shares

SHORT-TERM INVESTMENT — 13.7%

AFFILIATED MUTUAL FUND
PGIM Core Ultra Short Bond Fund
(cost $33,734,048)(w)					33,734,048		33,734,048

TOTAL INVESTMENTS—113.0% (cost $262,748,802)							278,202,026
Liabilities in excess of other assets(z) — (13.0)%							(31,973,310	)

NET ASSETS — 100.0%						$	246,228,716

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

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

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020.

(cc)

SEE NOTES TO FINANCIAL STATEMENTS.

A116



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

(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.

(tt)	All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 1,000,000 is 0.4% of net assets.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the 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:

Futures contracts outstanding at December 31, 2020:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
128		2 Year U.S. Treasury Notes		Mar. 2021	$	28,285,000	$	30,081
395		5 Year U.S. Treasury Notes		Mar. 2021		49,834,804		103,667
90		10 Year U.S. Treasury Notes		Mar. 2021		12,427,032		20,641

								154,389

Short Positions:
202		10 Year U.S. Ultra Treasury Notes		Mar. 2021		31,584,595		98,333
86		20 Year U.S. Treasury Bonds		Mar. 2021		14,894,125		(29,253	)
64		30 Year U.S. Ultra Treasury Bonds		Mar. 2021		13,668,000		119,761

								188,841

							$	343,230

Interest rate swap agreements outstanding at December 31, 2020:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2020			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreement:
	730		08/09/49		1.508%(A)	1 Day USOIS(1)(A)	$	(107,931	)	$	(56,540	)	$	51,391

(1)	The Portfolio pays the fixed rate and receives the floating rate. (2) The Portfolio pays the floating rate and receives the fixed rate.

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


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	—	$	1,790,510

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.

A117



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Assets
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	26,393,171	$	—
Commercial Mortgage-Backed Securities		—			32,859,043		—
Corporate Bonds		—			2,749,865		—
Residential Mortgage-Backed Securities		—			490,246		—
U.S. Government Agency Obligations		—			104,934,878		—
U.S. Treasury Obligations		—			77,040,775		—
Affiliated Mutual Fund		33,734,048			—		—

Total	$	33,734,048		$	244,467,978	$	—

Other Financial Instruments*
Assets
Futures Contracts	$	372,483		$	—	$	—
Centrally Cleared Interest Rate Swap Agreement		—			51,391		—

Total	$	372,483		$	51,391	$	—

Liabilities
Futures Contracts	$	(29,253	)	$	—	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


U.S. Government Agency Obligations	42.6	%
U.S. Treasury Obligations	31.3
Affiliated Mutual Fund	13.7
Commercial Mortgage-Backed Securities	13.4
Collateralized Loan Obligations	10.7
Diversified Financial Services	1.1


Residential Mortgage-Backed Securities	0.2	%

	113.0
Liabilities in excess of other assets	(13.0	)

	100.0	%

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 December 31, 2020 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	$	372,483	*	Due from/to broker — variation margin futures	$	29,253	*
Interest rate contracts	Due from/to broker — variation margin swaps		51,391	*	—		—

		$	423,874			$	29,253

*	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.

A118



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)		Options Written		Futures			Swaps
Interest rate contracts	$	340,571	$	67,845	$	(1,620,107	)	$	(5,593,313	)

(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)			Futures			Swaps
Interest rate contracts	$	(180,856	)	$	(311,189	)	$	2,890,901

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

For the year ended December 31, 2020, 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)
$29,948	$99,200	$73,995,564	$82,049,067

Interest Rate

Swap

Agreements(2)

$64,504,560

(1)

Cost.

(2)	Notional Amount in USD.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

SEE NOTES TO FINANCIAL STATEMENTS.

A119



		*GOVERNMENT INCOME PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value:
Unaffiliated investments (cost $229,014,754)	$	244,467,978
Affiliated investments (cost $33,734,048)		33,734,048
Interest receivable		682,586
Receivable for Portfolio shares sold		193,475
Receivable for investments sold		50,342
Prepaid expenses		4,202

Total Assets		279,132,631

LIABILITIES
Payable for investments purchased		32,586,576
Accrued expenses and other liabilities		113,094
Due to broker-variation margin futures		89,777
Management fee payable		83,712
Payable for Portfolio shares purchased		25,221
Due to broker-variation margin swaps		3,466
Trustees’ fees payable		1,089
Affiliated transfer agent fee payable		980

Total Liabilities		32,903,915

NET ASSETS	$	246,228,716

Net assets were comprised of:
Partners’ Equity	$	246,228,716

Net asset value and redemption price per share, $246,228,716 / 16,974,961 outstanding shares of beneficial interest	$	14.51

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	5,029,539
Affiliated dividend income		87,089
Affiliated income from securities lending, net		25,932

Total income		5,142,560

EXPENSES
Management fee		986,502
Shareholders’ reports		89,935
Custodian and accounting fees		77,359
Audit fee		35,936
Legal fees and expenses		25,141
Trustees’ fees		12,552
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		17,044

Total expenses		1,255,151

NET INVESTMENT INCOME (LOSS)		3,887,409

REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $148,725)		5,158,646
Futures transactions		(1,620,107	)
Options written transactions		67,845
Swap agreements transactions		(5,593,313	)

		(1,986,929	)

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(178,952))		12,215,414
Futures		(311,189	)
Swap agreements		2,890,901

		14,795,126

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		12,808,197

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	16,695,606

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	3,887,409		$	5,492,268
Net realized gain (loss) on investment transactions		(1,986,929	)		8,921,459
Net change in unrealized appreciation (depreciation) on investments		14,795,126			719,183

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		16,695,606			15,132,910

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [1,083,338 and 2,289,238 shares, respectively]		15,481,186			29,826,157
Portfolio shares purchased [1,725,391 and 2,084,878 shares, respectively]		(24,541,321	)		(27,448,072	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(9,060,135	)		2,378,085

TOTAL INCREASE (DECREASE)		7,635,471			17,510,995
NET ASSETS:
Beginning of year		238,593,245			221,082,250

End of year	$	246,228,716		$	238,593,245

SEE NOTES TO FINANCIAL STATEMENTS.

A120



		*GOVERNMENT MONEY MARKET PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

REPURCHASE AGREEMENTS(m) — 10.6%
Bank of America Securities, Inc., 0.08%, dated 12/31/20, due 01/04/21 in the amount of $28,985,258				28,985	$	28,985,000
Goldman Sachs & Co., 0.11%, dated 12/29/20, due 01/05/21 in the amount of $ 5,000,107				5,000		5,000,000
Goldman Sachs & Co., 0.08%, dated 12/31/20, due 01/04/21 in the amount of $ 25,000,222				25,000		25,000,000
ING Financial Markets LLC, 0.13%, dated 11/18/20, due 01/26/21 in the amount of $17,004,236				17,000		17,000,000
RBC Dominion Securities, Inc., 0.11%, dated 12/29/20, due 01/05/21 in the amount of $15,000,321				15,000		15,000,000
TOTAL REPURCHASE AGREEMENTS (amortized cost $90,985,000)						90,985,000

U.S. GOVERNMENT AGENCY OBLIGATIONS — 58.0%
Federal Farm Credit Bank, 1 Month LIBOR + (0.020)% (Cap N/A, Floor 0.000%)
0.133%(c)		11/16/21		9,000		8,999,495
Federal Farm Credit Bank, 1 Month LIBOR + (0.045)% (Cap N/A, Floor 0.000%)
0.113%(c)		12/20/21		6,000		6,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.055)% (Cap N/A, Floor 0.000%)
0.093%(c)		02/03/21		7,000		7,000,000
Federal Farm Credit Bank, 1 Month LIBOR + 0.110% (Cap N/A, Floor 0.000%)
0.258%(c)		03/25/21		6,000		5,999,821
Federal Farm Credit Bank, 3 Month LIBOR + (0.090)% (Cap N/A, Floor 0.000%)
0.124%(c)		11/02/21		6,000		5,999,916
0.129%(c)		12/16/21		15,000		15,000,224
0.134%(c)		11/30/21		8,000		8,000,000
Federal Farm Credit Bank, SOFR + 0.040% (Cap N/A, Floor 0.000%)
0.130%(c)		02/09/21		8,000		8,000,000
Federal Farm Credit Bank, SOFR + 0.070% (Cap N/A, Floor 0.000%)
0.160%(c)		02/17/22		7,000		7,000,000
Federal Farm Credit Bank, SOFR + 0.080% (Cap N/A, Floor 0.000%)
0.170%(c)		01/14/21		1,500		1,500,000
Federal Farm Credit Bank, SOFR + 0.105% (Cap N/A, Floor 0.000%)
0.195%(c)		01/15/21		6,000		6,000,000
Federal Farm Credit Bank, SOFR + 0.110% (Cap N/A, Floor 0.000%)
0.200%(c)		05/18/21		6,000		6,000,000
0.200%(c)		07/08/21		2,500		2,499,902
Federal Home Loan Bank
0.105%(n)		01/15/21		10,000		9,999,592
0.100%(n)		01/20/21		20,000		19,998,944
0.091%(n)		01/27/21		9,000		8,999,408
0.098%(n)		01/29/21		4,000		3,999,695
0.085%(n)		02/01/21		16,000		15,998,829
0.092%(n)		02/10/21		10,000		9,998,978
0.085%(n)		02/17/21		15,000		14,998,335
0.080%(n)		02/19/21		10,000		9,998,911
0.088%(n)		02/24/21		15,000		14,998,020
0.085%(n)		03/03/21		9,000		8,998,704


Interest Rate	Maturity Date		Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal Home Loan Bank, 1 Month LIBOR + (0.010)% (Cap N/A, Floor 0.000%)
0.138%(c)		03/26/21		3,000	$	3,000,149
0.143%(c)		04/05/21		8,000		8,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.030)% (Cap N/A, Floor 0.000%)
0.122%(c)		04/20/21		8,000		8,000,165
Federal Home Loan Bank, 1 Month LIBOR + (0.040)% (Cap N/A, Floor 0.000%)
0.106%(c)		01/08/21		9,000		8,999,999
0.114%(c)		01/13/21		20,000		20,000,093
Federal Home Loan Bank, 1 Month LIBOR + (0.050)% (Cap N/A, Floor 0.000%)
0.094%(c)		02/22/21		8,000		7,999,969
Federal Home Loan Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%)
0.148%(c)		09/28/21		7,000		7,000,000
0.149%(c)		05/10/21		8,000		8,000,000
Federal Home Loan Bank, 1 Month LIBOR + 0.005% (Cap N/A, Floor 0.000%)
0.158%(c)		08/16/21		6,000		6,000,648
Federal Home Loan Bank, 1 Month LIBOR + 0.040% (Cap N/A, Floor 0.000%)
0.193%(c)		07/06/21		8,000		8,002,699
Federal Home Loan Bank, 3 Month LIBOR + (0.135)% (Cap N/A, Floor 0.000%)
0.070%(c)		02/12/21		7,000		6,999,894
0.089%(c)		04/14/21		15,000		14,999,657
Federal Home Loan Bank, 3 Month LIBOR + (0.140)% (Cap N/A, Floor 0.000%)
0.078%(c)		04/19/21		11,000		10,999,455
Federal Home Loan Bank, 3 Month LIBOR + (0.170)% (Cap N/A, Floor 0.000%)
0.060%(c)		01/08/21		4,000		3,999,973
0.064%(c)		01/06/21		5,000		5,000,015
Federal Home Loan Bank, SOFR + 0.020% (Cap N/A, Floor 0.000%)
0.110%(c)		08/23/21		9,000		9,000,000
Federal Home Loan Bank, SOFR + 0.030% (Cap N/A, Floor 0.000%)
0.120%(c)		01/11/21		8,000		8,000,000
0.120%(c)		01/28/21		7,000		7,000,000
Federal Home Loan Bank, SOFR + 0.035% (Cap N/A, Floor 0.000%)
0.125%(c)		12/17/21		8,000		8,000,000
Federal Home Loan Bank, SOFR + 0.040% (Cap N/A, Floor 0.000%)
0.130%(c)		02/26/21		7,000		7,000,000
0.130%(c)		04/23/21		6,000		6,000,000
Federal Home Loan Bank, SOFR + 0.050% (Cap N/A, Floor 0.000%)
0.140%(c)		01/22/21		13,000		12,999,901
Federal Home Loan Bank, SOFR + 0.060% (Cap N/A, Floor 0.000%)
0.150%(c)		02/16/21		9,000		9,000,000
0.150%(c)		02/11/22		6,000		6,000,000
Federal Home Loan Bank, SOFR + 0.075% (Cap N/A, Floor 0.000%)
0.165%(c)		06/11/21		7,000		6,995,465
Federal Home Loan Bank, SOFR + 0.080% (Cap N/A, Floor 0.000%)
0.170%(c)		03/04/21		15,000		15,000,000
Federal Home Loan Bank, SOFR + 0.085% (Cap N/A, Floor 0.000%)
0.175%(c)		09/10/21		8,000		8,001,937
Federal Home Loan Bank, SOFR + 0.160% (Cap N/A, Floor 0.000%)
0.250%(c)		05/07/21		5,000		5,000,876

SEE NOTES TO FINANCIAL STATEMENTS.

A121



		*GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date		Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal Home Loan Mortgage Corp., MTN
0.091%		05/10/21		14,000	$	14,000,000
Federal Home Loan Mortgage Corp., MTN, SOFR + 0.025% (Cap N/A, Floor 0.000%)
0.115%(c)		02/26/21		7,000		7,000,000
Federal Home Loan Mortgage Corp., MTN, SOFR + 0.030% (Cap N/A, Floor 0.000%)
0.120%(c)		01/22/21		6,000		5,999,739
0.120%(c)		02/05/21		6,000		5,999,652
0.120%(c)		02/19/21		5,000		4,999,796
0.120%(c)		02/24/21		7,000		7,000,000
Federal Home Loan Mortgage Corp., MTN, SOFR + 0.045% (Cap N/A, Floor 0.000%)
0.135%(c)		08/27/21		3,000		3,000,000
Federal National Mortgage Assoc., SOFR + 0.075% (Cap N/A, Floor 0.000%)
0.165%(c)		06/04/21		2,500		2,499,625
Federal National Mortgage Assoc., SOFR + 0.120% (Cap N/A, Floor
0.000%)
0.210%(c)		03/16/21		6,000		6,000,000
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (amortized cost $497,488,481)						497,488,481

U.S. TREASURY OBLIGATIONS(n) — 30.8%
U.S. Cash Management Bills
0.095%		03/16/21		25,000		24,995,118
0.086%		03/23/21		15,000		14,997,114
0.090%		04/13/21		8,000		7,997,960
U.S. Treasury Bills
0.091%		01/21/21		12,200		12,199,381
0.091%		01/26/21		18,000		17,998,861


Interest Rate	Maturity Date		Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS(n) (continued)
0.085%		02/04/21		33,000	$	32,997,365
0.100%		02/11/21		10,000		9,998,861
0.083%		02/16/21		8,000		7,999,152
0.090%		02/23/21		35,000		34,995,363
0.085%		03/04/21		27,000		26,996,063
0.083%		03/11/21		12,000		11,998,091
0.087%		03/25/21		15,000		14,996,991
0.096%		04/01/21		20,000		19,995,225
0.090%		04/22/21		20,000		19,994,450
0.106%		12/02/21		6,000		5,994,082

TOTAL U.S. TREASURY OBLIGATIONS (amortized cost $ 264,154,077)						264,154,077

TOTAL INVESTMENTS—99.4% (amortized cost $ 852,627,558)						852,627,558
Other assets in excess of liabilities — 0.6%						5,153,536

NET ASSETS — 100.0%					$	857,781,094

See the Glossary for a list of the abbreviation(s) used in the annual 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 December 31, 2020.

(m)

Repurchase agreements are collateralized by FHLMC (coupon rates 2.500% - 5.500%, maturity dates 12/01/36 - 12/01/50), FNMA (coupon rates 1.500% - 5.500%, maturity dates 03/01/23 - 01/01/51) and GNMA (coupon rates 3.500% - 4.500%, maturity dates 06/15/43 -12/20/47), with the aggregate value, including accrued interest, of $92,804,701.

(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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Repurchase Agreements	$	—	$	90,985,000	$	—
U.S. Government Agency Obligations		—		497,488,481		—
U.S. Treasury Obligations		—		264,154,077		—

Total	$	—	$	852,627,558	$	—

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


U.S. Government Agency Obligations		58.0%


U.S. Treasury Obligations			30.8%

SEE NOTES TO FINANCIAL STATEMENTS.

A122



		*GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Industry Classification (continued):
Repurchase Agreements	10.6	%

	99.4
Other assets in excess of liabilities	0.6

	100.0	%

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

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	Bank of America Securities, Inc.	$	28,985,000	$	(28,985,000	)	$	—
Repurchase Agreements	Goldman Sachs & Co.		30,000,000		(30,000,000	)		—
Repurchase Agreements	ING Financial Markets LLC		17,000,000		(17,000,000	)		—
Repurchase Agreements	RBC Dominion Securities, Inc.		15,000,000		(15,000,000	)		—

		$	90,985,000

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A123



		*GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments, at amortized cost which approximates fair value:	$	761,642,558
Repurchase Agreements (amortized cost $90,985,000)		90,985,000
Cash		766
Receivable for Portfolio shares sold		5,947,720
Interest receivable		51,834
Prepaid expenses		5,203

Total Assets		858,633,081

LIABILITIES
Payable for Portfolio shares purchased		693,757
Accrued expenses and other liabilities		58,944
Management fee payable		51,780
Shareholders’ reports payable		44,763
Trustees’ fees payable		1,763
Affiliated transfer agent fee payable		980

Total Liabilities		851,987

NET ASSETS	$	857,781,094

Net assets were comprised of: Partners’ Equity	$	857,781,094

Class I:
Net asset value and redemption price per share, $792,168,929 / 79,214,133 outstanding shares of beneficial interest	$	10.00

Class III:
Net asset value and redemption price per share, $65,612,165 / 6,561,217 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
Interest income	$	3,222,449

EXPENSES
Management fee		2,063,282
Distribution fee—Class III		52,911
Shareholders’ reports		98,546
Custodian and accounting fees		80,329
Legal fees and expenses		28,298
Audit fee		25,736
Trustees’ fees		18,400
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,681
Miscellaneous		16,046

Total expenses		2,394,229
Less: Fee waivers and/or expense reimbursement		(883,604	)
Less: Distribution fee waiver—Class III		(52,911	)

Net expenses		1,457,714

NET INVESTMENT INCOME (LOSS)		1,764,735

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions		27,206

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,791,941

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,764,735		$	10,597,982
Net realized gain (loss) on investment transactions		27,206			59,675

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		1,791,941			10,657,657

DISTRIBUTIONS
Class I		(1,791,854	)		(10,650,252	)
Class III		(87	)		—

		(1,791,941	)		(10,650,252	)

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		850,786,598			518,391,129
Portfolio shares issued in reinvestment of distributions		1,791,941			10,650,252
Portfolio shares purchased		(594,349,211	)		(465,881,208	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		258,229,328			63,160,173

TOTAL INCREASE (DECREASE)		258,229,328			63,167,578
NET ASSETS:
Beginning of year		599,551,766			536,384,188

End of year	$	857,781,094		$	599,551,766

SEE NOTES TO FINANCIAL STATEMENTS.

A124



		*HIGH YIELD BOND PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

LONG-TERM INVESTMENTS — 95.4%

ASSET-BACKED SECURITIES — 1.0%

Collateralized Loan Obligations

Flatiron CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.890% (Cap N/A, Floor 0.000%)

1.127%(c)

04/15/27

905

904,972

Mountain View CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%)

1.727%(c)

04/15/29

4,175

4,173,233

TOTAL ASSET-BACKED SECURITIES
(cost $5,080,240)

5,078,205

BANK LOANS — 4.8%

Building Materials — 0.0%

U.S. Concrete, Inc.,

Term Loan

—%(p)

05/01/25^

225

222,750

Chemicals — 0.8%

Nouryon USA LLC (Netherlands),

Initial Dollar Term Loan, 3 Month LIBOR + 3.000%

3.153%(c)

10/01/25

592

584,566

Solenis International LP,

First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000%

4.233%(c)

06/26/25

1,544

1,540,383

Second Lien Initial Term Loan, 3 Month LIBOR + 8.500%

8.733%(c)

06/26/26

1,931

1,907,109

4,032,058

Commercial Services — 0.1%

MPH Acquisition Holdings LLC,

Initial Term Loan, 3 Month LIBOR + 2.750%

3.750%(c)

06/07/23

518

515,711

Computers — 0.4%

Everi Payments, Inc.,

Term Loan, 1 Month LIBOR + 10.500%

11.500%(c)

05/09/24^

100

102,983

McAfee LLC,

Term B USD Loan, 1 Month LIBOR + 3.750%

3.898%(c)

09/30/24

1,930

1,928,172

2,031,155

Electric — 0.4%

Calpine Corp.,

2020 Term Loan, 1 Month LIBOR + 2.500%

2.650%(c)

12/16/27

483

480,006

Heritage Power LLC,

Term Loan B, 3 Month LIBOR + 6.000%

7.000%(c)

07/30/26

1,970

1,849,338

2,329,344

Electronics — 0.1%

Tiger Merger Sub Co.,

Non-FILO Term Loan, 1 Month LIBOR + 3.500%

3.645%(c)

06/30/25

574

577,147

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

BANK LOANS (continued)

Engineering & Construction — 0.0%

Landry’s Finance Acquisition Co.,

2020 Initial Term Loan, 3

Month LIBOR + 12.000%

13.000%(c)

10/06/23^

67,582

Entertainment — 0.5%

Playtika Holding Corp.,

Term B Loan, 3 Month LIBOR + 6.000%

7.000%(c)

12/10/24

2,019

2,028,844

Scientific Games International, Inc.,

Initial Term B-5 Loan, 1 Month LIBOR + 2.750%

2.897%(c)

08/14/24

416

406,122

Twin River Worldwide Holdings, Inc.,

Term B-1 Facility Loan, 3 Month LIBOR + 8.000%

9.000%(c)

05/11/26

498

526,728

2,961,694

Oil & Gas — 1.0%

Ascent Resources Utica Holdings LLC,

Second Lien Term Loan, 3 Month LIBOR + 9.000%

10.000%(c)

11/01/25

1,385

1,502,725

Chesapeake Energy Corp.,

Class A Loan, 3 Month LIBOR + 8.000% (Cap N/A, Floor 1.000%)

9.000%(c)

06/24/24

3,600

2,898,000

Citgo Petroleum Corp.,

2019 Incremental Term B Loan, 3 Month LIBOR + 6.500%

7.250%(c)

03/28/24

762

753,764

5,154,489

Pharmaceuticals — 0.3%

Mallinckrodt International Finance SA,

2017 Term B Loan, 1 Month LIBOR + 4.750%

5.500%(c)

09/24/24

519

487,412

2018 Incremental Term Loan, 1 - 3 Month LIBOR + 3.000%

5.750%(c)

02/24/25

173

162,227

Milano Acquisition Corp.,

Term B Loan, 3 Month LIBOR + 4.000%

4.750%(c)

10/01/27

800

799,000

1,448,639

Retail — 0.2%

EG America LLC (United Kingdom),

Second Lien Facility (USD), 3 Month LIBOR + 8.000%

9.000%(c)

04/20/26

467

452,896

Harbor Freight Tools USA, Inc.,

2020 Initial Term Loan, 1 Month LIBOR + 3.250%

4.000%(c)

10/19/27

450

449,394

902,290

Software — 0.7%

Boxer Parent Co., Inc.,

Initial Dollar Term Loan, 1 Month LIBOR + 4.250%

4.397%(c)

10/02/25

610

606,907

Championx Holding, Inc.,

Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250%

8.250%(c)

06/13/25

1,075

1,075,448

Greeneden U.S. Holdings II LLC,

B-4 Dollar Term Loan, 3 Month LIBOR + 4.000%

4.750%(c)

12/01/27

475

475,446

SEE NOTES TO FINANCIAL STATEMENTS.

A125



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

BANK LOANS (continued)
Software (cont’d.)
Informatica LLC,
Second Lien Initial Loan
7.125%		02/25/25			500	$	508,125
TIBCO Software, Inc.,
Second Lien Term Loan, 1 Month LIBOR + 7.250%
7.400%(c)		03/03/28			850		857,437
Term Loan B-3, 1 Month LIBOR + 3.750%
3.900%(c)		06/30/26			446		438,049

							3,961,412

Telecommunications — 0.3%
West Corp.,
Initial Term B Loan, 3 Month LIBOR + 4.000%
5.000%(c)		10/10/24			148		142,948
Xplornet Communications, Inc. (Canada),
Initial Term Loan, 1 Month LIBOR + 4.750%
4.897%(c)		06/10/27			1,368		1,367,841

							1,510,789

TOTAL BANK LOANS (cost $25,972,094)							25,715,060


CONVERTIBLE BOND — 0.0%
Telecommunications
Digicel Group 0.5 Ltd. (Jamaica),
Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A
7.000%		–(rr)			424		116,470

(cost $16,231)

CORPORATE BONDS — 88.9%
Advertising — 0.7%
National CineMedia LLC,
Sr. Sec’d. Notes, 144A
5.875%		04/15/28	(a)		575		483,596
Sr. Unsec’d. Notes
5.750%		08/15/26			1,625		1,186,467
Terrier Media Buyer, Inc.,
Gtd. Notes, 144A
8.875%		12/15/27			1,900		2,104,024

							3,774,087

Aerospace & Defense — 1.8%
Boeing Co. (The),
Sr. Unsec’d. Notes
5.150%		05/01/30			1,900		2,299,947
5.805%		05/01/50			2,450		3,369,771
5.930%		05/01/60			225		318,026
Howmet Aerospace, Inc.,
Sr. Unsec’d. Notes
6.875%		05/01/25	(a)		400		471,658
Spirit AeroSystems, Inc.,
Sec’d. Notes, 144A
7.500%		04/15/25			800		861,220
SSL Robotics LLC,
Sr. Sec’d. Notes, 144A
9.750%		12/31/23			975		1,101,542


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Aerospace & Defense (cont’d.)
TransDigm UK Holdings PLC,
Gtd. Notes
6.875%		05/15/26			200	$	211,782
TransDigm, Inc.,
Gtd. Notes
6.375%		06/15/26			332		343,655
6.500%		07/15/24	(a)		325		330,865
6.500%		05/15/25			175		180,361

							9,488,827

Agriculture — 0.4%
Vector Group Ltd.,
Gtd. Notes, 144A
10.500%		11/01/26			350		378,059
Sr. Sec’d. Notes, 144A
6.125%		02/01/25			1,925		1,956,319

							2,334,378

Apparel — 0.3%
William Carter Co. (The),
Gtd. Notes, 144A
5.500%		05/15/25	(a)		625		664,103
5.625%		03/15/27			200		210,504
Wolverine World Wide, Inc.,
Gtd. Notes, 144A
5.000%		09/01/26			150		152,694
6.375%		05/15/25			425		453,675

							1,480,976

Auto Manufacturers — 2.3%
Allison Transmission, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		10/01/27			175		184,168
5.875%		06/01/29			225		249,300
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43			1,250		1,266,902
5.291%		12/08/46	(a)		3,575		3,736,718
9.000%		04/22/25	(a)		725		889,042
9.625%		04/22/30	(a)		440		622,303
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
5.584%		03/18/24			625		676,225
Jaguar Land Rover Automotive PLC (United Kingdom),
Sr. Unsec’d. Notes, 144A
7.750%		10/15/25	(a)		750		811,951
Navistar International Corp.,
Gtd. Notes, 144A
6.625%		11/01/25			2,575		2,698,626
Sr. Sec’d. Notes, 144A
9.500%		05/01/25			300		336,821
PM General Purchaser LLC,
Sr. Sec’d. Notes, 144A
9.500%		10/01/28			825		912,307

							12,384,363

SEE NOTES TO FINANCIAL STATEMENTS.

A126



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Auto Parts & Equipment — 1.8%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
4.875%		08/15/26			2,175	$	2,231,714
Adient US LLC,
Sr. Sec’d. Notes, 144A
9.000%		04/15/25			200		223,692
American Axle & Manufacturing, Inc.,
Gtd. Notes
6.250%		03/15/26	(a)		2,373		2,456,969
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625%		11/15/26			875		806,624
Dana Financing Luxembourg Sarl,
Gtd. Notes, 144A
5.750%		04/15/25			475		492,785
6.500%		06/01/26	(a)		1,775		1,859,312
Dana, Inc.,
Sr. Unsec’d. Notes
5.375%		11/15/27			175		185,671
5.625%		06/15/28			150		161,687
Tenneco, Inc.,
Sr. Sec’d. Notes, 144A
7.875%		01/15/29			300		336,838
Titan International, Inc.,
Sr. Sec’d. Notes
6.500%		11/30/23			1,100		1,019,681

							9,774,973

Banks — 0.3%
CIT Group, Inc.,
Sub. Notes
6.125%		03/09/28	(a)		975		1,187,202
Freedom Mortgage Corp.,
Sr. Unsec’d. Notes, 144A
7.625%		05/01/26			550		581,238

							1,768,440

Building Materials — 2.3%
Cornerstone Building Brands, Inc.,
Gtd. Notes, 144A
6.125%		01/15/29	(a)		750		797,509
8.000%		04/15/26	(a)		1,400		1,470,632
Forterra Finance LLC/FRTA Finance Corp.,
Sr. Sec’d. Notes, 144A
6.500%		07/15/25			225		243,121
Griffon Corp.,
Gtd. Notes
5.750%		03/01/28	(a)		1,325		1,406,965
JELD-WEN, Inc.,
Gtd. Notes, 144A
4.625%		12/15/25			350		358,873
Sr. Sec’d. Notes, 144A
6.250%		05/15/25			450		484,999
Masonite International Corp.,
Gtd. Notes, 144A
5.375%		02/01/28			375		401,265
5.750%		09/15/26			75		78,464


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Building Materials (cont’d.)
Patrick Industries, Inc.,
Gtd. Notes, 144A
7.500%		10/15/27			675	$	735,766
SRM Escrow Issuer LLC,
Sr. Sec’d. Notes, 144A
6.000%		11/01/28	(a)		850		887,953
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
3.375%		01/15/31	(a)		600		607,879
4.375%		07/15/30			675		722,306
4.750%		01/15/28			825		870,944
5.000%		02/15/27			790		826,952
Summit Materials LLC/Summit Materials Finance Corp.,
Gtd. Notes, 144A
5.250%		01/15/29			720		756,233
6.500%		03/15/27			300		319,004
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24	(a)		1,046		1,078,124
Gtd. Notes, 144A
5.125%		03/01/29			300		308,877

							12,355,866

Chemicals — 3.7%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43			1,705		2,265,895
Atotech Alpha 2 BV (Germany),
Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500%
8.750%		06/01/23			672		678,594
Atotech Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom),
Gtd. Notes, 144A
6.250%		02/01/25			450		457,056
Axalta Coating Systems LLC,
Gtd. Notes, 144A
3.375%		02/15/29			400		401,682
Chemours Co. (The),
Gtd. Notes
5.375%		05/15/27	(a)		670		715,273
7.000%		05/15/25	(a)		500		517,355
Gtd. Notes, 144A
5.750%		11/15/28			925		944,305
Cornerstone Chemical Co.,
Sr. Sec’d. Notes, 144A
6.750%		08/15/24			1,110		977,981
HB Fuller Co.,
Sr. Unsec’d. Notes
4.250%		10/15/28			300		308,079
Hexion, Inc.,
Gtd. Notes, 144A
7.875%		07/15/27	(a)		1,000		1,071,807
Ingevity Corp.,
Gtd. Notes, 144A
3.875%		11/01/28			300		301,466
Minerals Technologies, Inc.,
Gtd. Notes, 144A
5.000%		07/01/28			340		356,036

SEE NOTES TO FINANCIAL STATEMENTS.

A127



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Chemicals (cont’d.)
Nouryon Holding BV (Netherlands),
Sr. Unsec’d. Notes, 144A
8.000%		10/01/26	(a)		1,365	$	1,455,191
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
5.250%		06/01/27	(a)		651		694,666
Olin Corp.,
Sr. Unsec’d. Notes, 144A
9.500%		06/01/25	(a)		295		367,620
Rain CII Carbon LLC/CII Carbon Corp.,
Sec’d. Notes, 144A
7.250%		04/01/25			1,180		1,200,179
Rayonier AM Products, Inc.,
Sr. Sec’d. Notes, 144A
7.625%		01/15/26			25		26,053
TPC Group, Inc.,
Sr. Sec’d. Notes, 144A
10.500%		08/01/24			1,510		1,248,201
Tronox Finance PLC,
Gtd. Notes, 144A
5.750%		10/01/25	(a)		1,700		1,764,784
Tronox, Inc.,
Gtd. Notes, 144A
6.500%		04/15/26	(a)		820		854,397
Sr. Sec’d. Notes, 144A
6.500%		05/01/25			550		588,040
Valvoline, Inc.,
Sr. Unsec’d. Notes, 144A
3.625%		06/15/31			325		333,254
Venator Finance Sarl/Venator Materials LLC,
Gtd. Notes, 144A
5.750%		07/15/25	(a)		1,155		1,091,416
Sr. Sec’d. Notes, 144A
9.500%		07/01/25			500		547,013
W.R. Grace & Co.-Conn.,
Gtd. Notes, 144A
4.875%		06/15/27	(a)		500		531,630

							19,697,973

Commercial Services — 3.6%
Allied Universal Holdco LLC/Allied Universal Finance Corp.,
Sr. Sec’d. Notes, 144A
6.625%		07/15/26	(a)		985		1,049,815
Sr. Unsec’d. Notes, 144A
9.750%		07/15/27			1,325		1,439,408
AMN Healthcare, Inc.,
Gtd. Notes, 144A
4.000%		04/15/29			225		230,595
4.625%		10/01/27			375		392,530
Brink’s Co. (The),
Gtd. Notes, 144A
5.500%		07/15/25	(a)		655		699,058
Gartner, Inc.,
Gtd. Notes, 144A
3.750%		10/01/30			250		263,239
4.500%		07/01/28			220		232,230


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Commercial Services (cont’d.)
Laureate Education, Inc.,
Gtd. Notes, 144A
8.250%		05/01/25	(a)		2,710	$	2,870,392
Nielsen Co. Luxembourg Sarl (The),
Gtd. Notes, 144A
5.000%		02/01/25			395		407,540
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22			875		877,211
5.625%		10/01/28			550		598,072
5.875%		10/01/30			165		186,694
Refinitiv US Holdings, Inc.,
Gtd. Notes, 144A
8.250%		11/15/26			62		67,800
Service Corp. International,
Sr. Unsec’d. Notes
3.375%		08/15/30	(a)		255		265,058
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.,
Gtd. Notes, 144A
4.625%		11/01/26			270		279,669
United Rentals North America, Inc.,
Gtd. Notes
3.875%		02/15/31	(a)		575		604,200
4.000%		07/15/30			500		527,146
4.875%		01/15/28	(a)		4,000		4,282,317
5.250%		01/15/30	(a)		1,000		1,113,824
Verscend Escrow Corp.,
Sr. Unsec’d. Notes, 144A
9.750%		08/15/26			2,265		2,461,806

							18,848,604

Computers — 1.6%
Banff Merger Sub, Inc.,
Sr. Unsec’d. Notes, 144A
9.750%		09/01/26			3,325		3,590,516
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25	(a)		1,417		1,466,742
NCR Corp.,
Gtd. Notes, 144A
5.000%		10/01/28			425		447,693
5.250%		10/01/30			275		295,420
8.125%		04/15/25			275		305,792
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.,
Sr. Sec’d. Notes, 144A
5.750%		06/01/25			300		318,553
Sr. Unsec’d. Notes, 144A
6.750%		06/01/25			2,104		2,170,869

							8,595,585

Distribution/Wholesale — 0.5%
Core & Main Holdings LP,
Sr. Unsec’d. Notes, 144A, Cash coupon 8.625% or PIK 9.375%
8.625%		09/15/24	(a)		1,375		1,403,216
H&E Equipment Services, Inc.,
Gtd. Notes, 144A
3.875%		12/15/28	(a)		1,375		1,384,554

SEE NOTES TO FINANCIAL STATEMENTS.

A128



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Distribution/Wholesale (cont’d.)
Performance Food Group, Inc.,
Gtd. Notes, 144A
5.500%		10/15/27			50	$	52,741

							2,840,511

Diversified Financial Services — 2.0%
Alliance Data Systems Corp.,
Gtd. Notes, 144A
4.750%		12/15/24			800		808,740
Fairstone Financial, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.875%		07/15/24			430		455,447
LPL Holdings, Inc.,
Gtd. Notes, 144A
5.750%		09/15/25			725		749,542
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
5.125%		12/15/30			975		1,019,959
OneMain Finance Corp.,
Gtd. Notes
4.000%		09/15/30	(a)		375		388,894
6.625%		01/15/28	(a)		1,125		1,339,908
6.875%		03/15/25			1,100		1,278,729
7.125%		03/15/26			2,725		3,199,848
PennyMac Financial Services, Inc.,
Gtd. Notes, 144A
5.375%		10/15/25			575		607,355
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,
Gtd. Notes, 144A
3.875%		03/01/31	(a)		550		570,357

							10,418,779

Electric — 3.5%
Calpine Corp.,
Sr. Unsec’d. Notes, 144A
4.625%		02/01/29	(a)		1,632		1,675,030
5.000%		02/01/31	(a)		1,375		1,434,728
5.125%		03/15/28	(a)		4,400		4,633,423
Keystone Power Pass-Through Holders LLC/Conemaugh Power
Pass-Through Holders,
Gtd. Notes, 144A
9.000%		12/01/23			172		162,857
Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A
13.000%		06/01/24			614		490,720
Mirant Corp.,
Sr. Unsec’d. Notes, 144A
0.000%(cc)		07/15/49^			250		250
NRG Energy, Inc.,
Gtd. Notes
6.625%		01/15/27			1,450		1,532,128
Gtd. Notes, 144A
5.250%		06/15/29			500		549,630
PG&E Corp.,
Sr. Sec’d. Notes
5.000%		07/01/28	(a)		935		998,868
5.250%		07/01/30	(a)		2,705		2,980,914


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (cont’d.)
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%		07/31/27	(a)		815	$	868,176
5.500%		09/01/26			1,350		1,409,251
5.625%		02/15/27			1,458		1,549,998

							18,285,973

Electrical Components & Equipment — 0.2%
WESCO Distribution, Inc.,
Gtd. Notes, 144A
7.125%		06/15/25			500		549,699
7.250%		06/15/28	(a)		585		664,473

							1,214,172

Electronics — 0.3%
Brightstar Escrow Corp.,
Sr. Sec’d. Notes, 144A
9.750%		10/15/25			725		774,668
Itron, Inc.,
Gtd. Notes, 144A
5.000%		01/15/26			450		459,747
Sensata Technologies, Inc.,
Gtd. Notes, 144A
3.750%		02/15/31			250		258,980

							1,493,395

Energy-Alternate Sources — 0.1%
Enviva Partners LP/Enviva Partners Finance Corp.,
Gtd. Notes, 144A
6.500%		01/15/26			450		479,570

Engineering & Construction — 0.6%
AECOM,
Gtd. Notes
5.125%		03/15/27			775		861,362
5.875%		10/15/24			325		360,780
PowerTeam Services LLC,
Sr. Sec’d. Notes, 144A
9.033%		12/04/25			550		611,841
TopBuild Corp.,
Gtd. Notes, 144A
5.625%		05/01/26			1,275		1,320,028

							3,154,011

Entertainment — 4.5%
AMC Entertainment Holdings, Inc.,
Sec’d. Notes, 144A, Cash coupon 10.000% / PIK 12.000% or Cash coupon 5.000% and PIK 6.000%
12.000%		06/15/26			2,200		480,888
Sr. Sec’d. Notes, 144A
10.500%		04/24/26	(a)		397		269,211
Bally’s Corp.,
Gtd. Notes, 144A
6.750%		06/01/27	(a)		1,725		1,855,058
Caesars Entertainment, Inc.,
Sr. Sec’d. Notes, 144A
6.250%		07/01/25			405		431,228

SEE NOTES TO FINANCIAL STATEMENTS.

A129



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Entertainment (cont’d.)
Sr. Unsec’d. Notes, 144A
8.125%		07/01/27	(a)		535	$	592,151
Caesars Resort Collection LLC/CRC Finco, Inc.,
Gtd. Notes, 144A
5.250%		10/15/25	(a)		2,850		2,876,904
Sr. Sec’d. Notes, 144A
5.750%		07/01/25			100		105,926
CCM Merger, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		05/01/26			200		211,169
Cedar Fair LP,
Gtd. Notes
5.250%		07/15/29	(a)		500		514,641
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.,
Gtd. Notes
5.375%		06/01/24			75		75,418
Golden Entertainment, Inc.,
Sr. Unsec’d. Notes, 144A
7.625%		04/15/26	(a)		2,025		2,169,233
International Game Technology PLC,
Sr. Sec’d. Notes, 144A
5.250%		01/15/29			400		430,533
6.250%		01/15/27	(a)		450		515,044
6.500%		02/15/25	(a)		975		1,091,588
Jacobs Entertainment, Inc.,
Sec’d. Notes, 144A
7.875%		02/01/24	(a)		1,325		1,359,463
Merlin Entertainments Ltd. (United Kingdom),
Sec’d. Notes, 144A
5.750%		06/15/26			200		209,986
Motion Bondco DAC (United Kingdom),
Gtd. Notes, 144A
6.625%		11/15/27	(a)		900		917,012
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance In,
Sr. Unsec’d. Notes, 144A
8.500%		11/15/27			650		697,025
Penn National Gaming, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		01/15/27	(a)		1,525		1,593,630
Scientific Games International, Inc.,
Gtd. Notes, 144A
7.000%		05/15/28			875		939,363
7.250%		11/15/29			175		191,793
8.250%		03/15/26	(a)		2,847		3,066,079
8.625%		07/01/25			1,075		1,177,504
Six Flags Entertainment Corp.,
Gtd. Notes, 144A
4.875%		07/31/24			725		725,724
5.500%		04/15/27	(a)		475		489,506
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.,
Gtd. Notes, 144A
5.125%		10/01/29			470		491,430
Sr. Unsec’d. Notes, 144A
7.750%		04/15/25			225		243,611

							23,721,118


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Foods — 1.9%
Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC,
Gtd. Notes, 144A
3.500%		03/15/29	(a)		1,300	$	1,312,017
4.875%		02/15/30	(a)		500		550,107
B&G Foods, Inc.,
Gtd. Notes
5.250%		09/15/27	(a)		485		514,747
C&S Group Enterprises LLC,
Gtd. Notes, 144A
5.000%		12/15/28			400		398,961
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25			1,325		1,368,274
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.,
Gtd. Notes, 144A
6.500%		04/15/29			455		529,566
Sr. Unsec’d. Notes, 144A
5.500%		01/15/30			1,300		1,492,798
Pilgrim’s Pride Corp.,
Gtd. Notes, 144A
5.750%		03/15/25			275		282,159
5.875%		09/30/27	(a)		2,150		2,330,915
US Foods, Inc.,
Gtd. Notes, 144A
5.875%		06/15/24	(a)		1,050		1,062,893

							9,842,437

Gas — 0.9%
AmeriGas Partners LP/AmeriGas Finance Corp.,
Sr. Unsec’d. Notes
5.500%		05/20/25			1,475		1,630,599
5.625%		05/20/24			250		273,246
5.750%		05/20/27			1,475		1,682,227
5.875%		08/20/26			975		1,093,256

							4,679,328

Healthcare-Services — 3.3%
Acadia Healthcare Co., Inc.,
Gtd. Notes
6.500%		03/01/24			150		153,550
DaVita, Inc.,
Gtd. Notes, 144A
3.750%		02/15/31			475		482,010
4.625%		06/01/30			800		850,678
Encompass Health Corp.,
Gtd. Notes
4.625%		04/01/31			175		185,559
MEDNAX, Inc.,
Gtd. Notes, 144A
5.250%		12/01/23			250		253,220
6.250%		01/15/27	(a)		475		508,945
Prime Healthcare Services, Inc.,
Sr. Sec’d. Notes, 144A
7.250%		11/01/25			400		426,755
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.,
Gtd. Notes, 144A
9.750%		12/01/26	(a)		3,425		3,747,419

SEE NOTES TO FINANCIAL STATEMENTS.

A130



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Healthcare-Services (cont’d.)
Surgery Center Holdings, Inc.,
Gtd. Notes, 144A
6.750%		07/01/25	(a)		725	$	738,925
10.000%		04/15/27	(a)		290		319,133
Tenet Healthcare Corp.,
Gtd. Notes, 144A
6.125%		10/01/28	(a)		1,925		2,004,347
Sec’d. Notes
5.125%		05/01/25			200		203,842
Sec’d. Notes, 144A
6.250%		02/01/27			1,375		1,449,501
Sr. Sec’d. Notes, 144A
4.875%		01/01/26			225		235,127
Sr. Unsec’d. Notes
6.750%		06/15/23			1,650		1,772,851
6.875%		11/15/31	(a)		2,025		2,109,827
7.000%		08/01/25	(a)		1,840		1,901,888

							17,343,577

Home Builders — 4.7%
Ashton Woods USA LLC/Ashton Woods Finance Co.,
Sr. Unsec’d. Notes, 144A
6.750%		08/01/25			1,500		1,560,242
9.875%		04/01/27			1,125		1,263,682
Beazer Homes USA, Inc.,
Gtd. Notes
5.875%		10/15/27			1,550		1,628,913
6.750%		03/15/25			850		884,590
7.250%		10/15/29			1,275		1,437,659
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),
Gtd. Notes, 144A
4.875%		02/15/30	(a)		800		826,960
6.250%		09/15/27	(a)		625		663,817
6.375%		05/15/25			2,050		2,106,190
Century Communities, Inc.,
Gtd. Notes
6.750%		06/01/27			1,075		1,146,894
Empire Communities Corp. (Canada),
Sr. Unsec’d. Notes, 144A
7.000%		12/15/25			75		78,989
Forestar Group, Inc.,
Gtd. Notes, 144A
5.000%		03/01/28			500		515,026
8.000%		04/15/24			750		789,411
KB Home,
Gtd. Notes
4.800%		11/15/29			350		384,835
6.875%		06/15/27	(a)		750		881,654
M/I Homes, Inc.,
Gtd. Notes
4.950%		02/01/28			625		662,213
5.625%		08/01/25			425		441,299
Mattamy Group Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.625%		03/01/30			1,000		1,068,086
5.250%		12/15/27			650		690,508


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Home Builders (cont’d.)
Meritage Homes Corp.,
Gtd. Notes
5.125%		06/06/27			675	$	754,151
6.000%		06/01/25			1,125		1,274,102
New Home Co., Inc. (The),
Gtd. Notes, 144A
7.250%		10/15/25			275		282,153
Shea Homes LP/Shea Homes Funding Corp.,
Sr. Unsec’d. Notes, 144A
4.750%		04/01/29			50		51,560
STL Holding Co. LLC,
Sr. Unsec’d. Notes, 144A
7.500%		02/15/26			425		437,164
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%		06/15/27			675		764,488
6.625%		07/15/27			1,875		2,030,819
Sr. Unsec’d. Notes, 144A
5.125%		08/01/30			350		391,933
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%		03/01/24			275		295,487
5.875%		04/15/23			1,150		1,217,526
TRI Pointe Group, Inc.,
Gtd. Notes
5.700%		06/15/28			240		271,207

							24,801,558

Household Products/Wares — 0.2%
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (Canada),
Sr. Sec’d. Notes, 144A
5.000%		12/31/26			150		156,453
Spectrum Brands, Inc.,
Gtd. Notes, 144A
5.000%		10/01/29			800		859,487

							1,015,940

Internet — 0.3%
Arches Buyer, Inc.,
Sr. Sec’d. Notes, 144A
4.250%		06/01/28			250		253,237
Cablevision Lightpath LLC,
Sr. Sec’d. Notes, 144A
3.875%		09/15/27			275		276,680
Sr. Unsec’d. Notes, 144A
5.625%		09/15/28			600		627,037
NortonLifeLock, Inc.,
Sr. Unsec’d. Notes, 144A
5.000%		04/15/25			325		331,974

							1,488,928

Iron/Steel — 0.2%
Big River Steel LLC/BRS Finance Corp.,
Sr. Sec’d. Notes, 144A
6.625%		01/31/29	(a)		1,065		1,150,904

SEE NOTES TO FINANCIAL STATEMENTS.

A131



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Leisure Time — 0.3%
Carnival Corp.,
Sr. Unsec’d. Notes, 144A
7.625%		03/01/26			25	$	27,228
NCL Corp. Ltd.,
Sr. Sec’d. Notes, 144A
10.250%		02/01/26			755		889,398
12.250%		05/15/24			225		271,251
Sr. Unsec’d. Notes, 144A
3.625%		12/15/24	(a)		500		461,059
Royal Caribbean Cruises Ltd.,
Sr. Unsec’d. Notes
5.250%		11/15/22			150		150,987

							1,799,923

Lodging — 2.4%
Boyd Gaming Corp.,
Gtd. Notes
6.375%		04/01/26	(a)		1,000		1,037,569
Gtd. Notes, 144A
8.625%		06/01/25			275		305,568
Hilton Domestic Operating Co., Inc.,
Gtd. Notes
4.875%		01/15/30			375		411,311
5.125%		05/01/26			1,625		1,684,796
Gtd. Notes, 144A
4.000%		05/01/31	(a)		775		817,255
5.375%		05/01/25			225		240,394
5.750%		05/01/28	(a)		250		272,944
Marriott International, Inc.,
Sr. Unsec’d. Notes, Series EE
5.750%		05/01/25			225		263,187
MGM Resorts International,
Gtd. Notes
4.625%		09/01/26	(a)		350		370,168
4.750%		10/15/28	(a)		1,900		2,034,505
5.500%		04/15/27			450		501,386
6.000%		03/15/23			175		188,285
6.750%		05/01/25			1,250		1,352,525
7.750%		03/15/22			500		532,817
Station Casinos LLC,
Gtd. Notes, 144A
4.500%		02/15/28			525		528,527
Wyndham Destinations, Inc.,
Sr. Sec’d. Notes, 144A
4.625%		03/01/30	(a)		425		449,030
Wynn Macau Ltd. (Macau),
Sr. Unsec’d. Notes, 144A
5.125%		12/15/29	(a)		675		690,117
5.500%		01/15/26			600		623,469
5.625%		08/26/28			200		208,929

							12,512,782

Machinery-Diversified — 0.6%
ATS Automation Tooling Systems, Inc. (Canada),
Gtd. Notes, 144A
6.500%		06/15/23			600		610,225


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Machinery-Diversified (cont’d.)
Sr. Unsec’d. Notes, 144A
4.125%		12/15/28			175	$	177,774
GrafTech Finance, Inc.,
Sr. Sec’d. Notes, 144A
4.625%		12/15/28			150		151,639
Maxim Crane Works Holdings Capital LLC,
Sec’d. Notes, 144A
10.125%		08/01/24			2,050		2,133,772

							3,073,410

Media — 7.9%
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
4.250%		02/01/31			3,700		3,899,219
4.500%		08/15/30			250		266,358
4.500%		05/01/32	(a)		3,715		3,965,974
4.750%		03/01/30			2,375		2,562,884
5.000%		02/01/28			930		982,010
5.375%		06/01/29			200		219,401
5.875%		05/01/27			215		223,871
Clear Channel Worldwide Holdings, Inc.,
Gtd. Notes
9.250%		02/15/24	(a)		4,245		4,302,905
CSC Holdings LLC,
Gtd. Notes, 144A
3.375%		02/15/31			1,190		1,173,453
4.125%		12/01/30			575		600,825
Sr. Unsec’d. Notes, 144A
4.625%		12/01/30	(a)		3,275		3,425,268
7.500%		04/01/28			275		310,838
Diamond Sports Group LLC/Diamond Sports Finance Co.,
Gtd. Notes, 144A
6.625%		08/15/27			5,640		3,411,766
Sr. Sec’d. Notes, 144A
5.375%		08/15/26			1,245		1,011,749
DISH DBS Corp.,
Gtd. Notes
5.000%		03/15/23			285		295,601
7.375%		07/01/28	(a)		565		603,919
7.750%		07/01/26	(a)		2,545		2,848,958
Entercom Media Corp.,
Sec’d. Notes, 144A
6.500%		05/01/27			325		330,255
Gray Television, Inc.,
Gtd. Notes, 144A
4.750%		10/15/30	(a)		350		356,704
5.875%		07/15/26	(a)		1,335		1,399,519
7.000%		05/15/27			335		366,738
iHeartCommunications, Inc.,
Gtd. Notes
8.375%		05/01/27	(a)		1,475		1,573,166
Sr. Sec’d. Notes
6.375%		05/01/26			325		347,129
Midcontinent Communications/Midcontinent Finance Corp.,
Gtd. Notes, 144A
5.375%		08/15/27			300		313,749

SEE NOTES TO FINANCIAL STATEMENTS.

A132



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (cont’d.)
Nexstar Broadcasting, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		11/01/28	(a)		400	$	418,832
Radiate Holdco LLC/Radiate Finance, Inc.,
Sr. Sec’d. Notes, 144A
4.500%		09/15/26			325		335,138
Sr. Unsec’d. Notes, 144A
6.500%		09/15/28			750		787,999
Scripps Escrow II, Inc.,
Sr. Sec’d. Notes, 144A
3.875%		01/15/29			250		260,114
Sr. Unsec’d. Notes, 144A
5.375%		01/15/31			225		236,005
Scripps Escrow, Inc.,
Gtd. Notes, 144A
5.875%		07/15/27	(a)		310		323,905
Sinclair Television Group, Inc.,
Gtd. Notes, 144A
5.125%		02/15/27	(a)		685		698,897
5.875%		03/15/26			275		283,626
TEGNA, Inc.,
Gtd. Notes, 144A
4.750%		03/15/26			275		293,040
Townsquare Media, Inc.,
Sr. Sec’d. Notes, 144A
6.875%		02/01/26			150		156,779
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25	(a)		1,760		1,780,106
6.625%		06/01/27	(a)		1,475		1,583,727

							41,950,427

Mining — 2.6%
Constellium SE,
Gtd. Notes, 144A
5.750%		05/15/24			250		254,939
5.875%		02/15/26	(a)		1,425		1,461,784
6.625%		03/01/25	(a)		636		649,815
Eldorado Gold Corp. (Turkey),
Sec’d. Notes, 144A
9.500%		06/01/24	(a)		1,014		1,123,116
First Quantum Minerals Ltd. (Zambia),
Gtd. Notes, 144A
6.500%		03/01/24			720		738,712
6.875%		03/01/26			200		209,021
6.875%		10/15/27			640		693,636
7.250%		04/01/23	(a)		735		757,547
7.500%		04/01/25			1,575		1,639,333
Freeport-McMoRan, Inc.,
Gtd. Notes
4.375%		08/01/28			825		875,850
4.625%		08/01/30			825		908,901
Hecla Mining Co.,
Gtd. Notes
7.250%		02/15/28			475		518,482


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Mining (cont’d.)
Hudbay Minerals, Inc. (Peru),
Gtd. Notes, 144A
6.125%		04/01/29	(a)		400	$	432,574
IAMGOLD Corp. (Burkina Faso),
Gtd. Notes, 144A
5.750%		10/15/28	(a)		775		785,471
New Gold, Inc. (Canada),
Gtd. Notes, 144A
6.375%		05/15/25			421		437,844
Sr. Unsec’d. Notes, 144A
7.500%		07/15/27			925		1,024,288
Novelis Corp.,
Gtd. Notes, 144A
5.875%		09/30/26	(a)		1,210		1,267,241

							13,778,554

Miscellaneous Manufacturing — 2.1%
Amsted Industries, Inc.,
Gtd. Notes, 144A
5.625%		07/01/27			425		451,377
Sr. Unsec’d. Notes, 144A
4.625%		05/15/30			570		602,509
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.450%		05/01/34			375		327,984
7.500%		12/01/24			2,600		2,490,942
7.500%		03/15/25			950		885,577
7.875%		04/15/27	(a)		3,725		3,424,909
8.750%		12/01/21			2,325		2,417,773
FXI Holdings, Inc.,
Sr. Sec’d. Notes, 144A
7.875%		11/01/24			644		653,660

							11,254,731

Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
3.250%		02/15/29			305		310,512

Oil & Gas — 8.0%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.,
Gtd. Notes
7.875%		12/15/24	(d)		5,200		3,432
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25			2,220		2,084,111
5.125%		12/01/22			775		774,836
5.625%		06/01/23			1,450		1,417,609
Sr. Unsec’d. Notes, 144A
8.375%		07/15/26			350		356,152
Apache Corp.,
Sr. Unsec’d. Notes
4.375%		10/15/28			275		286,108
4.750%		04/15/43			200		207,456
5.100%		09/01/40			750		810,068
5.250%		02/01/42			50		53,890
5.350%		07/01/49			75		77,368

SEE NOTES TO FINANCIAL STATEMENTS.

A133



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
Ascent Resources Utica Holdings LLC/ARU Finance Corp.,
Gtd. Notes, 144A
9.000%		11/01/27			726	$	807,675
Sr. Unsec’d. Notes, 144A
7.000%		11/01/26			1,825		1,735,758
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
9.250%		08/01/24			2,050		1,918,608
CITGO Petroleum Corp.,
Sr. Sec’d. Notes, 144A
7.000%		06/15/25	(a)		1,525		1,532,900
CNX Resources Corp.,
Gtd. Notes, 144A
7.250%		03/14/27			1,700		1,826,171
Continental Resources, Inc.,
Gtd. Notes
4.900%		06/01/44			125		123,570
Gtd. Notes, 144A
5.750%		01/15/31	(a)		400		444,129
CrownRock LP/CrownRock Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		10/15/25			350		357,023
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp.,
Sr. Unsec’d. Notes, 144A
7.750%		12/15/25			1,425		1,509,850
Endeavor Energy Resources LP/EER Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.750%		01/30/28			1,500		1,613,296
6.625%		07/15/25			230		246,467
EQT Corp.,
Sr. Unsec’d. Notes
3.900%		10/01/27	(a)		1,325		1,313,755
5.000%		01/15/29			200		210,801
8.750%		02/01/30			175		214,741
Extraction Oil & Gas, Inc.,
Gtd. Notes, 144A
5.625%		02/01/26	(d)		2,000		353,954
7.375%		05/15/24	(d)		950		166,524
Hilcorp Energy I LP/Hilcorp Finance Co.,
Sr. Unsec’d. Notes, 144A
5.000%		12/01/24			75		74,613
5.750%		10/01/25	(a)		975		982,799
6.250%		11/01/28	(a)		900		920,160
MEG Energy Corp. (Canada),
Gtd. Notes, 144A
7.000%		03/31/24			575		580,707
7.125%		02/01/27	(a)		1,277		1,319,687
Nabors Industries Ltd.,
Gtd. Notes, 144A
7.250%		01/15/26			200		140,094
7.500%		01/15/28			750		512,693
Nabors Industries, Inc.,
Gtd. Notes
5.750%		02/01/25			3,150		1,638,746
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
2.700%		02/15/23	(a)		1,425		1,426,234


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (cont’d.)
2.900%		08/15/24	(a)		1,025	$	988,090
5.550%		03/15/26	(a)		50		52,144
5.875%		09/01/25	(a)		625		665,025
6.125%		01/01/31			400		428,196
6.625%		09/01/30	(a)		500		542,543
8.875%		07/15/30			25		29,465
Ovintiv, Inc.,
Gtd. Notes
6.500%		08/15/34			275		316,525
6.500%		02/01/38			225		250,894
6.625%		08/15/37			100		111,485
PBF Holding Co. LLC/PBF Finance Corp.,
Sr. Sec’d. Notes, 144A
9.250%		05/15/25	(a)		415		409,835
Precision Drilling Corp. (Canada),
Gtd. Notes
7.750%		12/15/23			525		485,260
Gtd. Notes, 144A
7.125%		01/15/26	(a)		1,225		1,069,084
Range Resources Corp.,
Gtd. Notes
4.875%		05/15/25			1,425		1,345,050
5.000%		03/15/23			85		83,302
9.250%		02/01/26	(a)		1,275		1,332,307
Seventy Seven Energy, Inc.,
Sr. Unsec’d. Notes
6.500%		07/15/22	^		275		3
Sunoco LP/Sunoco Finance Corp.,
Gtd. Notes
5.500%		02/15/26			850		874,675
5.875%		03/15/28			100		107,799
Gtd. Notes, 144A
4.500%		05/15/29			450		467,713
Transocean, Inc.,
Gtd. Notes, 144A
7.250%		11/01/25			1,875		943,004
7.500%		01/15/26			1,175		539,608
8.000%		02/01/27			825		395,841
WPX Energy, Inc.,
Sr. Unsec’d. Notes
5.250%		09/15/24	(a)		800		870,943
5.250%		10/15/27			1,000		1,059,688
5.750%		06/01/26	(a)		275		288,975
8.250%		08/01/23			325		369,868

							42,069,307

Packaging & Containers — 0.8%
ARD Finance SA (Luxembourg),
Sr. Sec’d. Notes, 144A, Cash coupon 6.500% or PIK 7.250%
6.500%		06/30/27	(a)		950		1,011,010
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
Sr. Sec’d. Notes, 144A
4.125%		08/15/26			375		391,451
Sr. Unsec’d. Notes, 144A
5.250%		08/15/27			825		865,486

SEE NOTES TO FINANCIAL STATEMENTS.

A134



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Packaging & Containers (cont’d.)
Graham Packaging Co., Inc.,
Gtd. Notes, 144A
7.125%		08/15/28			220	$	242,008
Intelligent Packaging Holdco Issuer LP (Canada),
Sr. Unsec’d. Notes, 144A, Cash coupon 9.000% or PIK 9.750%
9.000%		01/15/26			250		252,945
Owens-Brockway Glass Container, Inc.,
Gtd. Notes, 144A
6.375%		08/15/25			200		222,039
6.625%		05/13/27	(a)		725		785,579
TriMas Corp.,
Gtd. Notes, 144A
4.875%		10/15/25			337		345,425

							4,115,943

Pharmaceuticals — 2.4%
AdaptHealth LLC,
Gtd. Notes, 144A
6.125%		08/01/28			445		478,503
Sr. Unsec’d. Notes, 144A
4.625%		08/01/29			100		102,647
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
5.000%		01/30/28	(a)		1,350		1,390,294
5.000%		02/15/29			350		359,845
5.250%		01/30/30			275		288,222
5.250%		02/15/31			425		443,931
6.125%		04/15/25	(a)		2,615		2,694,302
6.250%		02/15/29	(a)		2,550		2,767,806
7.000%		01/15/28			775		850,378
7.250%		05/30/29			1,510		1,695,958
Cheplapharm Arzneimittel GmbH (Germany),
Sr. Sec’d. Notes, 144A
5.500%		01/15/28			200		207,743
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		06/30/28			631		525,012
Sec’d. Notes, 144A
9.500%		07/31/27	(a)		413		460,192
P&L Development LLC/PLD Finance Corp.,
Sr. Sec’d. Notes, 144A
7.750%		11/15/25			550		592,095

							12,856,928

Pipelines — 3.8%
Antero Midstream Partners LP/Antero Midstream Finance Corp.,
Gtd. Notes
5.375%		09/15/24			375		366,523
Gtd. Notes, 144A
5.750%		01/15/28	(a)		1,825		1,755,444
Blue Racer Midstream LLC/Blue Racer Finance Corp.,
Sr. Unsec’d. Notes, 144A
7.625%		12/15/25			225		239,491
Cheniere Energy, Inc.,
Sr. Sec’d. Notes, 144A
4.625%		10/15/28			2,450		2,580,691


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pipelines (cont’d.)
DCP Midstream Operating LP,
Gtd. Notes
5.625%		07/15/27			395	$	437,919
Gtd. Notes, 144A
6.450%		11/03/36			200		213,258
Energy Transfer Operating LP,
Jr. Sub. Notes, Series G
7.125%(ff)		–	(rr)		775		740,953
EQM Midstream Partners LP,
Sr. Unsec’d. Notes
4.750%		07/15/23			325		341,017
5.500%		07/15/28			50		54,364
Sr. Unsec’d. Notes, 144A
6.000%		07/01/25			275		300,925
6.500%		07/01/27			810		911,392
Global Partners LP/GLP Finance Corp.,
Gtd. Notes
7.000%		08/01/27			260		278,452
Gtd. Notes, 144A
6.875%		01/15/29			300		325,112
Hess Midstream Operations LP,
Gtd. Notes, 144A
5.625%		02/15/26			75		78,235
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
7.768%		12/15/37			675		912,533
Rattler Midstream LP,
Gtd. Notes, 144A
5.625%		07/15/25			255		269,352
Rockies Express Pipeline LLC,
Sr. Unsec’d. Notes, 144A
6.875%		04/15/40	(a)		2,269		2,488,082
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,
Gtd. Notes, 144A
5.500%		09/15/24			875		890,367
5.500%		01/15/28	(a)		1,800		1,838,012
7.500%		10/01/25			175		188,688
Sr. Unsec’d. Notes, 144A
6.000%		12/31/30			300		308,897
Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
Gtd. Notes
5.000%		01/15/28			300		316,477
5.375%		02/01/27			275		288,809
5.500%		03/01/30			655		710,545
5.875%		04/15/26	(a)		375		393,916
Gtd. Notes, 144A
4.875%		02/01/31	(a)		450		489,724
Western Midstream Operating LP,
Sr. Unsec’d. Notes
3.950%		06/01/25			575		588,484
4.100%(cc)		02/01/25			650		667,185
5.050%(cc)		02/01/30	(a)		850		947,765
5.450%		04/01/44			75		75,772

							19,998,384

SEE NOTES TO FINANCIAL STATEMENTS.

A135



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Real Estate — 1.2%
Five Point Operating Co. LP/Five Point Capital Corp.,
Gtd. Notes, 144A
7.875%		11/15/25	(a)		1,675	$	1,772,305
Greystar Real Estate Partners LLC,
Sr. Sec’d. Notes, 144A
5.750%		12/01/25			1,825		1,876,507
Howard Hughes Corp. (The),
Gtd. Notes, 144A
5.375%		03/15/25			100		103,076
5.375%		08/01/28			720		775,305
Hunt Cos., Inc.,
Sr. Sec’d. Notes, 144A
6.250%		02/15/26			1,825		1,868,074

							6,395,267

Real Estate Investment Trusts (REITs) — 2.6%
Diversified Healthcare Trust,
Gtd. Notes
9.750%		06/15/25			1,775		2,012,192
ESH Hospitality, Inc.,
Gtd. Notes, 144A
4.625%		10/01/27			500		513,474
5.250%		05/01/25			1,275		1,306,446
Global Net Lease, Inc./Global Net Lease Operating Partnership LP,
Gtd. Notes, 144A
3.750%		12/15/27			400		411,221
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			505		579,808
5.750%		06/01/28			275		325,457
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
Gtd. Notes
4.500%		01/15/28	(a)		1,175		1,251,443
Gtd. Notes, 144A
4.625%		06/15/25			185		198,059
MPT Operating Partnership LP/MPT Finance Corp.,
Gtd. Notes
3.500%		03/15/31	(a)		700		722,854
5.000%		10/15/27			1,075		1,143,400
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer,
Sr. Sec’d. Notes, 144A
5.875%		10/01/28	(a)		1,275		1,361,883
7.500%		06/01/25	(a)		1,810		1,959,734
RHP Hotel Properties LP/RHP Finance Corp.,
Gtd. Notes
5.000%		04/15/23			75		75,064
Sabra Health Care LP,
Gtd. Notes
5.125%		08/15/26			400		446,986
VICI Properties LP/VICI Note Co., Inc.,
Gtd. Notes, 144A
4.625%		12/01/29	(a)		1,475		1,585,218

							13,893,239


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Retail — 3.4%
1011778 BC ULC/New Red Finance, Inc. (Canada),
Sec’d. Notes, 144A
4.000%		10/15/30	(a)		1,800	$	1,824,014
Brinker International, Inc.,
Gtd. Notes, 144A
5.000%		10/01/24			425		441,993
Sr. Unsec’d. Notes
3.875%		05/15/23	(a)		850		850,176
Caleres, Inc.,
Gtd. Notes
6.250%		08/15/23			100		100,260
eG Global Finance PLC (United Kingdom),
Sr. Sec’d. Notes, 144A
8.500%		10/30/25	(a)		1,075		1,143,205
Ferrellgas LP/Ferrellgas Finance Corp.,
Gtd. Notes
6.750%		06/15/23			225		217,698
Sr. Unsec’d. Notes
6.500%		05/01/21			600		579,881
6.750%		01/15/22			975		943,595
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes
8.625%		06/15/20	(d)		2,100		547,006
8.625%		06/15/20	(d)		2,875		715,156
Golden Nugget, Inc.,
Gtd. Notes, 144A
8.750%		10/01/25	(a)		125		129,069
Sr. Unsec’d. Notes, 144A
6.750%		10/15/24	(a)		1,750		1,735,133
LBM Acquisition LLC,
Gtd. Notes, 144A
6.250%		01/15/29			175		181,492
PetSmart, Inc.,
Gtd. Notes, 144A
7.125%		03/15/23			950		950,035
Sr. Sec’d. Notes, 144A
5.875%		06/01/25	(a)		1,037		1,064,016
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		2,600		2,682,797
Suburban Propane Partners LP/Suburban Energy Finance Corp.,
Sr. Unsec’d. Notes
5.500%		06/01/24	(a)		1,600		1,628,480
5.750%		03/01/25			175		178,740
5.875%		03/01/27			350		365,327
Superior Plus LP/Superior General Partner, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.000%		07/15/26			1,075		1,150,575
White Cap Buyer LLC,
Sr. Unsec’d. Notes, 144A
6.875%		10/15/28			400		426,669

							17,855,317

Semiconductors — 0.3%
Microchip Technology, Inc.,
Gtd. Notes, 144A
4.250%		09/01/25	(a)		1,470		1,553,821

SEE NOTES TO FINANCIAL STATEMENTS.

A136



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Software — 0.8%
Black Knight InfoServ LLC,
Gtd. Notes, 144A
3.625%		09/01/28	(a)		1,020	$	1,043,647
Boxer Parent Co., Inc.,
Sr. Sec’d. Notes, 144A
7.125%		10/02/25	(a)		325		352,643
BY Crown Parent LLC,
Gtd. Notes, 144A
7.375%		10/15/24			1,555		1,582,963
Dun & Bradstreet Corp. (The),
Sr. Sec’d. Notes, 144A
6.875%		08/15/26			1,019		1,095,425
Rackspace Technology Global, Inc.,
Gtd. Notes, 144A
5.375%		12/01/28			275		288,022

							4,362,700

Telecommunications — 7.0%
C&W Senior Financing DAC (Ireland),
Sr. Unsec’d. Notes, 144A
6.875%		09/15/27	(a)		775		837,089
CenturyLink, Inc.,
Sr. Unsec’d. Notes, 144A
4.500%		01/15/29			875		890,226
Sr. Unsec’d. Notes, Series P
7.600%		09/15/39	(a)		510		623,475
Sr. Unsec’d. Notes, Series U
7.650%		03/15/42			400		483,039
CommScope Technologies LLC,
Gtd. Notes, 144A
6.000%		06/15/25	(a)		1,971		2,015,141
CommScope, Inc.,
Gtd. Notes, 144A
7.125%		07/01/28			560		596,040
Consolidated Communications, Inc.,
Sr. Sec’d. Notes, 144A
6.500%		10/01/28	(a)		350		375,396
Digicel Group 0.5 Ltd. (Jamaica),
Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% or PIK 10.000%
10.000%		04/01/24			1,698		1,497,450
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% or PIK
8.000%
8.000%		04/01/25			628		332,223
Digicel Holdings Bermuda Ltd./Digicel International Finance Ltd. (Jamaica),
Gtd. Notes, 144A
8.000%		12/31/26	(a)		363		302,814
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000%
13.000%		12/31/25			1,465		1,486,214
Sr. Sec’d. Notes, 144A
8.750%		05/25/24	(a)		1,050		1,106,579
8.750%		05/25/24			1,058		1,114,022
Digicel Ltd. (Jamaica),
Gtd. Notes, 144A
6.750%		03/01/23			4,710		3,648,772
Embarq Corp.,
Sr. Unsec’d. Notes
7.995%		06/01/36			1,995		2,459,605


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Telecommunications (cont’d.)
Frontier Communications Corp.,
Sec’d. Notes, 144A
6.750%		05/01/29			300	$	320,930
Sr. Sec’d. Notes, 144A
5.000%		05/01/28			525		546,852
Intelsat Jackson Holdings SA (Luxembourg),
Gtd. Notes (original cost $1,340,588; purchased 05/01/19 - 03/04/20)(f)
5.500%		08/01/23	(d)		1,595		1,080,459
Gtd. Notes, 144A (original cost $3,960,343; purchased 12/07/17 - 09/24/19)(f)
9.750%		07/15/25	(d)		3,955		2,843,881
Intelsat Luxembourg SA (Luxembourg),
Gtd. Notes (original cost $1,035,763; purchased 11/14/19 -02/07/20)(f)
8.125%		06/01/23	(d)		1,690		78,528
Intrado Corp.,
Gtd. Notes, 144A
8.500%		10/15/25	(a)		4,009		3,879,523
Level 3 Financing, Inc.,
Gtd. Notes, 144A
4.625%		09/15/27			475		494,577
Northwestern Bell Telephone,
Sr. Unsec’d. Notes
7.750%		05/01/30			100		123,128
Sprint Capital Corp.,
Gtd. Notes
6.875%		11/15/28			430		567,179
8.750%		03/15/32	(a)		1,266		2,004,154
Sprint Communications, Inc.,
Gtd. Notes
6.000%		11/15/22			750		811,263
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25			1,385		1,657,507
7.625%		03/01/26			500		620,608
7.875%		09/15/23			1,175		1,359,682
T-Mobile USA, Inc.,
Gtd. Notes
6.500%		01/15/26			120		124,245
Windstream Escrow LLC/Windstream Escrow Finance Corp.,
Sr. Sec’d. Notes, 144A
7.750%		08/15/28	(a)		1,500		1,505,306
Zayo Group Holdings, Inc.,
Sr. Sec’d. Notes, 144A
4.000%		03/01/27			115		115,591
Sr. Unsec’d. Notes, 144A
6.125%		03/01/28	(a)		1,125		1,192,210

							37,093,708

Transportation — 0.6%
XPO Logistics, Inc.,
Gtd. Notes, 144A
6.250%		05/01/25			170		182,821
6.750%		08/15/24			2,650		2,820,552

							3,003,373

TOTAL CORPORATE BONDS
(cost $459,628,276)							470,312,599

SEE NOTES TO FINANCIAL STATEMENTS.

A137



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED
SECURITIES — 0.0%

Adjustable Rate Mortgage Trust,

Series 2005-07, Class 1A1

2.733%(cc)

10/25/35

3,881

Alternative Loan Trust,

Series 2005-43, Class 4A3

2.712%(cc)

10/25/35

1,882

Series 2006-HY13, Class 4A1

3.674%(cc)

02/25/37

2,471

Series 2006-OA09, Class 2A1A, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)

0.572%(c)

07/20/46

2,569

American Home Mortgage Assets Trust,

Series 2006-04, Class 1A12, 1 Month LIBOR + 0.210% (Cap N/A, Floor

0.210%)

0.358%(c)

10/25/46

13,089

American Home Mortgage Investment Trust,

Series 2005-02, Class 4A1, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%)

1.757%(c)

09/25/45

—

(r)

455

Banc of America Funding Trust,

Series 2006-B, Class 2A1

3.481%(cc)

03/20/36

4,448

Citigroup Mortgage Loan Trust,

Series 2007-10, Class 22AA

3.361%(cc)

09/25/37

10,097

HarborView Mortgage Loan Trust,

Series 2006-05, Class 2A1A, 1 Month LIBOR + 0.360% (Cap N/A, Floor

0.360%)

0.512%(c)

07/19/46

3,002

IndyMac INDX Mortgage Loan Trust,

Series 2006-AR12, Class A1, 1 Month LIBOR + 0.190% (Cap N/A, Floor

0.190%)

0.338%(c)

09/25/46

3,989

JPMorgan Mortgage Trust,

Series 2007-S03, Class 1A96

6.000%

08/25/37

8,843

MASTR Adjustable Rate Mortgages Trust,

Series 2006-OA01, Class 1A1, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)

0.358%(c)

04/25/46

2,187

RALI Trust,

Series 2006-QA02, Class 3A1

5.551%(cc)

02/25/36

11,147

Residential Asset Securitization Trust,

Series 2007-A05, Class 2A3

6.000%

05/25/37

2,547

WaMu Mortgage Pass-Through Certificates Trust,

Series 2007-HY01, Class 2A3

3.573%(cc)

02/25/37

2,384

Series 2007-HY01,
Class 4A1

3.534%(cc)

02/25/37

3,099

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $70,576)

76,090


	Shares		Value
COMMON STOCKS — 0.6%
Chemicals — 0.0%
Hexion Holdings Corp. (Class B Stock)*		23,260	$	284,935

Electric Utilities — 0.4%
GenOn Energy Holdings, Inc. (Class A Stock)*^		11,836		1,657,040
Keycon Power Holdings LLC*^		2,150		333,250

				1,990,290

Independent Power & Renewable Electricity Producers — 0.2%
Vistra Corp.		44,042		865,866

Oil, Gas & Consumable Fuels — 0.0%
Frontera Energy Corp. (Colombia)		7,600		19,608

TOTAL COMMON STOCKS (cost $1,935,968)				3,160,699


PREFERRED STOCKS — 0.1%
Capital Markets — 0.1%
Goldman Sachs Group, Inc. (The),
Series K, 6.375%, Maturing
12/31/49(a)		11,850		346,257

Construction Materials — 0.0%
New Millennium Homes LLC, Maturing
01/01/49^		408		4,085

Media — 0.0%
Adelphia Communications Corp.^		700		1

TOTAL PREFERRED STOCKS (cost $296,917)				350,343

	Units

*WARRANTS — 0.0%**
Construction & Engineering — 0.0%
CEC Brands LLC, expiring 02/15/22^		41,205		30,904

Media — 0.0%
Mood Media Corp., expiring 07/31/25^		341,746		35
Mood Media Corp., expiring 07/31/25^		341,746		34
Mood Media Corp., expiring 07/31/25^		341,746		34

				103

TOTAL WARRANTS (cost $1)				31,007

TOTAL LONG-TERM INVESTMENTS (cost $493,000,303)				504,840,473

SEE NOTES TO FINANCIAL STATEMENTS.

A138



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Shares		Value

SHORT-TERM INVESTMENTS — 27.6%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		15,920,182	$	15,920,182
PGIM Institutional Money Market Fund (cost $130,321,020; includes $130,297,672 of cash collateral for securities on loan)(b)(w)		130,406,356		130,341,153

TOTAL SHORT-TERM INVESTMENTS (cost $146,241,202)				146,261,335

TOTAL INVESTMENTS — 123.0% (cost $639,241,505)				651,101,808
Liabilities in excess of other assets(z) — (23.0)%				(121,867,097	)

NET ASSETS — 100.0%			$	529,234,711

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

*	Non-income producing security.

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

^	Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $2,418,951 and 0.5% 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 $127,564,527; cash collateral of $130,297,672 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020.

(cc)

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

(f)

Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $6,336,694. The aggregate value of $4,002,868 is 0.8% of net assets.

(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.

(p)	Represents a security with a delayed settlement and therefore the interest rate is not available until settlement which is after the period end.

(r)	Principal or notional amount is less than $500 par.

(rr)	Perpetual security with no stated maturity 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:

Futures contracts outstanding at December 31, 2020:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
93		2 Year U.S. Treasury Notes		Mar. 2021	$	20,550,820	$	21,860
144		5 Year U.S. Treasury Notes		Mar. 2021		18,167,625		63,526
39		20 Year U.S. Treasury Bonds		Mar. 2021		6,754,312		(52,779	)

								32,607

Short Positions:
51		10 Year U.S. Treasury Notes		Mar. 2021		7,041,985		(12,000	)
11		30 Year U.S. Ultra Treasury Bonds		Mar. 2021		2,349,188		32,565

								20,565

							$	53,172

Credit default swap agreements outstanding at December 31, 2020:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2020			Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX.NA.HY.35.V1		12/20/25		5.000%(Q)		11,175	$	(651,088	)	$	(1,060,795	)	$	(409,707	)

SEE NOTES TO FINANCIAL STATEMENTS.

A139



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

(1)

(2)

(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)

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


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets, Inc.	$	1,273,000	$	—

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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	5,078,205	$	—
Bank Loans		—		25,321,745		393,315
Convertible Bond		—		116,470		—
Corporate Bonds		—		470,312,346		253
Residential Mortgage-Backed Securities		—		76,090		—
Common Stocks		1,170,409		—		1,990,290
Preferred Stocks		346,257		—		4,086
Warrants		—		—		31,007
Affiliated Mutual Funds		146,261,335		—		—

Total	$	147,778,001	$	500,904,856	$	2,418,951

SEE NOTES TO FINANCIAL STATEMENTS.

A140



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1			Level 2			Level 3
Other Financial Instruments*
Assets
Futures Contracts	$	117,951		$	—		$	—

Liabilities
Futures Contracts	$	(64,779	)	$	—		$	—
Centrally Cleared Credit Default Swap Agreement		—			(409,707	)		—

Total	$	(64,779	)	$	(409,707	)	$	—

The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:


	Bank Loans			Corporate Bonds		Common Stocks			Preferred Stocks			Warrants
Balance as of 12/31/19	$	4,999,235		$	253	$	2,433,876		$	7,762		$	5,508
Realized gain (loss)		9			—		(166,391	)		—			(6,838	)
Change in unrealized appreciation (depreciation)		16,238			—		(241,235	)		(3,676	)		32,341
Purchases/Exchanges/Issuances		1,064,750			—		—			—			1
Sales/Paydowns		(689,253	)		—		(680,960	)		—			(5	)
Accrued discount/premium		1,571			—		—			—			—
Transfers into Level 3		—			—		645,000			—			—
Transfers out of Level 3		(4,999,235	)		—		—			—			—

Balance as of 12/31/20	$	393,315		$	253	$	1,990,290		$	4,086		$	31,007

Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end	$	16,238		$	—	$	(401,049	)	$	(3,676	)	$	31,006

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:


Level 3 Securities	Fair Value as of December 31, 2020		Valuation Methodology	Unobservable Inputs
Bank Loans	$	393,315	Market Approach	Single Broker Indicative Quote
Corporate Bonds		253	Market Approach	Estimated Future Distributions
Common Stocks		333,250	Income Approach	Discounted Cash Flow
Common Stocks		1,657,040	Market Approach	Single Broker Indicative Quote
Preferred Stocks		1	Market Approach	Estimated Future Distributions
Preferred Stocks		4,085	Income Approach	Discounted Cash Flow
Warrants		30,904	Market Approach	Single Broker Indicative Quote
Warrants		103	Market Approach	Estimated Future Value

	$	2,418,951

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 are as follows:


Investments in Securities	Amount Transferred		Level Transfer		Logic
Bank Loans	$	4,999,235		L3 to L2	Single Broker Indicative Quote to Multiple Broker Quotes
Common Stocks	$	645,000		L2 to L3	Vendor Priced to Discounted Cash Flow

SEE NOTES TO FINANCIAL STATEMENTS.

A141



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Affiliated Mutual Funds (24.6% represents investments purchased with collateral from securities on loan)	27.6	%
Oil & Gas	9.0
Media	7.9
Telecommunications	7.3
Entertainment	5.0
Home Builders	4.7
Chemicals	4.5
Electric	3.9
Pipelines	3.8
Commercial Services	3.7
Retail	3.6
Healthcare-Services	3.3
Pharmaceuticals	2.7
Real Estate Investment Trusts (REITs)	2.6
Mining	2.6
Lodging	2.4
Building Materials	2.3
Auto Manufacturers	2.3
Miscellaneous Manufacturing	2.1
Computers	2.0
Diversified Financial Services	2.0
Foods	1.9
Auto Parts & Equipment	1.8
Aerospace & Defense	1.8
Software	1.5
Real Estate	1.2
Collateralized Loan Obligations	1.0
Gas	0.9
Packaging & Containers	0.8


Advertising	0.7	%
Engineering & Construction	0.6
Machinery-Diversified	0.6
Transportation	0.6
Distribution/Wholesale	0.5
Agriculture	0.4
Electronics	0.4
Electric Utilities	0.4
Leisure Time	0.3
Banks	0.3
Semiconductors	0.3
Internet	0.3
Apparel	0.3
Electrical Components & Equipment	0.2
Iron/Steel	0.2
Household Products/Wares	0.2
Independent Power & Renewable Electricity Producers	0.2
Energy-Alternate Sources	0.1
Capital Markets	0.1
Office/Business Equipment	0.1
Residential Mortgage-Backed Securities	0.0	*
Construction & Engineering	0.0	*
Oil, Gas & Consumable Fuels	0.0	*
Construction Materials	0.0	*

	123.0
Liabilities in excess of other assets	(23.0	)

	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 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 December 31, 2020 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	$	409,707	*
Equity contracts	Unaffiliated investments		31,007		—		—
Interest rate contracts	Due from/to broker-variation margin futures		117,951	*	Due from/to broker-variation margin futures		64,779	*

		$	148,958			$	474,486

*	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.

A142



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Warrants(1)			Futures		Swaps
Credit contracts	$	—		$	—	$	3,955,919
Equity contracts		(6,838	)		—		—
Interest rate contracts		—			2,330,794		—

Total	$	(6,838	)	$	2,330,794	$	3,955,919

(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	Warrants(2)		Futures		Swaps
Credit contracts	$	—	$	—	$	444,978
Equity contracts		32,341		—		—
Interest rate contracts		—		134,486		—

Total	$	32,341	$	134,486	$	444,978

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

For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:

Futures

Contracts—

Long

Positions(1)

Futures

Contracts—

Short

Positions(1)

$45,262,732

$2,996,991

Credit Default

Swap Agreements—

Buy Protection(1)

$18,666,950

(1)	Notional Amount in USD.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

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

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	$	127,564,527	$	(127,564,527	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A143



		*HIGH YIELD BOND PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $127,564,527:
Unaffiliated investments (cost $493,000,303)	$	504,840,473
Affiliated investments (cost $146,241,202)		146,261,335
Cash		86,662
Dividends and interest receivable		7,797,813
Deposit with broker for centrally cleared/exchange-traded derivatives		1,273,000
Receivable for investments sold		1,033,060
Receivable for Portfolio shares sold		185,862
Due from broker-variation margin futures		8,507
Tax reclaim receivable		4,206
Prepaid expenses		6,023

Total Assets		661,496,941

LIABILITIES
Payable to broker for collateral for securities on loan		130,297,672
Payable for investments purchased		1,278,727
Accrued expenses and other liabilities		389,644
Management fee payable		229,020
Payable for Portfolio shares purchased		41,408
Due to broker-variation margin swaps		19,154
Payable to affiliate		4,206
Trustees’ fees payable		1,419
Affiliated transfer agent fee payable		980

Total Liabilities		132,262,230

NET ASSETS	$	529,234,711

Net assets were comprised of:
Partners’ Equity	$	529,234,711

Net asset value and redemption price per share, $529,234,711 / 85,613,264 outstanding shares of beneficial interest	$	6.18

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	33,022,786
Income from securities lending, net (including affiliated income of $245,441)		261,874
Affiliated dividend income		91,573
Unaffiliated dividend income (net of $468 foreign withholding tax, of which $110 is reimbursable by an affiliate)		46,774

Total income		33,423,007

EXPENSES
Management fee		2,732,522
Shareholders’ reports		107,751
Custodian and accounting fees		89,636
Audit fee		46,993
Legal fees and expenses		26,189
Trustees’ fees		15,951
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		19,896

Total expenses		3,049,620
Less: Fee waiver and/or expense reimbursement		(217,727	)

Net expenses		2,831,893

NET INVESTMENT INCOME (LOSS)		30,591,114

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(119,710))		(3,566,712	)
Futures transactions		2,330,794
Swap agreements transactions		3,955,919

		2,720,001

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $1,420)		738,032
Futures		134,486
Swap agreements		444,978

		1,317,496

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		4,037,497

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	34,628,611

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	30,591,114		$	31,788,697
Net realized gain (loss) on investment and foreign currency transactions		2,720,001			8,036,970
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		1,317,496			35,874,540

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		34,628,611			75,700,207

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [3,153,074 and 2,682,266 shares, respectively]		17,957,341			14,608,943
Portfolio shares purchased [8,052,712 and 7,713,371 shares, respectively]		(45,352,928	)		(41,998,343	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(27,395,587	)		(27,389,400	)

TOTAL INCREASE (DECREASE)		7,233,024			48,310,807
NET ASSETS:
Beginning of year		522,001,687			473,690,880

End of year	$	529,234,711		$	522,001,687

SEE NOTES TO FINANCIAL STATEMENTS.

A144



		*JENNISON 20/20 FOCUS PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 3.2%
Airbus SE (France)*		15,587	$	1,712,752
Raytheon Technologies Corp.		72,187		5,162,092

				6,874,844

Automobiles — 5.8%
General Motors Co.		94,183		3,921,780
Tesla, Inc.*(a)		12,222		8,624,699

				12,546,479

Banks — 4.1%
JPMorgan Chase & Co.		36,642		4,656,099
PNC Financial Services Group, Inc. (The)		29,368		4,375,832

				9,031,931

Building Products — 1.3%
Johnson Controls International PLC		59,964		2,793,723

Capital Markets — 1.8%
Goldman Sachs Group, Inc. (The)		14,861		3,918,994

Chemicals — 2.4%
Linde PLC (United Kingdom)		19,737		5,200,897

Entertainment — 3.4%
Netflix, Inc.*		9,192		4,970,390
Spotify Technology SA*		7,634		2,402,115

				7,372,505

Food & Staples Retailing — 2.0%
Walmart, Inc.		29,712		4,282,985

Food Products — 1.5%
Mondelez International, Inc. (Class A Stock)		56,709		3,315,775

Health Care Providers & Services — 1.0%
Cigna Corp.		10,677		2,222,738

Insurance — 3.5%
Chubb Ltd.		24,188		3,723,017
MetLife, Inc.		80,935		3,799,898

				7,522,915

Interactive Media & Services — 10.6%
Alphabet, Inc. (Class A Stock)*		5,907		10,352,845
Facebook, Inc. (Class A Stock)*		26,170		7,148,597
Match Group, Inc.*		36,173		5,468,996

				22,970,438

Internet & Direct Marketing Retail — 6.8%
Amazon.com, Inc.*		3,049		9,930,380
Farfetch Ltd. (United Kingdom) (Class A Stock)*		28,533		1,820,691
MercadoLibre, Inc. (Argentina)*		1,806		3,025,447

				14,776,518

IT Services — 14.5%
Adyen NV (Netherlands), 144A*		2,922		6,817,794
PayPal Holdings, Inc.*		29,980		7,021,316
Shopify, Inc. (Canada) (Class A Stock)*		6,099		6,903,763


COMMON STOCKS (continued)	Shares		Value
IT Services (cont’d.)
Snowflake, Inc. (Class A Stock)*(a)		7,437	$	2,092,772
Square, Inc. (Class A Stock)*		16,660		3,625,882
Twilio, Inc. (Class A Stock)*		15,217		5,150,954

				31,612,481

Leisure Products — 0.7%
Peloton Interactive, Inc. (Class A Stock)*		10,444		1,584,564

Multi-Utilities — 1.7%
Dominion Energy, Inc.		48,639		3,657,653

Oil, Gas & Consumable Fuels — 2.0%
Chevron Corp.		51,241		4,327,302

Pharmaceuticals — 2.8%
AstraZeneca PLC (United Kingdom), ADR(a)		50,076		2,503,299
Eli Lilly & Co.		21,110		3,564,213

				6,067,512

Road & Rail — 2.4%
Union Pacific Corp.		25,265		5,260,678

Semiconductors & Semiconductor Equipment — 5.5%
NVIDIA Corp.		10,456		5,460,123
Texas Instruments, Inc.		40,072		6,577,018

				12,037,141

Software — 6.8%
Adobe, Inc.*		13,328		6,665,599
Microsoft Corp.		20,365		4,529,583
RingCentral, Inc. (Class A Stock)*		9,512		3,604,763

				14,799,945

Specialty Retail — 3.5%
Lowe’s Cos., Inc.		26,607		4,270,690
Ross Stores, Inc.		28,050		3,444,820

				7,715,510

Technology Hardware, Storage & Peripherals — 5.1%
Apple, Inc.		82,866		10,995,489

Textiles, Apparel & Luxury Goods — 5.2%
LVMH Moet Hennessy Louis Vuitton SE (France)		7,772		4,851,826
NIKE, Inc. (Class B Stock)		46,300		6,550,061

				11,401,887

TOTAL LONG-TERM INVESTMENTS (cost $129,016,209)				212,290,904


SHORT-TERM INVESTMENTS — 7.9%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		3,948,214		3,948,214

SEE NOTES TO FINANCIAL STATEMENTS.

A145



		*JENNISON 20/20 FOCUS PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Shares		Value
AFFILIATED MUTUAL FUNDS (continued)
PGIM Institutional Money Market Fund (cost $13,233,257; includes $13,232,684 of cash collateral for securities on loan)(b)(w)		13,239,886	$	13,233,266

TOTAL SHORT-TERM INVESTMENTS (cost $17,181,471)				17,181,480

TOTAL INVESTMENTS — 105.5% (cost $146,197,680)				229,472,384
Liabilities in excess of other assets — (5.5)%				(12,021,884	)

NET ASSETS — 100.0%			$	217,450,500

See the Glossary for a list of the abbreviation(s) used in the annual 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 $12,953,499; cash collateral of $13,232,684 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	5,162,092	$	1,712,752	$	—
Automobiles		12,546,479		—		—
Banks		9,031,931		—		—
Building Products		2,793,723		—		—
Capital Markets		3,918,994		—		—
Chemicals		5,200,897		—		—
Entertainment		7,372,505		—		—
Food & Staples Retailing		4,282,985		—		—
Food Products		3,315,775		—		—
Health Care Providers & Services		2,222,738		—		—
Insurance		7,522,915		—		—
Interactive Media & Services		22,970,438		—		—
Internet & Direct Marketing Retail.		14,776,518		—		—
IT Services		24,794,687		6,817,794		—
Leisure Products		1,584,564		—		—
Multi-Utilities		3,657,653		—		—
Oil, Gas & Consumable Fuels		4,327,302		—		—
Pharmaceuticals		6,067,512		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A146



		*JENNISON 20/20 FOCUS PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Road & Rail	$	5,260,678	$	—	$	—
Semiconductors & Semiconductor Equipment		12,037,141		—		—
Software		14,799,945		—		—
Specialty Retail		7,715,510		—		—
Technology Hardware, Storage & Peripherals		10,995,489		—		—
Textiles, Apparel & Luxury Goods		6,550,061		4,851,826		—
Affiliated Mutual Funds		17,181,480		—		—

Total	$	216,090,012	$	13,382,372	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


IT Services	14.5	%
Interactive Media & Services	10.6
Affiliated Mutual Funds (6.1% represents investments purchased with collateral from securities on loan)	7.9
Software	6.8
Internet & Direct Marketing Retail	6.8
Automobiles	5.8
Semiconductors & Semiconductor Equipment	5.5
Textiles, Apparel & Luxury Goods	5.2
Technology Hardware, Storage & Peripherals	5.1
Banks	4.1
Specialty Retail	3.5
Insurance	3.5
Entertainment	3.4
Aerospace & Defense	3.2
Pharmaceuticals	2.8


Road & Rail	2.4	%
Chemicals	2.4
Oil, Gas & Consumable Fuels	2.0
Food & Staples Retailing	2.0
Capital Markets	1.8
Multi-Utilities	1.7
Food Products	1.5
Building Products	1.3
Health Care Providers & Services	1.0
Leisure Products	0.7

	105.5
Liabilities in excess of other assets	(5.5	)

	100.0	%

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

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	$	12,953,499	$	(12,953,499	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A147



		*JENNISON 20/20 FOCUS PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $12,953,499:
Unaffiliated investments (cost $129,016,209)	$	212,290,904
Affiliated investments (cost $17,181,471)		17,181,480
Receivable for investments sold		2,558,412
Receivable for Portfolio shares sold		88,707
Dividends receivable		68,373
Tax reclaim receivable		53,744
Prepaid expenses		3,646

Total Assets		232,245,266

LIABILITIES
Payable to broker for collateral for securities on loan		13,232,684
Payable for investments purchased		906,842
Payable to custodian		226,267
Payable for Portfolio shares purchased		142,114
Management fee payable		136,847
Accrued expenses and other liabilities		82,343
Distribution fee payable		27,558
Payable to affiliate		21,513
Administration fee payable		16,537
Trustees’ fees payable		1,081
Affiliated transfer agent fee payable		980

Total Liabilities		14,794,766

NET ASSETS	$	217,450,500

Net assets were comprised of:
Partners’ Equity.	$	217,450,500

Class I:
Net asset value and redemption price per share, $86,695,849 / 1,739,700 outstanding shares of beneficial interest	$	49.83

Class II:
Net asset value and redemption price per share, $130,754,651 / 2,771,973 outstanding shares of beneficial interest	$	47.17

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $10,944 foreign withholding tax)	$	2,342,859
Affiliated dividend income		29,420
Income from securities lending, net (including affiliated income of $15,720)		16,476

Total income		2,388,755

EXPENSES
Management fee		1,431,524
Distribution fee—Class II		293,579
Administration fee—Class II		176,148
Custodian and accounting fees		95,763
Legal fees and expenses		24,984
Audit fee		24,792
Shareholders’ reports		19,189
Trustees’ fees		12,131
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		18,524

Total expenses		2,107,318

NET INVESTMENT INCOME (LOSS)		281,437

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(551))		32,574,818
Foreign currency transactions		4,295

		32,579,113

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(145))		20,082,557
Foreign currencies		917

		20,083,474

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		52,662,587

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	52,944,024

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	281,437		$	750,998
Net realized gain (loss) on investment and foreign currency transactions		32,579,113			17,370,193
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		20,083,474			28,286,096

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		52,944,024			46,407,287

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		10,553,886			6,953,016
Portfolio shares purchased		(39,093,305	)		(37,881,197	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(28,539,419	)		(30,928,181	)

TOTAL INCREASE (DECREASE)		24,404,605			15,479,106
NET ASSETS:
Beginning of year		193,045,895			177,566,789

End of year	$	217,450,500		$	193,045,895

SEE NOTES TO FINANCIAL STATEMENTS.

A148



		*JENNISON PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 99.9%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 1.0%
Safran SA (France)*		228,925	$	32,576,313

Automobiles — 6.5%
Tesla, Inc.*(a)		309,908		218,692,778

Biotechnology — 1.1%
Sarepta Therapeutics, Inc.*(a)		58,048		9,896,603
Vertex Pharmaceuticals, Inc.*		107,670		25,446,728

				35,343,331

Capital Markets — 0.9%
S&P Global, Inc.		92,905		30,540,661

Entertainment — 4.7%
Netflix, Inc.*		198,472		107,319,764
Spotify Technology SA*		155,992		49,084,443

				156,404,207

Food & Staples Retailing — 1.4%
Costco Wholesale Corp.		120,094		45,249,017

Health Care Equipment & Supplies — 1.7%
Danaher Corp.		77,296		17,170,533
DexCom, Inc.*		61,576		22,765,879
Intuitive Surgical, Inc.*		21,375		17,486,888

				57,423,300

Health Care Providers & Services — 0.8%
Guardant Health, Inc.*		81,225		10,468,278
Humana, Inc.		37,619		15,433,947

				25,902,225

Health Care Technology — 0.9%
Teladoc Health, Inc.*(a)		142,938		28,581,883

Hotels, Restaurants & Leisure — 1.3%
Airbnb, Inc. (Class A Stock)*		15,668		2,300,062
Chipotle Mexican Grill, Inc.*		30,626		42,469,381

				44,769,443

Interactive Media & Services — 10.1%
Alphabet, Inc. (Class A Stock)*		33,943		59,489,859
Alphabet, Inc. (Class C Stock)*		33,810		59,231,063
Facebook, Inc. (Class A Stock)*		497,915		136,010,461
Match Group, Inc.*		488,835		73,906,964
Tencent Holdings Ltd. (China)		127,617		9,270,050

				337,908,397

Internet & Direct Marketing Retail — 8.2%
Amazon.com, Inc.*		79,341		258,408,083
Farfetch Ltd. (United Kingdom) (Class A Stock)*		260,352		16,613,061

				275,021,144

IT Services — 17.8%
Adyen NV (Netherlands), 144A*		34,888		81,402,870
Mastercard, Inc. (Class A Stock)		164,732		58,799,440
PayPal Holdings, Inc.*		404,096		94,639,283
Shopify, Inc. (Canada) (Class A Stock)*		108,213		122,491,705
Snowflake, Inc. (Class A Stock)*(a)		83,293		23,438,650
Square, Inc. (Class A Stock)*		265,225		57,723,569


COMMON STOCKS (continued)	Shares		Value
IT Services (cont’d.)
Twilio, Inc. (Class A Stock)*		199,860	$	67,652,610
Visa, Inc. (Class A Stock)(a)		418,268		91,487,760

				597,635,887

Leisure Products — 1.4%
Peloton Interactive, Inc. (Class A Stock)*		303,438		46,037,613

Multiline Retail — 0.1%
Target Corp.		17,126		3,023,253

Personal Products — 1.5%
Estee Lauder Cos., Inc. (The) (Class A Stock)		191,269		50,913,895

Road & Rail — 3.1%
Uber Technologies, Inc.*		1,298,609		66,229,059
Union Pacific Corp.		184,837		38,486,760

				104,715,819

Semiconductors & Semiconductor Equipment — 4.2%
NVIDIA Corp.		187,609		97,969,420
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan), ADR		377,858		41,201,636

				139,171,056

Software — 16.5%
Adobe, Inc.*		174,702		87,371,964
Atlassian Corp. PLC (Class A Stock)*		151,132		35,345,241
Coupa Software, Inc.*		104,044		35,261,552
Crowdstrike Holdings, Inc. (Class A Stock)*		206,930		43,831,913
Microsoft Corp.		582,979		129,666,189
RingCentral, Inc. (Class A Stock)*		54,297		20,576,934
salesforce.com, Inc.*		289,666		64,459,375
ServiceNow, Inc.*		43,189		23,772,522
Splunk, Inc.*		137,881		23,424,603
Trade Desk, Inc. (The) (Class A Stock)*.		46,153		36,968,553
Workday, Inc. (Class A Stock)*		166,828		39,973,657
Zoom Video Communications, Inc. (Class A Stock)*		39,691		13,388,568

				554,041,071

Specialty Retail — 3.4%
Carvana Co.*(a)		169,015		40,485,853
Home Depot, Inc. (The)		150,714		40,032,653
TJX Cos., Inc. (The)		497,680		33,986,567

				114,505,073

Technology Hardware, Storage & Peripherals — 7.1%
Apple, Inc.		1,789,191		237,407,754

Textiles, Apparel & Luxury Goods — 6.2%
Kering SA (France)		47,329		34,389,772
Lululemon Athletica, Inc.*		162,206		56,452,554
LVMH Moet Hennessy Louis Vuitton SE (France)		74,809		46,701,014

SEE NOTES TO FINANCIAL STATEMENTS.

A149



		*JENNISON PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods (cont’d.)
NIKE, Inc. (Class B Stock)		504,446	$	71,363,976

				208,907,316

TOTAL LONG-TERM INVESTMENTS (cost $1,300,732,345)				3,344,771,436


SHORT-TERM INVESTMENTS — 10.2%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		573,256		573,256
PGIM Institutional Money Market Fund (cost $339,711,896; includes $339,679,173 of cash collateral for securities on loan)(b)(w)		340,011,020		339,841,014

TOTAL SHORT-TERM INVESTMENTS (cost $340,285,152)				340,414,270

TOTAL INVESTMENTS—110.1% (cost $1,641,017,497)				3,685,185,706
Liabilities in excess of other assets — (10.1)%				(337,064,486	)

NET ASSETS — 100.0%			$	3,348,121,220

See the Glossary for a list of the abbreviation(s) used in the annual 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 $333,657,118; cash collateral of $339,679,173 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	—	$	32,576,313	$	—
Automobiles		218,692,778		—		—
Biotechnology		35,343,331		—		—
Capital Markets		30,540,661		—		—
Entertainment		156,404,207		—		—
Food & Staples Retailing		45,249,017		—		—
Health Care Equipment & Supplies		57,423,300		—		—
Health Care Providers & Services		25,902,225		—		—
Health Care Technology		28,581,883		—		—
Hotels, Restaurants & Leisure		44,769,443		—		—
Interactive Media & Services		328,638,347		9,270,050		—
Internet & Direct Marketing Retail		275,021,144		—		—
IT Services		516,233,017		81,402,870		—
Leisure Products		46,037,613		—		—
Multiline Retail		3,023,253		—		—
Personal Products		50,913,895		—		—
Road & Rail		104,715,819		—		—
Semiconductors & Semiconductor Equipment		139,171,056		—		—
Software		554,041,071		—		—
Specialty Retail		114,505,073		—		—
Technology Hardware, Storage & Peripherals		237,407,754		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A150



		*JENNISON PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Textiles, Apparel & Luxury Goods	$	127,816,530	$	81,090,786	$	—
Affiliated Mutual Funds		340,414,270		—		—

Total	$	3,480,845,687	$	204,340,019	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


IT Services	17.8	%
Software	16.5
Affiliated Mutual Funds (10.1% represents investments purchased with collateral from securities on loan)	10.2
Interactive Media & Services	10.1
Internet & Direct Marketing Retail	8.2
Technology Hardware, Storage & Peripherals	7.1
Automobiles	6.5
Textiles, Apparel & Luxury Goods	6.2
Entertainment	4.7
Semiconductors & Semiconductor Equipment	4.2
Specialty Retail	3.4
Road & Rail	3.1
Health Care Equipment & Supplies	1.7
Personal Products	1.5


Leisure Products	1.4	%
Food & Staples Retailing	1.4
Hotels, Restaurants & Leisure	1.3
Biotechnology	1.1
Aerospace & Defense	1.0
Capital Markets	0.9
Health Care Technology	0.9
Health Care Providers & Services	0.8
Multiline Retail	0.1

	110.1
Liabilities in excess of other assets	(10.1	)

	100.0	%

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

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	$	333,657,118	$	(333,657,118	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A151



		*JENNISON PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $333,657,118:
Unaffiliated investments (cost $1,300,732,345)	$	3,344,771,436
Affiliated investments (cost $340,285,152)		340,414,270
Receivable for investments sold		16,996,365
Receivable for Portfolio shares sold		498,875
Tax reclaim receivable		326,499
Dividends receivable		146,085
Prepaid expenses and other assets		63,324

Total Assets		3,703,216,854

LIABILITIES
Payable to broker for collateral for securities on loan		339,679,173
Payable for investments purchased		12,284,243
Management fee payable		1,677,612
Payable for Portfolio shares purchased		1,076,531
Accrued expenses and other liabilities		188,031
Payable to affiliate		154,683
Distribution fee payable		18,621
Administration fee payable		11,275
Trustees’ fees payable		4,485
Affiliated transfer agent fee payable		980

Total Liabilities		355,095,634

NET ASSETS	$	3,348,121,220

Net assets were comprised of:
Partners’ Equity	$	3,348,121,220

Class I:
Net asset value and redemption price per share, $3,260,034,933 / 25,570,838 outstanding shares of beneficial interest	$	127.49

Class II:
Net asset value and redemption price per share, $88,086,287 / 726,454 outstanding shares of beneficial interest	$	121.26

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $127,834 foreign withholding tax)	$	12,428,126
Income from securities lending, net (including affiliated income of $572,242)		588,153
Affiliated dividend income		113,914

Total income		13,130,193

EXPENSES
Management fee		16,070,545
Distribution fee—Class II		181,094
Administration fee—Class II		108,657
Custodian and accounting fees		211,175
Shareholders’ reports		123,307
Trustees’ fees		44,931
Legal fees and expenses		35,086
Audit fee		28,193
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		54,957

Total expenses		16,868,629

NET INVESTMENT INCOME (LOSS)		(3,738,436	)

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $42,828)		438,239,876
Foreign currency transactions		26,856

		438,266,732

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $85,039)		802,332,711
Foreign currencies		3,764

		802,336,475

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		1,240,603,207

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,236,864,771

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	(3,738,436	)	$	2,474,359
Net realized gain (loss) on investment and foreign currency transactions		438,266,732			202,672,704
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		802,336,475			396,791,561

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		1,236,864,771			601,938,624

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		57,172,725			23,869,409
Portfolio shares purchased		(253,732,889	)		(182,369,022	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(196,560,164	)		(158,499,613	)

CAPITAL CONTRIBUTIONS		—			8,215

TOTAL INCREASE (DECREASE)		1,040,304,607			443,447,226
NET ASSETS:
Beginning of year		2,307,816,613			1,864,369,387

End of year	$	3,348,121,220		$	2,307,816,613

SEE NOTES TO FINANCIAL STATEMENTS.

A152



		*NATURAL RESOURCES PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 99.7%
COMMON STOCKS — 97.4%	Shares		Value
Agricultural Products — 1.7%
Bunge Ltd.		59,330	$	3,890,861
Darling Ingredients, Inc.*		45,450		2,621,556

				6,512,417

Automobile Manufacturers — 1.1%
Tesla, Inc.*(a)		6,155		4,343,399

Commodity Chemicals — 1.1%
LG Chem Ltd. (South Korea)		5,625		4,288,971

Construction Materials — 0.9%
HeidelbergCement AG (Germany)		47,350		3,618,200

Copper — 6.4%
Antofagasta PLC (Chile)		231,710		4,553,525
First Quantum Minerals Ltd. (Zambia)		485,170		8,709,352
Freeport-McMoRan, Inc.		340,265		8,853,695
Lundin Mining Corp. (Chile)		300,687		2,669,309

				24,785,881

Diversified Metals & Mining — 7.0%
BHP Group Ltd. (Australia)		417,482		13,643,176
Rio Tinto PLC (Australia)		176,146		13,212,735

				26,855,911

Electric Utilities — 2.9%
Enel SpA (Italy)		358,545		3,635,537
NextEra Energy, Inc.		44,145		3,405,787
Orsted A/S (Denmark), 144A		20,123		4,127,422

				11,168,746

Electrical Components & Equipment — 4.2%
Generac Holdings, Inc.*		21,205		4,822,229
Plug Power, Inc.*(a)		224,845		7,624,494
Sunrun, Inc.*		54,965		3,813,472

				16,260,195

Electronic Components — 1.2%
Samsung SDI Co. Ltd. (South Korea)		7,845		4,550,134

Fertilizers & Agricultural Chemicals — 2.2%
FMC Corp.		49,665		5,707,999

Sociedad Quimica y Minera de Chile SA (Chile), ADR(a)		54,205		2,660,923

				8,368,922

Heavy Electrical Equipment — 3.1%
NEL ASA (Norway)*		693,415		2,361,258
TPI Composites, Inc.*		85,435		4,509,259
Vestas Wind Systems A/S (Denmark)		21,206		5,019,201

				11,889,718

Industrial Gases — 6.1%
Air Liquide SA (France)		31,867		5,253,207
Air Products & Chemicals, Inc.		24,805		6,777,222
Linde PLC (United Kingdom)		42,705		11,253,194

				23,283,623

Industrial Machinery — 2.0%
Chart Industries, Inc.*		63,810		7,516,180


COMMON STOCKS (continued)	Shares		Value
Integrated Oil & Gas — 11.3%
BP PLC (United Kingdom), ADR		444,330	$	9,117,651
Chevron Corp.		143,900		12,152,355
Equinor ASA (Norway)		445,485		7,499,193
Royal Dutch Shell PLC (Netherlands)(Class B Stock)		373,975		6,405,241
TOTAL SE (France), ADR		197,980		8,297,342

				43,471,782

Metal & Glass Containers — 1.8%
Ball Corp.		36,495		3,400,604
Crown Holdings, Inc.*		36,445		3,651,789

				7,052,393

Oil & Gas Equipment & Services — 3.3%
Baker Hughes Co.(a)		368,710		7,687,603
Schlumberger NV		231,890		5,062,159

				12,749,762

Oil & Gas Exploration & Production — 13.4%
CNX Resources Corp.*		288,585		3,116,718
Concho Resources, Inc.		94,775		5,530,121
ConocoPhillips		264,815		10,589,952
Devon Energy Corp.		337,775		5,340,223
Diamondback Energy, Inc.		132,895		6,432,118
EQT Corp.(a)		244,860		3,112,171
Hess Corp.		77,995		4,117,356
Parsley Energy, Inc. (Class A Stock)		328,215		4,660,653
Pioneer Natural Resources Co.		74,486		8,483,210

				51,382,522

Oil & Gas Refining & Marketing — 9.0%
Marathon Petroleum Corp.		204,240		8,447,366
Neste OYJ (Finland)		104,696		7,580,828
Reliance Industries Ltd. (India)		166,916		4,550,569
Renewable Energy Group, Inc.*(a)		71,650		5,074,253
Valero Energy Corp.		154,927		8,764,220

				34,417,236

Oil & Gas Storage & Transportation — 6.9%
Kinder Morgan, Inc.		601,670		8,224,829
ONEOK, Inc.		163,960		6,292,785
TC Energy Corp. (Canada)		93,114		3,785,568
Williams Cos., Inc. (The)		417,575		8,372,378

				26,675,560

Precious Metals & Minerals — 0.0%
Sedibelo Platinum Mines Ltd. (South Africa) Private Placement (original cost $1,102,975; purchased 11/27/07)*^(f)		129,100		19,420

Railroads — 1.4%
Kansas City Southern		9,760		1,992,309
Union Pacific Corp.		15,805		3,290,917

				5,283,226

Renewable Electricity — 1.8%
Scatec ASA (Norway), 144A		68,865		2,750,227

SEE NOTES TO FINANCIAL STATEMENTS.

A153



		*NATURAL RESOURCES PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Renewable Electricity (cont’d.)
Sunnova Energy International, Inc.*		88,485	$	3,993,328

				6,743,555

Semiconductor Equipment — 3.6%
Enphase Energy, Inc.*		43,645		7,658,388
SolarEdge Technologies, Inc.*		19,945		6,364,849

				14,023,237

Specialty Chemicals — 5.0%
Axalta Coating Systems Ltd.*		136,465		3,896,076
Ecolab, Inc.		17,893		3,871,330
PPG Industries, Inc.		24,115		3,477,865
Sherwin-Williams Co. (The)		5,530		4,064,052
Shin-Etsu Chemical Co. Ltd. (Japan)		21,900		3,833,660

				19,142,983

TOTAL COMMON STOCKS (cost $253,092,484)				374,403,973


EXCHANGE-TRADED FUND — 2.3%
Invesco Solar ETF(a) (cost $1,808,511)		84,460		8,679,110

TOTAL LONG-TERM INVESTMENTS (cost $254,900,995)				383,083,083


SHORT-TERM INVESTMENTS — 9.8%

AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		1,121,990		1,121,990
PGIM Institutional Money Market Fund (cost $36,601,316; includes $36,595,143 of cash collateral for securities on loan)(b)(w)		36,639,441		36,621,121

TOTAL SHORT-TERM INVESTMENTS (cost $37,723,306)				37,743,111

TOTAL INVESTMENTS — 109.5% (cost $292,624,301)				420,826,194
Liabilities in excess of other assets — (9.5)%				(36,573,328	)

NET ASSETS — 100.0%			$	384,252,866

See the Glossary for a list of the abbreviation(s) used in the annual report:

*	Non-income producing security.

^	Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $19,420 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 $35,574,298; cash collateral of $36,595,143 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(f)

Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the original cost of such security is $1,102,975. The value of $19,420 is 0.0% of net assets.

(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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Australia	$	—	$	26,855,911	$	—
Canada		3,785,568		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A154



		*NATURAL RESOURCES PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Chile	$	5,330,232	$	4,553,525	$	—
Denmark		—		9,146,623		—
Finland		—		7,580,828		—
France		8,297,342		5,253,207		—
Germany		—		3,618,200		—
India		—		4,550,569		—
Italy		—		3,635,537		—
Japan		—		3,833,660		—
Netherlands		—		6,405,241		—
Norway		—		12,610,678		—
South Africa		—		—		19,420
South Korea		—		8,839,105		—
United Kingdom		20,370,845		—		—
United States		231,008,130		—		—
Zambia		8,709,352		—		—
Exchange-Traded Fund
United States		8,679,110		—		—
Affiliated Mutual Funds		37,743,111		—		—

Total	$	323,923,690	$	96,883,084	$	19,420

Country Classification:

The country classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


United States (including 9.5% of collateral for securities on loan)	72.3	%
Australia	7.0
United Kingdom	5.3
France	3.5
Norway	3.2
Chile	2.6
Denmark	2.4
South Korea	2.3
Zambia	2.2
Finland	2.0
Netherlands	1.7


India	1.2	%
Japan	1.0
Canada	1.0
Italy	0.9
Germany	0.9
South Africa	0.0	*

	109.5
Liabilities in excess of other assets	(9.5	)

	100.0	%

*	Less than +/- 0.05%

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

The Portfolio did not hold any derivative instruments as of December 31, 2020, accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Warrants(1)
Equity contracts	$	(32,774	)

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A155



		*NATURAL RESOURCES PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

For the year ended December 31, 2020, the Portfolio did not have any net change in unrealized appreciation (depreciation) on derivatives in the Statement of Operations.

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

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		$	35,574,298		$	(35,574,298	)		$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A156



		*NATURAL RESOURCES PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $35,574,298:
Unaffiliated investments (cost $254,900,995)	$	383,083,083
Affiliated investments (cost $37,723,306)		37,743,111
Foreign currency, at value (cost $2,017)		2,024
Tax reclaim receivable		866,885
Dividends receivable		341,652
Receivable from affiliate.		15,171
Receivable for Portfolio shares sold		4,368
Prepaid expenses		4,692

Total Assets		422,060,986

LIABILITIES
Payable to broker for collateral for securities on loan		36,595,143
Payable to affiliate		653,809
Accrued expenses and other liabilities		168,267
Management fee payable		141,329
Foreign capital gains tax liability accrued		128,644
Payable for Portfolio shares purchased		107,628
Distribution fee payable		6,904
Administration fee payable		4,145
Trustees’ fees payable		1,271
Affiliated transfer agent fee payable		980

Total Liabilities		37,808,120

NET ASSETS	$	384,252,866

Net assets were comprised of:
Partners’ Equity.	$	384,252,866

Class I:
Net asset value and redemption price per share, $351,776,864 / 12,873,378 outstanding shares of beneficial interest	$	27.33

Class II:
Net asset value and redemption price per share, $32,476,002 / 1,239,137 outstanding shares of beneficial interest	$	26.21

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $401,639 foreign withholding tax, of which $29,684 is reimbursable by an affiliate)	$	8,537,622
Income from securities lending, net (including affiliated income of $87,606)		575,735
Affiliated dividend income.		53,407

Total income		9,166,764

EXPENSES
Management fee		1,451,295
Distribution fee—Class II		93,917
Administration fee—Class II.		56,351
Shareholders’ reports		107,955
Custodian and accounting fees		95,360
Audit fee		32,191
Legal fees and expenses		25,420
Trustees’ fees		13,730
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		27,411

Total expenses		1,914,313
Less: Fee waivers and/or expense reimbursement		(25,801	)

Net expenses		1,888,512

NET INVESTMENT INCOME (LOSS)		7,278,252

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(26,908)) (net of foreign capital gains taxes $(11,103))		(34,616,758	)
Foreign currency transactions		(183,342	)

		(34,800,100	)

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $17,813) (net of change in foreign capital gains taxes $(128,644))		67,197,152
Foreign currencies.		16,032

		67,213,184

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		32,413,084

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	39,691,336

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	7,278,252		$	11,602,931
Net realized gain (loss) on investment and foreign currency transactions		(34,800,100	)		(12,742,060	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		67,213,184			40,509,829

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		39,691,336			39,370,700

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		18,902,478			11,326,229
Portfolio shares purchased		(56,008,630	)		(41,844,684	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS .		(37,106,152	)		(30,518,455	)

CAPITAL CONTRIBUTIONS		—			6,508

TOTAL INCREASE (DECREASE)		2,585,184			8,858,753
NET ASSETS:
Beginning of year		381,667,682			372,808,929

End of year.	$	384,252,866		$	381,667,682

SEE NOTES TO FINANCIAL STATEMENTS.

A157



		*SMALL CAPITALIZATION STOCK PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 99.6%
COMMON STOCKS — 99.4%	Shares		Value
Aerospace & Defense — 1.6%
AAR Corp.		32,461	$	1,175,737
Aerojet Rocketdyne Holdings, Inc.*		70,295		3,715,091
AeroVironment, Inc.*		21,484		1,866,960
Cubic Corp.		30,873		1,915,361
Kaman Corp.		27,112		1,548,909
Moog, Inc. (Class A Stock)		28,754		2,280,192
National Presto Industries, Inc.		5,089		450,020
Park Aerospace Corp.		18,244		244,652
Triumph Group, Inc.		50,700		636,792

				13,833,714

Air Freight & Logistics — 0.7%
Atlas Air Worldwide Holdings, Inc.*		25,610		1,396,769
Echo Global Logistics, Inc.*		26,030		698,125
Forward Air Corp.		26,946		2,070,531
Hub Group, Inc. (Class A Stock)*		32,810		1,870,170

				6,035,595

Airlines — 0.6%
Allegiant Travel Co.		12,844		2,430,599
Hawaiian Holdings, Inc.		44,870		794,199
SkyWest, Inc.		49,010		1,975,593

				5,200,391

Auto Components — 1.6%
American Axle & Manufacturing Holdings, Inc.*		110,540		921,904
Cooper Tire & Rubber Co.		49,240		1,994,220
Cooper-Standard Holdings, Inc.*		16,530		573,095
Dorman Products, Inc.*		28,150		2,443,983
Gentherm, Inc.*		32,020		2,088,344
LCI Industries		24,579		3,187,405
Motorcar Parts of America, Inc.*		18,580		364,540
Patrick Industries, Inc.		21,510		1,470,208
Standard Motor Products, Inc.		19,799		801,068

				13,844,767

Automobiles — 0.2%
Winnebago Industries, Inc.		33,061		1,981,676

Banks — 8.5%
Allegiance Bancshares, Inc.		18,450		629,699
Ameris Bancorp(a)		67,910		2,585,334
Banc of California, Inc.		43,180		635,178
BancFirst Corp.		18,250		1,071,275
BankUnited, Inc.		90,330		3,141,678
Banner Corp.		34,380		1,601,764
Berkshire Hills Bancorp, Inc.		49,530		847,954
Boston Private Financial Holdings, Inc.		79,962		675,679
Brookline Bancorp, Inc.		76,982		926,863
Cadence BanCorp		123,020		2,019,988
Central Pacific Financial Corp.		27,410		521,064
City Holding Co.		15,464		1,075,521
Columbia Banking System, Inc.		69,978		2,512,210
Community Bank System, Inc.		52,346		3,261,679
Customers Bancorp, Inc..*		28,350		515,403
CVB Financial Corp.		124,500		2,427,750
Dime Community Bancshares, Inc.		27,671		436,372


COMMON STOCKS (continued)	Shares		Value
Banks (cont’d.)
Eagle Baneacorp, Inc.		31,500	$	1,300,950
FB Financial Corp.		30,510		1,059,612
First Bancorp		28,040		948,593
First BanCorp. (Puerto Rico)		213,122		1,964,985
First Commonwealth Financial Corp.		93,750		1,025,625
First Financial Bancorp		95,643		1,676,622
First Hawaiian, Inc.		127,890		3,015,646
First Midwest Bancorp, Inc.		111,540		1,775,717
Great Western Bancorp, Inc.		53,680		1,121,912
Hanmi Financial Corp.		29,636		336,072
Heritage Financial Corp.		35,100		820,989
Hope Bancorp, Inc.		120,474		1,314,371
Independent Bank Corp.		32,286		2,358,170
Independent Bank Group, Inc.		35,910		2,245,093
National Bank Holdings Corp. (Class A Stock)		29,940		980,834
NBT Bancorp, Inc.		42,700		1,370,670
OFG Bancorp (Puerto Rico)		50,070		928,298
Old National Bancorp		161,527		2,674,887
Pacific Premier Bancorp, Inc.		92,295		2,891,602
Park National Corp.(a)		13,900		1,459,639
Preferred Bank		13,270		669,737
Renasant Corp.(a)		54,950		1,850,716
S&T Bancorp, Inc.		38,473		955,669
Seacoast Banking Corp. of Florida*		53,880		1,586,766
ServisFirst Bancshares, Inc.(a)		45,790		1,844,879
Simmons First National Corp. (Class A Stock)		106,406		2,297,306
Southside Bancshares, Inc.		30,736		953,738
Tompkins Financial Corp.		11,884		839,010
Triumph Bancorp, Inc.*		22,150		1,075,383
United Community Banks, Inc.		84,677		2,408,214
Veritex Holdings, Inc.		48,420		1,242,457
Westamerica BanCorp		26,320		1,455,233

				73,334,806

Beverages — 0.3%
Coca-Cola Consolidated, Inc.(a)		4,550		1,211,529
MGP Ingredients, Inc.(a)		12,920		608,015
National Beverage Corp.(a)		11,450		972,105

				2,791,649

Biotechnology — 1.3%
Anika Therapeutics, Inc.*(a)		13,950		631,377
Coherus Biosciences, Inc.*(a)		61,840		1,074,779
Cytokinetics, Inc.*(a)		69,120		1,436,314
Eagle Pharmaceuticals, Inc.*		11,360		529,035
Enanta Pharmaceuticals, Inc.*(a)		17,480		735,908
Myriad Genetics, Inc.*		73,410		1,451,683
REGENXBIO, Inc.*		29,260		1,327,234
Spectrum Pharmaceuticals, Inc.*		141,950		484,049
Vanda Pharmaceuticals, Inc.*		53,320		700,625
Xencor, Inc.*		56,200		2,452,006

				10,823,010

Building Products — 2.0%
AAON, Inc.		39,909		2,659,137
American Woodmark Corp.*		16,650		1,562,602

SEE NOTES TO FINANCIAL STATEMENTS.

A158



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Building Products (cont’d.)
Apogee Enterprises, Inc.		25,758	$	816,013
Gibraltar Industries, Inc.*		31,858		2,291,864
Griffon Corp.		43,899		894,662
Insteel Industries, Inc.		18,750		417,562
PGT Innovations, Inc.*		57,470		1,168,940
Quanex Building Products Corp.		31,928		707,844
Resideo Technologies, Inc.*		137,200		2,916,872
UFP Industries, Inc.		59,832		3,323,668

				16,759,164

Capital Markets — 1.0%
Blucora, Inc.*		46,762		743,983
Brightsphere Investment Group, Inc.		58,560		1,129,037
Donnelley Financial Solutions, Inc.*		28,837		489,364
Greenhill & Co., Inc.		13,770		167,168
Piper Sandler Cos		13,475		1,359,627
StoneX Group, Inc.*		15,930		922,347
Virtus Investment Partners, Inc.		7,010		1,521,170
Waddell & Reed Financial, Inc. (Class A Stock)(a)		61,020		1,554,179
WisdomTree Investments, Inc.		108,350		579,673

				8,466,548

Chemicals — 2.9%
AdvanSix, Inc.*		27,380		547,326
American Vanguard Corp.		25,948		402,713
Balchem Corp.		31,693		3,651,667
Ferro Corp.*		80,390		1,176,106
FutureFuel Corp.		25,050		318,135
GCP Applied Technologies, Inc.*		47,150		1,115,098
Hawkins, Inc.		9,300		486,483
HB Fuller Co.		50,608		2,625,543
Innospec, Inc.		24,070		2,183,871
Koppers Holdings, Inc.*		20,530		639,715
Kraton Corp.*		31,160		865,936
Livent Corp.*		142,790		2,690,164
Quaker Chemical Corp.(a)		12,948		3,280,894
Rayonier Advanced Materials, Inc.*		61,370		400,132
Stepan Co.		20,940		2,498,561
Tredegar Corp.(a)		25,155		420,089
Trinseo SA		37,450		1,917,814

				25,220,247

Commercial Services & Supplies — 1.9%
ABM Industries, Inc.		65,143		2,465,011
Brady Corp. (Class A Stock)		47,412		2,504,302
CoreCivic, Inc.(a)		116,550		763,402
Deluxe Corp.		40,900		1,194,280
Harsco Corp.*		77,100		1,386,258
Interface, Inc.		57,162		600,201
Matthews International Corp. (Class A Stock)		30,990		911,106
Pitney Bowes, Inc.(a)		168,600		1,038,576
Team, Inc.*		29,710		323,839
UniFirst Corp.		14,920		3,158,415
US Ecology, Inc.		30,850		1,120,780
Viad Corp.		20,027		724,377

				16,190,547


COMMON STOCKS (continued)	Shares		Value
Communications Equipment — 1.1%
ADTRAN, Inc.		46,710	$	689,907
Applied Optoelectronics, Inc.*(a)		20,450		174,030
CalAmp Corp.*		33,840		335,693
Comtech Telecommunications Corp.		24,289		502,539
Digi International, Inc.*		28,384		536,458
Extreme Networks, Inc.*		119,870		825,904
Harmonic, Inc.*(a)		95,124		702,966
NETGEAR, Inc.*		29,656		1,204,923
Plantronics, Inc.(a)		36,560		988,217
Viavi Solutions, Inc.*(a)		223,670		3,349,458

				9,310,095

Construction & Engineering — 0.8%
Aegion Corp.*		30,087		571,352
Arcosa, Inc.		47,180		2,591,598
Comfort Systems USA, Inc.		35,644		1,877,013
Granite Construction, Inc.(a)		45,640		1,219,044
MYR Group, Inc.*		16,420		986,842

				7,245,849

Construction Materials — 0.1%
U.S. Concrete, Inc.*		15,500		619,535

Consumer Finance — 0.9%
Encore Capital Group, Inc.*(a)		30,690		1,195,375
Enova International, Inc.*		34,739		860,485
EZCORP, Inc. (Class A Stock)*		50,121		240,080
Green Dot Corp. (Class A Stock)*		52,300		2,918,340
PRA Group, Inc.*(a)		44,497		1,764,751
World Acceptance Corp.*(a)		3,912		399,885

				7,378,916

Containers & Packaging — 0.1%
Myers Industries, Inc.		34,870		724,599

Distributors — 0.2%
Core-Mark Holding Co., Inc.		43,850		1,287,875

Diversified Consumer Services — 0.2%
American Public Education, Inc.*		14,533		442,966
Perdoceo Education Corp.*		67,680		854,798
Regis Corp.*(a)		23,700		217,803

				1,515,567

Diversified Telecommunication Services — 1.3%
ATN International, Inc.(a)		10,700		446,832
Cincinnati Bell, Inc.*		49,330		753,762
Cogent Communications Holdings, Inc.		41,090		2,460,058
Consolidated Communications Holdings, Inc.*		70,640		345,430
Iridium Communications, Inc.*		114,740		4,512,150
Vonage Holdings Corp.*		228,020		2,935,758

				11,453,990

Electrical Equipment — 0.5%
AZZ, Inc.		25,542		1,211,712
Encore Wire Corp.		20,141		1,219,940
Powell Industries, Inc.		8,622		254,263
Vicor Corp.*		20,681		1,907,202

				4,593,117

SEE NOTES TO FINANCIAL STATEMENTS.

A159



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components — 3.8%
Arlo Technologies, Inc.*		76,904	$	599,082
Badger Meter, Inc.		28,524		2,682,968
Bel Fuse, Inc. (Class B Stock)		9,972		149,879
Benchmark Electronics, Inc.		35,720		964,797
CTS Corp.		31,604		1,084,965
Daktronics, Inc.(a)		35,308		165,242
ePlus, Inc.*		13,230		1,163,579
Fabrinet (Thailand)*		36,180		2,807,206
FARO Technologies, Inc.*		17,484		1,234,895
Insight Enterprises, Inc.*		34,315		2,611,028
Itron, Inc.*		39,480		3,786,132
Knowles Corp.*		89,400		1,647,642
Methode Electronics, Inc.		36,746		1,406,637
MTS Systems Corp.		18,885		1,098,352
OSI Systems, Inc.*		16,330		1,522,283
PC Connection, Inc.		10,800		510,732
Plexus Corp.*		28,230		2,207,868
Rogers Corp.*		18,291		2,840,409
Sanmina Corp.*		63,580		2,027,566
ScanSource, Inc.*		24,803		654,303
TTM Technologies, Inc.*(a)		96,789		1,335,204

				32,500,769

Energy Equipment & Services — 1.3%
Archrock, Inc.		125,160		1,083,886
Bristow Group, Inc.*		22,697		597,385
Core Laboratories NV(a)		43,400		1,150,534
DMC Global, Inc.(a)		14,470		625,827
Dril-Quip, Inc.*		34,250		1,014,485
Exterran Corp.*		23,680		104,666
Helix Energy Solutions Group, Inc.*		137,510		577,542
Helmerich & Payne, Inc.		105,160		2,435,506
Matrix Service Co.*		25,563		281,704
Nabors Industries Ltd.		6,286		366,034
Oceaneering International, Inc.*		96,650		768,367
Oil States International, Inc.*		59,250		297,435
Patterson-UTI Energy, Inc.		182,550		960,213
ProPetro Holding Corp.*		78,700		581,593
RPC, Inc.*(a)		56,100		176,715
US Silica Holdings, Inc.(a)		72,020		505,580

				11,527,472

Entertainment — 0.2%
Glu Mobile, Inc.*		144,420		1,301,224
Marcus Corp. (The)(a)		22,308		300,712

				1,601,936

Equity Real Estate Investment Trusts (REITs) — 7.3%
Acadia Realty Trust		84,115		1,193,592
Agree Realty Corp.(a)		54,130		3,603,975
Alexander & Baldwin, Inc.		70,550		1,212,049
American Assets Trust, Inc.		48,850		1,410,788
Armada Hoffler Properties, Inc.		56,460		633,481
Brandywine Realty Trust(a)		166,660		1,984,921
CareTrust REIT, Inc.		93,565		2,075,272
Centerspace		12,710		897,834
Chatham Lodging Trust		45,850		495,180
Community Healthcare Trust, Inc.		21,570		1,016,163


COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (cont’d.)
DiamondRock Hospitality Co.		194,990	$	1,608,667
Diversified Healthcare Trust		232,630		958,436
Easterly Government Properties, Inc.		79,360		1,797,504
Essential Properties Realty Trust, Inc.(a)		102,310		2,168,972
Four Corners Property Trust, Inc.		71,779		2,136,861
Franklin Street Properties Corp.		94,252		411,881
GEO Group, Inc. (The)(a)		118,500		1,049,910
Getty Realty Corp.		35,064		965,663
Global Net Lease, Inc.		87,410		1,498,207
Hersha Hospitality Trust		35,250		278,123
Independence Realty Trust, Inc.(a)		92,690		1,244,827
Industrial Logistics Properties Trust		63,800		1,485,902
Innovative Industrial Properties, Inc.(a)		21,720		3,977,584
iStar, Inc.(a)		72,150		1,071,427
Kite Realty Group Trust		82,292		1,231,088
Lexington Realty Trust		270,666		2,874,473
LTC Properties, Inc.		38,406		1,494,377
Mack-Cali Realty Corp.		84,050		1,047,263
National Storage Affiliates Trust(a)		60,850		2,192,425
NexPoint Residential Trust, Inc.(a)		21,690		917,704
Office Properties Income Trust		47,150		1,071,248
Retail Opportunity Investments Corp.		115,350		1,544,536
Retail Properties of America, Inc. (Class A Stock)		209,260		1,791,266
RPT Realty		78,980		683,177
Safehold, Inc.(a)		14,040		1,017,760
Saul Centers, Inc.		12,630		400,118
SITE Centers Corp.		147,200		1,489,664
Summit Hotel Properties, Inc.		103,180		929,652
Tanger Factory Outlet Centers, Inc.(a)		91,000		906,360
Uniti Group, Inc.		227,200		2,665,056
Universal Health Realty Income Trust		12,580		808,517
Urstadt Biddle Properties, Inc. (Class A Stock)		29,090		411,042
Washington Real Estate Investment Trust		80,400		1,739,052
Whitestone		38,400		306,048
Xenia Hotels & Resorts, Inc.		111,100		1,688,720

				62,386,765

Food & Staples Retailing — 0.6%
Andersons, Inc. (The)		29,964		734,417
Chefs’ Warehouse, Inc. (The)*(a)		31,800		816,942
PriceSmart, Inc.		22,830		2,079,585
SpartanNash Co.		34,826		606,321
United Natural Foods, Inc.*(a)		54,590		871,802

				5,109,067

Food Products — 1.3%
B&G Foods, Inc.(a)		62,780		1,740,890
Calavo Growers, Inc.		16,260		1,128,932
Cal-Maine Foods, Inc.*(a)		36,610		1,374,339
Fresh Del Monte Produce, Inc.		29,500		710,065
J & J Snack Foods Corp.		14,708		2,285,182
John B. Sanfilippo & Son, Inc.		8,670		683,716
Seneca Foods Corp. (Class A Stock)*		6,570		262,143

SEE NOTES TO FINANCIAL STATEMENTS.

A160



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Food Products (cont’d.)
Simply Good Foods Co. (The)*		82,300	$	2,580,928

				10,766,195

Gas Utilities — 0.6%
Chesapeake Utilities Corp.		17,110		1,851,473
Northwest Natural Holding Co.		29,935		1,376,710
South Jersey Industries, Inc.(a)		98,314		2,118,667

				5,346,850

Health Care Equipment & Supplies — 3.0%
AngioDynamics, Inc.*		37,050		567,977
Cardiovascular Systems, Inc.*		39,200		1,715,392
CONMED Corp.		28,019		3,138,128
CryoLife, Inc.*		37,853		893,709
Cutera, Inc.*		17,100		412,281
Glaukos Corp.*(a)		43,940		3,306,924
Heska Corp.*(a)		8,710		1,268,611
Inogen, Inc.*		17,940		801,559
Integer Holdings Corp.*		32,204		2,614,643
Invacare Corp.(a)		33,152		296,710
Lantheus Holdings, Inc.*		65,100		878,199
LeMaitre Vascular, Inc.(a)		16,550		670,275
Meridian Bioscience, Inc.*		41,985		784,700
Merit Medical Systems, Inc.*		47,808		2,653,822
Mesa Laboratories, Inc.(a)		4,770		1,367,273
Natus Medical, Inc.*		33,015		661,621
OraSure Technologies, Inc.*(a)		69,870		739,574
Orthofix Medical, Inc.*		18,910		812,752
Surmodics, Inc.*		13,342		580,644
Tactile Systems Technology, Inc.*		18,950		851,613
Varex Imaging Corp.*		38,140		636,175
Zynex, Inc.*(a)		19,000		255,740

				25,908,322

Health Care Providers & Services — 4.1%
Addus HomeCare Corp.*		14,710		1,722,394
AMN Healthcare Services, Inc.*		45,959		3,136,702
BioTelemetry, Inc.*(a)		33,480		2,413,238
Community Health Systems, Inc.*		109,860		816,260
CorVel Corp.*		8,940		947,640
Covetrus, Inc.*		96,920		2,785,481
Cross Country Healthcare, Inc.*		33,723		299,123
Ensign Group, Inc. (The)		49,840		3,634,333
Fulgent Genetics, Inc.*(a)		12,840		668,964
Hanger, Inc.*		37,100		815,829
Magellan Health, Inc.*		22,321		1,849,072
MEDNAX, Inc.*(a)		83,600		2,051,544
Owens & Minor, Inc.		71,850		1,943,542
Pennant Group, Inc. (The)*		24,855		1,443,081
Providence Service Corp. (The)*		12,100		1,677,423
R1 RCM, Inc.*		114,060		2,739,721
RadNet, Inc.*		41,790		817,830
Select Medical Holdings Corp.*		105,440		2,916,470
Tivity Health, Inc.*(a)		36,368		712,449
US Physical Therapy, Inc.		12,590		1,513,948

				34,905,044


COMMON STOCKS (continued)	Shares		Value
Health Care Technology — 1.7%
Allscripts Healthcare Solutions, Inc.*(a)		154,420	$	2,229,825
Computer Programs & Systems, Inc.		12,336		331,098
HealthStream, Inc.*(a)		24,790		541,414
HMS Holdings Corp.*		86,580		3,181,815
NextGen Healthcare, Inc.*		53,984		984,668
Omnicell, Inc.*		41,442		4,973,869
Simulations Plus, Inc.(a)		14,850		1,068,012
Tabula Rasa HealthCare, Inc.*(a)		21,240		909,921

				14,220,622

Hotels, Restaurants & Leisure — 1.7%
BJ’s Restaurants, Inc.*(a)		21,862		841,468
Bloomin’ Brands, Inc.(a)		77,740		1,509,711
Brinker International, Inc.		44,260		2,503,788
Cheesecake Factory, Inc. (The)(a)		41,050		1,521,313
Chuy’s Holdings, Inc.*(a)		19,190		508,343
Dave & Buster’s Entertainment, Inc.(a)		46,330		1,390,827
Dine Brands Global, Inc.		16,025		929,450
El Pollo Loco Holdings, Inc.*(a)		18,310		331,411
Fiesta Restaurant Group, Inc.*		16,900		192,660
Monarch Casino & Resort, Inc.*		12,551		768,372
Red Robin Gourmet Burgers, Inc.*(a)		15,163		291,585
Ruth’s Hospitality Group, Inc.		30,898		547,822
Shake Shack, Inc. (Class A Stock)*(a)		34,840		2,953,735

				14,290,485

Household Durables — 2.4%
Cavco Industries, Inc.*		8,400		1,473,780
Century Communities, Inc.*		28,420		1,244,228
Ethan Allen Interiors, Inc.		21,189		428,230
Installed Building Products, Inc.*		22,190		2,261,827
iRobot Corp.*(a)		27,550		2,211,989
La-Z-Boy, Inc.		45,071		1,795,629
LGI Homes, Inc.*		21,640		2,290,594
M/I Homes, Inc.*		28,160		1,247,206
MDC Holdings, Inc.		50,095		2,434,617
Meritage Homes Corp.*		36,837		3,050,840
Tupperware Brands Corp.*		48,000		1,554,720
Universal Electronics, Inc.*		13,474		706,846

				20,700,506

Household Products — 0.6%
Central Garden & Pet Co.*		9,550		368,725
Central Garden & Pet Co. (Class A Stock)*		38,158		1,386,280
WD-40 Co.(a)		13,429		3,567,817

				5,322,822

Industrial Conglomerates — 0.1%
Raven Industries, Inc.		34,980		1,157,488

Insurance — 2.8%
Ambac Financial Group, Inc.*		44,750		688,255
American Equity Investment Life Holding Co.		89,970		2,488,570
AMERISAFE, Inc.		18,934		1,087,380
Assured Guaranty Ltd.		78,930		2,485,506
eHealth, Inc.*(a)		25,371		1,791,446
Employers Holdings, Inc.		28,425		915,001

SEE NOTES TO FINANCIAL STATEMENTS.

A161



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Insurance (cont’d.)
HCI Group, Inc.(a)		6,030	$	315,369
Horace Mann Educators Corp.		40,520		1,703,461
James River Group Holdings Ltd.		29,920		1,470,568
Palomar Holdings, Inc.*		21,250		1,887,850
ProAssurance Corp.		52,496		933,904
Safety Insurance Group, Inc.		13,860		1,079,694
Stewart Information Services Corp.		26,112		1,262,776
Third Point Reinsurance Ltd. (Bermuda)*		80,010		761,695
Trupanion, Inc.*(a)		32,060		3,837,903
United Fire Group, Inc.		20,951		525,870
United Insurance Holdings Corp.		19,650		112,398
Universal Insurance Holdings, Inc.		27,620		417,338

				23,764,984

Interactive Media & Services — 0.1%
QuinStreet, Inc.*		47,460		1,017,542

Internet & Direct Marketing Retail — 0.7%
Liquidity Services, Inc.*		25,550		406,501
PetMed Express, Inc.(a)		19,831		635,782
Shutterstock, Inc.		21,640		1,551,588
Stamps.com, Inc.*		17,860		3,503,953

				6,097,824

IT Services — 2.2%
Cardtronics PLC (Class A Stock)*		34,850		1,230,205
CSG Systems International, Inc.		32,174		1,450,082
EVERTEC, Inc. (Puerto Rico)		58,350		2,294,322
ExlService Holdings, Inc.*		33,120		2,819,506
ManTech International Corp. (Class A Stock)		26,620		2,367,583
NIC, Inc.		65,500		1,691,865
Perficient, Inc.*		32,234		1,535,950
Sykes Enterprises, Inc.*		38,750		1,459,712
TTEC Holdings, Inc.		17,857		1,302,311
Unisys Corp.*(a)		61,550		1,211,304
Virtusa Corp.*		27,850		1,423,971

				18,786,811

Leisure Products — 1.1%
Callaway Golf Co.(a)		92,040		2,209,880
Sturm Ruger & Co., Inc.(a)		17,137		1,115,105
Vista Outdoor, Inc.*		56,800		1,349,568
YETI Holdings, Inc.*		73,250		5,015,428

				9,689,981

Life Sciences Tools & Services — 0.8%
Luminex Corp.(a)		42,180		975,202
NeoGenomics, Inc.*		108,540		5,843,793

				6,818,995

Machinery — 5.9%
Alamo Group, Inc.		9,690		1,336,736
Albany International Corp. (Class A Stock)		30,074		2,208,033
Astec Industries, Inc.		22,090		1,278,569
Barnes Group, Inc.		45,516		2,307,206
Chart Industries, Inc.*(a)		34,580		4,073,178


COMMON STOCKS (continued)	Shares		Value
Machinery (cont’d.)
CIRCOR International, Inc.*		19,578	$	752,578
Enerpac Tool Group Corp.		58,434		1,321,193
EnPro Industries, Inc.		20,108		1,518,556
ESCO Technologies, Inc.		25,501		2,632,213
Federal Signal Corp.		59,130		1,961,342
Franklin Electric Co., Inc.		37,560		2,599,528
Greenbrier Cos., Inc. (The)(a)		32,130		1,168,889
Hillenbrand, Inc.		73,088		2,908,903
John Bean Technologies Corp.		31,077		3,538,738
Lindsay Corp.		10,679		1,371,824
Lydall, Inc.*		16,406		492,672
Meritor, Inc.*		70,650		1,971,842
Mueller Industries, Inc.		55,758		1,957,663
Proto Labs, Inc.*(a)		26,210		4,020,614
SPX Corp.*		43,810		2,389,397
SPX FLOW, Inc.*		41,250		2,390,850
Standex International Corp.		12,130		940,318
Tennant Co.		18,100		1,270,077
Titan International, Inc.		48,800		237,168
Wabash National Corp.(a)		51,640		889,757
Watts Water Technologies, Inc. (Class A Stock)		26,871		3,270,201

				50,808,045

Marine — 0.4%
Matson, Inc.		42,090		2,397,867
SEACOR Holdings, Inc.*		18,741		776,815

				3,174,682

Media — 0.6%
AMC Networks, Inc. (Class A Stock)*(a)		29,140		1,042,338
EW Scripps Co. (The) (Class A Stock)(a)		55,661		851,057
Gannett Co., Inc.*(a)		127,010		426,753
Meredith Corp.		39,350		755,520
Scholastic Corp.		29,170		729,250
TechTarget, Inc.*		23,120		1,366,623

				5,171,541

Metals & Mining — 2.0%
Allegheny Technologies, Inc.*		123,950		2,078,641
Arconic Corp.*		94,990		2,830,702
Carpenter Technology Corp.		46,980		1,368,058
Century Aluminum Co.*		48,843		538,738
Cleveland-Cliffs, Inc.(a)		390,106		5,679,943
Haynes International, Inc.		12,370		294,901
Kaiser Aluminum Corp.		15,490		1,531,961
Materion Corp.		19,928		1,269,812
Olympic Steel, Inc.		8,718		116,211
SunCoke Energy, Inc.		80,600		350,610
TimkenSteel Corp.*(a)		36,610		170,969
Warrior Met Coal, Inc.		49,950		1,064,934

				17,295,480

Mortgage Real Estate Investment Trusts (REITs) — 1.0%
Apollo Commercial Real Estate Finance, Inc.(a)		126,010		1,407,532

SEE NOTES TO FINANCIAL STATEMENTS.

A162



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Mortgage Real Estate Investment Trusts (REITs) (cont’d.)
ARMOUR Residential REIT, Inc.		63,100	$	680,849
Capstead Mortgage Corp.		93,750		544,687
Granite Point Mortgage Trust, Inc.(a)		53,800		537,462
Invesco Mortgage Capital, Inc.(a)		176,700		597,246
KKR Real Estate Finance Trust, Inc.(a) .		26,550		475,776
New York Mortgage Trust, Inc.		368,500		1,359,765
PennyMac Mortgage Investment Trust		96,500		1,697,435
Ready Capital Corp.(a)		39,653		493,680
Redwood Trust, Inc.		109,120		958,074

				8,752,506

Multiline Retail — 0.6%
Big Lots, Inc.(a)		34,930		1,499,545
Macy’s, Inc.(a)		303,150		3,410,437

				4,909,982

Multi-Utilities — 0.3%
Avista Corp.		67,173		2,696,324

Oil, Gas & Consumable Fuels — 1.7%
Bonanza Creek Energy, Inc.*		18,020		348,327
Callon Petroleum Co.*(a)		38,760		510,082
CONSOL Energy, Inc.*		28,930		208,585
Dorian LPG Ltd.*		32,690		398,491
Green Plains, Inc.*(a)		32,490		427,893
Laredo Petroleum, Inc.*		8,812		173,596
Matador Resources Co.*(a)		107,100		1,291,626
Par Pacific Holdings, Inc.*		38,770		542,004
PBF Energy, Inc. (Class A Stock)(a)		93,740		665,554
PDC Energy, Inc.*		97,258		1,996,707
Penn Virginia Corp.*		14,480		146,972
QEP Resources, Inc.		236,100		564,279
Range Resources Corp.*		250,050		1,675,335
Renewable Energy Group, Inc.*(a)		38,450		2,723,029
REX American Resources Corp.*		5,170		379,840
SM Energy Co.		103,600		634,032
Southwestern Energy Co.*(a)		631,160		1,880,857
Talos Energy, Inc.*		22,550		185,812

				14,753,021

Paper & Forest Products — 0.7%
Boise Cascade Co.		38,340		1,832,652
Clearwater Paper Corp.*		16,200		611,550
Glatfelter Corp.		43,260		708,599
Mercer International, Inc. (Germany)		38,400		393,600
Neenah, Inc.		16,458		910,456
Schweitzer-Mauduit International, Inc.		30,656		1,232,678

				5,689,535

Personal Products — 0.5%
Inter Parfums, Inc.		17,300		1,046,477
Medifast, Inc.		11,540		2,265,764
USANA Health Sciences, Inc.*(a)		11,750		905,925

				4,218,166

Pharmaceuticals — 1.2%
Amphastar Pharmaceuticals, Inc.*(a)		35,600		715,916
ANI Pharmaceuticals, Inc.*		9,440		274,138
Corcept Therapeutics, Inc.*(a)		102,250		2,674,860


COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (cont’d.)
Endo International PLC*(a)		224,700	$	1,613,346
Innoviva, Inc.*		61,350		760,126
Lannett Co., Inc.*(a)		33,300		217,116
Pacira BioSciences, Inc.*(a)		42,450		2,540,208
Phibro Animal Health Corp. (Class A Stock)		19,600		380,632
Supernus Pharmaceuticals, Inc.*(a)		51,410		1,293,476

				10,469,818

Professional Services — 1.1%
Exponent, Inc.		50,470		4,543,814
Forrester Research, Inc.*		10,722		449,252
Heidrick & Struggles International, Inc.		18,874		554,518
Kelly Services, Inc. (Class A Stock)		32,469		667,887
Korn Ferry		52,940		2,302,890
Resources Connection, Inc.		29,500		370,815
TrueBlue, Inc.*		34,488		644,581

				9,533,757

Real Estate Management & Development — 0.5%
Marcus & Millichap, Inc.*		23,550		876,767
Realogy Holdings Corp.*		112,750		1,479,280
REX Holdings, Inc. (Class A Stock)		18,180		660,479
St. Joe Co. (The)		30,470		1,293,451

				4,309,977

Road & Rail — 0.9%
ArcBest Corp.		24,845		1,060,136
Heartland Express, Inc.		48,018		869,126
Marten Transport Ltd.		57,175		985,125
Saia, Inc.*		25,620		4,632,096

				7,546,483

Semiconductors & Semiconductor Equipment — 4.3%
Advanced Energy Industries, Inc.*		37,487		3,635,114
Axcelis Technologies, Inc.*		32,720		952,806
Brooks Automation, Inc.		72,215		4,899,788
CEVA, Inc.*		21,740		989,170
Cohu, Inc.		40,997		1,565,265
Diodes, Inc.*		41,190		2,903,895
DSP Group, Inc.*		21,238		352,338
FormFactor, Inc.*		75,700		3,256,614
Ichor Holdings Ltd.*		22,690		683,990
Kulicke & Soffa Industries, Inc. (Singapore)		60,642		1,929,022
MaxLinear, Inc.*		65,950		2,518,631
Onto Innovation, Inc.*		47,727		2,269,419
PDF Solutions, Inc.*		28,650		618,840
Photronics, Inc.*		63,780		711,785
Power Integrations, Inc.		58,530		4,791,266
Rambus, Inc.*		111,320		1,943,647
SMART Global Holdings, Inc.*(a)		13,630		512,897
Ultra Clean Holdings, Inc.*		39,520		1,231,048
Veeco Instruments, Inc.*		48,293		838,367

				36,603,902

Software — 3.1%
8x8, Inc.*(a)		103,980		3,584,191

SEE NOTES TO FINANCIAL STATEMENTS.

A163



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Software (cont’d.)
Agilysys, Inc.*		19,872	$	762,687
Alarm.com Holdings, Inc.*		43,690		4,519,730
Bottomline Technologies DE, Inc.*		38,310		2,020,469
Ebix, Inc.(a)		23,047		875,095
LivePerson, Inc.*(a)		60,820		3,784,829
MicroStrategy, Inc. (Class A Stock)*(a)		7,130		2,770,361
OneSpan, Inc.*		33,230		687,196
Progress Software Corp.		44,087		1,992,292
SPS Commerce, Inc.*		34,590		3,756,128
Xperi Holding Corp.		103,325		2,159,493

				26,912,471

Specialty Retail — 3.8%
Aaron’s Co., Inc. (The)*		32,800		621,888
Abercrombie & Fitch Co. (Class A Stock)		60,900		1,239,924
America’s Car-Mart, Inc.*		6,020		661,237
Asbury Automotive Group, Inc.*(a)		18,890		2,753,029
Barnes & Noble Education, Inc.*(a)		28,826		134,041
Bed Bath & Beyond, Inc.(a)		123,070		2,185,723
Boot Barn Holdings, Inc.*		28,220		1,223,619
Buckle, Inc. (The)(a)		28,059		819,323
Caleres, Inc.		36,774		575,513
Cato Corp. (The) (Class A Stock)		18,773		180,033
Chico’s FAS, Inc.		116,500		185,235
Children’s Place, Inc. (The)*(a)		14,285		715,679
Conn’s, Inc.*(a)		18,600		217,434
Designer Brands, Inc. (Class A Stock)		57,300		438,345
GameStop Corp. (Class A Stock)*(a)		53,320		1,004,549
Genesco, Inc.*		13,952		419,816
Group 1 Automotive, Inc.(a)		16,904		2,216,791
Guess?, Inc.(a)		36,570		827,213
Haverty Furniture Cos., Inc.(a)		16,361		452,709
Hibbett Sports, Inc.*(a)		16,286		752,087
Lumber Liquidators Holdings, Inc.*		28,172		866,007
MarineMax, Inc.*		21,622		757,419
Michaels Cos., Inc. (The)*(a)		71,950		936,070
Monro, Inc.		32,552		1,735,022
ODP Corp. (The)(a)		51,505		1,509,096
Rent-A-Center, Inc.		47,600		1,822,604
Sally Beauty Holdings, Inc.*(a)		110,100		1,435,704
Shoe Carnival, Inc.(a)		8,410		329,504
Signet Jewelers Ltd.(a)		51,150		1,394,860
Sleep Number Corp.*(a)		27,190		2,225,773
Sonic Automotive, Inc. (Class A Stock)(a)		23,227		895,865
Zumiez, Inc.*		20,450		752,151

				32,284,263

Technology Hardware, Storage & Peripherals — 0.2%
3D Systems Corp.*(a)		121,180		1,269,966
Diebold Nixdorf, Inc.*(a)		75,650		806,429

				2,076,395

Textiles, Apparel & Luxury Goods — 2.4%
Capri Holdings Ltd.*		147,290		6,186,180
Crocs, Inc.*		66,013		4,136,375
Fossil Group, Inc.*(a)		45,420		393,792


COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods (cont’d.)
G-III Apparel Group Ltd.*		42,430	$	1,007,288
Kontoor Brands, Inc.		45,870		1,860,487
Movado Group, Inc.*		15,987		265,704
Oxford Industries, Inc.(a)		16,536		1,083,273
Steven Madden Ltd.		75,625		2,671,075
Unifi, Inc.*		14,530		257,762
Vera Bradley, Inc.*		21,350		169,946
Wolverine World Wide, Inc.		80,224		2,507,000

				20,538,882

Thrifts & Mortgage Finance — 2.1%
Axos Financial, Inc.*(a)		50,160		1,882,505
Capitol Federal Financial, Inc.		126,060		1,575,750
Flagstar Bancorp, Inc.		46,330		1,888,411
HomeStreet, Inc.		21,340		720,225
Meta Financial Group, Inc.		32,760		1,197,706
Mr. Cooper Group, Inc.*		70,150		2,176,754
NMI Holdings, Inc. (Class A Stock)*		82,850		1,876,553
Northfield Bancorp, Inc.		46,400		572,112
Northwest Bancshares, Inc.		124,670		1,588,296
Provident Financial Services, Inc.		71,150		1,277,854
TrustCo Bank Corp.		94,015		627,080
Walker & Dunlop, Inc.		28,470		2,619,809

				18,003,055

Tobacco — 0.3%
Universal Corp.		24,000		1,166,640
Vector Group Ltd.		124,352		1,448,701

				2,615,341

Trading Companies & Distributors — 0.7%
Applied Industrial Technologies, Inc.		37,968		2,961,124
DXP Enterprises, Inc.*		15,900		353,457
Foundation Building Materials, Inc.*		21,800		418,778
GMS, Inc.*		41,650		1,269,492
NOW, Inc.*		106,730		766,321
Veritiv Corp.*		12,040		250,312

				6,019,484

Water Utilities — 0.6%
American States Water Co.		36,132		2,872,855
California Water Service Group		48,720		2,632,342

				5,505,197

Wireless Telecommunication Services — 0.3%
Shenandoah Telecommunications Co.		48,730		2,107,572
Spok Holdings, Inc.		17,120		190,546

				2,298,118

TOTAL COMMON STOCKS (cost $533,102,741)				852,718,562

EXCHANGE-TRADED FUND — 0.2%
iShares Core S&P Small-Cap ETF, Class E(a) (cost $1,652,579)		23,400		2,150,460

TOTAL LONG-TERM INVESTMENTS (cost $534,755,320)				854,869,022

SEE NOTES TO FINANCIAL STATEMENTS.

A164



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value

SHORT-TERM INVESTMENTS — 18.2%
AFFILIATED MUTUAL FUNDS — 18.2%
PGIM Core Ultra Short Bond Fund(w)		1,916,230	$	1,916,230
PGIM Institutional Money Market Fund (cost $153,618,336; includes $153,595,681 of cash collateral for securities on loan)(b)(w)		153,884,630		153,807,687

TOTAL AFFILIATED MUTUAL FUNDS (cost $155,534,566)				155,723,917


Interest Rate	Maturity Date		Principal Amount (000)#
U.S. TREASURY OBLIGATION(k)(n) — 0.0%
U.S. Treasury Bills
0.070%		03/18/21		250		249,965

(cost $249,963)
TOTAL SHORT-TERM INVESTMENTS (cost $155,784,529)						155,973,882

TOTAL INVESTMENTS — 117.8% (cost $690,539,849)						1,010,842,904
Liabilities in excess of other assets(z) — (17.8)%						(152,856,690	)

NET ASSETS — 100.0%					$	857,986,214

See the Glossary for a list of the abbreviation(s) used in the annual 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 $149,795,663; cash collateral of $153,595,681 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 is the effective yield at purchase 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:

Futures contracts outstanding at December 31, 2020:

Number of
Contracts

Type

Expiration
Date

Current
Notional
Amount

Value /
Unrealized
Appreciation
(Depreciation)

Long Position:

Russell 2000 E-Mini Index

Mar. 2021

$2,962,200

$5,078

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


Broker	Cash and/or Foreign Currency			Securities Market Value
UBS Securities LLC		$	—		$	249,965

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.

A165



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	13,833,714	$	—	$	—
Air Freight & Logistics		6,035,595		—		—
Airlines		5,200,391		—		—
Auto Components		13,844,767		—		—
Automobiles		1,981,676		—		—
Banks		73,334,806		—		—
Beverages		2,791,649		—		—
Biotechnology		10,823,010		—		—
Building Products		16,759,164		—		—
Capital Markets		8,466,548		—		—
Chemicals		25,220,247		—		—
Commercial Services & Supplies		16,190,547		—		—
Communications Equipment		9,310,095		—		—
Construction & Engineering		7,245,849		—		—
Construction Materials		619,535		—		—
Consumer Finance		7,378,916		—		—
Containers & Packaging		724,599		—		—
Distributors		1,287,875		—		—
Diversified Consumer Services		1,515,567		—		—
Diversified Telecommunication Services		11,453,990		—		—
Electrical Equipment		4,593,117		—		—
Electronic Equipment, Instruments & Components		32,500,769		—		—
Energy Equipment & Services		11,527,472		—		—
Entertainment		1,601,936		—		—
Equity Real Estate Investment Trusts (REITs)		62,386,765		—		—
Food & Staples Retailing		5,109,067		—		—
Food Products		10,766,195		—		—
Gas Utilities		5,346,850		—		—
Health Care Equipment & Supplies		25,908,322		—		—
Health Care Providers & Services		34,905,044		—		—
Health Care Technology		14,220,622		—		—
Hotels, Restaurants & Leisure		14,290,485		—		—
Household Durables		20,700,506		—		—
Household Products		5,322,822		—		—
Industrial Conglomerates		1,157,488		—		—
Insurance		23,764,984		—		—
Interactive Media & Services		1,017,542		—		—
Internet & Direct Marketing Retail		6,097,824		—		—
IT Services		18,786,811		—		—
Leisure Products		9,689,981		—		—
Life Sciences Tools & Services		6,818,995		—		—
Machinery		50,808,045		—		—
Marine		3,174,682		—		—
Media		5,171,541		—		—
Metals & Mining		17,295,480		—		—
Mortgage Real Estate Investment Trusts (REITs)		8,752,506		—		—
Multiline Retail		4,909,982		—		—
Multi-Utilities		2,696,324		—		—
Oil, Gas & Consumable Fuels		14,753,021		—		—
Paper & Forest Products		5,689,535		—		—
Personal Products		4,218,166		—		—
Pharmaceuticals		10,469,818		—		—
Professional Services		9,533,757		—		—
Real Estate Management & Development		4,309,977		—		—
Road & Rail		7,546,483		—		—
Semiconductors & Semiconductor Equipment		36,603,902		—		—
Software		26,912,471		—		—
Specialty Retail		32,284,263		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A166



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Technology Hardware, Storage & Peripherals	$	2,076,395	$	—	$	—
Textiles, Apparel & Luxury Goods		20,538,882		—		—
Thrifts & Mortgage Finance		18,003,055		—		—
Tobacco		2,615,341		—		—
Trading Companies & Distributors		6,019,484		—		—
Water Utilities		5,505,197		—		—
Wireless Telecommunication Services		2,298,118		—		—
Exchange-Traded Fund		2,150,460		—		—
Affiliated Mutual Funds		155,723,917		—		—
U.S. Treasury Obligation		—		249,965		—

Total	$	1,010,592,939	$	249,965	$	—

Other Financial Instruments*
Assets
Futures Contracts	$	5,078	$	—	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Affiliated Mutual Funds (17.9% represents investments purchased with collateral from securities on loan)	18.2	%
Banks	8.5
Equity Real Estate Investment Trusts (REITs)	7.3
Machinery	5.9
Semiconductors & Semiconductor Equipment	4.3
Health Care Providers & Services	4.1
Electronic Equipment, Instruments & Components	3.8
Specialty Retail	3.8
Software	3.1
Health Care Equipment & Supplies	3.0
Chemicals	2.9
Insurance	2.8
Household Durables	2.4
Textiles, Apparel & Luxury Goods	2.4
IT Services	2.2
Thrifts & Mortgage Finance	2.1
Metals & Mining	2.0
Building Products	2.0
Commercial Services & Supplies	1.9
Oil, Gas & Consumable Fuels	1.7
Hotels, Restaurants & Leisure	1.7
Health Care Technology	1.7
Auto Components	1.6
Aerospace & Defense	1.6
Energy Equipment & Services	1.3
Diversified Telecommunication Services	1.3
Biotechnology	1.3
Food Products	1.3
Pharmaceuticals	1.2
Leisure Products	1.1
Professional Services	1.1
Communications Equipment	1.1


Mortgage Real Estate Investment Trusts (REITs)	1.0	%
Capital Markets	1.0
Road & Rail	0.9
Consumer Finance	0.9
Construction & Engineering	0.8
Life Sciences Tools & Services	0.8
Internet & Direct Marketing Retail	0.7
Air Freight & Logistics	0.7
Trading Companies & Distributors	0.7
Paper & Forest Products	0.7
Water Utilities	0.6
Gas Utilities	0.6
Household Products	0.6
Airlines	0.6
Media	0.6
Food & Staples Retailing	0.6
Multiline Retail	0.6
Electrical Equipment	0.5
Real Estate Management & Development	0.5
Personal Products	0.5
Marine	0.4
Beverages	0.3
Multi-Utilities	0.3
Tobacco	0.3
Wireless Telecommunication Services	0.3
Exchange-Traded Fund	0.2
Technology Hardware, Storage & Peripherals	0.2
Automobiles	0.2
Entertainment	0.2
Diversified Consumer Services	0.2
Distributors	0.2
Industrial Conglomerates	0.1
Interactive Media & Services	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A167



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Industry Classification (continued):
Containers & Packaging	0.1	%
Construction Materials	0.1
U.S. Treasury Obligation	0.0	*

	117.8
Liabilities in excess of other assets	(17.8	)

	100.0	%

*	Less than +/- 0.05%

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

Fair values of derivative instruments as of December 31, 2020 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

5,078

—

*	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 year ended December 31, 2020 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			$	272,051


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Futures
Equity contracts	$	16,987	$	(24,691	)

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

For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:

Futures
Contracts—
Long
Positions(1)

$2,761,366

(1)	Notional Amount in USD.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

SEE NOTES TO FINANCIAL STATEMENTS.

A168



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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

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	$	149,795,663	$	(149,795,663	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A169



		*SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $149,795,663:
Unaffiliated investments (cost $535,005,283)	$	855,118,987
Affiliated investments (cost $155,534,566)		155,723,917
Dividends and interest receivable		922,966
Receivable for investments sold		611,447
Receivable for Portfolio shares sold		4,693
Tax reclaim receivable		1,322
Prepaid expenses		7,563

Total Assets		1,012,390,895

LIABILITIES
Payable to broker for collateral for securities on loan		153,595,681
Accrued expenses and other liabilities		277,398
Management fee payable		249,814
Payable for Portfolio shares purchased		245,208
Payable for investments purchased		30,545
Due to broker-variation margin futures		1,998
Trustees’ fees payable		1,735
Payable to affiliate		1,322
Affiliated transfer agent fee payable		980

Total Liabilities		154,404,681

NET ASSETS	$	857,986,214

Net assets were comprised of:
Partners’ Equity	$	857,986,214

Net asset value and redemption price per share, $857,986,214 / 17,965,148 outstanding shares of beneficial interest	$	47.76

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $13,125 foreign withholding tax)	$	9,383,408
Income from securities lending, net (including affiliated income of $434,257)		886,374
Affiliated dividend income		12,285
Interest income		292

Total income		10,282,359

EXPENSES
Management fee		2,453,539
Custodian and accounting fees		127,139
Shareholders’ reports		105,133
Legal fees and expenses		26,972
Audit fee		24,792
Trustees’ fees		18,630
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		24,878

Total expenses		2,791,767

NET INVESTMENT INCOME (LOSS)		7,490,592

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(120,046))		19,269,054
Futures transactions		272,051

		19,541,105

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $155,631)		51,060,847
Futures		(24,691	)

		51,036,156

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		70,577,261

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	78,067,853

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	7,490,592		$	9,157,915
Net realized gain (loss) on investment transactions		19,541,105			51,329,626
Net change in unrealized appreciation (depreciation) on investments		51,036,156			98,364,111

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		78,067,853			158,851,652


PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [412,603 and 457,311 shares, respectively]		15,006,733			18,453,240
Portfolio shares purchased [1,826,796 and 1,807,785 shares, respectively]		(69,049,362	)		(71,967,512	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(54,042,629	)		(53,514,272	)

TOTAL INCREASE (DECREASE)		24,025,224			105,337,380
NET ASSETS:
Beginning of year		833,960,990			728,623,610

End of year	$	857,986,214		$	833,960,990

SEE NOTES TO FINANCIAL STATEMENTS.

A170



		*SP INTERNATIONAL GROWTH PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 98.5%
COMMON STOCKS — 97.5%	Shares		Value
Argentina — 2.6%
MercadoLibre, Inc.*		1,625	$	2,722,232

Australia — 1.3%
Aristocrat Leisure Ltd.		14,922		358,280
Cochlear Ltd.		2,944		429,914
CSL Ltd.		2,502		548,959

				1,337,153

Austria — 0.5%
BAWAG Group AG, 144A*		10,581		492,356

Belgium — 0.3%
KBC Group NV*		4,486		316,228

Canada — 2.4%
Canadian National Railway Co.		6,242		686,233
Shopify, Inc. (Class A Stock)*		1,609		1,821,307

				2,507,540

China — 5.8%
Alibaba Group Holding Ltd.*		31,416		946,193
Meituan (Class B Stock)*		20,684		788,915
NetEase, Inc.		31,725		607,194
TAL Education Group, ADR*		9,359		669,262
Tencent Holdings Ltd.		23,522		1,708,629
Wuxi Biologics Cayman, Inc., 144A*		94,974		1,281,286

				6,001,479

Denmark — 2.4%
Chr Hansen Holding A/S*		1,379		141,669
Coloplast A/S (Class B Stock)		3,417		519,485
DSV Panalpina A/S		2,447		410,405
Novo Nordisk A/S (Class B Stock)		8,204		569,620
Orsted A/S, 144A		3,922		804,440

				2,445,619

Finland — 0.7%
Neste OYJ		10,060		728,424

France — 11.6%
Air Liquide SA		1,543		254,360
Airbus SE*		5,779		635,016
Arkema SA		1,335		153,086
Dassault Systemes SE		3,786		771,325
Hermes International		211		227,006
Kering SA		908		659,763
L’Oreal SA		4,469		1,699,558
LVMH Moet Hennessy Louis Vuitton SE		4,014		2,505,820
Pernod Ricard SA		6,927		1,328,373
Remy Cointreau SA		2,650		493,959
Safran SA*		5,312		755,904
Sartorius Stedim Biotech		899		321,365
Schneider Electric SE		4,122		598,375
Teleperformance		3,468		1,158,259
TOTAL SE		9,185		396,310

				11,958,479

Germany — 5.4%
adidas AG*		1,065		388,928


COMMON STOCKS (continued)	Shares		Value
Germany (cont’d.)
Brenntag AG		6,482	$	503,430
Deutsche Boerse AG		1,791		305,200
Gerresheimer AG		6,841		735,852
Hypoport SE*		348		220,932
Infineon Technologies AG		38,581		1,490,670
Rational AG(a)		538		501,738
SAP SE		726		96,278
SAP SE, ADR(a)		4,805		626,524
Scout24 AG, 144A		4,677		384,176
TeamViewer AG, 144A*		5,027		270,534

				5,524,262

Hong Kong — 2.7%
AIA Group Ltd.		101,000		1,243,737
Techtronic Industries Co. Ltd.		108,732		1,556,994

				2,800,731

India — 1.7%
HDFC Bank Ltd., ADR*		8,682		627,361
Infosys Ltd., ADR		29,648		502,534
Reliance Industries Ltd., 144A, GDR		10,928		598,454

				1,728,349

Ireland — 2.6%
AerCap Holdings NV*		4,279		195,037
CRH PLC		19,323		811,249
Kerry Group PLC (Class A Stock)		5,115		741,313
Kingspan Group PLC*		7,120		500,699
Smurfit Kappa Group PLC		9,838		459,224

				2,707,522

Israel — 2.6%
Check Point Software Technologies Ltd.*(a)		6,381		848,099
Nice Ltd., ADR*(a)		3,907		1,107,791
Wix.com Ltd.*		3,043		760,628

				2,716,518

Italy — 2.1%
Brunello Cucinelli SpA*(a)		14,440		632,167
Ferrari NV		4,951		1,149,168
Nexi SpA, 144A*		20,075		402,662

				2,183,997

Japan — 9.8%
Asahi Intecc Co. Ltd.		7,500		273,672
Bridgestone Corp.		12,200		400,221
Daikin Industries Ltd.		5,300		1,179,306
GMO Payment Gateway, Inc.		4,433		594,584
Hoya Corp.		9,000		1,246,285
Kao Corp.		2,800		216,126
Keyence Corp.		3,433		1,932,233
M3, Inc.		2,200		208,054
Menicon Co. Ltd.		8,815		533,034
Nihon M&A Center, Inc.		6,200		415,401
Otsuka Corp.		2,400		126,609
Sanwa Holdings Corp.		34,100		397,484
SCSK Corp.		4,500		257,395

SEE NOTES TO FINANCIAL STATEMENTS.

A171



		*SP INTERNATIONAL GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Japan (cont’d.)
Shionogi & Co. Ltd.		4,900	$	267,939
Shiseido Co. Ltd.		5,300		366,429
SMC Corp.		1,000		610,871
Terumo Corp.		6,700		280,210
Tokio Marine Holdings, Inc.		6,000		308,564
Toyota Motor Corp.		6,800		524,492

				10,138,909

Netherlands — 6.6%
Adyen NV, 144A*		1,343		3,133,572
ASML Holding NV		3,958		1,945,308
Heineken NV		6,523		728,831
Koninklijke Philips NV*		10,783		585,964
NXP Semiconductors NV		2,871		456,518

				6,850,193

New Zealand — 0.3%
Fisher & Paykel Healthcare Corp. Ltd.		12,649		299,796

Norway — 0.3%
TOMRA Systems ASA		7,195		355,620

Singapore — 0.4%
DBS Group Holdings Ltd.		21,900		415,776

Spain — 0.5%
Amadeus IT Group SA		6,396		467,454

Sweden — 2.7%
Assa Abloy AB (Class B Stock)		22,585		557,506
Atlas Copco AB (Class A Stock)		13,287		677,545
Autoliv, Inc.		1,635		150,584
Hexagon AB (Class B Stock)		10,498		958,906
Nibe Industrier AB (Class B Stock)		12,336		404,952

				2,749,493

Switzerland — 9.1%
Alcon, Inc.*		4,463		296,968
Givaudan SA		200		848,420
Julius Baer Group Ltd.		7,772		446,863
Lonza Group AG		2,046		1,319,151
Novartis AG		6,826		645,701
Partners Group Holding AG		902		1,074,651
Roche Holding AG		2,825		988,775
SGS SA		131		396,448
SIG Combibloc Group AG*		27,492		639,342
Sika AG		2,252		617,767
Sonova Holding AG*		2,441		635,934
Straumann Holding AG		554		646,008
Temenos AG		3,048		427,330
UBS Group AG		26,368		377,969

				9,361,327

Taiwan — 4.5%
Sea Ltd., ADR*(a)		12,094		2,407,311
Taiwan Semiconductor Manufacturing Co. Ltd.		59,000		1,114,507
Taiwan Semiconductor Manufacturing Co. Ltd., ADR.		10,415		1,135,651

				4,657,469


COMMON STOCKS (continued)	Shares		Value
United Kingdom — 13.7%
Abcam PLC		30,961	$	657,273
Ashtead Group PLC		14,938		701,179
Barratt Developments PLC*		28,510		262,576
Bunzl PLC		28,626		956,917
Compass Group PLC		22,016		409,945
DCC PLC		8,616		610,346
Diageo PLC		22,944		903,866
Electrocomponents PLC		55,398		660,958
Experian PLC		37,602		1,428,480
Farfetch Ltd. (Class A Stock)*		7,896		503,844
Fevertree Drinks PLC		14,087		488,945
Halma PLC		10,237		343,454
London Stock Exchange Group PLC		7,808		964,460
Prudential PLC		24,042		443,466
Reckitt Benckiser Group PLC		7,551		677,317
RELX PLC		26,975		660,294
Rentokil Initial PLC*		54,280		378,803
Rightmove PLC*		28,993		258,619
Segro PLC, REIT		36,584		475,688
Smith & Nephew PLC		16,752		347,831
Spectris PLC		4,689		180,603
Spirax-Sarco Engineering PLC		2,466		382,324
St. James’s Place PLC		16,761		260,515
Trainline PLC, 144A*		37,031		236,631
Unilever PLC		9,109		554,105
Weir Group PLC (The)*		14,231		386,607

				14,135,046

United States — 4.9%
Aon PLC (Class A Stock)(a)		2,794		590,288
Atlassian Corp. PLC (Class A Stock)*		5,476		1,280,672
Ferguson PLC		6,291		766,003
Lululemon Athletica, Inc.*		3,813		1,327,038
QIAGEN NV*(a)		5,335		281,955
Spotify Technology SA*		2,731		859,337

				5,105,293

TOTAL COMMON STOCKS (cost $58,325,657)				100,707,265


PREFERRED STOCK — 1.0%
Germany
Sartorius AG (PRFC)		2,482		1,046,929

(cost $184,703)
TOTAL LONG-TERM INVESTMENTS (cost $58,510,360)				101,754,194


SHORT-TERM INVESTMENTS — 7.1%

AFFILIATED MUTUAL FUNDS — 6.7%
PGIM Core Ultra Short Bond Fund(w)		979,546		979,546
PGIM Institutional Money Market Fund (cost $5,975,385; includes $5,974,516 of cash collateral for securities on loan)(b)(w)		5,982,903		5,979,911

TOTAL AFFILIATED MUTUAL FUNDS (cost $6,954,931)				6,959,457

SEE NOTES TO FINANCIAL STATEMENTS.

A172



		*SP INTERNATIONAL GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Shares		Value

UNAFFILIATED FUND — 0.4%
BlackRock Liquidity FedFund, (Institutional Shares)		397,740	$	397,740

(cost $397,740)
TOTAL SHORT-TERM INVESTMENTS (cost $7,352,671)				7,357,197

TOTAL INVESTMENTS — 105.6% (cost $65,863,031)				109,111,391
Liabilities in excess of other assets — (5.6)%				(5,774,150	)

NET ASSETS — 100.0%			$	103,337,241

See the Glossary for a list of the abbreviation(s) used in the annual 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 $5,856,173; cash collateral of $5,974,516 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Argentina	$	2,722,232	$	—	$	—
Australia		—		1,337,153		—
Austria		—		492,356		—
Belgium		—		316,228		—
Canada		2,507,540		—		—
China		669,262		5,332,217		—
Denmark		—		2,445,619		—
Finland		—		728,424		—
France		—		11,958,479		—
Germany		626,524		4,897,738		—
Hong Kong		—		2,800,731		—
India		1,129,895		598,454		—
Ireland		195,037		2,512,485		—
Israel		2,716,518		—		—
Italy		—		2,183,997		—
Japan		—		10,138,909		—
Netherlands		456,518		6,393,675		—
New Zealand		—		299,796		—
Norway		—		355,620		—

SEE NOTES TO FINANCIAL STATEMENTS.

A173



		*SP INTERNATIONAL GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Singapore	$	—	$	415,776	$	—
Spain		—		467,454		—
Sweden		150,584		2,598,909		—
Switzerland		—		9,361,327		—
Taiwan		3,542,962		1,114,507		—
United Kingdom		503,844		13,631,202		—
United States		4,339,290		766,003		—
Preferred Stock
Germany		—		1,046,929		—
Affiliated Mutual Funds		6,959,457		—		—
Unaffiliated Fund		397,740		—		—

Total	$	26,917,403	$	82,193,988	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


IT Services	7.7	%
Health Care Equipment & Supplies	6.9
Affiliated Mutual Funds (5.8% represents investments purchased with collateral from securities on loan)	6.7
Semiconductors & Semiconductor Equipment	5.9
Textiles, Apparel & Luxury Goods	5.5
Software	5.3
Internet & Direct Marketing Retail	5.0
Machinery	4.1
Professional Services	3.9
Beverages	3.9
Life Sciences Tools & Services	3.8
Entertainment	3.7
Trading Companies & Distributors	3.6
Capital Markets	3.4
Electronic Equipment, Instruments & Components	3.3
Building Products	2.9
Personal Products	2.6
Insurance	2.5
Pharmaceuticals	2.5
Interactive Media & Services	2.3
Chemicals	2.0
Banks	1.8
Oil, Gas & Consumable Fuels	1.7
Automobiles	1.6


Aerospace & Defense	1.3	%
Biotechnology	1.1
Containers & Packaging	1.0
Construction Materials	0.8
Electric Utilities	0.8
Hotels, Restaurants & Leisure	0.8
Food Products	0.7
Commercial Services & Supplies	0.7
Road & Rail	0.7
Household Products	0.7
Diversified Consumer Services	0.6
Industrial Conglomerates	0.6
Electrical Equipment	0.6
Auto Components	0.6
Equity Real Estate Investment Trusts (REITs)	0.5
Air Freight & Logistics	0.4
Unaffiliated Fund	0.4
Household Durables	0.3
Diversified Financial Services	0.2
Health Care Technology	0.2

	105.6
Liabilities in excess of other assets	(5.6	)

	100.0	%

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

SEE NOTES TO FINANCIAL STATEMENTS.

A174



		*SP INTERNATIONAL GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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	$	5,856,173	$	(5,856,173	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A175



		*SP INTERNATIONAL GROWTH PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020



ASSETS
Investments at value, including securities on loan of $5,856,173:
Unaffiliated investments (cost $58,908,100)	$	102,151,934
Affiliated investments (cost $6,954,931)		6,959,457
Foreign currency, at value (cost $56,836)		56,614
Receivable for investments sold		309,845
Tax reclaim receivable		308,635
Dividends receivable		25,935
Receivable from affiliate		11,864
Receivable for Portfolio shares sold		3,703
Prepaid expenses		2,914

Total Assets		109,830,901

LIABILITIES
Payable to broker for collateral for securities on loan		5,974,516
Payable to affiliate		155,798
Payable for investments purchased		150,569
Accrued expenses and other liabilities		135,654
Management fee payable		55,310
Payable for Portfolio shares purchased		19,821
Affiliated transfer agent fee payable		980
Trustees’ fees payable		954
Distribution fee payable		36
Administration fee payable		22

Total Liabilities		6,493,660

NET ASSETS	$	103,337,241

Net assets were comprised of:
Partners’ Equity	$	103,337,241

Class I:
Net asset value and redemption price per share, $103,163,060 / 8,415,841 outstanding shares of beneficial interest	$	12.26

Class II:
Net asset value and redemption price per share, $174,181 / 14,821 outstanding shares of beneficial interest	$	11.75

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $122,255 foreign withholding tax, of which $24,723 is reimbursable by an affiliate)	$	892,557
Income from securities lending, net (including affiliated income of $8,636)		12,246
Affiliated dividend income		6,882

Total income		911,685

EXPENSES
Management fee		734,837
Distribution fee—Class II		360
Administration fee—Class II		216
Custodian and accounting fees		180,267
Audit fee		30,492
Shareholders’ reports		27,459
Legal fees and expenses		24,600
Trustees’ fees		10,889
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		27,135

Total expenses		1,046,937
Less: Fee waivers and/or expense reimbursement		(173,661	)

Net expenses		873,276

NET INVESTMENT INCOME (LOSS)		38,409

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(4,327))		8,938,425
Foreign currency transactions		(12,841	)

		8,925,584

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $4,215)		16,513,414
Foreign currencies		12,404

		16,525,818

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		25,451,402

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	25,489,811

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	38,409		$	511,862
Net realized gain (loss) on investment and foreign currency transactions		8,925,584			4,000,687
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		16,525,818			17,472,656

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		25,489,811			21,985,205

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		5,403,610			2,564,427
Portfolio shares purchased		(13,300,644	)		(9,145,577	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(7,897,034	)		(6,581,150	)

CAPITAL CONTRIBUTIONS		—			87,941

TOTAL INCREASE (DECREASE)		17,592,777			15,491,996
NET ASSETS:
Beginning of year		85,744,464			70,252,468

End of year	$	103,337,241		$	85,744,464

SEE NOTES TO FINANCIAL STATEMENTS.

A176



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 99.0%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 0.7%
HEICO Corp. (Class A Stock)		22,746	$	2,662,647

Automobiles — 0.4%
Thor Industries, Inc.(a)		16,293		1,515,086

Banks — 0.8%
First Republic Bank		21,546		3,165,754

Beverages — 0.6%
Constellation Brands, Inc. (Class A Stock)		9,952		2,179,986

Biotechnology — 5.0%
Agios Pharmaceuticals, Inc.*(a)		33,699		1,460,178
Alnylam Pharmaceuticals, Inc.*		21,191		2,754,194
Exact Sciences Corp.*		35,240		4,668,947
Exelixis, Inc.*		113,690		2,281,758
Intercept Pharmaceuticals, Inc.*(a)		8,003		197,674
Ionis Pharmaceuticals, Inc.*		22,711		1,284,080
Neurocrine Biosciences, Inc.*		20,036		1,920,451
Sarepta Therapeutics, Inc.*		10,000		1,704,900
Seagen, Inc.*		16,614		2,909,776

				19,181,958

Building Products — 2.7%
Fortune Brands Home & Security, Inc.		38,264		3,279,990
Trane Technologies PLC		28,834		4,185,544
Trex Co., Inc.*(a)		35,821		2,998,934

				10,464,468

Capital Markets — 4.4%
Blackstone Group, Inc. (The) (Class A Stock)		32,322		2,094,789
Charles Schwab Corp. (The)		71,622		3,798,831
Evercore, Inc. (Class A Stock)		19,899		2,181,726
MarketAxess Holdings, Inc.		6,020		3,434,771
MSCI, Inc.		8,393		3,747,726
S&P Global, Inc.		5,267		1,731,421

				16,989,264

Commercial Services & Supplies — 1.3%
Copart, Inc.*		40,397		5,140,518

Containers & Packaging — 1.0%
Ball Corp.		40,636		3,786,462

Electrical Equipment — 2.2%
AMETEK, Inc.		27,508		3,326,817
Generac Holdings, Inc.*		21,499		4,889,088

				8,215,905

Electronic Equipment, Instruments & Components — 4.1%
Amphenol Corp. (Class A Stock)		32,154		4,204,779
Keysight Technologies, Inc.*		31,512		4,162,420
Littelfuse, Inc.		7,569		1,927,521
Zebra Technologies Corp. (Class A Stock)*		13,682		5,258,403

				15,553,123

Entertainment — 4.6%
Roku, Inc.*		16,444		5,459,737


COMMON STOCKS (continued)	Shares		Value
Entertainment (cont’d.)
Spotify Technology SA*		20,787	$	6,540,837
Take-Two Interactive Software, Inc.*		25,891		5,379,891

				17,380,465

Health Care Equipment & Supplies — 3.6%
Cooper Cos., Inc. (The)		7,127		2,589,382
DexCom, Inc.*		7,213		2,666,790
Insulet Corp.*		14,355		3,669,569
ResMed, Inc.		22,533		4,789,614

				13,715,355

Health Care Providers & Services — 4.0%
Acadia Healthcare Co., Inc.*		30,837		1,549,866
Amedisys, Inc.*		11,376		3,336,922
Centene Corp.*		38,660		2,320,760
Cigna Corp.		15,216		3,167,667
McKesson Corp.		28,889		5,024,375

				15,399,590

Health Care Technology — 2.2%
Teladoc Health, Inc.*(a)		20,757		4,150,570
Veeva Systems, Inc. (Class A Stock)*		15,421		4,198,367

				8,348,937

Hotels, Restaurants & Leisure — 2.2%
Airbnb, Inc. (Class A Stock)*		10,366		1,521,729
Chipotle Mexican Grill, Inc.*		3,446		4,778,602
Las Vegas Sands Corp.		37,565		2,238,874

				8,539,205

Household Durables — 2.1%
Garmin Ltd.		25,333		3,031,347
Helen of Troy Ltd.*(a)		15,728		3,494,604
NVR, Inc.*		374		1,525,868

				8,051,819

Industrial Conglomerates — 0.6%
Carlisle Cos., Inc.		15,352		2,397,675

Insurance — 0.9%
Progressive Corp. (The)		22,454		2,220,252
Selectquote, Inc.*(a)		54,182		1,124,276

				3,344,528

Interactive Media & Services — 3.1%
Match Group, Inc.*		39,636		5,992,567
Pinterest, Inc. (Class A Stock)*		48,770		3,213,943
Zillow Group, Inc. (Class C Stock)*		18,835		2,444,783

				11,651,293

Internet & Direct Marketing Retail — 1.5%
Booking Holdings, Inc.*		1,216		2,708,360
Chewy, Inc. (Class A Stock)*(a)		33,467		3,008,349

				5,716,709

IT Services — 6.6%
Booz Allen Hamilton Holding Corp.		50,564		4,408,170
Global Payments, Inc.		20,479		4,411,586
MongoDB, Inc.*(a)		10,732		3,853,217

SEE NOTES TO FINANCIAL STATEMENTS.

A177



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
IT Services (cont’d.)
Okta, Inc.*		16,979	$	4,317,081
Snowflake, Inc. (Class A Stock)*(a)		3,564		1,002,910
Square, Inc. (Class A Stock)*		10,775		2,345,071
Twilio, Inc. (Class A Stock)*		14,267		4,829,379

				25,167,414

Leisure Products — 0.5%
Brunswick Corp.(a)		23,835		1,817,180

Life Sciences Tools & Services — 1.7%
Maravai LifeSciences Holdings, Inc. (Class A Stock)*(a)		85,262		2,391,599
Mettler-Toledo International, Inc.*		3,707		4,224,794

				6,616,393

Machinery — 2.4%
Ingersoll Rand, Inc.*		65,515		2,984,863
ITT, Inc.		37,387		2,879,547
Stanley Black & Decker, Inc.		19,199		3,428,174

				9,292,584

Metals & Mining — 0.5%
Freeport-McMoRan, Inc.		73,943		1,923,997

Pharmaceuticals — 3.5%
Catalent, Inc.*		33,017		3,436,079
Horizon Therapeutics PLC*		59,455		4,349,133
Jazz Pharmaceuticals PLC*		16,670		2,751,384
Royalty Pharma PLC (Class A Stock)		55,100		2,757,755

				13,294,351

Professional Services — 3.8%
CoStar Group, Inc.*		3,845		3,553,857
Equifax, Inc.		25,202		4,859,954
FTI Consulting, Inc.*		17,920		2,002,022
IHS Markit Ltd.		46,095		4,140,714

				14,556,547

Road & Rail — 1.6%
Lyft, Inc. (Class A Stock)*		47,735		2,345,221
Old Dominion Freight Line, Inc.		19,601		3,825,723

				6,170,944

Semiconductors & Semiconductor Equipment — 9.7%
Advanced Micro Devices, Inc.*		39,777		3,647,949
Cree, Inc.*(a)		13,362		1,415,036
Enphase Energy, Inc.*(a)		36,195		6,351,137
Entegris, Inc.		45,976		4,418,293
Lam Research Corp.		7,640		3,608,143
Microchip Technology, Inc.		31,409		4,337,897
SolarEdge Technologies, Inc.*		14,734		4,701,914
Teradyne, Inc.		37,725		4,522,850
Xilinx, Inc.		29,095		4,124,798

				37,128,017

Software — 14.0%
Cadence Design Systems, Inc.*		37,873		5,167,013
Coupa Software, Inc.*		9,422		3,193,210
Crowdstrike Holdings, Inc. (Class A Stock)*		27,378		5,799,208


COMMON STOCKS (continued)	Shares		Value
Software (cont’d.)
DocuSign, Inc.*		18,341	$	4,077,204
Five9, Inc.*		19,148		3,339,411
HubSpot, Inc.*(a)		11,633		4,611,787
RingCentral, Inc. (Class A Stock)*		15,011		5,688,719
Splunk, Inc.*		25,232		4,286,665
Synopsys, Inc.*		24,326		6,306,272
Trade Desk, Inc. (The) (Class A Stock)*.		9,469		7,584,669
Zscaler, Inc.*		17,840		3,562,826

				53,616,984

Specialty Retail — 5.8%
Burlington Stores, Inc.*(a)		14,113		3,691,255
CarMax, Inc.*(a)		24,010		2,267,985
National Vision Holdings, Inc.*(a)		47,719		2,161,193
O’Reilly Automotive, Inc.*		14,361		6,499,358
Tractor Supply Co.		30,631		4,306,106
Ulta Beauty, Inc.*		11,322		3,251,226

				22,177,123

Textiles, Apparel & Luxury Goods — 0.9%
Lululemon Athletica, Inc.*		9,294		3,234,591

TOTAL LONG-TERM INVESTMENTS (cost $228,039,400)				378,396,872

SHORT-TERM INVESTMENTS — 11.0%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		4,451,129		4,451,129
PGIM Institutional Money Market Fund (cost $37,622,779; includes $37,617,007 of cash collateral for securities on loan)(b)(w)		37,694,739		37,675,892

TOTAL SHORT-TERM INVESTMENTS (cost $42,073,908)				42,127,021

TOTAL INVESTMENTS—110.0% (cost $270,113,308)				420,523,893

Liabilities in excess of other assets — (10.0)%				(38,079,976	)

NET ASSETS — 100.0%			$	382,443,917

See the Glossary for a list of the abbreviation(s) used in the annual 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 $36,490,391; cash collateral of $37,617,007 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A178



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	2,662,647	$	—	$	—
Automobiles		1,515,086		—		—
Banks		3,165,754		—		—
Beverages		2,179,986		—		—
Biotechnology		19,181,958		—		—
Building Products		10,464,468		—		—
Capital Markets		16,989,264		—		—
Commercial Services & Supplies		5,140,518		—		—
Containers & Packaging		3,786,462		—		—
Electrical Equipment		8,215,905		—		—
Electronic Equipment, Instruments & Components		15,553,123		—		—
Entertainment		17,380,465		—		—
Health Care Equipment & Supplies		13,715,355		—		—
Health Care Providers & Services		15,399,590		—		—
Health Care Technology		8,348,937		—		—
Hotels, Restaurants & Leisure		8,539,205		—		—
Household Durables		8,051,819		—		—
Industrial Conglomerates		2,397,675		—		—
Insurance		3,344,528		—		—
Interactive Media & Services		11,651,293		—		—
Internet & Direct Marketing Retail		5,716,709		—		—
IT Services		25,167,414		—		—
Leisure Products		1,817,180		—		—
Life Sciences Tools & Services		6,616,393		—		—
Machinery		9,292,584		—		—
Metals & Mining		1,923,997		—		—
Pharmaceuticals		13,294,351		—		—
Professional Services		14,556,547		—		—
Road & Rail		6,170,944		—		—
Semiconductors & Semiconductor Equipment		37,128,017		—		—
Software		53,616,984		—		—
Specialty Retail		22,177,123		—		—
Textiles, Apparel & Luxury Goods		3,234,591		—		—
Affiliated Mutual Funds		42,127,021		—		—

Total	$	420,523,893	$	—	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Software	14.0	%
Affiliated Mutual Funds (9.8% represents investments purchased with collateral from securities on loan)	11.0
Semiconductors & Semiconductor Equipment	9.7
IT Services	6.6
Specialty Retail	5.8


Biotechnology	5.0	%
Entertainment	4.6
Capital Markets	4.4
Electronic Equipment, Instruments & Components	4.1
Health Care Providers & Services	4.0
Professional Services	3.8

SEE NOTES TO FINANCIAL STATEMENTS.

A179



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Industry Classification (continued):


Health Care Equipment & Supplies	3.6	%
Pharmaceuticals	3.5
Interactive Media & Services	3.1
Building Products	2.7
Machinery	2.4
Hotels, Restaurants & Leisure	2.2
Health Care Technology	2.2
Electrical Equipment	2.2
Household Durables	2.1
Life Sciences Tools & Services	1.7
Road & Rail	1.6
Internet & Direct Marketing Retail	1.5
Commercial Services & Supplies	1.3
Containers & Packaging	1.0


Insurance	0.9	%
Textiles, Apparel & Luxury Goods	0.9
Banks	0.8
Aerospace & Defense	0.7
Industrial Conglomerates	0.6
Beverages	0.6
Metals & Mining	0.5
Leisure Products	0.5
Automobiles	0.4

	110.0
Liabilities in excess of other assets	(10.0	)

	100.0	%

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

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	$	36,490,391	$	(36,490,391	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A180



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $36,490,391:
Unaffiliated investments (cost $228,039,400)	$	378,396,872
Affiliated investments (cost $42,073,908)		42,127,021
Receivable for investments sold		136,611
Dividends receivable		40,361
Tax reclaim receivable		15,073
Receivable for Portfolio shares sold		1,804
Prepaid expenses		4,504

Total Assets		420,722,246

LIABILITIES
Payable to broker for collateral for securities on loan		37,617,007
Payable for Portfolio shares purchased		252,927
Management fee payable		190,753
Accrued expenses and other liabilities		123,453
Payable for investments purchased		81,381
Payable to affiliate		10,447
Trustees’ fees payable		1,272
Affiliated transfer agent fee payable		980
Distribution fee payable		68
Administration fee payable		41

Total Liabilities		38,278,329

NET ASSETS	$	382,443,917

Net assets were comprised of:
Partners’ Equity	$	382,443,917

Class I:
Net asset value and redemption price per share, $382,118,554 / 13,803,876 outstanding shares of beneficial interest	$	27.68

Class II:
Net asset value and redemption price per share, $325,363 / 12,607 outstanding shares of beneficial interest	$	25.81

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $3,491 foreign withholding tax)	$	1,387,284
Income from securities lending, net (including affiliated income of $113,680)		141,207
Affiliated dividend income		34,099

Total income		1,562,590

EXPENSES
Management fee.		1,814,768
Distribution fee—Class II		913
Administration fee—Class II		548
Custodian and accounting fees		67,726
Shareholders’ reports		38,901
Audit fee		27,892
Legal fees and expenses		25,408
Trustees’ fees		13,672
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		18,392

Total expenses		2,018,903

NET INVESTMENT INCOME (LOSS)		(456,313	)

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions (including affiliated of $(31,014))		44,796,196

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $49,089)		80,524,571

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		125,320,767

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	124,864,454

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	(456,313	)	$	(20,214	)
Net realized gain (loss) on investment transactions		44,796,196			49,633,228
Net change in unrealized appreciation (depreciation) on investments		80,524,571			29,910,391

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		124,864,454			79,523,405

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		21,356,366			9,574,970
Portfolio shares purchased		(44,027,064	)		(24,181,462	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(22,670,698	)		(14,606,492	)

TOTAL INCREASE (DECREASE)		102,193,756			64,916,913
NET ASSETS:
Beginning of year		280,250,161			215,333,248

End of year	$	382,443,917		$	280,250,161

SEE NOTES TO FINANCIAL STATEMENTS.

A181



		*SP SMALL CAP VALUE PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 98.2%
COMMON STOCKS — 96.6%	Shares		Value
Aerospace & Defense — 1.5%
AAR Corp.		35,440	$	1,283,637
Cubic Corp.		4,761		295,372
Ducommun, Inc.*		12,201		655,194
Kaman Corp.		23,571		1,346,611

				3,580,814

Air Freight & Logistics — 0.3%
Air Transport Services Group, Inc.*		23,723		743,479

Airlines — 0.6%
Allegiant Travel Co.		3,645		689,780
SkyWest, Inc.		18,676		752,829

				1,442,609

Auto Components — 1.6%
Adient PLC*		61,370		2,133,835
Cooper Tire & Rubber Co.		18,314		741,717
Visteon Corp.*		5,210		653,959
Workhorse Group, Inc.*(a)		12,964		256,428

				3,785,939

Banks — 15.3%
Amalgamated Bank (Class A Stock)		15,924		218,796
Ameris Bancorp		48,354		1,840,837
Atlantic Union Bankshares Corp.		45,220		1,489,547
BancorpSouth Bank		54,656		1,499,761
Bank of Hawaii Corp.		5,155		394,976
Banner Corp.		31,638		1,474,014
Brookline Bancorp, Inc.		64,002		770,584
Bryn Mawr Bank Corp.		3,350		102,493
Columbia Banking System, Inc.		47,986		1,722,697
Community Bank System, Inc.		24,954		1,554,884
ConnectOne Bancorp, Inc.		39,820		788,038
CVB Financial Corp.		73,367		1,430,656
FB Financial Corp.		32,622		1,132,962
First Financial Bankshares, Inc.(a)		38,404		1,389,265
First Merchants Corp.		42,029		1,572,305
First Midwest Bancorp, Inc.		30,817		490,607
First of Long Island Corp. (The)		8,461		151,029
German American Bancorp, Inc.		19,687		651,443
Glacier Bancorp, Inc.		44,079		2,028,075
Great Western Bancorp, Inc.		28,080		586,872
Heritage Financial Corp.		28,370		663,574
Home BancShares, Inc.		56,341		1,097,523
Independent Bank Corp.		22,755		1,662,025
Lakeland Financial Corp.		26,858		1,439,052
OceanFirst Financial Corp.		47,887		892,135
Pacific Premier Bancorp, Inc.		39,252		1,229,765
PacWest Bancorp		23,001		584,225
Pinnacle Financial Partners, Inc.		18,220		1,173,368
Renasant Corp.		52,093		1,754,492
Sandy Spring Bancorp, Inc.		8,003		257,616
South State Corp.		28,209		2,039,511
Towne Bank		25,751		604,633
TriCo Bancshares		24,328		858,292
United Community Banks, Inc.		64,961		1,847,491

				37,393,543


COMMON STOCKS (continued)	Shares		Value
Beverages — 0.0%
Primo Water Corp.		5,742	$	90,035

Biotechnology — 0.4%
Arena Pharmaceuticals, Inc.*		10,020		769,837
Emergent BioSolutions, Inc.*		3,097		277,491

				1,047,328

Building Products — 1.3%
AZEK Co., Inc. (The)*		4,748		182,561
Gibraltar Industries, Inc.*		13,716		986,729
Griffon Corp.		20,446		416,689
Resideo Technologies, Inc.*		76,404		1,624,349

				3,210,328

Capital Markets — 2.1%
Hamilton Lane, Inc. (Class A Stock)		12,177		950,415
Houlihan Lokey, Inc.		12,342		829,753
PJT Partners, Inc. (Class A Stock)		10,476		788,319
Stifel Financial Corp.		44,897		2,265,502
Virtu Financial, Inc. (Class A Stock)		10,571		266,072

				5,100,061

Chemicals — 2.0%
Avient Corp.		70,348		2,833,617
HB Fuller Co.		16,809		872,051
Kraton Corp.*		16,930		470,485
Quaker Chemical Corp.(a)		1,534		388,700
Stepan Co.		927		110,610
Tronox Holdings PLC (Class A Stock)		17,451		255,134

				4,930,597

Commercial Services & Supplies — 1.0%
ABM Industries, Inc.		25,909		980,397
Brady Corp. (Class A Stock)		14,626		772,545
Casella Waste Systems, Inc. (Class A Stock)*		12,572		778,835

				2,531,777

Communications Equipment — 1.1%
InterDigital, Inc.		11,329		687,444
NetScout Systems, Inc.*		31,952		876,124
Viavi Solutions, Inc.*		71,035		1,063,749

				2,627,317

Construction & Engineering — 2.1%
AECOM*		12,162		605,424
EMCOR Group, Inc.		13,508		1,235,442
MasTec, Inc.*		31,678		2,159,806
WillScot Mobile Mini Holdings Corp.*		48,716		1,128,750

				5,129,422

Construction Materials — 0.3%
Summit Materials, Inc. (Class A Stock)*		36,457		732,057

Consumer Finance — 1.0%
FirstCash, Inc.		7,775		544,561
Green Dot Corp. (Class A Stock)*		14,724		821,600
Oportun Financial Corp.*		11,495		222,658

SEE NOTES TO FINANCIAL STATEMENTS.

A182



		*SP SMALL CAP VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Consumer Financ (cont’d.)
PROG Holdings, Inc.		15,268	$	822,487

				2,411,306

Diversified Consumer Services — 0.2%
Laureate Education, Inc. (Class A Stock)*		30,168		439,246

Diversified Financial Services — 0.1%
Alerus Financial Corp.		7,654		209,490

Diversified Telecommunication Services — 0.4%
Vonage Holdings Corp.*		72,949		939,218

Electric Utilities — 2.4%
ALLETE, Inc.		21,735		1,346,266
IDACORP, Inc.		8,918		856,395
MGE Energy, Inc.		15,394		1,078,042
PNM Resources, Inc.		17,327		840,879
Portland General Electric Co.		38,315		1,638,733

				5,760,315

Electronic Equipment, Instruments & Components — 2.0%
CTS Corp.		28,642		983,280
FARO Technologies, Inc.*		12,019		848,902
Knowles Corp.*		34,027		627,118
Rogers Corp.*		8,965		1,392,175
TTM Technologies, Inc.*		68,827		949,468

				4,800,943

Energy Equipment & Services — 1.2%
Cactus, Inc. (Class A Stock)		32,584		849,465
ChampionX Corp.*		132,218		2,022,935

				2,872,400

Entertainment — 0.3%
IMAX Corp.*		35,182		633,980
Live Nation Entertainment, Inc.*		1,757		129,104

				763,084

Equity Real Estate Investment Trusts (REITs) — 8.5%
Acadia Realty Trust		106,530		1,511,661
CyrusOne, Inc.		14,601		1,068,063
EastGroup Properties, Inc.		7,164		989,062
Healthcare Realty Trust, Inc.		53,899		1,595,411
Highwoods Properties, Inc.		23,930		948,346
Hudson Pacific Properties, Inc.		32,747		786,583
Life Storage, Inc.		13,716		1,637,553
National Health Investors, Inc.		25,053		1,732,916
Park Hotels & Resorts, Inc.(a)		54,836		940,437
Pebblebrook Hotel Trust		107,957		2,029,592
Physicians Realty Trust		73,439		1,307,214
Preferred Apartment Communities, Inc. (Class A Stock)		30,465		225,441
PS Business Parks, Inc.		6,945		922,782
RLJ Lodging Trust		96,076		1,359,475
Safehold, Inc.(a)		10,590		767,669
STAG Industrial, Inc.		50,398		1,578,465
Terreno Realty Corp.		23,053		1,348,831

				20,749,501


COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 0.9%
Performance Food Group Co.*		46,512	$	2,214,436

Food Products — 2.7%
Darling Ingredients, Inc.*		58,761		3,389,334
Hostess Brands, Inc.*(a)		51,201		749,583
Sanderson Farms, Inc.		2,469		326,402
Simply Good Foods Co. (The)*(a)		32,715		1,025,942
Utz Brands, Inc.(a)		48,045		1,059,873

				6,551,134

Gas Utilities — 1.0%
Chesapeake Utilities Corp.		6,502		703,582
ONE Gas, Inc.		23,955		1,839,025

				2,542,607

Health Care Equipment & Supplies — 1.7%
Avanos Medical, Inc.*		30,149		1,383,236
CONMED Corp.		11,243		1,259,216
Globus Medical, Inc. (Class A Stock)*		1,809		117,983
LivaNova PLC*		9,820		650,182
Merit Medical Systems, Inc.*		11,860		658,349

				4,068,966

Health Care Providers & Services — 1.9%
Acadia Healthcare Co., Inc.*		23,773		1,194,831
AMN Healthcare Services, Inc.*		11,564		789,243
Magellan Health, Inc.*		10,868		900,305
Owens & Minor, Inc.		21,585		583,874
Tenet Healthcare Corp.*		31,608		1,262,108

				4,730,361

Health Care Technology — 0.3%
Allscripts Healthcare Solutions, Inc.*		56,303		813,015

Hotels, Restaurants & Leisure — 4.5%
Boyd Gaming Corp.*		50,214		2,155,185
Brinker International, Inc.		26,779		1,514,888
Caesars Entertainment, Inc.*		18,637		1,384,170
Jack in the Box, Inc.(a)		8,391		778,685
Marriott Vacations Worldwide Corp.		13,378		1,835,729
Penn National Gaming, Inc.*(a)		12,661		1,093,530
SeaWorld Entertainment, Inc.*		39,051		1,233,621
Wyndham Destinations, Inc.		21,103		946,681

				10,942,489

Household Durables — 1.7%
Helen of Troy Ltd.*		1,486		330,174
KB Home		6,818		228,539
Meritage Homes Corp.*		16,612		1,375,806
Taylor Morrison Home Corp.*		46,984		1,205,140
TopBuild Corp.*		4,863		895,181

				4,034,840

Independent Power & Renewable Electricity Producers — 0.2%
Clearway Energy, Inc. (Class A Stock)		12,554		370,971

Insurance — 3.9%
AMERISAFE, Inc.		9,985		573,439
BRP Group, Inc. (Class A Stock)*		33,039		990,179
CNO Financial Group, Inc.		17,621		391,715

SEE NOTES TO FINANCIAL STATEMENTS.

A183



		*SP SMALL CAP VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Insurance (cont’d.)
Enstar Group Ltd.*		5,717	$	1,171,356
Kemper Corp.		7,956		611,259
Kinsale Capital Group, Inc.		4,178		836,143
Palomar Holdings, Inc.*		9,111		809,421
Primerica, Inc.		10,717		1,435,328
RLI Corp.		11,532		1,201,058
Selective Insurance Group, Inc.		23,403		1,567,533

				9,587,431

IT Services — 1.5%
KBR, Inc.		91,332		2,824,899
ManTech International Corp. (Class A Stock)		9,786		870,367

				3,695,266

Leisure Products — 0.4%
Callaway Golf Co.		22,865		548,989
Malibu Boats, Inc. (Class A Stock)*		7,174		447,944

				996,933

Life Sciences Tools & Services — 0.9%
Luminex Corp.(a)		19,769		457,059
PRA Health Sciences, Inc.*		5,860		735,079
Syneos Health, Inc.*		13,163		896,795

				2,088,933

Machinery — 6.7%
Astec Industries, Inc.		20,278		1,173,691
Chart Industries, Inc.*		15,939		1,877,455
CIRCOR International, Inc.*		16,062		617,423
Colfax Corp.*		38,058		1,455,338
Columbus McKinnon Corp.		23,767		913,603
Federal Signal Corp.		39,762		1,318,905
Kennametal, Inc.		40,524		1,468,590
Navistar International Corp.*		7,239		318,226
Rexnord Corp.		61,259		2,419,118
SPX FLOW, Inc.*		25,703		1,489,746
Timken Co. (The)		14,442		1,117,233
TriMas Corp.*		37,407		1,184,680
Watts Water Technologies, Inc. (Class A Stock)		7,404		901,067

				16,255,075

Media — 0.8%
Nexstar Media Group, Inc. (Class A Stock)		11,873		1,296,413
TEGNA, Inc.		54,510		760,414

				2,056,827

Metals & Mining — 3.6%
Alcoa Corp.*		32,390		746,589
Allegheny Technologies, Inc.*		38,862		651,716
Arconic Corp.*		70,704		2,106,979
Cleveland-Cliffs, Inc.(a)		152,840		2,225,350
Coeur Mining, Inc.*		90,268		934,274
Commercial Metals Co.		29,155		598,844
Constellium SE*		82,060		1,148,019
Sandstorm Gold Ltd. (Canada)*(a)		39,340		282,068


COMMON STOCKS (continued)	Shares		Value
Metals & Mining (cont’d.)
Warrior Met Coal, Inc.		10,237	$	218,253

				8,912,092

Mortgage Real Estate Investment Trusts (REITs) — 1.4%
KKR Real Estate Finance Trust, Inc.(a)		52,319		937,556
PennyMac Mortgage Investment Trust		65,367		1,149,806
Two Harbors Investment Corp.		225,404		1,435,823

				3,523,185

Multiline Retail — 0.0%
Big Lots, Inc.(a)		2,650		113,765

Oil, Gas & Consumable Fuels — 2.2%
Brigham Minerals, Inc. (Class A Stock)		44,579		489,923
EQT Corp.(a)		72,535		921,920
Golar LNG Ltd. (Cameroon)*(a)		64,542		622,185
Rattler Midstream LP		37,534		355,822
Renewable Energy Group, Inc.*(a)		9,090		643,754
Viper Energy Partners LP		88,457		1,027,870
WPX Energy, Inc.*		156,486		1,275,361

				5,336,835

Paper & Forest Products — 0.1%
Domtar Corp.		5,699		180,373

Pharmaceuticals — 0.2%
Prestige Consumer Healthcare, Inc.*		15,711		547,843

Professional Services — 1.1%
ASGN, Inc.*		21,303		1,779,440
FTI Consulting, Inc.*		3,394		379,178
ICF International, Inc.		7,974		592,707

				2,751,325

Real Estate Management & Development — 0.3%
Kennedy-Wilson Holdings, Inc.		40,261		720,269

Road & Rail — 0.9%
ArcBest Corp.		19,552		834,284
Saia, Inc.*		7,701		1,392,341

				2,226,625

Semiconductors & Semiconductor Equipment — 1.9%
Allegro MicroSystems, Inc. (Japan)*		18,583		495,423
Cohu, Inc.		40,531		1,547,474
Onto Innovation, Inc.*		25,880		1,230,594
Semtech Corp.*		8,516		613,918
Silicon Laboratories, Inc.*		6,498		827,455

				4,714,864

Software — 1.1%
Bottomline Technologies DE, Inc.*		15,847		835,771
Cloudera, Inc.*		68,218		948,912
Verint Systems, Inc.*		12,129		814,826

				2,599,509

Specialty Retail — 2.8%
Abercrombie & Fitch Co. (Class A Stock)		10,184		207,346
American Eagle Outfitters, Inc.(a)		72,194		1,448,934
At Home Group, Inc.*		7,084		109,519

SEE NOTES TO FINANCIAL STATEMENTS.

A184



		*SP SMALL CAP VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Specialty Retail (cont’d.)
Burlington Stores, Inc.*		518	$	135,483
Five Below, Inc.*		1,538		269,119
Lithia Motors, Inc. (Class A Stock)		4,790		1,401,889
Rent-A-Center, Inc.		21,593		826,796
RH*(a)		1,635		731,695
Sleep Number Corp.*(a)		4,119		337,181
Sonic Automotive, Inc. (Class A Stock)(a)		15,681		604,816
Zumiez, Inc.*		21,528		791,800

				6,864,578

Textiles, Apparel & Luxury Goods — 2.0%
Capri Holdings Ltd.*		32,337		1,358,154
Crocs, Inc.*		17,262		1,081,637
Deckers Outdoor Corp.*		404		115,859
Tapestry, Inc.		40,359		1,254,358
Wolverine World Wide, Inc.		34,080		1,065,000

				4,875,008

Thrifts & Mortgage Finance — 2.2%
MGIC Investment Corp.		116,054		1,456,478
NMI Holdings, Inc. (Class A Stock)*		43,309		980,949
Provident Financial Services, Inc.		14,002		251,476
Walker & Dunlop, Inc.		17,558		1,615,687
Washington Federal, Inc.		44,919		1,156,215

				5,460,805

Trading Companies & Distributors — 1.7%
Beacon Roofing Supply, Inc.*		30,827		1,238,937
BMC Stock Holdings, Inc.*		29,353		1,575,669
Herc Holdings, Inc.*		20,096		1,334,576

				4,149,182

Water Utilities — 0.3%
SJW Group		11,781		817,130

TOTAL COMMON STOCKS (cost $176,771,670)				236,033,481


	Shares		Value
EXCHANGE-TRADED FUND — 1.6%
iShares Russell 2000 Value ETF(a) (cost $3,534,200)		29,213	$	3,848,812

TOTAL LONG-TERM INVESTMENTS (cost $180,305,870)				239,882,293

SHORT-TERM INVESTMENTS — 9.1%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		4,141,818		4,141,818
PGIM Institutional Money Market Fund (cost $18,131,879; includes $18,129,343 of cash collateral for securities on loan)(b)(w)		18,148,052		18,138,979

TOTAL SHORT-TERM INVESTMENTS (cost $22,273,697)				22,280,797

TOTAL INVESTMENTS—107.3% (cost $202,579,567)				262,163,090
Liabilities in excess of other assets — (7.3)%				(17,736,351	)

NET ASSETS — 100.0%			$	244,426,739

See the Glossary for a list of the abbreviation(s) used in the annual 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 $17,688,224; cash collateral of $18,129,343 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense	$	3,580,814	$	—	$	—
Air Freight & Logistics		743,479		—		—
Airlines		1,442,609		—		—
Auto Components		3,785,939		—		—
Banks		37,393,543		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A185



		*SP SMALL CAP VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Beverages	$	90,035	$	—	$	—
Biotechnology		1,047,328		—		—
Building Products		3,210,328		—		—
Capital Markets		5,100,061		—		—
Chemicals		4,930,597		—		—
Commercial Services & Supplies		2,531,777		—		—
Communications Equipment		2,627,317		—		—
Construction & Engineering		5,129,422		—		—
Construction Materials		732,057		—		—
Consumer Finance		2,411,306		—		—
Diversified Consumer Services		439,246		—		—
Diversified Financial Services		209,490		—		—
Diversified Telecommunication Services		939,218		—		—
Electric Utilities		5,760,315		—		—
Electronic Equipment, Instruments & Components		4,800,943		—		—
Energy Equipment & Services		2,872,400		—		—
Entertainment		763,084		—		—
Equity Real Estate Investment Trusts (REITs)		20,749,501		—		—
Food & Staples Retailing		2,214,436		—		—
Food Products		6,551,134		—		—
Gas Utilities		2,542,607		—		—
Health Care Equipment & Supplies		4,068,966		—		—
Health Care Providers & Services		4,730,361		—		—
Health Care Technology		813,015		—		—
Hotels, Restaurants & Leisure		10,942,489		—		—
Household Durables		4,034,840		—		—
Independent Power & Renewable Electricity Producers		370,971		—		—
Insurance		9,587,431		—		—
IT Services		3,695,266		—		—
Leisure Products		996,933		—		—
Life Sciences Tools & Services		2,088,933		—		—
Machinery		16,255,075		—		—
Media		2,056,827		—		—
Metals & Mining		8,912,092		—		—
Mortgage Real Estate Investment Trusts (REITs)		3,523,185		—		—
Multiline Retail		113,765		—		—
Oil, Gas & Consumable Fuels		5,336,835		—		—
Paper & Forest Products		180,373		—		—
Pharmaceuticals		547,843		—		—
Professional Services		2,751,325		—		—
Real Estate Management & Development		720,269		—		—
Road & Rail		2,226,625		—		—
Semiconductors & Semiconductor Equipment		4,714,864		—		—
Software		2,599,509		—		—
Specialty Retail		6,864,578		—		—
Textiles, Apparel & Luxury Goods		4,875,008		—		—
Thrifts & Mortgage Finance		5,460,805		—		—
Trading Companies & Distributors		4,149,182		—		—
Water Utilities		817,130		—		—
Exchange-Traded Fund		3,848,812		—		—
Affiliated Mutual Funds		22,280,797		—		—

Total	$	262,163,090	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A186



		*SP SMALL CAP VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Banks	15.3	%
Affiliated Mutual Funds (7.4% represents investments purchased with collateral from securities on loan)	9.1
Equity Real Estate Investment Trusts (REITs)	8.5
Machinery	6.7
Hotels, Restaurants & Leisure	4.5
Insurance	3.9
Metals & Mining	3.6
Specialty Retail	2.8
Food Products	2.7
Electric Utilities	2.4
Thrifts & Mortgage Finance	2.2
Oil, Gas & Consumable Fuels	2.2
Construction & Engineering	2.1
Capital Markets	2.1
Chemicals	2.0
Textiles, Apparel & Luxury Goods	2.0
Electronic Equipment, Instruments & Components	2.0
Health Care Providers & Services	1.9
Semiconductors & Semiconductor Equipment	1.9
Trading Companies & Distributors	1.7
Health Care Equipment & Supplies	1.7
Household Durables	1.7
Auto Components	1.6
Exchange-Traded Fund	1.6
IT Services	1.5
Aerospace & Defense	1.5
Mortgage Real Estate Investment Trusts (REITs)	1.4
Building Products	1.3
Energy Equipment & Services	1.2
Professional Services	1.1
Communications Equipment	1.1


Software	1.1	%
Gas Utilities	1.0
Commercial Services & Supplies	1.0
Consumer Finance	1.0
Road & Rail	0.9
Food & Staples Retailing	0.9
Life Sciences Tools & Services	0.9
Media	0.8
Airlines	0.6
Biotechnology	0.4
Leisure Products	0.4
Diversified Telecommunication Services	0.4
Water Utilities	0.3
Health Care Technology	0.3
Entertainment	0.3
Air Freight & Logistics	0.3
Construction Materials	0.3
Real Estate Management & Development	0.3
Pharmaceuticals	0.2
Diversified Consumer Services	0.2
Independent Power & Renewable Electricity Producers	0.2
Diversified Financial Services	0.1
Paper & Forest Products	0.1
Multiline Retail	0.0	*
Beverages	0.0	*

	107.3
Liabilities in excess of other assets	(7.3	)

	100.0	%

*	Less than +/- 0.05%

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

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	$	17,688,224	$	(17,688,224	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A187



		*SP SMALL CAP VALUE PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $17,688,224:
Unaffiliated investments (cost $180,305,870)	$	239,882,293
Affiliated investments (cost $22,273,697)		22,280,797
Receivable for investments sold		683,095
Dividends receivable		342,732
Receivable for Portfolio shares sold		39,065
Receivable from affiliate		9,595
Tax reclaim receivable		6,045
Prepaid expenses		3,513

Total Assets		263,247,135

LIABILITIES
Payable to broker for collateral for securities on loan		18,129,343
Payable for investments purchased		254,984
Management fee payable		180,497
Payable for Portfolio shares purchased		143,970
Accrued expenses and other liabilities		103,496
Payable to affiliate		6,045
Trustees’ fees payable		1,081
Affiliated transfer agent fee payable		980

Total Liabilities		18,820,396

NET ASSETS	$	244,426,739

Net assets were comprised of:
Partners’ Equity	$	244,426,739

Net asset value and redemption price per share, $244,426,739 / 8,608,531 outstanding shares of beneficial interest	$	28.39

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $23,778 foreign withholding tax, of which $9,595 is reimbursable by an affiliate)	$	2,989,060
Income from securities lending, net (including affiliated income of $45,546)		54,647
Affiliated dividend income		26,858

Total income		3,070,565

EXPENSES
Management fee		1,688,960
Custodian and accounting fees		75,779
Shareholders’ reports		72,387
Audit fee		29,492
Legal fees and expenses		24,953
Trustees’ fees		12,059
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		16,950
Total expenses		1,931,262
Less: Fee waivers and/or expense reimbursement		(7,054	)

Net expenses		1,924,208

NET INVESTMENT INCOME (LOSS)		1,146,357

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions (including affiliated of $(11,775))		(8,958,111	)

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $2,188)		16,282,566

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		7,324,455

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	8,470,812

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	1,146,357		$	1,561,898
Net realized gain (loss) on investment and foreign currency transactions		(8,958,111	)		9,490,538
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		16,282,566			30,049,911

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		8,470,812			41,102,347

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [1,269,719 and 623,842 shares, respectively]		28,928,500			16,249,716

Portfolio shares purchased [579,007 and 640,774 shares, respectively]		(13,577,173	)		(16,750,272	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		15,351,327			(500,556	)

TOTAL INCREASE (DECREASE)		23,822,139			40,601,791
NET ASSETS:
Beginning of year		220,604,600			180,002,809

End of year	$	244,426,739		$	220,604,600

SEE NOTES TO FINANCIAL STATEMENTS.

A188



		*STOCK INDEX PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 97.8%
COMMON STOCKS — 97.4%	Shares		Value
Aerospace & Defense — 1.6%
Boeing Co. (The)		91,836	$	19,658,414
General Dynamics Corp.		40,200		5,982,564
Howmet Aerospace, Inc.		67,292		1,920,514
Huntington Ingalls Industries, Inc.		7,000		1,193,360
L3Harris Technologies, Inc.		36,380		6,876,548
Lockheed Martin Corp.		42,658		15,142,737
Northrop Grumman Corp.		26,826		8,174,419
Raytheon Technologies Corp.		262,548		18,774,807
Teledyne Technologies, Inc.*		6,500		2,547,870
Textron, Inc.		40,050		1,935,616
TransDigm Group, Inc.*		9,430		5,835,755

				88,042,604

Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		23,600		2,215,332
Expeditors International of Washington, Inc.		29,500		2,805,745
FedEx Corp.		41,840		10,862,501
United Parcel Service, Inc. (Class B Stock)		123,700		20,831,080

				36,714,658

Airlines — 0.3%
Alaska Air Group, Inc.		22,000		1,144,000
American Airlines Group, Inc.(a)		100,800		1,589,616
Delta Air Lines, Inc.		110,900		4,459,289
Southwest Airlines Co.		102,037		4,755,944
United Airlines Holdings, Inc.*		50,600		2,188,450

				14,137,299

Auto Components — 0.1%
Aptiv PLC		46,700		6,084,543
BorgWarner, Inc.		41,900		1,619,016

				7,703,559

Automobiles — 1.9%
Ford Motor Co.		675,559		5,938,164
General Motors Co.		217,800		9,069,192
Tesla, Inc.*(a)		130,700		92,231,069

				107,238,425

Banks — 3.8%
Bank of America Corp.		1,316,182		39,893,476
Citigroup, Inc.		359,922		22,192,791
Citizens Financial Group, Inc.		73,700		2,635,512
Comerica, Inc.		24,550		1,371,363
Fifth Third Bancorp		123,749		3,411,760
First Republic Bank		30,100		4,422,593
Huntington Bancshares, Inc.		173,775		2,194,778
JPMorgan Chase & Co.		526,995		66,965,255
KeyCorp		168,000		2,756,880
M&T Bank Corp.		22,200		2,826,060
People’s United Financial, Inc.		73,100		945,183
PNC Financial Services Group, Inc. (The)		73,293		10,920,657
Regions Financial Corp.		164,312		2,648,709
SVB Financial Group*		9,100		3,529,253


COMMON STOCKS (continued)	Shares		Value
Banks (cont’d.)
Truist Financial Corp.		233,126	$	11,173,729
U.S. Bancorp		236,981		11,040,945
Wells Fargo & Co.		714,776		21,571,940
Zions Bancorp NA		28,300		1,229,352

				211,730,236

Beverages — 1.6%
Brown-Forman Corp. (Class B Stock)		32,025		2,543,746
Coca-Cola Co. (The)		668,650		36,668,766
Constellation Brands, Inc. (Class A Stock)		29,400		6,440,070
Molson Coors Beverage Co. (Class B Stock)		33,200		1,500,308
Monster Beverage Corp.*		63,900		5,909,472
PepsiCo, Inc.		238,994		35,442,810

				88,505,172

Biotechnology — 1.8%
AbbVie, Inc.		305,289		32,711,716
Alexion Pharmaceuticals, Inc.*		37,900		5,921,496
Amgen, Inc.		100,694		23,151,564
Biogen, Inc.*		26,615		6,516,949
Gilead Sciences, Inc.		216,700		12,624,942
Incyte Corp.*		32,200		2,800,756
Regeneron Pharmaceuticals, Inc.*		18,310		8,845,744
Vertex Pharmaceuticals, Inc.*		45,040		10,644,754

				103,217,921

Building Products — 0.4%
A.O. Smith Corp.		23,800		1,304,716
Allegion PLC		15,933		1,854,282
Carrier Global Corp.		140,867		5,313,503
Fortune Brands Home & Security, Inc.		24,400		2,091,568
Johnson Controls International PLC		125,215		5,833,767
Masco Corp.		45,130		2,478,991
Trane Technologies PLC		41,800		6,067,688

				24,944,515

Capital Markets — 2.7%
Ameriprise Financial, Inc.		20,450		3,974,049
Bank of New York Mellon Corp. (The)		140,849		5,977,632
BlackRock, Inc.		24,540		17,706,592
Cboe Global Markets, Inc.		18,600		1,732,032
Charles Schwab Corp. (The)		257,900		13,679,016
CME Group, Inc.		62,110		11,307,125
Franklin Resources, Inc.(a)		47,100		1,177,029
Goldman Sachs Group, Inc. (The)		59,520		15,696,019
Intercontinental Exchange, Inc.		97,090		11,193,506
Invesco Ltd.		62,700		1,092,861
MarketAxess Holdings, Inc.		6,600		3,765,696
Moody’s Corp.		27,920		8,103,501
Morgan Stanley		247,178		16,939,108
MSCI, Inc.		14,400		6,430,032
Nasdaq, Inc.		19,900		2,641,526
Northern Trust Corp.		36,000		3,353,040
Raymond James Financial, Inc.		21,500		2,056,905
S&P Global, Inc.		41,680		13,701,466
State Street Corp.		60,975		4,437,760

SEE NOTES TO FINANCIAL STATEMENTS.

A189



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Capital Markets (cont’d.)
T. Rowe Price Group, Inc.		39,200	$	5,934,488

				150,899,383

Chemicals — 1.8%
Air Products & Chemicals, Inc.		38,300		10,464,326
Albemarle Corp.		18,600		2,743,872
Celanese Corp.		20,200		2,624,788
CF Industries Holdings, Inc.		37,700		1,459,367
Corteva, Inc.		128,856		4,989,304
Dow, Inc.		128,222		7,116,321
DuPont de Nemours, Inc.(a)		126,856		9,020,730
Eastman Chemical Co.		23,800		2,386,664
Ecolab, Inc.		43,000		9,303,480
FMC Corp.		22,650		2,603,165
International Flavors & Fragrances, Inc.(a)		18,740		2,039,662
Linde PLC (United Kingdom)		90,800		23,926,708
LyondellBasell Industries NV (Class A Stock)		44,500		4,078,870
Mosaic Co. (The)		58,100		1,336,881
PPG Industries, Inc.		40,900		5,898,598
Sherwin-Williams Co. (The)		14,200		10,435,722

				100,428,458

Commercial Services & Supplies — 0.4%
Cintas Corp.		15,200		5,372,592
Copart, Inc.*		35,900		4,568,275
Republic Services, Inc.		36,835		3,547,210
Rollins, Inc.		38,425		1,501,265
Waste Management, Inc.		67,230		7,928,434

				22,917,776

Communications Equipment — 0.8%
Arista Networks, Inc.*		9,600		2,789,472
Cisco Systems, Inc.		730,575		32,693,231
F5 Networks, Inc.*		10,700		1,882,558
Juniper Networks, Inc.		57,400		1,292,074
Motorola Solutions, Inc.		29,327		4,987,350

				43,644,685

Construction & Engineering — 0.1%
Jacobs Engineering Group, Inc.		22,400		2,440,704
Quanta Services, Inc.		24,300		1,750,086

				4,190,790

Construction Materials — 0.1%
Martin Marietta Materials, Inc.		10,800		3,066,876
Vulcan Materials Co.		22,900		3,396,299

				6,463,175

Consumer Finance — 0.5%
American Express Co.		112,800		13,638,648
Capital One Financial Corp.		79,069		7,815,971
Discover Financial Services		53,005		4,798,543
Synchrony Financial		93,730		3,253,368

				29,506,530


COMMON STOCKS (continued)	Shares		Value
Containers & Packaging — 0.3%
Amcor PLC		269,800	$	3,175,546
Avery Dennison Corp.		14,500		2,249,095
Ball Corp.		56,500		5,264,670
International Paper Co.		67,967		3,379,319
Packaging Corp. of America		16,700		2,303,097
Sealed Air Corp.		27,320		1,250,983
Westrock Co.		45,261		1,970,211

				19,592,921

Distributors — 0.1%
Genuine Parts Co.		25,425		2,553,433
LKQ Corp.*		47,900		1,687,996
Pool Corp.		7,100		2,644,750

				6,886,179

Diversified Financial Services — 1.4%
Berkshire Hathaway, Inc. (Class B Stock)*		336,460		78,014,980

Diversified Telecommunication Services — 1.4%
AT&T, Inc.		1,231,971		35,431,486
CenturyLink, Inc.(a)		167,243		1,630,619
Verizon Communications, Inc.		715,438		42,031,983

				79,094,088

Electric Utilities — 1.7%
Alliant Energy Corp.		43,700		2,251,861
American Electric Power Co., Inc.		85,840		7,147,897
Duke Energy Corp.		127,248		11,650,827
Edison International		66,000		4,146,120
Entergy Corp.		35,000		3,494,400
Evergy, Inc.		39,700		2,203,747
Eversource Energy		59,600		5,155,996
Exelon Corp.		168,673		7,121,374
FirstEnergy Corp.		93,080		2,849,179
NextEra Energy, Inc.		338,700		26,130,705
NRG Energy, Inc.		43,000		1,614,650
Pinnacle West Capital Corp.		19,600		1,567,020
PPL Corp.		132,900		3,747,780
Southern Co. (The)		182,600		11,217,118
Xcel Energy, Inc.		90,895		6,059,969

				96,358,643

Electrical Equipment — 0.5%
AMETEK, Inc.		40,200		4,861,788
Eaton Corp. PLC		68,961		8,284,975
Emerson Electric Co.		103,400		8,310,258
Rockwell Automation, Inc.		20,120		5,046,297

				26,503,318

Electronic Equipment, Instruments & Components — 0.6%
Amphenol Corp. (Class A Stock)		51,800		6,773,886
CDW Corp.		24,800		3,268,392
Corning, Inc.		131,700		4,741,200
FLIR Systems, Inc.		22,700		994,941
IPG Photonics Corp.*		6,300		1,409,877
Keysight Technologies, Inc.*		32,100		4,240,089
TE Connectivity Ltd.		57,200		6,925,204
Vontier Corp.*		23,040		769,536

SEE NOTES TO FINANCIAL STATEMENTS.

A190



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components (cont’d.)
Zebra Technologies Corp. (Class A Stock)*		9,300	$	3,574,269

				32,697,394

Energy Equipment & Services — 0.2%
Baker Hughes Co.(a)		118,448		2,469,641
Halliburton Co.		152,900		2,889,810
National Oilwell Varco, Inc.		67,100		921,283
Schlumberger NV		240,398		5,247,888
TechnipFMC PLC (United Kingdom)		71,400		671,160

				12,199,782

Entertainment — 2.2%
Activision Blizzard, Inc.		133,700		12,414,045
Electronic Arts, Inc.		50,500		7,251,800
Live Nation Entertainment, Inc.*		24,800		1,822,304
Netflix, Inc.*		76,450		41,338,808
Take-Two Interactive Software, Inc.*		20,000		4,155,800
Walt Disney Co. (The)*		313,072		56,722,385

				123,705,142

Equity Real Estate Investment Trusts (REITs) — 2.3%
Alexandria Real Estate Equities, Inc.		21,280		3,792,522
American Tower Corp.		76,800		17,238,528
AvalonBay Communities, Inc.		24,118		3,869,251
Boston Properties, Inc.		24,600		2,325,438
Crown Castle International Corp.		74,600		11,875,574
Digital Realty Trust, Inc.		48,500		6,766,235
Duke Realty Corp.		64,500		2,578,065
Equinix, Inc.		15,495		11,066,219
Equity Residential		59,200		3,509,376
Essex Property Trust, Inc.		11,270		2,675,723
Extra Space Storage, Inc.		22,300		2,583,678
Federal Realty Investment Trust		12,400		1,055,488
Healthpeak Properties, Inc.		93,200		2,817,436
Host Hotels & Resorts, Inc.		119,326		1,745,739
Iron Mountain, Inc.(a)		49,130		1,448,352
Kimco Realty Corp.		74,500		1,118,245
Mid-America Apartment Communities, Inc.		20,100		2,546,469
Prologis, Inc.		127,828		12,739,339
Public Storage		26,350		6,085,006
Realty Income Corp.		60,000		3,730,200
Regency Centers Corp.		27,800		1,267,402
SBA Communications Corp.		19,230		5,425,360
Simon Property Group, Inc.		56,661		4,832,050
SL Green Realty Corp.(a)		12,900		768,582
UDR, Inc.		51,400		1,975,302
Ventas, Inc.		65,404		3,207,412
Vornado Realty Trust		26,757		999,106
Welltower, Inc.		71,900		4,646,178
Weyerhaeuser Co.		129,030		4,326,376

				129,014,651

Food & Staples Retailing — 1.4%
Costco Wholesale Corp.		76,292		28,745,300
Kroger Co. (The)		133,700		4,246,312
Sysco Corp.		88,000		6,534,880


COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing (cont’d.)
Walgreens Boots Alliance, Inc.		124,300	$	4,957,084
Walmart, Inc.		239,700		34,552,755

				79,036,331

Food Products — 1.0%
Archer-Daniels-Midland Co.		96,938		4,886,645
Campbell Soup Co.(a)		34,700		1,677,745
Conagra Brands, Inc.		84,000		3,045,840
General Mills, Inc.		105,700		6,215,160
Hershey Co. (The)		25,500		3,884,415
Hormel Foods Corp.(a)		48,800		2,274,568
J.M. Smucker Co. (The)		20,100		2,323,560
Kellogg Co.		43,700		2,719,451
Kraft Heinz Co. (The)		112,037		3,883,202
Lamb Weston Holdings, Inc.		25,700		2,023,618
McCormick & Co., Inc.		43,400		4,149,040
Mondelez International, Inc. (Class A Stock)		247,311		14,460,274
Tyson Foods, Inc. (Class A Stock)		50,900		3,279,996

				54,823,514

Gas Utilities — 0.0%
Atmos Energy Corp.		21,800		2,080,374

Health Care Equipment & Supplies — 3.7%
Abbott Laboratories		306,825		33,594,269
ABIOMED, Inc.*		8,000		2,593,600
Align Technology, Inc.*		12,500		6,679,750
Baxter International, Inc.		88,500		7,101,240
Becton, Dickinson & Co.		50,149		12,548,283
Boston Scientific Corp.*		247,599		8,901,184
Cooper Cos., Inc. (The)		8,630		3,135,452
Danaher Corp.		109,300		24,279,902
Dentsply Sirona, Inc.		38,200		2,000,152
DexCom, Inc.*		16,600		6,137,352
Edwards Lifesciences Corp.*		107,750		9,830,032
Hologic, Inc.*		44,500		3,240,935
IDEXX Laboratories, Inc.*		14,800		7,398,076
Intuitive Surgical, Inc.*		20,350		16,648,335
Medtronic PLC		232,728		27,261,758
ResMed, Inc.		25,100		5,335,256
STERIS PLC		14,900		2,824,146
Stryker Corp.		56,570		13,861,913
Teleflex, Inc.		8,200		3,374,874
Varian Medical Systems, Inc.*		15,800		2,765,158
West Pharmaceutical Services, Inc.		12,800		3,626,368
Zimmer Biomet Holdings, Inc.		35,886		5,529,674

				208,667,709

Health Care Providers & Services — 2.6%
AmerisourceBergen Corp.		25,900		2,531,984
Anthem, Inc.		43,000		13,806,870
Cardinal Health, Inc.		50,475		2,703,441
Centene Corp.*		100,268		6,019,088
Cigna Corp.		62,452		13,001,257
CVS Health Corp.		226,299		15,456,222
DaVita, Inc.*		13,200		1,549,680
HCA Healthcare, Inc.		45,700		7,515,822
Henry Schein, Inc.*		25,200		1,684,872

SEE NOTES TO FINANCIAL STATEMENTS.

A191



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (cont’d.)
Humana, Inc.		22,900	$	9,395,183
Laboratory Corp. of America Holdings*		17,100		3,480,705
McKesson Corp.		27,807		4,836,194
Quest Diagnostics, Inc.		23,300		2,776,661
UnitedHealth Group, Inc.		164,130		57,557,108
Universal Health Services, Inc. (Class B Stock)		13,700		1,883,750

				144,198,837

Health Care Technology — 0.1%
Cerner Corp.		53,000		4,159,440

Hotels, Restaurants & Leisure — 1.6%
Carnival Corp.		124,500		2,696,670
Chipotle Mexican Grill, Inc.*		4,840		6,711,676
Darden Restaurants, Inc.		22,650		2,698,068
Domino’s Pizza, Inc.		7,000		2,684,220
Hilton Worldwide Holdings, Inc.		48,000		5,340,480
Las Vegas Sands Corp.		56,800		3,385,280
Marriott International, Inc. (Class A Stock)		46,023		6,071,354
McDonald’s Corp.		128,910		27,661,508
MGM Resorts International		71,500		2,252,965
Norwegian Cruise Line Holdings Ltd.*(a)		51,500		1,309,645
Royal Caribbean Cruises Ltd.		32,200		2,405,018
Starbucks Corp.		203,000		21,716,940
Wynn Resorts Ltd.		17,000		1,918,110
Yum! Brands, Inc.		52,200		5,666,832

				92,518,766

Household Durables — 0.4%
D.R. Horton, Inc.		57,800		3,983,576
Garmin Ltd.		25,900		3,099,194
Leggett & Platt, Inc.		22,600		1,001,180
Lennar Corp. (Class A Stock)		47,600		3,628,548
Mohawk Industries, Inc.*		10,400		1,465,880
Newell Brands, Inc.		63,649		1,351,268
NVR, Inc.*		610		2,488,715
PulteGroup, Inc.		46,885		2,021,681
Whirlpool Corp.(a)		10,967		1,979,434

				21,019,476

Household Products — 1.6%
Church & Dwight Co., Inc.		43,100		3,759,613
Clorox Co. (The)(a)		21,800		4,401,856
Colgate-Palmolive Co.		148,200		12,672,582
Kimberly-Clark Corp.		58,888		7,939,869
Procter & Gamble Co. (The)		428,776		59,659,893

				88,433,813

Independent Power & Renewable Electricity Producers — 0.0%
AES Corp. (The)		114,500		2,690,750

Industrial Conglomerates — 1.2%
3M Co.		99,770		17,438,798
General Electric Co.		1,514,447		16,356,028
Honeywell International, Inc.		121,400		25,821,780


COMMON STOCKS (continued)	Shares		Value
Industrial Conglomerates (cont’d.)
Roper Technologies, Inc.		18,300	$	7,888,947

				67,505,553

Insurance — 1.7%
Aflac, Inc.		113,000		5,025,110
Allstate Corp. (The)		52,628		5,785,396
American International Group, Inc.		148,929		5,638,452
Aon PLC (Class A Stock)(a)		39,525		8,350,447
Arthur J. Gallagher & Co.		33,300		4,119,543
Assurant, Inc.		10,300		1,403,066
Chubb Ltd.		78,030		12,010,378
Cincinnati Financial Corp.		26,028		2,274,066
Everest Re Group Ltd.		6,900		1,615,221
Globe Life, Inc.		16,675		1,583,458
Hartford Financial Services Group, Inc. (The)		62,000		3,036,760
Lincoln National Corp.		31,963		1,608,059
Loews Corp.		40,226		1,810,974
Marsh & McLennan Cos., Inc.		87,700		10,260,900
MetLife, Inc.		132,280		6,210,546
Principal Financial Group, Inc.		44,500		2,207,645
Progressive Corp. (The)		101,300		10,016,544
Travelers Cos., Inc. (The)		43,798		6,147,925
Unum Group		34,756		797,303
W.R. Berkley Corp.		24,600		1,633,932
Willis Towers Watson PLC		22,500		4,740,300

				96,276,025

Interactive Media & Services — 5.3%
Alphabet, Inc. (Class A Stock)*		51,999		91,135,528
Alphabet, Inc. (Class C Stock)*		50,240		88,014,451
Facebook, Inc. (Class A Stock)*		415,620		113,530,759
Twitter, Inc.*		137,300		7,434,795

				300,115,533

Internet & Direct Marketing Retail — 4.8%
Amazon.com, Inc.*		73,740		240,166,018
Booking Holdings, Inc.*		7,130		15,880,435
eBay, Inc.		113,200		5,688,300
Etsy, Inc.*		21,500		3,825,065
Expedia Group, Inc.		23,900		3,164,360

				268,724,178

IT Services — 5.4%
Accenture PLC (Class A Stock)		109,600		28,628,616
Akamai Technologies, Inc.*(a)		28,500		2,992,215
Automatic Data Processing, Inc.		74,160		13,066,992
Broadridge Financial Solutions, Inc.		20,100		3,079,320
Cognizant Technology Solutions Corp. (Class A Stock)		92,500		7,580,375
DXC Technology Co.		42,750		1,100,813
Fidelity National Information Services, Inc.		107,300		15,178,658
Fiserv, Inc.*		97,400		11,089,964
FleetCor Technologies, Inc.*		14,500		3,956,035
Gartner, Inc.*		15,700		2,514,983
Global Payments, Inc.		51,763		11,150,785
International Business Machines Corp.		154,125		19,401,255

SEE NOTES TO FINANCIAL STATEMENTS.

A192



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
IT Services (cont’d.)
Jack Henry & Associates, Inc.		13,500	$	2,186,865
Leidos Holdings, Inc.		23,400		2,459,808
Mastercard, Inc. (Class A Stock)		152,100		54,290,574
Paychex, Inc.		55,350		5,157,513
PayPal Holdings, Inc.*		202,600		47,448,920
VeriSign, Inc.*		17,400		3,765,360
Visa, Inc. (Class A Stock)(a)		293,200		64,131,636
Western Union Co. (The)		70,104		1,538,082

				300,718,769

Leisure Products — 0.0%
Hasbro, Inc.		22,350		2,090,619

Life Sciences Tools & Services — 1.2%
Agilent Technologies, Inc.		52,982		6,277,837
Bio-Rad Laboratories, Inc. (Class A Stock)*		3,800		2,215,172
Illumina, Inc.*		25,260		9,346,200
IQVIA Holdings, Inc.*		33,200		5,948,444
Mettler-Toledo International, Inc.*		4,120		4,695,482
PerkinElmer, Inc.		19,400		2,783,900
Thermo Fisher Scientific, Inc.		68,600		31,952,508
Waters Corp.*		10,800		2,672,136

				65,891,679

Machinery — 1.6%
Caterpillar, Inc.		94,000		17,109,880
Cummins, Inc.		25,600		5,813,760
Deere & Co.		54,250		14,595,962
Dover Corp.		25,100		3,168,875
Flowserve Corp.		22,000		810,700
Fortive Corp.		58,400		4,135,888
IDEX Corp.		13,100		2,609,520
Illinois Tool Works, Inc.		49,875		10,168,515
Ingersoll Rand, Inc.*		64,237		2,926,638
Otis Worldwide Corp.		70,383		4,754,372
PACCAR, Inc.		59,928		5,170,588
Parker-Hannifin Corp.		22,287		6,071,202
Pentair PLC		28,907		1,534,673
Snap-on, Inc.		9,600		1,642,944
Stanley Black & Decker, Inc.		27,935		4,988,073
Westinghouse Air Brake Technologies Corp.		31,112		2,277,398
Xylem, Inc.		31,200		3,175,848

				90,954,836

Media — 1.3%
Charter Communications, Inc. (Class A Stock)*		25,240		16,697,522
Comcast Corp. (Class A Stock)		789,392		41,364,141
Discovery, Inc. (Class A Stock)*(a)		28,000		842,520
Discovery, Inc. (Class C Stock)*(a)		51,800		1,356,642
DISH Network Corp. (Class A Stock)*		43,175		1,396,280
Fox Corp. (Class A Stock)(a)		58,366		1,699,618
Fox Corp. (Class B Stock)		27,566		796,106
Interpublic Group of Cos., Inc. (The)		66,362		1,560,834
News Corp. (Class A Stock)		67,925		1,220,612
News Corp. (Class B Stock)		19,200		341,184
Omnicom Group, Inc.		37,300		2,326,401


COMMON STOCKS (continued)	Shares		Value
Media (cont’d.)
ViacomCBS, Inc. (Class B Stock)(a)		97,166	$	3,620,405

				73,222,265

Metals & Mining — 0.3%
Freeport-McMoRan, Inc.		251,712		6,549,546
Newmont Corp.		138,903		8,318,901
Nucor Corp.		52,800		2,808,432

				17,676,879

Multiline Retail — 0.5%
Dollar General Corp.		42,400		8,916,720
Dollar Tree, Inc.*		40,747		4,402,306
Target Corp.		86,668		15,299,502

				28,618,528

Multi-Utilities — 0.8%
Ameren Corp.		43,200		3,372,192
CenterPoint Energy, Inc.(a)		92,310		1,997,589
CMS Energy Corp.		49,800		3,038,298
Consolidated Edison, Inc.		59,200		4,278,384
Dominion Energy, Inc.		141,040		10,606,208
DTE Energy Co.		33,700		4,091,517
NiSource, Inc.		65,500		1,502,570
Public Service Enterprise Group, Inc.		87,500		5,101,250
Sempra Energy		49,954		6,364,639
WEC Energy Group, Inc.		54,576		5,022,629

				45,375,276

Oil, Gas & Consumable Fuels — 2.0%
Apache Corp.		62,650		889,003
Cabot Oil & Gas Corp.		67,600		1,100,528
Chevron Corp.		332,859		28,109,943
Concho Resources, Inc.		34,200		1,995,570
ConocoPhillips		184,629		7,383,314
Devon Energy Corp.		64,500		1,019,745
Diamondback Energy, Inc.		27,600		1,335,840
EOG Resources, Inc.		100,900		5,031,883
Exxon Mobil Corp.		731,004		30,131,985
Hess Corp.		47,775		2,522,042
HollyFrontier Corp.		26,200		677,270
Kinder Morgan, Inc.		334,143		4,567,735
Marathon Oil Corp.		130,694		871,729
Marathon Petroleum Corp.		112,487		4,652,462
Occidental Petroleum Corp.		142,328		2,463,698
ONEOK, Inc.		76,840		2,949,119
Phillips 66		75,564		5,284,946
Pioneer Natural Resources Co.(a)		28,800		3,280,032
Valero Energy Corp.		71,000		4,016,470
Williams Cos., Inc. (The)		210,000		4,210,500

				112,493,814

Personal Products — 0.2%
Estee Lauder Cos., Inc. (The) (Class A Stock)		39,200		10,434,648

Pharmaceuticals — 3.8%
Bristol-Myers Squibb Co.		390,740		24,237,602
Catalent, Inc.*		28,500		2,965,995
Eli Lilly & Co.		137,300		23,181,732

SEE NOTES TO FINANCIAL STATEMENTS.

A193



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (cont’d.)
Johnson & Johnson		455,196	$	71,638,746
Merck & Co., Inc.		437,403		35,779,565
Perrigo Co. PLC(a)		23,900		1,068,808
Pfizer, Inc.		961,023		35,375,257
Viatris, Inc.*		208,994		3,916,548
Zoetis, Inc.		82,200		13,604,100

				211,768,353

Professional Services — 0.3%
Equifax, Inc.		21,100		4,068,924
IHS Markit Ltd.		64,500		5,794,035
Nielsen Holdings PLC		61,800		1,289,766
Robert Half International, Inc.		20,200		1,262,096
Verisk Analytics, Inc.		28,100		5,833,279

				18,248,100

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		58,000		3,637,760

Road & Rail — 1.0%
CSX Corp.		132,272		12,003,684
J.B. Hunt Transport Services, Inc.		14,700		2,008,755
Kansas City Southern		16,200		3,306,906
Norfolk Southern Corp.		44,000		10,454,840
Old Dominion Freight Line, Inc.		16,650		3,249,747
Union Pacific Corp.		116,500		24,257,630

				55,281,562

Semiconductors & Semiconductor Equipment — 5.0%
Advanced Micro Devices, Inc.*		206,900		18,974,799
Analog Devices, Inc.		63,923		9,443,345
Applied Materials, Inc.		158,500		13,678,550
Broadcom, Inc.		70,020		30,658,257
Intel Corp.		709,400		35,342,308
KLA Corp.		26,700		6,912,897
Lam Research Corp.		24,900		11,759,523
Maxim Integrated Products, Inc.		46,700		4,139,955
Microchip Technology, Inc.		45,000		6,214,950
Micron Technology, Inc.*		192,500		14,472,150
NVIDIA Corp.		107,090		55,922,398
Qorvo, Inc.*		19,686		3,273,191
QUALCOMM, Inc.		195,550		29,790,087
Skyworks Solutions, Inc.		28,800		4,402,944
Teradyne, Inc.		28,700		3,440,843
Texas Instruments, Inc.		158,700		26,047,431
Xilinx, Inc.		42,400		6,011,048

				280,484,676

Software — 8.4%
Adobe, Inc.*		82,975		41,497,457
ANSYS, Inc.*		14,900		5,420,620
Autodesk, Inc.*		38,070		11,624,294
Cadence Design Systems, Inc.*		48,300		6,589,569
Citrix Systems, Inc.		21,600		2,810,160
Fortinet, Inc.*		23,300		3,460,749
Intuit, Inc.		45,500		17,283,175
Microsoft Corp.		1,307,180		290,742,976
NortonLifeLock, Inc.		100,811		2,094,852
Oracle Corp.		327,995		21,217,996


COMMON STOCKS (continued)	Shares		Value
Software (cont’d.)
Paycom Software, Inc.*		8,500	$	3,844,125
salesforce.com, Inc.*		158,200		35,204,246
ServiceNow, Inc.*		33,800		18,604,534
Synopsys, Inc.*		26,400		6,843,936
Tyler Technologies, Inc.*		7,100		3,099,292

				470,337,981

Specialty Retail — 2.2%
Advance Auto Parts, Inc.		11,760		1,852,318
AutoZone, Inc.*		4,060		4,812,886
Best Buy Co., Inc.		39,925		3,984,116
CarMax, Inc.*(a)		28,500		2,692,110
Gap, Inc. (The)		34,587		698,312
Home Depot, Inc. (The)		186,169		49,450,210
L Brands, Inc.		40,296		1,498,608
Lowe’s Cos., Inc.		126,675		20,332,604
O’Reilly Automotive, Inc.*		12,560		5,684,279
Ross Stores, Inc.		61,600		7,565,096
Tiffany & Co.		19,000		2,497,550
TJX Cos., Inc. (The)		207,600		14,177,004
Tractor Supply Co.		20,500		2,881,890
Ulta Beauty, Inc.*		9,770		2,805,553

				120,932,536

Technology Hardware, Storage & Peripherals — 6.8%
Apple, Inc.		2,763,020		366,625,124
Hewlett Packard Enterprise Co.		221,166		2,620,817
HP, Inc.		237,466		5,839,289
NetApp, Inc.		39,100		2,589,984
Seagate Technology PLC(a)		38,500		2,393,160
Western Digital Corp.		53,168		2,944,976
Xerox Holdings Corp.		28,202		654,004

				383,667,354

Textiles, Apparel & Luxury Goods — 0.7%
Hanesbrands, Inc.(a)		59,100		861,678
NIKE, Inc. (Class B Stock)		217,000		30,698,990
PVH Corp.		12,400		1,164,236
Ralph Lauren Corp.		8,500		881,790
Tapestry, Inc.		47,700		1,482,516
Under Armour, Inc. (Class A Stock)*		30,400		521,968
Under Armour, Inc. (Class C Stock)*		33,303		495,549
VF Corp.		55,344		4,726,931

				40,833,658

Tobacco — 0.6%
Altria Group, Inc.		321,300		13,173,300
Philip Morris International, Inc.		269,300		22,295,347

				35,468,647

Trading Companies & Distributors — 0.2%
Fastenal Co.		99,300		4,848,819
United Rentals, Inc.*(a)		12,740		2,954,533
W.W. Grainger, Inc.		7,820		3,193,219

				10,996,571

Water Utilities — 0.1%
American Water Works Co., Inc.		31,400		4,818,958

SEE NOTES TO FINANCIAL STATEMENTS.

A194



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Wireless Telecommunication Services — 0.2%
T-Mobile US, Inc.*		100,900	$	13,606,365

TOTAL COMMON STOCKS (cost $1,418,133,643)				5,472,162,417

EXCHANGE-TRADED FUNDS — 0.4%
iShares Core S&P 500 ETF(a)		52,400		19,670,436
SPDR S&P 500 ETF Trust		14,000		5,234,320

TOTAL EXCHANGE-TRADED FUNDS (cost $18,994,328)				24,904,756

TOTAL LONG-TERM INVESTMENTS (cost $1,437,127,971)				5,497,067,173


SHORT-TERM INVESTMENTS — 6.0%
AFFILIATED MUTUAL FUNDS — 5.8%
PGIM Core Ultra Short Bond Fund(w)		110,777,275		110,777,275
PGIM Institutional Money Market Fund (cost $215,705,958; includes $215,681,439 of cash collateral for securities on loan)(b)(w)		215,962,828		215,854,846

TOTAL AFFILIATED MUTUAL FUNDS (cost $326,483,233)				326,632,121


Interest Rate	Maturity Date		Principal Amount (000)#

U.S. TREASURY OBLIGATION(k)(n) — 0.2%
U.S. Treasury Bills
0.070%		03/18/21		7,400		7,398,974

(cost $7,398,906)
TOTAL SHORT-TERM INVESTMENTS (cost $333,882,139)						334,031,095

TOTAL INVESTMENTS — 103.8% (cost $1,771,010,110)						5,831,098,268
Liabilities in excess of other assets(z) — (3.8)%						(210,900,202	)

NET ASSETS — 100.0%					$	5,620,198,066

See the Glossary for a list of the abbreviation(s) used in the annual 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 $212,441,332; cash collateral of $215,681,439 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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:

Futures contracts outstanding at December 31, 2020:

Number of
Contracts

Type

Expiration
Date

Current
Notional
Amount

Value /
Unrealized
Appreciation
(Depreciation)

Long Position:

612

S&P 500 E-Mini Index

Mar. 2021

$114,713,280

2,344,077

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


Broker	Cash and/or Foreign Currency			Securities Market Value
UBS Securities LLC		$	—		$	7,398,974

SEE NOTES TO FINANCIAL STATEMENTS.

A195



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

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 December 31, 2020 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense		$	88,042,604		$	—		$	—
Air Freight & Logistics			36,714,658			—			—
Airlines			14,137,299			—			—
Auto Components			7,703,559			—			—
Automobiles			107,238,425			—			—
Banks			211,730,236			—			—
Beverages			88,505,172			—			—
Biotechnology			103,217,921			—			—
Building Products			24,944,515			—			—
Capital Markets			150,899,383			—			—
Chemicals			100,428,458			—			—
Commercial Services & Supplies			22,917,776			—			—
Communications Equipment			43,644,685			—			—
Construction & Engineering			4,190,790			—			—
Construction Materials			6,463,175			—			—
Consumer Finance			29,506,530			—			—
Containers & Packaging			19,592,921			—			—
Distributors			6,886,179			—			—
Diversified Financial Services			78,014,980			—			—
Diversified Telecommunication Services			79,094,088			—			—
Electric Utilities			96,358,643			—			—
Electrical Equipment			26,503,318			—			—
Electronic Equipment, Instruments & Components			32,697,394			—			—
Energy Equipment & Services			12,199,782			—			—
Entertainment			123,705,142			—			—
Equity Real Estate Investment Trusts (REITs)			129,014,651			—			—
Food & Staples Retailing			79,036,331			—			—
Food Products			54,823,514			—			—
Gas Utilities			2,080,374			—			—
Health Care Equipment & Supplies			208,667,709			—			—
Health Care Providers & Services			144,198,837			—			—
Health Care Technology			4,159,440			—			—
Hotels, Restaurants & Leisure			92,518,766			—			—
Household Durables			21,019,476			—			—
Household Products			88,433,813			—			—
Independent Power & Renewable Electricity Producers			2,690,750			—			—
Industrial Conglomerates			67,505,553			—			—
Insurance			96,276,025			—			—
Interactive Media & Services			300,115,533			—			—
Internet & Direct Marketing Retail			268,724,178			—			—
IT Services			300,718,769			—			—
Leisure Products			2,090,619			—			—
Life Sciences Tools & Services			65,891,679			—			—
Machinery			90,954,836			—			—
Media			73,222,265			—			—
Metals & Mining			17,676,879			—			—
Multiline Retail			28,618,528			—			—
Multi-Utilities			45,375,276			—			—

SEE NOTES TO FINANCIAL STATEMENTS.

A196



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1			Level 2			Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Oil, Gas & Consumable Fuels		$	112,493,814		$	—		$	—
Personal Products			10,434,648			—			—
Pharmaceuticals			211,768,353			—			—
Professional Services			18,248,100			—			—
Real Estate Management & Development			3,637,760			—			—
Road & Rail			55,281,562			—			—
Semiconductors & Semiconductor Equipment			280,484,676			—			—
Software			470,337,981			—			—
Specialty Retail			120,932,536			—			—
Technology Hardware, Storage & Peripherals			383,667,354			—			—
Textiles, Apparel & Luxury Goods			40,833,658			—			—
Tobacco			35,468,647			—			—
Trading Companies & Distributors			10,996,571			—			—
Water Utilities			4,818,958			—			—
Wireless Telecommunication Services			13,606,365			—			—
Exchange-Traded Funds			24,904,756			—			—
Affiliated Mutual Funds			326,632,121			—			—
U.S. Treasury Obligation			—			7,398,974			—

Total		$	5,823,699,294		$	7,398,974		$	—

Other Financial Instruments*
Assets
Futures Contracts		$	2,344,077		$	—		$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Software	8.4	%
Technology Hardware, Storage & Peripherals	6.8
Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan)	5.8
IT Services	5.4
Interactive Media & Services	5.3
Semiconductors & Semiconductor Equipment	5.0
Internet & Direct Marketing Retail	4.8
Pharmaceuticals	3.8
Banks	3.8
Health Care Equipment & Supplies	3.7
Capital Markets	2.7
Health Care Providers & Services	2.6
Equity Real Estate Investment Trusts (REITs)	2.3
Entertainment	2.2
Specialty Retail	2.2
Oil, Gas & Consumable Fuels	2.0
Automobiles	1.9
Biotechnology	1.8
Chemicals	1.8
Electric Utilities	1.7
Insurance	1.7
Hotels, Restaurants & Leisure	1.6
Machinery	1.6
Beverages	1.6


Household Products	1.6	%
Aerospace & Defense	1.6
Diversified Telecommunication Services	1.4
Food & Staples Retailing	1.4
Diversified Financial Services	1.4
Media	1.3
Industrial Conglomerates	1.2
Life Sciences Tools & Services	1.2
Road & Rail	1.0
Food Products	1.0
Multi-Utilities	0.8
Communications Equipment	0.8
Textiles, Apparel & Luxury Goods	0.7
Air Freight & Logistics	0.7
Tobacco	0.6
Electronic Equipment, Instruments & Components	0.6
Consumer Finance	0.5
Multiline Retail	0.5
Electrical Equipment	0.5
Building Products	0.4
Exchange-Traded Funds	0.4
Commercial Services & Supplies	0.4
Household Durables	0.4
Containers & Packaging	0.3
Professional Services	0.3

SEE NOTES TO FINANCIAL STATEMENTS.

A197



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Industry Classification (continued):
Metals & Mining	0.3	%
Airlines	0.3
Wireless Telecommunication Services	0.2
Energy Equipment & Services	0.2
Trading Companies & Distributors	0.2
Personal Products	0.2
U.S. Treasury Obligation	0.2
Auto Components	0.1
Distributors	0.1
Construction Materials	0.1
Water Utilities	0.1
Construction & Engineering	0.1



Health Care Technology	0.1	%
Real Estate Management & Development	0.1
Independent Power & Renewable Electricity Producers	0.0	*
Leisure Products	0.0	*
Gas Utilities	0.0	*

	103.8
Liabilities in excess of other assets	(3.8	)

	100.0	%

*	Less than +/- 0.05%

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

Fair values of derivative instruments as of December 31, 2020 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

Due from/to broker-variation margin futures

2,344,077

—

*	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 year ended December 31, 2020 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)		Warrants(1)			Futures
Equity contracts	$	14,163	$	(20,251	)	$	11,943,326

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	1,075,030

SEE NOTES TO FINANCIAL STATEMENTS.

A198



		*STOCK INDEX PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020

For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:

Futures
Contracts—
Long
Positions(1)

$94,916,150

(1)	Notional Amount in USD.

Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.

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

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	$	212,441,332	$	(212,441,332	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A199



		*STOCK INDEX PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $212,441,332:
Unaffiliated investments (cost $1,444,526,877)	$	5,504,466,147
Affiliated investments (cost $326,483,233)		326,632,121
Cash		35
Receivable for Portfolio shares sold		4,106,067
Dividends and interest receivable		4,074,275
Due from broker-variation margin futures		754,583
Tax reclaim receivable		18,359
Prepaid expenses and other assets		711,880

Total Assets		5,840,763,467

LIABILITIES
Payable to broker for collateral for securities on loan		215,681,439
Payable for Portfolio shares purchased		2,420,962
Management fee payable		1,335,254
Payable for investments purchased		923,957
Accrued expenses and other liabilities		195,841
Trustees’ fees payable		6,968
Affiliated transfer agent fee payable		980

Total Liabilities		220,565,401

NET ASSETS	$	5,620,198,066

Net assets were comprised of:
Partners’ Equity	$	5,620,198,066

Net asset value and redemption price per share, $5,620,198,066 / 64,114,476 outstanding shares of beneficial interest	$	87.66

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income	$	85,191,193
Income from securities lending, net (including affiliated income of $778,992)		817,344
Affiliated dividend income		678,558
Interest income		20,511

Total income		86,707,606

EXPENSES
Management fee		14,003,989
Custodian and accounting fees		275,626
Shareholders’ reports		144,671
Trustees’ fees		71,910
Legal fees and expenses		43,481
Audit fee		25,736
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		111,732

Total expenses		14,687,828

NET INVESTMENT INCOME (LOSS)		72,019,778

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $694,284)		47,600,530
Futures transactions		11,943,326

		59,543,856

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $107,063)		724,406,093
Futures		1,075,030

		725,481,123

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		785,024,979

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	857,044,757

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	72,019,778		$	72,524,098
Net realized gain (loss) on investment transactions		59,543,856			79,062,396
Net change in unrealized appreciation (depreciation) on investments		725,481,123			988,963,592

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		857,044,757			1,140,550,086

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [3,906,549 and 2,978,605 shares, respectively]		296,701,054			192,206,253
Portfolio shares purchased [3,862,546 and 3,748,907 shares, respectively]		(290,448,745	)		(248,177,505	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		6,252,309			(55,971,252	)

TOTAL INCREASE (DECREASE)		863,297,066			1,084,578,834
NET ASSETS:
Beginning of year		4,756,901,000			3,672,322,166

End of year	$	5,620,198,066		$	4,756,901,000

SEE NOTES TO FINANCIAL STATEMENTS.

A200



		*VALUE PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


LONG-TERM INVESTMENTS — 99.6%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 3.0%
Airbus SE (France)*		94,487	$	10,382,550
Northrop Grumman Corp.		31,111		9,480,144
Raytheon Technologies Corp.		305,226		21,826,711

				41,689,405

Air Freight & Logistics — 0.9%
FedEx Corp.		48,145		12,499,405

Automobiles — 2.0%
General Motors Co.		652,808		27,182,925

Banks — 10.3%
Bank of America Corp.		1,037,265		31,439,502
Citigroup, Inc.		381,802		23,541,911
JPMorgan Chase & Co.		347,550		44,163,179
PNC Financial Services Group, Inc. (The)		154,841		23,071,309
Truist Financial Corp.		417,526		20,012,021

				142,227,922

Beverages — 1.6%
PepsiCo, Inc.		144,146		21,376,852

Biotechnology — 1.3%
AbbVie, Inc.		171,426		18,368,296

Building Products — 2.1%
Johnson Controls International PLC		606,485		28,256,136

Capital Markets — 3.0%
Blackstone Group, Inc. (The) (Class A Stock)		180,874		11,722,444
Goldman Sachs Group, Inc. (The)		113,164		29,842,478

				41,564,922

Chemicals — 5.7%
Dow, Inc.		418,130		23,206,215
FMC Corp.		194,023		22,299,064
Linde PLC (United Kingdom)		124,561		32,823,069

				78,328,348

Communications Equipment — 0.7%
Cisco Systems, Inc.		209,221		9,362,640

Consumer Finance — 2.9%
Capital One Financial Corp.		220,443		21,790,791
SLM Corp.		1,456,062		18,040,608

				39,831,399

Containers & Packaging — 1.5%
Crown Holdings, Inc.*		208,986		20,940,397

Diversified Telecommunication Services — 2.0%
Verizon Communications, Inc.		473,753		27,832,989

Electric Utilities — 1.1%
American Electric Power Co., Inc.		184,577		15,369,727

Electrical Equipment — 1.5%
Emerson Electric Co.		248,298		19,955,710

Entertainment — 2.6%
Walt Disney Co. (The)*		199,294		36,108,087


COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) — 2.7%
Alexandria Real Estate Equities, Inc.		60,257	$	10,739,003
American Campus Communities, Inc.		313,051		13,389,191
American Tower Corp.		60,206		13,513,839

				37,642,033

Food & Staples Retailing — 2.2%
Walmart, Inc.		214,811		30,965,006

Food Products — 1.6%
Mondelez International, Inc. (Class A Stock)		388,287		22,703,141

Health Care Equipment & Supplies — 1.6%
Zimmer Biomet Holdings, Inc.		141,160		21,751,344

Health Care Providers & Services — 2.5%
Cigna Corp.		88,877		18,502,414
Laboratory Corp. of America Holdings*		77,303		15,735,026

				34,237,440

Hotels, Restaurants & Leisure — 1.8%
McDonald’s Corp.		78,171		16,773,933
Royal Caribbean Cruises Ltd.		115,802		8,649,252

				25,423,185

Household Durables — 1.0%
D.R. Horton, Inc.		205,294		14,148,862

Household Products — 1.1%
Procter & Gamble Co. (The)		109,253		15,201,462

Insurance — 5.3%
Chubb Ltd.		193,696		29,813,688
Marsh & McLennan Cos., Inc.		106,513		12,462,021
MetLife, Inc.		414,771		19,473,499
RenaissanceRe Holdings Ltd. (Bermuda)		66,760		11,070,143

				72,819,351

Interactive Media & Services — 2.1%
Alphabet, Inc. (Class A Stock)*		16,130		28,270,083

Machinery — 3.2%
Deere & Co.		51,831		13,945,130
Fortive Corp.		175,091		12,399,945
Otis Worldwide Corp.		272,464		18,404,943

				44,750,018

Media — 1.1%
Comcast Corp. (Class A Stock)		276,510		14,489,124

Multi-Utilities — 3.2%
Ameren Corp.		271,793		21,216,162
Dominion Energy, Inc.		313,456		23,571,891

				44,788,053

Oil, Gas & Consumable Fuels — 4.7%
Chevron Corp.		340,666		28,769,244
ConocoPhillips		328,012		13,117,200
Suncor Energy, Inc. (Canada)		598,657		10,045,464
Williams Cos., Inc. (The)		630,846		12,648,462

				64,580,370

SEE NOTES TO FINANCIAL STATEMENTS.

A201



		*VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals — 4.3%
AstraZeneca PLC (United Kingdom), ADR(a)		327,131	$	16,353,279
Bristol-Myers Squibb Co.		333,708		20,699,907
Eli Lilly & Co.		130,254		21,992,085

				59,045,271

Road & Rail — 2.4%
Union Pacific Corp.		162,018		33,735,388

Semiconductors & Semiconductor Equipment — 6.0%
Broadcom, Inc.		69,200		30,299,220
QUALCOMM, Inc.		195,328		29,756,267
Texas Instruments, Inc.		139,782		22,942,420

				82,997,907

Software — 3.6%
Microsoft Corp.		105,548		23,475,986
PTC, Inc.*		112,991		13,514,853
SAP SE (Germany), ADR(a)		92,489		12,059,641

				49,050,480

Specialty Retail — 4.2%
Advance Auto Parts, Inc.		69,520		10,950,095
Lowe’s Cos., Inc.		155,749		24,999,272
Ross Stores, Inc.		181,095		22,240,277

				58,189,644

Technology Hardware, Storage & Peripherals — 1.4%
Apple, Inc.		147,259		19,539,797

Trading Companies & Distributors — 1.4%
United Rentals, Inc.*(a)		84,581		19,615,180

TOTAL LONG-TERM INVESTMENTS (cost $897,648,386)				1,374,838,299


	Shares		Value

SHORT-TERM INVESTMENTS — 2.5%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		5,147,064	$	5,147,064
PGIM Institutional Money Market Fund (cost $29,082,432; includes $29,078,254 of cash collateral for securities on loan)(b)(w)		29,109,768		29,095,213

TOTAL SHORT-TERM INVESTMENTS (cost $34,229,496)				34,242,277

TOTAL INVESTMENTS — 102.1% (cost $931,877,882)				1,409,080,576
Liabilities in excess of other assets — (2.1)%				(28,889,404	)

NET ASSETS — 100.0%			$	1,380,191,172

See the Glossary for a list of the abbreviation(s) used in the annual 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 $28,245,872; cash collateral of $29,078,254 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)	Represents security, or portion thereof, 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 December 31, 2020 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Assets
Common Stocks
Aerospace & Defense		$	31,306,855		$	10,382,550		$	—
Air Freight & Logistics			12,499,405			—			—
Automobiles			27,182,925			—			—
Banks			142,227,922			—			—
Beverages			21,376,852			—			—
Biotechnology			18,368,296			—			—
Building Products			28,256,136			—			—
Capital Markets			41,564,922			—			—
Chemicals			78,328,348			—			—

SEE NOTES TO FINANCIAL STATEMENTS.

A202



		*VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Assets (continued)
Common Stocks (continued)
Communications Equipment	$	9,362,640	$	—	$	—
Consumer Finance		39,831,399		—		—
Containers & Packaging		20,940,397		—		—
Diversified Telecommunication Services		27,832,989		—		—
Electric Utilities		15,369,727		—		—
Electrical Equipment		19,955,710		—		—
Entertainment		36,108,087		—		—
Equity Real Estate Investment Trusts (REITs)		37,642,033		—		—
Food & Staples Retailing		30,965,006		—		—
Food Products		22,703,141		—		—
Health Care Equipment & Supplies		21,751,344		—		—
Health Care Providers & Services		34,237,440		—		—
Hotels, Restaurants & Leisure		25,423,185		—		—
Household Durables		14,148,862		—		—
Household Products		15,201,462		—		—
Insurance		72,819,351		—		—
Interactive Media & Services		28,270,083		—		—
Machinery		44,750,018		—		—
Media		14,489,124		—		—
Multi-Utilities		44,788,053		—		—
Oil, Gas & Consumable Fuels		64,580,370		—		—
Pharmaceuticals		59,045,271		—		—
Road & Rail		33,735,388		—		—
Semiconductors & Semiconductor Equipment		82,997,907		—		—
Software		49,050,480		—		—
Specialty Retail		58,189,644		—		—
Technology Hardware, Storage & Peripherals		19,539,797		—		—
Trading Companies & Distributors		19,615,180		—		—
Affiliated Mutual Funds		34,242,277		—		—

Total	$	1,398,698,026	$	10,382,550	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):


Banks	10.3	%
Semiconductors & Semiconductor Equipment	6.0
Chemicals	5.7
Insurance	5.3
Oil, Gas & Consumable Fuels	4.7
Pharmaceuticals	4.3
Specialty Retail	4.2
Software	3.6
Multi-Utilities	3.2
Machinery	3.2
Aerospace & Defense	3.0
Capital Markets	3.0
Consumer Finance	2.9
Equity Real Estate Investment Trusts (REITs)	2.7
Entertainment	2.6
Affiliated Mutual Funds (2.1% represents investments purchased with collateral from securities on loan)	2.5
Health Care Providers & Services	2.5
Road & Rail	2.4
Food & Staples Retailing	2.2
Interactive Media & Services	2.1


Building Products	2.1	%
Diversified Telecommunication Services	2.0
Automobiles	2.0
Hotels, Restaurants & Leisure	1.8
Food Products	1.6
Health Care Equipment & Supplies	1.6
Beverages	1.6
Containers & Packaging	1.5
Electrical Equipment	1.5
Trading Companies & Distributors	1.4
Technology Hardware, Storage & Peripherals	1.4
Biotechnology	1.3
Electric Utilities	1.1
Household Products	1.1
Media	1.1
Household Durables	1.0
Air Freight & Logistics	0.9

SEE NOTES TO FINANCIAL STATEMENTS.

A203



		*VALUE PORTFOLIO (CONTINUED)*



SCHEDULE OF INVESTMENTS				as of December 31, 2020


Industry Classification (continued):
Communications Equipment	0.7	%

	102.1
Liabilities in excess of other assets	(2.1	)

	100.0	%

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

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	$	28,245,872	$	(28,245,872	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A204



		*VALUE PORTFOLIO (CONTINUED)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2020


ASSETS
Investments at value, including securities on loan of $28,245,872:
Unaffiliated investments (cost $897,648,386)	$	1,374,838,299
Affiliated investments (cost $34,229,496)		34,242,277
Cash		49
Dividends receivable		1,182,521
Tax reclaim receivable		1,031,098
Receivable for Portfolio shares sold		717
Prepaid expenses and other assets		179,407

Total Assets		1,411,474,368

LIABILITIES
Payable to broker for collateral for securities on loan		29,078,254
Payable for Portfolio shares purchased		857,466
Payable to affiliate		759,647
Management fee payable		462,333
Accrued expenses and other liabilities		119,158
Trustees’ fees payable		2,326
Distribution fee payable		1,895
Administration fee payable		1,137
Affiliated transfer agent fee payable		980

Total Liabilities		31,283,196

NET ASSETS	$	1,380,191,172

Net assets were comprised of:
Partners’ Equity	$	1,380,191,172

Class I:
Net asset value and redemption price per share, $1,371,173,776 / 36,779,251 outstanding shares of beneficial interest	$	37.28

Class II:
Net asset value and redemption price per share, $9,017,396 / 247,977 outstanding shares of beneficial interest	$	36.36

STATEMENT OF OPERATIONS

Year Ended December 31, 2020


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $156,453 foreign withholding tax)	$	30,280,796
Affiliated dividend income		190,854
Income from securities lending, net (including affiliated income of $152,446)		177,823

Total income		30,649,473

EXPENSES
Management fee		4,979,027
Distribution fee—Class II		19,811
Administration fee—Class II		11,887
Shareholders’ reports		121,219
Custodian and accounting fees		104,716
Legal fees and expenses		29,172
Audit fee		28,193
Trustees’ fees		25,450
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		57,395

Total expenses		5,387,554

NET INVESTMENT INCOME (LOSS)		25,261,919

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $149,544)		8,481,868
Foreign currency transactions		28,519

		8,510,387

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $2,983)		5,619,054

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		14,129,441

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	39,391,360

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2020			Year Ended December 31, 2019
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	25,261,919		$	27,742,089
Net realized gain (loss) on investment and foreign currency transactions		8,510,387			77,291,466
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		5,619,054			205,709,175

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		39,391,360			310,742,730

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		15,301,549			9,202,811
Portfolio shares purchased		(113,124,170	)		(113,897,764	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(97,822,621	)		(104,694,953	)

CAPITAL CONTRIBUTIONS		—			1,759

TOTAL INCREASE (DECREASE)		(58,431,261	)		206,049,536
NET ASSETS:
Beginning of year		1,438,622,433			1,232,572,897

End of year	$	1,380,191,172		$	1,438,622,433

SEE NOTES TO FINANCIAL STATEMENTS.

A205

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

The Prudential Series Fund (“Series Fund”), a Delaware statutory trust, 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 17 Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 17 Portfolios listed below together with their investment objectives. Each Portfolio is a 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.

High Yield Bond Portfolio: High total return.

Jennison 20/20 Focus Portfolio: Long-term growth of capital.

Jennison Portfolio: Long-term growth of capital.

Natural Resources Portfolio: Long-term growth of capital.

Small Capitalization Stock Portfolio: Long-term growth of capital.

SP International Growth Portfolio: Long-term growth of capital.

SP Prudential U.S. Emerging Growth Portfolio: Long-term capital appreciation.

SP Small Cap Value Portfolio: Long-term growth of capital.

Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.

Value Portfolio: Capital appreciation.

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 (“GAAP”). 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 a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

For the fiscal reporting year-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 Portfolios’ 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.

Common or preferred stocks, exchange-traded funds and derivative instruments, if applicable, 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 funds (other than exchange-traded 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 include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing 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 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. Altering one or more unobservable inputs may result in a significant change to a Level 3 security’s fair value measurement.

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.

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

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

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

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment 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 or 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 Portfolios’ 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 and/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 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 acquires interests

in loans directly (by way of assignment from the selling institution) and/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, the 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: Certain Portfolios entered into 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.

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 or 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. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps: Interest rate swaps represent 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. The Portfolios’ 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.

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 into total return swaps to manage their exposure to a security or an index. The Portfolios’ 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 Portfolios 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.

Short sales and OTC contracts, including forward foreign currency exchange contracts, swaps, forward rate agreements and written options involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities, if applicable. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights: Certain Portfolios held warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind: Certain fixed income Portfolios invested in the open market or received pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions: Certain Portfolios 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. The remaining maturities of the securities lending transactions are considered overnight and continuous. 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, which are reflected in interest income or unaffiliated dividend income based on the nature of the payment on the Statement of Operations. 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 in the Statement of

Operations.

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 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 Financial, Inc. (“Prudential”) as referenced below. 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.

Agreements

The Series Fund, on behalf of the Portfolios, has a management agreement with the Manager. 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 each of PGIM, Inc., which provides subadvisory services to the Portfolios through its business unit PGIM Fixed Income (“PFI”), PGIM Limited (commenced as a subadviser on April 27, 2020), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Allianz Global Investors U.S. LLC (“Allianz”), Brown Advisory LLC (“Brown”), Goldman Sachs Asset Management, L.P. (“GSAM”), J.P. Morgan Investment Management, Inc. (“J.P. Morgan”), LSV Asset Management (“LSV”), Neuberger Berman Investment Advisors, LLC (“Neuberger Berman”), QMA 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		0.71	*
Government Income Portfolio	0.40		0.40
Government Money Market Portfolio	0.30		0.17	**
High Yield Bond Portfolio	0.55		0.51	***
Jennison 20/20 Focus Portfolio	0.75		0.75
Jennison Portfolio	0.60		0.60
Natural Resources Portfolio	0.45		0.44	****
Small Capitalization Stock Portfolio	0.35		0.35
SP International Growth Portfolio	0.85		0.65	*****
SP Prudential U.S. Emerging Growth Portfolio	0.60		0.60
SP Small Cap Value Portfolio	0.90		0.90	******
Stock Index Portfolio	0.30% up to $4 billion 0.25% over $4 billion		0.29
Value Portfolio	0.40		0.40

The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.0323% of the average daily net assets of the Portfolio. Effective March 1, 2020, the Manager has contractually agreed to waive an additional 0.004% of its investment management fee through June 30, 2021.

The Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Manager at any time without notice. During the year ended December 31, 2020, the Manager has reimbursed the Portfolio as a result of this voluntary agreement in the amount of $883,604, 0.13% of the Government Money Market Portfolio’s average daily net assets.

***

The Manager has contractually agreed through June 30, 2021 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, acquired fund fees and expenses, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of the Portfolio to 0.57% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.

****

The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio.

*****

The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.019% of the average daily net assets of the Portfolio. The Manager has also contractually agreed through June 30, 2021 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 1.01% of the Portfolio’s average daily net assets. Where applicable, the Manager agrees to waive management fees or shared operating expenses on any share class to the same extent that it waives such expenses on any other share class. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.

******

The Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio.

At December 31, 2020, 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; PGIM Limited & QMA
Diversified Bond Portfolio		PFI & PGIM Limited


Portfolio		Subadviser(s)
Equity Portfolio		Jennison
Flexible Managed Portfolio		PFI; PGIM Limited & QMA
Global Portfolio		Brown; LSV; QMA; T. Rowe & William Blair
Government Income Portfolio		PFI
Government Money Market Portfolio		PFI
High Yield Bond Portfolio		PFI & PGIM Limited
Jennison 20/20 Focus Portfolio		Jennison
Jennison Portfolio		Jennison
Natural Resources Portfolio		Allianz
Small Capitalization Stock Portfolio		QMA
SP International Growth Portfolio		Jennison; Neuberger Berman & William Blair
SP Prudential U.S. Emerging Growth Portfolio		J.P. Morgan
SP Small Cap Value Portfolio		GSAM
Stock Index Portfolio		QMA
Value Portfolio		Jennison

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, Class II and Class III shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II and Class III shares pursuant to a plan of distribution (the “Class II Plan” and “Class III Plan”, together, the Plans), 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 Plans, the Class II and Class III 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 and Class III shares. In order to support the Fund’s income yield, PIMS has voluntarily undertaken to waive the distribution and service (12b-1) fees of the Government Money Market Portfolio Class III shares, respectively, such that the 1-day income yield (excluding capital gain (loss)) does not fall below 0.00%.

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 December 31, 2020, brokerage commission recaptured under these agreements was as follows:


Portfolio	Amount
Equity Portfolio	$	179,213
Global Portfolio		41,471
Jennison 20/20 Focus Portfolio		5,369
Jennison Portfolio		68,200
SP International Growth Portfolio		4,699
SP Prudential U.S. Emerging Growth Portfolio		4,158
Value Portfolio		37,425

PIMS, PGIM Investments, PGIM, Inc., PGIM Limited, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential.

Other Transactions with Affiliates

a.) Related Parties

B10

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 the 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. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments 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 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 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended December 31, 2020, no 17a-7 transactions were entered into by the Portfolios.

In March 2019, the following Portfolio was reimbursed by the Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for the affected Portfolio is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the year ended December 31, 2019.


Portfolio	Capital Contributions
SP International Growth Portfolio	$	12

b.) Securities Lending and Foreign Withholding Tax Reclaim Matters

In September 2019, the Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Manager’s ability to manage the Portfolios.

In February 2016, Prudential, the parent company of the Manager, self-reported to the 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 Series Fund. 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

B11

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 as “Capital Contributions” in the Portfolios’ “Statements of Changes in Net Assets” for the fiscal year ended December 31, 2019 and in the “Financial Highlights” for the fiscal years ended December 31, 2018 and December 31, 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.

Prudential instituted a process in consultation with the Series Fund’s independent trustees 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.

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 paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.


Portfolio	2020 Payments
Conservative Balanced Portfolio	$	53,243
Flexible Managed Portfolio		63,091
Global Portfolio		232,294
High Yield Bond Portfolio		110
Natural Resources Portfolio		29,684
SP International Growth Portfolio		24,723
SP Small Cap Value Portfolio		9,595

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	2020 Payments
Conservative Balanced Portfolio	$	4,570
Flexible Managed Portfolio		9,313

B12


Portfolio	2020 Payments
Global Portfolio	$	180,899
High Yield Bond Portfolio		119
Jennison 20/20 Focus Portfolio		3,158
Jennison Portfolio		16,846
Natural Resources Portfolio		97,561
SP International Growth Portfolio		9,376
SP Prudential U.S. Emerging Growth Portfolio		2,327
Value Portfolio		35,320

The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.


Portfolio	Capital Contributions
Conservative Balance Portfolio	$	13,184
Equity Portfolio		3
Flexible Managed Portfolio		14,632
Global Portfolio		85,664
Jennison Portfolio		8,215
Natural Resources Portfolio		6,508
SP International Growth Portfolio		87,929
Value Portfolio		1,759

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 year ended December 31, 2020, were as follows:


Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,653,216,688	$	1,808,205,113
Diversified Bond Portfolio		403,110,215		314,174,894
Equity Portfolio		2,934,970,861		3,208,967,912
Flexible Managed Portfolio		4,736,925,539		4,938,394,365
Global Portfolio		392,856,142		442,013,447
Government Income Portfolio		317,929,572		297,450,613
High Yield Bond Portfolio		291,611,868		291,781,653
Jennison 20/20 Focus Portfolio		153,505,995		185,522,033
Jennison Portfolio		1,489,620,787		1,673,333,711
Natural Resources Portfolio		434,051,657		458,807,017
Small Capitalization Stock Portfolio		128,505,322		170,226,249
SP International Growth Portfolio		37,488,205		44,891,175
SP Prudential U.S. Emerging Growth Portfolio		186,863,318		211,773,455
SP Small Cap Value Portfolio		145,387,414		128,595,963
Stock Index Portfolio		261,495,584		194,007,778
Value Portfolio		390,984,783		435,417,599

A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the year ended December 31, 2020, is presented as follows:

B13

Conservative Balanced Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$255,146,173	$	734,712,299	$	603,395,925	$	—	$	—		$	386,462,547		386,462,547	$	2,110,405
	PGIM Institutional Money Market Fund*
	75,225,305		778,001,541		780,265,428		87,449		(83,912	)		72,964,955		73,001,456		225,356	**

	$330,371,478	$	1,512,713,840	$	1,383,661,353	$	87,449	$	(83,912	)	$	459,427,502			$	2,335,761

Diversified Bond Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$2,890,447	$	358,864,184	$	347,675,542	$	—	$	—		$	14,079,089		14,079,089	$	120,067
	PGIM Institutional Money Market Fund*
	33,315,035		263,521,881		252,744,965		9,715		(35,703	)		44,065,963		44,088,008		102,579	**

	$36,205,482	$	622,386,065	$	600,420,507	$	9,715	$	(35,703	)	$	58,145,052			$	222,646

Equity Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 54,364,910	$	1,165,730,098	$	1,185,558,511	$	—	$	—	$	34,536,497		34,536,497	$	687,233
	PGIM Institutional Money Market Fund*
	220,901,277		2,561,037,543		2,273,199,778		217,230		372,577		509,328,849		509,583,640		819,055	**

	$275,266,187	$	3,726,767,641	$	3,458,758,289	$	217,230	$	372,577	$	543,865,346			$	1,506,288

Flexible Managed Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$153,379,057	$	1,057,714,802	$	857,707,980	$	—	$	—	$	353,385,879		353,385,879	$	1,475,434
	PGIM Institutional Money Market Fund*
	117,674,766		997,709,063		1,074,840,038		54,515		498,927		41,097,233		41,117,792		319,762	**

	$271,053,823	$	2,055,423,865	$	1,932,548,018	$	54,515	$	498,927	$	394,483,112			$	1,795,196

Global Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$35,350,796	$	304,793,691	$	313,751,562	$	—	$	—	$	26,392,925		26,392,925	$	268,677

B14


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Institutional Money Market Fund*
	$46,466,559	$	318,764,969	$	347,681,616	$	9,043	$	(2,977	)	$	17,555,978		17,564,760	$	84,936	**

	$81,817,355	$	623,558,660	$	661,433,178	$	9,043	$	(2,977	)	$	43,948,903			$	353,613

Government Income Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
	$ 7,285,947	$	31,751	$	7,277,989	$	(178,952	)	$	139,243	$	—		—	$	31,751
	PGIM Core Ultra Short Bond Fund*
	5,041,716		125,087,281		96,394,949		—			—		33,734,048		33,734,048		55,338
	PGIM Institutional Money Market Fund*
	—		113,681,184		113,690,666		—			9,482		—		—		25,932	**

	$12,327,663	$	238,800,216	$	217,363,604	$	(178,952	)	$	148,725	$	33,734,048			$	113,021

High Yield Bond Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 2,970,312	$	159,043,209	$	146,093,339	$	—	$	—		$	15,920,182		15,920,182	$	91,573
	PGIM Institutional Money Market Fund*
	82,327,001		387,360,098		339,227,656		1,420		(119,710	)		130,341,153		130,406,356		245,441	**

	$85,297,313	$	546,403,307	$	485,320,995	$	1,420	$	(119,710	)	$	146,261,335			$	337,014

Jennison 20/20 Focus Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$1,649,184	$	78,461,168	$	76,162,138	$	—		$	—		$	3,948,214		3,948,214	$	29,420
	PGIM Institutional Money Market Fund*
	550,015		153,377,297		140,693,350		(145	)		(551	)		13,233,266		13,239,886		15,720	**

	$2,199,199	$	231,838,465	$	216,855,488	$	(145	)	$	(551	)	$	17,181,480			$	45,140

Jennison Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$5,324,539	$	670,659,953	$	675,411,236	$	—	$	—	$	573,256		573,256	$	113,914

B15


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Institutional Money Market Fund*
	$199,541,309	$	2,147,918,832	$	2,007,746,994	$	85,039	$	42,828	$	339,841,014		340,011,020	$	572,242	**

	$204,865,848	$	2,818,578,785	$	2,683,158,230	$	85,039	$	42,828	$	340,414,270			$	686,156

Natural Resources Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 5,623,570	$	154,358,216	$	158,859,796	$	—	$	—		$	1,121,990		1,121,990	$	53,407
	PGIM Institutional Money Market Fund*
	19,123,729		314,758,170		297,251,683		17,813		(26,908	)		36,621,121		36,639,441		87,606	**

	$24,747,299	$	469,116,386	$	456,111,479	$	17,813	$	(26,908	)	$	37,743,111			$	141,013

Small Capitalization Stock Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 1,885,364	$	46,436,799	$	46,405,933	$	—	$	—		$	1,916,230		1,916,230	$	12,285
	PGIM Institutional Money Market Fund*
	170,444,676		523,815,116		540,487,690		155,631		(120,046	)		153,807,687		153,884,630		434,257	**

	$172,330,040	$	570,251,915	$	586,893,623	$	155,631	$	(120,046	)	$	155,723,917			$	446,542

SP International Growth Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$1,090,611	$	17,681,370	$	17,792,435	$	—	$	—		$	979,546		979,546	$	6,882
	PGIM Institutional Money Market Fund*
	2,068,861		30,213,766		26,302,604		4,215		(4,327	)		5,979,911		5,982,903		8,636	**

	$3,159,472	$	47,895,136	$	44,095,039	$	4,215	$	(4,327	)	$	6,959,457			$	15,518

SP Prudential U.S. Emerging Growth Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 2,356,856	$	81,703,622	$	79,609,349	$	—	$	—		$	4,451,129		4,451,129	$	34,099
	PGIM Institutional Money Market Fund*
	38,479,925		333,880,667		334,702,775		49,089		(31,014	)		37,675,892		37,694,739		113,680	**

	$40,836,781	$	415,584,289	$	414,312,124	$	49,089	$	(31,014	)	$	42,127,021			$	147,779

B16

SP Small Cap Value Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 4,283,369	$	40,562,798	$	40,704,349	$	—	$	—		$	4,141,818		4,141,818	$	26,858
	PGIM Institutional Money Market Fund*
	19,868,439		95,517,552		97,237,425		2,188		(11,775	)		18,138,979		18,148,052		45,546	**

	$24,151,808	$	136,080,350	$	137,941,774	$	2,188	$	(11,775	)	$	22,280,797			$	72,404

Stock Index Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$ 88,663,837	$	336,190,298	$	314,076,860	$	—	$	—	$	110,777,275		110,777,275	$	678,558
	PGIM Institutional Money Market Fund*
	238,544,735		3,061,459,761		3,084,950,997		107,063		694,284		215,854,846		215,962,828		778,992	**

	$327,208,572	$	3,397,650,059	$	3,399,027,857	$	107,063	$	694,284	$	326,632,121			$	1,457,550

Value Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
	$30,863,588	$	212,435,559	$	238,152,083	$	—	$	—	$	5,147,064		5,147,064	$	190,854
	PGIM Institutional Money Market Fund*
	34,639,237		692,283,175		697,979,726		2,983		149,544		29,095,213		29,109,768		152,446	**

	$65,502,825	$	904,718,734	$	936,131,809	$	2,983	$	149,544	$	34,242,277			$	343,300

*	The Fund did not have any capital gain distributions during the reporting period.

**	The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations.

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. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2020 are subject to such review.

Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Participating Funds”), is a party to a Syndicated Credit Agreement

B17

(“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 table below provides details of the current SCA in effect at the reporting period-end as well as the prior SCA.


	Current SCA	Prior SCA
Term of Commitment	10/2/2020 – 9/30/2021	10/3/2019 – 10/1/2020
Total Commitment	$1,200,000,000	$1,222,500,000*
Annualized Commitment Fee on the Unused Portion of the SCA	0.15%	0.15%
Annualized Interest Rate on Borrowings	1.30% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent	1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000.

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 Participating Funds in the SCA equitably.

The following Portfolios utilized the SCA during the year ended December 31, 2020. The average balance outstanding is for the number of days the Portfolios utilized the credit facility.


Portfolio	Average Balance Outstanding		Weighted Average Interest Rates			Number of Days Outstanding		Maximum Balance Outstanding		Balance Outstanding at December 31, 2020
Government Income Portfolio	$	789,000		2.86	%		3	$	789,000	$	—
High Yield Bond Portfolio		103,000		1.38			1		103,000		—
Jennison 20/20 Focus Portfolio		342,761		1.46			46		1,178,000		—
Jennison Portfolio		873,048		1.58			21		1,646,000		—
Natural Resources Portfolio		1,062,471		1.42			51		16,253,000		—
Small Capitalization Stock Portfolio		467,000		2.00			4		895,000		—
SP International Growth Portfolio		321,000		1.44			7		498,000		—
SP Prudential U.S. Emerging Growth Portfolio		1,862,400		1.53			5		2,922,000		—

Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer Class II and/or Class III shares. All share classes are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I and Class III shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the 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.

B18

As of December 31, 2020, the following number of shares of the Portfolios were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.


Portfolio	Number of Shares		Percentage of Outstanding Shares
Conservative Balanced Portfolio		77,460,209		100.0	%
Diversified Bond Portfolio		80,687,433		98.5	%
Equity Portfolio - Class I		69,595,254		100.0	%
Flexible Managed Portfolio		119,083,184		100.0	%
Global Portfolio		28,653,078		100.0	%
Government Income Portfolio		16,974,961		100.0	%
Government Money Market Portfolio - Class I		79,183,855		99.9	%
Government Money Market Portfolio - Class III		6,561,217		100.0	%
High Yield Bond Portfolio		85,613,264		100.0	%
Jennison 20/20 Focus Portfolio - Class I		1,739,700		100.0	%
Jennison Portfolio - Class I		25,570,838		100.0	%
Natural Resources Portfolio - Class I		12,873,378		100.0	%
Small Capitalization Stock Portfolio		17,965,148		100.0	%
SP International Growth Portfolio - Class I		8,415,841		100.0	%
SP Prudential U.S. Emerging Growth Portfolio - Class I		13,803,876		100.0	%
SP Small Cap Value		8,608,531		100.0	%
Stock Index Portfolio		64,114,476		100.0	%
Value Portfolio - Class I		36,779,251		100.0	%

The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:


	Affiliated					Unaffiliated
Portfolio	Number of Shareholders		Percentage of Outstanding Shares			Number of Shareholders		Percentage of Outstanding Shares
Conservative Balanced Portfolio		3		100.0	%		—		—	%
Diversified Bond Portfolio		3		98.5			—		—
Equity Portfolio		3		99.9			—		—
Flexible Managed Portfolio		3		100.0			—		—
Global Portfolio		2		97.8			—		—
Government Income Portfolio		2		98.4			—		—
Government Money Market Portfolio		4		99.9			—		—
High Yield Bond Portfolio		3		100.0			—		—
Jennison 20/20 Focus Portfolio		1		34.7			2		56.0
Jennison Portfolio		2		93.1			—		—
Natural Resources Portfolio		2		89.1			1		6.2
Small Capitalization Stock Portfolio		2		96.4			—		—
SP International Growth Portfolio		3		95.3			—		—
SP Prudential U.S. Emerging Growth Portfolio		2		99.5			—		—
SP Small Cap Value Portfolio		2		99.3			—		—
Stock Index Portfolio		3		100.0			—		—
Value Portfolio		2		95.1			—		—

B19

Transactions in shares of beneficial interest of the Equity, Government Money Market, Jennison 20/20 Focus, Jennison, Natural Resources, SP International Growth, SP Prudential U.S. Emerging Growth and Value Portfolios were as follows:

Equity Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		181,520		$	10,472,312
Portfolio shares purchased		(5,150,263	)		(344,048,385	)

Net increase (decrease) in shares outstanding		(4,968,743	)	$	(333,576,073	)

Year ended December 31, 2019:
Portfolio shares sold		102,565		$	5,848,661
Portfolio shares purchased		(5,496,601	)		(313,401,998	)
Capital contributions		—			3

Net increase (decrease) in shares outstanding		(5,394,036	)	$	(307,553,334	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		278		$	21,699
Portfolio shares purchased		(3,338	)		(215,385	)

Net increase (decrease) in shares outstanding		(3,060	)	$	(193,686	)

Year ended December 31, 2019:
Portfolio shares sold		1		$	39
Portfolio shares purchased		(2,102	)		(115,498	)

Net increase (decrease) in shares outstanding		(2,101	)	$	(115,459	)

Government Money Market Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		70,339,155		$	703,391,553
Shares issued in reinvestment of dividends and distributions		179,185			1,791,854
Portfolio shares purchased		(51,256,624	)		(512,566,244	)

Net increase (decrease) in shares outstanding		19,261,716		$	192,617,163

Year ended December 31, 2019:
Portfolio shares sold		51,839,113		$	518,391,129
Shares issued in reinvestment of dividends and distributions		1,065,025			10,650,252
Portfolio shares purchased		(46,588,121	)		(465,881,208	)

Net increase (decrease) in shares outstanding		6,316,017		$	63,160,173


Class III:
Period ended December 31, 2020*:
Portfolio shares sold		14,739,505		$	147,395,045
Shares issued in reinvestment of dividends and distributions		9			87
Portfolio shares purchased		(8,178,297	)		(81,782,967	)

Net increase (decrease) in shares outstanding		6,561,217		$	65,612,165

*	Commencement of offering was May 18, 2020.

B20

Jennison 20/20 Focus Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		135,606		$	5,549,775
Portfolio shares purchased		(279,439	)		(11,452,948	)

Net increase (decrease) in shares outstanding		(143,833	)	$	(5,903,173	)

Year ended December 31, 2019:
Portfolio shares sold		98,778		$	3,376,115
Portfolio shares purchased		(212,525	)		(7,260,173	)

Net increase (decrease) in shares outstanding		(113,747	)	$	(3,884,058	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		129,143		$	5,004,111
Portfolio shares purchased		(711,872	)		(27,640,357	)

Net increase (decrease) in shares outstanding		(582,729	)	$	(22,636,246	)

Year ended December 31, 2019:
Portfolio shares sold		110,457		$	3,576,901
Portfolio shares purchased		(966,559	)		(30,621,024	)

Net increase (decrease) in shares outstanding		(856,102	)	$	(27,044,123	)

Jennison Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		434,139		$	41,958,227
Portfolio shares purchased		(2,327,216	)		(227,484,202	)

Net increase (decrease) in shares outstanding		(1,893,077	)	$	(185,525,975	)

Year ended December 31, 2019:
Portfolio shares sold		235,080		$	17,277,706
Portfolio shares purchased		(2,232,184	)		(162,672,928	)
Capital contributions		—			7,972

Net increase (decrease) in shares outstanding		(1,997,104	)	$	(145,387,250	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		152,672		$	15,214,498
Portfolio shares purchased		(277,016	)		(26,248,687	)

Net increase (decrease) in shares outstanding		(124,344	)	$	(11,034,189	)

Year ended December 31, 2019:
Portfolio shares sold		95,620		$	6,591,703
Portfolio shares purchased		(286,365	)		(19,696,094	)
Capital contributions		—			243

Net increase (decrease) in shares outstanding		(190,745	)	$	(13,104,148	)

B21

Natural Resources Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		372,607		$	7,379,403
Portfolio shares purchased		(1,146,855	)		(24,955,570	)

Net increase (decrease) in shares outstanding		(774,248	)	$	(17,576,167	)

Year ended December 31, 2019:
Portfolio shares sold		141,517		$	3,361,228
Portfolio shares purchased		(1,244,941	)		(29,748,209	)
Capital contributions		—			5,677

Net increase (decrease) in shares outstanding		(1,103,424	)	$	(26,381,304	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		661,009		$	11,523,075
Portfolio shares purchased		(1,531,511	)		(31,053,060	)

Net increase (decrease) in shares outstanding		(870,502	)	$	(19,529,985	)

Year ended December 31, 2019:
Portfolio shares sold		350,913		$	7,965,001
Portfolio shares purchased		(520,257	)		(12,096,475	)
Capital contributions		—			831

Net increase (decrease) in shares outstanding		(169,344	)	$	(4,130,643	)

SP International Growth Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		543,521		$	5,403,599
Portfolio shares purchased		(1,353,938	)		(13,293,021	)

Net increase (decrease) in shares outstanding		(810,417	)	$	(7,889,422	)

Year ended December 31, 2019:
Portfolio shares sold		315,282		$	2,564,427
Portfolio shares purchased		(1,100,350	)		(9,130,186	)
Capital contributions		—			87,795

Net increase (decrease) in shares outstanding		(785,068	)	$	(6,477,964	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		1		$	11
Portfolio shares purchased		(795	)		(7,623	)

Net increase (decrease) in shares outstanding		(794	)	$	(7,612	)

Year ended December 31, 2019:
Portfolio shares purchased		(1,885	)	$	(15,391	)
Capital contributions		—			146

Net increase (decrease) in shares outstanding		(1,885	)	$	(15,245	)

B22

SP Prudential U.S. Emerging Growth Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		979,430		$	21,347,038
Portfolio shares purchased		(2,081,043	)		(43,735,970	)

Net increase (decrease) in shares outstanding		(1,101,613	)	$	(22,388,932	)

Year ended December 31, 2019:
Portfolio shares sold		561,212		$	9,543,598
Portfolio shares purchased		(1,420,719	)		(23,926,134	)

Net increase (decrease) in shares outstanding		(859,507	)	$	(14,382,536	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		414		$	9,328
Portfolio shares purchased		(14,678	)		(291,094	)

Net increase (decrease) in shares outstanding		(14,264	)	$	(281,766	)

Year ended December 31, 2019:
Portfolio shares sold		1,978		$	31,372
Portfolio shares purchased		(16,204	)		(255,328	)

Net increase (decrease) in shares outstanding		(14,226	)	$	(223,956	)

Value Portfolio


Class I:	Shares			Amount
Year ended December 31, 2020:
Portfolio shares sold		469,060		$	14,940,937
Portfolio shares purchased		(3,418,107	)		(112,766,386	)

Net increase (decrease) in shares outstanding		(2,949,047	)	$	(97,825,449	)

Year ended December 31, 2019:
Portfolio shares sold		236,977		$	7,891,251
Portfolio shares purchased		(3,462,544	)		(113,465,025	)
Capital contributions		—			1,750

Net increase (decrease) in shares outstanding		(3,225,567	)	$	(105,572,024	)


Class II:
Year ended December 31, 2020:
Portfolio shares sold		12,657		$	360,612
Portfolio shares purchased		(10,965	)		(357,784	)

Net increase (decrease) in shares outstanding		1,692		$	2,828

Year ended December 31, 2019:
Portfolio shares sold		41,074		$	1,311,560
Portfolio shares purchased		(13,237	)		(432,739	)
Capital contributions		—			9

Net increase (decrease) in shares outstanding		27,837		$	878,830

Risks of Investing in the Portfolios

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below. For further information on the risks applicable to any given Portfolio, please refer to the Prospectus and Statement of Additional Information of that Portfolio.

Derivatives Risk: Derivatives involve special risks and costs and may result in losses to a Portfolio. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, a Portfolio will

B23

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 a Portfolio. A Portfolio’s use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for a Portfolio’s derivatives positions. In fact, many OTC derivative instruments lack liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to a Portfolio.

Emerging Markets Risk: The risks of non-US investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic, political and social systems that are less 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 currency devaluations and rapid and unpredictable (and in some cases, extremely high) rates of inflation or deflation. Low trading volumes may result in a lack of liquidity, price volatility and valuation difficulties. Emerging market countries may have policies that restrict investments by non-US investors, or that prevent non-US investors from withdrawing their money at will, which may make it difficult for a Portfolio to invest in such countries or increase the administrative costs of such investments. Countries with emerging markets can be found in regions such as Asia, Latin America, Eastern Europe and Africa. A Portfolio may invest in some emerging markets through trading structures or protocols that subject it to risks such as those associated with decreased liquidity, custody of assets, different settlement and clearance procedures and asserting legal title under a developing legal and regulatory regime to a greater degree than in developed markets or even in other emerging markets.

Equity Securities Risk: There is a risk that the value of a particular stock or equity-related security held by a Portfolio could fluctuate, perhaps greatly, in response to a number of factors, such as changes in the issuer’s financial condition. In addition to an individual stock losing value, the value of the equity markets or a sector of those markets in which a Portfolio invests could go down. A Portfolio’s holdings can vary from broad market indexes, and the performance of a Portfolio can deviate from the performance of such indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments. Such events may result in losses to a Portfolio. Preferred stock generally pays dividends at a specified rate and has preference over common stock in the payment of dividends and the liquidation of assets, but does not ordinarily carry voting rights. The price of a preferred stock is generally determined by earnings, type of products or services, projected growth rates, experience of management, liquidity, and general market conditions of the markets on which the stock trades. The most significant risks associated with investments in preferred stock include the risk of losses attributable to adverse changes in interest rates, broader market conditions and the financial condition of the stock’s issuer. Equity securities may have greater price volatility than other types of investments. These risks are generally magnified in the case of equity investments in distressed companies.

Fixed Income Securities Risk: Investment in fixed income securities involves a variety of risks, including credit risk, liquidity risk and interest rate risk.

Credit risk: Credit risk is the risk that an issuer or guarantor of a security will be unable or unwilling to pay principal and interest when due, or that the value of the security will suffer because investors believe the issuer is less able or willing to make required principal and interest payments. The downgrade of the credit of a security held by a Portfolio may decrease its value. Credit ratings are intended to provide a measure of credit risk. However, credit ratings are only the opinions of the credit rating agency issuing the ratings and are not guarantees as to quality. The lower the rating of a debt security held by a Portfolio, the greater the degree of credit risk that is perceived to exist by the credit rating agency with respect to that security. Increasing the amount of Portfolio assets allocated to lower-rated securities generally will increase the credit risk to which a Portfolio is subject.

Liquidity risk: Liquidity risk is the risk that a Portfolio may not be able to sell some or all of the securities it holds, either at the price it values the security or at any price. Liquidity risk also includes the risk that there may be delays in selling a security, if it can be sold at all, which could prevent a Portfolio from taking advantage of other investment opportunities. In addition, liquidity risk refers to the risk that a Portfolio may not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, redemption requests by certain large shareholders such as institutional investors, or other reasons. Meeting such redemption requests may cause a Portfolio to have to liquidate portfolio securities at disadvantageous prices or times and/or unfavorable conditions and, thus, could reduce the returns of a Portfolio and dilute remaining investors’ interests.

B24

Interest rate risk: Interest rate risk is the risk that the value of an investment may go down in value when interest rates rise. The prices of fixed income securities generally move in the opposite direction to that of market interest rates. Changes in interest rates may also affect the liquidity of a Portfolio’s investments in fixed income securities. The risks associated with changing interest rates are heightened, given that interest rates in the US may increase, possibly suddenly and significantly, with unpredictable effects on the markets and a Portfolio’s investments. Volatility in interest rates and in fixed income markets may increase the risk that a Portfolio’s investment in fixed income securities will go down in value. A wide variety of factors can cause interest rates to rise, including central bank monetary policies and inflation rates. Generally, the longer the maturity of a fixed income security, the greater is the decline in its value when rates increase. As a result, portfolios with longer durations and longer weighted average maturities generally have more volatile share prices than portfolios with shorter durations and shorter weighted average maturities.

Foreign Securities Risk: A Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. The securities of such issuers may trade in markets that are less liquid, less regulated and more volatile than US markets. The value of a 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. Lack of information may also affect the value of these securities.

LIBOR Risk: Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. Over the course of the last several years, global regulators have indicated an intent to phase out the use of LIBOR and similar interbank offering rates (IBOR). On November 30, 2020, the administrator of LIBOR announced a delay in the phase out of a majority of the U.S. dollar LIBOR publications until June 30, 2023, with the remainder of LIBOR publications to still end at the end of 2021. There still remains uncertainty regarding the nature of any replacement rates for LIBOR and the other IBORs as well as around fallback approaches for instruments extending beyond the any phase-out of these reference rates. The lack of consensus around replacement rates and the uncertainty of the phase out of LIBOR and other IBORs may result in increased volatility in corporate or governmental debt, bank loans, derivatives and other instruments invested in by a Portfolio as well as loan facilities used by a Portfolio. As such, the potential impact of a transition away from LIBOR on a Portfolio or the financial instruments in which a Portfolio invests cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR and the other IBORs as benchmarks could deteriorate during the transition period, these effects could begin to be experienced by the end of 2021 and beyond until the anticipated discontinuance date in 2023 for the majority of the LIBOR rates.

Market and Management Risk: Market risk is the risk that the markets in which a Portfolio invests will experience market volatility and go down in value, including the possibility that a market will go down sharply and unpredictably. All markets go through cycles, and market risk involves being on the wrong side of a cycle. Factors affecting market risk include political events, broad economic and social changes, and the mood of the investing public. If investor sentiment turns negative, the price of all securities may decline. Market risk also includes the risk that geopolitical and other events will disrupt the economy on a national or global level. For instance, war, terrorism, market manipulation, government defaults, government shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics, or epidemics) and natural/environmental disasters can all negatively impact the securities markets, which could cause a Portfolio to lose value. Such events may reduce consumer demand or economic output, result in market closures, travel restrictions or quarantines, and significantly adversely impact the economy. In addition, economies and financial markets throughout the world are becoming increasingly interconnected, which increases the likelihood that events or conditions in one country or region will adversely impact markets or issuers in other countries or regions. Exchanges and securities markets may close early, close late or issue trading halts on specific securities, which may result in, among other things, a Portfolio being unable to buy or sell certain securities at an advantageous time or accurately price its portfolio investments. In addition, a Portfolio may rely on various third-party sources to calculate its net asset value. As a result, a Portfolio is subject to certain operational risks associated with reliance on service providers and service providers’ data sources. In particular, errors or systems failures and other technological issues may adversely impact the Portfolio’s calculations of its net asset value. Such net asset value

B25

calculation issues may result in inaccurately calculated net asset values, delays in net asset value calculations and/or the inability to calculate net asset values over extended periods. A Portfolio may be unable to recover any losses associated with such failures.

Management risk is the risk that the investment strategy or the Manager or a subadviser will not work as intended. All decisions by the Manager or a subadviser require judgment and are based on imperfect information. In addition, if a Portfolio is managed using a quantitative investment model, it is subject to the risk that the model may not perform as expected. Similarly, there can be no assurance that quantitative models or methods utilized by the Manager or a subadviser, or related data sources, will always be available, and the loss of access to any such model(s) or data sources could have an adverse impact on a Portfolio’s ability to realize its investment objective. Moreover, regulatory restrictions, actual or potential conflicts of interest or other considerations may cause the Manager or a subadviser to restrict or prohibit participation in certain investments. There is no guarantee that the investment objective of a Portfolio will be achieved.

Real Estate Risk: Investments in REITs and real estate-linked derivative instruments will subject a Portfolio to risks similar to those associated with direct ownership of real estate, including losses from casualty or condemnation, and changes in local and general economic conditions, supply and demand, interest rates, zoning laws, regulatory limitations on rents, property taxes, operating expenses, overbuilding, construction delays and the supply of real estate generally, extended vacancies of properties, and the management skill and credit worthiness of the issuer. An investment in a real estate-linked derivative instrument that is linked to the value of a REIT is subject to additional risks, such as poor performance by the manager of the REIT, adverse changes to tax laws, or failure by the REIT to qualify for tax-free pass-through of income under the tax laws. In addition, some REITs have limited diversification because they invest in a limited number of properties, a narrow geographic area, or a single type of property and, as a result, may be more exposed to events that adversely affect such properties or areas than REITs that invest more broadly.

Small and Medium Sized Company Risk: Securities of small and medium sized companies tend to trade less frequently than those of larger, more established companies, which can have an adverse effect on the price of these securities and on a Portfolio’s ability to sell these securities. Changes in the demand for these securities generally have a disproportionate effect on their market price, tending to make prices rise more in response to buying demand and fall more in response to selling pressure. Such investments also may be more volatile than investments in larger companies, as smaller and medium sized companies generally experience higher growth and failure rates, and typically have less diversified product lines, less experienced senior management, and less access to capital than larger companies. In the case of small sized technology companies, the risks associated with technology company stocks, which tend to be more volatile than other sectors, are magnified.

US Government Securities Risk: US Treasury obligations are backed by the “full faith and credit” of the US Government. Securities issued or guaranteed by federal agencies or authorities and US Government-sponsored instrumentalities or enterprises may or may not be backed by the full faith and credit of the US Government. For example, securities issued by the Federal Home Loan Mortgage Corporation, the Federal National Mortgage Association and the Federal Home Loan Banks are neither insured nor guaranteed by the US Government. These securities may be supported by the ability to borrow from the US Treasury or only by the credit of the issuing agency, authority, instrumentality or enterprise and, as a result, are subject to greater credit risk than securities issued or guaranteed by the US Treasury. Further, the US Government and its agencies, authorities, instrumentalities and enterprises do not guarantee the market value of their securities; consequently, the value of such securities will fluctuate. This may be the case especially when there is any controversy or ongoing uncertainty regarding the status of negotiations in the US Congress to increase the statutory debt ceiling. If the US Congress is unable to negotiate an adjustment to the statutory debt ceiling, there is also the risk that the US Government may default on payments on certain US Government securities, including those held by a Portfolio (including the Government Money Market Portfolio), which could have a negative impact on the Portfolio. An increase in demand for US Government securities resulting from an increase in demand for government money market funds may lead to lower yields on such securities.

Recent Accounting Pronouncement and Regulatory Developments

In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, which provides optional guidance for applying GAAP to contract modifications, hedging relationships and other transactions affected by the reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. At this time, management is evaluating the implications of certain provisions of the ASU and any impact on the financial statement disclosures has not yet been determined.

B26

On December 3, 2020, the SEC announced that it voted to adopt a new rule that establishes an updated regulatory framework for fund valuation practices (the “Rule”). The Rule, in part, provides (i) a framework for determining fair value in good faith and (ii) provides for a fund Board’s assignment of its responsibility for the execution of valuation-related activities to a fund’s investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Rule will become effective 60 days after publication in the Federal Register, and will have a compliance date 18 months following the effective date. Management is currently evaluating the Rule and its impact to the Funds.

B27

Financial Highlights


Conservative Balanced Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	31.40		$	26.50		$	27.17		$	24.18		$	22.54

Income (Loss) From Investment Operations:
Net investment income (loss)		0.50			0.59			0.53			0.45			0.42
Net realized and unrealized gain (loss) on investment and foreign currency transactions		3.09			4.31			(1.20	)		2.54			1.20

Total from investment operations		3.59			4.90			(0.67	)		2.99			1.62

Capital Contributions		—			—	(b)(c)		—	(b)(c)		—			0.02	(d)

Net Asset Value, end of year	$	34.99		$	31.40		$	26.50		$	27.17		$	24.18

Total Return(e)		11.43	%		18.49	%(f)		(2.47	)%(f)		12.37	%		7.28	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,710		$	2,597		$	2,370		$	2,595		$	2,473
Average net assets (in millions)	$	2,540		$	2,506		$	2,535		$	2,535		$	2,487
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.58	%		0.59	%		0.59	%		0.58	%		0.58	%
Expenses before waivers and/or expense reimbursement		0.58	%		0.59	%		0.59	%		0.58	%		0.58	%
Net investment income (loss)		1.58	%		2.02	%		1.94	%		1.75	%		1.79	%
Portfolio turnover rate(i)		75	%		90	%		101	%		136	%		185	%

Diversified Bond Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	14.55		$	13.12		$	13.14		$	12.28		$	11.64

Income (Loss) From Investment Operations:
Net investment income (loss)		0.45			0.49			0.45			0.42			0.43
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.78			0.94			(0.48	)		0.44			0.21

Total from investment operations		1.23			1.43			(0.03	)		0.86			0.64

Capital Contributions		—			—			0.01	(b)		—			—	(c)(d)

Net Asset Value, end of year	$	15.78		$	14.55		$	13.12		$	13.14		$	12.28

Total Return(e)		8.45	%		10.90	%		(0.15	)%(j)		7.00	%		5.50	%(f)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,293		$	1,190		$	1,123		$	1,145		$	1,105
Average net assets (in millions)	$	1,235		$	1,166		$	1,132		$	1,123		$	1,121
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.43	%		0.44	%		0.44	%		0.44	%		0.44	%
Expenses before waivers and/or expense reimbursement		0.43	%		0.44	%		0.44	%		0.44	%		0.44	%
Net investment income (loss)		2.99	%		3.53	%		3.44	%		3.28	%		3.52	%
Portfolio turnover rate(i)		35	%		48	%		51	%		71	%		49	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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 year reported and includes reinvestment of dividends and 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 years 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 GAAP.

(f)	Total return for the year 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)	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 portfolio turnover rate may be higher.

(j)	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.

Financial Highlights


Equity Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	63.18		$	49.02		$	51.52		$	40.96		$	39.47

Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.66			0.53			0.41			0.38
Net realized and unrealized gain (loss) on investment and foreign currency transactions		17.79			13.50			(3.07	)		10.15			1.07

Total from investment operations		18.32			14.16			(2.54	)		10.56			1.45

Capital Contributions		—			—	(b)(c)		0.04	(b)		—			0.04	(d)

Net Asset Value, end of year	$	81.50		$	63.18		$	49.02		$	51.52		$	40.96

Total Return(e)		29.00	%		28.89	%(f)		(4.85	)%(g)		25.78	%		3.78	%(h)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	5,672		$	4,711		$	3,920		$	4,416		$	3,742
Average net assets (in millions)	$	4,777		$	4,407		$	4,497		$	4,099		$	3,615
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss)		0.80	%		1.16	%		0.98	%		0.89	%		1.01	%
Portfolio turnover rate(j)		62	%		43	%		37	%		55	%		39	%

Equity Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	62.09		$	48.37		$	51.04		$	40.74		$	39.42

Income (Loss) From Investment Operations:
Net investment income (loss)		0.26			0.43			0.32			0.23			0.23
Net realized and unrealized gain (loss) on investment and foreign currency transactions		17.43			13.29			(3.03	)		10.07			1.05

Total from investment operations		17.69			13.72			(2.71	)		10.30			1.28

Capital Contributions		—			—	(b)(c)		0.04	(b)		—			0.04	(d)

Net Asset Value, end of year	$	79.78		$	62.09		$	48.37		$	51.04		$	40.74

Total Return(e)		28.49	%		28.36	%(f)		(5.23	)%(g)		25.28	%		3.35	%(h)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2		$	2		$	2		$	2		$	2
Average net assets (in millions)	$	2		$	2		$	2		$	2		$	2
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Expenses before waivers and/or expense reimbursement		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Net investment income (loss)		0.40	%		0.76	%		0.59	%		0.50	%		0.61	%
Portfolio turnover rate(j)		62	%		43	%		37	%		55	%		39	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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)	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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


Flexible Managed Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	34.32		$	28.63		$	29.88		$	25.99		$	23.95

Income (Loss) From Investment Operations:
Net investment income (loss)		0.56			0.61			0.53			0.45			0.44
Net realized and unrealized gain (loss) on investment and foreign currency transactions		2.73			5.08			(1.78	)		3.44			1.58

Total from investment operations		3.29			5.69			(1.25	)		3.89			2.02

Capital Contributions		—			—	(b)(c)		—	(b)(c)		—			0.02	(d)

Net Asset Value, end of year	$	37.61		$	34.32		$	28.63		$	29.88		$	25.99

Total Return(e)		9.59	%		19.87	%(f)		(4.18	)%(f)		14.97	%		8.52	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	4,479		$	4,328		$	3,834		$	4,230		$	3,890
Average net assets (in millions)	$	4,171		$	4,127		$	4,157		$	4,043		$	3,799
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.62	%		0.63	%		0.63	%		0.62	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.62	%		0.63	%		0.63	%		0.62	%		0.63	%
Net investment income (loss)		1.64	%		1.92	%		1.75	%		1.62	%		1.78	%
Portfolio turnover rate(i)(j)		120	%		125	%		139	%		175	%		203	%

Global Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	41.49		$	31.83		$	34.33		$	27.50		$	26.33

Income (Loss) From Investment Operations:
Net investment income (loss)		0.41			0.52			0.47			0.42			0.34
Net realized and unrealized gain (loss) on investment and foreign currency transactions		6.16			9.14			(2.99	)		6.41			0.81

Total from investment operations		6.57			9.66			(2.52	)		6.83			1.15

Capital Contributions		—			—	(b)(c)		0.02	(b)		—			0.02	(d)

Net Asset Value, end of year	$	48.06		$	41.49		$	31.83		$	34.33		$	27.50

Total Return(e)		15.84	%		30.39	%(f)		(7.28	)%(k)		24.84	%		4.44	%(l)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,377		$	1,264		$	1,007		$	1,133		$	955
Average net assets (in millions)	$	1,191		$	1,158		$	1,140		$	1,052		$	942
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.76	%		0.77	%		0.77	%		0.79	%		0.80	%
Expenses before waivers and/or expense reimbursement		0.80	%		0.80	%		0.80	%		0.81	%		0.81	%
Net investment income (loss)		1.01	%		1.41	%		1.33	%		1.34	%		1.29	%
Portfolio turnover rate(j)		34	%		26	%		28	%		33	%		40	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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)	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 portfolio 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 (7.34)%.

(l)	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.

Financial Highlights


Government Income Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	13.54		$	12.70		$	12.62		$	12.26		$	12.00

Income (Loss) From Investment Operations:
Net investment income (loss)		0.23			0.31			0.28			0.23			0.20
Net realized and unrealized gain (loss) on investment transactions		0.74			0.53			(0.20	)		0.13			0.06

Total from investment operations		0.97			0.84			0.08			0.36			0.26

Capital Contributions		—			—			—	(b)(c)		—			—	(c)(d)

Net Asset Value, end of year	$	14.51		$	13.54		$	12.70		$	12.62		$	12.26

Total Return(e)		7.16	%		6.61	%		0.63	%(f)		2.94	%		2.17	%(f)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	246		$	239		$	221		$	244		$	226
Average net assets (in millions)	$	247		$	235		$	231		$	252		$	236
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.51	%		0.52	%		0.51	%		0.53	%		0.51	%
Expenses before waivers and/or expense reimbursement		0.51	%		0.52	%		0.51	%		0.53	%		0.51	%
Net investment income (loss)		1.58	%		2.34	%		2.28	%		1.84	%		1.60	%
Portfolio turnover rate(h)(i)		150	%		269	%		284	%		495	%		705	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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)	The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate.

(i)	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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


Government Money Market Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(b):
Net Asset Value, beginning of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00

Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		0.03			0.19			0.15			0.06			0.01
Less Dividends and Distributions:		(0.03	)		(0.19	)		(0.15	)		(0.06	)		(0.01	)

Net asset value, end of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00

Total Return(d)		0.30	%		1.92	%		1.53	%		0.56	%		0.10	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	792		$	600		$	536		$	560		$	724
Average net assets (in millions)	$	667		$	563		$	560		$	665		$	717
Ratios to average net assets(e):
Expenses after waivers and/or expense reimbursement		0.21	%		0.35	%		0.35	%		0.35	%		0.35	%
Expenses before waivers and/or expense reimbursement		0.34	%		0.35	%		0.35	%		0.35	%		0.35	%
Net investment income (loss)		0.26	%		1.88	%		1.52	%		0.55	%		0.09	%


Government Money Market Portfolio—Class III
	May 18, 2020(a) through December 31, 2020
Per Share Operating Performance(b):
Net Asset Value, beginning of period	$	10.00

Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		—	(c)
Less Dividends and Distributions:		—	(c)

Net asset value, end of period	$	10.00

Total Return(d)		0.00	%(c)
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	66
Average net assets (in millions)	$	34
Ratios to average net assets(e):
Expenses after waivers and/or expense reimbursement		0.13	%(f)
Expenses before waivers and/or expense reimbursement		0.58	%(f)
Net investment income (loss)		—	%(c)(f)

(a)	Commencement of offering.

(b)	Calculated based on average shares outstanding during the period.

(c)	Amount rounds to zero.

(d)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and 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 GAAP. Total returns for periods less than one full year are not annualized.

(e)	Does not include expenses of the underlying funds in which the Portfolio invests.

(f)	Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


High Yield Bond Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	5.77		$	4.96		$	5.17		$	5.10		$	4.68

Income (Loss) From Investment Operations:
Net investment income (loss)		0.35			0.34			0.33			0.32			0.32
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.06			0.47			(0.39	)		0.07			0.42

Total from investment operations		0.41			0.81			(0.06	)		0.39			0.74

Less Dividends and Distributions		—			—			(0.15	)		(0.32	)		(0.32	)
Capital Contributions		—			—			—	(b)(c)		—			—	(c)(d)

Net Asset Value, end of year	$	6.18		$	5.77		$	4.96		$	5.17		$	5.10

Total Return(e)		7.11	%		16.33	%		(1.26	)%(f)		7.80	%		16.24	%(f)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	529		$	522		$	474		$	508		$	3,568
Average net assets (in millions)	$	497		$	507		$	499		$	3,549		$	3,362
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Expenses before waivers and/or expense reimbursement		0.61	%		0.62	%		0.62	%		0.57	%		0.57	%
Net investment income (loss)		6.16	%		6.28	%		6.50	%		6.17	%		6.61	%
Portfolio turnover rate(h)		61	%		58	%		47	%		54	%(i)		39	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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)	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 portfolio turnover rate may be higher.

(i)	The Portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities transferred as a result of in-kind transactions. If such transactions were included, the portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


Jennison 20/20 Focus Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	38.06		$	29.52		$	31.19		$	23.94		$	23.56

Income (Loss) From Investment Operations:
Net investment income (loss)		0.16			0.23			0.26			0.10			0.09
Net realized and unrealized gain (loss) on investment and foreign currency transactions		11.61			8.31			(1.95	)		7.15			0.27

Total from investment operations		11.77			8.54			(1.69	)		7.25			0.36

Capital Contributions		—			—			0.02	(c)		—			0.02	(d)

Net Asset Value, end of year	$	49.83		$	38.06		$	29.52		$	31.19		$	23.94

Total Return(e)		30.92	%		28.93	%		(5.35	)%(f)		30.28	%		1.61	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	87		$	72		$	59		$	69		$	59
Average net assets (in millions)	$	73		$	66		$	69		$	65		$	60
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.86	%		0.87	%		0.82	%		0.82	%		0.83	%
Expenses before waivers and/or expense reimbursement		0.86	%		0.87	%		0.84	%		0.87	%		0.83	%
Net investment income (loss)		0.39	%		0.66	%		0.80	%		0.36	%		0.39	%
Portfolio turnover rate(i)		82	%		61	%		42	%		99	%		69	%

Jennison 20/20 Focus Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	36.17		$	28.17		$	29.88		$	23.03		$	22.75

Income (Loss) From Investment Operations:
Net investment income (loss)		—	(b)		0.09			0.13			(0.01	)		—	(b)
Net realized and unrealized gain (loss) on investment and foreign currency transactions		11.00			7.91			(1.86	)		6.86			0.26

Total from investment operations		11.00			8.00			(1.73	)		6.85			0.26

Capital Contributions		—			—			0.02	(c)		—			0.02	(d)

Net Asset Value, end of year	$	47.17		$	36.17		$	28.17		$	29.88		$	23.03

Total Return(e)		30.41	%		28.40	%		(5.72	)%(f)		29.74	%		1.23	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	131		$	121		$	119		$	156		$	143
Average net assets (in millions)	$	117		$	118		$	147		$	151		$	146
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		1.26	%		1.27	%		1.22	%		1.22	%		1.23	%
Expenses before waivers and/or expense reimbursement		1.26	%		1.27	%		1.24	%		1.27	%		1.23	%
Net investment income (loss)		—	%(b)		0.26	%		0.40	%		(0.04	)%		(0.01	)%
Portfolio turnover rate(i)		82	%		61	%		42	%		99	%		69	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Amount rounds to zero.

(c)	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.

(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)

(f)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (5.41)% and (5.79)% for Class I and Class II, respectively.

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.53% and 1.14% for Class I and Class II, respectively.

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


Jennison Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	81.62		$	61.21		$	61.69		$	45.13		$	45.54

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.13	)		0.09			0.13			0.13			0.10
Net realized and unrealized gain (loss) on investment and foreign currency transactions		46.00			20.32			(0.61	)		16.43			(0.55	)

Total from investment operations		45.87			20.41			(0.48	)		16.56			(0.45	)

Capital Contributions		—			—	(b)(c)		—	(b)(c)		—			0.04	(d)

Net Asset Value, end of year	$	127.49		$	81.62		$	61.21		$	61.69		$	45.13

Total Return(e)		56.20	%		33.34	%(f)		(0.78	)%(f)		36.69	%		(0.90	)%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,260		$	2,242		$	1,803		$	1,937		$	1,520
Average net assets (in millions)	$	2,606		$	2,073		$	2,052		$	1,761		$	1,529
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.62	%		0.62	%		0.62	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.62	%		0.62	%		0.62	%		0.63	%		0.63	%
Net investment income (loss)		(0.13	)%		0.13	%		0.19	%		0.25	%		0.23	%
Portfolio turnover rate(i)		56	%		41	%		38	%		51	%		35	%

Jennison Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	77.94		$	58.68		$	59.38		$	43.62		$	44.19

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.49	)		(0.19	)		(0.14	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss) on investment and foreign currency transactions		43.81			19.45			(0.56	)		15.84			(0.54	)

Total from investment operations		43.32			19.26			(0.70	)		15.76			(0.61	)

Capital Contributions		—			—	(b)(c)		—	(b)(c)		—			0.04	(d)

Net Asset Value, end of year	$	121.26		$	77.94		$	58.68		$	59.38		$	43.62

Total Return(e)		55.57	%		32.82	%(f)		(1.18	)%(f)		36.13	%		(1.29	)%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	88		$	66		$	61		$	60		$	41
Average net assets (in millions)	$	72		$	64		$	70		$	49		$	50
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		1.02	%		1.02	%		1.02	%		1.03	%		1.03	%
Expenses before waivers and/or expense reimbursement		1.02	%		1.02	%		1.02	%		1.03	%		1.03	%
Net investment income (loss)		(0.53	)%		(0.27	)%		(0.22	)%		(0.16	)%		(0.17	)%
Portfolio turnover rate(i)		56	%		41	%		38	%		51	%		35	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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 (0.99)% and (1.38)% for Class I and Class II, respectively

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


Natural Resources Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	24.34		$	21.99		$	26.84		$	26.89		$	21.45

Income (Loss) From Investment Operations:
Net investment income (loss)		0.49			0.72			0.60			0.40			0.26
Net realized and unrealized gain (loss) on investment and foreign currency transactions		2.50			1.63			(5.46	)		(0.45	)		5.15

Total from investment operations		2.99			2.35			(4.86	)		(0.05	)		5.41

Capital Contributions		—			—	(b)(c)		0.01	(b)		—			0.03	(d)

Net Asset Value, end of year	$	27.33		$	24.34		$	21.99		$	26.84		$	26.89

Total Return(e)		12.28	%		10.69	%(f)		(18.07	)%(g)		(0.19	)%		25.36	%(h)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	352		$	332		$	324		$	425		$	456
Average net assets (in millions)	$	285		$	339		$	398		$	410		$	416
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.54	%		0.53	%		0.51	%		0.52	%		0.56	%
Expenses before waivers and/or expense reimbursement		0.55	%		0.54	%		0.52	%		0.53	%		0.57	%
Net investment income (loss)		2.28	%		3.04	%		2.30	%		1.60	%		1.08	%
Portfolio turnover rate(j)		136	%		132	%		108	%		114	%		140	%

Natural Resources Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	23.44		$	21.26		$	26.06		$	26.20		$	20.99

Income (Loss) From Investment Operations:
Net investment income (loss)		0.41			0.61			0.49			0.29			0.15
Net realized and unrealized gain (loss) on investment and foreign currency transactions		2.36			1.57			(5.30	)		(0.43	)		5.03

Total from investment operations		2.77			2.18			(4.81	)		(0.14	)		5.18

Capital Contributions		—			—	(b)(c)		0.01	(b)		—			0.03	(d)

Net Asset Value, end of year	$	26.21		$	23.44		$	21.26		$	26.06		$	26.20

Total Return(e)		11.82	%		10.25	%(f)		(18.42	)%(g)		(0.53	)%		24.82	%(h)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	32		$	49		$	48		$	53		$	42
Average net assets (in millions)	$	38		$	50		$	52		$	48		$	38
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.94	%		0.93	%		0.91	%		0.92	%		0.96	%
Expenses before waivers and/or expense reimbursement		0.95	%		0.94	%		0.92	%		0.93	%		0.97	%
Net investment income (loss)		2.05	%		2.63	%		1.93	%		1.21	%		0.64	%
Portfolio turnover rate(j)		136	%		132	%		108	%		114	%		140	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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 (18.11)% and (18.46)% 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 25.22% and 24.68% for Class I and Class II, respectively.

(i)	Does not include expenses of the underlying funds in which the Portfolio invests.

(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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


Small Capitalization Stock Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	43.03		$	35.15		$	38.51		$	34.08		$	26.94

Income (Loss) From Investment Operations:
Net investment income (loss)		0.40			0.46			0.40			0.39			0.35
Net realized and unrealized gain (loss) on investment transactions		4.33			7.42			(3.76	)		4.04			6.72

Total from investment operations		4.73			7.88			(3.36	)		4.43			7.07

Capital Contributions		—			—			—	(b)(c)		—			0.07	(d)

Net Asset Value, end of year	$	47.76		$	43.03		$	35.15		$	38.51		$	34.08

Total Return(e)		10.99	%		22.42	%		(8.73	)%(f)		13.00	%		26.50	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	858		$	834		$	729		$	850		$	811
Average net assets (in millions)	$	701		$	794		$	871		$	811		$	704
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.40	%		0.39	%		0.39	%		0.40	%		0.40	%
Expenses before waivers and/or expense reimbursement		0.40	%		0.39	%		0.39	%		0.40	%		0.42	%
Net investment income (loss)		1.07	%		1.15	%		0.98	%		1.11	%		1.21	%
Portfolio turnover rate(i)		18	%		19	%		18	%		17	%		20	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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 26.24%.

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C10

Financial Highlights


SP International Growth Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	9.28		$	7.01		$	8.05		$	5.92		$	6.14

Income (Loss) From Investment Operations:
Net investment income (loss)		—	(b)		0.05			0.07			0.05			0.05
Net realized and unrealized gain (loss) on investment and foreign currency transactions		2.98			2.21			(1.12	)		2.08			(0.28	)

Total from investment operations		2.98			2.26			(1.05	)		2.13			(0.23	)

Capital Contributions		—			0.01	(c)(d)		0.01	(d)		—			0.01	(e)

Net Asset Value, end of year	$	12.26		$	9.28		$	7.01		$	8.05		$	5.92

Total Return(f)		32.11	%		32.38	%(g)		(12.92	)%(h)		35.98	%		(3.58	)%(i)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	103.2		$	85.6		$	70.1		$	84.3		$	63.9
Average net assets (in millions)	$	86.3		$	79.6		$	81.8		$	75.1		$	66.7
Ratios to average net assets(j):
Expenses after waivers and/or expense reimbursement		1.01	%		1.01	%		1.01	%		1.01	%		1.03	%
Expenses before waivers and/or expense reimbursement		1.21	%		1.24	%		1.20	%		1.34	%		1.25	%
Net investment income (loss)		0.05	%		0.64	%		0.83	%		0.67	%		0.80	%
Portfolio turnover rate(k)		44	%		26	%		37	%		45	%		57	%

SP International Growth Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	8.93		$	6.77		$	7.81		$	5.76		$	6.01

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.03	)		0.02			0.03			0.03			0.04
Net realized and unrealized gain (loss) on investment and foreign currency transactions		2.85			2.13			(1.08	)		2.02			(0.30	)

Total from investment operations		2.82			2.15			(1.05	)		2.05			(0.26	)

Capital Contributions		—			0.01	(c)(d)		0.01	(d)		—			0.01	(e)

Net Asset Value, end of year	$	11.75		$	8.93		$	6.77		$	7.81		$	5.76

Total Return(f)		31.58	%		31.91	%(g)		(13.32	)%(h)		35.59	%		(4.16	)%(i)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	0.2		$	0.1		$	0.1		$	0.1		$	0.3
Average net assets (in millions)	$	0.1		$	0.1		$	0.1		$	0.3		$	4.3
Ratios to average net assets(j):
Expenses after waivers and/or expense reimbursement		1.41	%		1.41	%		1.41	%		1.41	%		1.43	%
Expenses before waivers and/or expense reimbursement		1.61	%		1.64	%		1.60	%		1.72	%		1.65	%
Net investment income (loss)		(0.36	)%		0.24	%		0.44	%		0.39	%		0.61	%
Portfolio turnover rate(k)		44	%		26	%		37	%		45	%		57	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Amount rounds to zero.

(c)	Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error.

(d)	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.

(e)	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.

(f)

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 32.24% and 31.76% 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 (13.04)% and (13.45)% for Class I and Class II, respectively.

(i)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (3.74)% and (4.33)% for Class I and Class II, respectively.

(j)	Does not include expenses of the underlying funds in which the Portfolio invests.

(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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C11

Financial Highlights


SP Prudential U.S. Emerging Growth Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	18.77		$	13.63		$	14.79		$	12.08		$	11.58

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.03	)		—	(b)		0.02			0.02			0.01
Net realized and unrealized gain (loss) on investment transactions		8.94			5.14			(1.18	)		2.69			0.47

Total from investment operations		8.91			5.14			(1.16	)		2.71			0.48

Capital Contributions		—			—			—	(b)(c)		—			0.02	(d)

Net Asset Value, end of year	$	27.68		$	18.77		$	13.63		$	14.79		$	12.08

Total Return(e)		47.47	%		37.71	%		(7.84	)%(f)		22.43	%		4.32	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	382.1		$	279.8		$	214.8		$	249.8		$	217.7
Average net assets (in millions)	$	302.1		$	257.0		$	248.2		$	235.7		$	215.0
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.67	%		0.70	%		0.68	%		0.71	%		0.69	%
Expenses before waivers and/or expense reimbursement		0.67	%		0.70	%		0.68	%		0.71	%		0.69	%
Net investment income (loss)		(0.15	)%		(0.01	)%		0.15	%		0.18	%		0.10	%
Portfolio turnover rate(i)		63	%		106	%		43	%		39	%		35	%

SP Prudential U.S. Emerging Growth Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	17.57		$	12.81		$	13.95		$	11.44		$	11.02

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.10	)		(0.06	)		(0.03	)		(0.03	)		(0.03	)
Net realized and unrealized gain (loss) on investment transactions		8.34			4.82			(1.11	)		2.54			0.43

Total from investment operations		8.24			4.76			(1.14	)		2.51			0.40

Capital Contributions		—			—			—	(b)(c)		—			0.02	(d)

Net Asset Value, end of year	$	25.81		$	17.57		$	12.81		$	13.95		$	11.44

Total Return(e)		46.90	%		37.16	%		(8.17	)%(f)		21.94	%		3.81	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	0.3		$	0.5		$	0.5		$	0.6		$	0.8
Average net assets (in millions)	$	0.4		$	0.6		$	0.6		$	0.8		$	0.8
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		1.07	%		1.10	%		1.08	%		1.10	%		1.09	%
Expenses before waivers and/or expense reimbursement		1.07	%		1.10	%		1.08	%		1.10	%		1.09	%
Net investment income (loss)		(0.53	)%		(0.40	)%		(0.24	)%		(0.22	)%		(0.30	)%
Portfolio turnover rate(i)		63	%		106	%		43	%		39	%		35	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Amount rounds to zero.

(c)	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.

(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)

(f)	Total return for the year 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 4.15% and 3.63% for Class I and Class II, respectively.

(h)	Does not include expenses of the investment companies in which the Portfolio invests.

(i)	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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C12

Financial Highlights


SP Small Cap Value Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	27.86		$	22.69		$	26.32		$	23.46		$	18.70

Income (Loss) From Investment Operations:
Net investment income (loss)		0.14			0.20			0.13			0.12			0.15
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.39			4.97			(3.76	)		2.74			4.60

Total from investment operations		0.53			5.17			(3.63	)		2.86			4.75

Capital Contributions		—			—			—	(b)(c)		—			0.01	(d)

Net Asset Value, end of year	$	28.39		$	27.86		$	22.69		$	26.32		$	23.46

Total Return(e)		1.90	%		22.79	%		(13.79	)%(f)		12.19	%		25.45	%(g)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	244		$	221		$	180		$	214		$	211
Average net assets (in millions)	$	188		$	207		$	211		$	208		$	189
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		1.03	%		1.01	%		0.99	%		1.01	%		1.01	%
Expenses before waivers and/or expense reimbursement		1.03	%		1.02	%		1.00	%		1.02	%		1.02	%
Net investment income (loss)		0.61	%		0.76	%		0.48	%		0.51	%		0.75	%
Portfolio turnover rate(i)		69	%		56	%		58	%		62	%		57	%

Stock Index Portfolio
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	74.24		$	56.64		$	59.38		$	50.70		$	48.59

Income (Loss) From Investment Operations:
Net investment income (loss)		1.12			1.12			1.00			0.92			0.89
Net realized and unrealized gain (loss) on investment transactions		12.30			16.48			(3.74	)		9.75			4.52

Total from investment operations		13.42			17.60			(2.74	)		10.67			5.41

Less Dividends and Distributions		—			—			—			(1.99	)		(3.37	)
Capital Contributions		—			—			—			—			0.07	(d)

Net Asset Value, end of year	$	87.66		$	74.24		$	56.64		$	59.38		$	50.70

Total Return(e)		18.08	%		31.07	%		(4.61	)%		21.46	%		11.83	%(j)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	5,620		$	4,757		$	3,672		$	3,928		$	3,305
Average net assets (in millions)	$	4,802		$	4,298		$	4,051		$	3,630		$	3,122
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.31	%		0.31	%		0.31	%		0.32	%		0.32	%
Expenses before waivers and/or expense reimbursement		0.31	%		0.31	%		0.31	%		0.32	%		0.34	%
Net investment income (loss)		1.50	%		1.69	%		1.63	%		1.69	%		1.84	%
Portfolio turnover rate(i)		4	%		3	%		4	%		4	%		5	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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 25.40%.

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	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 portfolio turnover rate may be higher.

(j)	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.

C13

Financial Highlights


Value Portfolio—Class I
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	35.99		$	28.55		$	31.68		$	27.08		$	24.31

Income (Loss) From Investment Operations:
Net investment income (loss)		0.66			0.67			0.56			0.47			0.46
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.63			6.77			(3.71	)		4.13			2.28

Total from investment operations		1.29			7.44			(3.15	)		4.60			2.74

Capital Contributions		—			—	(b)(c)		0.02	(b)		—			0.03	(d)

Net Asset Value, end of year	$	37.28		$	35.99		$	28.55		$	31.68		$	27.08

Total Return(e)		3.58	%		26.06	%(f)		(9.88	)%(g)		16.99	%		11.39	%(h)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,371		$	1,430		$	1,226		$	1,480		$	1,375
Average net assets (in millions)	$	1,237		$	1,354		$	1,417		$	1,413		$	1,290
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.43	%		0.43	%		0.43	%		0.43	%		0.42	%
Expenses before waivers and/or expense reimbursement		0.43	%		0.43	%		0.43	%		0.43	%		0.42	%
Net investment income (loss)		2.03	%		2.04	%		1.76	%		1.63	%		1.90	%
Portfolio turnover rate(j)		32	%		25	%		23	%		16	%		24	%

Value Portfolio—Class II
	Year Ended December 31,
	2020			2019			2018			2017			2016
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	35.25		$	28.07		$	31.27		$	26.84		$	24.19

Income (Loss) From Investment Operations:
Net investment income (loss)		0.51			0.53			0.42			0.35			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		0.60			6.65			(3.64	)		4.08			2.25

Total from investment operations		1.11			7.18			(3.22	)		4.43			2.62

Capital Contributions		—			—	(b)(c)		0.02	(b)		—			0.03	(d)

Net Asset Value, end of year	$	36.36		$	35.25		$	28.07		$	31.27		$	26.84

Total Return(e)		3.15	%		25.58	%(f)		(10.23	)%(g)		16.51	%		10.95	%(h)
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	9		$	9		$	6		$	8		$	7
Average net assets (in millions)	$	8		$	7		$	7		$	7		$	8
Ratios to average net assets(i):
Expenses after waivers and/or expense reimbursement		0.83	%		0.83	%		0.83	%		0.83	%		0.82	%
Expenses before waivers and/or expense reimbursement		0.83	%		0.83	%		0.83	%		0.83	%		0.82	%
Net investment income (loss)		1.62	%		1.63	%		1.36	%		1.23	%		1.53	%
Portfolio turnover rate(j)		32	%		25	%		23	%		16	%		24	%

(a)	Calculated based on average shares outstanding during the year.

(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)	Amount rounds to zero.

(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)

(f)	Total return for the year 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 (9.94)% and (10.29)% 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 11.27% and 10.83% for Class I and Class II, respectively.

(i)	Does not include expenses of the underlying funds in which the Portfolio invests.

(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 portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

C14

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of The Prudential Series Fund and Shareholders of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, Government Money Market Portfolio, High Yield Bond Portfolio, Jennison 20/20 Focus Portfolio, Jennison Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, SP International Growth Portfolio, SP Prudential U.S. Emerging Growth Portfolio, SP Small Cap Value Portfolio, Stock Index Portfolio and Value Portfolio

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, Government Money Market Portfolio, High Yield Bond Portfolio, Jennison 20/20 Focus Portfolio, Jennison Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, SP International Growth Portfolio, SP Prudential U.S. Emerging Growth Portfolio, SP Small Cap Value Portfolio, Stock Index Portfolio and Value Portfolio (seventeen of the portfolios constituting The Prudential Series Fund, hereafter collectively referred to as the “Portfolios”) as of December 31, 2020, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the year then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2020, and the results of each of their operations, changes in each of their net assets, and each of the financial highlights for the year then ended in conformity with accounting principles generally accepted in the United States of America.

The financial statements of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, Government Money Market Portfolio, High Yield Bond Portfolio, Jennison Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, SP International Growth Portfolio, SP Prudential U.S. Emerging Growth Portfolio, SP Small Cap Value Portfolio, Stock Index Portfolio and Value Portfolio as of and for the year ended December 31, 2019 and the financial highlights for each of the periods ended on or prior to December 31, 2019 (not presented herein, other than the statements of changes in net assets and the financial highlights) were audited by other auditors whose reports dated February 14, 2020 expressed unqualified opinions on those financial statements and financial highlights.

The financial statements of Jennison 20/20 Focus Portfolio as of and for the year ended December 31, 2019 and the financial highlights for each of the periods ended on or prior to December 31, 2019 (not presented herein, other than the statement of changes in net assets and the financial highlights) were audited by other auditors whose report dated February 12, 2020 expressed an unqualified opinion on those financial statements and financial highlights.

Basis for Opinions

These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

New York, New York

February 22, 2021

We have served as the auditor of one or more investment companies in the Prudential Insurance Portfolios complex since 2020.

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the officers of the Trust is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Trust are referred to as “Interested Trustees.” The Trustees oversee the operations of the Trust and appoint officers who are responsible for day-to-day business decisions based on policies set by the Board.



Independent Trustees
Name Year of Birth No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held	Length of Board Service
Susan Davenport Austin 1967 No. of Portfolios Overseen: 95	Chief Financial Officer of Grace Church School (Since September 2019); formerly Senior Managing Director of Brock Capital (2014-2019); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); formerly Chairman (2011-2014), formerly Presiding Director (2014-2017) and currently a Member (2007-present) of the Board of Directors, Broadcast Music, Inc.; President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015); Director of Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011).	Since February 2011
Sherry S. Barrat 1949 No. of Portfolios Overseen: 95	Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust.	Lead Director of NextEra Energy, Inc. (NYSE: NEE) (since May 2020); Director of NextEra Energy, Inc. (since 1998); Director of Arthur J. Gallagher & Company (Since July 2013).	Since January 2013
Jessica M. Bibliowicz 1959 No. of Portfolios Overseen: 95	Chairman of the Board of Overseers of Weill Cornell Medicine (since 2014); Formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products).	Formerly Director (2006-2019) of The Asia Pacific Fund, Inc.; Formerly Director of Sotheby’s (2014-2019) (auction house and art-related finance).	Since September 2014
Kay Ryan Booth 1950 No. of Portfolios Overseen: 95	Advisory Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.	Since January 2013
Stephen M. Chipman 1961 No. of Portfolios Overseen: 95	Formerly Group Managing Director, International Expansion and Regional Managing Director, Americas of Vistra (June 2018-June 2019); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Senior Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP.	Non-Executive Chairman (Since September 2019) of Litera Microsystems. Non-Executive Director of Stout (Since January 2020); Non-Executive Director of Clyde & Co. (Since January 2020).	Since January 2018
Robert F. Gunia 1946 No. of Portfolios Overseen: 95	Director of ICI Mutual Insurance Company (June 2020-present; June 2016-June 2019; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Formerly Director (1989-2019) of The Asia Pacific Fund, Inc.	Since July 2003



Independent Trustees
Name Year of Birth No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held	Length of Board Service
Thomas T. Mooney 1941 No. of Portfolios Overseen: 95	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004); formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976); Former President of The First Financial Fund and High Yield Plus Fund (1988-2005); Former Vice Chairman Monroe County Water Authority (1980-2002).	Former Director of Executive Service Corps of Rochester (1988-1990); Former Director of Rural/Metro Medical Services (1985-1990); Former Trustee of Center for Governmental Research (1977-1995); Former Director of Excellus BlueCross BlueShield (1980-1998).	Since July 2003
Thomas M. O’Brien 1950 No. of Portfolios Overseen: 95	Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.	Since July 2003

Interested Trustee
Timothy S. Cronin 1965 Number of Portfolios Overseen: 95	Vice President of Prudential Annuities (Since May 2003); Senior Vice President of PGIM Investments LLC (Since May 2009); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since March 2006).	None.	Since October 2009



Trust Officers^(a)
Name Year of Birth Position with the Trust	Principal Occupation(s) During the Past Five Years	Length of Service as Trust Officer
Ken Allen 1969 Vice President	Vice President of Investment Management (since December 2009).	Since June 2019
Claudia DiGiacomo 1974 Chief Legal Officer	Chief Legal Officer, Executive Vice President and Secretary of PGIM Investments LLC (since August 2020); Chief Legal Officer of Prudential Mutual Fund Services LLC (since August 2020); Chief Legal Officer of PIFM Holdco, LLC (since August 2020); Vice President and Corporate Counsel (since January 2005) of Prudential; and Corporate Counsel of AST Investment Services, Inc. (since August 2020); formerly Vice President and Assistant Secretary of PGIM Investments LLC (2005-2020); formerly Associate at Sidley Austin Brown & Wood LLP (1999-2004).	Since December 2005
Andrew R. French 1962 Secretary	Vice President (since December 2018-present) of PGIM Investments LLC; formerly, Vice President and Corporate Counsel (2010-2018) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since October 2006
Melissa Gonzalez 1980 Assistant Secretary	Vice President and Corporate Counsel (since September 2018) of Prudential; Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; formerly Director and Corporate Counsel (March 2014-September 2018) of Prudential.	Since March 2019
Patrick E. McGuinness 1986 Assistant Secretary	Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; Director and Corporate Counsel (since February 2017) of Prudential; and Corporate Counsel (2012-2017) of IIL, Inc.	Since June 2020
Debra Rubano 1975 Assistant Secretary	Vice President and Corporate Counsel (since November 2020) of Prudential; formerly Director and Senior Counsel of Allianz Global Investors U.S. Holdings LLC (2010-2020) and Assistant Secretary of numerous funds in the Allianz fund complex (2015-2020).	Since December 2020



Trust Officers^(a)
Name Year of Birth Position with the Trust	Principal Occupation(s) During the Past Five Years	Length of Service as Trust Officer
Dino Capasso 1974 Chief Compliance Officer	Chief Compliance Officer (July 2019-Present) of PGIM Investments LLC; Chief Compliance Officer (July 2019-Present) of the PGIM Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global High Yield Fund, Inc., and PGIM High Yield Bond Fund, Inc.; Vice President and Deputy Chief Compliance Officer (June 2017-2019) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC.	Since March 2018
Charles H. Smith, III 1973 Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since January 2017
Christian J. Kelly 1975 Treasurer and Principal Financial and Accounting Officer	Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007).	Since January 2019
Lana Lomuti 1967 Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within PGIM Investments Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since April 2014
Russ Shupak 1973 Assistant Treasurer	Vice President (since 2017) and Director (2013-2017), within PGIM Investments Fund Administration.	Since October 2019
Deborah Conway 1969 Assistant Treasurer	Vice President (since 2017) and Director (2007-2017), within PGIM Investments Fund Administration.	Since October 2019
Elyse M. McLaughlin 1974 Assistant Treasurer	Vice President (since 2017) and Director (2011-2017), within PGIM Investments Fund Administration.	Since October 2019
Alina Srodecka, CPA 1966 Assistant Treasurer	Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touché (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997).	Since June 2017

^(a) Excludes Mr. Cronin, an Interested Trustee who also serves as President and Principal Executive Officer.

Explanatory Notes to Tables:

Trustees are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with PGIM Investments and/or an affiliate of PGIM Investments. Timothy S. Cronin is an Interested Trustee because he is employed by an affiliate of the Manager.

Unless otherwise noted, the address of all Trustees and Officers is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

As used in the Officer’s table, “Prudential” means The Prudential Insurance Company of America

“Other Directorships Held” includes all directorships of companies required to register or file reports with the SEC under the 1934 Act (that is, “public companies”) or other investment companies registered under the 1940 Act.

“No. of Portfolios Overseen” includes all investment companies managed by PGIM Investments and/or ASTIS that are overseen by the Trustee. The investment companies for which PGIM Investments and/or ASTIS serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., the PGIM Funds, the PGIM High Yield Bond Fund, Inc., PGIM Global High Yield Fund, Inc. and PGIM Short Duration High Yield Opportunities Fund.

The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

LOGO

The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3777

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 944-8786 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

Every year we will send you an updated summary prospectus. We will also send you, or make available to you pursuant to Rule 30e-3 under the Investment Company Act of 1940, an annual report and a semi-annual report, which contain important financial information about the Portfolios.

To reduce Portfolio expenses, we may send or make available one annual shareholder report, one semi-annual shareholder report and one summary prospectus per household (householding), unless you instruct us or the relevant participating insurance company otherwise. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive. Note: Effective January 1, 2021 you may no longer receive mailed copies of the annual and semi-annual reports, unless you elect to continue to receive these mailings.

^©2021 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.

PSF-AR-A

Item 2 – Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 800-225-1852, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Thomas O’Brien, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal year ended December 31, 2020, the Registrant’s principal accountant was PricewaterhouseCoopers LLP (“PwC”). For the fiscal year ended December 31, 2020, PwC billed the Registrant $550,500 for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

For the fiscal year ended December 31, 2019, the Registrant’s principal accountant was KPMG LLP (“KPMG”). For the fiscal year ended December 31, 2019, KPMG billed the Registrant $572,218 for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

For the fiscal year ended December 31, 2020, fees of $9,639 were billed to the Registrant for services rendered by PwC in connection with matters relating to foreign reclaims attestation were paid by Prudential Financial, Inc. and/or its affiliates.

For the fiscal year ended December 31, 2020, fees of $32,312 were billed to the Registrant for services rendered by KPMG in connection with the auditor transition.

For the fiscal year ended December 31, 2019, fees of $24,097 were billed to the Registrant for services rendered by KPMG in connection with an accounting system conversion and were paid by The Bank of New York Mellon.

For the fiscal year ended December 31, 2019, fees of $51,265 were billed to the Registrant for services rendered by KPMG in connection with matters relating to foreign tax reclaims and securities lending were paid by Prudential Financial, Inc. and/or its affiliates.

For the fiscal years ended December 31, 2020 and December 31, 2019: none.

(d) All Other Fees

For the fiscal years ended December 31, 2020 and December 31, 2019: none.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PGIM MUTUAL FUNDS

AUDIT COMMITTEE POLICY

Pre-Approval of Services Provided by the Independent

Accountants

The Audit Committee of each PGIM Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve the independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

•

a review of the nature of the professional services expected to be provided,

•

a review of the safeguards put into place by the accounting firm to safeguard independence, and

•

periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services.

Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed

non-audit services will not adversely affect the independence of the independent accountants. Such proposed non-audit services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

•

Annual Fund financial statement audits

•

Seed audits (related to new product filings, as required)

•

SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

•

Accounting consultations

•

Fund merger support services

•

Agreed Upon Procedure Reports

•

Attestation Reports

•

Other Internal Control Reports

Individual audit-related services that fall within one of these categories (except for fund merger support services) and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated). Fees related to fund merger support services are subject to a separate authorized pre-approval by the Audit Committee with fees determined on a per occurrence and merger complexity basis.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

•

Tax compliance services related to the filing or amendment of the following:

•

Federal, state and local income tax compliance; and,

•

Sales and use tax compliance

•

Timely RIC qualification reviews

•

Tax distribution analysis and planning

•

Tax authority examination services

•

Tax appeals support services

•

Accounting methods studies

•

Fund merger support services

•

Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated).

Other Non-Audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

•

Bookkeeping or other services related to the accounting records or financial statements of the Fund

•

Financial information systems design and implementation

•

Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

•

Actuarial services

•

Internal audit outsourcing services

•

Management functions or human resources

•

Broker or dealer, investment adviser, or investment banking services

•

Legal services and expert services unrelated to the audit

•

Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the PGIM Fund Complex

Certain non-audit services provided to PGIM Investments LLC or any of its affiliates that also provide ongoing services to the PGIM Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $30,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to PGIM Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to PGIM Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

For the fiscal years ended December 31, 2020 and December 31, 2019, 100% of the services referred to in Item 4(b) was approved by the audit committee.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

The aggregate non-audit fees billed by the Registrant’s principal accountant for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2020 and December 31, 2019 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as the Registrant’s principal accountant has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

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 – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a)

It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)

There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Controls and Procedures - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.

Item 13 – Exhibits

(a)

(1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH.

(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 Series Fund

By:		/s/ Andrew R. French
		Andrew R. French
		Secretary

Date:		February 22, 2021

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/ Timothy S. Cronin
		Timothy S. Cronin
		President and Principal Executive Officer

Date:		February 22, 2021

By:		/s/ Christian J. Kelly
		Christian J. Kelly
		Treasurer and Principal Financial and Accounting Officer

Date:		February 22, 2021