N-Q 1 threefifteennq.htm threefifteennq.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-01944

Principal Variable Contracts Funds, Inc.

(Exact name of registrant as specified in charter)

655 9th Street, Des Moines, IA 50309
(Address of principal executive offices)

Principal Management Corporation, 655 9th Street, Des Moines, IA 50309 (Name and address of agent for service)

Registrant’s telephone number, including area code: 515-247-6783
Date of fiscal year end: December 31, 2015  
Date of reporting period: March 31, 2015  

 

 

ITEM 1 – SCHEDULE OF INVESTMENTS


Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 63.85% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.09%       Biotechnology (continued)      
WPP PLC ADR 379 $ 43 Bellicum Pharmaceuticals Inc (a) 440 $ 10
        Charles River Laboratories International Inc 634   50
        (a)      
Aerospace & Defense - 3.02%       CSL Ltd ADR 1,348   47
General Dynamics Corp 3,228   438 Epizyme Inc (a) 410   8
L-3 Communications Holdings Inc 2,735   344 Exact Sciences Corp (a) 665   15
Lockheed Martin Corp 1,605   326 Genocea Biosciences Inc (a) 1,065   13
Northrop Grumman Corp 1,511   243 Gilead Sciences Inc (a) 3,249   319
Safran SA ADR 1,112   19 Intercept Pharmaceuticals Inc (a) 40   11
Spirit AeroSystems Holdings Inc (a) 1,070   56        
        Puma Biotechnology Inc (a) 30   7
United Technologies Corp 611   72 Spark Therapeutics Inc (a) 120   9
  $   1,498 Sunesis Pharmaceuticals Inc (a) 1,765   4
Agriculture - 1.68%       Versartis Inc (a) 437   8
Archer-Daniels-Midland Co 7,074   335   $   1,049
British American Tobacco PLC ADR 442   46 Building Materials - 0.05%      
Japan Tobacco Inc 1,566   50 Boise Cascade Co (a) 630   24
Philip Morris International Inc 5,331   402        
  $   833        
        Chemicals - 0.34%      
Airlines - 0.78%       Eastman Chemical Co 879   61
Delta Air Lines Inc 2,682   121 LyondellBasell Industries NV 1,115   98
Ryanair Holdings PLC ADR 354   24 Yara International ASA ADR 231   11
Southwest Airlines Co 5,451   241   $   170
  $   386        
        Commercial Services - 0.96%      
Apparel - 0.12%       ABM Industries Inc 2,420   77
G-III Apparel Group Ltd (a) 520   59 Cielo SA ADR 782   11
        Huron Consulting Group Inc (a) 800   53
Automobile Manufacturers - 0.18%       James River Group Holdings Ltd 1,680   40
Fuji Heavy Industries Ltd ADR 187   13 KAR Auction Services Inc 1,523   58
Toyota Motor Corp ADR 530   74 Korn/Ferry International 2,100   69
        Live Nation Entertainment Inc (a) 1,990   50
  $   87        
        Moody's Corp 312   32
Automobile Parts & Equipment - 1.07%       RPX Corp (a) 2,319   33
Allison Transmission Holdings Inc 1,993   64 Team Health Holdings Inc (a) 880   52
Bridgestone Corp ADR 1,496   30   $   475
Cooper Tire & Rubber Co 1,722   74        
Lear Corp 3,156   350 Computers - 4.63%      
Valeo SA ADR 169   12 Amdocs Ltd 1,470   80
  $   530 Apple Inc 11,025   1,372
        Barracuda Networks Inc (a) 910   35
Banks - 6.00%       CACI International Inc (a) 680   61
Bank of Montreal 502   30 DST Systems Inc 889   99
Chemical Financial Corp 1,200   38 Lexmark International Inc 1,560   66
DBS Group Holdings Ltd ADR 247   15 Manhattan Associates Inc (a) 1,070   54
Goldman Sachs Group Inc/The 2,019   380 NetScout Systems Inc (a) 1,170   51
Hanmi Financial Corp 1,173   25 Synopsys Inc (a) 1,186   55
ICICI Bank Ltd ADR 3,782   39 TDK Corp ADR 438   31
JP Morgan Chase & Co 8,201   497 Western Digital Corp 4,290   391
KeyCorp 20,628   292   $   2,295
Mitsubishi UFJ Financial Group Inc ADR 4,297   27        
Nordea Bank AB ADR 1,884   23 Consumer Products - 0.08%      
PNC Financial Services Group Inc/The 2,898   270 Kimberly-Clark Corp 396   42
PrivateBancorp Inc 1,230   43        
Royal Bank of Canada 471   28 Diversified Financial Services - 0.39%      
SunTrust Banks Inc 5,369   221 Ameriprise Financial Inc 380   50
Svenska Handelsbanken AB ADR 1,062   24 Cowen Group Inc (a) 7,549   39
Swedbank AB ADR 1,601   38 Investment Technology Group Inc (a) 1,200   37
Toronto-Dominion Bank/The 916   39 Macquarie Group Ltd ADR 600   35
Wells Fargo & Co 15,569   847 Navient Corp 310   6
Wilshire Bancorp Inc 3,540   35 ORIX Corp ADR 355   25
Wintrust Financial Corp 1,390   66   $   192
  $   2,977        
        Electric - 2.52%      
Beverages - 0.55%       Avista Corp 1,941   66
Ambev SA ADR 5,648   33 Edison International 434   27
Anheuser-Busch InBev NV ADR 347   42 Enel SpA ADR 7,487   34
Dr Pepper Snapple Group Inc 1,140   89 Entergy Corp 1,040   81
PepsiCo Inc 1,150   110 Exelon Corp 1,356   46
  $   274 Iberdrola SA ADR 971   25
Biotechnology - 2.12%       Korea Electric Power Corp ADR 634   13
Amgen Inc 3,331   533 PG&E Corp 10,466   555
Ardelyx Inc (a) 453   6 PPL Corp 3,183   107
Avalanche Biotechnologies Inc (a) 228   9        

 

See accompanying notes.

1

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Electric (continued)       Insurance (continued)      
Public Service Enterprise Group Inc 6,998 $ 293 Sanlam Ltd ADR 1,574 $ 20
  $   1,247   $   1,269
 
Electrical Components & Equipment - 0.18%       Internet - 1.53%      
Emerson Electric Co 1,584   90 CDW Corp/DE 1,750   65
        Google Inc - A Shares (a) 575   319
        Google Inc - C Shares (a) 611   335
Electronics - 0.92%       MaxPoint Interactive Inc (a) 1,440   14
Honeywell International Inc 2,810   293 Tencent Holdings Ltd ADR 1,261   24
Hoya Corp ADR 765   31        
Itron Inc (a) 600   22   $   757
Keysight Technologies Inc (a) 1,400   52 Lodging - 0.26%      
Murata Manufacturing Co Ltd ADR 912   31 Hyatt Hotels Corp (a) 448   26
Omron Corp ADR 607   28 Marriott International Inc/MD 848   68
  $   457 Wyndham Worldwide Corp 361   33
 
Engineering & Construction - 0.33%         $   127
Dycom Industries Inc (a) 620   30 Machinery - Construction & Mining - 0.06%      
EMCOR Group Inc 1,580   74 Mitsubishi Electric Corp ADR 1,190   28
Vinci SA ADR 4,304   61        
 
  $   165 Media - 2.02%      
Entertainment - 0.15%       Comcast Corp - Class A 10,063   568
Marriott Vacations Worldwide Corp 890   72 Gannett Co Inc 5,831   216
        ITV PLC ADR 996   37
        Starz (a) 3,827   132
Food - 2.25%              
Aryzta AG ADR(a) 567   17 Time Warner Inc 543   46
Gruma SAB de CV ADR 281   14   $   999
Kellogg Co 842   56 Mining - 0.03%      
Kroger Co/The 7,944   609 BHP Billiton PLC ADR 330   15
Nestle SA ADR 723   54        
SUPERVALU Inc (a) 3,460   40        
Tyson Foods Inc 8,526   327 Miscellaneous Manufacturing - 0.64%      
  $   1,117 Danaher Corp 2,682   228
        FUJIFILM Holdings Corp ADR 1,017   36
Forest Products & Paper - 0.11%       Parker-Hannifin Corp 431   51
Clearwater Paper Corp (a) 610   40   $   315
Stora Enso OYJ ADR 1,327   13        
  $   53 Office & Business Equipment - 0.34%      
        Xerox Corp 13,343   171
Healthcare - Products - 0.27%              
ICU Medical Inc (a) 300   28        
K2M Group Holdings Inc (a) 1,600   35 Oil & Gas - 4.32%      
OraSure Technologies Inc (a) 1,600   10 Canadian Natural Resources Ltd 1,322   41
        Carrizo Oil & Gas Inc (a) 830   41
St Jude Medical Inc 788   52        
STAAR Surgical Co (a) 1,230   9 Chevron Corp 211   22
        Cimarex Energy Co 402   46
  $   134 ConocoPhillips 7,703   480
Healthcare - Services - 2.51%       EP Energy Corp (a) 9,786   103
Acadia Healthcare Co Inc (a) 750   54 Exxon Mobil Corp 2,730   232
Aetna Inc 2,184   232 Hess Corp 673   46
Anthem Inc 3,020   466 Laredo Petroleum Inc (a) 1,340   17
Centene Corp (a) 1,500   106 Marathon Petroleum Corp 322   33
Fresenius SE & Co KGaA ADR 1,408   21 Murphy USA Inc (a) 3,212   232
HCA Holdings Inc (a) 3,815   287 Royal Dutch Shell PLC ADR 484   29
HealthSouth Corp 1,349   60 RSP Permian Inc (a) 460   12
ICON PLC (a) 284   20 Sanchez Energy Corp (a) 930   12
  $   1,246 Suncor Energy Inc 1,301   38
        Tesoro Corp 4,025   367
Home Furnishings - 0.11%       Valero Energy Corp 6,094   388
Whirlpool Corp 280   57 Whiting Petroleum Corp (a) 170   5
          $   2,144
 
Insurance - 2.56%       Packaging & Containers - 0.21%      
American International Group Inc 1,370   75 Rock-Tenn Co 1,646   106
Aspen Insurance Holdings Ltd 1,530   72        
Berkshire Hathaway Inc - Class B (a) 5,013   724        
Everest Re Group Ltd 480   84 Pharmaceuticals - 5.13%      
First American Financial Corp 2,110   75 AbbVie Inc 4,749   278
Hannover Rueck SE ADR 594   31 Array BioPharma Inc (a) 1,750   13
Lincoln National Corp 217   12 Bayer AG ADR 294   44
PartnerRe Ltd 748   86 Cardinal Health Inc 5,887   532
Prudential PLC ADR 247   12 FibroGen Inc (a) 340   11
Reinsurance Group of America Inc 369   34 Herbalife Ltd (a) 1,049   45
Sampo Oyj ADR 1,742   44 Johnson & Johnson 808   81
        McKesson Corp 1,947   441
        Nektar Therapeutics (a) 830   9

 

See accompanying notes.

2

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's)   COMMON STOCKS (continued)     Shares Held Value(000 's)
 
Pharmaceuticals (continued)         Software (continued)                
Novartis AG ADR 580 $ 57   Workiva Inc (a)     1,520 $ 22  
Novo Nordisk A/S ADR 1,516   81             $   1,756  
Pfizer Inc 18,786   654                    
PRA Health Sciences Inc (a) 1,150   33   Telecommunications - 1.90%                
          ARRIS Group Inc (a)     1,970       57  
Prestige Brands Holdings Inc (a) 1,570   67                    
ProQR Therapeutics NV (a) 430   9   AT&T Inc     635       21  
Proteon Therapeutics Inc (a) 720   8   BT Group PLC ADR     402       26  
Revance Therapeutics Inc (a) 350   7   China Mobile Ltd ADR     384       25  
Roche Holding AG ADR 1,953   67   Cisco Systems Inc     13,253       365  
Shire PLC ADR 233   56   Deutsche Telekom AG ADR     1,070       19  
Teva Pharmaceutical Industries Ltd ADR 607   38   Hellenic Telecommunications Organization     2,950       13  
Zafgen Inc (a) 280   11   SA ADR(a)                
  $   2,542   KDDI Corp ADR     3,391       58  
          Nippon Telegraph & Telephone Corp ADR     2,300       71  
Pipelines - 0.06%         Plantronics Inc     1,230       65  
TransCanada Corp 699   30   Qorvo Inc (a)     682       54  
          SoftBank Corp ADR     2,068       60  
 
Real Estate - 0.37%         Verizon Communications Inc     2,178       106  
Brookfield Asset Management Inc 1,883   101             $   940  
Cheung Kong Holdings Ltd ADR 1,308   26   Transportation - 0.46%                
Jones Lang LaSalle Inc 320   55   Canadian National Railway Co     1,244       83  
  $   182   Canadian Pacific Railway Ltd     204       37  
          CH Robinson Worldwide Inc     646       47  
REITS - 2.43%         Matson Inc     990       42  
Apartment Investment & Management Co 1,810   71   Navigator Holdings Ltd (a)     1,100       21  
Corporate Office Properties Trust 1,250   37                    
Duke Realty Corp 13,358   291             $   230  
Extra Space Storage Inc 3,514   237   TOTAL COMMON STOCKS         $   31,652  
First Industrial Realty Trust Inc 1,940   41   INVESTMENT COMPANIES - 0.02%   Shares Held Value(000 's)
General Growth Properties Inc 2,878   85   Publicly Traded Investment Fund - 0.02%                
Highwoods Properties Inc 746   34   BlackRock Liquidity Funds FedFund Portfolio     11,751       12  
QTS Realty Trust Inc 1,420   52                    
Simon Property Group Inc 1,823   357   TOTAL INVESTMENT COMPANIES         $   12  
  $   1,205         Principal          
Retail - 5.52%       BONDS- 21.38 % Amount (000's) Value(000 's)
Big Lots Inc 620   30   Aerospace & Defense - 0.05%                
Brinker International Inc 1,431   88   Air 2 US                
CVS Health Corp 1,690   174   8.03%, 10/01/2020(c),(d)   $ 21 $ 23  
Darden Restaurants Inc 2,680   186                    
Foot Locker Inc 4,833   305                    
Freshpet Inc (a) 1,150   22   Agriculture - 0.25%                
Home Depot Inc/The 4,203   478   Altria Group Inc                
Kohl's Corp 1,935   151   2.63%, 01/14/2020     25   25  
Lowe's Cos Inc 3,298   245   5.38%, 01/31/2044     20   23  
Macy's Inc 5,923   384   Philip Morris International Inc                
Office Depot Inc (a) 8,981   83   4.38%, 11/15/2041     10   11  
Pandora A/S ADR 940   21   6.38%, 05/16/2038     25   33  
Red Robin Gourmet Burgers Inc (a) 527   46   Pinnacle Operating Corp                
Rite Aid Corp (a) 7,880   68   9.00%, 11/15/2020(d)     10   10  
Target Corp 4,300   353   Reynolds American Inc                
Wal-Mart Stores Inc 542   45   3.25%, 11/01/2022     20   20  
Wendy's Co/The 5,380   59             $   122  
  $   2,738   Airlines - 0.17%                
Semiconductors - 1.06%         American Airlines 2014-1 Class A Pass                
ARM Holdings PLC ADR 563   28   Through Trust                
Broadcom Corp 5,286   229   3.70%, 10/01/2026(c)     10   10  
Entegris Inc (a) 3,090   42   American Airlines 2015-1 Class A Pass                
Intel Corp 4,211   132   Through Trust                
Micron Technology Inc (a) 3,500   95   3.38%, 05/01/2027(c)     20   20  
Tower Semiconductor Ltd - Warrants (a),(b),(c) 1,587   —   United Airlines 2014-1 Class A Pass Through                
  $   526   Trust                
          4.00%, 04/11/2026(c)     15   16  
Software - 3.54%         United Airlines 2014-1 Class B Pass Through                
2U Inc (a) 1,690   43   Trust                
Amber Road Inc (a) 2,082   19   4.75%, 04/11/2022(c)     10   10  
Aspen Technology Inc (a) 1,360   52   United Airlines 2014-2 Class A Pass Through                
Broadridge Financial Solutions Inc 1,689   93   Trust                
Electronic Arts Inc (a) 6,079   357   3.75%, 09/03/2026(c)     15   16  
Fiserv Inc (a) 1,003   80   US Airways 2001-1G Pass Through Trust                
Intuit Inc 702   68   7.08%, 09/20/2022(c)     2   2  
Microsoft Corp 18,392   748                    
MobileIron Inc (a) 1,690   16                    
Oracle Corp 5,969   258                    

 

See accompanying notes.

3

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)   Amount (000's)       Value (000's) BONDS (continued)   Amount (000's)  Value (000's)
 
  Airlines (continued)           Banks (continued)        
  US Airways 2013-1 Class A Pass Through           Bank of America Corp        
  Trust           4.00%, 04/01/2024 $ 85 $ 90
  3.95%, 11/15/2025(c)   $ 10 $ 10 4.10%, 07/24/2023   10   11
        $   84 4.20%, 08/26/2024   50   52
              4.25%, 10/22/2026   10   10
  Automobile Asset Backed Securities - 1.19%       6.10%, 12/29/2049(e)   10   10
  Ally Auto Receivables Trust 2014-SN1           6.25%, 09/29/2049(e)   20   20
  0.52%, 10/20/2016(e)     90   90          
              BPCE SA        
  AmeriCredit Automobile Receivables Trust           1.61%, 07/25/2017   10   10
  2014-2           CIT Group Inc        
  0.46%, 10/10/2017(e)     30   30          
              3.88%, 02/19/2019   10   10
  Capital Auto Receivables Asset Trust 2014-2           Citigroup Inc        
  1.26%, 05/21/2018(e)     75   75          
              5.80%, 11/29/2049(e)   10   10
  CarMax Auto Owner Trust 2014-3           City National Corp/CA        
  0.55%, 08/15/2017     47   47 5.25%, 09/15/2020   35   40
  Chesapeake Funding LLC           Goldman Sachs Group Inc/The        
  1.42%, 04/07/2024(d),(e)     92   93          
              2.38%, 01/22/2018   100   102
  Santander Drive Auto Receivables Trust 2014-           2.55%, 10/23/2019   20   20
  2           2.60%, 04/23/2020   15   15
  0.80%, 04/16/2018(e)     50   50          
              3.50%, 01/23/2025   10   10
  Volkswagen Auto Lease Trust 2014-A           3.85%, 07/08/2024   55   58
  0.52%, 10/20/2016(e)     59   59          
              5.38%, 03/15/2020   15   17
  Volkswagen Auto Loan Enhanced Trust 2013-           6.00%, 06/15/2020   15   18
  2           6.75%, 10/01/2037   15   20
  0.67%, 07/20/2016     70   70 JP Morgan Chase & Co        
  World Omni Auto Receivables Trust 2014-A           1.63%, 05/15/2018   35   35
  0.94%, 04/15/2019(e)     75   75          
              4.40%, 07/22/2020   120   132
        $   589 5.00%, 12/29/2049(e)   20   20
  Automobile Floor Plan Asset Backed Securities - 0.20%     Morgan Stanley        
  GE Dealer Floorplan Master Note Trust           1.75%, 02/25/2016   15   15
  0.56%, 07/20/2019(e)     100   100 2.38%, 07/23/2019   70   71
              2.65%, 01/27/2020   5   5
              3.70%, 10/23/2024   30   31
  Automobile Manufacturers - 0.58%           4.10%, 05/22/2023   20   21
  Ford Motor Co           5.00%, 11/24/2025   30   33
  4.75%, 01/15/2043     15   17 5.45%, 07/29/2049(e)   5   5
  7.40%, 11/01/2046     15   22 5.55%, 12/29/2049(e)   20   20
  General Motors Co           Royal Bank of Scotland Group PLC        
  3.50%, 10/02/2018     40   41 5.13%, 05/28/2024   5   5
  5.00%, 04/01/2035     10   11 6.13%, 12/15/2022   5   6
  5.20%, 04/01/2045     10   11 Wells Fargo & Co        
  6.25%, 10/02/2043     5   6 5.87%, 12/29/2049(e)   50   53
  General Motors Financial Co Inc           5.90%, 12/29/2049(e)   20   21
  3.15%, 01/15/2020     15   15     $   1,108
  3.25%, 05/15/2018     15   15          
  4.00%, 01/15/2025     10   10 Beverages - 0.23%        
  Harley-Davidson Financial Services Inc           Anheuser-Busch Cos LLC        
  2.15%, 02/26/2020(d)     15   15 5.60%, 03/01/2017   25   27
  Hyundai Capital America           Anheuser-Busch InBev Worldwide Inc        
  2.55%, 02/06/2019(d)     50   51 2.50%, 07/15/2022   30   30
  Navistar International Corp           7.75%, 01/15/2019   5   6
  8.25%, 11/01/2021     5   5 Constellation Brands Inc        
  Nissan Motor Acceptance Corp           3.75%, 05/01/2021   20   20
  0.81%, 03/03/2017(d),(e)     30   30 4.25%, 05/01/2023   5   5
  Toyota Motor Credit Corp           Corp Lindley SA        
  0.65%, 01/17/2019(e)     25   25 6.75%, 11/23/2021(d)   15   17
  2.00%, 10/24/2018     15   15 6.75%, 11/23/2021   10   11
        $   289     $   116
 
  Automobile Parts & Equipment - 0.04%           Biotechnology - 0.12%        
  Dana Holding Corp           Celgene Corp        
  5.50%, 12/15/2024     5   5 4.63%, 05/15/2044   20   21
  6.00%, 09/15/2023     5   6 5.25%, 08/15/2043   5   6
  Lear Corp           Genzyme Corp        
  5.25%, 01/15/2025     10   10 5.00%, 06/15/2020   15   17
        $   21 Gilead Sciences Inc        
              3.05%, 12/01/2016   10   10
Banks- 2.24 %         4.80%, 04/01/2044   5   6
  Associated Banc-Corp               $   60
  2.75%, 11/15/2019     10   10          
  4.25%, 01/15/2025     35   35 Building Materials - 0.37%        
  5.13%, 03/28/2016     65   67 Ainsworth Lumber Co Ltd        
              7.50%, 12/15/2017(d)   10   10

 

See accompanying notes.

4

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
  Principal         Principal    
BONDS (continued) Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Building Materials (continued)         Distribution & Wholesale - 0.01%        
CRH America Inc         American Tire Distributors Inc        
6.00%, 09/30/2016 $ 15 $ 16 10.25%, 03/01/2022(d) $ 5 $ 5
8.13%, 07/15/2018   45   54          
Martin Marietta Materials Inc                  
1.37%, 06/30/2017(e)   65   65 Diversified Financial Services - 0.65%        
          Air Lease Corp        
4.25%, 07/02/2024   15   16 2.13%, 01/15/2018   35   35
Norbord Inc                  
5.38%, 12/01/2020(d)   5   5 Aircastle Ltd        
          4.63%, 12/15/2018   5   5
Owens Corning         5.13%, 03/15/2021   10   10
4.20%, 12/01/2024   10   10          
Vulcan Materials Co         7.63%, 04/15/2020   5   6
          American Express Credit Corp        
4.50%, 04/01/2025   5   5 1.55%, 09/22/2017   20   20
    $   181 Credit Acceptance Corp        
Chemicals - 0.18%         6.13%, 02/15/2021   15   14
Agrium Inc         7.38%, 03/15/2023(d)   5   5
3.38%, 03/15/2025   20   20 Denali Borrower LLC / Denali Finance Corp        
Aruba Investments Inc         5.63%, 10/15/2020(d)   15   16
8.75%, 02/15/2023(d)   5   5 General Electric Capital Corp        
CF Industries Inc         5.25%, 06/29/2049(e)   20   21
5.15%, 03/15/2034   10   11 5.30%, 02/11/2021   95   110
Dow Chemical Co/The         Icahn Enterprises LP / Icahn Enterprises        
4.38%, 11/15/2042   5   5 Finance Corp        
Eagle Spinco Inc         6.00%, 08/01/2020   5   5
4.63%, 02/15/2021   10   10 International Lease Finance Corp        
Eastman Chemical Co         6.25%, 05/15/2019   5   6
4.65%, 10/15/2044   10   11 8.62%, 09/15/2015(e)   5   5
LYB International Finance BV         National Rural Utilities Cooperative Finance        
4.88%, 03/15/2044   10   11 Corp        
NOVA Chemicals Corp         2.85%, 01/27/2025   20   20
5.00%, 05/01/2025(d)   5   5 4.75%, 04/30/2043(e)   10   10
5.25%, 08/01/2023(d)   10   10 OneMain Financial Holdings Inc        
    $   88 7.25%, 12/15/2021(d)   10   10
          Springleaf Finance Corp        
Commercial Services - 0.06%         5.25%, 12/15/2019   10   10
ERAC USA Finance LLC         Synchrony Financial        
3.85%, 11/15/2024(d)   10   10          
4.50%, 02/15/2045(d)   15   15 2.70%, 02/03/2020   15   15
              $   323
Moody's Corp                  
5.25%, 07/15/2044   5   6 Electric - 0.87%        
    $   31 Alabama Power Co        
          3.75%, 03/01/2045   10   10
Computers - 0.41%         3.85%, 12/01/2042   10   10
Apple Inc         4.15%, 08/15/2044   15   16
0.50%, 05/03/2018(e)   50   50          
0.56%, 05/06/2019(e)   10   10 CMS Energy Corp        
          4.70%, 03/31/2043   5   6
2.85%, 05/06/2021   5   5 Commonwealth Edison Co        
3.45%, 02/09/2045   10   9 3.70%, 03/01/2045   10   10
3.85%, 05/04/2043   10   10 3.80%, 10/01/2042   5   5
Hewlett-Packard Co         4.60%, 08/15/2043   10   12
3.00%, 09/15/2016   5   5 Consolidated Edison Co of New York Inc        
6.00%, 09/15/2041   5   6 4.63%, 12/01/2054   10   11
NCR Corp         DTE Electric Co        
4.63%, 02/15/2021   5   5 3.38%, 03/01/2025   20   21
Seagate HDD Cayman         DTE Energy Co        
4.75%, 06/01/2023   15   16 6.38%, 04/15/2033   15   20
4.75%, 01/01/2025(d)   25   26          
5.75%, 12/01/2034(d)   25   27 Duke Energy Carolinas LLC        
          4.00%, 09/30/2042   10   11
Xerox Business Services LLC         Dynegy Finance I Inc / Dynegy Finance II        
5.20%, 06/01/2015   35   35 Inc        
    $   204 7.38%, 11/01/2022(d)   10   10
Credit Card Asset Backed Securities - 0.71%       Edison International        
BA Credit Card Trust         3.75%, 09/15/2017   10   11
0.44%, 09/16/2019(e)   75   75 Electricite de France SA        
0.46%, 01/15/2020(e)   75   75 2.15%, 01/22/2019(d)   5   5
Barclays Dryrock Issuance Trust         Elwood Energy LLC        
0.51%, 03/16/2020(e)   100   100 8.16%, 07/05/2026   16   18
Citibank Credit Card Issuance Trust         Energy Future Intermediate Holding Co LLC /        
0.37%, 08/24/2018(e)   100   100 EFIH Finance Inc        
          0.00%, 03/01/2022(a),(d),(e)   4   4
    $   350          
          FirstEnergy Corp        
          7.38%, 11/15/2031   15   19

 

See accompanying notes.

5

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's)    Value (000's) BONDS (continued)   Amount (000's)   Value (000's)
 
  Electric (continued)           Food (continued)        
  Florida Power & Light Co           JM Smucker Co/The        
  4.05%, 06/01/2042   $ 15 $ 16 4.38%, 03/15/2045(d) $ 10 $ 11
  4.13%, 02/01/2042     5   6 Kraft Foods Group Inc        
  Northern States Power Co/MN           5.00%, 06/04/2042   10   11
  3.40%, 08/15/2042     5   5 Smithfield Foods Inc        
  NRG Energy Inc           5.88%, 08/01/2021(d)   5   5
  6.25%, 05/01/2024     5   5 Sysco Corp        
  8.25%, 09/01/2020     10   11 2.35%, 10/02/2019   5   5
  Oncor Electric Delivery Co LLC           3.00%, 10/02/2021   25   26
  2.15%, 06/01/2019     25   25 Tyson Foods Inc        
  5.25%, 09/30/2040     5   6 4.88%, 08/15/2034   5   6
  Pacific Gas & Electric Co           Wm Wrigley Jr Co        
  4.45%, 04/15/2042     5   5 2.40%, 10/21/2018(d)   10   10
  PacifiCorp           3.38%, 10/21/2020(d)   25   26
  3.85%, 06/15/2021     10   11     $   105
  PPL Electric Utilities Corp                    
  3.00%, 09/15/2021     5   5 Forest Products & Paper - 0.12%        
  4.75%, 07/15/2043     5   6 Cascades Inc        
              5.50%, 07/15/2022(d)   5   5
  PPL WEM Holdings Ltd                    
  3.90%, 05/01/2016(d)     15   15 Domtar Corp        
  5.38%, 05/01/2021(d)     25   29 6.25%, 09/01/2042   20   22
  Public Service Co of Colorado           Georgia-Pacific LLC        
              2.54%, 11/15/2019(d)   20   20
  4.30%, 03/15/2044     5   6          
  Public Service Electric & Gas Co           Sappi Papier Holding GmbH        
              7.50%, 06/15/2032(d)   5   5
  2.30%, 09/15/2018     20   21          
  Puget Energy Inc           Tembec Industries Inc        
              9.00%, 12/15/2019(d)   5   5
  6.00%, 09/01/2021     15   18          
  San Diego Gas & Electric Co               $   57
  4.30%, 04/01/2042     5   6 Healthcare - Products - 0.45%        
  Southern California Edison Co           Becton Dickinson and Co        
  3.60%, 02/01/2045     10   10 2.68%, 12/15/2019   15   15
  4.05%, 03/15/2042     15   16 3.73%, 12/15/2024   10   10
  Virginia Electric & Power Co           Kinetic Concepts Inc / KCI USA Inc        
  4.00%, 01/15/2043     5   5 10.50%, 11/01/2018   10   11
  4.65%, 08/15/2043     5   6 Medtronic Inc        
        $   432 2.50%, 03/15/2020(d)   20   20
              4.38%, 03/15/2035(d)   30   33
  Electronics - 0.08%           4.63%, 03/15/2045(d)   25   28
  Keysight Technologies Inc                    
  3.30%, 10/30/2019(d)     20   20 Universal Hospital Services Inc        
  4.55%, 10/30/2024(d)     10   10 7.63%, 08/15/2020   10   9
  Viasystems Inc           Zimmer Holdings Inc        
  7.88%, 05/01/2019(d)     10   11 2.70%, 04/01/2020   35   36
        $   41 3.55%, 04/01/2025   25   26
              4.25%, 08/15/2035   15   15
  Engineering & Construction - 0.05%           4.45%, 08/15/2045   20   21
  SBA Tower Trust               $   224
  2.90%, 10/15/2044(d)     25   25          
              Healthcare - Services - 0.44%        
              Centene Corp        
  Entertainment - 0.13%           4.75%, 05/15/2022   70   73
  CCM Merger Inc           5.75%, 06/01/2017   24   25
  9.13%, 05/01/2019(d)     20   22 Fresenius Medical Care US Finance II Inc        
  Cinemark USA Inc           5.88%, 01/31/2022(d)   5   6
  4.88%, 06/01/2023     5   5 HCA Inc        
  DreamWorks Animation SKG Inc           4.75%, 05/01/2023   5   5
  6.88%, 08/15/2020(d)     10   10 5.25%, 04/15/2025   20   22
  Peninsula Gaming LLC / Peninsula Gaming           5.88%, 03/15/2022   5   6
  Corp           LifePoint Hospitals Inc        
  8.38%, 02/15/2018(d)     5   5 5.50%, 12/01/2021   5   5
  Regal Entertainment Group           MPH Acquisition Holdings LLC        
  5.75%, 03/15/2022     10   10 6.63%, 04/01/2022(d)   10   10
  WMG Acquisition Corp           WellCare Health Plans Inc        
  6.00%, 01/15/2021(d)     13   13 5.75%, 11/15/2020   65   68
        $   65     $   220
 
  Environmental Control - 0.06%           Holding Companies - Diversified - 0.12%        
  Republic Services Inc           Argos Merger Sub Inc        
  3.80%, 05/15/2018     25   27 7.13%, 03/15/2023(d)   5   5
              Brixmor Operating Partnership LP        
Food- 0.21 %         3.85%, 02/01/2025   15   15
  Ingles Markets Inc           MUFG Americas Holdings Corp        
  5.75%, 06/15/2023     5   5 2.25%, 02/10/2020   20   20
              3.00%, 02/10/2025   15   15

 

See accompanying notes.

6

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
    Principal           Principal    
BONDS (continued) Amount (000's) Value (000's)   BONDS (continued)   Amount (000's) Value (000's)
 
Holding Companies - Diversified (continued)         Iron & Steel (continued)          
Nielsen Co Luxembourg SARL/The           Vale Overseas Ltd          
5.50%, 10/01/2021(d) $ 5 $ 5   4.38%, 01/11/2022   $ 35 $ 34
    $   60         $   106
 
Home Builders - 0.10%           Leisure Products & Services - 0.01%          
Beazer Homes USA Inc           NCL Corp Ltd          
6.63%, 04/15/2018   15   16   5.25%, 11/15/2019(d)     5   5
Lennar Corp                      
4.13%, 12/01/2018   5   5              
4.75%, 11/15/2022(e)   15   15   Lodging - 0.06%          
WCI Communities Inc           MGM Resorts International          
            6.00%, 03/15/2023     5   5
6.88%, 08/15/2021   10   10   6.63%, 12/15/2021     5   5
Woodside Homes Co LLC / Woodside Homes                      
Finance Inc           10.00%, 11/01/2016     5   6
6.75%, 12/15/2021(d)   5   5   Wyndham Worldwide Corp          
            2.50%, 03/01/2018     15   15
    $   51         $   31
Home Equity Asset Backed Securities - 0.04%                    
Specialty Underwriting & Residential Finance           Machinery - Construction & Mining - 0.01%      
            Vander Intermediate Holding II Corp          
Trust Series 2004-BC1           9.75%, PIK 10.50%, 02/01/2019(d),(f)     5   5
0.94%, 02/25/2035(e)   21   20              
 
Insurance - 1.11%         Media- 1.02 %        
ACE INA Holdings Inc           21st Century Fox America Inc          
            4.75%, 09/15/2044     5   6
3.15%, 03/15/2025   5   5   5.40%, 10/01/2043     10   12
American International Group Inc                      
3.88%, 01/15/2035   15   15   6.15%, 02/15/2041     15   19
            Cablevision Systems Corp          
4.50%, 07/16/2044   45   48   8.00%, 04/15/2020     10   11
Liberty Mutual Group Inc                      
5.00%, 06/01/2021(d)   15   17   CBS Corp          
7.00%, 03/07/2067(d),(e)   15   15   4.60%, 01/15/2045     5   5
7.80%, 03/07/2087(d)   20   25   5.75%, 04/15/2020     15   17
Metropolitan Life Global Funding I             Comcast Corp          
2.30%, 04/10/2019 (d)   150   152   3.38%, 02/15/2025     10   10
Progressive Corp/The           6.40%, 03/01/2040     20   27
            6.50%, 11/15/2035     5   7
3.70%, 01/26/2045   10   10   DIRECTV Holdings LLC / DIRECTV          
Teachers Insurance & Annuity Association of                      
America           Financing Co Inc          
4.90%, 09/15/2044(d)   15   17   3.80%, 03/15/2022     10   10
TIAA Asset Management Finance Co LLC           4.45%, 04/01/2024     20   21
2.95%, 11/01/2019(d)   40   41   6.00%, 08/15/2040     5   6
4.13%, 11/01/2024(d)   20   21   6.38%, 03/01/2041     15   18
Voya Financial Inc           DISH DBS Corp          
2.90%, 02/15/2018   75   78   4.25%, 04/01/2018     5   5
5.65%, 05/15/2053(e)   30   31   5.88%, 07/15/2022     15   15
XLIT Ltd           5.88%, 11/15/2024     10   10
4.45%, 03/31/2025   50   50   6.75%, 06/01/2021     10   11
            7.88%, 09/01/2019     10   11
5.50%, 03/31/2045   25   25   Grupo Televisa SAB          
    $   550   6.63%, 01/15/2040     25   31
Internet - 0.08%           NBCUniversal Media LLC          
Alibaba Group Holding Ltd           5.15%, 04/30/2020     30   34
4.50%, 11/28/2034(d)   10   10   RCN Telecom Services LLC / RCN Capital          
Equinix Inc           Corp          
4.88%, 04/01/2020   5   5   8.50%, 08/15/2020(d)     10   11
5.38%, 01/01/2022   5   5   Time Warner Cable Inc          
5.38%, 04/01/2023   5   5   4.13%, 02/15/2021     40   43
Zayo Group LLC / Zayo Capital Inc           4.50%, 09/15/2042     20   21
6.00%, 04/01/2023(d)   5   5   5.88%, 11/15/2040     20   24
8.13%, 01/01/2020   3   3   6.55%, 05/01/2037     5   6
10.13%, 07/01/2020   3   4   6.75%, 07/01/2018     5   6
    $   37   Time Warner Inc          
            2.10%, 06/01/2019     10   10
Iron & Steel - 0.21%           4.05%, 12/15/2023     10   11
ArcelorMittal           6.25%, 03/29/2041     30   39
7.75%, 10/15/2039(e)   30   31              
            Univision Communications Inc          
Glencore Funding LLC           8.50%, 05/15/2021(d)     10   11
3.13%, 04/29/2019(d)   30   31              
            Viacom Inc          
Signode Industrial Group Lux SA/Signode           4.85%, 12/15/2034     15   16
Industrial Group US Inc           WideOpenWest Finance LLC /          
6.38%, 05/01/2022(d)   10   10              
            WideOpenWest Capital Corp          
            13.38%, 10/15/2019     20   21
                  $   505

 

See accompanying notes.

7

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued)   Amount (000's)   Value (000's)   BONDS (continued)     Amount (000's)  Value (000's)
 
Metal Fabrication & Hardware - 0.01%           Mortgage Backed Securities (continued)          
Wise Metals Intermediate Holdings LLC/Wise           JP Morgan Chase Commercial Mortgage          
Holdings Finance Corp           Securities Trust 2005-CIBC12          
9.75%, PIK 10.50%, 06/15/2019(d),(f) $ 5 $ 5   4.95%, 09/12/2037   $ 25 $ 25
            JP Morgan Chase Commercial Mortgage          
            Securities Trust 2005-LDP3          
Mining - 0.19%           5.01%, 08/15/2042(e)     25   25
Alcoa Inc           JP Morgan Chase Commercial Mortgage          
5.13%, 10/01/2024   5   5   Securities Trust 2006-CIBC17          
Barrick Gold Corp                      
3.85%, 04/01/2022   10   10   5.43%, 12/12/2043     24   25
          LB-UBS Commercial Mortgage Trust 2005-          
BHP Billiton Finance USA Ltd           C7          
2.05%, 09/30/2018   10   10              
FMG Resources August 2006 Pty Ltd           5.32%, 11/15/2040     45   46
8.25%, 11/01/2019(d)   15   13 LB-UBS Commercial Mortgage Trust 2007-          
Freeport-McMoRan Inc           C2          
4.00%, 11/14/2021   20   19   5.43%, 02/15/2040     8   9
            Morgan Stanley Bank of America Merrill          
5.40%, 11/14/2034   5   5   Lynch Trust 2013-C9          
Newmont Mining Corp                      
4.88%, 03/15/2042   15   13   3.46%, 05/15/2046     25   26
            Morgan Stanley Bank of America Merrill          
Rio Tinto Finance USA Ltd           Lynch Trust 2014-C18          
9.00%, 05/01/2019   10   13   4.45%, 10/15/2047(e)     50   55
Taseko Mines Ltd           Morgan Stanley Capital I Trust 2007-HQ12          
7.75%, 04/15/2019   5   4   5.67%, 04/12/2049(e)     8   8
Teck Resources Ltd           UBS Commercial Mortgage Trust 2012-C1          
5.20%, 03/01/2042   5   4   3.40%, 05/10/2045 (e)     55   58
    $   96   UBS-Barclays Commercial Mortgage Trust          
Miscellaneous Manufacturing - 0.21%           2013-C5        
Bombardier Inc           3.18%, 03/10/2046(e)     15   16
7.50%, 03/15/2025(d)   5   5   Wachovia Bank Commercial Mortgage Trust          
General Electric Co           Series 2007-C34          
4.13%, 10/09/2042   5   5   5.68%, 05/15/2046(e)     110   118
Ingersoll-Rand Global Holding Co Ltd           WFRBS Commercial Mortgage Trust 2013-          
2.88%, 01/15/2019   10   10   C12          
5.75%, 06/15/2043   5   6   1.49%, 03/15/2048(d),(e)     587   46
Ingersoll-Rand Luxembourg Finance SA                 $   924
3.55%, 11/01/2024   25   26              
4.65%, 11/01/2044   5   5   Office & Business Equipment - 0.07%          
Tyco Electronics Group SA           Xerox Corp          
            2.95%, 03/15/2017     5   5
2.38%, 12/17/2018   20   21   4.80%, 03/01/2035     10   10
3.50%, 02/03/2022   25   26   6.75%, 02/01/2017     5   6
    $   104   6.75%, 12/15/2039     10   12
Mortgage Backed Securities - 1.86%                 $   33
BCRR Trust 2009-1                      
5.86%, 07/17/2040(d)   25   27   Oil & Gas - 1.59%          
CD 2006-CD3 Mortgage Trust           Anadarko Petroleum Corp          
5.62%, 10/15/2048   29   31   3.45%, 07/15/2024     20   20
            5.95%, 09/15/2016     30   32
Citigroup Commercial Mortgage Trust 2015-           6.45%, 09/15/2036     5   6
GC27                      
3.14%, 02/10/2048(e)   75   77   Apache Corp          
COMM 2014-CCRE17 Mortgage Trust           4.25%, 01/15/2044     10   10
4.74%, 05/10/2047(e)   50   54   4.75%, 04/15/2043     5   5
            Baytex Energy Corp          
Credit Suisse First Boston Mortgage Securities           5.13%, 06/01/2021(d)     5   5
Corp                      
0.51%, 11/15/2037(d),(e)   50   —   BP Capital Markets PLC          
            0.80%, 05/10/2019(e)     50   50
4.77%, 07/15/2037   20   20   Carrizo Oil & Gas Inc          
CSMC Series 2009-RR3                      
5.34%, 12/15/2043(d),(e)   25   26   8.63%, 10/15/2018     35   36
Fannie Mae Interest Strip           Chaparral Energy Inc          
4.50%, 10/25/2035(e)   353   20   7.63%, 11/15/2022     10   7
            Chesapeake Energy Corp          
Fannie Mae REMICS           3.50%, 04/15/2019(e)     5   5
6.58%, 11/25/2036(e)   31   5              
Freddie Mac            4.88%, 04/15/2022     5   5
3.50%, 02/15/2025(e)   326   22   6.13%, 02/15/2021     5   5
Freddie Mac REMICS            Continental Resources Inc/OK          
0.77%, 08/15/2018 (e)   8   8   3.80%, 06/01/2024     15   14
1.25%, 09/15/2033   45   46   4.50%, 04/15/2023     10   10
            Delek & Avner Tamar Bond Ltd          
GE Commercial Mortgage Corp Series 2007-           5.41%, 12/30/2025(d)     50   50
C1 Trust                      
5.61%, 12/10/2049(e)   100   105   Denbury Resources Inc          
GS Mortgage Securities Trust 2013-GCJ12           5.50%, 05/01/2022     10   9
3.78%, 06/10/2046(e)   25   26   Devon Energy Corp          
            2.25%, 12/15/2018     25   25

 

See accompanying notes.

8

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Oil & Gas (continued)         Oil & Gas Services (continued)        
Ecopetrol SA         Weatherford International Ltd/Bermuda        
5.88%, 05/28/2045 $ 10 $ 9 4.50%, 04/15/2022 $ 5 $ 5
Encana Corp         5.95%, 04/15/2042   15   13
5.15%, 11/15/2041   10   10     $   23
Ensco PLC                  
5.20%, 03/15/2025   5   5 Other Asset Backed Securities - 0.19%        
EOG Resources Inc         Countrywide Asset-Backed Certificates        
          1.78%, 01/25/2034(e)   58   55
3.15%, 04/01/2025   30   31          
EP Energy LLC / Everest Acquisition Finance         JP Morgan Mortgage Acquisition Trust 2007-        
Inc         CH3        
          0.32%, 03/25/2037(e)   41   40
9.38%, 05/01/2020   30   31          
Halcon Resources Corp         MSDWCC Heloc Trust 2005-1        
          0.55%, 07/25/2017(e)   1   1
9.25%, 02/15/2022   5   3          
9.75%, 07/15/2020   5   4     $   96
Kerr-McGee Corp         Packaging & Containers - 0.23%        
7.88%, 09/15/2031   5   7 Beverage Packaging Holdings Luxembourg II        
Linn Energy LLC / Linn Energy Finance         SA / Beverage Packaging Holdings II        
Corp         5.63%, 12/15/2016(d)   5   5
6.25%, 11/01/2019(e)   5   4 Coveris Holding Corp        
6.50%, 05/15/2019   5   4 10.00%, 06/01/2018(d)   15   16
Nabors Industries Inc         Crown Cork & Seal Co Inc        
2.35%, 09/15/2016   10   10 7.38%, 12/15/2026   8   9
Noble Energy Inc         Packaging Corp of America        
3.90%, 11/15/2024   20   20 4.50%, 11/01/2023   20   22
5.05%, 11/15/2044   15   16 Reynolds Group Issuer Inc / Reynolds Group        
Northern Blizzard Resources Inc         Issuer LLC / Reynolds Group Issuer        
7.25%, 02/01/2022(d)   6   5 (Luxembourg) S.A.        
Oasis Petroleum Inc         5.75%, 10/15/2020   30   31
6.50%, 11/01/2021   10   10 Rock-Tenn Co        
Ocean Rig UDW Inc         3.50%, 03/01/2020   30   31
7.25%, 04/01/2019(d)   10   6          
              $   114
PDC Energy Inc                  
7.75%, 10/15/2022   10   10 Pharmaceuticals - 0.37%        
Petrobras Global Finance BV         Actavis Funding SCS        
5.38%, 01/27/2021   15   14 3.00%, 03/12/2020   25   26
Petroleos Mexicanos         3.80%, 03/15/2025   5   5
4.50%, 01/23/2026(d)   50   51 4.55%, 03/15/2035   15   16
4.88%, 01/18/2024   50   53 4.75%, 03/15/2045   15   16
6.38%, 01/23/2045   25   28 Forest Laboratories Inc        
Phillips 66         5.00%, 12/15/2021(d)   25   28
4.65%, 11/15/2034   10   11 Hospira Inc        
4.88%, 11/15/2044   5   5 5.20%, 08/12/2020   10   11
QEP Resources Inc         Merck & Co Inc        
5.25%, 05/01/2023   10   10 1.30%, 05/18/2018   20   20
RKI Exploration & Production LLC / RKI         Salix Pharmaceuticals Ltd        
Finance Corp         6.50%, 01/15/2021(d),(e)   15   17
8.50%, 08/01/2021(d)   10   10 Valeant Pharmaceuticals International Inc        
Rowan Cos Inc         5.50%, 03/01/2023(d)   5   5
5.00%, 09/01/2017   15   15 7.50%, 07/15/2021(d)   10   11
5.40%, 12/01/2042   15   12 VRX Escrow Corp        
Seventy Seven Energy Inc         5.38%, 03/15/2020(d)   5   5
6.50%, 07/15/2022   5   2 5.88%, 05/15/2023(d)   10   10
Southwestern Energy Co         Wyeth LLC        
4.05%, 01/23/2020   15   16 6.00%, 02/15/2036   5   6
Sunoco LP / Sunoco Finance Corp         Zoetis Inc        
6.38%, 04/01/2023(d),(g)   5   5 1.15%, 02/01/2016   5   5
Talisman Energy Inc             $   181
3.75%, 02/01/2021   10   10 Pipelines - 0.86%        
5.50%, 05/15/2042   20   20 Boardwalk Pipelines LP        
7.75%, 06/01/2019   20   23 3.38%, 02/01/2023   15   14
Triangle USA Petroleum Corp         Buckeye Partners LP        
6.75%, 07/15/2022(d)   5   4          
Ultra Petroleum Corp           2.65%, 11/15/2018   5   5
6.13%, 10/01/2024 (d)   5   4 4.35%, 10/15/2024   25   25
          DCP Midstream LLC        
Whiting Canadian Holding Co ULC         5.85%, 05/21/2043(d),(e)   10   7
8.13%, 12/01/2019   5   5 Enable Midstream Partners LP        
Woodside Finance Ltd         2.40%, 05/15/2019(d)   30   29
3.65%, 03/05/2025(d)   10   10          
          3.90%, 05/15/2024(d)   10   10
    $   787 Enbridge Inc        
Oil & Gas Services - 0.05%         0.71%, 06/02/2017(e)   30   30
Weatherford International LLC         3.50%, 06/10/2024   20   20
6.35%, 06/15/2017   5   5          

 

See accompanying notes.

9

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
  Pipelines (continued)           Retail (continued)        
  Energy Transfer Equity LP           CVS Pass-Through Trust (continued)        
  5.88%, 01/15/2024   $ 5 $ 5 7.51%, 01/10/2032(d) $ 4 $ 6
  Energy Transfer Partners LP           Family Tree Escrow LLC        
  4.05%, 03/15/2025     30   30 5.75%, 03/01/2023(d)   5   5
  4.90%, 03/15/2035     5   5 Landry's Holdings II Inc        
  EnLink Midstream Partners LP           10.25%, 01/01/2018(d)   15   16
  4.40%, 04/01/2024     5   5 Macy's Retail Holdings Inc        
  5.05%, 04/01/2045     10   10 5.90%, 12/01/2016   36   39
  Kinder Morgan Energy Partners LP           Michaels FinCo Holdings LLC / Michaels        
  2.65%, 02/01/2019     15   15 FinCo Inc        
  4.70%, 11/01/2042     15   14 7.50%, PIK 8.25%, 08/01/2018(d),(f)   1   1
  5.00%, 10/01/2021     10   11 Michaels Stores Inc        
  5.63%, 09/01/2041     10   11 5.88%, 12/15/2020(d)   5   5
  Kinder Morgan Inc/DE           Neiman Marcus Group LTD LLC        
  3.05%, 12/01/2019     15   15 8.75%, 10/15/2021(d)   5   5
  ONEOK Partners LP           New Academy Finance Co LLC / New        
  4.90%, 03/15/2025     10   10 Academy Finance Corp        
  Sabine Pass Liquefaction LLC           8.00%, PIK 8.75%, 06/15/2018(d),(f)   20   20
  5.63%, 03/01/2025(d)     20   20 Petco Holdings Inc        
  TransCanada PipeLines Ltd           8.50%, PIK 9.25%, 10/15/2017(d),(f)   20   21
  4.63%, 03/01/2034     10   11     $   176
  5.00%, 10/16/2043     5   6          
  7.13%, 01/15/2019     5   6 Software - 0.03%        
  Western Gas Partners LP           Activision Blizzard Inc        
              5.63%, 09/15/2021(d)   10   11
  2.60%, 08/15/2018     25   25          
  5.45%, 04/01/2044     15   16 Oracle Corp        
  Williams Cos Inc/The           2.38%, 01/15/2019   5   5
  7.88%, 09/01/2021     20   23     $   16
  Williams Partners LP           Sovereign - 0.32%        
  3.60%, 03/15/2022     20   20 Mexico Government International Bond        
  Williams Partners LP / ACMP Finance Corp           3.50%, 01/21/2021   60   62
  4.88%, 05/15/2023     25   25 4.75%, 03/08/2044   10   11
  4.88%, 03/15/2024     5   5 Peruvian Government International Bond        
        $   428 5.63%, 11/18/2050   20   24
  Real Estate - 0.04%           Poland Government International Bond        
  Crescent Resources LLC / Crescent Ventures           3.00%, 03/17/2023   25   26
  Inc           Romanian Government International Bond        
              4.88%, 01/22/2024(d)   10   11
  10.25%, 08/15/2017(d)     10   10          
  Prologis LP           Uruguay Government International Bond        
  4.25%, 08/15/2023     10   11 5.10%, 06/18/2050   25   26
        $   21     $   160
 
REITS- 0.27 %         Student Loan Asset Backed Securities - 0.87%      
  DDR Corp           Navient Student Loan Trust 2014-8        
              0.45%, 08/25/2020(e)   90   90
  3.63%, 02/01/2025     20   20          
  DuPont Fabros Technology LP           Navient Student Loan Trust 2015-1        
              0.51%, 09/26/2022(e)   150   150
  5.88%, 09/15/2021     5   5          
  Hospitality Properties Trust           SLM Private Education Loan Trust 2012-E        
              0.92%, 10/16/2023(d),(e)   60   60
  4.50%, 06/15/2023     5   5          
  iStar Financial Inc           SLM Private Education Loan Trust 2013-A        
              0.77%, 08/15/2022(d),(e)   100   100
  4.88%, 07/01/2018     5   5          
  9.00%, 06/01/2017     5   6 SLM Student Loan Trust 2008-5        
              1.56%, 01/25/2018(e)   13   13
  Retail Properties of America Inc                    
  4.00%, 03/15/2025     15   15 SLM Student Loan Trust 2008-6        
              0.81%, 10/25/2017(e)   17   17
  Select Income REIT                    
  2.85%, 02/01/2018     10   10     $   430
  3.60%, 02/01/2020     15   16 Supranational Bank - 0.05%        
  Ventas Realty LP           Corp Andina de Fomento        
  1.25%, 04/17/2017     25   25 1.50%, 08/08/2017   25   25
  1.55%, 09/26/2016     15   15          
  4.38%, 02/01/2045     10   10          
        $   132 Telecommunications - 0.95%        
              AT&T Inc        
  Retail - 0.36%           1.17%, 11/27/2018(e)   10   10
  Building Materials Holding Corp           2.38%, 11/27/2018   5   5
  9.00%, 09/15/2018(d)     5   5 4.30%, 12/15/2042   5   5
  CVS Health Corp           4.35%, 06/15/2045   4   4
  2.25%, 12/05/2018     5   5 5.80%, 02/15/2019   45   51
  2.25%, 08/12/2019     20   20 CC Holdings GS V LLC / Crown Castle GS        
  4.13%, 05/15/2021     15   17 III Corp        
  CVS Pass-Through Trust           3.85%, 04/15/2023   30   30
  5.93%, 01/10/2034(d)     9   11          

 

See accompanying notes.

10

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal      
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Telecommunications (continued)         Trucking & Leasing (continued)          
CenturyLink Inc         Penske Truck Leasing Co Lp / PTL Finance          
5.63%, 04/01/2025(d) $ 5 $ 5 Corp          
Embarq Corp         3.38%, 02/01/2022(d)   $ 10 $ 10
8.00%, 06/01/2036   5   6       $   14
Goodman Networks Inc         TOTAL BONDS     $   10,599
12.13%, 07/01/2018   5   5 SENIOR FLOATING RATE INTERESTS - Principal      
Intelsat Luxembourg SA         0.07 % Amount (000's) Value (000's)
7.75%, 06/01/2021   20   19            
8.13%, 06/01/2023   15   14 Electronics - 0.01%          
Level 3 Communications Inc         Isola USA Corp, Term Loan B          
          9.25%, 11/29/2018(e)   $ 5 $ 5
5.75%, 12/01/2022   5   5            
Level 3 Financing Inc                    
5.38%, 08/15/2022   5   5 Forest Products & Paper - 0.01%          
6.13%, 01/15/2021   5   5 Caraustar Industries Inc, Term Loan B          
8.13%, 07/01/2019   5   5 8.00%, 04/26/2019(e)     5   5
Sprint Capital Corp                    
6.88%, 11/15/2028   10   9            
Sprint Communications Inc         Healthcare - Products - 0.01%          
6.00%, 11/15/2022   5   5 Accellent Inc, Term Loan          
          4.50%, 02/19/2021(e)     5   5
7.00%, 08/15/2020   20   20            
9.13%, 03/01/2017   3   3            
Sprint Corp         Machinery - Diversified - 0.01%          
7.88%, 09/15/2023   5   5 Onex Wizard Acquisition Co I SARL, Term          
Telefonica Emisiones SAU         Loan B          
7.05%, 06/20/2036   10   14 0.00%, 02/03/2022(e),(h)     5   5
T-Mobile USA Inc                    
6.25%, 04/01/2021   10   11            
6.63%, 04/28/2021   5   5 Oil & Gas - 0.03%          
Verizon Communications Inc         Seadrill Operating LP, Term Loan B          
          4.00%, 02/12/2021(e)     20   15
1.35%, 06/09/2017   25   25            
2.02%, 09/14/2018(e)   50   52            
2.63%, 02/21/2020   10   10 TOTAL SENIOR FLOATING RATE INTERESTS $   35
3.50%, 11/01/2024   15   15 U.S. GOVERNMENT & GOVERNMENT   Principal      
4.52%, 09/15/2048(d)   54   54 AGENCY OBLIGATIONS - 16.17%   Amount (000's) Value (000's)
5.01%, 08/21/2054   32   33 Federal Home Loan Mortgage Corporation (FHLMC) -      
5.15%, 09/15/2023   20   23 1.35 %        
6.40%, 09/15/2033   3   4 3.50%, 04/01/2042   $ 33 $ 34
Vodafone Group PLC         4.00%, 02/01/2044     69   74
4.38%, 03/16/2021   10   11 4.00%, 10/01/2044     98   106
    $   473 4.50%, 04/01/2031     17   19
          5.00%, 06/01/2031     40   44
Transportation - 0.20%         5.00%, 08/01/2040     125   139
CSX Corp         5.00%, 06/01/2041     50   56
3.70%, 10/30/2020   15   16 5.50%, 12/01/2022     7   8
5.50%, 04/15/2041   10   12 6.00%, 01/01/2029     6   7
Eletson Holdings         6.00%, 10/01/2036(e)     12   13
9.63%, 01/15/2022(d)   5   5            
          6.00%, 08/01/2037     34   39
Hornbeck Offshore Services Inc         6.00%, 01/01/2038(e)     7   8
5.00%, 03/01/2021   10   8 6.00%, 07/01/2038     24   27
Navios Maritime Acquisition Corp / Navios         6.50%, 06/01/2017     5   5
Acquisition Finance US Inc         6.50%, 05/01/2031     2   3
8.13%, 11/15/2021(d)   20   20            
          6.50%, 06/01/2031     7   7
Navios Maritime Holdings Inc / Navios         6.50%, 11/01/2031     2   2
Maritime Finance II US Inc         6.50%, 10/01/2035     20   24
7.38%, 01/15/2022(d)   10   9            
          7.00%, 12/01/2027     9   10
Navios South American Logistics Inc / Navios         7.50%, 08/01/2030     1   2
Logistics Finance US Inc         8.00%, 12/01/2030     36   42
7.25%, 05/01/2022(d)   5   5            
                $   669
Union Pacific Corp                    
3.38%, 02/01/2035   5   5 Federal National Mortgage Association (FNMA) - 4.48%      
3.88%, 02/01/2055   5   5 2.13%, 07/01/2034(e)     5   5
4.15%, 01/15/2045   10   11 2.25%, 04/01/2037(e)     13   14
Union Pacific Railroad Co 2014-1 Pass         2.30%, 03/01/2035(e)     11   12
Through Trust         2.50%, 04/01/2028(i)     90   92
3.23%, 05/14/2026(c)   5   5 3.00%, 06/01/2027     194   205
    $   101 3.00%, 04/01/2030(i)     45   47
          3.00%, 10/01/2034     48   50
Trucking & Leasing - 0.03%         3.00%, 04/01/2043(i)     215   220
Jurassic Holdings III Inc         3.50%, 04/01/2030(i)     25   27
6.88%, 02/15/2021(d)   5   4            
          3.50%, 10/01/2033     89   95
          3.50%, 03/01/2042     19   20
          3.50%, 05/01/2043     64   67
          3.50%, 09/01/2044     156   165

 

See accompanying notes.

11

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT     Principal     U.S. GOVERNMENT & GOVERNMENT Principal      
AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)  
 
Federal National Mortgage Association (FNMA) (continued)     U.S. Treasury Bill - 0.62%          
3.50%, 04/01/2045(i)   $ 150 $ 158   0.22%, 12/10/2015(j) $ 310 $ 309  
4.00%, 08/01/2020     6   7              
4.00%, 02/01/2031     9   9 TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY      
4.00%, 06/01/2031     19   21 OBLIGATIONS   $   8,015  
4.00%, 03/01/2041     30   32 Total Investments   $   50,313  
4.00%, 04/01/2045(i)     315   337 Liabilities in Excess of Other Assets, Net - (1.49)% $   (738 )
4.50%, 05/01/2040     98   109 TOTAL NET ASSETS - 100.00%   $   49,575  
4.50%, 09/01/2043     141   156              
5.00%, 04/01/2043(i)     85   95              
5.50%, 03/01/2034     16   19 (a) Non-Income Producing Security          
5.50%, 04/01/2035     3   3 (b) Security is Illiquid          
5.50%, 07/01/2038     68   76 (c) Fair value of these investments is determined in good faith by the Manager  
5.50%, 05/01/2040     56   64   under procedures established and periodically reviewed by the Board of  
5.73%, 02/01/2036(e)     5   5   Directors. At the end of the period, the fair value of these securities totaled  
6.00%, 02/01/2025     24   27   $112 or 0.23% of net assets.          
6.00%, 11/01/2037     30   35 (d) Security exempt from registration under Rule 144A of the Securities Act of  
6.00%, 03/01/2038     13   15   1933. These securities may be resold in transactions exempt from      
6.50%, 02/01/2032     7   8   registration, normally to qualified institutional buyers. At the end of the  
6.50%, 07/01/2037     4   5   period, the value of these securities totaled $1,976 or 3.99% of net assets.  
6.50%, 07/01/2037     4   5 (e) Variable Rate. Rate shown is in effect at March 31, 2015.      
6.50%, 02/01/2038     5   6 (f) Payment in kind; the issuer has the option of paying additional securities  
6.50%, 09/01/2038     8   9   in lieu of cash.          
      $   2,220 (g) Security purchased on a when-issued basis.        
Government National Mortgage Association (GNMA) -     (h) This Senior Floating Rate Note will settle after March 31, 2015, at which  
2.59 %           time the interest rate will be determined.          
1.63%, 07/20/2034(e)     114   118 (i) Security was purchased in a "to-be-announced" ("TBA") transaction. See  
1.63%, 01/20/2035(e)     41   43   Notes to Financial Statements for additional information.      
1.63%, 07/20/2035(e)     125   129 (j) Rate shown is the discount rate of the original purchase.      
3.00%, 04/01/2043     125   129              
3.50%, 05/15/2042     80   86              
3.50%, 10/15/2042     40   43              
3.50%, 08/15/2043     45   47   Portfolio Summary (unaudited)      
4.00%, 10/15/2041     63   68 Sector       Percent  
4.00%, 05/20/2043     17   18 Consumer, Non-cyclical       17.71 %
4.00%, 04/01/2045(i)     50   54 Financial       16.06 %
4.00%, 04/01/2045     125   133 Mortgage Securities       10.28 %
4.50%, 01/20/2040     28   31 Technology       10.09 %
4.50%, 08/20/2040     54   59 Consumer, Cyclical       9.62 %
4.50%, 10/20/2040     21   23 Government       8.12 %
4.50%, 11/15/2040     67   75 Communications       7.60 %
4.50%, 04/01/2045     75   82 Industrial       7.17 %
5.00%, 02/15/2039     85   97 Energy       6.91 %
6.00%, 09/20/2026     11   13 Utilities       3.39 %
6.00%, 01/15/2029     14   16 Asset Backed Securities       3.20 %
6.00%, 06/15/2032     2   2 Basic Materials       1.20 %
7.00%, 05/15/2031     6   7 Diversified       0.12 %
7.00%, 02/20/2032     9   11 Exchange Traded Funds       0.02 %
      $   1,284 Liabilities in Excess of Other Assets, Net       (1.49 )%
            TOTAL NET ASSETS       100.00 %
U.S. Treasury - 7.13%                        
0.50%, 06/15/2016     430   431              
0.88%, 04/30/2017     325   327              
1.38%, 01/31/2020     350   351              
1.63%, 12/31/2019     190   192              
1.75%, 09/30/2019     380   387              
1.88%, 11/30/2021     300   304              
2.00%, 02/15/2023     175   178              
2.38%, 12/31/2020     50   52              
2.38%, 08/15/2024     95   99              
2.50%, 05/15/2024     30   31              
2.63%, 02/29/2016     260   266              
2.88%, 05/15/2043     125   133              
3.00%, 11/15/2044     100   110              
3.13%, 01/31/2017     265   278              
3.13%, 11/15/2041     20   22              
3.13%, 08/15/2044     10   11              
3.75%, 11/15/2043     50   62              
4.38%, 05/15/2040     55   74              
4.50%, 02/15/2036     165   225              
      $   3,533              

 

See accompanying notes.

12

 

Schedule of Investments
Balanced Account
March 31, 2015 (unaudited)
 
Futures Contracts
                  Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
S&P 500 Emini; June 2015 Long 2 $ 204 $   206 $ 2
Total             $   2
Amounts in thousands except contracts                  

 

See accompanying notes.

13

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
  COMMON STOCKS - 0.00%     Shares Held Value(000 's)     Principal    
                    BONDS (continued) Amount (000's) Value (000's)
  Semiconductors - 0.00%                          
  Tower Semiconductor Ltd - Warrants (a),(b),(c)     47,588 $ —   Automobile Asset Backed Securities - 4.89%      
                    Ally Auto Receivables Trust 2014-3        
  TOTAL COMMON STOCKS         $   —   0.81%, 09/15/2017(e) $ 2,000 $ 2,003
  INVESTMENT COMPANIES - 4.10%     Shares Held Value(000 's) Ally Auto Receivables Trust 2014-SN2        
                    1.21%, 02/20/2019(e)   600   601
  Publicly Traded Investment Fund - 4.10%                 AmeriCredit Automobile Receivables Trust        
  BlackRock Liquidity Funds FedFund Portfolio     13,021,348       13,021   2013-5        
                    0.56%, 03/08/2017(e)   859   859
  TOTAL INVESTMENT COMPANIES         $   13,021   AmeriCredit Automobile Receivables Trust        
  PREFERRED STOCKS - 0.48%     Shares Held Value(000 's) 2014-1        
                    0.57%, 07/10/2017(e)   478   478
Banks- 0.38 %                        
  Morgan Stanley     15,000       391   AmeriCredit Automobile Receivables Trust        
                    2014-2        
  State Street Corp 5.90%; Series D     30,000       819   0.46%, 10/10/2017(e)   589   589
            $   1,210   Capital Auto Receivables Asset Trust 2013-1        
  Diversified Financial Services - 0.06%                 0.62%, 07/20/2016   25   25
  Ally Financial Inc (d)     180       184   0.79%, 06/20/2017   675   675
                    Capital Auto Receivables Asset Trust 2014-2        
                    1.26%, 05/21/2018(e)   1,250   1,255
  Telecommunications - 0.04%                 CarMax Auto Owner Trust 2014-3        
  Verizon Communications Inc     5,000       135   0.55%, 08/15/2017   941   941
                    CarMax Auto Owner Trust 2014-4        
  TOTAL PREFERRED STOCKS         $   1,529   1.25%, 11/15/2019   1,000   1,001
        Principal           Chesapeake Funding LLC        
BONDS- 67.44 %   Amount (000's) Value(000 's) 1.42%, 04/07/2024(d),(e)   693   696
  Advertising - 0.01%                 GM Financial Automobile Leasing Trust        
  Outfront Media Capital LLC / Outfront Media                 2014-1        
  Capital Corp                 1.76%, 05/21/2018(d)   645   646
  5.25%, 02/15/2022   $ 20 $ 21   Santander Drive Auto Receivables Trust 2014-        
                    2        
                    0.49%, 07/17/2017(e)   576   575
  Aerospace & Defense - 0.01%                 0.80%, 04/16/2018(e)   1,000   999
  Air 2 US                 Santander Drive Auto Receivables Trust 2014-        
  8.63%, 10/01/2020(c),(d)     34   36   4        
                    0.49%, 01/16/2018(e)   904   903
  Agriculture - 0.54%                 Santander Drive Auto Receivables Trust 2014-        
  Altria Group Inc                 5        
  2.63%, 01/14/2020     490   498   0.57%, 04/16/2018(e)   100   100
  5.38%, 01/31/2044     280   327   1.77%, 09/16/2019   450   449
  9.95%, 11/10/2038     90   156   World Omni Auto Receivables Trust 2014-A        
  Philip Morris International Inc                 0.94%, 04/15/2019(e)   1,575   1,575
  4.38%, 11/15/2041     140   148   World Omni Auto Receivables Trust 2014-B        
  6.38%, 05/16/2038     5   7   1.14%, 01/15/2020   700   700
  Pinnacle Operating Corp                 World Omni Automobile Lease Securitization        
  9.00%, 11/15/2020(d)     158   160   Trust 2013-A        
  Reynolds American Inc                 0.73%, 05/16/2016   215   215
  3.25%, 11/01/2022     405   403   1.10%, 12/15/2016   250   251
            $   1,699       $   15,536
 
  Airlines - 0.44%                 Automobile Floor Plan Asset Backed Securities - 1.20%    
  American Airlines 2014-1 Class A Pass                 Ally Master Owner Trust        
  Through Trust                 1.21%, 06/15/2017   1,500   1,502
  3.70%, 10/01/2026(c)     165   171   1.60%, 10/15/2019   300   301
  American Airlines 2015-1 Class A Pass                 GE Dealer Floorplan Master Note Trust        
  Through Trust                 0.56%, 07/20/2019(e)   1,600   1,599
  3.38%, 05/01/2027(c)     390   393   0.62%, 10/20/2017(e)   400   400
  American Airlines 2015-1 Class B Pass                     $   3,802
  Through Trust                 Automobile Manufacturers - 2.18%        
  3.70%, 05/01/2023     20   20   Daimler Finance North America LLC        
  United Airlines 2014-1 Class A Pass Through                 1.25%, 01/11/2016(d)   305   306
  Trust                 1.30%, 07/31/2015(d)   495   496
  4.00%, 04/11/2026(c)     230   242            
                    1.65%, 03/02/2018(d)   445   447
  United Airlines 2014-2 Class A Pass Through                 2.25%, 03/02/2020(d)   485   488
  Trust                 Ford Motor Co        
  3.75%, 09/03/2026(c)     300   313            
                    7.40%, 11/01/2046   175   259
  US Airways 2001-1G Pass Through Trust                 Ford Motor Credit Co LLC        
  7.08%, 09/20/2022(c)     38   42            
                    2.60%, 11/04/2019   415   420
  US Airways 2013-1 Class A Pass Through                 4.38%, 08/06/2023   360   389
  Trust                 8.00%, 12/15/2016   335   371
  3.95%, 11/15/2025(c)     204   211            
                    General Motors Co        
            $   1,392   3.50%, 10/02/2018   775   794
                    5.00%, 04/01/2035   190   203
                    5.20%, 04/01/2045   180   195

 

See accompanying notes.

14

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
  Automobile Manufacturers (continued)           Banks (continued)        
  General Motors Co (continued)           Fifth Third Bank/Cincinnati OH        
  6.25%, 10/02/2043   $ 95 $ 116 2.88%, 10/01/2021 $ 430 $ 436
  General Motors Financial Co Inc           Goldman Sachs Group Inc/The        
  2.63%, 07/10/2017     355   359 2.55%, 10/23/2019   405   411
  3.15%, 01/15/2020     330   334 2.60%, 04/23/2020   290   293
  3.25%, 05/15/2018     255   260 3.50%, 01/23/2025   180   183
  4.00%, 01/15/2025     85   87 3.85%, 07/08/2024   885   926
  Harley-Davidson Financial Services Inc           6.00%, 06/15/2020   200   233
  2.15%, 02/26/2020(d)     295   297 6.75%, 10/01/2037   445   584
  Jaguar Land Rover Automotive PLC           HSBC USA Inc        
  4.13%, 12/15/2018(d)     200   206 2.35%, 03/05/2020   125   126
  Navistar International Corp           Huntington National Bank/The        
  8.25%, 11/01/2021     255   248 0.68%, 04/24/2017(e)   1,500   1,498
  Nissan Motor Acceptance Corp           ING Bank NV        
  0.81%, 03/03/2017(d),(e)     410   411 5.80%, 09/25/2023(d)   200   226
  Volkswagen International Finance NV           Intesa Sanpaolo SpA        
  1.13%, 11/18/2016(d)     235   236 2.38%, 01/13/2017   455   460
        $   6,922 5.02%, 06/26/2024(d)   545   558
              JP Morgan Chase & Co        
  Automobile Parts & Equipment - 0.12%           4.40%, 07/22/2020   1,735   1,905
  Dana Holding Corp           5.00%, 12/29/2049(e)   280   275
  5.38%, 09/15/2021     30   31 Mitsubishi UFJ Trust & Banking Corp        
  5.50%, 12/15/2024     130   134 2.45%, 10/16/2019(d)   545   551
  6.00%, 09/15/2023     60   64 Morgan Stanley        
  6.75%, 02/15/2021     35   37 1.75%, 02/25/2016   230   232
  Lear Corp           2.38%, 07/23/2019   100   101
  5.25%, 01/15/2025     100   102 2.65%, 01/27/2020   100   101
        $   368 3.70%, 10/23/2024   530   553
Banks- 7.93 %         4.10%, 05/22/2023   655   682
  Akbank TAS           4.30%, 01/27/2045   345   358
  5.13%, 03/31/2025(d)     200   197 5.00%, 11/24/2025   100   110
  Associated Banc-Corp           5.45%, 07/29/2049(e)   50   50
  2.75%, 11/15/2019     160   162 5.55%, 12/29/2049(e)   420   424
  4.25%, 01/15/2025     655   664 Royal Bank of Scotland Group PLC        
  5.13%, 03/28/2016     705   730 5.13%, 05/28/2024   50   52
  Banco Inbursa SA Institucion de Banca           Santander Bank NA        
  Multiple           2.00%, 01/12/2018   375   377
  4.13%, 06/06/2024(d)     200   197 Standard Chartered PLC        
  Bancolombia SA           0.00%, 04/02/2049(a),(d),(e),(f)   580   585
  5.95%, 06/03/2021     100   111 UBS AG/Jersey        
  Bank of America Corp           7.25%, 02/22/2022(e)   245   264
  4.00%, 04/01/2024     835   888 UBS AG/Stamford CT        
  4.20%, 08/26/2024     865   895 1.38%, 08/14/2017   250   250
  4.25%, 10/22/2026     475   490 2.35%, 03/26/2020   615   616
  4.88%, 04/01/2044     180   203 US Bank NA/Cincinnati OH        
  6.10%, 12/29/2049(e)     405   411 2.80%, 01/27/2025   355   355
  6.25%, 09/29/2049(e)     515   525 Wells Fargo & Co        
  Banque Centrale de Tunisie SA           5.87%, 12/29/2049(e)   865   915
  5.75%, 01/30/2025(d)     200   202     $   25,191
  Barclays PLC           Beverages - 0.68%        
  8.25%, 12/29/2049(e)     440   471          
              Ajecorp BV        
  BBVA Banco Continental SA           6.50%, 05/14/2022   250   150
  5.00%, 08/26/2022(d)     150   160          
              Anheuser-Busch InBev Worldwide Inc        
  BBVA Bancomer SA/Texas           2.50%, 07/15/2022   530   523
  6.75%, 09/30/2022(d)     300   339          
              7.75%, 01/15/2019   150   181
  BPCE SA           Coca-Cola Icecek AS        
  1.61%, 07/25/2017     190   191 4.75%, 10/01/2018(d)   250   263
  CIT Group Inc           Constellation Brands Inc        
  3.88%, 02/19/2019     380   376 3.75%, 05/01/2021   30   31
  Citigroup Inc           3.88%, 11/15/2019   20   21
  4.05%, 07/30/2022     310   325 4.25%, 05/01/2023   125   128
  5.80%, 11/29/2049(e)     140   140          
  5.87%, 12/27/2049(e)     165   167 Corp Lindley SA        
              6.75%, 11/23/2021(d)   100   111
  City National Corp/CA           6.75%, 11/23/2021   150   167
  5.25%, 09/15/2020     515   590 Pernod Ricard SA        
  Compass Bank           4.45%, 01/15/2022(d)   275   298
  2.75%, 09/29/2019     620   629 5.75%, 04/07/2021(d)   235   273
  Cooperatieve Centrale Raiffeisen-               $   2,146
  Boerenleenbank BA/Netherlands                    
  4.63%, 12/01/2023     995   1,076 Biotechnology - 0.17%        
  11.00%, 12/29/2049(d),(e)     281   362 Celgene Corp        
              4.63%, 05/15/2044   135   144

 

See accompanying notes.

15

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
    Principal       Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
Biotechnology (continued)         Computers (continued)        
Celgene Corp (continued)         Apple Inc (continued)        
5.25%, 08/15/2043 $ 30 $ 35 2.85%, 05/06/2021 $ 20 $ 21
Gilead Sciences Inc         3.45%, 02/09/2045   295   280
3.05%, 12/01/2016   135   140 Compiler Finance Sub Inc        
4.80%, 04/01/2044   200   230 7.00%, 05/01/2021(d)   80   61
    $   549 Hewlett-Packard Co        
          3.00%, 09/15/2016   75   77
Building Materials - 1.04%         4.30%, 06/01/2021   55   59
Boise Cascade Co         6.00%, 09/15/2041   95   106
6.38%, 11/01/2020   55   58 IHS Inc        
Cemex SAB de CV         5.00%, 11/01/2022(d)   25   25
6.13%, 05/05/2025(d)   200   202          
7.25%, 01/15/2021(d)   200   214 NCR Corp        
          4.63%, 02/15/2021   72   72
CRH America Inc         Seagate HDD Cayman        
6.00%, 09/30/2016   265   283 4.75%, 06/01/2023   235   247
8.13%, 07/15/2018   510   607 4.75%, 01/01/2025(d)   400   414
Martin Marietta Materials Inc         5.75%, 12/01/2034(d)   445   476
1.37%, 06/30/2017(e)   1,385   1,377          
          Xerox Business Services LLC        
4.25%, 07/02/2024   270   283 5.20%, 06/01/2015   470   473
Masonite International Corp             $   3,224
5.63%, 03/15/2023(d)   10   10          
Norbord Inc         Consumer Products - 0.01%        
5.38%, 12/01/2020(d)   95   93 Spectrum Brands Inc        
Owens Corning         6.13%, 12/15/2024(d)   20   21
4.20%, 12/01/2024   155   160          
Vulcan Materials Co                  
4.50%, 04/01/2025   30   30 Credit Card Asset Backed Securities - 1.48%      
          BA Credit Card Trust        
    $   3,317 0.44%, 09/16/2019(e)   750   750
Chemicals - 0.60%         Barclays Dryrock Issuance Trust        
Agrium Inc         0.51%, 03/16/2020(e)   300   300
3.38%, 03/15/2025   350   350 0.53%, 12/16/2019(e)   2,000   1,997
Aruba Investments Inc         Citibank Credit Card Issuance Trust        
8.75%, 02/15/2023(d)   80   80 0.37%, 08/24/2018(e)   660   660
Axiall Corp         Discover Card Execution Note Trust        
4.88%, 05/15/2023   50   50 0.37%, 01/16/2018(e)   1,000   1,000
CF Industries Inc             $   4,707
5.15%, 03/15/2034   155   170          
Consolidated Energy Finance SA         Distribution & Wholesale - 0.06%        
6.75%, 10/15/2019(d)   200   201 American Tire Distributors Inc        
          10.25%, 03/01/2022(d)   60   62
Cornerstone Chemical Co                  
9.38%, 03/15/2018(d)   70   72 HD Supply Inc        
Dow Chemical Co/The         7.50%, 07/15/2020   111   119
4.38%, 11/15/2042   80   80     $   181
Eagle Spinco Inc         Diversified Financial Services - 2.33%        
4.63%, 02/15/2021   100   99 Air Lease Corp        
Eastman Chemical Co         2.13%, 01/15/2018   665   662
4.65%, 10/15/2044   140   147 Aircastle Ltd        
LYB International Finance BV         4.63%, 12/15/2018   55   57
4.88%, 03/15/2044   160   172 5.13%, 03/15/2021   150   157
Mexichem SAB de CV         5.50%, 02/15/2022   40   42
4.88%, 09/19/2022   250   263 7.63%, 04/15/2020   45   52
NOVA Chemicals Corp         Credit Acceptance Corp        
5.00%, 05/01/2025(d)   75   78 6.13%, 02/15/2021   255   244
5.25%, 08/01/2023(d)   130   136 7.38%, 03/15/2023(d)   100   99
    $   1,898 Denali Borrower LLC / Denali Finance Corp        
          5.63%, 10/15/2020(d)   235   248
Commercial Services - 0.26%         Fly Leasing Ltd        
ERAC USA Finance LLC                  
3.30%, 10/15/2022(d)   50   51 6.38%, 10/15/2021   200   198
3.85%, 11/15/2024(d)   210   219 General Electric Capital Corp        
          5.25%, 06/29/2049(e)   400   411
4.50%, 02/15/2045(d)   290   293          
          5.30%, 02/11/2021   1,650   1,906
Moody's Corp         6.25%, 12/31/2049(e)   400   450
5.25%, 07/15/2044   125   142 Icahn Enterprises LP / Icahn Enterprises        
TMS International Corp                  
7.63%, 10/15/2021(d)   70   70 Finance Corp        
United Rentals North America Inc         4.88%, 03/15/2019   55   56
          6.00%, 08/01/2020   105   109
5.50%, 07/15/2025   40   41 International Lease Finance Corp        
    $   816 6.25%, 05/15/2019   95   104
Computers - 1.02%         National Rural Utilities Cooperative Finance        
Apple Inc         Corp        
0.50%, 05/03/2018(e)   750   752 2.85%, 01/27/2025   290   292
0.56%, 05/06/2019(e)   160   161 4.75%, 04/30/2043(e)   125   125

 

See accompanying notes.

16

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)     Amount (000's) Value (000's)
 
Diversified Financial Services (continued)           Electric (continued)          
Peachtree Corners Funding Trust           Public Service Co of Colorado          
3.98%, 02/15/2025(d) $ 750 $ 761   4.30%, 03/15/2044   $ 75 $ 85
Springleaf Finance Corp           Public Service Electric & Gas Co          
5.25%, 12/15/2019   110   109   2.30%, 09/15/2018     400   412
SUAM Finance BV           Puget Energy Inc          
4.88%, 04/17/2024(d)   250   259   6.00%, 09/01/2021     285   337
Synchrony Financial           San Diego Gas & Electric Co          
2.70%, 02/03/2020   250   251   4.30%, 04/01/2042     125   141
Vesey Street Investment Trust I           Southern California Edison Co          
4.40%, 09/01/2016(e)   765   798   2.40%, 02/01/2022     120   120
    $   7,390   3.60%, 02/01/2045     210   211
            4.05%, 03/15/2042     225   241
Electric - 2.71%           Virginia Electric & Power Co          
Alabama Power Co           4.00%, 01/15/2043     35   37
3.75%, 03/01/2045   140   143   4.45%, 02/15/2044     125   141
3.85%, 12/01/2042   125   129   4.65%, 08/15/2043     65   76
4.15%, 08/15/2044   270   292         $   8,595
CMS Energy Corp                      
4.70%, 03/31/2043   135   153   Electronics - 0.22%          
Commonwealth Edison Co           Keysight Technologies Inc          
3.70%, 03/01/2045   120   122   3.30%, 10/30/2019(d)     360   363
3.80%, 10/01/2042   115   118   4.55%, 10/30/2024(d)     235   237
4.60%, 08/15/2043   170   198   Sanmina Corp          
Consolidated Edison Co of New York Inc           4.38%, 06/01/2019(d)     15   15
4.63%, 12/01/2054   150   168   Viasystems Inc          
DTE Electric Co           7.88%, 05/01/2019(d)     85   89
3.38%, 03/01/2025   260   275         $   704
DTE Energy Co                      
6.38%, 04/15/2033   305   404   Engineering & Construction - 0.12%          
Duke Energy Carolinas LLC           Odebrecht Finance Ltd          
            5.13%, 06/26/2022(d)     250   204
4.00%, 09/30/2042   210   223              
Dynegy Finance I Inc / Dynegy Finance II           SBA Tower Trust          
            2.90%, 10/15/2044(d)     170   172
Inc                      
7.38%, 11/01/2022(d)   125   131         $   376
Edison International           Entertainment - 0.22%          
3.75%, 09/15/2017   160   169   CCM Merger Inc          
Electricite de France SA           9.13%, 05/01/2019(d)     35   38
2.15%, 01/22/2019(d)   115   117   Cinemark USA Inc          
5.63%, 12/29/2049(d),(e)   720   767   4.88%, 06/01/2023     200   199
Elwood Energy LLC           DreamWorks Animation SKG Inc          
8.16%, 07/05/2026   139   155   6.88%, 08/15/2020(d)     115   112
Energy Future Intermediate Holding Co LLC /           Peninsula Gaming LLC / Peninsula Gaming          
EFIH Finance Inc           Corp          
0.00%, 03/01/2022(a),(d),(e)   44   48   8.38%, 02/15/2018(d)     130   137
FirstEnergy Corp           Regal Entertainment Group          
7.38%, 11/15/2031   235   298   5.75%, 03/15/2022     145   148
Florida Power & Light Co           WMG Acquisition Corp          
4.05%, 06/01/2042   195   211   6.00%, 01/15/2021(d)     24   25
4.13%, 02/01/2042   120   133   WMG Holdings Corp          
Indiantown Cogeneration LP           13.75%, 10/01/2019     45   49
9.77%, 12/15/2020   184   210         $   708
Miran Mid-Atlantic Series C Pass Through                      
Trust           Environmental Control - 0.16%          
10.06%, 12/30/2028   127   139   Republic Services Inc          
Northern States Power Co/MN           3.80%, 05/15/2018     400   424
3.40%, 08/15/2042   40   39   Waste Management Inc          
NRG Energy Inc           4.10%, 03/01/2045     90   92
8.25%, 09/01/2020   125   132         $   516
Oncor Electric Delivery Co LLC         Food- 1.28 %        
2.15%, 06/01/2019   500   504   Cencosud SA          
5.25%, 09/30/2040   120   147   5.15%, 02/12/2025(d)     250   247
Pacific Gas & Electric Co           Gruma SAB de CV          
4.45%, 04/15/2042   105   115   4.88%, 12/01/2024(d)     350   370
PacifiCorp           Grupo Bimbo SAB de CV          
3.85%, 06/15/2021   150   164   3.88%, 06/27/2024(d)     300   308
4.10%, 02/01/2042   120   129   4.88%, 06/27/2044(d)     200   202
PPL Electric Utilities Corp           Ingles Markets Inc          
3.00%, 09/15/2021   80   83   5.75%, 06/15/2023     90   93
4.75%, 07/15/2043   115   136   JM Smucker Co/The          
PPL WEM Holdings Ltd           2.50%, 03/15/2020(d)     125   127
3.90%, 05/01/2016(d)   230   236              
            3.50%, 03/15/2025(d)     330   339
5.38%, 05/01/2021(d)   440   506              
            4.38%, 03/15/2045(d)     300   313

 

See accompanying notes.

17

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
  Food (continued)           Healthcare - Services (continued)        
  Kraft Foods Group Inc           Fresenius Medical Care US Finance Inc        
  5.00%, 06/04/2042   $ 385 $ 426 6.50%, 09/15/2018(d) $ 55 $ 61
  Pilgrim's Pride Corp           HCA Inc        
  5.75%, 03/15/2025(d)     40   41 4.75%, 05/01/2023   245   254
  Smithfield Foods Inc           5.00%, 03/15/2024   125   133
  5.25%, 08/01/2018(d)     70   71 5.25%, 04/15/2025   105   113
  5.88%, 08/01/2021(d)     95   100 5.38%, 02/01/2025   20   21
  Sysco Corp           5.88%, 03/15/2022   85   94
  3.00%, 10/02/2021     545   563 LifePoint Hospitals Inc        
  4.50%, 10/02/2044     30   32 5.50%, 12/01/2021   80   84
  Tyson Foods Inc           MPH Acquisition Holdings LLC        
  2.65%, 08/15/2019     45   46 6.63%, 04/01/2022(d)   110   114
  4.88%, 08/15/2034     105   118 WellCare Health Plans Inc        
  Wm Wrigley Jr Co           5.75%, 11/15/2020   875   919
  2.40%, 10/21/2018(d)     235   239     $   3,411
  3.38%, 10/21/2020(d)     415   435          
        $   4,070 Holding Companies - Diversified - 0.60%        
              Alfa SAB de CV        
  Forest Products & Paper - 0.33%           5.25%, 03/25/2024(d)   400   426
  Cascades Inc           Alphabet Holding Co Inc        
  5.50%, 07/15/2022(d)     70   71 7.75%, 11/01/2017   65   63
  Domtar Corp           Argos Merger Sub Inc        
  6.25%, 09/01/2042     285   308 7.13%, 03/15/2023(d)   90   93
  Georgia-Pacific LLC           Brixmor Operating Partnership LP        
  2.54%, 11/15/2019(d)     370   375 3.85%, 02/01/2025   285   285
  5.40%, 11/01/2020(d)     40   46 MUFG Americas Holdings Corp        
  Resolute Forest Products Inc           2.25%, 02/10/2020   430   431
  5.88%, 05/15/2023     55   53 3.00%, 02/10/2025   280   277
  Sappi Papier Holding GmbH           Nielsen Co Luxembourg SARL/The        
  7.50%, 06/15/2032(d)     85   82 5.50%, 10/01/2021(d)   115   119
  Tembec Industries Inc           Tenedora Nemak SA de CV        
  9.00%, 12/15/2019(d)     75   76 5.50%, 02/28/2023(d)   200   207
  Verso Paper Holdings LLC / Verso Paper Inc               $   1,901
  11.75%, 01/15/2019     55   51          
        $   1,062 Home Builders - 0.21%        
              Lennar Corp        
Gas- 0.00 %         4.13%, 12/01/2018   90   91
  Dominion Gas Holdings LLC           4.50%, 11/15/2019   20   21
  4.80%, 11/01/2043     10   11 4.75%, 11/15/2022(e)   230   234
              Standard Pacific Corp        
              5.88%, 11/15/2024   35   36
  Healthcare - Products - 1.55%           WCI Communities Inc        
  Becton Dickinson and Co           6.88%, 08/15/2021   150   154
  2.68%, 12/15/2019     225   230          
  3.73%, 12/15/2024     225   235 Woodside Homes Co LLC / Woodside Homes        
              Finance Inc        
  ConvaTec Finance International SA           6.75%, 12/15/2021(d)   135   129
  8.25%, PIK 9.00%, 01/15/2019(d),(g)     200   203          
  Kinetic Concepts Inc / KCI USA Inc               $   665
  10.50%, 11/01/2018     40   43 Home Equity Asset Backed Securities - 0.06%      
  Medtronic Inc           New Century Home Equity Loan Trust 2005-        
  2.50%, 03/15/2020(d)     355   363 1        
  3.50%, 03/15/2025(d)     225   235 0.75%, 03/25/2035(e)   25   25
  4.38%, 03/15/2035(d)     585   636 Saxon Asset Securities Trust 2004-1        
  4.63%, 03/15/2045(d)     445   504 1.87%, 03/25/2035(e)   127   61
  Universal Hospital Services Inc           Specialty Underwriting & Residential Finance        
  7.63%, 08/15/2020     60   53 Trust Series 2004-BC1        
  Zimmer Holdings Inc           0.94%, 02/25/2035(e)   123   113
  2.00%, 04/01/2018     285   287     $   199
  2.70%, 04/01/2020     810   821          
  3.55%, 04/01/2025     555   567 Insurance - 2.22%        
  4.25%, 08/15/2035     280   289 ACE INA Holdings Inc        
  4.45%, 08/15/2045     450   466 3.15%, 03/15/2025   150   153
        $   4,932 American International Group Inc        
              3.38%, 08/15/2020   550   580
  Healthcare - Services - 1.07%           3.88%, 01/15/2035   290   292
  Centene Corp           4.50%, 07/16/2044   385   413
  4.75%, 05/15/2022     1,090   1,131 Liberty Mutual Group Inc        
  5.75%, 06/01/2017     258   273 4.25%, 06/15/2023(d)   255   272
  CHS/Community Health Systems Inc           5.00%, 06/01/2021(d)   320   355
  5.13%, 08/01/2021     15   15 7.00%, 03/07/2067(d),(e)   215   221
  Fresenius Medical Care US Finance II Inc           7.80%, 03/07/2087(d)   420   513
  4.75%, 10/15/2024(d)     100   105 Metropolitan Life Global Funding I        
  5.88%, 01/31/2022(d)     85   94 1.30%, 04/10/2017(d)   260   261
              1.88%, 06/22/2018(d)   195   197

 

See accompanying notes.

18

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
      Principal         Principal    
  BONDS (continued)   Amount (000's)       Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
  Insurance (continued)           Media (continued)        
  Progressive Corp/The           Comcast Corp        
  3.70%, 01/26/2045   $ 210 $ 209 3.38%, 02/15/2025 $ 355 $ 371
  TIAA Asset Management Finance Co LLC           4.20%, 08/15/2034   35   38
  2.95%, 11/01/2019(d)     695   712 6.40%, 03/01/2040   345   470
  4.13%, 11/01/2024(d)     325   343 6.50%, 11/15/2035   15   20
  Voya Financial Inc           CSC Holdings LLC        
  2.90%, 02/15/2018     550   568 6.75%, 11/15/2021   45   50
  5.65%, 05/15/2053(e)     465   486 DIRECTV Holdings LLC / DIRECTV        
  XLIT Ltd           Financing Co Inc        
  4.45%, 03/31/2025     910   916 3.80%, 03/15/2022   165   171
  5.50%, 03/31/2045     550   550 4.45%, 04/01/2024   700   748
        $   7,041 6.00%, 08/15/2040   110   125
              6.38%, 03/01/2041   225   265
  Internet - 0.54%           DISH DBS Corp        
  Alibaba Group Holding Ltd           5.88%, 07/15/2022   85   86
  2.50%, 11/28/2019(d)     395   395          
  3.13%, 11/28/2021(d)     250   252 5.88%, 11/15/2024   165   165
  3.60%, 11/28/2024(d)     400   401 6.75%, 06/01/2021   175   186
  4.50%, 11/28/2034(d)     145   146 7.88%, 09/01/2019   274   306
              NBCUniversal Enterprise Inc        
  Equinix Inc           0.94%, 04/15/2018(d),(e)   720   725
  4.88%, 04/01/2020     35   36 RCN Telecom Services LLC / RCN Capital        
  5.38%, 01/01/2022     35   37 Corp        
  5.38%, 04/01/2023     115   119 8.50%, 08/15/2020(d)   125   132
  Zayo Group LLC / Zayo Capital Inc           Time Warner Cable Inc        
  6.00%, 04/01/2023(d)     170   171          
              4.13%, 02/15/2021   675   726
  8.13%, 01/01/2020     61   65 4.50%, 09/15/2042   510   523
  10.13%, 07/01/2020     91   103 5.88%, 11/15/2040   225   269
        $   1,725 6.55%, 05/01/2037   140   176
  Iron & Steel - 0.43%           6.75%, 07/01/2018   120   138
  AK Steel Corp           8.75%, 02/14/2019   255   315
  7.63%, 05/15/2020     45   39 Time Warner Inc        
  ArcelorMittal           2.10%, 06/01/2019   135   136
  7.75%, 10/15/2039(e)     330   346 4.05%, 12/15/2023   195   209
  Commercial Metals Co           6.25%, 03/29/2041   450   581
  4.88%, 05/15/2023     240   227 Unitymedia Hessen GmbH & Co KG /        
  Glencore Funding LLC           Unitymedia NRW GmbH        
  3.13%, 04/29/2019(d)     600   614 5.50%, 01/15/2023(d)   150   157
  Signode Industrial Group Lux SA/Signode           Univision Communications Inc        
  Industrial Group US Inc           8.50%, 05/15/2021(d)   120   128
  6.38%, 05/01/2022(d)     150   149 Viacom Inc        
        $   1,375 4.85%, 12/15/2034   260   269
              5.85%, 09/01/2043   30   34
  Leisure Products & Services - 0.03%           VTR Finance BV        
  NCL Corp Ltd           6.88%, 01/15/2024(d)   250   259
  5.25%, 11/15/2019(d)     80   82 WideOpenWest Finance LLC /        
              WideOpenWest Capital Corp        
  Lodging - 0.15%           13.38%, 10/15/2019   130   139
  MGM Resorts International           10.25%, 07/15/2019   75   81
  6.00%, 03/15/2023     55   57     $   9,459
  6.63%, 12/15/2021     30   32 Metal Fabrication & Hardware - 0.03%        
  7.75%, 03/15/2022     10   11 Wise Metals Intermediate Holdings LLC/Wise        
  10.00%, 11/01/2016     60   67 Holdings Finance Corp        
  Wyndham Worldwide Corp           9.75%, PIK 10.50%, 06/15/2019(d),(g)   80   87
  2.50%, 03/01/2018     305   306          
        $   473          
              Mining - 0.81%        
  Machinery - Construction & Mining - 0.06%       Alcoa Inc        
  Ferreycorp SAA           5.13%, 10/01/2024   105   112
  4.88%, 04/26/2020(d)     200   196 Anglo American Capital PLC        
              1.20%, 04/15/2016(d),(e)   550   550
              9.38%, 04/08/2019(d)   340   426
Media- 2.98 %                  
  21st Century Fox America Inc           Barrick Gold Corp        
  4.75%, 09/15/2044     15   17 3.85%, 04/01/2022   145   142
  5.40%, 10/01/2043     340   414 BHP Billiton Finance USA Ltd        
  6.15%, 02/15/2041     235   304 2.05%, 09/30/2018   5   5
  Cablevision Systems Corp           FMG Resources August 2006 Pty Ltd        
              6.88%, 02/01/2018(d)   24   24
  8.00%, 04/15/2020     70   79 6.88%, 04/01/2022(d)   60   44
  CBS Corp           8.25%, 11/01/2019(d)   130   112
  5.75%, 04/15/2020     380   437          
  Columbus International Inc           Freeport-McMoRan Inc        
  7.38%, 03/30/2021(d)     200   210 4.00%, 11/14/2021   340   332
              5.40%, 11/14/2034   125   114

 

See accompanying notes.

19

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)     Amount (000's) Value (000's)
 
Mining (continued)           Mortgage Backed Securities (continued)          
Newmont Mining Corp           Freddie Mac REMICS (continued)          
4.88%, 03/15/2042 $ 260 $ 231   3.00%, 10/15/2027(e)   $ 268 $ 30
Rio Tinto Finance USA Ltd           4.00%, 05/15/2028(e)     6,365   656
9.00%, 05/01/2019   150   190   Freddie Mac Structured Agency Credit Risk          
St Barbara Ltd           Debt Notes          
8.88%, 04/15/2018(d)   200   170   1.02%, 04/25/2024(e)     880   879
Taseko Mines Ltd           Ginnie Mae          
7.75%, 04/15/2019   40   29   4.00%, 07/20/2036(e)     1,353   54
Teck Resources Ltd           4.50%, 04/16/2044     814   127
5.20%, 03/01/2042   55   49   GS Mortgage Securities Trust 2011-GC5          
Volcan Cia Minera SAA           1.67%, 08/10/2044(d),(e)     15,557   858
5.38%, 02/02/2022   50   48   GS Mortgage Securities Trust 2012-GCJ7          
    $   2,578   2.55%, 05/10/2045(e)     2,870   309
            GS Mortgage Securities Trust 2013-GCJ12          
Miscellaneous Manufacturing - 0.47%           3.78%, 06/10/2046(e)     250   260
Bombardier Inc           HomeBanc Mortgage Trust 2005-5          
5.50%, 09/15/2018(d)   45   45              
            0.51%, 01/25/2036(e)     747   645
7.50%, 03/15/2025(d)   80   79              
            JP Morgan Chase Commercial Mortgage          
Ingersoll-Rand Global Holding Co Ltd           Securities Corp          
2.88%, 01/15/2019   150   154   1.89%, 12/15/2047(e)     3,857   352
5.75%, 06/15/2043   60   73   JP Morgan Chase Commercial Mortgage          
Ingersoll-Rand Luxembourg Finance SA           Securities Trust 2006-CIBC17          
3.55%, 11/01/2024   465   473   5.43%, 12/12/2043     355   373
4.65%, 11/01/2044   60   63   JP Morgan Chase Commercial Mortgage          
Tyco Electronics Group SA           Securities Trust 2011-C5          
2.38%, 12/17/2018   100   102   3.15%, 08/15/2046     304   313
3.50%, 02/03/2022   460   480   5.32%, 08/15/2046(d),(e)     350   393
7.13%, 10/01/2037   20   28   JP Morgan Chase Commercial Mortgage          
    $   1,497   Securities Trust 2013-C16          
Mortgage Backed Securities - 6.01%           1.36%, 12/15/2046(e)     12,340   797
Banc of America Commercial Mortgage Trust           JPMBB Commercial Mortgage Securities          
2007-3           Trust 2014-C24          
0.46%, 06/10/2049(d),(e)   300   291   4.43%, 11/15/2047(e)     500   526
BB-UBS Trust         LB-UBS Commercial Mortgage Trust 2005-          
2.89%, 06/05/2030(d),(e)   350   348   C7          
BCRR Trust 2009-1           5.32%, 11/15/2040     350   358
5.86%, 07/17/2040(d)   220   238 LB-UBS Commercial Mortgage Trust 2007-          
CD 2006-CD3 Mortgage Trust           C1          
5.62%, 10/15/2048   424   443   0.40%, 02/15/2040(e)     15,942   118
Citigroup Commercial Mortgage Trust 2015-         LB-UBS Commercial Mortgage Trust 2007-          
GC27           C2          
3.57%, 02/10/2048(e)   500   517   5.43%, 02/15/2040     278   296
COMM 2007-C9 Mortgage Trust           Morgan Stanley Bank of America Merrill          
5.80%, 12/10/2049(e)   1,000   1,047   Lynch Trust 2013-C9          
Credit Suisse Commercial Mortgage Trust           3.46%, 05/15/2046     400   417
Series 2006-C5           Morgan Stanley Bank of America Merrill          
0.72%, 12/15/2039(e)   2,750   25   Lynch Trust 2014-C14          
Credit Suisse Commercial Mortgage Trust           1.30%, 02/15/2047(e)     9,927   674
Series 2007-C3           Morgan Stanley Bank of America Merrill          
5.70%, 06/15/2039(e)   342   366   Lynch Trust 2014-C16          
Credit Suisse First Boston Mortgage Securities           1.25%, 06/15/2047(e)     4,475   337
Corp           Morgan Stanley Capital I Trust 2007-HQ12          
0.51%, 11/15/2037(d),(e)   521   —   5.67%, 04/12/2049(e)     248   248
4.77%, 07/15/2037   335   335   Morgan Stanley Capital I Trust 2007-IQ13          
CSMC Series 2009-RR1           5.36%, 03/15/2044(e)     105   112
5.38%, 02/15/2040(d)   385   402   MSBAM Commercial Mortgage Securities          
CSMC Series 2009-RR3           Trust 2012-CKSV          
5.34%, 12/15/2043(d),(e)   340   359   1.14%, 10/15/2022(d),(e)     3,766   263
Fannie Mae REMIC Trust 2005-W2           Residential Asset Securitization Trust 2004-          
0.37%, 05/25/2035(e)   146   144   A10          
Fannie Mae REMICS           5.50%, 02/25/2035     47   47
2.25%, 07/25/2040   358   358   UBS Commercial Mortgage Trust 2012-C1          
3.50%, 11/25/2027(e)   428   48   3.40%, 05/10/2045(e)     150   159
3.50%, 07/25/2028(e)   826   90   UBS-Barclays Commercial Mortgage Trust          
3.50%, 07/25/2040   133   133   2012-C3        
6.33%, 03/25/2022(e)   134   14   3.09%, 08/10/2049(e)     255   265
6.58%, 11/25/2036(e)   463   71   UBS-Barclays Commercial Mortgage Trust          
Freddie Mac REMICS           2012-C4        
0.62%, 06/15/2023(e)   15   15   1.84%, 12/10/2045(d),(e)     1,457   145
0.77%, 08/15/2018(e)   119   120   3.32%, 12/10/2045(d),(e)     500   516
1.25%, 09/15/2033   1,499   1,504              
2.75%, 03/15/2041   192   197              

 

See accompanying notes.

20

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
      Principal         Principal    
BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Mortgage Backed Securities (continued)           Oil & Gas (continued)        
UBS-Barclays Commercial Mortgage Trust           KazMunayGas National Co JSC        
2013 -C5         4.40%, 04/30/2023(d) $ 350 $ 303
3.18%, 03/10/2046(e)   $ 335 $ 349 Kerr-McGee Corp        
4.09%, 03/10/2046(d),(e)     175   169 7.88%, 09/15/2031   115   157
Washington Mutual Mortgage Pass-Through           Linn Energy LLC / Linn Energy Finance        
Certificates WMALT Series 2006-AR1 Trust           Corp        
0.42%, 02/25/2036(e)     148   112 6.50%, 05/15/2019   185   156
WFRBS Commercial Mortgage Trust 2013-           Marathon Petroleum Corp        
C12           4.75%, 09/15/2044   255   259
1.49%, 03/15/2048(d),(e)     3,915   309 Noble Energy Inc        
WFRBS Commercial Mortgage Trust 2014-           3.90%, 11/15/2024   365   371
C22           5.05%, 11/15/2044   295   310
4.07%, 09/15/2057     500   540 Northern Blizzard Resources Inc        
      $   19,071 7.25%, 02/01/2022(d)   93   85
            Oasis Petroleum Inc        
Office & Business Equipment - 0.24%           6.50%, 11/01/2021   65   62
Xerox Corp           6.88%, 03/15/2022   45   44
2.95%, 03/15/2017     80   82 6.88%, 01/15/2023   140   136
3.80%, 05/15/2024     180   182 Ocean Rig UDW Inc        
4.80%, 03/01/2035     220   216 7.25%, 04/01/2019(d)   175   101
6.75%, 02/01/2017     10   11 Pacific Rubiales Energy Corp        
6.75%, 12/15/2039     215   266 5.13%, 03/28/2023(d)   250   146
      $   757 5.63%, 01/19/2025(d)   125   74
Oil & Gas - 3.77%           PDC Energy Inc        
Anadarko Petroleum Corp           7.75%, 10/15/2022   170   178
3.45%, 07/15/2024     345   346 Petrobras Global Finance BV        
5.95%, 09/15/2016     415   443 5.38%, 01/27/2021   330   299
6.45%, 09/15/2036     90   112 Petroleos de Venezuela SA        
Apache Corp           5.25%, 04/12/2017   150   61
4.25%, 01/15/2044     270   265 Petroleos Mexicanos        
4.75%, 04/15/2043     90   94 4.50%, 01/23/2026(d)   100   102
Baytex Energy Corp           4.88%, 01/24/2022   150   159
5.13%, 06/01/2021(d)     45   41 6.38%, 01/23/2045   150   168
BP Capital Markets PLC           Phillips 66        
0.80%, 05/10/2019(e)     650   646 4.65%, 11/15/2034   165   175
Carrizo Oil & Gas Inc           4.88%, 11/15/2044   85   91
7.50%, 09/15/2020     125   128 RKI Exploration & Production LLC / RKI        
8.63%, 10/15/2018     120   125 Finance Corp        
Chaparral Energy Inc           8.50%, 08/01/2021(d)   138   131
7.63%, 11/15/2022     81   54 Rowan Cos Inc        
9.88%, 10/01/2020     90   67 5.00%, 09/01/2017   275   283
Chesapeake Energy Corp           5.40%, 12/01/2042   305   250
3.50%, 04/15/2019(e)     95   91 Seventy Seven Energy Inc        
4.88%, 04/15/2022     70   66 6.50%, 07/15/2022   150   68
6.13%, 02/15/2021     95   96 Southwestern Energy Co        
CNOOC Finance 2013 Ltd           4.05%, 01/23/2020   310   320
3.00%, 05/09/2023     350   342 Sunoco LP / Sunoco Finance Corp        
CNOOC Nexen Finance 2014 ULC           6.38%, 04/01/2023(d),(f)   90   93
4.25%, 04/30/2024     550   585 Talisman Energy Inc        
Continental Resources Inc/OK           3.75%, 02/01/2021   215   212
3.80%, 06/01/2024     280   258 5.50%, 05/15/2042   300   297
4.50%, 04/15/2023     170   165 7.75%, 06/01/2019   325   375
Devon Energy Corp           Total Capital SA        
2.25%, 12/15/2018     480   485 2.13%, 08/10/2018   10   10
Dolphin Energy Ltd           Triangle USA Petroleum Corp        
5.50%, 12/15/2021     250   287 6.75%, 07/15/2022(d)   70   57
Encana Corp           Ultra Petroleum Corp        
5.15%, 11/15/2041     150   154 6.13%, 10/01/2024(d)   100   86
Ensco PLC           Whiting Canadian Holding Co ULC        
5.20%, 03/15/2025     100   100 8.13%, 12/01/2019   25   26
EOG Resources Inc           Woodside Finance Ltd        
3.15%, 04/01/2025     550   561 3.65%, 03/05/2025(d)   215   213
EP Energy LLC / Everest Acquisition Finance           YPF SA        
Inc           8.88%, 12/19/2018(d)   200   205
9.38%, 05/01/2020     110   115     $   11,967
Exxon Mobil Corp           Oil & Gas Services - 0.23%        
3.57%, 03/06/2045     195   202 CGG SA        
Halcon Resources Corp           6.88%, 01/15/2022   40   32
8.88%, 05/15/2021     30   21 Exterran Partners LP / EXLP Finance Corp        
9.25%, 02/15/2022     50   34 6.00%, 10/01/2022   55   50
9.75%, 07/15/2020     30   21 PHI Inc        
            5.25%, 03/15/2019   65   59

 

See accompanying notes.

21

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Oil & Gas Services (continued)         Pharmaceuticals (continued)        
Weatherford International LLC         Par Pharmaceutical Cos Inc        
6.35%, 06/15/2017 $ 125 $ 132 7.38%, 10/15/2020 $ 70 $ 74
Weatherford International Ltd/Bermuda         Salix Pharmaceuticals Ltd        
4.50%, 04/15/2022   90   82 6.50%, 01/15/2021(d),(e)   140   155
5.95%, 04/15/2042   430   378 Valeant Pharmaceuticals International Inc        
    $   733 5.50%, 03/01/2023(d)   45   45
          7.50%, 07/15/2021(d)   135   146
Other Asset Backed Securities - 2.50%         VRX Escrow Corp        
CNH Equipment Trust 2013-D         5.38%, 03/15/2020(d)   80   81
0.49%, 03/15/2017   87   87 5.88%, 05/15/2023(d)   225   231
CNH Equipment Trust 2014-C         Wyeth LLC        
1.65%, 09/15/2021(e)   500   500          
          6.00%, 02/15/2036   90   116
Dell Equipment Finance Trust 2014-1         Zoetis Inc        
0.64%, 07/22/2016(d)   3,000   3,001          
          1.15%, 02/01/2016   75   75
GreatAmerica Leasing Receivables             $   3,458
0.61%, 05/15/2016(d),(e)   341   341          
JP Morgan Mortgage Acquisition Trust 2007-         Pipelines - 2.45%        
CH3         Boardwalk Pipelines LP        
0.32%, 03/25/2037(e)   394   389 3.38%, 02/01/2023   250   231
Kubota Credit Owner Trust 2015-1         Buckeye Partners LP        
1.54%, 03/15/2019(d),(e)   700   700 2.65%, 11/15/2018   75   75
MSDWCC Heloc Trust 2005-1         4.35%, 10/15/2024   450   449
0.55%, 07/25/2017(e)   3   3 Crestwood Midstream Partners LP /        
Trade MAPS 1 Ltd         Crestwood Midstream Finance Corp        
0.88%, 12/10/2018(d),(e)   1,500   1,499 6.25%, 04/01/2023(d)   40   40
Volvo Financial Equipment LLC Series 2014-         DCP Midstream LLC        
1         5.85%, 05/21/2043(d),(e)   125   90
0.54%, 11/15/2016(d),(e)   1,099   1,099 Enable Midstream Partners LP        
Washington Mutual Asset-Backed Certificates         2.40%, 05/15/2019(d)   480   470
WMABS Series 2006-HE1 Trust         3.90%, 05/15/2024(d)   155   149
0.35%, 04/25/2036(e)   323   315 Enbridge Inc        
    $   7,934 0.71%, 06/02/2017(e)   520   513
          3.50%, 06/10/2024   295   290
Packaging & Containers - 0.58%         Energy Transfer Equity LP        
Ardagh Packaging Finance PLC / Ardagh         5.88%, 01/15/2024   50   53
Holdings USA Inc         Energy Transfer Partners LP        
3.27%, 12/15/2019(d),(e)   200   195          
          4.05%, 03/15/2025   570   575
Berry Plastics Corp         4.90%, 03/15/2035   70   70
5.50%, 05/15/2022   165   170 EnLink Midstream Partners LP        
Beverage Packaging Holdings Luxembourg II         4.40%, 04/01/2024   95   100
SA / Beverage Packaging Holdings II         5.05%, 04/01/2045   150   153
5.63%, 12/15/2016(d)   25   25          
6.00%, 06/15/2017(d)   30   30 Kinder Morgan Energy Partners LP        
          2.65%, 02/01/2019   355   356
Coveris Holding Corp         4.70%, 11/01/2042   220   207
10.00%, 06/01/2018(d)   105   111          
          5.00%, 10/01/2021   220   236
Crown Cork & Seal Co Inc         5.63%, 09/01/2041   135   143
7.38%, 12/15/2026   152   174 Kinder Morgan Inc/DE        
Packaging Corp of America         3.05%, 12/01/2019   280   283
4.50%, 11/01/2023   330   355 ONEOK Partners LP        
Reynolds Group Issuer Inc / Reynolds Group         4.90%, 03/15/2025   185   187
Issuer LLC / Reynolds Group Issuer         Plains All American Pipeline LP / PAA        
(Luxembourg) S.A.         Finance Corp        
7.88%, 08/15/2019   100   106 4.90%, 02/15/2045   30   32
Rock-Tenn Co         Sabine Pass Liquefaction LLC        
3.50%, 03/01/2020   565   586 5.63%, 03/01/2025(d)   175   173
Sealed Air Corp         6.25%, 03/15/2022   110   114
4.88%, 12/01/2022(d)   100   102          
          Sunoco Logistics Partners Operations LP        
    $   1,854 5.35%, 05/15/2045   105   110
Pharmaceuticals - 1.09%         Targa Resources Partners LP / Targa        
Actavis Funding SCS         Resources Partners Finance Corp        
3.00%, 03/12/2020   455   466 4.13%, 11/15/2019(d)   15   15
3.80%, 03/15/2025   255   263 TransCanada PipeLines Ltd        
4.55%, 03/15/2035   265   276 4.63%, 03/01/2034   135   145
4.75%, 03/15/2045   155   165 5.00%, 10/16/2043   50   56
Express Scripts Holding Co         7.13%, 01/15/2019   95   112
6.13%, 11/15/2041   90   114 Transportadora de Gas Internacional SA ESP        
Forest Laboratories Inc         5.70%, 03/20/2022   250   263
5.00%, 12/15/2021(d)   660   734 Western Gas Partners LP        
Grifols Worldwide Operations Ltd         2.60%, 08/15/2018   435   442
5.25%, 04/01/2022(d)   200   203 5.45%, 04/01/2044   240   255
Hospira Inc         Williams Cos Inc/The        
5.20%, 08/12/2020   275   314 7.88%, 09/01/2021   355   412

 

See accompanying notes.

22

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
  Pipelines (continued)           Retail (continued)        
  Williams Partners LP           Suburban Propane Partners LP/Suburban        
  3.60%, 03/15/2022   $ 375 $ 374 Energy Finance Corp        
  5.10%, 09/15/2045     60   58 5.75%, 03/01/2025 $ 50 $ 51
  Williams Partners LP / ACMP Finance Corp               $   1,720
  4.88%, 05/15/2023     455   458          
  4.88%, 03/15/2024     90   90 Semiconductors - 0.06%        
        $   7,779 Semiconductor Manufacturing International        
              Corp        
  Real Estate - 0.13%           4.13%, 10/07/2019(d)   200   200
  Crescent Resources LLC / Crescent Ventures                    
  Inc                    
  10.25%, 08/15/2017(d)     110   118 Software - 0.12%        
              Activision Blizzard Inc        
  Prologis LP           5.63%, 09/15/2021(d)   130   138
  4.25%, 08/15/2023     155   166 6.13%, 09/15/2023(d)   145   158
  6.88%, 03/15/2020     112   132 MSCI Inc        
        $   416 5.25%, 11/15/2024(d)   75   78
REITS- 0.63 %             $   374
  DDR Corp                    
  3.63%, 02/01/2025     320   320 Sovereign - 0.57%        
              Chile Government International Bond        
  DuPont Fabros Technology LP           3.13%, 03/27/2025   250   262
  5.88%, 09/15/2021     40   41 Indonesia Government International Bond        
  Hospitality Properties Trust           4.13%, 01/15/2025(d)   200   205
  4.50%, 06/15/2023     90   93 Kenya Government International Bond        
  iStar Financial Inc           5.88%, 06/24/2019(d)   200   206
  4.88%, 07/01/2018     35   35 Panama Government International Bond        
  5.00%, 07/01/2019     15   15 4.00%, 09/22/2024   200   209
  9.00%, 06/01/2017     80   88          
  Retail Properties of America Inc           Poland Government International Bond        
              3.00%, 03/17/2023   150   154
  4.00%, 03/15/2025     300   303 Romanian Government International Bond        
  Select Income REIT           4.88%, 01/22/2024(d)   170   188
  2.85%, 02/01/2018     240   242 Russian Foreign Bond - Eurobond        
  3.60%, 02/01/2020     260   267 7.50%, 03/31/2030(e)   328   376
  Ventas Realty LP           Turkey Government International Bond        
  1.25%, 04/17/2017     370   369 4.88%, 04/16/2043   200   198
  4.38%, 02/01/2045     225   227          
        $   2,000     $   1,798
 
  Retail - 0.54%           Student Loan Asset Backed Securities - 3.09%      
  Building Materials Holding Corp           Navient Private Education Loan Trust 2014-        
  9.00%, 09/15/2018(d)     45   48 A        
              0.65%, 05/16/2022(d),(e)   374   374
  Claire's Stores Inc                    
  9.00%, 03/15/2019(d)     20   18 Navient Student Loan Trust 2014-8        
              0.45%, 08/25/2020(e)   898   898
  CVS Health Corp           Navient Student Loan Trust 2015-1        
  2.25%, 12/05/2018     65   66 0.51%, 09/26/2022(e)   3,000   3,000
  5.30%, 12/05/2043     130   159 SLM Private Education Loan Trust 2012-A        
  CVS Pass-Through Trust           1.57%, 08/15/2025(d),(e)   332   335
  5.93%, 01/10/2034(d)     175   207          
  7.51%, 01/10/2032(d)     53   69 SLM Private Education Loan Trust 2012-B        
              1.27%, 12/15/2021(d),(e)   934   936
  Family Tree Escrow LLC                    
  5.75%, 03/01/2023(d)     55   58 SLM Private Education Loan Trust 2012-C        
              1.27%, 08/15/2023(d),(e)   96   96
  JC Penney Corp Inc           SLM Private Education Loan Trust 2012-E        
  5.65%, 06/01/2020     15   13 0.92%, 10/16/2023(d),(e)   1,027   1,029
  Landry's Holdings II Inc                    
  10.25%, 01/01/2018(d)     90   93 SLM Private Education Loan Trust 2013-A        
              0.77%, 08/15/2022(d),(e)   1,864   1,866
  Landry's Inc                    
  9.38%, 05/01/2020(d)     105   113 SLM Student Loan Trust 2008-6        
              0.81%, 10/25/2017(e)   151   151
  Macy's Retail Holdings Inc           SLM Student Loan Trust 2013-5        
  5.90%, 12/01/2016     420   453 0.43%, 05/25/2018(e)   128   128
  6.90%, 04/01/2029     25   33 SLM Student Loan Trust 2013-6        
  Michaels FinCo Holdings LLC / Michaels           0.45%, 02/25/2019 (e)   998   998
  FinCo Inc                    
  7.50%, PIK 8.25%, 08/01/2018(d),(g)     14   14     $   9,811
  Michaels Stores Inc           Telecommunications - 3.36%        
  5.88%, 12/15/2020(d)     91   94 Altice Finco SA        
  Neiman Marcus Group LTD LLC           7.63%, 02/15/2025(d)   280   287
  8.75%, 10/15/2021(d)     85   90 8.13%, 01/15/2024(d)   340   360
  New Academy Finance Co LLC / New           AT&T Inc        
  Academy Finance Corp           4.30%, 12/15/2042   345   330
  8.00%, PIK 8.75%, 06/15/2018(d),(g)     100   100 4.35%, 06/15/2045   159   152
  Rite Aid Corp           5.80%, 02/15/2019   5   6
  6.13%, 04/01/2023(d),(f)     40   41 B Communications Ltd        
              7.38%, 02/15/2021(d)   35   38

 

See accompanying notes.

23

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Telecommunications (continued)         Transportation - 0.77%          
Bharti Airtel International Netherlands BV         CSX Corp          
5.13%, 03/11/2023(d) $ 300 $ 324 3.70%, 10/30/2020   $ 320 $ 345
CC Holdings GS V LLC / Crown Castle GS         5.50%, 04/15/2041     185   230
III Corp         6.25%, 03/15/2018     200   227
3.85%, 04/15/2023   510   516 7.38%, 02/01/2019     170   204
CenturyLink Inc         Eletson Holdings          
5.63%, 04/01/2025(d)   85   85 9.63%, 01/15/2022(d)     110   107
Digicel Group Ltd         Hornbeck Offshore Services Inc          
8.25%, 09/30/2020(d)   400   401 5.00%, 03/01/2021     65   52
Eileme 2 AB         Navios Maritime Acquisition Corp / Navios          
11.63%, 01/31/2020(d)   200   226 Acquisition Finance US Inc          
Embarq Corp         8.13%, 11/15/2021(d)     190   191
8.00%, 06/01/2036   100   119 Navios Maritime Holdings Inc / Navios          
ENTEL Chile SA         Maritime Finance II US Inc          
4.75%, 08/01/2026(d)   300   308 7.38%, 01/15/2022(d)     140   131
Goodman Networks Inc         Navios South American Logistics Inc / Navios          
12.13%, 07/01/2018   95   88 Logistics Finance US Inc          
Intelsat Jackson Holdings SA         7.25%, 05/01/2022(d)     185   179
7.25%, 10/15/2020   55   57 Pelabuhan Indonesia III PT          
Intelsat Luxembourg SA         4.88%, 10/01/2024(d)     400   419
7.75%, 06/01/2021   205   189 Union Pacific Corp          
8.13%, 06/01/2023   115   106 3.38%, 02/01/2035     70   68
Level 3 Communications Inc         3.88%, 02/01/2055     165   161
5.75%, 12/01/2022   55   56 Union Pacific Railroad Co 2014-1 Pass          
Level 3 Financing Inc         Through Trust          
5.38%, 08/15/2022   50   51 3.23%, 05/14/2026(c)     120   122
6.13%, 01/15/2021   40   42       $   2,436
8.13%, 07/01/2019   105   110            
Ooredoo International Finance Ltd         Trucking & Leasing - 0.08%          
3.88%, 01/31/2028   250   246 Jurassic Holdings III Inc          
          6.88%, 02/15/2021(d)     55   48
SoftBank Corp                    
4.50%, 04/15/2020(d)   205   209 Penske Truck Leasing Co Lp / PTL Finance          
Sprint Capital Corp         Corp          
          3.38%, 02/01/2022(d)     200   200
6.88%, 11/15/2028   85   78            
Sprint Communications Inc               $   248
6.00%, 11/15/2022   115   109 TOTAL BONDS     $   214,105
7.00%, 08/15/2020   135   137     Principal    
9.00%, 11/15/2018(d)   45   52 CONVERTIBLE BONDS - 0.05%   Amount (000's) Value (000's)
9.13%, 03/01/2017   25   27 Semiconductors - 0.05%          
Sprint Corp         Jazz Technologies Inc          
7.13%, 06/15/2024   200   195 8.00%, 12/31/2018(d)     80   137
7.88%, 09/15/2023   105   107            
Telefonica Emisiones SAU         TOTAL CONVERTIBLE BONDS     $   137
5.13%, 04/27/2020   210   237 SENIOR FLOATING RATE INTERESTS - Principal    
6.42%, 06/20/2016   95   101 4.27 % Amount (000's) Value (000's)
7.05%, 06/20/2036   25   35            
T-Mobile USA Inc         Aerospace & Defense - 0.10%          
6.00%, 03/01/2023   60   62 B/E Aerospace Inc, Term Loan B          
6.13%, 01/15/2022   20   21 4.00%, 11/19/2021(e)   $ 300 $ 302
6.25%, 04/01/2021   95   99            
6.50%, 01/15/2024   30   31            
6.63%, 04/28/2021   85   89 Apparel - 0.04%          
          Calceus Acquisition Inc, Term Loan B1          
Verizon Communications Inc         5.00%, 09/24/2020(e)     116   111
1.35%, 06/09/2017   410   410            
2.02%, 09/14/2018(e)   750   782            
2.63%, 02/21/2020   203   207 Automobile Manufacturers - 0.09%          
3.50%, 11/01/2024   455   466 FCA US LLC, Term Loan B          
4.40%, 11/01/2034   35   36 2.94%, 05/24/2017(e)     29   29
4.52%, 09/15/2048(d)   637   634 Navistar Inc, Term Loan B          
5.01%, 08/21/2054   756   784 5.75%, 08/17/2017(e)     250   251
5.15%, 09/15/2023   260   298       $   280
6.25%, 04/01/2037   25   31            
6.40%, 09/15/2033   32   40 Automobile Parts & Equipment - 0.07%          
VimpelCom Holdings BV         Federal-Mogul Holdings Corp, Term Loan C          
          4.75%, 04/02/2021(e)     209   208
7.50%, 03/01/2022(d)   500   474            
Virgin Media Finance PLC                    
6.00%, 10/15/2024(d)   200   210 Building Materials - 0.09%          
Wind Acquisition Finance SA         GYP Holdings III Corp, Term Loan B          
7.38%, 04/23/2021(d)   590   612 4.75%, 03/26/2021(e)     124   121
    $   10,670 7.75%, 03/25/2022(e)     160   157
                $   278

 

See accompanying notes.

24

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS     Principal       SENIOR FLOATING RATE INTERESTS     Principal    
  (continued)     Amount (000's) Value (000's)   (continued)     Amount (000's) Value (000's)
 
  Chemicals - 0.29%             Forest Products & Paper (continued)          
  Aruba Investments Inc, Term Loan B             NewPage Corp, Term Loan B          
  5.25%, 01/28/2022(e)   $ 75 $ 76   9.50%, 02/05/2021(e)   $ 485 $ 464
  Axiall Holdco Inc, Term Loan B                   $   963
  4.00%, 02/25/2022(e)     111   112              
  AZ Chem US Inc, Term Loan             Healthcare - Products - 0.04%          
  7.50%, 06/10/2022(e)     266   261   Accellent Inc, Term Loan          
                4.50%, 02/19/2021(e)     54   54
  AZ Chem US Inc, Term Loan B                        
  4.52%, 06/10/2021(e)     28   28   Kinetic Concepts Inc, Term Loan E1          
                4.50%, 05/04/2018(e)     88   88
  Emerald Performance Materials LLC, Term                        
  Loan                   $   142
  7.75%, 07/22/2022(e)     270   265   Healthcare - Services - 0.23%          
  Ineos US Finance LLC, Term Loan B             CHS/Community Health Systems Inc, Term          
  3.75%, 05/04/2018(e)     183   182   Loan D          
        $   924   4.25%, 01/27/2021(e)     40   40
Coal- 0.03 %           CHS/Community Health Systems Inc, Term          
  Arch Coal Inc, Term Loan             Loan F          
                3.43%, 01/25/2018(e)     124   124
  6.25%, 05/16/2018(e)     103   80              
                DaVita HealthCare Partners Inc, Term Loan          
                B          
  Commercial Services - 0.06%             3.50%, 06/18/2021(e)     60   60
  Interactive Data Corp, Term Loan B             MPH Acquisition Holdings LLC, Term Loan          
  4.75%, 05/02/2021(e)     121   122   B          
  TMS International Corp, Term Loan B             3.75%, 03/19/2021(e)     212   211
  4.50%, 10/04/2020(e)     60   58   Radnet Management Inc, Term Loan B          
        $   180   8.00%, 03/25/2021(e)     295   290
 
  Computers - 0.08%                   $   725
  Oberthur Technologies of America Corp,             Insurance - 0.20%          
  Term Loan B2             Asurion LLC, Term Loan          
  4.50%, 10/18/2019(e)     247   246   8.50%, 02/19/2021(e)     505   506
                Asurion LLC, Term Loan B1          
                5.00%, 05/24/2019(e)     67   67
  Consumer Products - 0.08%                        
  Dell International LLC, Term Loan B             Asurion LLC, Term Loan B2          
                4.25%, 06/19/2020(e)     52   52
  4.50%, 03/24/2020(e)     246   248              
                      $   625
 
  Diversified Financial Services - 0.03%             Internet - 0.07%          
  Delos Finance Sarl, Term Loan B             Zayo Group LLC, Term Loan B          
  3.50%, 02/26/2021(e)     100   100   4.00%, 07/02/2019(e)     227   227
 
  Electric - 0.05%             Iron & Steel - 0.06%          
  Texas Competitive Electric Holdings Co LLC,             Evergreen Skills Lux Sarl, Term Loan          
                3.75%, 04/08/2021(e)     186   185
  Term Loan NONEXT                        
  4.70%, 04/25/2015(e)     285   169              
                Lodging - 0.08%          
  Electronics - 0.09%             Caesars Entertainment Operating Co Inc, Term          
  Isola USA Corp, Term Loan B             Loan B6B          
  9.25%, 11/29/2018(e)     294   287   1.50%, 01/28/2018(e)     29   27
                Caesars Entertainment Operating Co Inc, Term          
                Loan B7          
  Entertainment - 0.44%             1.51%, 03/01/2017(e)     199   181
  CCM Merger Inc, Term Loan B             Hilton Worldwide Finance LLC, Term Loan          
  4.50%, 07/30/2021(e)     617   618   B          
  Lions Gate Entertainment Corp, Term Loan             3.50%, 09/23/2020(e)     41   42
  B                   $   250
  5.00%, 03/11/2022(e)     260   260              
  Peninsula Gaming LLC, Term Loan B             Machinery - Diversified - 0.04%          
  4.25%, 11/30/2017(e)     129   129   Onex Wizard Acquisition Co I SARL, Term          
  WMG Acquisition Corp, Term Loan B             Loan B          
  3.75%, 07/07/2020(e)     401   391   0.00%, 02/03/2022(e),(h)     140   141
        $   1,398              
 
Food- 0.03 %         Media- 0.37 %        
  HJ Heinz Co, Term Loan B2             CCO Safari LLC, Term Loan G          
  3.25%, 03/27/2020(e)     105   105   4.25%, 08/12/2021(e)     135   136
                Cumulus Media Holdings Inc, Term Loan B          
                4.25%, 12/23/2020(e)     128   125
  Forest Products & Paper - 0.30%             iHeartCommunications Inc, Term Loan D-          
  Caraustar Industries Inc, Term Loan B             EXT          
  8.00%, 04/26/2019(e)     389   386   6.93%, 01/30/2019(e)     245   233
  8.00%, 05/01/2019(e)     115   113   Numericable US LLC, Term Loan B1          
                4.50%, 04/23/2020(e)     71   71

 

See accompanying notes.

25

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS     Principal     SENIOR FLOATING RATE INTERESTS   Principal    
  (continued)     Amount (000's) Value (000's) (continued)   Amount (000's) Value (000's)
 
  Media (continued)           Software - 0.11%          
  Numericable US LLC, Term Loan B2           Activision Blizzard Inc, Term Loan B          
  4.50%, 04/23/2020(e)   $ 61 $ 61 3.25%, 07/26/2020(e)   $ 221 $ 222
  Univision Communications Inc, Term Loan           First Data Corp, Term Loan B          
  C3           4.17%, 03/24/2021(e)     125   125
  4.00%, 03/01/2020(e)     24   24       $   347
  Univision Communications Inc, Term Loan                      
  C4           Telecommunications - 0.06%          
  4.00%, 03/01/2020(e)     191   190 Altice Financing SA, Delay-Draw Term Loan          
  WideOpenWest Finance LLC, Term Loan B           DD          
              5.50%, 07/03/2019(e)     172   174
  4.75%, 03/27/2019(e)     122   122            
  WideOpenWest Finance LLC, Term Loan B1           NTELOS Inc, Term Loan B          
              5.75%, 11/09/2019(e)     34   30
  3.75%, 07/17/2017(e)     222   221            
        $   1,183       $   204
              TOTAL SENIOR FLOATING RATE INTERESTS $   13,559
  Mining - 0.19%           U.S. GOVERNMENT & GOVERNMENT   Principal    
  American Rock Salt Co LLC, Term Loan           AGENCY OBLIGATIONS - 33.11%   Amount (000's) Value (000's)
  8.00%, 05/16/2022(e)     400   397 Federal Home Loan Mortgage Corporation (FHLMC) -      
  FMG Resources August 2006 Pty Ltd, Term           1.91 %        
  Loan B           2.25%, 02/01/2037(e)   $ 25 $ 26
  3.11%, 06/30/2019(e)     242   219 2.53%, 02/01/2034(e)     5   5
        $   616 3.50%, 04/01/2042     335   354
  Oil & Gas - 0.17%           4.00%, 02/01/2044     641   691
  Drillships Financing Holding Inc, Term Loan           4.00%, 10/01/2044     883   952
  B1           4.50%, 07/01/2024     64   69
  6.00%, 03/31/2021(e)     249   189 5.00%, 05/01/2018     155   163
  Seadrill Operating LP, Term Loan B           5.00%, 06/01/2031     279   311
  4.00%, 02/12/2021(e)     430   340 5.00%, 10/01/2035     100   111
  Seventy Seven Operating LLC, Term Loan B           5.00%, 06/01/2041     2,481   2,778
  3.75%, 06/17/2021(e)     30   26 6.00%, 03/01/2031     17   20
        $   555 6.00%, 06/01/2032     51   58
              6.00%, 10/01/2032     32   37
  Pharmaceuticals - 0.31%           6.00%, 01/01/2038     151   173
  Grifols Worldwide Operations USA Inc, Term           6.50%, 04/01/2016     1   1
  Loan B           6.50%, 03/01/2029     8   9
  3.18%, 03/05/2021(e)     114   114 6.50%, 05/01/2029     12   13
  JLL/Delta Dutch Newco BV, Term Loan B           6.50%, 04/01/2031     5   5
  4.28%, 01/22/2021(e)     104   104 6.50%, 02/01/2032     11   13
  Par Pharmaceutical Cos Inc, Term Loan B2           6.50%, 05/01/2032     10   12
  4.00%, 09/30/2019(e)     340   339 6.50%, 05/01/2032     24   28
  Salix Pharmaceuticals Ltd, Term Loan B           6.50%, 04/01/2035     19   22
  5.42%, 01/20/2020(e)     122   122 7.00%, 12/01/2029     29   33
  Valeant Pharmaceuticals International Inc,           7.00%, 06/01/2030     5   5
Delay-Draw Term Loan B-DD           7.00%, 12/01/2030     4   4
  0.00%, 03/11/2022(e),(h)     155   156 7.00%, 01/01/2031     5   6
  Valeant Pharmaceuticals International Inc,           7.00%, 01/01/2031     1   2
  Term Loan BE1           7.00%, 02/01/2031     3   3
  3.50%, 08/05/2020(e)     163   163 7.00%, 12/01/2031     37   38
        $   998 7.50%, 04/01/2030     6   7
              7.50%, 09/01/2030     4   4
  Pipelines - 0.02%           7.50%, 03/01/2031     20   23
  NGPL PipeCo LLC, Term Loan B           8.00%, 09/01/2030     79   88
  6.75%, 05/04/2017(e)     52   49            
                    $   6,064
 
              Federal National Mortgage Association (FNMA) - 14.14%    
REITS- 0.12 %         2.13%, 07/01/2034(e)     34   36
  iStar Financial Inc, Term Loan A2           2.23%, 07/01/2034(e)     3   3
  7.00%, 03/19/2017(e)     378   386            
              2.30%, 03/01/2035(e)     77   82
              2.50%, 04/01/2028(i)     1,880   1,931
  Retail - 0.33%           3.00%, 04/01/2030(i)     750   786
  Academy Ltd, Term Loan B           3.00%, 03/01/2034     797   826
  4.50%, 08/03/2018(e)     162   162 3.00%, 11/01/2042     1,282   1,315
  Dollar Tree Inc, Term Loan B           3.00%, 04/01/2043(i)     4,250   4,345
  4.25%, 02/06/2022(e)     85   86 3.00%, 05/01/2043     307   315
  Michaels Stores Inc, Term Loan B           3.50%, 04/01/2030(i)     900   955
  3.75%, 01/24/2020(e)     201   202 3.50%, 08/01/2034     882   932
  4.00%, 01/20/2028(e)     179   179 3.50%, 01/01/2041     76   80
  Neiman Marcus Group LTD LLC, Term           3.50%, 03/01/2042     1,256   1,330
  Loan           3.50%, 11/01/2042     1,608   1,706
  4.25%, 10/25/2020(e)     298   297 3.50%, 07/01/2043     614   650
  PetSmart Inc, Term Loan B           3.50%, 09/01/2044     3,407   3,600
  5.00%, 02/18/2022(e)     120   121 3.50%, 11/01/2044     778   825
        $   1,047 3.50%, 04/01/2045(i)     1,200   1,260
              4.00%, 10/01/2019     63   67

 

See accompanying notes.

26

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT     Principal     U.S. GOVERNMENT & GOVERNMENT Principal      
AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)  
            Government National Mortgage Association (GNMA)      
Federal National Mortgage Association (FNMA) (continued)     (continued)          
4.00%, 08/01/2020   $ 298 $ 315              
4.00%, 06/01/2026     679   724   6.00%, 12/20/2036 $ 152 $ 173  
              6.50%, 03/20/2028   8   9  
4.00%, 03/01/2034     778   847   6.50%, 05/20/2029   7   8  
4.00%, 11/01/2040     2,720   2,942              
4.00%, 04/01/2045(i)     5,050   5,399   6.50%, 12/15/2032   556   642  
              7.00%, 03/15/2031   15   17  
4.50%, 07/01/2025     121   131   7.50%, 05/15/2029   20   20  
4.50%, 04/01/2039     1,817   1,984              
4.50%, 11/01/2040     1,754   1,939   8.00%, 12/15/2030   10   12  
4.50%, 09/01/2041     435   476       $   20,521  
4.50%, 09/01/2043     1,622   1,793 U.S. Treasury - 10.60%          
4.50%, 07/01/2044     350   382   0.88%, 04/30/2017(j)   850   855  
4.50%, 07/01/2044     257   282   1.00%, 08/31/2016   300   303  
5.00%, 12/01/2039     73   83   1.25%, 10/31/2015   1,000   1,006  
5.00%, 02/01/2040     374   417   1.25%, 01/31/2020   750   746  
5.00%, 06/01/2040     34   38   1.38%, 01/31/2020   5,825   5,834  
5.00%, 04/01/2043(i)     1,500   1,668   1.63%, 12/31/2019   4,050   4,102  
5.50%, 06/01/2019     47   50   1.75%, 09/30/2019   6,300   6,420  
5.50%, 07/01/2019     28   30   1.88%, 08/31/2017(k)   2,705   2,781  
5.50%, 07/01/2019     10   11   1.88%, 11/30/2021   2,550   2,581  
5.50%, 08/01/2019     7   8   2.00%, 10/31/2021   30   31  
5.50%, 08/01/2019     36   37   2.38%, 08/15/2024   1,935   2,012  
5.50%, 10/01/2019     48   51   2.63%, 01/31/2018   1,700   1,784  
5.50%, 10/01/2019     68   73   3.00%, 11/15/2044   1,550   1,698  
5.50%, 12/01/2022     49   55   3.13%, 02/15/2042   1,090   1,218  
5.50%, 07/01/2033     648   734   3.13%, 08/15/2044   150   168  
5.50%, 04/01/2035     60   68   3.75%, 11/15/2043   1,500   1,874  
5.50%, 08/01/2036     1,085   1,223   4.50%, 02/15/2036   175   238  
5.50%, 02/01/2037     17   20       $   33,651  
5.50%, 05/01/2040     131   150 TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY      
5.50%, 05/01/2040     128   144 OBLIGATIONS   $   105,120  
5.73%, 02/01/2036(e)     36   38              
            Total Investments   $   347,471  
6.00%, 05/01/2031     5   6 Liabilities in Excess of Other Assets, Net - (9.45)% $   (30,011 )
6.00%, 07/01/2035     309   355 TOTAL NET ASSETS - 100.00%   $   317,460  
6.00%, 02/01/2037     372   424              
6.00%, 02/01/2038     146   168              
6.50%, 03/01/2032     11   13 (a) Non-Income Producing Security          
6.50%, 07/01/2037     61   75 (b) Security is Illiquid          
6.50%, 07/01/2037     89   108 (c) Fair value of these investments is determined in good faith by the Manager  
6.50%, 02/01/2038     61   72   under procedures established and periodically reviewed by the Board of  
6.50%, 03/01/2038     43   52   Directors. At the end of the period, the fair value of these securities totaled  
6.50%, 09/01/2038     379   436   $1,530 or 0.48% of net assets.          
7.00%, 02/01/2032     18   19 (d) Security exempt from registration under Rule 144A of the Securities Act of  
      $   44,884   1933. These securities may be resold in transactions exempt from  
Government National Mortgage Association (GNMA) -       registration, normally to qualified institutional buyers. At the end of the  
6.46 %           period, the value of these securities totaled $59,499 or 18.74% of net  
1.50%, 07/20/2043(e)     542   550   assets.          
1.63%, 01/20/2035(e)     44   46 (e) Variable Rate. Rate shown is in effect at March 31, 2015.      
2.00%, 04/20/2043(e)     668   686 (f) Security purchased on a when-issued basis.        
3.00%, 04/01/2043     1,500   1,545 (g) Payment in kind; the issuer has the option of paying additional securities  
3.00%, 07/20/2044     1,196   1,234   in lieu of cash.          
3.50%, 10/15/2042     80   85 (h) This Senior Floating Rate Note will settle after March 31, 2015, at which  
3.50%, 08/15/2043     446   474   time the interest rate will be determined.          
3.50%, 10/20/2044     481   507 (i) Security was purchased in a "to-be-announced" ("TBA") transaction. See  
3.50%, 04/01/2045(i)     4,600   4,844   Notes to Financial Statements for additional information.      
4.00%, 02/15/2042     320   349 (j) Security or a portion of the security was pledged to cover margin  
4.00%, 04/01/2045     1,500   1,598   requirements for futures contracts. At the end of the period, the value of  
4.00%, 04/01/2045(i)     2,750   2,951   these securities totaled $250 or 0.08% of net assets.      
4.50%, 09/15/2039     1,230   1,383 (k) Security or a portion of the security was pledged to cover margin  
4.50%, 01/20/2040     311   340   requirements for swap and/or swaption contracts. At the end of the period,  
4.50%, 08/20/2040     623   681   the value of these securities totaled $773 or 0.24% of net assets.      
4.50%, 10/20/2040     237   259              
4.50%, 11/15/2040     269   301              
5.00%, 02/15/2034     527   592              
5.00%, 10/15/2034     188   211              
5.00%, 10/20/2039     137   153              
5.00%, 07/20/2040     60   66              
5.00%, 09/20/2041     311   349              
5.50%, 12/20/2033     257   292              
5.50%, 05/20/2035     29   33              
6.00%, 01/20/2029     48   57              
6.00%, 07/20/2029     8   9              
6.00%, 12/15/2033     39   45              

 

See accompanying notes.

27

 

Schedule of Investments
Bond & Mortgage Securities Account
March 31, 2015 (unaudited)
 
 
Portfolio Summary (unaudited)                                    
Sector     Percent                            
Mortgage Securities     28.52 %                          
Financial     14.04 %                          
Asset Backed Securities     13.22 %                          
Government     11.17 %                          
Communications     7.43 %                          
Consumer, Non-cyclical     7.40 %                          
Energy     6.67 %                          
Consumer, Cyclical     5.00 %                          
Exchange Traded Funds     4.10 %                          
Industrial     3.86 %                          
Basic Materials     3.01 %                          
Utilities     2.76 %                          
Technology     1.67 %                          
Diversified     0.60 %                          
Liabilities in Excess of Other Assets, Net   (9.45 )%                          
TOTAL NET ASSETS     100.00 %                          
 
Credit Default Swaps
Buy Protection                                      
    (Pay)/             Upfront     Unrealized            
    Receive   Expiration         Premiums     Appreciation/     Fair Value  
Counterparty (Issuer) Reference Entity Fixed Rate   Date   Notional Amount   Paid/(Received)      (Depreciation)      Asset Liability  
Barclays Bank PLC CDX.EM.22 5 Y   (1.00 )% 12/20/2019   $ 4,000 $ 274   $ 209   $ 483 $ —  
Total               $   274   $ 209   $ 483 $ —  
 
Amounts in thousands                                      
Exchange Cleared Credit Default Swaps
Buy Protection                                      
    (Pay)/             Upfront     Unrealized            
    Receive   Expiration         Premiums     Appreciation/            
  Reference Entity Fixed Rate   Date   Notional Amount  Paid/(Received)   (Depreciation)     Fair Value  
  CDX.NA.HY.23 5Y   (5.00 )% 12/20/2019   $ 2,940 $ (131 ) $ (110 ) $     (241 )
  CDX.NA.HY.23 5Y   (5.00 )% 12/20/2019     2,646   (156 )   (60 )       (216 )
  CDX.NA.HY.23 5Y   (5.00 )% 12/20/2019     4,900   (357 )   (44 )       (401 )
  CDX.NA.HY.23 5Y   (5.00 )% 12/20/2019     4,606   (328 )   (49 )       (377 )
Total               $   (972 ) $ (263 ) $   (1,235 )
 
Amounts in thousands                                      
 
 
Futures Contracts
                                Unrealized
Type   Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
US 10 Year Note; June 2015   Long     48 $   6,091 $       6,187 $       96  
US Long Bond; June 2015   Long     17     2,748         2,786         38  
US Ultra Bond; June 2015   Long     32     5,338         5,436         98  
Total                         $         232  
 
Amounts in thousands except contracts                                    

 

See accompanying notes.

28

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 9.49%     Shares Held Value (000's)     Principal    
              BONDS (continued) Amount (000's) Value (000's)
  Publicly Traded Investment Fund - 9.49%                    
  Goldman Sachs Financial Square Funds -     173,397,687 $ 173,398 Agriculture (continued)        
  Money Market Fund           Philip Morris International Inc (continued)      
              6.38%, 05/16/2038 $ 100 $ 132
  TOTAL INVESTMENT COMPANIES     $   173,398 Reynolds American Inc        
        Principal     4.85%, 09/15/2023   350   387
BONDS- 34.91 %   Amount (000's) Value (000's)     $   5,020
 
  Advertising - 0.02%           Airlines - 0.10%        
  Omnicom Group Inc           American Airlines 2011-1 Class A Pass      
  4.45%, 08/15/2020   $ 128 $ 141 Through Trust        
  Svensk Exportkredit AB           5.25%, 07/31/2022(b)   145   157
  5.13%, 03/01/2017     218   236 American Airlines 2014-1 Class A Pass      
        $   377 Through Trust        
              3.70%, 10/01/2026(b)   400   414
  Aerospace & Defense - 0.35%           Continental Airlines 2010-1 Class A Pass      
  Boeing Capital Corp           Through Trust        
  4.70%, 10/27/2019     33   37 4.75%, 01/12/2021(b)   41   44
  Boeing Co/The           Continental Airlines 2012-2 Class A Pass      
  3.75%, 11/20/2016     51   54 Through Trust        
  5.88%, 02/15/2040     154   209 4.00%, 04/29/2026(b)   189   198
  7.95%, 08/15/2024     200   283 Delta Air Lines 2007-1 Class A Pass Through      
  Exelis Inc           Trust        
  4.25%, 10/01/2016     128   132 6.82%, 02/10/2024(b)   77   91
  L-3 Communications Corp           Southwest Airlines Co        
  1.50%, 05/28/2017     250   248 2.75%, 11/06/2019   300   307
  4.95%, 02/15/2021     277   306 UAL 2009-2A Pass Through Trust      
  Lockheed Martin Corp           9.75%, 01/15/2017(b)   123   136
  2.13%, 09/15/2016     100   102 United Airlines 2014-2 Class A Pass Through      
  3.35%, 09/15/2021     102   108 Trust        
  3.60%, 03/01/2035     350   350 3.75%, 09/03/2026(b)   200   209
  4.07%, 12/15/2042     47   49 US Airways 2013-1 Class A Pass Through      
  5.50%, 11/15/2039     220   275 Trust        
  6.15%, 09/01/2036     290   383 3.95%, 11/15/2025(b)   194   201
  Northrop Grumman Corp               $   1,757
  1.75%, 06/01/2018     500   502          
  3.50%, 03/15/2021     277   292 Apparel - 0.02%        
  Raytheon Co           NIKE Inc        
  3.13%, 10/15/2020     77   81 2.25%, 05/01/2023   200   199
  4.88%, 10/15/2040     154   179 3.63%, 05/01/2043   200   201
  United Technologies Corp               $   400
  3.10%, 06/01/2022     1,950   2,029 Automobile Asset Backed Securities - 0.26%      
  4.50%, 04/15/2020     74   83 Ally Auto Receivables Trust 2012-4      
  4.50%, 06/01/2042     200   222 0.59%, 01/17/2017   42   42
  5.38%, 12/15/2017     102   113 Ally Auto Receivables Trust 2013-2      
  5.70%, 04/15/2040     51   65 1.24%, 11/15/2018   500   500
  6.13%, 07/15/2038     18   24 Americredit Automobile Receivables Trust      
  6.70%, 08/01/2028     175   239 2014-4        
        $   6,365 1.27%, 07/08/2019(a)   1,000   1,001
  Agriculture - 0.27%           Carmax Auto Owner Trust 2013-2      
  Altria Group Inc           0.84%, 11/15/2018   300   299
  4.00%, 01/31/2024     350   375 CarMax Auto Owner Trust 2013-4      
  4.75%, 05/05/2021     128   143 0.80%, 07/16/2018   500   500
  5.38%, 01/31/2044     200   234 Fifth Third Auto Trust 2014-3        
  9.25%, 08/06/2019     126   162 1.47%, 05/17/2021(a)   500   501
  9.95%, 11/10/2038     57   99 Honda Auto Receivables 2014-4 Owner      
  10.20%, 02/06/2039     68   120 Trust        
  Archer-Daniels-Midland Co           0.99%, 09/17/2018   500   501
  4.48%, 03/01/2021(a)     128   143 Honda Auto Receivables Owner Trust 2014-      
  5.38%, 09/15/2035     892   1,101 3        
  Lorillard Tobacco Co           0.88%, 06/15/2018(a)   500   500
  6.88%, 05/01/2020     500   596 Hyundai Auto Receivables Trust 2012-C      
  8.13%, 06/23/2019     36   44 1.06%, 06/15/2018   266   265
  8.13%, 05/01/2040     25   36 Nissan Auto Receivables 2012-A Owner      
  Philip Morris International Inc           Trust        
  1.13%, 08/21/2017     100   100 1.00%, 07/16/2018   150   150
  1.25%, 11/09/2017     500   503 World Omni Auto Receivables Trust 2013-B      
  2.50%, 05/16/2016     128   131 1.32%, 01/15/2020(a)   515   517
  2.90%, 11/15/2021     51   52     $   4,776
  4.38%, 11/15/2041     51   54 Automobile Manufacturers - 0.34%      
  4.50%, 03/26/2020     131   146 American Honda Finance Corp        
  4.50%, 03/20/2042     400   434 1.55%, 12/11/2017   350   353
  5.65%, 05/16/2018     25   28          

 

See accompanying notes.

29

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
  Automobile Manufacturers (continued)           Banks (continued)        
  Daimler Finance North America LLC           Bank of Montreal (continued)        
  8.50%, 01/18/2031   $ 102 $ 162 1.45%, 04/09/2018 $ 300 $ 300
  Ford Motor Co           2.50%, 01/11/2017   228   234
  4.75%, 01/15/2043     400   437 Bank of New York Mellon Corp/The        
  7.45%, 07/16/2031     100   138 2.10%, 08/01/2018   300   305
  Ford Motor Credit Co LLC           2.20%, 05/15/2019   500   508
  1.50%, 01/17/2017     500   501 3.55%, 09/23/2021   51   54
  2.15%, 01/09/2018     500   506 5.50%, 12/01/2017   32   35
  3.98%, 06/15/2016     300   309 Bank of Nova Scotia/The        
  4.25%, 02/03/2017     200   210 1.10%, 12/13/2016   750   753
  4.25%, 09/20/2022     200   216 1.45%, 04/25/2018   300   299
  4.38%, 08/06/2023     350   378 Barclays Bank PLC        
  5.00%, 05/15/2018     200   218 5.13%, 01/08/2020   750   852
  5.88%, 08/02/2021     200   235 5.14%, 10/14/2020   1,000   1,111
  PACCAR Financial Corp           6.75%, 05/22/2019   200   237
  1.40%, 11/17/2017     320   323 BB&T Corp        
  Toyota Motor Credit Corp           1.60%, 08/15/2017   200   201
  1.13%, 05/16/2017     500   501 3.95%, 04/29/2016   29   30
  1.25%, 10/05/2017     400   401 6.85%, 04/30/2019   18   21
  2.05%, 01/12/2017     77   79 BNP Paribas SA        
  2.13%, 07/18/2019     500   508 2.38%, 09/14/2017   200   204
  2.15%, 03/12/2020     500   505 2.40%, 12/12/2018   750   765
  2.63%, 01/10/2023     100   101 4.25%, 10/15/2024   750   772
  3.30%, 01/12/2022     77   82 5.00%, 01/15/2021   77   87
        $   6,163 BPCE SA        
              1.61%, 07/25/2017   750   754
  Automobile Parts & Equipment - 0.05%           4.00%, 04/15/2024   250   267
  BorgWarner Inc           Branch Banking & Trust Co        
  3.38%, 03/15/2025     500   515 1.45%, 10/03/2016   200   202
  Johnson Controls Inc           2.30%, 10/15/2018   750   767
  1.40%, 11/02/2017     200   199 Canadian Imperial Bank of        
  3.75%, 12/01/2021     77   82 Commerce/Canada        
  5.00%, 03/30/2020     64   71 1.35%, 07/18/2016   300   303
  5.25%, 12/01/2041     128   146 Capital One Financial Corp        
        $   1,013 2.45%, 04/24/2019   250   253
Banks- 5.52 %         3.20%, 02/05/2025   400   397
  Abbey National Treasury Services           3.50%, 06/15/2023   84   86
  PLC/London           Capital One NA/Mclean VA        
  2.38%, 03/16/2020     750   755 1.50%, 09/05/2017   500   499
  3.05%, 08/23/2018     500   521 Citigroup Inc        
  Associated Banc-Corp           1.30%, 11/15/2016   250   250
  4.25%, 01/15/2025     500   507 1.55%, 08/14/2017   750   751
  Australia & New Zealand Banking Group           2.40%, 02/18/2020   200   201
  Ltd/New York NY           3.50%, 05/15/2023   600   598
  1.25%, 06/13/2017     400   401 3.75%, 06/16/2024   500   523
  1.50%, 01/16/2018     500   501 4.05%, 07/30/2022   200   210
  Bank of America Corp           4.30%, 11/20/2026   500   517
  1.35%, 11/21/2016     500   500 4.45%, 01/10/2017   154   162
  2.00%, 01/11/2018     500   504 4.50%, 01/14/2022   454   501
  2.60%, 01/15/2019     750   763 5.50%, 09/13/2025   300   340
  3.30%, 01/11/2023     300   304 5.88%, 01/30/2042   328   418
  3.88%, 03/22/2017     200   209 6.00%, 10/31/2033   115   136
  4.13%, 01/22/2024     1,000   1,071 6.13%, 11/21/2017   328   364
  4.88%, 04/01/2044     500   563 6.13%, 05/15/2018   300   338
  5.42%, 03/15/2017     201   215 6.63%, 06/15/2032   112   140
  5.63%, 07/01/2020     380   438 8.13%, 07/15/2039   228   359
  5.65%, 05/01/2018     455   505 8.50%, 05/22/2019   728   907
  5.70%, 01/24/2022     580   678 Citizens Bank NA/Providence RI        
  5.88%, 02/07/2042     228   290 1.60%, 12/04/2017   500   502
  6.00%, 09/01/2017     265   292 Commonwealth Bank of Australia/New York        
  6.05%, 05/16/2016     224   235 NY        
  6.11%, 01/29/2037     450   548 1.13%, 03/13/2017   500   501
  6.50%, 08/01/2016     890   950 2.30%, 03/12/2020   750   757
  6.88%, 04/25/2018     205   235 2.50%, 09/20/2018   200   206
  7.63%, 06/01/2019     300   362 Cooperatieve Centrale Raiffeisen-        
  Bank of America NA           Boerenleenbank BA/Netherlands        
  1.13%, 11/14/2016     300   300 3.38%, 01/19/2017   128   133
  1.25%, 02/14/2017     350   351 3.88%, 02/08/2022   328   353
  6.10%, 06/15/2017     1,000   1,096 3.95%, 11/09/2022   300   311
  Bank of Montreal           4.50%, 01/11/2021   51   57
  1.30%, 07/14/2017     750   752 5.25%, 05/24/2041   500   607

 

See accompanying notes.

30

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Banks (continued)         Banks (continued)        
Cooperatieve Centrale Raiffeisen-         KFW        
Boerenleenbank BA/NY         0.50%, 09/15/2016 $ 500 $ 500
2.25%, 01/14/2020 $ 300 $ 303 0.63%, 12/15/2016   2,250   2,251
Credit Suisse Group Funding Guernsey Ltd         0.75%, 03/17/2017   1,350   1,351
3.75%, 03/26/2025(c)   750   759 1.00%, 01/26/2018   500   501
Credit Suisse/New York NY         1.25%, 02/15/2017   257   260
1.38%, 05/26/2017   1,300   1,302 1.75%, 10/15/2019   750   761
3.63%, 09/09/2024   400   413 1.88%, 04/01/2019   250   255
5.40%, 01/14/2020   200   225 2.63%, 01/25/2022   1,257   1,326
Deutsche Bank AG/London         2.75%, 09/08/2020   300   318
1.40%, 02/13/2017   500   500 4.00%, 01/27/2020   847   946
1.88%, 02/13/2018   200   200 4.38%, 03/15/2018   295   324
6.00%, 09/01/2017   344   379 4.50%, 07/16/2018   102   113
Discover Bank/Greenwood DE         4.88%, 01/17/2017   500   537
2.00%, 02/21/2018   200   200 4.88%, 06/17/2019   282   322
4.25%, 03/13/2026   500   530 Korea Development Bank/The        
Fifth Third Bancorp         2.50%, 03/11/2020   500   509
5.45%, 01/15/2017   51   55 2.88%, 08/22/2018   350   361
8.25%, 03/01/2038   385   578 Landwirtschaftliche Rentenbank        
Goldman Sachs Group Inc/The         0.88%, 09/12/2017   200   200
3.50%, 01/23/2025   1,000   1,018 1.75%, 04/15/2019   350   356
4.00%, 03/03/2024   500   528 2.00%, 01/13/2025   300   299
5.25%, 07/27/2021   502   571 2.38%, 09/13/2017   200   207
5.38%, 03/15/2020   500   567 5.00%, 11/08/2016   102   109
5.63%, 01/15/2017   282   302 Lloyds Bank PLC        
5.75%, 01/24/2022   228   266 1.75%, 03/16/2018   750   754
6.13%, 02/15/2033   750   957 2.35%, 09/05/2019   400   405
6.15%, 04/01/2018   821   923 6.38%, 01/21/2021   51   62
6.25%, 02/01/2041   700   912 Manufacturers & Traders Trust Co        
6.45%, 05/01/2036   351   439 2.10%, 02/06/2020   200   200
HSBC Holdings PLC         Morgan Stanley        
4.00%, 03/30/2022   128   138 3.75%, 02/25/2023   200   209
4.25%, 03/14/2024   500   525 3.80%, 04/29/2016   278   286
5.10%, 04/05/2021   228   260 4.75%, 03/22/2017   400   426
6.10%, 01/14/2042   154   204 5.00%, 11/24/2025   500   552
6.50%, 05/02/2036   400   506 5.63%, 09/23/2019   1,321   1,504
6.50%, 09/15/2037   500   638 5.75%, 10/18/2016   590   629
HSBC USA Inc         5.75%, 01/25/2021   1,050   1,226
1.50%, 11/13/2017   400   402 6.25%, 08/28/2017   375   414
1.63%, 01/16/2018   300   300 6.38%, 07/24/2042   600   800
2.63%, 09/24/2018   200   206 7.25%, 04/01/2032   1,165   1,623
Industrial & Commercial Bank of China         MUFG Capital Finance 1 Ltd        
Ltd/New York         6.35%, 07/29/2049(a)   1,000   1,053
2.35%, 11/13/2017   400   403 MUFG Union Bank NA        
Intesa Sanpaolo SpA         2.25%, 05/06/2019   400   405
2.38%, 01/13/2017   500   506 National Australia Bank Ltd/New York        
JP Morgan Chase & Co         1.30%, 07/25/2016   400   403
1.35%, 02/15/2017   350   351 2.30%, 07/25/2018   400   409
1.63%, 05/15/2018   300   299 Northern Trust Corp        
3.13%, 01/23/2025   1,000   1,003 3.95%, 10/30/2025   500   537
3.20%, 01/25/2023   1,000   1,017 Oesterreichische Kontrollbank AG        
3.25%, 09/23/2022   300   307 1.38%, 02/10/2020   250   249
3.38%, 05/01/2023   400   403 2.00%, 06/03/2016   400   407
3.88%, 09/10/2024   500   513 PNC Bank NA        
4.40%, 07/22/2020   162   178 1.30%, 10/03/2016   350   352
4.50%, 01/24/2022   257   284 2.25%, 07/02/2019   1,000   1,014
4.63%, 05/10/2021   257   287 3.80%, 07/25/2023   400   424
4.95%, 03/25/2020   57   64 PNC Funding Corp        
5.40%, 01/06/2042   102   122 2.70%, 09/19/2016   228   233
5.60%, 07/15/2041   154   188 4.38%, 08/11/2020   51   57
5.63%, 08/16/2043   350   420 5.13%, 02/08/2020   25   29
6.30%, 04/23/2019   800   929 5.63%, 02/01/2017   102   110
6.40%, 05/15/2038   200   268 6.70%, 06/10/2019   25   30
JP Morgan Chase Bank NA         Royal Bank of Canada        
6.00%, 10/01/2017   1,000   1,107 1.25%, 06/16/2017   400   401
KeyBank NA/Cleveland OH         2.15%, 03/06/2020   750   755
2.25%, 03/16/2020   200   201 2.20%, 07/27/2018   400   408
2.50%, 12/15/2019   500   510 2.88%, 04/19/2016   251   256
KeyCorp         Royal Bank of Scotland PLC/The        
5.10%, 03/24/2021   102   116 5.63%, 08/24/2020   167   194

 

See accompanying notes.

31

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Banks (continued)         Beverages (continued)        
Santander Bank NA         Coca-Cola Co/The (continued)        
2.00%, 01/12/2018 $ 300 $ 301 1.65%, 03/14/2018 $ 200 $ 203
Societe Generale SA         1.80%, 09/01/2016   77   78
2.63%, 10/01/2018   300   308 3.15%, 11/15/2020   528   561
State Street Corp         Coca-Cola Femsa SAB de CV        
3.10%, 05/15/2023   300   303 2.38%, 11/26/2018   400   409
5.38%, 04/30/2017   18   20 Diageo Capital PLC        
Sumitomo Mitsui Banking Corp         1.50%, 05/11/2017   200   202
1.45%, 07/19/2016   300   302 4.83%, 07/15/2020   51   58
1.75%, 01/16/2018   300   301 5.88%, 09/30/2036   219   280
2.50%, 07/19/2018   300   307 Diageo Investment Corp        
3.20%, 07/18/2022   100   102 2.88%, 05/11/2022   200   204
SunTrust Bank/Atlanta GA         Dr Pepper Snapple Group Inc        
2.75%, 05/01/2023   200   199 2.60%, 01/15/2019   277   284
SunTrust Banks Inc         Pepsi Bottling Group Inc/The        
3.60%, 04/15/2016   102   105 7.00%, 03/01/2029   300   421
Svenska Handelsbanken AB         PepsiCo Inc        
2.25%, 06/17/2019   500   507 2.50%, 05/10/2016   51   52
Toronto-Dominion Bank/The         2.75%, 03/05/2022   128   131
1.13%, 05/02/2017   215   216 3.13%, 11/01/2020   128   136
1.63%, 03/13/2018   750   756 4.25%, 10/22/2044   500   533
2.38%, 10/19/2016   180   185 4.50%, 01/15/2020   51   57
2.63%, 09/10/2018   350   362 4.88%, 11/01/2040   128   148
UBS AG/Stamford CT         5.00%, 06/01/2018   300   332
1.38%, 08/14/2017   500   500 5.50%, 01/15/2040   51   64
4.88%, 08/04/2020   200   227 7.90%, 11/01/2018   158   192
5.88%, 12/20/2017   150   167     $   7,809
US Bancorp/MN                  
1.65%, 05/15/2017   205   208 Biotechnology - 0.29%        
2.95%, 07/15/2022   200   203 Amgen Inc        
3.00%, 03/15/2022   128   133 1.25%, 05/22/2017   1,000   999
4.13%, 05/24/2021   77   85 2.13%, 05/15/2017   85   87
US Bank NA/Cincinnati OH         2.50%, 11/15/2016   600   614
1.10%, 01/30/2017   500   502 4.10%, 06/15/2021   501   543
Wachovia Corp         5.15%, 11/15/2041   77   89
5.75%, 02/01/2018   280   313 5.38%, 05/15/2043   600   716
Wells Fargo & Co         5.70%, 02/01/2019   12   14
1.15%, 06/02/2017   650   650 5.75%, 03/15/2040   25   30
1.25%, 07/20/2016   510   513 5.85%, 06/01/2017   279   306
1.50%, 01/16/2018   300   301 6.40%, 02/01/2039   262   340
2.10%, 05/08/2017   450   460 6.90%, 06/01/2038   90   124
2.13%, 04/22/2019   1,000   1,012 Celgene Corp        
3.45%, 02/13/2023   200   205 2.30%, 08/15/2018   110   112
3.50%, 03/08/2022   180   191 4.63%, 05/15/2044   350   372
3.68%, 06/15/2016(a)   377   390 Gilead Sciences Inc        
4.60%, 04/01/2021   102   115 4.40%, 12/01/2021   77   86
5.38%, 02/07/2035   500   613 4.50%, 02/01/2045   300   331
Wells Fargo Bank NA         4.80%, 04/01/2044   500   576
5.95%, 08/26/2036   750   970     $   5,339
6.60%, 01/15/2038   250   353 Building Materials - 0.06%        
Wells Fargo Capital X         Owens Corning        
5.95%, 12/15/2036   200   207 4.20%, 12/15/2022   1,000   1,044
Westpac Banking Corp                  
1.20%, 05/19/2017   500   501          
4.88%, 11/19/2019   225   253 Chemicals - 0.48%        
    $   100,834 Airgas Inc        
          2.38%, 02/15/2020   200   200
Beverages - 0.43%         2.95%, 06/15/2016   77   79
Anheuser-Busch Cos LLC         Albemarle Corp        
5.50%, 01/15/2018   90   100 5.45%, 12/01/2044   150   162
6.50%, 02/01/2043   500   694 CF Industries Inc        
Anheuser-Busch InBev Worldwide Inc         5.15%, 03/15/2034   500   548
2.50%, 07/15/2022   300   296 6.88%, 05/01/2018   100   114
3.75%, 07/15/2042   100   98 7.13%, 05/01/2020   100   120
5.00%, 04/15/2020   38   43 Dow Chemical Co/The        
5.38%, 01/15/2020   68   78 4.13%, 11/15/2021   201   218
6.38%, 01/15/2040   251   329 4.38%, 11/15/2042   200   201
6.88%, 11/15/2019   551   668 7.38%, 11/01/2029   350   475
7.75%, 01/15/2019   478   578 8.55%, 05/15/2019   144   180
8.20%, 01/15/2039   51   80 9.40%, 05/15/2039   51   84
Coca-Cola Co/The         Eastman Chemical Co        
1.15%, 04/01/2018   500   500 2.70%, 01/15/2020   400   406

 

See accompanying notes.

32

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal       Principal    
BONDS (continued) Amount (000's) Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
Chemicals (continued)         Computers (continued)        
Eastman Chemical Co (continued)       EMC Corp/MA        
3.60%, 08/15/2022 $ 100 $ 104 1.88%, 06/01/2018 $ 500 $ 506
4.50%, 01/15/2021   51   56 Hewlett-Packard Co        
4.80%, 09/01/2042   100   104 2.60%, 09/15/2017   154   158
Ecolab Inc         2.65%, 06/01/2016   200   204
1.45%, 12/08/2017   300   300 3.00%, 09/15/2016   128   131
4.35%, 12/08/2021   102   112 3.75%, 12/01/2020   750   788
5.50%, 12/08/2041   307   374 4.65%, 12/09/2021   180   197
EI du Pont de Nemours & Co       6.00%, 09/15/2041   154   171
2.75%, 04/01/2016   77   79 International Business Machines Corp        
2.80%, 02/15/2023   200   200 0.45%, 05/06/2016   200   200
4.15%, 02/15/2043   100   103 1.25%, 02/08/2018   500   502
4.25%, 04/01/2021   177   195 1.63%, 05/15/2020   700   691
4.63%, 01/15/2020   25   28 5.60%, 11/30/2039   92   113
6.00%, 07/15/2018   200   228 5.70%, 09/14/2017   180   200
LyondellBasell Industries NV       5.88%, 11/29/2032   200   254
5.00%, 04/15/2019   300   331 6.22%, 08/01/2027   351   453
5.75%, 04/15/2024   100   118 Seagate HDD Cayman        
Methanex Corp         4.75%, 06/01/2023   500   525
3.25%, 12/15/2019   300   307     $   8,381
Monsanto Co                  
1.85%, 11/15/2018   280   283 Consumer Products - 0.04%        
4.20%, 07/15/2034   448   480 Avery Dennison Corp        
5.88%, 04/15/2038   317   398 5.38%, 04/15/2020   25   28
Mosaic Co/The         Clorox Co/The        
4.25%, 11/15/2023   146   156 3.80%, 11/15/2021   128   138
Potash Corp of Saskatchewan Inc       Kimberly-Clark Corp        
3.63%, 03/15/2024   500   527 2.40%, 03/01/2022   257   257
4.88%, 03/30/2020   51   57 2.40%, 06/01/2023   150   148
PPG Industries Inc         3.70%, 06/01/2043   150   153
3.60%, 11/15/2020   251   265 7.50%, 11/01/2018   18   22
Praxair Inc             $   746
2.20%, 08/15/2022   300   292 Cosmetics & Personal Care - 0.09%        
Rockwood Specialties Group Inc       Colgate-Palmolive Co        
4.63%, 10/15/2020   300   312 2.95%, 11/01/2020   154   162
Sigma-Aldrich Corp         Procter & Gamble Co/The        
3.38%, 11/01/2020   330   345 2.30%, 02/06/2022   411   416
Valspar Corp/The         3.10%, 08/15/2023   350   368
4.40%, 02/01/2045   300   302 4.70%, 02/15/2019   177   198
    $   8,843 5.50%, 02/01/2034   350   457
Commercial Services - 0.14%           $   1,601
CDK Global Inc         Credit Card Asset Backed Securities - 0.26%      
3.30%, 10/15/2019(c)   500   504 Capital One Multi-Asset Execution Trust        
Lender Processing Services Inc / Black Knight       5.75%, 07/15/2020   476   528
Lending Solutions Inc         Chase Issuance Trust        
5.75%, 04/15/2023   300   318 0.54%, 10/16/2017(a)   650   650
Massachusetts Institute of Technology       Citibank Credit Card Issuance Trust        
4.68%, 07/01/2114   250   298 1.02%, 02/22/2019(a)   600   600
MasterCard Inc         1.11%, 07/23/2018   500   502
2.00%, 04/01/2019   300   306 2.68%, 06/07/2023(a)   1,000   1,026
McGraw Hill Financial Inc       2.88%, 01/23/2023   500   520
6.55%, 11/15/2037   51   57 Discover Card Execution Note Trust        
Moody's Corp         0.69%, 08/15/2018   1,000   1,000
5.25%, 07/15/2044   500   568     $   4,826
Western Union Co/The                  
5.25%, 04/01/2020   25   28 Diversified Financial Services - 0.97%        
Yale University         Air Lease Corp        
2.09%, 04/15/2019   400   409 3.38%, 01/15/2019   400   408
    $   2,488 American Express Co        
          2.65%, 12/02/2022   400   398
Computers - 0.46%         3.63%, 12/05/2024   500   513
Apple Inc         6.15%, 08/28/2017   128   142
1.00%, 05/03/2018   300   298 7.00%, 03/19/2018   282   326
1.05%, 05/05/2017   1,000   1,005 American Express Credit Corp        
2.40%, 05/03/2023   300   296 1.55%, 09/22/2017   400   403
2.85%, 05/06/2021   500   521 2.25%, 08/15/2019   500   507
3.45%, 05/06/2024   400   425 2.80%, 09/19/2016   435   447
3.85%, 05/04/2043   300   305 Ameriprise Financial Inc        
Computer Sciences Corp       4.00%, 10/15/2023   200   216
4.45%, 09/15/2022   100   104 7.30%, 06/28/2019   600   725
6.50%, 03/15/2018   302   334          

 

See accompanying notes.

33

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Diversified Financial Services (continued)         Electric (continued)        
Bear Stearns Cos LLC/The         Berkshire Hathaway Energy Co        
5.55%, 01/22/2017 $ 51 $ 55 2.00%, 11/15/2018 $ 750 $ 756
6.40%, 10/02/2017   328   366 3.75%, 11/15/2023   1,000   1,066
7.25%, 02/01/2018   444   511 6.13%, 04/01/2036   156   203
BlackRock Inc         CMS Energy Corp        
3.38%, 06/01/2022   200   210 5.05%, 03/15/2022   500   572
3.50%, 03/18/2024   500   529 Commonwealth Edison Co        
5.00%, 12/10/2019   25   28 4.00%, 08/01/2020   10   11
Capital One Bank USA NA         5.80%, 03/15/2018   212   239
1.15%, 11/21/2016   200   200 5.88%, 02/01/2033   300   393
2.30%, 06/05/2019   400   401 Consolidated Edison Co of New York Inc        
3.38%, 02/15/2023   300   304 4.20%, 03/15/2042   128   137
Charles Schwab Corp/The         5.50%, 12/01/2039   400   509
2.20%, 07/25/2018   300   306 5.85%, 03/15/2036   51   66
CME Group Inc/IL         6.65%, 04/01/2019   51   60
3.00%, 03/15/2025   500   505 6.75%, 04/01/2038   125   178
5.30%, 09/15/2043   200   247 Consumers Energy Co        
Countrywide Financial Corp         3.13%, 08/31/2024   500   517
6.25%, 05/15/2016   56   59 Dominion Resources Inc/VA        
Credit Suisse USA Inc         4.70%, 12/01/2044   300   334
7.13%, 07/15/2032   300   422 4.90%, 08/01/2041   77   87
GE Capital Trust I         DTE Electric Co        
6.38%, 11/15/2067   15   16 3.45%, 10/01/2020   405   432
General Electric Capital Corp         DTE Energy Co        
2.30%, 04/27/2017   257   264 3.50%, 06/01/2024   500   519
2.30%, 01/14/2019   500   512 Duke Energy Carolinas LLC        
4.63%, 01/07/2021   77   87 3.75%, 06/01/2045   500   514
5.30%, 02/11/2021   308   356 3.90%, 06/15/2021   410   452
5.38%, 10/20/2016   554   592 4.00%, 09/30/2042   100   106
5.50%, 01/08/2020   295   342 5.30%, 02/15/2040   12   15
5.63%, 09/15/2017   154   170 Duke Energy Corp        
5.63%, 05/01/2018   300   337 3.75%, 04/15/2024   500   535
5.88%, 01/14/2038   266   344 Duke Energy Florida Inc        
6.00%, 08/07/2019   181   211 4.55%, 04/01/2020   77   86
6.15%, 08/07/2037   155   206 5.65%, 06/15/2018   128   145
6.38%, 11/15/2067(a)   300   326 5.65%, 04/01/2040   25   33
6.75%, 03/15/2032   881   1,219 6.40%, 06/15/2038   66   94
6.88%, 01/10/2039   1,000   1,439 Duke Energy Indiana Inc        
HSBC Finance Corp         3.75%, 07/15/2020   37   40
6.68%, 01/15/2021   349   414 4.20%, 03/15/2042   128   139
Jefferies Group LLC         6.12%, 10/15/2035   77   103
6.50%, 01/20/2043   200   199 6.45%, 04/01/2039   300   429
6.88%, 04/15/2021   27   31 Duke Energy Ohio Inc        
8.50%, 07/15/2019   12   14 5.45%, 04/01/2019   128   146
Murray Street Investment Trust I         Duke Energy Progress Inc        
4.65%, 03/09/2017(a)   257   272 4.15%, 12/01/2044   300   328
NASDAQ OMX Group Inc/The         Entergy Arkansas Inc        
4.25%, 06/01/2024   350   368 3.70%, 06/01/2024   500   535
National Rural Utilities Cooperative Finance         3.75%, 02/15/2021   25   27
Corp         Entergy Corp        
3.05%, 02/15/2022   102   105 4.70%, 01/15/2017   128   135
5.45%, 04/10/2017   400   435 5.13%, 09/15/2020   89   99
10.38%, 11/01/2018   218   282 Exelon Generation Co LLC        
Nomura Holdings Inc         5.20%, 10/01/2019   102   114
2.75%, 03/19/2019   500   512 6.25%, 10/01/2039   344   416
6.70%, 03/04/2020   129   154 FirstEnergy Solutions Corp        
Synchrony Financial         6.80%, 08/15/2039   101   108
4.25%, 08/15/2024   300   314 Florida Power & Light Co        
    $   17,749 4.05%, 10/01/2044   500   543
          5.13%, 06/01/2041   154   193
Electric - 1.76%         5.63%, 04/01/2034   25   32
Ameren Illinois Co         5.69%, 03/01/2040   48   64
2.70%, 09/01/2022   300   304 Georgia Power Co        
Appalachian Power Co         3.00%, 04/15/2016   77   79
6.70%, 08/15/2037   277   380 4.25%, 12/01/2019   77   85
7.00%, 04/01/2038   120   171 4.30%, 03/15/2042   228   247
Arizona Public Service Co         Great Plains Energy Inc        
3.35%, 06/15/2024   200   211 4.85%, 06/01/2021   77   86
4.50%, 04/01/2042   77   87 Hydro-Quebec        
Baltimore Gas & Electric Co         1.38%, 06/19/2017   300   303
5.90%, 10/01/2016   69   74 8.05%, 07/07/2024   102   145

 

See accompanying notes.

34

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal       Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
Electric (continued)         Electric (continued)        
Iberdrola International BV         Public Service Co of New Mexico        
6.75%, 07/15/2036 $ 128 $ 168 7.95%, 05/15/2018 $ 154 $ 181
Interstate Power & Light Co         Public Service Electric & Gas Co        
3.25%, 12/01/2024   400   411 3.50%, 08/15/2020   73   78
LG&E and KU Energy LLC         3.65%, 09/01/2042   200   204
3.75%, 11/15/2020   77   81 Puget Sound Energy Inc        
Louisville Gas & Electric Co         4.43%, 11/15/2041   77   87
5.13%, 11/15/2040   51   65 5.80%, 03/15/2040   351   471
MidAmerican Energy Co         San Diego Gas & Electric Co        
3.50%, 10/15/2024   750   801 1.91%, 02/01/2022   500   503
Mississippi Power Co         5.35%, 05/15/2040   84   109
4.25%, 03/15/2042   100   103 South Carolina Electric & Gas Co        
Nevada Power Co         5.45%, 02/01/2041   77   96
5.45%, 05/15/2041   150   191 Southern California Edison Co        
6.50%, 05/15/2018   77   88 1.13%, 05/01/2017   250   251
6.65%, 04/01/2036   400   565 2.40%, 02/01/2022   300   301
7.13%, 03/15/2019   12   14 4.05%, 03/15/2042   318   341
NextEra Energy Capital Holdings Inc         5.50%, 03/15/2040   102   132
4.50%, 06/01/2021   351   388 5.95%, 02/01/2038   117   157
NiSource Finance Corp         Southern Co/The        
5.25%, 09/15/2017   70   77 2.15%, 09/01/2019   500   503
5.95%, 06/15/2041   525   676 Southern Power Co        
6.40%, 03/15/2018   215   244 5.25%, 07/15/2043   200   233
Northern States Power Co/MN         Southwestern Electric Power Co        
5.25%, 03/01/2018   41   46 6.20%, 03/15/2040   51   68
5.35%, 11/01/2039   82   106 6.45%, 01/15/2019   125   146
NorthWestern Corp         Tampa Electric Co        
4.18%, 11/15/2044   300   327 4.35%, 05/15/2044   200   223
NSTAR Electric Co         TransAlta Corp        
2.38%, 10/15/2022   750   739 6.50%, 03/15/2040   25   25
Oglethorpe Power Corp         Union Electric Co        
4.20%, 12/01/2042   250   255 3.50%, 04/15/2024   500   537
Ohio Edison Co         6.40%, 06/15/2017   77   85
8.25%, 10/15/2038   119   195 Virginia Electric & Power Co        
Ohio Power Co         2.75%, 03/15/2023   500   506
6.00%, 06/01/2016   181   191 4.65%, 08/15/2043   250   291
Oklahoma Gas & Electric Co         6.00%, 05/15/2037   77   103
4.00%, 12/15/2044   200   212 8.88%, 11/15/2038   10   17
Oncor Electric Delivery Co LLC         Westar Energy Inc        
5.00%, 09/30/2017   400   437 5.10%, 07/15/2020   167   191
5.25%, 09/30/2040   51   62 Wisconsin Power & Light Co        
6.80%, 09/01/2018   374   437 4.10%, 10/15/2044   400   434
7.25%, 01/15/2033   300   433     $   32,102
Pacific Gas & Electric Co                  
3.25%, 06/15/2023   1,000   1,034 Electrical Components & Equipment - 0.01%      
3.50%, 10/01/2020   25   26 Emerson Electric Co        
4.45%, 04/15/2042   102   112 2.63%, 02/15/2023   100   101
5.40%, 01/15/2040   128   158 4.88%, 10/15/2019   25   28
6.05%, 03/01/2034   452   591     $   129
PacifiCorp         Electronics - 0.16%        
5.65%, 07/15/2018   70   79 Arrow Electronics Inc        
6.25%, 10/15/2037   92   126 3.00%, 03/01/2018   300   308
PECO Energy Co         4.50%, 03/01/2023   200   209
2.38%, 09/15/2022   100   99 Corning Inc        
4.80%, 10/15/2043   250   297 4.75%, 03/15/2042   102   111
PPL Capital Funding Inc         Honeywell International Inc        
3.40%, 06/01/2023   300   311 3.35%, 12/01/2023   265   280
4.70%, 06/01/2043   100   111 5.30%, 03/01/2018   128   143
PPL Electric Utilities Corp         5.38%, 03/01/2041   77   99
2.50%, 09/01/2022   200   199 5.70%, 03/15/2037   12   16
Progress Energy Inc         Jabil Circuit Inc        
3.15%, 04/01/2022   128   132 4.70%, 09/15/2022   100   103
7.75%, 03/01/2031   136   197 Keysight Technologies Inc        
PSEG Power LLC         3.30%, 10/30/2019(c)   500   504
2.45%, 11/15/2018   180   182 Koninklijke Philips NV        
2.75%, 09/15/2016   77   79 5.00%, 03/15/2042   128   143
5.13%, 04/15/2020   300   336 5.75%, 03/11/2018   10   11
Public Service Co of Colorado         Thermo Fisher Scientific Inc        
3.95%, 03/15/2043   100   109 1.85%, 01/15/2018   476   478
4.75%, 08/15/2041   550   657 2.40%, 02/01/2019   500   507

 

See accompanying notes.

35

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued) Amount (000's) Value (000's)   BONDS (continued)   Amount (000's) Value (000's)
 
Electronics (continued)           Finance - Mortgage Loan/Banker (continued)      
Thermo Fisher Scientific Inc (continued)         Federal Home Loan Banks   (continued)      
4.70%, 05/01/2020 $ 51 $ 56   1.38%, 03/09/2018   $ 1,000 $ 1,012
    $   2,968   1.50%, 02/28/2017     1,000   1,005
            1.63%, 04/28/2017     100   100
Engineering & Construction - 0.00%         1.63%, 06/14/2019     500   506
ABB Finance USA Inc           1.75%, 12/14/2018     2,000   2,041
2.88%, 05/08/2022   100   102   4.75%, 12/16/2016     60   64
            4.88%, 05/17/2017     320   348
Environmental Control - 0.08%         5.00%, 11/17/2017     690   764
Republic Services Inc           5.38%, 05/18/2016     575   607
4.75%, 05/15/2023   51   57   5.38%, 09/30/2022     500   614
5.25%, 11/15/2021   200   230   5.50%, 07/15/2036     180   252
5.50%, 09/15/2019   104   118   5.63%, 06/11/2021     150   184
6.20%, 03/01/2040   809   1,074   Freddie Mac          
    $   1,479   0.50%, 05/13/2016     1,000   1,001
            0.50%, 01/27/2017     1,000   998
Federal & Federally Sponsored Credit - 0.01%         0.75%, 01/12/2018     500   499
Federal Farm Credit Banks           0.88%, 10/14/2016     1,000   1,006
0.54%, 11/07/2016   200   200   0.88%, 02/22/2017     1,000   1,005
            0.88%, 03/07/2018     500   499
Finance - Mortgage Loan/Banker - 3.26%         0.90%, 01/09/2017     500   500
Fannie Mae           1.00%, 03/08/2017     1,500   1,511
0.00%, 06/01/2017(d)   154   151   1.00%, 07/28/2017     750   756
0.00%, 10/09/2019(d)   1,390   1,277   1.00%, 09/29/2017     1,200   1,204
0.63%, 08/26/2016   1,000   1,003   1.02%, 04/30/2018     775   771
0.75%, 04/20/2017   1,500   1,503   1.20%, 06/12/2018     640   639
0.88%, 08/28/2017   500   501   1.25%, 05/12/2017     257   260
0.88%, 10/26/2017   1,000   1,001   1.25%, 12/05/2017     1,800   1,802
0.88%, 12/20/2017   800   800   1.25%, 08/01/2019     500   499
0.88%, 12/27/2017   450   450   1.25%, 10/02/2019     1,000   992
0.88%, 02/08/2018   1,000   999   1.38%, 05/01/2020     1,000   993
0.88%, 05/21/2018   1,500   1,496   1.40%, 08/22/2019     500   500
0.95%, 08/23/2017   700   699   2.00%, 08/25/2016     500   511
1.00%, 09/27/2017   300   301   2.38%, 01/13/2022     1,257   1,300
1.00%, 12/28/2017   500   499   2.50%, 05/27/2016     180   184
1.00%, 04/30/2018   575   572   3.00%, 01/18/2028     205   201
1.07%, 07/28/2017   675   678   3.75%, 03/27/2019     1,052   1,154
1.07%, 09/27/2017   300   299   4.88%, 06/13/2018     212   238
1.13%, 04/27/2017   500   504   5.00%, 02/16/2017     102   110
1.13%, 03/28/2018   200   199   5.00%, 04/18/2017     257   280
1.15%, 02/28/2018   400   399   5.13%, 10/18/2016     500   536
1.25%, 09/28/2016   321   325   5.13%, 11/17/2017     180   200
1.25%, 01/30/2017   1,192   1,206   5.25%, 04/18/2016     180   189
1.38%, 11/15/2016   257   261   5.50%, 07/18/2016     321   342
1.55%, 10/29/2019   250   249   5.50%, 08/23/2017     231   257
1.63%, 11/27/2018   750   762   6.25%, 07/15/2032     231   343
1.63%, 01/21/2020   1,000   1,007   6.75%, 03/15/2031     577   881
1.75%, 09/12/2019   300   305         $   59,512
1.75%, 11/26/2019   750   761 Food - 0.51 %        
1.88%, 09/18/2018   1,300   1,333   Campbell Soup Co          
2.38%, 04/11/2016   180   184   3.05%, 07/15/2017     128   133
2.63%, 09/06/2024   750   777   3.30%, 03/19/2025     300   305
5.00%, 02/13/2017   64   69   4.25%, 04/15/2021     51   56
5.00%, 05/11/2017   64   70   ConAgra Foods Inc          
5.25%, 09/15/2016   701   749   3.20%, 01/25/2023     724   713
5.38%, 06/12/2017   321   353   3.25%, 09/15/2022     100   100
5.63%, 07/15/2037   200   287   4.65%, 01/25/2043     66   66
6.00%, 04/18/2036   51   54   Delhaize Group SA          
6.63%, 11/15/2030   602   906   5.70%, 10/01/2040     102   113
7.13%, 01/15/2030   199   309   General Mills Inc          
7.25%, 05/15/2030   780   1,237   3.15%, 12/15/2021     77   80
Federal Home Loan Banks           5.65%, 02/15/2019     75   85
0.38%, 06/24/2016   800   800   5.70%, 02/15/2017     500   542
0.50%, 09/28/2016   300   300   JM Smucker Co/The          
0.63%, 11/23/2016   750   751   1.75%, 03/15/2018(c)     300   302
0.63%, 12/28/2016   1,200   1,201   4.38%, 03/15/2045(c)     400   417
0.88%, 05/24/2017   250   251   Kellogg Co          
1.00%, 06/21/2017   500   503   1.75%, 05/17/2017     1,000   1,010
1.13%, 12/08/2017   750   754   4.00%, 12/15/2020     112   121
1.25%, 02/28/2018   260   260   4.15%, 11/15/2019     300   325
1.30%, 06/05/2018   500   499              

 

See accompanying notes.

36

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
        Principal           Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)     Amount (000's) Value (000's)
 
  Food (continued)           Healthcare - Products (continued)        
  Kraft Foods Group Inc           Becton Dickinson and Co (continued)        
  3.50%, 06/06/2022   $ 300 $ 311 5.00%, 11/12/2040   $ 51 $ 58
  5.00%, 06/04/2042     200   221 Boston Scientific Corp          
  5.38%, 02/10/2020     95   108 4.13%, 10/01/2023     350   371
  6.50%, 02/09/2040     75   97 6.00%, 01/15/2020     51   59
  6.88%, 01/26/2039     161   214 7.38%, 01/15/2040     51   69
  Kroger Co/The           Covidien International Finance SA        
  3.30%, 01/15/2021     321   334 6.00%, 10/15/2017     123   137
  3.40%, 04/15/2022     154   159 Medtronic Inc          
  5.15%, 08/01/2043     300   354 0.88%, 02/27/2017     250   250
  5.40%, 07/15/2040     25   30 2.50%, 03/15/2020(c)     350   358
  6.15%, 01/15/2020     12   14 2.75%, 04/01/2023     200   200
  6.40%, 08/15/2017     18   20 3.15%, 03/15/2022(c)     500   519
  7.50%, 04/01/2031     400   545 3.50%, 03/15/2025(c)     600   627
  Mondelez International Inc           4.00%, 04/01/2043     150   155
  6.50%, 02/09/2040     139   191 4.45%, 03/15/2020     102   113
  Sysco Corp           4.63%, 03/15/2045(c)     600   680
  3.00%, 10/02/2021     1,000   1,033 St Jude Medical Inc          
  Tyson Foods Inc           3.25%, 04/15/2023     600   614
  2.65%, 08/15/2019     350   358 Stryker Corp          
  5.15%, 08/15/2044     350   407 4.10%, 04/01/2043     200   205
  Unilever Capital Corp           4.38%, 01/15/2020     25   28
  2.20%, 03/06/2019     250   255 4.38%, 05/15/2044     200   210
  5.90%, 11/15/2032     230   321 Zimmer Holdings Inc          
        $   9,340 1.45%, 04/01/2017     300   301
              4.45%, 08/15/2045     300   311
  Forest Products & Paper - 0.07%                 $   6,714
  Georgia-Pacific LLC                      
  7.75%, 11/15/2029     51   72 Healthcare - Services - 0.40%        
  8.00%, 01/15/2024     228   302 Aetna Inc          
  International Paper Co           1.50%, 11/15/2017     100   101
  4.75%, 02/15/2022     500   553 4.13%, 06/01/2021     102   111
  7.30%, 11/15/2039     25   33 4.13%, 11/15/2042     100   105
  7.50%, 08/15/2021     136   171 6.63%, 06/15/2036     105   142
  9.38%, 05/15/2019     61   78 6.75%, 12/15/2037     112   156
  Plum Creek Timberlands LP           Anthem Inc          
  4.70%, 03/15/2021     51   56 2.30%, 07/15/2018     500   507
        $   1,265 3.30%, 01/15/2023     300   305
              4.65%, 01/15/2043     100   108
Gas - 0.20 %         4.85%, 08/15/2054     500   553
  Atmos Energy Corp           5.85%, 01/15/2036     250   304
  4.13%, 10/15/2044     400   427 Cigna Corp          
  CenterPoint Energy Inc           2.75%, 11/15/2016     628   647
  6.50%, 05/01/2018     77   88 5.38%, 02/15/2042     128   158
  Dominion Gas Holdings LLC           Coventry Health Care Inc          
  1.05%, 11/01/2016     500   501 5.45%, 06/15/2021     500   583
  4.60%, 12/15/2044     350   378 Dignity Health          
  ONE Gas Inc           2.64%, 11/01/2019     500   510
  2.07%, 02/01/2019     500   507 Howard Hughes Medical Institute        
  Piedmont Natural Gas Co Inc           3.50%, 09/01/2023     400   426
  4.10%, 09/18/2034     500   549 Humana Inc          
  Sempra Energy           4.95%, 10/01/2044     300   330
  6.00%, 10/15/2039     112   144 Memorial Sloan-Kettering Cancer Center        
  6.15%, 06/15/2018     120   137 4.20%, 07/01/2055     250   253
  Southern California Gas Co           Quest Diagnostics Inc          
  3.15%, 09/15/2024     500   520 4.70%, 04/01/2021     102   113
  4.45%, 03/15/2044     400   462 4.75%, 01/30/2020     3   3
        $   3,713 UnitedHealth Group Inc          
  Hand & Machine Tools - 0.01%           1.40%, 10/15/2017     400   404
  Stanley Black & Decker Inc           2.88%, 03/15/2022     180   183
  2.90%, 11/01/2022     200   203 4.38%, 03/15/2042     750   826
              4.70%, 02/15/2021     90   103
              6.50%, 06/15/2037     77   108
  Healthcare - Products - 0.37%           6.88%, 02/15/2038     141   203
  Baxter International Inc                 $   7,242
  1.85%, 06/15/2018     500   503            
  2.40%, 08/15/2022     250   241 Holding Companies - Diversified - 0.02%        
  4.25%, 03/15/2020     51   56 Brixmor Operating Partnership LP        
  5.90%, 09/01/2016     18   19 3.85%, 02/01/2025     300   300
  Becton Dickinson and Co                      
  2.68%, 12/15/2019     350   358            
  4.69%, 12/15/2044     250   272            

 

See accompanying notes.

37

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Home Furnishings - 0.00%         Insurance (continued)        
Whirlpool Corp         MetLife Inc (continued)        
4.85%, 06/15/2021 $ 77 $ 86 7.72%, 02/15/2019 $ 225 $ 273
          PartnerRe Finance B LLC        
          5.50%, 06/01/2020   115   131
Housewares - 0.02%         Progressive Corp/The        
Newell Rubbermaid Inc                  
2.88%, 12/01/2019   400   408 3.75%, 08/23/2021   277   301
          4.35%, 04/25/2044   200   221
          Protective Life Corp        
Insurance - 0.89%         8.45%, 10/15/2039   51   77
ACE INA Holdings Inc         Prudential Financial Inc        
6.70%, 05/15/2036   250   357 3.50%, 05/15/2024   700   717
Aflac Inc         4.50%, 11/16/2021   128   142
3.63%, 11/15/2024   200   210 5.70%, 12/14/2036   25   30
6.45%, 08/15/2040   132   174 5.80%, 11/16/2041   51   62
8.50%, 05/15/2019   12   15 5.88%, 09/15/2042(a)   100   109
Allstate Corp/The         6.00%, 12/01/2017   577   644
5.55%, 05/09/2035   200   255 6.63%, 12/01/2037   126   167
American International Group Inc         7.38%, 06/15/2019   350   424
4.88%, 06/01/2022   250   284 Reinsurance Group of America Inc        
5.60%, 10/18/2016   577   615 4.70%, 09/15/2023   200   218
5.85%, 01/16/2018   154   172 Travelers Cos Inc/The        
6.25%, 05/01/2036   500   652 5.90%, 06/02/2019   350   407
6.40%, 12/15/2020   89   108 6.25%, 06/15/2037   12   17
6.82%, 11/15/2037   250   344 6.75%, 06/20/2036   51   73
Aon Corp         Unum Group        
5.00%, 09/30/2020   128   144 7.13%, 09/30/2016   77   83
Aon PLC         Validus Holdings Ltd        
4.45%, 05/24/2043   300   312 8.88%, 01/26/2040   51   72
Arch Capital Group US Inc         Voya Financial Inc        
5.14%, 11/01/2043   375   414 5.50%, 07/15/2022   350   404
AXA SA         WR Berkley Corp        
8.60%, 12/15/2030   38   53 6.25%, 02/15/2037   29   37
Berkshire Hathaway Finance Corp         XLIT Ltd        
1.30%, 05/15/2018   300   301 2.30%, 12/15/2018   350   356
2.00%, 08/15/2018   500   513 5.25%, 12/15/2043   400   465
4.25%, 01/15/2021   102   114     $   16,271
4.30%, 05/15/2043   300   327          
5.75%, 01/15/2040   115   151 Internet - 0.14%        
Berkshire Hathaway Inc         Amazon.com Inc        
1.90%, 01/31/2017   128   131 1.20%, 11/29/2017   100   100
3.40%, 01/31/2022   205   219 2.50%, 11/29/2022   100   98
Chubb Corp/The         2.60%, 12/05/2019   250   256
6.50%, 05/15/2038   10   14 4.95%, 12/05/2044   500   545
CNA Financial Corp         Baidu Inc        
5.75%, 08/15/2021   77   89 3.25%, 08/06/2018   500   518
Fidelity National Financial Inc         eBay Inc        
6.60%, 05/15/2017   51   56 2.60%, 07/15/2022   100   96
Hartford Financial Services Group Inc/The         4.00%, 07/15/2042   100   87
4.30%, 04/15/2043   250   265 Expedia Inc        
5.38%, 03/15/2017   177   190 7.46%, 08/15/2018   128   148
6.63%, 03/30/2040   25   34 Google Inc        
Lincoln National Corp         2.13%, 05/19/2016   51   52
4.00%, 09/01/2023   1,000   1,057 3.38%, 02/25/2024   500   531
6.15%, 04/07/2036   80   99 3.63%, 05/19/2021   51   55
7.00%, 06/15/2040   47   65     $   2,486
8.75%, 07/01/2019   141   177 Investment Companies - 0.01%        
Loews Corp         Prospect Capital Corp        
2.63%, 05/15/2023   200   195 5.00%, 07/15/2019   250   261
4.13%, 05/15/2043   200   197          
Markel Corp                  
5.00%, 03/30/2043   200   220 Iron & Steel - 0.13%        
Marsh & McLennan Cos Inc         Nucor Corp        
2.35%, 09/10/2019   400   406 5.75%, 12/01/2017   12   14
2.35%, 03/06/2020   300   302 Vale Overseas Ltd        
MetLife Inc         5.63%, 09/15/2019   546   580
3.00%, 03/01/2025   300   301 6.25%, 01/23/2017   351   372
3.60%, 04/10/2024   250   264 6.88%, 11/21/2036   1,367   1,322
4.37%, 09/15/2023(a)   200   222 8.25%, 01/17/2034   38   42
5.70%, 06/15/2035   164   208     $   2,330
6.40%, 12/15/2066(a)   288   341          
6.75%, 06/01/2016   257   274          

 

See accompanying notes.

38

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
      Principal         Principal    
  BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
  Lodging - 0.04%           Media (continued)        
  Marriott International Inc/MD           Grupo Televisa SAB        
  3.13%, 10/15/2021   $ 500 $ 514 6.00%, 05/15/2018 $ 500 $ 567
  Wyndham Worldwide Corp           6.63%, 03/18/2025   200   251
  3.90%, 03/01/2023     300   306 Historic TW Inc        
        $   820 6.88%, 06/15/2018   25   29
              NBCUniversal Media LLC        
  Machinery - Construction & Mining - 0.11%       4.38%, 04/01/2021   151   168
  Caterpillar Financial Services Corp           5.15%, 04/30/2020   75   86
  1.25%, 08/18/2017     500   503 5.95%, 04/01/2041   100   131
  1.63%, 06/01/2017     150   152 6.40%, 04/30/2040   251   343
  2.45%, 09/06/2018     200   206 Reed Elsevier Capital Inc        
  2.65%, 04/01/2016     77   79 3.13%, 10/15/2022   125   126
  7.05%, 10/01/2018     200   235 Thomson Reuters Corp        
  7.15%, 02/15/2019     113   136 0.88%, 05/23/2016   300   300
  Caterpillar Inc           3.95%, 09/30/2021   175   187
  3.80%, 08/15/2042     105   106 4.50%, 05/23/2043   300   307
  4.75%, 05/15/2064     350   384 5.85%, 04/15/2040   25   30
  6.05%, 08/15/2036     132   172 Time Warner Cable Inc        
        $   1,973 4.00%, 09/01/2021   180   193
  Machinery - Diversified - 0.18%           5.50%, 09/01/2041   300   345
  Deere & Co           5.85%, 05/01/2017   51   55
  4.38%, 10/16/2019     56   62 6.55%, 05/01/2037   151   190
  John Deere Capital Corp           6.75%, 07/01/2018   51   59
  1.20%, 10/10/2017     200   200 6.75%, 06/15/2039   77   99
  1.30%, 03/12/2018     1,025   1,028 7.30%, 07/01/2038   300   404
  1.40%, 03/15/2017     180   182 8.25%, 04/01/2019   154   188
  2.25%, 06/07/2016     77   79 8.75%, 02/14/2019   48   59
  3.90%, 07/12/2021     1,000   1,095 Time Warner Entertainment Co LP        
  Rockwell Automation Inc           8.38%, 07/15/2033   95   139
  2.05%, 03/01/2020     250   253 Time Warner Inc        
  6.25%, 12/01/2037     51   68 4.00%, 01/15/2022   180   193
  Roper Industries Inc           4.05%, 12/15/2023   500   535
  1.85%, 11/15/2017     300   302 4.65%, 06/01/2044   500   539
        $   3,269 4.70%, 01/15/2021   81   90
              4.88%, 03/15/2020   42   47
Media - 0.94 %         5.38%, 10/15/2041   128   150
  21st Century Fox America Inc           5.88%, 11/15/2016   180   194
  4.50%, 02/15/2021     200   222 6.10%, 07/15/2040   43   54
  5.65%, 08/15/2020     51   59 6.20%, 03/15/2040   51   65
  6.15%, 02/15/2041     577   746 6.50%, 11/15/2036   120   156
  6.20%, 12/15/2034     154   197 7.63%, 04/15/2031   445   622
  6.40%, 12/15/2035     128   168 Viacom Inc        
  6.90%, 03/01/2019     154   182 2.50%, 12/15/2016   102   104
  CBS Corp           3.25%, 03/15/2023   750   740
  1.95%, 07/01/2017     200   202 3.88%, 12/15/2021   128   134
  4.85%, 07/01/2042     200   211 4.38%, 03/15/2043   100   93
  5.75%, 04/15/2020     65   75 6.88%, 04/30/2036   166   205
  7.88%, 07/30/2030     178   247 Walt Disney Co/The        
  Comcast Corp           1.10%, 12/01/2017   100   100
  2.85%, 01/15/2023     100   102 1.35%, 08/16/2016   51   52
  4.20%, 08/15/2034     750   812 2.35%, 12/01/2022   750   749
  4.25%, 01/15/2033     100   107 2.75%, 08/16/2021   102   106
  4.65%, 07/15/2042     100   111 3.70%, 12/01/2042   100   102
  5.15%, 03/01/2020     774   890 3.75%, 06/01/2021   200   218
  6.30%, 11/15/2017     128   145 7.00%, 03/01/2032   51   74
  6.45%, 03/15/2037     60   81     $   17,230
  6.95%, 08/15/2037     274   389          
  7.05%, 03/15/2033     300   426 Metal Fabrication & Hardware - 0.03%        
  DIRECTV Holdings LLC / DIRECTV           Precision Castparts Corp        
  Financing Co Inc           1.25%, 01/15/2018   200   199
  1.75%, 01/15/2018     600   600 2.50%, 01/15/2023   100   99
  2.40%, 03/15/2017     200   204 3.90%, 01/15/2043   175   179
  3.80%, 03/15/2022     102   106     $   477
  4.60%, 02/15/2021     171   187 Mining - 0.47%        
  5.88%, 10/01/2019     56   64 Barrick Gold Corp        
  6.00%, 08/15/2040     663   752 4.10%, 05/01/2023   150   148
  Discovery Communications LLC           6.95%, 04/01/2019   200   233
  3.25%, 04/01/2023     200   199 Barrick North America Finance LLC        
  5.05%, 06/01/2020     51   57 4.40%, 05/30/2021   1,000   1,027
  5.63%, 08/15/2019     51   58 Barrick PD Australia Finance Pty Ltd        
  6.35%, 06/01/2040     43   53 4.95%, 01/15/2020   60   65

 

See accompanying notes.

39

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
      Principal         Principal    
BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Mining (continued)           Mortgage Backed Securities - 2.19%        
Barrick PD Australia Finance Pty           Banc of America Commercial Mortgage Trust        
Ltd (continued)           2006-3        
5.95%, 10/15/2039   $ 90 $ 90 5.89%, 07/10/2044 $ 14 $ 15
BHP Billiton Finance USA Ltd           Banc of America Commercial Mortgage Trust        
1.63%, 02/24/2017     128   130 2006-5        
3.25%, 11/21/2021     128   134 5.41%, 09/10/2047(a)   514   532
4.13%, 02/24/2042     328   335 Banc of America Commercial Mortgage Trust        
5.00%, 09/30/2043     500   573 2007-2        
6.50%, 04/01/2019     23   27 5.63%, 04/10/2049   7   7
Freeport-McMoRan Inc           Banc of America Commercial Mortgage Trust        
3.55%, 03/01/2022     302   280 2008-1        
3.88%, 03/15/2023     1,000   926 6.21%, 02/10/2051(a)   34   38
5.40%, 11/14/2034     300   274 Banc of America Merrill Lynch Commercial        
Goldcorp Inc           Mortgage Inc        
3.63%, 06/09/2021     300   305 5.18%, 09/10/2047(a)   105   106
Newmont Mining Corp           Bear Stearns Commercial Mortgage Securities        
3.50%, 03/15/2022     102   99 Trust 2005-PWR10        
5.13%, 10/01/2019     801   879 5.41%, 12/11/2040   96   98
6.25%, 10/01/2039     118   120 Bear Stearns Commercial Mortgage Securities        
Placer Dome Inc           Trust 2006-PWR12        
6.45%, 10/15/2035     150   161 5.70%, 09/11/2038(a)   95   98
Rio Tinto Alcan Inc           Bear Stearns Commercial Mortgage Securities        
6.13%, 12/15/2033     77   94 Trust 2006-PWR13        
Rio Tinto Finance USA Ltd           5.54%, 09/11/2041   117   122
2.25%, 09/20/2016     200   204 Bear Stearns Commercial Mortgage Securities        
3.75%, 09/20/2021     128   135 Trust 2006-PWR14        
6.50%, 07/15/2018     203   233 5.20%, 12/11/2038   500   526
7.13%, 07/15/2028     512   685 Bear Stearns Commercial Mortgage Securities        
9.00%, 05/01/2019     83   105 Trust 2006-TOP24        
Rio Tinto Finance USA PLC           5.54%, 10/12/2041   182   191
4.75%, 03/22/2042     328   352 CD 2006-CD3 Mortgage Trust        
Southern Copper Corp           5.62%, 10/15/2048   69   72
5.38%, 04/16/2020     25   28 Citigroup Commercial Mortgage Trust 2013-        
6.75%, 04/16/2040     258   275 GC11        
Teck Resources Ltd           0.75%, 04/10/2046   286   285
2.50%, 02/01/2018     300   299 Citigroup Commercial Mortgage Trust 2013-        
3.00%, 03/01/2019     102   101 GC15        
4.50%, 01/15/2021     200   204 4.37%, 09/10/2046   1,000   1,130
6.25%, 07/15/2041     154   149 COMM 2007-C9 Mortgage Trust        
      $   8,670 5.80%, 12/10/2049(a)   629   683
            COMM 2012-CCRE5 Mortgage Trust        
Miscellaneous Manufacturing - 0.24%           1.68%, 12/10/2045   531   534
3M Co         COMM 2013-CCRE8 Mortgage Trust        
1.38%, 09/29/2016     128   130 3.61%, 06/10/2046   500   538
5.70%, 03/15/2037     38   51 COMM 2013-LC6 Mortgage Trust        
Crane Co           2.94%, 01/10/2046   500   514
4.45%, 12/15/2023     100   107 COMM 2014-LC15 Mortgage Trust        
Danaher Corp           2.84%, 04/10/2047   1,000   1,038
5.63%, 01/15/2018     128   143 COMM 2014-UBS3 Mortgage Trust        
Dover Corp           3.82%, 06/10/2047   500   541
5.38%, 03/01/2041     77   95 COMM 2015-LC19 Mortgage Trust        
Eaton Corp           3.18%, 02/10/2048(a)   1,000   1,033
1.50%, 11/02/2017     400   402 Commercial Mortgage Loan Trust 2008-LS1        
2.75%, 11/02/2022     100   100 6.03%, 12/10/2049(a)   82   88
4.00%, 11/02/2032     100   105 Commercial Mortgage Pass Through        
4.15%, 11/02/2042     50   51 Certificates        
General Electric Co           2.82%, 10/15/2045(a)   500   513
2.70%, 10/09/2022     300   305 3.15%, 02/10/2047   500   522
4.13%, 10/09/2042     300   317 Commercial Mortgage Trust 2007-GG11        
4.50%, 03/11/2044     500   561 5.74%, 12/10/2049   386   416
5.25%, 12/06/2017     300   331 Commercial Mortgage Trust 2007-GG9        
Illinois Tool Works Inc           5.44%, 03/10/2039(a)   217   229
3.50%, 03/01/2024     350   371 Credit Suisse Commercial Mortgage Trust        
Ingersoll-Rand Global Holding Co Ltd           Series 2006-C4        
6.88%, 08/15/2018     490   569 5.47%, 09/15/2039   412   430
Parker-Hannifin Corp           Fannie Mae-Aces        
3.50%, 09/15/2022     577   619 2.50%, 04/25/2023(a)   865   879
Tyco Electronics Group SA           2.72%, 02/25/2022   1,000   1,037
6.55%, 10/01/2017     112   126 3.12%, 08/25/2024(a)   997   1,053
7.13%, 10/01/2037     14   20 3.46%, 01/25/2024(a)   700   754
      $   4,403          

 

See accompanying notes.

40

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
      Principal             Principal    
  BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)     Amount (000's) Value (000's)
 
  Mortgage Backed Securities (continued)           Mortgage Backed Securities (continued)          
  FHLMC Multifamily Structured Pass Through         ML -CFC Commercial Mortgage Trust 2006-          
  Certificates           4          
  2.08%, 12/25/2019(a) $ 548 $ 558   5.17%, 12/12/2049   $ 470 $ 494
  2.87%, 12/25/2021   540   565   Morgan Stanley Bank of America Merrill          
  3.02%, 02/25/2023(a)   415   437   Lynch Trust 2013-C11          
  3.06%, 07/25/2023(a)   750   790   3.09%, 08/15/2046(a)     225   236
  3.31%, 05/25/2023(a)   810   869   Morgan Stanley Capital I Trust 2006-HQ8          
  3.87%, 04/25/2021(a)   1,350   1,488   5.41%, 03/12/2044(a)     237   241
  4.19%, 12/25/2020(a)   850   949   Morgan Stanley Capital I Trust 2006-TOP23          
  GE Capital Commercial Mortgage Corp           5.88%, 08/12/2041(a)     450   471
  5.32%, 11/10/2045(a)   26   26   Morgan Stanley Capital I Trust 2007-HQ12          
  GMAC Commercial Mortgage Securities Inc           5.67%, 04/12/2049(a)     135   135
  Series 2006-C1 Trust           5.67%, 04/12/2049(a)     278   278
  5.24%, 11/10/2045   609   615   Morgan Stanley Capital I Trust 2007-IQ13          
  GS Mortgage Securities Corp II           5.36%, 03/15/2044(a)     100   107
  2.77%, 11/10/2045   500   510   Morgan Stanley Capital I Trust 2007-IQ16          
  GS Mortgage Securities Trust 2007-GG10           5.81%, 12/12/2049     490   532
  5.80%, 08/10/2045(a)   462   499   Morgan Stanley Capital I Trust 2007-TOP25          
  GS Mortgage Securities Trust 2012-GC6           5.51%, 11/12/2049     1,232   1,309
  3.48%, 01/10/2045   274   292   UBS Commercial Mortgage Trust 2012-C1          
  GS Mortgage Securities Trust 2014-GC18           3.40%, 05/10/2045(a)     500   530
  3.80%, 01/10/2047(a)   500   540   UBS-Barclays Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           2012 -C2        
  Securities Trust 2005-LDP5           2.11%, 05/10/2063     500   508
  5.27%, 12/15/2044(a)   700   716   UBS-Barclays Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           2012 -C3        
  Securities Trust 2006-CIBC17           3.09%, 08/10/2049(a)     550   572
  5.43%, 12/12/2043   293   307   UBS-Barclays Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           2013 -C6        
  Securities Trust 2006-LDP7           3.24%, 04/10/2046(a)     500   522
  5.84%, 04/15/2045(a)   257   270   Wachovia Bank Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           Series 2005-C22          
  Securities Trust 2006-LDP8           5.27%, 12/15/2044(a)     114   115
  5.44%, 05/15/2045(a)   17   17   Wachovia Bank Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           Series 2006-C23          
  Securities Trust 2006-LDP9           5.42%, 01/15/2045     193   198
  5.34%, 05/15/2047   335   353   Wachovia Bank Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           Series 2006-C27          
  Securities Trust 2007-LDP10           5.80%, 07/15/2045     287   302
  5.42%, 01/15/2049   519   551   Wachovia Bank Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           Series 2007-C34          
  Securities Trust 2007-LDP12           5.68%, 05/15/2046(a)     90   97
  5.88%, 02/15/2051   1,000   1,072   Wells Fargo Commercial Mortgage Trust          
  JP Morgan Chase Commercial Mortgage           2012 -LC5        
  Securities Trust 2011-C5           2.92%, 10/15/2045     500   516
  4.17%, 08/15/2046   257   285   WFRBS Commercial Mortgage Trust 2012-          
  JPMBB Commercial Mortgage Securities           C7          
  Trust 2013-C15           2.30%, 06/15/2045     371   375
  4.13%, 11/15/2045(a)   500   555   WFRBS Commercial Mortgage Trust 2013-          
  JPMBB Commercial Mortgage Securities           C11          
  Trust 2014-C22           2.03%, 03/15/2045(a)     500   508
  3.80%, 09/15/2047   1,000   1,079   WFRBS Commercial Mortgage Trust 2013-          
  LB Commercial Mortgage Trust 2007-C3           C14          
  5.90%, 07/15/2044(a)   63   68   2.98%, 06/15/2046     1,000   1,041
LB -UBS Commercial Mortgage Trust 2006-           WFRBS Commercial Mortgage Trust 2014-          
  C3           C20          
  5.66%, 03/15/2039   105   108   3.04%, 05/15/2047(a)     500   523
LB -UBS Commercial Mortgage Trust 2007-           WFRBS Commercial Mortgage Trust 2014-          
  C2           LC14          
  5.43%, 02/15/2040   1,061   1,132   1.19%, 03/15/2047     415   414
LB -UBS Commercial Mortgage Trust 2007-                 $   40,057
  C6                      
  5.86%, 07/15/2040(a)   40   42   Office & Business Equipment - 0.05%          
  Merrill Lynch Mortgage Trust 2006-C2           Pitney Bowes Inc          
  5.74%, 08/12/2043   704   737   5.75%, 09/15/2017     27   29
  Merrill Lynch Mortgage Trust 2007-C1           Xerox Corp          
  5.84%, 06/12/2050(a)   77   83   2.80%, 05/15/2020     500   504
ML -CFC Commercial Mortgage Trust 2006-           2.95%, 03/15/2017     154   159
  2           4.50%, 05/15/2021     226   245
  5.87%, 06/12/2046(a)   480   498   5.63%, 12/15/2019     21   24
                    $   961

 

See accompanying notes.

41

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Oil & Gas - 2.03%         Oil & Gas (continued)        
Alberta Energy Co Ltd         Ensco PLC        
7.38%, 11/01/2031 $ 77 $ 93 4.70%, 03/15/2021 $ 200 $ 202
Anadarko Finance Co         5.20%, 03/15/2025   300   300
7.50%, 05/01/2031   77   102 EOG Resources Inc        
Anadarko Petroleum Corp         2.63%, 03/15/2023   200   200
4.50%, 07/15/2044   500   511 4.40%, 06/01/2020   51   57
5.95%, 09/15/2016   178   190 EQT Corp        
6.20%, 03/15/2040   25   30 6.50%, 04/01/2018   127   142
6.38%, 09/15/2017   206   229 Exxon Mobil Corp        
6.45%, 09/15/2036   225   279 3.18%, 03/15/2024   500   526
Apache Corp         3.57%, 03/06/2045   300   311
3.63%, 02/01/2021   577   606 Hess Corp        
4.75%, 04/15/2043   128   134 5.60%, 02/15/2041   51   56
5.10%, 09/01/2040   92   98 7.13%, 03/15/2033   200   244
Apache Finance Canada Corp         7.30%, 08/15/2031   38   46
7.75%, 12/15/2029   750   1,064 8.13%, 02/15/2019   25   30
BP Capital Markets PLC         Husky Energy Inc        
1.85%, 05/05/2017   200   202 7.25%, 12/15/2019   550   653
2.24%, 09/26/2018   1,000   1,016 Marathon Oil Corp        
2.32%, 02/13/2020   200   202 5.90%, 03/15/2018   251   278
2.50%, 11/06/2022   200   195 6.60%, 10/01/2037   223   269
3.06%, 03/17/2022   300   305 Marathon Petroleum Corp        
3.56%, 11/01/2021   200   210 3.63%, 09/15/2024   400   405
3.81%, 02/10/2024   400   415 5.13%, 03/01/2021   77   87
4.74%, 03/11/2021   128   143 Nabors Industries Inc        
4.75%, 03/10/2019   25   28 2.35%, 09/15/2016   300   299
Canadian Natural Resources Ltd         Nexen Energy ULC        
5.70%, 05/15/2017   516   558 6.40%, 05/15/2037   157   199
6.25%, 03/15/2038   164   192 7.50%, 07/30/2039   15   21
Cenovus Energy Inc         Noble Energy Inc        
5.70%, 10/15/2019   152   169 5.25%, 11/15/2043   350   366
6.75%, 11/15/2039   128   153 6.00%, 03/01/2041   102   115
Chevron Corp         8.25%, 03/01/2019   400   479
0.89%, 06/24/2016   300   301 Noble Holding International Ltd        
2.36%, 12/05/2022   300   296 2.50%, 03/15/2017   128   126
4.95%, 03/03/2019   400   449 6.20%, 08/01/2040   25   22
CNOOC Finance 2013 Ltd         Occidental Petroleum Corp        
1.13%, 05/09/2016   150   150 2.70%, 02/15/2023   300   298
1.75%, 05/09/2018   150   149 4.13%, 06/01/2016   77   80
3.00%, 05/09/2023   150   146 Petrobras Global Finance BV        
4.25%, 05/09/2043   100   101 3.00%, 01/15/2019   700   604
CNOOC Nexen Finance 2014 ULC         3.25%, 03/17/2017   250   231
4.25%, 04/30/2024   500   532 4.38%, 05/20/2023   950   812
Conoco Funding Co         4.88%, 03/17/2020   250   224
7.25%, 10/15/2031   200   280 5.38%, 01/27/2021   205   186
ConocoPhillips         5.63%, 05/20/2043   200   162
6.00%, 01/15/2020   293   345 5.75%, 01/20/2020   738   685
6.50%, 02/01/2039   169   228 5.88%, 03/01/2018   77   74
ConocoPhillips Canada Funding Co I         6.75%, 01/27/2041   177   157
5.63%, 10/15/2016   77   83 6.88%, 01/20/2040   25   23
ConocoPhillips Co         7.88%, 03/15/2019   116   118
4.30%, 11/15/2044   400   425 Petro-Canada        
ConocoPhillips Holding Co         6.80%, 05/15/2038   12   16
6.95%, 04/15/2029   202   276 7.88%, 06/15/2026   200   277
Continental Resources Inc/OK         Petroleos Mexicanos        
4.90%, 06/01/2044   250   220 3.50%, 07/18/2018   400   416
5.00%, 09/15/2022   500   493 3.50%, 07/23/2020(c)   350   358
Devon Energy Corp         4.50%, 01/23/2026(c)   1,000   1,019
5.60%, 07/15/2041   125   146 4.88%, 01/24/2022   385   409
6.30%, 01/15/2019   154   176 5.50%, 01/21/2021   208   228
7.95%, 04/15/2032   192   264 5.50%, 06/27/2044(c)   500   504
Devon Financing Corp LLC         5.50%, 06/27/2044   350   353
7.88%, 09/30/2031   128   174 5.75%, 03/01/2018   141   155
Ecopetrol SA         6.38%, 01/23/2045   400   447
4.13%, 01/16/2025   500   479 6.63%, 06/15/2035   286   327
4.25%, 09/18/2018   250   262 8.00%, 05/03/2019   31   37
5.88%, 09/18/2023   250   268 Phillips 66        
Encana Corp         2.95%, 05/01/2017   128   132
3.90%, 11/15/2021   200   209 4.30%, 04/01/2022   628   685
5.90%, 12/01/2017   25   28 5.88%, 05/01/2042   128   152
6.50%, 02/01/2038   166   190          

 

See accompanying notes.

42

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Oil & Gas (continued)         Other Asset Backed Securities - 0.01%        
Pioneer Natural Resources Co         CenterPoint Energy Restoration Bond Co        
3.95%, 07/15/2022 $ 100 $ 103 LLC        
Pride International Inc         3.46%, 08/15/2019 $ 100 $ 104
6.88%, 08/15/2020   77   88          
Rowan Cos Inc                  
5.00%, 09/01/2017   23   24 Packaging & Containers - 0.01%        
Shell International Finance BV         MeadWestvaco Corp        
0.90%, 11/15/2016   200   201 7.38%, 09/01/2019   100   119
1.13%, 08/21/2017   200   201          
2.38%, 08/21/2022   100   100 Pharmaceuticals - 1.21%        
3.40%, 08/12/2023   1,500   1,587 Abbott Laboratories        
3.63%, 08/21/2042   100   99 5.30%, 05/27/2040   200   252
4.30%, 09/22/2019   651   722 AbbVie Inc        
4.38%, 03/25/2020   25   28 1.75%, 11/06/2017   300   301
5.50%, 03/25/2040   25   32 2.00%, 11/06/2018   200   200
6.38%, 12/15/2038   43   60 2.90%, 11/06/2022   200   198
Southwestern Energy Co         4.40%, 11/06/2042   200   206
4.05%, 01/23/2020   300   310 Actavis Funding SCS        
4.10%, 03/15/2022   150   148 1.30%, 06/15/2017   300   297
Statoil ASA         1.85%, 03/01/2017   400   403
1.15%, 05/15/2018   400   398 3.00%, 03/12/2020   400   409
2.25%, 11/08/2019   500   508 3.80%, 03/15/2025   300   310
2.65%, 01/15/2024   400   393 4.75%, 03/15/2045   200   213
3.15%, 01/23/2022   102   106 4.85%, 06/15/2044   500   531
3.95%, 05/15/2043   200   205 Actavis Inc        
5.10%, 08/17/2040   263   316 1.88%, 10/01/2017   200   200
5.25%, 04/15/2019   23   26 3.25%, 10/01/2022   150   150
Suncor Energy Inc         4.63%, 10/01/2042   100   102
6.10%, 06/01/2018   128   144 6.13%, 08/15/2019   12   14
6.50%, 06/15/2038   428   550 AmerisourceBergen Corp        
6.85%, 06/01/2039   5   7 3.40%, 05/15/2024   250   257
Talisman Energy Inc         AstraZeneca PLC        
6.25%, 02/01/2038   248   268 1.95%, 09/18/2019   1,100   1,108
Total Capital International SA         4.00%, 09/18/2042   100   104
1.00%, 01/10/2017   200   201 5.90%, 09/15/2017   77   86
2.75%, 06/19/2021   400   409 6.45%, 09/15/2037   144   198
2.88%, 02/17/2022   128   131 Bristol-Myers Squibb Co        
Total Capital SA         0.88%, 08/01/2017   100   100
4.25%, 12/15/2021   51   57 1.75%, 03/01/2019   1,000   1,004
4.45%, 06/24/2020   500   559 3.25%, 08/01/2042   100   93
Valero Energy Corp         5.88%, 11/15/2036   5   7
6.13%, 02/01/2020   138   160 6.80%, 11/15/2026   25   34
6.63%, 06/15/2037   234   289 Cardinal Health Inc        
7.50%, 04/15/2032   15   19 1.70%, 03/15/2018   300   300
9.38%, 03/15/2019   128   160 3.20%, 03/15/2023   200   204
    $   37,005 4.60%, 03/15/2043   100   107
          Eli Lilly & Co        
Oil & Gas Services - 0.17%         1.95%, 03/15/2019   1,000   1,017
Baker Hughes Inc         5.20%, 03/15/2017   164   178
5.13%, 09/15/2040   281   320 7.13%, 06/01/2025   220   298
7.50%, 11/15/2018   12   14 Express Scripts Holding Co        
Cameron International Corp         3.13%, 05/15/2016   128   131
1.15%, 12/15/2016   400   397 3.50%, 06/15/2024   500   515
6.38%, 07/15/2018   154   173 3.90%, 02/15/2022   200   212
Halliburton Co         4.75%, 11/15/2021   77   87
1.00%, 08/01/2016   300   301 6.13%, 11/15/2041   77   97
3.25%, 11/15/2021   651   678 GlaxoSmithKline Capital Inc        
4.50%, 11/15/2041   51   53 5.38%, 04/15/2034   1,000   1,229
5.90%, 09/15/2018   350   398 5.65%, 05/15/2018   202   228
7.45%, 09/15/2039   10   14 GlaxoSmithKline Capital PLC        
Weatherford International Ltd/Bermuda         1.50%, 05/08/2017   100   101
5.13%, 09/15/2020   51   50 2.85%, 05/08/2022   128   130
6.00%, 03/15/2018   12   13 Johnson & Johnson        
6.75%, 09/15/2040   51   48 0.70%, 11/28/2016   215   215
7.00%, 03/15/2038   400   379 1.65%, 12/05/2018   500   510
9.63%, 03/01/2019   164   188 2.95%, 09/01/2020   128   136
    $   3,026 3.38%, 12/05/2023   500   536
          4.95%, 05/15/2033   201   246
          5.55%, 08/15/2017   128   142
          McKesson Corp        
          4.75%, 03/01/2021   250   279

 

See accompanying notes.

43

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Pharmaceuticals (continued)         Pipelines (continued)        
Mead Johnson Nutrition Co         Enterprise Products Operating        
4.60%, 06/01/2044 $ 250 $ 263 LLC (continued)        
Medco Health Solutions Inc         5.20%, 09/01/2020 $ 77 $ 87
7.13%, 03/15/2018   169   195 6.13%, 10/15/2039   123   151
Merck & Co Inc         6.45%, 09/01/2040   177   222
0.70%, 05/18/2016   200   200 6.50%, 01/31/2019   161   186
1.10%, 01/31/2018   100   100 6.88%, 03/01/2033   15   20
1.30%, 05/18/2018   200   200 Kinder Morgan Energy Partners LP        
2.40%, 09/15/2022   100   100 3.50%, 03/01/2021   750   756
2.75%, 02/10/2025   350   350 3.50%, 09/01/2023   200   196
2.80%, 05/18/2023   200   205 4.15%, 03/01/2022   300   309
3.60%, 09/15/2042   100   99 4.70%, 11/01/2042   200   189
4.15%, 05/18/2043   200   215 5.00%, 03/01/2043   100   98
6.55%, 09/15/2037   187   264 5.40%, 09/01/2044   400   414
Merck Sharp & Dohme Corp         6.38%, 03/01/2041   128   143
5.00%, 06/30/2019   154   175 6.50%, 09/01/2039   112   127
Mylan Inc/PA         6.95%, 01/15/2038   112   133
1.35%, 11/29/2016   250   250 7.40%, 03/15/2031   177   213
2.55%, 03/28/2019   250   251 9.00%, 02/01/2019   77   94
Novartis Capital Corp         Kinder Morgan Inc/DE        
4.40%, 04/24/2020   77   86 3.05%, 12/01/2019   750   757
4.40%, 05/06/2044   330   380 Magellan Midstream Partners LP        
Novartis Securities Investment Ltd         4.20%, 12/01/2042   200   194
5.13%, 02/10/2019   564   636 ONEOK Partners LP        
Perrigo Co PLC         5.00%, 09/15/2023   250   262
5.30%, 11/15/2043   500   566 6.13%, 02/01/2041   128   131
Pfizer Inc         8.63%, 03/01/2019   20   24
1.10%, 05/15/2017   500   503 Panhandle Eastern Pipe Line Co LP        
3.00%, 06/15/2023   500   512 6.20%, 11/01/2017   81   90
3.40%, 05/15/2024   1,000   1,050 Plains All American Pipeline LP / PAA        
4.65%, 03/01/2018   51   56 Finance Corp        
6.20%, 03/15/2019   280   328 2.85%, 01/31/2023   200   195
7.20%, 03/15/2039   151   222 3.65%, 06/01/2022   128   132
Sanofi         4.30%, 01/31/2043   200   191
1.25%, 04/10/2018   400   401 4.70%, 06/15/2044   500   508
Teva Pharmaceutical Finance Co BV         5.75%, 01/15/2020   15   17
3.65%, 11/10/2021   400   421 Southern Natural Gas Co LLC        
Teva Pharmaceutical Finance Co LLC         5.90%, 04/01/2017(a),(c)   12   13
6.15%, 02/01/2036   3   4 Southern Natural Gas Co LLC / Southern        
Wyeth LLC         Natural Issuing Corp        
5.95%, 04/01/2037   91   116 4.40%, 06/15/2021   51   53
6.50%, 02/01/2034   144   196 Spectra Energy Capital LLC        
Zoetis Inc         8.00%, 10/01/2019   300   363
3.25%, 02/01/2023   100   100 Spectra Energy Partners LP        
    $   22,119 5.95%, 09/25/2043   200   242
          Sunoco Logistics Partners Operations LP        
Pipelines - 0.93%         3.45%, 01/15/2023   200   197
ANR Pipeline Co         4.95%, 01/15/2043   200   196
9.63%, 11/01/2021   600   812 5.50%, 02/15/2020   46   51
Boardwalk Pipelines LP         Tennessee Gas Pipeline Co LLC        
3.38%, 02/01/2023   200   185 7.50%, 04/01/2017   77   85
Buckeye Partners LP         Texas Eastern Transmission LP        
2.65%, 11/15/2018   250   250 7.00%, 07/15/2032   100   132
4.88%, 02/01/2021   850   901 TransCanada PipeLines Ltd        
Enable Midstream Partners LP         3.80%, 10/01/2020   128   136
5.00%, 05/15/2044(c)   500   456          
          5.60%, 03/31/2034   300   353
Enbridge Energy Partners LP         6.10%, 06/01/2040   25   31
5.20%, 03/15/2020   9   10 6.35%, 05/15/2067(a)   500   485
9.88%, 03/01/2019   87   110 6.50%, 08/15/2018   1,042   1,191
Energy Transfer Partners LP         7.25%, 08/15/2038   51   71
4.90%, 02/01/2024   350   375 Williams Cos Inc/The        
4.90%, 03/15/2035   300   298 4.55%, 06/24/2024   1,000   969
5.20%, 02/01/2022   102   111 7.50%, 01/15/2031   11   12
5.95%, 10/01/2043   350   386 7.88%, 09/01/2021   128   149
6.50%, 02/01/2042   102   118 Williams Partners LP        
6.70%, 07/01/2018   23   26 3.90%, 01/15/2025   350   342
9.00%, 04/15/2019   6   7 5.25%, 03/15/2020   180   198
Enterprise Products Operating LLC         6.30%, 04/15/2040   343   377
3.35%, 03/15/2023   300   303     $   16,932
3.75%, 02/15/2025   500   516          
3.90%, 02/15/2024   250   262          
4.85%, 08/15/2042   300   321          

 

See accompanying notes.

44

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
  Real Estate - 0.04%           REITS (continued)        
  Brookfield Asset Management Inc           HCP Inc (continued)        
  4.00%, 01/15/2025   $ 300 $ 301 4.20%, 03/01/2024 $ 250 $ 261
  Prologis LP           4.25%, 11/15/2023   200   210
  4.50%, 08/15/2017     200   214 5.38%, 02/01/2021   51   57
  6.88%, 03/15/2020     2   3 6.70%, 01/30/2018   15   17
  Regency Centers LP           Health Care REIT Inc        
  3.75%, 06/15/2024     200   206 3.75%, 03/15/2023   200   205
        $   724 6.13%, 04/15/2020   115   133
              Highwoods Realty LP        
  Regional Authority - 0.35%           3.20%, 06/15/2021   350   357
  Province of British Columbia           Hospitality Properties Trust        
  2.10%, 05/18/2016     1,000   1,018 5.00%, 08/15/2022   100   106
  2.65%, 09/22/2021     77   81 6.70%, 01/15/2018   77   85
  6.50%, 01/15/2026     18   25 Host Hotels & Resorts LP        
  Province of Manitoba Canada           6.00%, 10/01/2021   200   232
  1.30%, 04/03/2017     280   283 Kimco Realty Corp        
  3.05%, 05/14/2024     500   530 3.13%, 06/01/2023   200   199
  Province of Nova Scotia Canada           3.20%, 05/01/2021   250   256
  5.13%, 01/26/2017     41   44 Liberty Property LP        
  Province of Ontario Canada           3.38%, 06/15/2023   300   299
  1.00%, 07/22/2016     350   352 Omega Healthcare Investors Inc        
  2.50%, 09/10/2021     500   516 4.50%, 01/15/2025(c)   300   302
  3.15%, 12/15/2017     200   211 4.95%, 04/01/2024   750   790
  3.20%, 05/16/2024     750   807 Realty Income Corp        
  4.00%, 10/07/2019     277   306 2.00%, 01/31/2018   100   101
  4.40%, 04/14/2020     151   171 4.65%, 08/01/2023   250   273
  4.95%, 11/28/2016     180   192 5.88%, 03/15/2035   51   60
  5.45%, 04/27/2016     302   318 Simon Property Group LP        
  Province of Quebec Canada           2.15%, 09/15/2017   102   104
  2.75%, 08/25/2021     231   241 2.20%, 02/01/2019   400   406
  3.50%, 07/29/2020     750   815 4.13%, 12/01/2021   200   219
  5.13%, 11/14/2016     351   376 5.65%, 02/01/2020   47   54
  7.50%, 09/15/2029     64   97 6.75%, 02/01/2040   25   35
  Province of Saskatchewan Canada           10.35%, 04/01/2019   90   117
  8.50%, 07/15/2022     6   8 Tanger Properties LP        
        $   6,391 3.88%, 12/01/2023   250   261
REITS - 0.66 %         Ventas Realty LP / Ventas Capital Corp        
  Alexandria Real Estate Equities Inc           2.00%, 02/15/2018   750   757
  2.75%, 01/15/2020     750   752 4.25%, 03/01/2022   128   137
  American Tower Corp           Weingarten Realty Investors        
  4.70%, 03/15/2022     278   298 3.38%, 10/15/2022   180   180
  7.00%, 10/15/2017     32   36 Weyerhaeuser Co        
  AvalonBay Communities Inc           7.38%, 03/15/2032   300   403
  2.95%, 09/15/2022     100   100     $   12,007
  3.63%, 10/01/2020     100   106 Retail - 0.89%        
  4.20%, 12/15/2023     400   430 AutoNation Inc        
  BioMed Realty LP           6.75%, 04/15/2018   200   225
  2.63%, 05/01/2019     200   202 AutoZone Inc        
  6.13%, 04/15/2020     6   7 4.00%, 11/15/2020   251   271
  Boston Properties LP           Bed Bath & Beyond Inc        
  3.85%, 02/01/2023     200   211 5.17%, 08/01/2044   500   551
  4.13%, 05/15/2021     77   84 Costco Wholesale Corp        
  5.63%, 11/15/2020     25   29 1.13%, 12/15/2017   1,000   1,001
  5.88%, 10/15/2019     750   871 CVS Health Corp        
  Brandywine Operating Partnership LP           2.25%, 08/12/2019   500   508
  3.95%, 02/15/2023     200   203 4.13%, 05/15/2021   500   549
  CBL & Associates LP           5.75%, 06/01/2017   15   16
  4.60%, 10/15/2024     750   763 6.13%, 09/15/2039   79   103
  DDR Corp           6.25%, 06/01/2027   100   127
  4.63%, 07/15/2022     200   215 Darden Restaurants Inc        
  Duke Realty LP           7.05%, 10/15/2037(a)   27   34
  3.88%, 10/15/2022     100   105 Dollar General Corp        
  EPR Properties           1.88%, 04/15/2018   300   297
  7.75%, 07/15/2020     63   76 Gap Inc/The        
  ERP Operating LP           5.95%, 04/12/2021   275   316
  2.38%, 07/01/2019     400   405 Home Depot Inc/The        
  4.75%, 07/15/2020     51   57 3.75%, 02/15/2024   350   381
  Federal Realty Investment Trust           5.88%, 12/16/2036   237   313
  2.75%, 06/01/2023     150   148 5.95%, 04/01/2041   351   469
  HCP Inc           Kohl's Corp        
  3.40%, 02/01/2025     300   293 4.00%, 11/01/2021   277   294

 

See accompanying notes.

45

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Retail (continued)         Semiconductors (continued)        
Kohl's Corp (continued)         Lam Research Corp        
6.00%, 01/15/2033 $ 300 $ 345 2.75%, 03/15/2020 $ 300 $ 302
6.25%, 12/15/2017   200   223 Maxim Integrated Products Inc        
Lowe's Cos Inc         2.50%, 11/15/2018   200   204
3.80%, 11/15/2021   102   112 Texas Instruments Inc        
4.63%, 04/15/2020   77   86 0.88%, 03/12/2017   200   200
5.80%, 04/15/2040   77   100 1.65%, 08/03/2019   200   199
6.65%, 09/15/2037   312   440 2.75%, 03/12/2021   400   411
Macy's Retail Holdings Inc         Xilinx Inc        
2.88%, 02/15/2023   300   298 2.13%, 03/15/2019   175   177
4.30%, 02/15/2043   200   203     $   2,485
5.90%, 12/01/2016   225   243          
6.65%, 07/15/2024   25   31 Software - 0.33%        
6.90%, 04/01/2029   125   162 Adobe Systems Inc        
McDonald's Corp         4.75%, 02/01/2020   51   57
3.50%, 07/15/2020   151   162 Fidelity National Information Services Inc        
3.70%, 02/15/2042   128   127 2.00%, 04/15/2018   300   302
4.88%, 07/15/2040   9   10 Fiserv Inc        
5.35%, 03/01/2018   36   40 3.50%, 10/01/2022   100   103
6.30%, 10/15/2037   262   344 Microsoft Corp        
Nordstrom Inc         2.38%, 02/12/2022   350   353
4.75%, 05/01/2020   36   41 3.00%, 10/01/2020   600   638
6.25%, 01/15/2018   12   14 4.00%, 02/12/2055   850   849
O'Reilly Automotive Inc         4.20%, 06/01/2019   115   127
3.85%, 06/15/2023   300   313 4.50%, 10/01/2040   100   112
QVC Inc         5.30%, 02/08/2041   77   96
4.38%, 03/15/2023   250   255 Oracle Corp        
Signet UK Finance PLC         2.38%, 01/15/2019   450   462
4.70%, 06/15/2024   250   257 2.50%, 10/15/2022   1,500   1,500
Staples Inc         3.88%, 07/15/2020   77   84
4.38%, 01/12/2023   180   179 4.30%, 07/08/2034   1,000   1,085
Starbucks Corp         5.00%, 07/08/2019   48   54
0.88%, 12/05/2016   500   501 5.75%, 04/15/2018   180   203
Target Corp             $   6,025
4.00%, 07/01/2042   300   318 Sovereign - 1.96%        
6.00%, 01/15/2018   149   168 Brazilian Government International Bond        
6.50%, 10/15/2037   700   974 2.63%, 01/05/2023   300   269
Walgreen Co         4.88%, 01/22/2021   257   270
4.40%, 09/15/2042   100   102 5.88%, 01/15/2019   102   112
5.25%, 01/15/2019   30   34 7.13%, 01/20/2037   210   249
Walgreens Boots Alliance Inc         8.00%, 01/15/2018   60   65
1.75%, 11/17/2017   200   202 8.25%, 01/20/2034   651   843
2.70%, 11/18/2019   300   306 8.88%, 10/14/2019   122   151
4.80%, 11/18/2044   300   324 8.88%, 04/15/2024   150   198
Wal-Mart Stores Inc         8.88%, 04/15/2024   200   264
0.60%, 04/11/2016   200   200 12.25%, 03/06/2030   341   593
2.55%, 04/11/2023   950   957 11.00%, 08/17/2040   12   12
2.80%, 04/15/2016   51   52 Canada Government International Bond        
3.25%, 10/25/2020   51   55 0.88%, 02/14/2017   255   256
3.63%, 07/08/2020   51   55 Chile Government International Bond        
4.13%, 02/01/2019   102   112 3.13%, 03/27/2025   250   262
4.25%, 04/15/2021   51   57 3.25%, 09/14/2021   180   191
4.30%, 04/22/2044   500   558 Colombia Government International Bond        
5.25%, 09/01/2035   350   432 4.38%, 07/12/2021   100   106
5.63%, 04/01/2040   38   49 5.63%, 02/26/2044   1,000   1,117
5.63%, 04/15/2041   280   363 6.13%, 01/18/2041   200   237
5.80%, 02/15/2018   128   145 8.13%, 05/21/2024   201   267
6.20%, 04/15/2038   25   34 11.75%, 02/25/2020   180   249
6.50%, 08/15/2037   415   580 10.38%, 01/28/2033   100   157
7.55%, 02/15/2030   128   193 Export Development Canada        
Yum! Brands Inc         0.63%, 12/15/2016   500   500
6.25%, 03/15/2018   7   8 1.75%, 08/19/2019   400   406
6.88%, 11/15/2037   7   9 Export-Import Bank of Korea        
    $   16,228 2.25%, 01/21/2020   300   303
Semiconductors - 0.14%         3.25%, 08/12/2026   500   515
Intel Corp         4.00%, 01/11/2017   300   314
1.35%, 12/15/2017   300   301 4.00%, 01/14/2024   250   275
3.30%, 10/01/2021   177   188 5.00%, 04/11/2022   200   231
4.00%, 12/15/2032   200   208 Israel Government AID Bond        
4.25%, 12/15/2042   200   208 5.50%, 09/18/2023   25   31
4.80%, 10/01/2041   77   87 5.50%, 04/26/2024   25   31

 

See accompanying notes.

46

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Sovereign (continued)         Sovereign (continued)        
Israel Government AID Bond (continued)         Turkey Government International        
5.50%, 09/18/2033 $ 12 $ 17 Bond (continued)        
Israel Government International Bond         7.50%, 11/07/2019 $ 300 $ 350
5.13%, 03/26/2019   147   166 8.00%, 02/14/2034   400   548
Italy Government International Bond         Uruguay Government International Bond        
5.25%, 09/20/2016   333   353 4.13%, 11/20/2045   100   94
5.38%, 06/12/2017   750   816 8.00%, 11/18/2022   1,015   1,335
5.38%, 06/15/2033   64   78     $   35,854
6.88%, 09/27/2023   212   274          
Japan Bank for International         Supranational Bank - 1.60%        
Cooperation/Japan         African Development Bank        
1.13%, 07/19/2017   100   100 0.75%, 10/18/2016   330   331
1.75%, 07/31/2018   650   658 0.88%, 03/15/2018   800   796
3.00%, 05/29/2024   1,000   1,064 1.25%, 09/02/2016   257   260
Mexico Government International Bond         Asian Development Bank        
3.50%, 01/21/2021   500   521 0.75%, 01/11/2017   500   501
3.63%, 03/15/2022   300   312 1.13%, 03/15/2017   428   431
4.75%, 03/08/2044   506   531 1.50%, 01/22/2020   300   301
5.13%, 01/15/2020   600   673 1.75%, 09/11/2018   500   510
5.55%, 01/21/2045   300   352 1.88%, 02/18/2022   250   251
5.95%, 03/19/2019   778   889 2.13%, 11/24/2021   750   765
6.05%, 01/11/2040   464   573 2.13%, 03/19/2025   300   303
8.30%, 08/15/2031   738   1,133 5.82%, 06/16/2028   15   20
Panama Government International Bond         6.38%, 10/01/2028   51   71
5.20%, 01/30/2020   1,154   1,284 Corp Andina de Fomento        
6.70%, 01/26/2036   224   293 4.38%, 06/15/2022   22   24
8.88%, 09/30/2027   77   113 Council Of Europe Development Bank        
Peruvian Government International Bond         1.13%, 05/31/2018   1,000   1,001
5.63%, 11/18/2050   128   156 1.50%, 02/22/2017   128   130
6.55%, 03/14/2037   126   168 1.63%, 03/10/2020   300   302
7.13%, 03/30/2019   30   36 European Bank for Reconstruction &        
7.35%, 07/21/2025   180   245 Development        
8.75%, 11/21/2033   192   305 1.00%, 02/16/2017   357   360
Philippine Government International Bond         1.63%, 04/10/2018   250   253
3.95%, 01/20/2040   300   318 1.63%, 11/15/2018   300   303
5.00%, 01/13/2037   300   368 1.75%, 06/14/2019   500   508
6.50%, 01/20/2020   200   239 1.88%, 02/23/2022   250   251
8.38%, 06/17/2019   500   627 European Investment Bank        
9.38%, 01/18/2017   200   228 1.00%, 08/17/2017   1,000   1,005
9.50%, 02/02/2030   400   672 1.00%, 03/15/2018   750   750
10.63%, 03/16/2025   400   651 1.13%, 09/15/2017   1,400   1,410
Poland Government International Bond         1.25%, 05/15/2018   500   503
4.00%, 01/22/2024   1,000   1,098 1.63%, 03/16/2020   300   302
5.00%, 03/23/2022   528   607 1.75%, 03/15/2017   528   539
5.13%, 04/21/2021   51   59 1.75%, 06/17/2019   750   763
6.38%, 07/15/2019   444   522 1.88%, 03/15/2019   500   511
Republic of Korea         1.88%, 02/10/2025   850   838
3.88%, 09/11/2023   250   277 2.50%, 05/16/2016   102   104
5.13%, 12/07/2016   600   643 2.50%, 04/15/2021   1,500   1,569
South Africa Government International Bond         3.25%, 01/29/2024   1,000   1,103
4.67%, 01/17/2024   200   212 4.88%, 01/17/2017   400   430
6.25%, 03/08/2041   750   900 4.88%, 02/15/2036   25   34
6.88%, 05/27/2019   500   575 5.13%, 09/13/2016   154   164
Svensk Exportkredit AB         5.13%, 05/30/2017   102   111
1.75%, 05/30/2017   200   204 FMS Wertmanagement AoeR        
1.88%, 06/17/2019   500   509 0.63%, 04/18/2016   300   300
Tennessee Valley Authority         1.13%, 10/14/2016   400   403
3.50%, 12/15/2042   400   408 1.75%, 03/17/2020   300   303
4.50%, 04/01/2018   51   56 Inter-American Development Bank        
5.25%, 09/15/2039   51   67 0.88%, 11/15/2016   350   351
5.38%, 04/01/2056   154   206 1.00%, 07/14/2017   1,000   1,005
6.75%, 11/01/2025   102   142 1.13%, 03/15/2017   257   259
Turkey Government International Bond         1.75%, 08/24/2018   500   509
3.25%, 03/23/2023   700   662 1.75%, 10/15/2019   500   509
4.88%, 04/16/2043   900   889 2.13%, 11/09/2020   250   257
5.75%, 03/22/2024   250   278 3.00%, 02/21/2024   250   271
6.63%, 02/17/2045   200   247 3.88%, 09/17/2019   77   85
6.75%, 04/03/2018   500   554 3.88%, 02/14/2020   77   86
7.00%, 09/26/2016   200   216 International Bank for Reconstruction &        
7.00%, 06/05/2020   500   578 Development        
7.38%, 02/05/2025   750   931 0.50%, 05/16/2016   500   500
          0.88%, 04/17/2017   500   503

 

See accompanying notes.

47

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Supranational Bank (continued)         Telecommunications (continued)        
International Bank for Reconstruction &         Telefonica Emisiones SAU        
Development (continued)         3.19%, 04/27/2018 $ 1,000 $ 1,043
1.00%, 09/15/2016 $ 257 $ 258 5.13%, 04/27/2020   168   190
1.13%, 07/18/2017   500   505 7.05%, 06/20/2036   295   407
1.38%, 04/10/2018   500   510 Verizon Communications Inc        
1.63%, 02/10/2022   1,000   990 1.10%, 11/01/2017   100   99
1.88%, 03/15/2019   500   512 2.45%, 11/01/2022   100   97
2.13%, 11/01/2020   750   773 2.63%, 02/21/2020   1,189   1,210
2.25%, 06/24/2021   500   513 4.40%, 11/01/2034   500   509
7.63%, 01/19/2023   12   17 4.50%, 09/15/2020   400   442
International Finance Corp         4.60%, 04/01/2021   77   86
0.63%, 11/15/2016   250   250 5.15%, 09/15/2023   1,100   1,261
0.88%, 06/15/2018   300   297 6.25%, 04/01/2037   261   322
1.13%, 11/23/2016   328   330 6.35%, 04/01/2019   982   1,143
1.25%, 07/16/2018   500   502 6.40%, 09/15/2033   900   1,123
2.25%, 04/11/2016   300   306 6.55%, 09/15/2043   1,960   2,552
Nordic Investment Bank         6.90%, 04/15/2038   256   334
5.00%, 02/01/2017   354   381 7.75%, 12/01/2030   146   206
    $   29,293 Vodafone Group PLC        
          2.95%, 02/19/2023   200   197
Telecommunications - 1.58%         5.45%, 06/10/2019   180   204
America Movil SAB de CV         5.63%, 02/27/2017   448   484
2.38%, 09/08/2016   357   363 6.15%, 02/27/2037   201   244
3.13%, 07/16/2022   100   102 6.25%, 11/30/2032   1,000   1,223
5.63%, 11/15/2017   1,015   1,121     $   28,792
6.13%, 03/30/2040   102   126          
6.38%, 03/01/2035   200   250 Toys, Games & Hobbies - 0.03%        
AT&T Inc         Hasbro Inc        
1.60%, 02/15/2017   128   128 3.15%, 05/15/2021   250   254
1.70%, 06/01/2017   1,045   1,049 6.35%, 03/15/2040   25   30
2.63%, 12/01/2022   600   584 Mattel Inc        
3.00%, 02/15/2022   100   100 2.35%, 05/06/2019   250   249
3.88%, 08/15/2021   77   82     $   533
4.30%, 12/15/2042   201   192          
4.35%, 06/15/2045   950   909 Transportation - 0.51%        
5.50%, 02/01/2018   702   773 Burlington Northern Santa Fe LLC        
6.30%, 01/15/2038   500   599 3.00%, 04/01/2025   500   504
6.50%, 09/01/2037   521   638 4.70%, 10/01/2019   783   877
BellSouth Corp         5.15%, 09/01/2043   350   408
6.00%, 11/15/2034   200   223 5.65%, 05/01/2017   54   59
British Telecommunications PLC         6.20%, 08/15/2036   500   663
5.95%, 01/15/2018   669   748 7.95%, 08/15/2030   77   114
9.62%, 12/15/2030(a)   77   127 Canadian National Railway Co        
Cisco Systems Inc         1.45%, 12/15/2016   51   52
4.45%, 01/15/2020   102   114 2.25%, 11/15/2022   200   197
4.95%, 02/15/2019   855   962 3.50%, 11/15/2042   200   195
5.90%, 02/15/2039   680   874 5.55%, 03/01/2019   15   17
Deutsche Telekom International Finance BV         Canadian Pacific Railway Co        
6.00%, 07/08/2019   300   349 4.45%, 03/15/2023   128   142
8.75%, 06/15/2030(a)   141   216 CSX Corp        
Embarq Corp         3.70%, 11/01/2023   500   534
7.08%, 06/01/2016   202   214 4.75%, 05/30/2042   277   315
Harris Corp         6.25%, 03/15/2018   82   93
4.40%, 12/15/2020   51   55 FedEx Corp        
Juniper Networks Inc         2.63%, 08/01/2022   100   100
4.35%, 06/15/2025   200   203 3.88%, 08/01/2042   100   96
4.60%, 03/15/2021   1,000   1,064 3.90%, 02/01/2035   300   302
Motorola Solutions Inc         4.50%, 02/01/2065   500   496
4.00%, 09/01/2024   500   517 Norfolk Southern Corp        
Orange SA         3.25%, 12/01/2021   251   261
4.13%, 09/14/2021   128   141 3.85%, 01/15/2024   200   216
5.38%, 01/13/2042   102   118 4.80%, 08/15/2043   350   403
9.00%, 03/01/2031(a)   315   486 4.84%, 10/01/2041   100   114
Pacific Bell Telephone Co         7.25%, 02/15/2031   130   182
7.13%, 03/15/2026   377   479 Ryder System Inc        
Qwest Corp         2.35%, 02/26/2019   200   201
6.75%, 12/01/2021   200   229 2.45%, 09/03/2019   350   351
7.25%, 10/15/2035   200   207 Union Pacific Corp        
Rogers Communications Inc         4.15%, 01/15/2045   350   378
3.00%, 03/15/2023   400   398 4.16%, 07/15/2022   241   270
5.00%, 03/15/2044   500   551 4.75%, 09/15/2041   77   90
6.80%, 08/15/2018   108   125          

 

See accompanying notes.

48

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  BONDS (continued)     Amount (000's) Value (000's) MUNICIPAL BONDS (continued)   Amount (000's) Value (000's)
 
  Transportation (continued)           Florida - 0.01%        
  United Parcel Service Inc           State Board of Administration Finance Corp        
  1.13%, 10/01/2017   $ 400 $ 403 2.11%, 07/01/2018 $ 200 $ 202
  3.13%, 01/15/2021     1,128   1,199          
  4.88%, 11/15/2040     25   30          
  6.20%, 01/15/2038     23   31 Georgia - 0.03%        
              Municipal Electric Authority of Georgia        
        $   9,293 6.64%, 04/01/2057   151   198
  Trucking & Leasing - 0.01%           7.06%, 04/01/2057   200   238
  GATX Corp           State of Georgia        
  4.75%, 06/15/2022     200   221 4.50%, 11/01/2025   175   197
                  $   633
 
Water- 0.00 %         Illinois - 0.13%        
  American Water Capital Corp           Chicago Transit Authority        
  6.59%, 10/15/2037     5   7 6.20%, 12/01/2040   70   84
              6.90%, 12/01/2040   200   258
  TOTAL BONDS     $   637,660 City of Chicago IL        
        Principal     6.31%, 01/01/2044   250   252
  MUNICIPAL BONDS - 0.95%     Amount (000's) Value (000's) City of Chicago IL Waterworks Revenue        
              6.74%, 11/01/2040   145   189
  California - 0.36%           County of Cook IL        
  Bay Area Toll Authority           6.23%, 11/15/2034   102   114
  6.26%, 04/01/2049   $ 300 $ 432 State of Illinois        
  6.92%, 04/01/2040     270   380 4.95%, 06/01/2023   30   32
  City of Los Angeles Department of Airports           5.10%, 06/01/2033   735   748
  6.58%, 05/15/2039     100   134 5.37%, 03/01/2017   100   107
  City of San Francisco CA Public Utilities           5.88%, 03/01/2019   345   386
  Commission Water Revenue           7.35%, 07/01/2035   70   84
  6.00%, 11/01/2040     200   261     $   2,254
  East Bay Municipal Utility District Water                    
  System Revenue           Kansas - 0.01%        
  5.87%, 06/01/2040     60   81 State of Kansas Department of        
  Los Angeles Department of Water           Transportation        
  6.01%, 07/01/2039     55   71 4.60%, 09/01/2035   115   130
  Los Angeles Department of Water & Power                    
  6.57%, 07/01/2045     150   220 Nevada - 0.00%        
  Los Angeles Unified School District/CA           County of Clark Department of Aviation        
  5.75%, 07/01/2034     80   102 6.82%, 07/01/2045   25   37
  5.76%, 07/01/2029     50   62 6.88%, 07/01/2042   70   81
  6.76%, 07/01/2034     130   181     $   118
  Regents of the University of California                    
  Medical Center Pooled Revenue           New Jersey - 0.06%        
  6.55%, 05/15/2048     250   341 New Jersey Economic Development        
  Sacramento Municipal Utility District           Authority (credit support from AGM)        
  6.16%, 05/15/2036     120   157 0.00%, 02/15/2023(d),(e)   51   38
  San Diego County Water Authority Financing           New Jersey Economic Development        
  Corp           Authority (credit support from NATL-RE)        
  6.14%, 05/01/2049     110   153 7.43%, 02/15/2029(e)   200   252
  Santa Clara Valley Transportation Authority           New Jersey State Turnpike Authority        
  5.88%, 04/01/2032     25   31 7.10%, 01/01/2041   147   216
  State of California           New Jersey Transportation Trust Fund        
  6.65%, 03/01/2022     1,275   1,583 Authority        
  7.30%, 10/01/2039     375   559 5.75%, 12/15/2028   190   214
  7.60%, 11/01/2040     180   289 6.56%, 12/15/2040   210   268
  7.63%, 03/01/2040     280   436 Rutgers The State University of New        
  7.95%, 03/01/2036     500   618 Jersey (credit support from GO OF UNIV)        
  University of California           5.67%, 05/01/2040(e)   130   167
  1.80%, 07/01/2019     300   302     $   1,155
  3.93%, 05/15/2045     200   204          
  5.77%, 05/15/2043     200   257 New York - 0.14%        
        $   6,854 City of New York NY        
              5.52%, 10/01/2037   25   31
  Connecticut - 0.00%           5.85%, 06/01/2040   300   392
  State of Connecticut           Metropolitan Transportation Authority        
  5.85%, 03/15/2032     25   32 6.55%, 11/15/2031   180   242
              6.65%, 11/15/2039   100   139
  District of Columbia - 0.03%           6.81%, 11/15/2040   135   192
  District of Columbia Water & Sewer           New York City Transitional Finance Authority        
  Authority           Future Tax Secured Revenue        
  4.81%, 10/01/2114     450   542 5.51%, 08/01/2037   250   316
              New York City Water & Sewer System        
              5.72%, 06/15/2042   270   356
              5.95%, 06/15/2042   125   169

 

See accompanying notes.

49

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
      Principal     U.S. GOVERNMENT & GOVERNMENT Principal    
  MUNICIPAL BONDS (continued)   Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
              Federal Home Loan Mortgage Corporation (FHLMC)      
  New York (continued)           (continued)        
  New York State Dormitory Authority                    
  5.60%, 03/15/2040   $ 100 $ 129 2.50%, 10/01/2027 $ 362 $ 371
              2.50%, 03/01/2028   804   826
  Port Authority of New York & New Jersey           2.50%, 04/01/2028   168   173
  4.46%, 10/01/2062     100   109 2.50%, 04/01/2028     58    60
  4.96%, 08/01/2046     300   358 2.50%, 04/01/2028 (f)   2,100   2,153
  Port Authority of New York & New           2.50%, 06/01/2028   1,028   1,056
  Jersey (credit support from GO OF AUTH)                    
  6.04%, 12/01/2029(e)     50   64 2.50%, 06/01/2028   181   186
              2.50%, 06/01/2028   421   433
        $   2,497 2.50%, 06/01/2028   195   201
Ohio- 0.03 %         2.50%, 07/01/2028   687   706
  American Municipal Power Inc           2.50%, 10/01/2028   363   373
  6.27%, 02/15/2050     69   88 2.50%, 10/01/2028   345   355
  7.50%, 02/15/2050     75   111 2.50%, 10/01/2029   959   984
  Ohio State University/The           2.50%, 12/01/2029   1,175   1,206
  4.91%, 06/01/2040     125   152 2.50%, 02/01/2043   277   273
        $   351 2.67%, 01/01/2042(a)   53   55
              3.00%, 01/01/2027   421   442
Texas- 0.13 %         3.00%, 02/01/2027   365   382
  City of Houston TX Combined Utility System           3.00%, 02/01/2027   153   160
  Revenue           3.00%, 03/01/2027   321   337
  3.83%, 05/15/2028     250   269 3.00%, 06/01/2027   245   257
  City Public Service Board of San Antonio           3.00%, 04/01/2028(f)   800   838
  TX           3.00%, 10/01/2028   906   949
  5.72%, 02/01/2041     125   167 3.00%, 07/01/2029   1,088   1,141
  5.81%, 02/01/2041     135   180 3.00%, 07/01/2029   630   660
  Dallas Area Rapid Transit           3.00%, 07/01/2029   828   867
  5.02%, 12/01/2048     50   62 3.00%, 08/01/2029   471   494
  Dallas Convention Center Hotel Development           3.00%, 09/01/2029   197   207
  Corp           3.00%, 10/01/2029   283   297
  7.09%, 01/01/2042     70   93 3.00%, 11/01/2029   483   506
  Dallas County Hospital District           3.00%, 11/01/2029   283   296
  5.62%, 08/15/2044     83   110 3.00%, 12/01/2029   98   103
  Dallas Independent School District (credit           3.00%, 02/01/2032   174   180
  support from PSF-GTD)           3.00%, 04/01/2033   435   450
  6.45%, 02/15/2035(e)     50   60          
              3.00%, 04/01/2033   429   443
  Grand Parkway Transportation Corp           3.00%, 06/01/2033   266   275
  5.18%, 10/01/2042     300   379 3.00%, 09/01/2033   363   376
  State of Texas           3.00%, 09/01/2033   363   375
  4.68%, 04/01/2040     100   120 3.00%, 01/01/2035   98   101
  5.52%, 04/01/2039     405   542 3.00%, 01/01/2043   598   612
  Texas Transportation Commission State           3.00%, 04/01/2043   515   526
  Highway Fund           3.00%, 04/01/2043(f)   3,800   3,877
  5.18%, 04/01/2030     125   152 3.00%, 05/01/2043   539   551
        $   2,134 3.00%, 05/01/2043(f)   600   611
Utah- 0.02 %         3.00%, 06/01/2043   940   961
  State of Utah           3.00%, 06/01/2043   305   312
  3.54%, 07/01/2025     300   323 3.00%, 07/01/2043   96   98
              3.00%, 07/01/2043   1,612   1,648
              3.00%, 07/01/2043   855   874
  Washington - 0.00%           3.00%, 07/01/2043   822   840
  State of Washington           3.00%, 08/01/2043   369   377
  5.09%, 08/01/2033     20   24 3.00%, 08/01/2043   46   47
              3.00%, 08/01/2043   188   192
  Wisconsin - 0.00%           3.00%, 08/01/2043   344   351
  State of Wisconsin (credit support from           3.00%, 08/01/2043   393   401
  AGM)           3.00%, 08/01/2043   517   528
  5.70%, 05/01/2026(e)     50   61 3.00%, 08/01/2043   2,685   2,744
              3.00%, 09/01/2043   959   980
  TOTAL MUNICIPAL BONDS     $   17,310 3.00%, 09/01/2043   590   603
  U.S. GOVERNMENT & GOVERNMENT   Principal     3.00%, 09/01/2043   99   101
  AGENCY OBLIGATIONS - 63.81%   Amount (000's) Value (000's) 3.00%, 09/01/2043   469   479
  Federal Home Loan Mortgage Corporation (FHLMC) -     3.00%, 10/01/2043   248   253
  7.59 %         3.00%, 10/01/2043   793   810
  2.00%, 09/01/2028   $ 243 $ 243 3.50%, 04/01/2021   83   88
  2.00%, 08/01/2029     1,017   1,018 3.50%, 10/01/2023   194   206
  2.23%, 07/01/2043(a)     250   256 3.50%, 10/01/2025   27   29
  2.44%, 10/01/2043(a)     673   693 3.50%, 10/01/2025   18   19
  2.50%, 08/01/2027     196   202 3.50%, 11/01/2025   46   49
  2.50%, 08/01/2027     207   213 3.50%, 11/01/2025   21   22
              3.50%, 11/01/2025   13   13
              3.50%, 11/01/2025   61   65

 

See accompanying notes.

50

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)       Federal Home Loan Mortgage Corporation (FHLMC)      
(continued)         (continued)        
3.50%, 11/01/2025 $ 8 $ 8 4.00%, 06/01/2025 $ 63 $ 66
3.50%, 12/01/2025   17   18 4.00%, 06/01/2025   33   36
3.50%, 12/01/2025   53   56 4.00%, 06/01/2025   371   395
3.50%, 01/01/2026   35   37 4.00%, 07/01/2025   540   575
3.50%, 01/01/2026   767   820 4.00%, 07/01/2025   12   13
3.50%, 02/01/2026   29   31 4.00%, 08/01/2025   25   26
3.50%, 04/01/2026   74   79 4.00%, 08/01/2025   35   38
3.50%, 05/01/2026   82   87 4.00%, 09/01/2025   7   7
3.50%, 06/01/2026   12   13 4.00%, 10/01/2025   83   89
3.50%, 06/01/2026   19   20 4.00%, 02/01/2026   38   40
3.50%, 07/01/2026   56   59 4.00%, 05/01/2026   102   109
3.50%, 07/01/2026   74   78 4.00%, 07/01/2026   65   69
3.50%, 07/01/2026   11   12 4.00%, 12/01/2030   94   101
3.50%, 08/01/2026   45   48 4.00%, 08/01/2031   106   115
3.50%, 09/01/2026   61   64 4.00%, 10/01/2031   141   152
3.50%, 10/01/2026   38   40 4.00%, 11/01/2031   43   46
3.50%, 01/01/2027   83   88 4.00%, 12/01/2031   68   73
3.50%, 01/01/2029   497   528 4.00%, 11/01/2033   172   185
3.50%, 06/01/2029   500   531 4.00%, 01/01/2034   272   293
3.50%, 07/01/2029   181   193 4.00%, 06/01/2039   7   8
3.50%, 08/01/2029   102   108 4.00%, 07/01/2039   59   64
3.50%, 01/01/2032   258   272 4.00%, 09/01/2039   34   36
3.50%, 02/01/2032   161   170 4.00%, 12/01/2039   30   32
3.50%, 03/01/2032   193   204 4.00%, 12/01/2039   46   50
3.50%, 04/01/2032   181   191 4.00%, 01/01/2040   45   49
3.50%, 08/01/2032   152   161 4.00%, 03/01/2040   24   25
3.50%, 01/01/2034   176   185 4.00%, 09/01/2040   60   64
3.50%, 02/01/2035   298   314 4.00%, 09/01/2040   11   12
3.50%, 02/01/2041   71   74 4.00%, 10/01/2040   128   137
3.50%, 10/01/2041   72   75 4.00%, 10/01/2040   55   59
3.50%, 11/01/2041   68   71 4.00%, 12/01/2040   83   89
3.50%, 01/01/2042   150   158 4.00%, 12/01/2040   150   160
3.50%, 02/01/2042   853   896 4.00%, 12/01/2040   72   77
3.50%, 02/01/2042   66   69 4.00%, 12/01/2040   57   61
3.50%, 03/01/2042   19   20 4.00%, 12/01/2040   86   93
3.50%, 03/01/2042   77   81 4.00%, 02/01/2041   589   631
3.50%, 04/01/2042   202   212 4.00%, 02/01/2041   130   140
3.50%, 04/01/2042   184   193 4.00%, 02/01/2041   162   173
3.50%, 04/01/2042   191   200 4.00%, 04/01/2041   66   70
3.50%, 04/01/2042   49   51 4.00%, 07/01/2041   53   57
3.50%, 04/01/2042   201   211 4.00%, 08/01/2041   50   54
3.50%, 06/01/2042   144   151 4.00%, 08/01/2041   131   140
3.50%, 06/01/2042   143   151 4.00%, 10/01/2041   163   175
3.50%, 06/01/2042   528   554 4.00%, 10/01/2041   77   82
3.50%, 07/01/2042   741   778 4.00%, 10/01/2041   173   185
3.50%, 07/01/2042   896   941 4.00%, 10/01/2041   67   72
3.50%, 08/01/2042   186   195 4.00%, 10/01/2041   20   22
3.50%, 08/01/2042   899   944 4.00%, 11/01/2041   295   316
3.50%, 08/01/2042   373   392 4.00%, 11/01/2041   167   178
3.50%, 02/01/2043   926   972 4.00%, 11/01/2041   107   115
3.50%, 08/01/2043   72   75 4.00%, 03/01/2042   175   187
3.50%, 02/01/2044   912   956 4.00%, 06/01/2042   332   357
3.50%, 06/01/2044   1,813   1,902 4.00%, 06/01/2042   284   304
3.50%, 08/01/2044   1,025   1,075 4.00%, 01/01/2044   382   408
3.50%, 09/01/2044   935   981 4.00%, 02/01/2044   824   888
3.50%, 04/01/2045(f)   12,400   12,996 4.00%, 02/01/2044   506   540
3.50%, 05/01/2045(f)   1,000   1,046 4.00%, 02/01/2044   279   298
4.00%, 05/01/2018   12   13 4.00%, 05/01/2044   185   197
4.00%, 05/01/2018   120   126 4.00%, 05/01/2044   286   306
4.00%, 10/01/2018   89   94 4.00%, 07/01/2044   873   932
4.00%, 04/01/2019   21   23 4.00%, 10/01/2044   959   1,025
4.00%, 10/01/2020   86   91 4.00%, 12/01/2044   1,183   1,264
4.00%, 05/01/2024   72   76 4.00%, 04/01/2045(f)   14,600   15,595
4.00%, 05/01/2024   132   140 4.50%, 05/01/2018   48   50
4.00%, 12/01/2024   17   18 4.50%, 08/01/2018   99   103
4.00%, 01/01/2025   42   45 4.50%, 11/01/2018   23   24
4.00%, 02/01/2025   27   29 4.50%, 04/01/2019   21   22
4.00%, 03/01/2025   22   23 4.50%, 04/01/2023   16   17
4.00%, 03/01/2025   33   35 4.50%, 01/01/2024   10   11
4.00%, 04/01/2025   34   36 4.50%, 01/01/2024   25   26
4.00%, 06/01/2025   30   32 4.50%, 04/01/2024   121   130

 

See accompanying notes.

51

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)       Federal Home Loan Mortgage Corporation (FHLMC)    
(continued)         (continued)        
4.50%, 07/01/2024 $ 22 $ 24 4.50%, 04/01/2043(f) $ 600 $ 653
4.50%, 09/01/2024   30   32 4.50%, 09/01/2043   92   101
4.50%, 09/01/2024   33   36 4.50%, 09/01/2043   508   553
4.50%, 11/01/2024   213   230 4.50%, 10/01/2043   46   50
4.50%, 04/01/2025   32   35 4.50%, 11/01/2043   39   43
4.50%, 05/01/2025   26   28 4.50%, 11/01/2043   241   262
4.50%, 07/01/2025   41   44 4.50%, 11/01/2043   100   109
4.50%, 09/01/2026   331   351 4.50%, 11/01/2043   362   394
4.50%, 02/01/2030   35   38 4.50%, 01/01/2044   528   576
4.50%, 08/01/2030   27   29 4.50%, 01/01/2044   444   484
4.50%, 05/01/2031   33   36 4.50%, 03/01/2044   571   622
4.50%, 06/01/2031   220   240 4.50%, 05/01/2044   842   917
4.50%, 05/01/2034   2   2 4.50%, 07/01/2044   200   218
4.50%, 08/01/2035   216   237 4.89%, 06/01/2038(a)   10   10
4.50%, 08/01/2035   110   120 5.00%, 05/01/2018   7   7
4.50%, 08/01/2036   34   37 5.00%, 08/01/2018   13   14
4.50%, 02/01/2039   85   93 5.00%, 10/01/2018   27   29
4.50%, 02/01/2039   3   3 5.00%, 04/01/2019   10   10
4.50%, 03/01/2039   57   64 5.00%, 12/01/2019   28   29
4.50%, 04/01/2039   128   139 5.00%, 12/01/2021   67   71
4.50%, 05/01/2039   400   437 5.00%, 02/01/2022   11   12
4.50%, 06/01/2039   73   80 5.00%, 09/01/2022   14   15
4.50%, 06/01/2039   376   410 5.00%, 06/01/2023   253   275
4.50%, 09/01/2039   560   611 5.00%, 06/01/2023   10   11
4.50%, 10/01/2039   241   263 5.00%, 09/01/2023   475   526
4.50%, 10/01/2039   120   134 5.00%, 12/01/2023   112   121
4.50%, 11/01/2039   73   80 5.00%, 04/01/2024   86   95
4.50%, 11/01/2039   109   119 5.00%, 07/01/2024   14   15
4.50%, 11/01/2039   34   38 5.00%, 06/01/2025   14   15
4.50%, 11/01/2039   95   104 5.00%, 06/01/2026   105   112
4.50%, 12/01/2039   159   177 5.00%, 08/01/2026   144   159
4.50%, 12/01/2039   51   56 5.00%, 12/01/2027   70   77
4.50%, 02/01/2040   126   140 5.00%, 02/01/2030   15   17
4.50%, 02/01/2040   120   134 5.00%, 03/01/2030   11   12
4.50%, 02/01/2040   20   22 5.00%, 07/01/2031   480   532
4.50%, 02/01/2040   92   100 5.00%, 08/01/2033   11   12
4.50%, 04/01/2040   104   114 5.00%, 08/01/2033   83   92
4.50%, 05/01/2040   111   123 5.00%, 09/01/2033   33   36
4.50%, 05/01/2040   39   42 5.00%, 09/01/2033   14   15
4.50%, 07/01/2040   84   93 5.00%, 03/01/2034   18   21
4.50%, 07/01/2040   88   98 5.00%, 04/01/2034   39   44
4.50%, 08/01/2040   40   44 5.00%, 05/01/2034   55   61
4.50%, 08/01/2040   78   85 5.00%, 05/01/2035   69   77
4.50%, 08/01/2040   53   58 5.00%, 06/01/2035   338   377
4.50%, 08/01/2040   41   45 5.00%, 08/01/2035   22   24
4.50%, 08/01/2040   150   166 5.00%, 08/01/2035   10   11
4.50%, 09/01/2040   23   25 5.00%, 09/01/2035   64   72
4.50%, 09/01/2040   36   39 5.00%, 09/01/2035   25   28
4.50%, 09/01/2040   29   31 5.00%, 10/01/2035   28   31
4.50%, 10/01/2040   440   481 5.00%, 11/01/2035   110   123
4.50%, 02/01/2041   73   80 5.00%, 12/01/2035   64   71
4.50%, 03/01/2041   676   738 5.00%, 12/01/2035   100   111
4.50%, 03/01/2041   105   115 5.00%, 04/01/2036   4   4
4.50%, 03/01/2041   543   592 5.00%, 06/01/2036   12   13
4.50%, 03/01/2041   943   1,039 5.00%, 08/01/2036   50   55
4.50%, 04/01/2041   140   153 5.00%, 01/01/2037   116   129
4.50%, 04/01/2041   72   79 5.00%, 05/01/2037   11   12
4.50%, 05/01/2041   158   172 5.00%, 01/01/2038   565   626
4.50%, 05/01/2041   51   56 5.00%, 02/01/2038   277   307
4.50%, 05/01/2041   154   169 5.00%, 02/01/2038   24   26
4.50%, 06/01/2041   92   101 5.00%, 03/01/2038   4   4
4.50%, 06/01/2041   76   84 5.00%, 06/01/2038   11   13
4.50%, 06/01/2041   65   71 5.00%, 09/01/2038   4   4
4.50%, 06/01/2041   54   59 5.00%, 09/01/2038   21   23
4.50%, 07/01/2041   95   103 5.00%, 11/01/2038   662   733
4.50%, 07/01/2041   99   108 5.00%, 12/01/2038   598   663
4.50%, 08/01/2041   73   79 5.00%, 01/01/2039   11   12
4.50%, 09/01/2041   812   888 5.00%, 01/01/2039   58   64
4.50%, 10/01/2041   130   142 5.00%, 02/01/2039   34   38
4.50%, 11/01/2041   656   717 5.00%, 03/01/2039   53   59
4.50%, 03/01/2042   145   158 5.00%, 06/01/2039   14   15

 

See accompanying notes.

52

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)       Federal Home Loan Mortgage Corporation (FHLMC)      
(continued)         (continued)        
5.00%, 07/01/2039 $ 58 $ 65 5.50%, 09/01/2038 $ 15 $ 17
5.00%, 09/01/2039   112   126 5.50%, 09/01/2038   258   290
5.00%, 09/01/2039   927   1,026 5.50%, 10/01/2038   225   252
5.00%, 10/01/2039   71   80 5.50%, 10/01/2038   8   9
5.00%, 01/01/2040   138   155 5.50%, 11/01/2038   2   2
5.00%, 03/01/2040   23   26 5.50%, 11/01/2038   10   11
5.00%, 07/01/2040   82   91 5.50%, 12/01/2038   204   229
5.00%, 07/01/2040   85   95 5.50%, 01/01/2039   30   33
5.00%, 08/01/2040   67   77 5.50%, 02/01/2039   342   383
5.00%, 08/01/2040   235   261 5.50%, 03/01/2039   575   646
5.00%, 09/01/2040   265   296 5.50%, 04/01/2039   43   49
5.00%, 02/01/2041   1,154   1,283 5.50%, 09/01/2039   70   79
5.00%, 04/01/2041   59   66 5.50%, 12/01/2039   60   67
5.00%, 05/01/2041   15   16 5.50%, 01/01/2040   57   65
5.00%, 06/01/2041   282   313 5.50%, 03/01/2040   8   10
5.00%, 07/01/2041   87   96 5.50%, 06/01/2040   70   80
5.00%, 09/01/2041   107   119 5.50%, 06/01/2041   755   847
5.00%, 10/01/2041   118   131 6.00%, 05/01/2021   2   2
5.00%, 11/01/2041   363   402 6.00%, 11/01/2022   10   11
5.00%, 04/01/2043(f)   300   333 6.00%, 02/01/2027   26   29
5.50%, 10/01/2016   4   4 6.00%, 07/01/2029   1   2
5.50%, 02/01/2017   7   8 6.00%, 07/01/2029   5   6
5.50%, 01/01/2018   4   4 6.00%, 02/01/2031   4   5
5.50%, 01/01/2018   14   15 6.00%, 12/01/2031   4   5
5.50%, 01/01/2022   12   13 6.00%, 01/01/2032   38   44
5.50%, 04/01/2023   39   43 6.00%, 11/01/2033   63   71
5.50%, 01/01/2028   193   217 6.00%, 06/01/2034   57   66
5.50%, 12/01/2032   57   64 6.00%, 08/01/2034   8   9
5.50%, 03/01/2033   6   7 6.00%, 05/01/2036   34   39
5.50%, 12/01/2033   3   3 6.00%, 06/01/2036   59   68
5.50%, 01/01/2034   20   23 6.00%, 11/01/2036   58   66
5.50%, 01/01/2034   115   130 6.00%, 12/01/2036   272   311
5.50%, 02/01/2034   277   312 6.00%, 02/01/2037   5   6
5.50%, 03/01/2034   48   54 6.00%, 03/01/2037   3   3
5.50%, 10/01/2034   19   22 6.00%, 05/01/2037   4   4
5.50%, 10/01/2034   4   5 6.00%, 10/01/2037   27   31
5.50%, 02/01/2035   41   46 6.00%, 11/01/2037   32   36
5.50%, 03/01/2035   28   32 6.00%, 12/01/2037   142   162
5.50%, 05/01/2035   31   35 6.00%, 12/01/2037   6   7
5.50%, 11/01/2035   46   52 6.00%, 01/01/2038   31   35
5.50%, 04/01/2036   569   639 6.00%, 01/01/2038   8   9
5.50%, 05/01/2036   11   13 6.00%, 01/01/2038(a)   10   11
5.50%, 05/01/2036   46   52 6.00%, 01/01/2038   103   118
5.50%, 07/01/2036   46   52 6.00%, 01/01/2038   26   29
5.50%, 07/01/2036   208   234 6.00%, 01/01/2038   30   34
5.50%, 11/01/2036   25   29 6.00%, 04/01/2038   178   202
5.50%, 12/01/2036   8   9 6.00%, 05/01/2038   40   46
5.50%, 12/01/2036   378   424 6.00%, 07/01/2038   14   16
5.50%, 12/01/2036   1   2 6.00%, 07/01/2038   24   28
5.50%, 12/01/2036   307   344 6.00%, 08/01/2038   11   12
5.50%, 01/01/2037   342   387 6.00%, 09/01/2038   18   21
5.50%, 02/01/2037   211   236 6.00%, 09/01/2038   13   15
5.50%, 02/01/2037   2   2 6.00%, 12/01/2039   6   7
5.50%, 07/01/2037   3   4 6.50%, 06/01/2017   4   4
5.50%, 07/01/2037   23   26 6.50%, 04/01/2028   1   1
5.50%, 09/01/2037   13   15 6.50%, 03/01/2029   1   2
5.50%, 11/01/2037   16   18 6.50%, 05/01/2031   8   9
5.50%, 01/01/2038   72   81 6.50%, 06/01/2031   1   1
5.50%, 01/01/2038   13   14 6.50%, 10/01/2031   1   1
5.50%, 04/01/2038   3   4 6.50%, 05/01/2032   1   1
5.50%, 04/01/2038   6   7 6.50%, 04/01/2035   3   3
5.50%, 04/01/2038   54   61 6.50%, 03/01/2036   4   5
5.50%, 05/01/2038   13   15 6.50%, 09/01/2036   13   15
5.50%, 05/01/2038   8   9 6.50%, 08/01/2037   4   5
5.50%, 06/01/2038   177   199 6.50%, 10/01/2037   30   36
5.50%, 06/01/2038   4   4 6.50%, 11/01/2037   19   23
5.50%, 06/01/2038   16   17 6.50%, 12/01/2037   2   2
5.50%, 07/01/2038   6   6 6.50%, 02/01/2038   4   5
5.50%, 07/01/2038   38   43 6.50%, 09/01/2038   19   22
5.50%, 07/01/2038   8   9 6.50%, 10/01/2038   7   9
5.50%, 08/01/2038   56   63 6.50%, 01/01/2039   13   15

 

See accompanying notes.

53

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)              
(continued)         Federal National Mortgage Association (FNMA) (continued)    
          3.00%, 03/01/2029 $ 650 $ 682
6.50%, 09/01/2039 $ 28 $ 33 3.00%, 04/01/2029   94   98
7.00%, 10/01/2029   1   1          
7.00%, 09/01/2031   7   8 3.00%, 04/01/2029   472   495
          3.00%, 05/01/2029   293   308
7.00%, 01/01/2032   1   1 3.00%, 05/01/2029   100   105
7.00%, 09/01/2038   7   9          
7.50%, 07/01/2029   25   31 3.00%, 05/01/2029   186   195
          3.00%, 06/01/2029   196   205
7.50%, 10/01/2030   2   2 3.00%, 07/01/2029   235   247
    $   138,658 3.00%, 08/01/2029   443   465
Federal National Mortgage Association (FNMA) - 13.02%     3.00%, 08/01/2029   40   42
2.00%, 08/01/2028   233   233 3.00%, 08/01/2029   506   531
2.00%, 09/01/2028   343   343 3.00%, 08/01/2029   426   447
2.00%, 11/01/2028   67   67 3.00%, 10/01/2029   288   302
2.00%, 01/01/2029   24   24 3.00%, 10/01/2029   447   470
2.00%, 05/01/2029   885   886 3.00%, 10/01/2029   318   334
2.00%, 04/01/2030(f)   600   601 3.00%, 11/01/2029   180   189
2.18%, 05/01/2043(a)   432   443 3.00%, 01/01/2030   1,171   1,229
2.50%, 12/01/2027   23   24 3.00%, 04/01/2030(f)   1,900   1,992
2.50%, 01/01/2028   374   385 3.00%, 08/01/2032   590   612
2.50%, 02/01/2028   92   94 3.00%, 10/01/2032   630   653
2.50%, 04/01/2028(f)   5,100   5,238 3.00%, 08/01/2033   1,413   1,465
2.50%, 06/01/2028   22   23 3.00%, 12/01/2033   636   663
2.50%, 06/01/2028   579   595 3.00%, 10/01/2034   190   197
2.50%, 07/01/2028   427   439 3.00%, 11/01/2034   192   198
2.50%, 08/01/2028   183   188 3.00%, 02/01/2035   496   514
2.50%, 08/01/2028   428   441 3.00%, 04/01/2042   377   387
2.50%, 08/01/2028   25   25 3.00%, 09/01/2042   190   195
2.50%, 08/01/2028   392   403 3.00%, 12/01/2042   189   194
2.50%, 09/01/2028   174   179 3.00%, 02/01/2043   802   823
2.50%, 09/01/2028   494   508 3.00%, 02/01/2043   823   844
2.50%, 10/01/2028   517   532 3.00%, 04/01/2043   641   657
2.50%, 05/01/2029   96   99 3.00%, 04/01/2043   700   717
2.50%, 06/01/2029   914   940 3.00%, 04/01/2043   816   836
2.50%, 07/01/2029   400   411 3.00%, 04/01/2043   628   644
2.50%, 07/01/2029   424   436 3.00%, 04/01/2043   1,808   1,852
2.50%, 07/01/2029   529   544 3.00%, 04/01/2043   817   837
2.50%, 09/01/2029   577   594 3.00%, 04/01/2043(f)   10,100   10,326
2.50%, 09/01/2029   95   97 3.00%, 04/01/2043   520   533
2.50%, 12/01/2029   500   514 3.00%, 04/01/2043   460   471
2.50%, 12/01/2029   161   165 3.00%, 05/01/2043   527   540
2.50%, 12/01/2029   100   103 3.00%, 05/01/2043   928   951
2.50%, 01/01/2030   430   442 3.00%, 05/01/2043   633   649
2.50%, 02/01/2030   200   206 3.00%, 05/01/2043   100   103
2.50%, 11/01/2032   87   88 3.00%, 06/01/2043   845   865
2.50%, 07/01/2033   179   181 3.00%, 06/01/2043   632   648
2.50%, 01/01/2043   826   817 3.00%, 06/01/2043   41   42
2.50%, 07/01/2043   298   295 3.00%, 06/01/2043   32   33
2.50%, 08/01/2043   194   193 3.00%, 06/01/2043   842   863
2.51%, 07/01/2041   57   61 3.00%, 07/01/2043   272   279
2.60%, 02/01/2042(a)   111   117 3.00%, 07/01/2043   55   56
2.68%, 12/01/2043(a)   131   137 3.00%, 07/01/2043   441   452
2.72%, 11/01/2043(a)   323   335 3.00%, 07/01/2043   694   711
2.81%, 01/01/2042(a)   118   124 3.00%, 07/01/2043   251   257
2.86%, 02/01/2042(a)   69   73 3.00%, 07/01/2043   467   478
2.94%, 05/01/2042(a)   427   444 3.00%, 08/01/2043   485   497
3.00%, 08/01/2021   380   399 3.00%, 08/01/2043   112   115
3.00%, 09/01/2026   105   110 3.00%, 08/01/2043   289   296
3.00%, 11/01/2026   371   390 3.00%, 08/01/2043   188   192
3.00%, 11/01/2026   130   137 3.00%, 08/01/2043   1,392   1,426
3.00%, 01/01/2027   92   96 3.00%, 08/01/2043   926   948
3.00%, 02/01/2027   84   88 3.00%, 08/01/2043   392   402
3.00%, 04/01/2027   153   161 3.00%, 08/01/2043   755   772
3.00%, 04/01/2027   142   149 3.00%, 09/01/2043   23   24
3.00%, 07/01/2027   424   446 3.00%, 09/01/2043   479   490
3.00%, 08/01/2027   465   488 3.00%, 09/01/2043   23   24
3.00%, 10/01/2028   734   770 3.00%, 09/01/2043   1,141   1,169
3.00%, 11/01/2028   491   516 3.00%, 09/01/2043   33   33
3.00%, 12/01/2028   57   59 3.00%, 10/01/2043   252   258
3.00%, 12/01/2028   76   80 3.00%, 11/01/2043   180   184
3.00%, 02/01/2029   388   407 3.00%, 11/01/2043   280   287
3.00%, 03/01/2029   297   312 3.00%, 11/01/2043   183   188

 

See accompanying notes.

54

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
3.00%, 01/01/2044 $ 196 $ 200 3.50%, 03/01/2042 $ 641 $ 674
3.03%, 12/01/2041(a)   57   60 3.50%, 03/01/2042   77   81
3.12%, 06/01/2040(a)   23   25 3.50%, 04/01/2042   172   181
3.17%, 12/01/2040(a)   38   40 3.50%, 04/01/2042   165   174
3.23%, 07/01/2040(a)   68   72 3.50%, 04/01/2042   138   145
3.42%, 01/01/2040(a)   53   56 3.50%, 04/01/2042   137   144
3.49%, 02/01/2041(a)   43   45 3.50%, 05/01/2042   207   218
3.50%, 03/01/2020   55   59 3.50%, 07/01/2042   232   244
3.50%, 01/01/2021   43   46 3.50%, 07/01/2042   399   420
3.50%, 05/01/2021   200   212 3.50%, 08/01/2042   280   294
3.50%, 08/01/2025   35   38 3.50%, 09/01/2042   220   231
3.50%, 10/01/2025   27   29 3.50%, 09/01/2042   99   104
3.50%, 11/01/2025   32   33 3.50%, 10/01/2042   34   36
3.50%, 12/01/2025   57   61 3.50%, 10/01/2042   799   840
3.50%, 12/01/2025   36   38 3.50%, 04/01/2043   188   198
3.50%, 12/01/2025   188   200 3.50%, 04/01/2043   355   374
3.50%, 01/01/2026   110   117 3.50%, 05/01/2043   1,143   1,205
3.50%, 01/01/2026   877   932 3.50%, 05/01/2043(f)   1,000   1,048
3.50%, 02/01/2026   73   77 3.50%, 05/01/2043   495   521
3.50%, 03/01/2026   838   891 3.50%, 05/01/2043   928   980
3.50%, 03/01/2026   11   12 3.50%, 06/01/2043   545   573
3.50%, 05/01/2026   17   19 3.50%, 06/01/2043   941   994
3.50%, 06/01/2026   88   93 3.50%, 07/01/2043   513   542
3.50%, 07/01/2026   12   13 3.50%, 08/01/2043   277   292
3.50%, 08/01/2026   11   12 3.50%, 09/01/2043   952   1,001
3.50%, 08/01/2026   132   140 3.50%, 09/01/2043   361   379
3.50%, 09/01/2026   549   583 3.50%, 12/01/2043   298   314
3.50%, 10/01/2026   45   48 3.50%, 01/01/2044   94   99
3.50%, 12/01/2026   610   648 3.50%, 02/01/2044   901   948
3.50%, 12/01/2026   161   171 3.50%, 02/01/2044   511   537
3.50%, 01/01/2027   181   192 3.50%, 04/01/2044   93   98
3.50%, 01/01/2027   103   109 3.50%, 10/01/2044   486   511
3.50%, 02/01/2027   401   426 3.50%, 10/01/2044   285   299
3.50%, 11/01/2028   560   595 3.50%, 10/01/2044   249   262
3.50%, 12/01/2028   312   331 3.50%, 12/01/2044   1,172   1,232
3.50%, 03/01/2029   492   522 3.50%, 12/01/2044   1,191   1,253
3.50%, 03/01/2029   40   42 3.50%, 04/01/2045(f)   20,600   21,636
3.50%, 01/01/2031   20   21 3.53%, 05/01/2041(a)   42   45
3.50%, 04/01/2031   40   42 3.58%, 08/01/2040(a)   28   30
3.50%, 04/01/2032   165   175 3.61%, 05/01/2041(a)   38   40
3.50%, 05/01/2032   357   378 4.00%, 08/01/2018   452   477
3.50%, 06/01/2032   578   614 4.00%, 09/01/2018   73   77
3.50%, 07/01/2032   228   241 4.00%, 09/01/2018   159   168
3.50%, 09/01/2032   357   377 4.00%, 09/01/2018   56   59
3.50%, 09/01/2033   168   178 4.00%, 05/01/2019   175   185
3.50%, 10/01/2033   340   359 4.00%, 07/01/2019   26   27
3.50%, 11/01/2033   345   364 4.00%, 03/01/2024   129   136
3.50%, 01/01/2034   264   279 4.00%, 05/01/2024   23   24
3.50%, 06/01/2034   482   509 4.00%, 05/01/2024   28   30
3.50%, 08/01/2034   132   140 4.00%, 06/01/2024   51   54
3.50%, 10/01/2040   19   19 4.00%, 07/01/2024   47   49
3.50%, 11/01/2040   66   69 4.00%, 09/01/2024   21   22
3.50%, 12/01/2040   74   78 4.00%, 10/01/2024   193   205
3.50%, 01/01/2041   48   51 4.00%, 11/01/2024   10   10
3.50%, 02/01/2041   31   33 4.00%, 01/01/2025   36   38
3.50%, 02/01/2041   28   30 4.00%, 03/01/2025   37   39
3.50%, 03/01/2041   111   117 4.00%, 04/01/2025   12   13
3.50%, 03/01/2041   169   177 4.00%, 04/01/2025   192   203
3.50%, 10/01/2041   297   313 4.00%, 05/01/2025   7   7
3.50%, 12/01/2041   300   315 4.00%, 05/01/2025   37   40
3.50%, 12/01/2041   866   911 4.00%, 05/01/2025   34   36
3.50%, 12/01/2041   920   968 4.00%, 05/01/2025   34   36
3.50%, 01/01/2042   166   175 4.00%, 05/01/2025   11   12
3.50%, 01/01/2042   161   169 4.00%, 06/01/2025   29   31
3.50%, 01/01/2042   308   324 4.00%, 06/01/2025   12   13
3.50%, 02/01/2042   41   44 4.00%, 07/01/2025   83   88
3.50%, 02/01/2042   69   73 4.00%, 08/01/2025   38   40
3.50%, 03/01/2042   366   385 4.00%, 09/01/2025   41   44
3.50%, 03/01/2042   178   187 4.00%, 11/01/2025   52   55
3.50%, 03/01/2042   206   217 4.00%, 12/01/2025   64   68
3.50%, 03/01/2042   96   101 4.00%, 01/01/2026   172   183

 

See accompanying notes.

55

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
4.00%, 01/01/2026 $ 28 $ 30 4.00%, 01/01/2042 $ 170 $ 182
4.00%, 01/01/2026   333   352 4.00%, 01/01/2042   42   45
4.00%, 03/01/2026   86   91 4.00%, 01/01/2042   137   147
4.00%, 03/01/2026   157   167 4.00%, 02/01/2042   93   99
4.00%, 03/01/2026   7   7 4.00%, 05/01/2042   872   936
4.00%, 05/01/2026   46   49 4.00%, 02/01/2043   329   352
4.00%, 06/01/2026   47   50 4.00%, 02/01/2043   321   344
4.00%, 07/01/2026   44   47 4.00%, 08/01/2043   268   286
4.00%, 08/01/2026   213   227 4.00%, 09/01/2043   206   221
4.00%, 09/01/2026   98   104 4.00%, 12/01/2043   400   428
4.00%, 04/01/2029   12   13 4.00%, 01/01/2044   935   1,009
4.00%, 10/01/2030   36   39 4.00%, 02/01/2044   95   102
4.00%, 12/01/2030   290   312 4.00%, 06/01/2044   939   1,013
4.00%, 02/01/2031   99   106 4.00%, 07/01/2044   1,064   1,138
4.00%, 07/01/2031   61   66 4.00%, 10/01/2044   428   458
4.00%, 10/01/2031   240   259 4.00%, 11/01/2044   215   230
4.00%, 11/01/2031   57   61 4.00%, 12/01/2044   200   214
4.00%, 12/01/2031   47   51 4.00%, 12/01/2044   1,127   1,206
4.00%, 01/01/2032   72   78 4.00%, 12/01/2044   156   167
4.00%, 09/01/2033   477   515 4.00%, 01/01/2045   500   535
4.00%, 03/01/2039   20   21 4.00%, 02/01/2045   499   535
4.00%, 08/01/2039   10   11 4.00%, 04/01/2045(f)   29,950   32,023
4.00%, 08/01/2039   65   70 4.50%, 02/01/2018   26   28
4.00%, 10/01/2039   21   22 4.50%, 05/01/2018   418   439
4.00%, 11/01/2039   76   81 4.50%, 07/01/2018   16   17
4.00%, 12/01/2039   27   29 4.50%, 08/01/2018   288   302
4.00%, 02/01/2040   78   84 4.50%, 09/01/2018   354   371
4.00%, 05/01/2040   8   8 4.50%, 12/01/2018   272   285
4.00%, 05/01/2040   54   58 4.50%, 01/01/2019   2   2
4.00%, 08/01/2040   37   40 4.50%, 03/01/2019   116   121
4.00%, 10/01/2040   67   72 4.50%, 03/01/2019   90   95
4.00%, 10/01/2040   125   134 4.50%, 04/01/2019   267   280
4.00%, 10/01/2040   40   43 4.50%, 05/01/2019   52   54
4.00%, 10/01/2040   67   72 4.50%, 08/01/2019   4   4
4.00%, 10/01/2040   43   47 4.50%, 09/01/2020   9   9
4.00%, 10/01/2040   21   22 4.50%, 05/01/2022   25   27
4.00%, 10/01/2040   28   30 4.50%, 02/01/2024   6   7
4.00%, 11/01/2040   32   35 4.50%, 04/01/2024   4   4
4.00%, 12/01/2040   35   37 4.50%, 04/01/2024   2   2
4.00%, 12/01/2040   81   87 4.50%, 11/01/2024   18   20
4.00%, 12/01/2040   137   147 4.50%, 12/01/2024   23   25
4.00%, 12/01/2040   94   100 4.50%, 12/01/2024   45   48
4.00%, 12/01/2040   123   132 4.50%, 02/01/2025   56   60
4.00%, 01/01/2041   838   899 4.50%, 02/01/2025   35   37
4.00%, 01/01/2041   59   63 4.50%, 04/01/2025   7   8
4.00%, 01/01/2041   158   170 4.50%, 05/01/2025   52   56
4.00%, 01/01/2041   97   104 4.50%, 04/01/2026   77   83
4.00%, 02/01/2041   245   263 4.50%, 07/01/2029   6   6
4.00%, 02/01/2041   75   80 4.50%, 02/01/2030   32   35
4.00%, 02/01/2041   137   147 4.50%, 04/01/2030   11   12
4.00%, 02/01/2041   94   101 4.50%, 08/01/2030   223   244
4.00%, 02/01/2041   141   151 4.50%, 09/01/2030   180   198
4.00%, 03/01/2041   712   763 4.50%, 01/01/2031   36   39
4.00%, 03/01/2041   141   151 4.50%, 04/01/2031   21   23
4.00%, 03/01/2041   60   64 4.50%, 05/01/2031   32   35
4.00%, 04/01/2041   12   13 4.50%, 07/01/2031   130   143
4.00%, 09/01/2041   39   42 4.50%, 08/01/2031   67   74
4.00%, 09/01/2041   241   258 4.50%, 08/01/2033   4   4
4.00%, 09/01/2041   306   327 4.50%, 08/01/2033   38   42
4.00%, 10/01/2041   127   136 4.50%, 11/01/2033   86   94
4.00%, 10/01/2041   23   25 4.50%, 02/01/2035   287   314
4.00%, 10/01/2041   250   268 4.50%, 12/01/2035   239   263
4.00%, 11/01/2041   138   148 4.50%, 01/01/2036   3   4
4.00%, 11/01/2041   107   115 4.50%, 03/01/2036   9   10
4.00%, 11/01/2041   197   212 4.50%, 04/01/2038   80   87
4.00%, 11/01/2041   46   49 4.50%, 06/01/2038   48   53
4.00%, 12/01/2041   126   135 4.50%, 01/01/2039   11   12
4.00%, 12/01/2041   129   138 4.50%, 02/01/2039   26   29
4.00%, 12/01/2041   359   385 4.50%, 04/01/2039   20   22
4.00%, 12/01/2041   186   200 4.50%, 04/01/2039   100   112
4.00%, 12/01/2041   128   138 4.50%, 04/01/2039   88   97

 

See accompanying notes.

56

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
4.50%, 06/01/2039 $ 30 $ 33 4.50%, 04/01/2044 $ 300 $ 327
4.50%, 06/01/2039   50   55 4.50%, 05/01/2044   400   437
4.50%, 06/01/2039   125   137 4.50%, 05/01/2044   636   693
4.50%, 06/01/2039   139   154 4.50%, 06/01/2044   927   1,013
4.50%, 07/01/2039   90   98 4.50%, 07/01/2044   500   546
4.50%, 07/01/2039   106   118 4.50%, 10/01/2044   40   43
4.50%, 07/01/2039   54   59 5.00%, 12/01/2017   4   4
4.50%, 08/01/2039   55   61 5.00%, 03/01/2018   258   271
4.50%, 09/01/2039   54   60 5.00%, 11/01/2018   4   4
4.50%, 10/01/2039   162   177 5.00%, 06/01/2019   31   33
4.50%, 10/01/2039   100   109 5.00%, 07/01/2019   154   162
4.50%, 10/01/2039   25   27 5.00%, 11/01/2020   166   179
4.50%, 12/01/2039   105   116 5.00%, 11/01/2021   13   14
4.50%, 12/01/2039   35   39 5.00%, 02/01/2023   21   22
4.50%, 12/01/2039   46   50 5.00%, 07/01/2023   2   3
4.50%, 12/01/2039   148   164 5.00%, 09/01/2023   105   114
4.50%, 12/01/2039   65   73 5.00%, 12/01/2023   7   7
4.50%, 01/01/2040   197   216 5.00%, 12/01/2023   16   17
4.50%, 01/01/2040   129   143 5.00%, 01/01/2024   28   30
4.50%, 02/01/2040   56   62 5.00%, 01/01/2024   39   41
4.50%, 02/01/2040   95   105 5.00%, 02/01/2024   190   207
4.50%, 03/01/2040   60   66 5.00%, 07/01/2024   15   16
4.50%, 04/01/2040   108   118 5.00%, 12/01/2024   92   100
4.50%, 05/01/2040   250   275 5.00%, 11/01/2025   201   224
4.50%, 05/01/2040   59   65 5.00%, 04/01/2029   24   26
4.50%, 05/01/2040   64   70 5.00%, 03/01/2030   45   50
4.50%, 05/01/2040   165   180 5.00%, 08/01/2030   57   63
4.50%, 06/01/2040   45   50 5.00%, 05/01/2033   17   19
4.50%, 07/01/2040   3   3 5.00%, 05/01/2033   26   29
4.50%, 07/01/2040   56   62 5.00%, 07/01/2033   128   143
4.50%, 08/01/2040   148   162 5.00%, 08/01/2033   6   7
4.50%, 08/01/2040   80   88 5.00%, 09/01/2033   56   63
4.50%, 08/01/2040   467   512 5.00%, 11/01/2033   75   84
4.50%, 08/01/2040   284   311 5.00%, 02/01/2034   9   10
4.50%, 09/01/2040   59   65 5.00%, 03/01/2034   13   14
4.50%, 09/01/2040   44   48 5.00%, 05/01/2034   93   103
4.50%, 09/01/2040   36   39 5.00%, 02/01/2035   90   101
4.50%, 10/01/2040   211   231 5.00%, 03/01/2035   9   10
4.50%, 12/01/2040   904   997 5.00%, 04/01/2035   13   15
4.50%, 12/01/2040   40   44 5.00%, 06/01/2035   172   192
4.50%, 03/01/2041   59   65 5.00%, 07/01/2035   23   25
4.50%, 03/01/2041   79   87 5.00%, 07/01/2035   80   89
4.50%, 03/01/2041   90   99 5.00%, 07/01/2035   230   257
4.50%, 03/01/2041   301   330 5.00%, 07/01/2035   375   418
4.50%, 04/01/2041   70   77 5.00%, 07/01/2035   8   9
4.50%, 05/01/2041   94   102 5.00%, 09/01/2035   16   18
4.50%, 05/01/2041   279   306 5.00%, 10/01/2035   39   43
4.50%, 05/01/2041   152   166 5.00%, 01/01/2036   75   83
4.50%, 06/01/2041   54   59 5.00%, 03/01/2036   48   53
4.50%, 06/01/2041   90   99 5.00%, 03/01/2036   74   83
4.50%, 06/01/2041   288   316 5.00%, 04/01/2036   3   3
4.50%, 06/01/2041   214   234 5.00%, 05/01/2036   1   1
4.50%, 06/01/2041   168   184 5.00%, 06/01/2036   150   167
4.50%, 07/01/2041   65   72 5.00%, 07/01/2036   94   105
4.50%, 07/01/2041   110   120 5.00%, 04/01/2037   949   1,054
4.50%, 07/01/2041   70   78 5.00%, 07/01/2037   26   29
4.50%, 08/01/2041   105   115 5.00%, 02/01/2038   187   208
4.50%, 09/01/2041   175   191 5.00%, 04/01/2038   84   94
4.50%, 09/01/2041   485   532 5.00%, 06/01/2038   9   10
4.50%, 09/01/2041   105   115 5.00%, 12/01/2038   14   16
4.50%, 10/01/2041   111   121 5.00%, 01/01/2039   53   60
4.50%, 11/01/2041   133   145 5.00%, 01/01/2039   910   1,011
4.50%, 11/01/2041   109   120 5.00%, 02/01/2039   69   78
4.50%, 11/01/2041   108   118 5.00%, 03/01/2039   34   38
4.50%, 12/01/2041   133   146 5.00%, 03/01/2039   3   3
4.50%, 09/01/2042   194   213 5.00%, 04/01/2039   85   95
4.50%, 04/01/2043(f)   8,600   9,382 5.00%, 04/01/2039   32   36
4.50%, 09/01/2043   463   506 5.00%, 04/01/2039   59   66
4.50%, 09/01/2043   444   484 5.00%, 06/01/2039   195   218
4.50%, 03/01/2044   1,035   1,129 5.00%, 07/01/2039   376   417
4.50%, 04/01/2044   81   89 5.00%, 07/01/2039   85   96

 

See accompanying notes.

57

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
5.00%, 10/01/2039 $ 71 $ 79 5.50%, 05/01/2036 $ 275 $ 310
5.00%, 12/01/2039   138   154 5.50%, 07/01/2036   32   36
5.00%, 12/01/2039   55   62 5.50%, 08/01/2036   80   90
5.00%, 01/01/2040   114   129 5.50%, 09/01/2036   37   41
5.00%, 02/01/2040   141   161 5.50%, 09/01/2036   88   100
5.00%, 05/01/2040   43   48 5.50%, 10/01/2036   84   95
5.00%, 05/01/2040   373   416 5.50%, 11/01/2036   31   35
5.00%, 06/01/2040   24   27 5.50%, 11/01/2036   13   15
5.00%, 06/01/2040   106   119 5.50%, 11/01/2036   22   25
5.00%, 06/01/2040   102   113 5.50%, 01/01/2037   31   35
5.00%, 08/01/2040   171   190 5.50%, 02/01/2037   63   72
5.00%, 08/01/2040   57   64 5.50%, 03/01/2037   195   220
5.00%, 08/01/2040   41   46 5.50%, 05/01/2037   27   31
5.00%, 11/01/2040   62   69 5.50%, 05/01/2037   287   327
5.00%, 04/01/2041   51   57 5.50%, 05/01/2037   2   3
5.00%, 05/01/2041   62   69 5.50%, 05/01/2037   933   1,050
5.00%, 05/01/2041   55   61 5.50%, 06/01/2037   69   78
5.00%, 05/01/2041   66   73 5.50%, 07/01/2037   5   6
5.00%, 05/01/2041   74   82 5.50%, 07/01/2037   8   9
5.00%, 07/01/2041   14   15 5.50%, 08/01/2037   309   349
5.00%, 04/01/2043(f)   2,800   3,113 5.50%, 08/01/2037   303   343
5.00%, 09/01/2043   1,042   1,157 5.50%, 08/01/2037   413   465
5.00%, 12/01/2043   836   928 5.50%, 01/01/2038   8   9
5.00%, 01/01/2044   200   222 5.50%, 01/01/2038   12   14
5.00%, 03/01/2044   924   1,027 5.50%, 02/01/2038   84   95
5.50%, 10/01/2016   18   19 5.50%, 02/01/2038   36   41
5.50%, 01/01/2017   19   20 5.50%, 02/01/2038   53   60
5.50%, 02/01/2018   35   36 5.50%, 03/01/2038   23   26
5.50%, 12/01/2018   32   33 5.50%, 03/01/2038   35   40
5.50%, 05/01/2019   5   5 5.50%, 03/01/2038   22   24
5.50%, 08/01/2019   39   42 5.50%, 03/01/2038   145   163
5.50%, 12/01/2019   13   14 5.50%, 05/01/2038   13   15
5.50%, 01/01/2021   6   6 5.50%, 05/01/2038   50   56
5.50%, 05/01/2021   9   9 5.50%, 05/01/2038   817   919
5.50%, 10/01/2021   6   7 5.50%, 06/01/2038   411   462
5.50%, 11/01/2022   12   13 5.50%, 06/01/2038   31   35
5.50%, 11/01/2022   24   26 5.50%, 06/01/2038   298   335
5.50%, 02/01/2023   16   18 5.50%, 06/01/2038   4   5
5.50%, 03/01/2023   21   22 5.50%, 06/01/2038   3   3
5.50%, 04/01/2023   42   46 5.50%, 07/01/2038   18   20
5.50%, 07/01/2023   15   17 5.50%, 07/01/2038   27   31
5.50%, 09/01/2023   18   20 5.50%, 08/01/2038   345   388
5.50%, 12/01/2023   9   10 5.50%, 09/01/2038   3   4
5.50%, 05/01/2025   32   34 5.50%, 11/01/2038   291   327
5.50%, 07/01/2025   462   520 5.50%, 11/01/2038   17   20
5.50%, 06/01/2028   15   17 5.50%, 11/01/2038   12   14
5.50%, 09/01/2028   4   4 5.50%, 11/01/2038   179   202
5.50%, 01/01/2029   8   9 5.50%, 11/01/2038   15   17
5.50%, 12/01/2029   36   40 5.50%, 11/01/2038   8   9
5.50%, 06/01/2033   20   23 5.50%, 12/01/2038   11   13
5.50%, 04/01/2034   68   77 5.50%, 12/01/2038   25   28
5.50%, 04/01/2034   51   58 5.50%, 12/01/2038   32   36
5.50%, 04/01/2034   96   109 5.50%, 01/01/2039   28   31
5.50%, 05/01/2034   59   67 5.50%, 04/01/2039   16   18
5.50%, 06/01/2034   3   3 5.50%, 06/01/2039   364   409
5.50%, 11/01/2034   51   58 5.50%, 07/01/2039   78   88
5.50%, 01/01/2035   12   14 5.50%, 09/01/2039   55   62
5.50%, 01/01/2035   54   61 5.50%, 10/01/2039   20   22
5.50%, 03/01/2035   22   25 5.50%, 12/01/2039   40   45
5.50%, 04/01/2035   32   36 5.50%, 12/01/2039   103   118
5.50%, 04/01/2035   2   2 5.50%, 05/01/2040   207   233
5.50%, 08/01/2035   13   15 5.50%, 06/01/2040   14   16
5.50%, 09/01/2035   4   4 5.50%, 07/01/2040   46   52
5.50%, 10/01/2035   7   8 5.50%, 07/01/2041   298   335
5.50%, 10/01/2035   6   6 5.50%, 09/01/2041   84   94
5.50%, 11/01/2035   436   497 5.50%, 09/01/2041   115   129
5.50%, 12/01/2035   19   22 5.59%, 01/01/2036(a)   7   8
5.50%, 01/01/2036   8   8 6.00%, 10/01/2016   1   1
5.50%, 02/01/2036   70   79 6.00%, 06/01/2017   19   19
5.50%, 04/01/2036   3   4 6.00%, 06/01/2017   2   2
5.50%, 04/01/2036   59   67 6.00%, 05/01/2024   2   2

 

See accompanying notes.

58

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT     Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
6.00%, 12/01/2032 $ 30 $ 35 7.00%, 12/01/2037   $ 25 $ 29
6.00%, 01/01/2033   5   6 7.50%, 05/01/2031     13   16
6.00%, 10/01/2033   9   11       $   237,793
6.00%, 12/01/2033   22   25 Government National Mortgage Association (GNMA) -    
6.00%, 10/01/2034   35   40 7.68 %        
6.00%, 12/01/2034   15   17 2.00%, 10/20/2042(a)     142   146
6.00%, 01/01/2035   65   75 2.00%, 01/20/2043     145   149
6.00%, 07/01/2035   150   173 2.00%, 06/20/2043(a)     130   134
6.00%, 07/01/2035   59   67 2.50%, 09/20/2027     297   306
6.00%, 10/01/2035   56   64 2.50%, 04/20/2028     257   265
6.00%, 05/01/2036   7   8 2.50%, 07/20/2028     252   260
6.00%, 05/01/2036   4   5 2.50%, 12/20/2040     35   37
6.00%, 05/01/2036   1   2 2.50%, 02/20/2042(a)     108   111
6.00%, 06/01/2036   37   43 2.50%, 01/20/2043(a)     154   158
6.00%, 02/01/2037   51   59 2.50%, 03/15/2043     280   280
6.00%, 02/01/2037   7   8 2.50%, 04/01/2043     100   100
6.00%, 03/01/2037   39   45 2.50%, 07/20/2043     371   370
6.00%, 03/01/2037   101   115 2.50%, 11/20/2043(a)     585   602
6.00%, 06/01/2037   20   23 3.00%, 04/15/2027     162   171
6.00%, 07/01/2037   7   8 3.00%, 04/20/2027     280   295
6.00%, 09/01/2037   52   59 3.00%, 09/20/2027     279   294
6.00%, 10/01/2037   7   8 3.00%, 11/20/2027     144   152
6.00%, 11/01/2037   8   9 3.00%, 09/20/2028     167   176
6.00%, 11/01/2037   1   1 3.00%, 10/20/2028     252   266
6.00%, 11/01/2037   5   6 3.00%, 01/20/2029     82   87
6.00%, 12/01/2037   19   21 3.00%, 02/20/2041(a)     92   96
6.00%, 01/01/2038   301   344 3.00%, 11/20/2041(a)     142   148
6.00%, 01/01/2038   24   28 3.00%, 02/20/2042(a)     120   125
6.00%, 01/01/2038   15   17 3.00%, 04/15/2042     34   35
6.00%, 02/01/2038   9   11 3.00%, 04/20/2042(a)     356   371
6.00%, 03/01/2038   134   153 3.00%, 07/20/2042(a)     518   540
6.00%, 03/01/2038   19   22 3.00%, 09/20/2042     412   425
6.00%, 05/01/2038   15   17 3.00%, 10/15/2042     606   625
6.00%, 05/01/2038   11   12 3.00%, 12/20/2042     820   846
6.00%, 08/01/2038   24   27 3.00%, 03/20/2043     1,538   1,587
6.00%, 09/01/2038   82   94 3.00%, 03/20/2043     447   462
6.00%, 10/01/2038   52   59 3.00%, 04/01/2043     9,800   10,091
6.00%, 11/01/2038   132   151 3.00%, 04/01/2043(f)     200   206
6.00%, 12/01/2038   10   11 3.00%, 04/15/2043     96   99
6.00%, 10/01/2039   27   31 3.00%, 05/01/2043     400   411
6.00%, 10/01/2039   27   30 3.00%, 05/15/2043     72   75
6.00%, 04/01/2040   59   68 3.00%, 05/15/2043     34   35
6.00%, 09/01/2040   17   20 3.00%, 06/15/2043     760   784
6.00%, 10/01/2040   66   75 3.00%, 06/20/2043     446   461
6.00%, 10/01/2040   29   33 3.00%, 08/15/2043     463   477
6.00%, 05/01/2041   615   702 3.00%, 08/15/2043     646   666
6.50%, 12/01/2016   14   14 3.00%, 08/20/2043     201   208
6.50%, 07/01/2020   2   2 3.00%, 09/20/2043     732   755
6.50%, 03/01/2026   1   1 3.00%, 10/20/2043     362   374
6.50%, 12/01/2031   2   2 3.00%, 11/20/2043     270   279
6.50%, 03/01/2032   3   3 3.00%, 03/20/2044     583   601
6.50%, 07/01/2032   10   12 3.00%, 05/15/2044     57   59
6.50%, 11/01/2033   13   15 3.00%, 08/20/2044     2,365   2,441
6.50%, 08/01/2034   34   40 3.00%, 11/15/2044     925   957
6.50%, 09/01/2034   26   31 3.00%, 12/20/2044     1,188   1,226
6.50%, 10/01/2034   8   9 3.50%, 12/15/2025     21   22
6.50%, 07/01/2037   11   13 3.50%, 02/15/2026     75   80
6.50%, 07/01/2037   16   19 3.50%, 05/15/2026     30   32
6.50%, 08/01/2037   14   17 3.50%, 03/20/2027     71   75
6.50%, 10/01/2037   101   116 3.50%, 04/20/2027     114   121
6.50%, 01/01/2038   21   24 3.50%, 09/20/2028     228   243
6.50%, 01/01/2038   300   348 3.50%, 07/20/2040     26   27
6.50%, 02/01/2038   11   13 3.50%, 01/20/2041     106   111
6.50%, 02/01/2038   13   16 3.50%, 03/20/2041(a)     402   421
6.50%, 03/01/2038   68   83 3.50%, 05/20/2041     81   85
6.50%, 03/01/2038   6   7 3.50%, 11/15/2041     78   82
6.50%, 05/01/2038   25   29 3.50%, 11/20/2041     32   34
6.50%, 05/01/2038   176   208 3.50%, 01/15/2042     87   91
6.50%, 09/01/2038   11   12 3.50%, 01/20/2042     149   157
6.50%, 10/01/2039   20   23 3.50%, 02/15/2042     160   169
7.00%, 12/01/2037   22   27 3.50%, 02/15/2042     459   491

 

See accompanying notes.

59

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)       Government National Mortgage Association (GNMA)      
(continued)         (continued)        
3.50%, 02/20/2042 $ 143 $ 151 4.00%, 01/20/2042 $ 541 $ 581
3.50%, 03/15/2042   135   142 4.00%, 02/20/2042   441   473
3.50%, 03/15/2042   135   143 4.00%, 03/15/2042   283   304
3.50%, 03/20/2042   165   174 4.00%, 03/15/2042   166   180
3.50%, 04/15/2042   276   291 4.00%, 03/20/2042   522   560
3.50%, 04/20/2042   335   353 4.00%, 04/20/2042   461   495
3.50%, 05/15/2042   199   210 4.00%, 05/15/2042   687   737
3.50%, 05/20/2042   1,172   1,237 4.00%, 05/20/2042   44   47
3.50%, 06/20/2042   698   737 4.00%, 07/20/2042   1,029   1,103
3.50%, 08/15/2042   196   207 4.00%, 06/20/2043   128   137
3.50%, 08/20/2042   520   548 4.00%, 08/15/2043   31   33
3.50%, 01/15/2043   843   891 4.00%, 09/15/2043   321   344
3.50%, 01/15/2043   515   545 4.00%, 09/20/2043   228   244
3.50%, 01/20/2043   768   810 4.00%, 11/20/2043   799   853
3.50%, 02/20/2043   848   895 4.00%, 02/20/2044   790   843
3.50%, 03/20/2043   773   816 4.00%, 03/15/2044   785   843
3.50%, 04/01/2043   17,850   18,782 4.00%, 04/20/2044   904   964
3.50%, 04/15/2043   187   199 4.00%, 05/20/2044   1,259   1,343
3.50%, 04/20/2043   798   842 4.00%, 06/20/2044   927   989
3.50%, 05/01/2043   500   525 4.00%, 07/20/2044   3,721   3,967
3.50%, 06/15/2043   95   100 4.00%, 08/20/2044   2,687   2,873
3.50%, 06/15/2043   200   211 4.00%, 09/20/2044   975   1,044
3.50%, 08/15/2043   327   345 4.00%, 10/20/2044   1,552   1,664
3.50%, 01/20/2044   23   24 4.00%, 11/20/2044   222   238
3.50%, 02/20/2044   181   190 4.00%, 12/20/2044   800   858
3.50%, 04/20/2044   841   887 4.00%, 01/15/2045   200   215
3.50%, 07/20/2044   2,249   2,370 4.00%, 01/20/2045   579   621
3.50%, 08/20/2044   2,301   2,425 4.00%, 04/01/2045   4,000   4,262
3.50%, 09/20/2044   847   893 4.50%, 04/20/2026   19   20
3.50%, 10/20/2044   961   1,013 4.50%, 11/20/2033   11   12
3.50%, 12/20/2044   1,183   1,247 4.50%, 02/15/2039   372   412
4.00%, 07/15/2024   134   143 4.50%, 03/15/2039   53   60
4.00%, 08/15/2024   33   36 4.50%, 03/15/2039   38   42
4.00%, 12/15/2024   31   33 4.50%, 03/15/2039   148   163
4.00%, 11/15/2025   22   23 4.50%, 03/15/2039   73   81
4.00%, 05/15/2026   30   32 4.50%, 03/20/2039   83   91
4.00%, 06/15/2039   18   19 4.50%, 04/15/2039   176   195
4.00%, 07/20/2040   72   77 4.50%, 04/15/2039   63   69
4.00%, 08/15/2040   56   60 4.50%, 04/15/2039   116   129
4.00%, 08/15/2040   138   149 4.50%, 05/15/2039   257   284
4.00%, 09/15/2040   89   98 4.50%, 05/15/2039   23   26
4.00%, 09/15/2040   57   61 4.50%, 05/15/2039   29   32
4.00%, 09/15/2040   10   11 4.50%, 05/15/2039   102   115
4.00%, 10/15/2040   86   94 4.50%, 05/15/2039   413   456
4.00%, 11/15/2040   12   13 4.50%, 06/15/2039   160   179
4.00%, 11/15/2040   74   79 4.50%, 07/15/2039   38   42
4.00%, 11/20/2040   53   57 4.50%, 08/15/2039   164   183
4.00%, 12/20/2040   90   98 4.50%, 09/15/2039   3   3
4.00%, 01/15/2041   61   66 4.50%, 11/15/2039   38   42
4.00%, 01/15/2041   86   94 4.50%, 11/15/2039   396   446
4.00%, 01/15/2041   183   197 4.50%, 12/15/2039   117   131
4.00%, 01/20/2041   167   180 4.50%, 01/15/2040   134   150
4.00%, 05/15/2041   97   105 4.50%, 02/15/2040   38   42
4.00%, 05/15/2041   63   67 4.50%, 02/15/2040   64   71
4.00%, 07/20/2041   61   65 4.50%, 02/15/2040   21   23
4.00%, 07/20/2041(a)   39   41 4.50%, 02/15/2040   21   24
4.00%, 08/15/2041   92   99 4.50%, 02/15/2040   27   30
4.00%, 08/15/2041   226   244 4.50%, 02/15/2040   35   39
4.00%, 08/15/2041   48   51 4.50%, 03/15/2040   38   42
4.00%, 09/15/2041   174   187 4.50%, 05/15/2040   52   57
4.00%, 09/15/2041   150   162 4.50%, 06/15/2040   47   52
4.00%, 09/15/2041   70   76 4.50%, 06/15/2040   56   62
4.00%, 09/20/2041   296   318 4.50%, 07/15/2040   56   62
4.00%, 10/15/2041   93   101 4.50%, 07/15/2040   44   49
4.00%, 10/15/2041   63   68 4.50%, 07/15/2040   676   746
4.00%, 11/15/2041   314   338 4.50%, 08/15/2040   65   72
4.00%, 11/20/2041   102   110 4.50%, 08/15/2040   62   69
4.00%, 12/15/2041   105   112 4.50%, 08/15/2040   84   93
4.00%, 12/15/2041   179   192 4.50%, 08/15/2040   85   95
4.00%, 12/20/2041   101   108 4.50%, 09/15/2040   89   98
4.00%, 01/15/2042   31   34 4.50%, 09/15/2040   72   80

 

See accompanying notes.

60

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT Principal      
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)       Government National Mortgage Association (GNMA)      
(continued)         (continued)        
4.50%, 10/15/2040 $ 87 $ 98 5.00%, 09/15/2039 $ 49 $ 55
4.50%, 12/15/2040   44   49 5.00%, 09/15/2039   60   68
4.50%, 01/20/2041   82   89 5.00%, 09/15/2039   76   84
4.50%, 01/20/2041   97   108 5.00%, 11/15/2039   72   82
4.50%, 02/20/2041   92   102 5.00%, 12/15/2039   111   124
4.50%, 02/20/2041   96   105 5.00%, 02/15/2040   69   77
4.50%, 03/15/2041   208   231 5.00%, 02/15/2040   75   85
4.50%, 03/15/2041   39   43 5.00%, 02/15/2040   74   85
4.50%, 03/20/2041   53   58 5.00%, 04/15/2040   52   58
4.50%, 03/20/2041   89   99 5.00%, 05/15/2040   39   43
4.50%, 04/15/2041   100   110 5.00%, 05/15/2040   67   75
4.50%, 04/15/2041   41   46 5.00%, 05/20/2040   19   22
4.50%, 04/15/2041   297   328 5.00%, 06/15/2040   128   143
4.50%, 04/20/2041   104   114 5.00%, 06/15/2040   51   58
4.50%, 05/15/2041   76   85 5.00%, 06/15/2040   7   8
4.50%, 05/15/2041   63   70 5.00%, 06/15/2040   93   104
4.50%, 06/15/2041   193   213 5.00%, 06/20/2040   91   102
4.50%, 06/20/2041   329   358 5.00%, 07/15/2040   43   48
4.50%, 07/15/2041   365   404 5.00%, 07/20/2040   93   105
4.50%, 07/15/2041   54   59 5.00%, 01/20/2041   48   54
4.50%, 07/15/2041   136   150 5.00%, 02/20/2041   113   127
4.50%, 07/20/2041   25   28 5.00%, 04/15/2041   385   435
4.50%, 07/20/2041   628   685 5.00%, 05/20/2041   102   114
4.50%, 08/15/2041   287   317 5.00%, 06/20/2041   27   30
4.50%, 08/20/2041   232   253 5.00%, 07/20/2041   41   46
4.50%, 09/20/2041   57   62 5.00%, 08/20/2041   290   325
4.50%, 11/20/2041   819   893 5.00%, 10/20/2041   34   38
4.50%, 12/20/2041   57   62 5.00%, 11/20/2041   92   103
4.50%, 01/20/2042   414   452 5.00%, 12/20/2041   69   77
4.50%, 02/20/2042   206   224 5.00%, 02/20/2042   380   426
4.50%, 03/20/2042   52   56 5.00%, 03/20/2042   74   83
4.50%, 04/20/2042   102   111 5.00%, 04/20/2042   853   957
4.50%, 05/20/2042   122   133 5.00%, 12/20/2042   659   731
4.50%, 04/01/2043(f)   500   551 5.00%, 01/20/2043   130   146
4.50%, 05/20/2043   544   594 5.00%, 05/20/2043   161   179
4.50%, 06/20/2043   436   476 5.00%, 07/20/2043   423   474
4.50%, 08/20/2043   95   103 5.00%, 11/20/2043   538   595
4.50%, 10/20/2043   564   613 5.00%, 01/20/2044   351   388
4.50%, 11/20/2043   1,675   1,821 5.00%, 02/20/2044   505   562
4.50%, 03/20/2044   2,221   2,415 5.00%, 05/20/2044   163   180
4.50%, 04/20/2044   96   104 5.00%, 08/20/2044   163   182
4.50%, 05/20/2044   1,670   1,815 5.50%, 01/15/2024   12   13
4.50%, 07/20/2044   903   982 5.50%, 11/15/2033   46   52
4.50%, 11/20/2044   300   326 5.50%, 03/15/2034   15   17
4.50%, 04/01/2045   300   326 5.50%, 04/15/2034   17   20
5.00%, 08/15/2033   85   96 5.50%, 07/15/2034   12   13
5.00%, 02/15/2034   98   110 5.50%, 11/15/2034   55   64
5.00%, 07/15/2035   255   284 5.50%, 02/15/2035   29   33
5.00%, 08/15/2035   62   69 5.50%, 03/15/2036   18   20
5.00%, 04/20/2037   8   9 5.50%, 04/15/2036   26   29
5.00%, 04/20/2038   537   589 5.50%, 12/15/2036   19   22
5.00%, 05/15/2038   129   144 5.50%, 04/15/2037   55   62
5.00%, 06/20/2038   57   63 5.50%, 05/15/2038   23   26
5.00%, 08/15/2038   248   276 5.50%, 06/15/2038   33   37
5.00%, 10/15/2038   31   35 5.50%, 08/15/2038   197   222
5.00%, 01/15/2039   288   322 5.50%, 08/15/2038   229   258
5.00%, 01/15/2039   290   323 5.50%, 09/15/2038   75   85
5.00%, 02/15/2039   177   197 5.50%, 10/20/2038   71   80
5.00%, 02/15/2039   219   245 5.50%, 11/15/2038   25   29
5.00%, 04/15/2039   303   342 5.50%, 12/20/2038   28   32
5.00%, 05/15/2039   20   22 5.50%, 01/15/2039   64   73
5.00%, 06/15/2039   72   82 5.50%, 01/15/2039   25   28
5.00%, 06/15/2039   55   62 5.50%, 01/15/2039   43   48
5.00%, 06/20/2039   72   81 5.50%, 01/15/2039   7   8
5.00%, 07/15/2039   71   79 5.50%, 02/15/2039   18   20
5.00%, 07/15/2039   78   89 5.50%, 02/20/2039   148   166
5.00%, 07/15/2039   52   59 5.50%, 05/15/2039   7   8
5.00%, 07/15/2039   53   60 5.50%, 12/15/2039   39   44
5.00%, 08/15/2039   61   70 5.50%, 01/15/2040   316   357
5.00%, 09/15/2039   24   27 5.50%, 03/15/2040   144   163
5.00%, 09/15/2039   55   62 5.50%, 04/15/2040   298   339

 

See accompanying notes.

61

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's)
Government National Mortgage Association (GNMA)                
(continued)         U.S. Treasury (continued)        
          0.75%, 10/31/2017 $ 3,592 $ 3,592
5.50%, 06/20/2040 $ 159 $ 177 0.75%, 12/31/2017   1,919   1,915
5.50%, 07/20/2040   43   49          
5.50%, 11/15/2040   36   41 0.75%, 02/28/2018   3,106   3,096
          0.75%, 03/31/2018   5,150   5,127
5.50%, 12/20/2040   34   39 0.88%, 09/15/2016   1,170   1,178
5.50%, 01/20/2041   501   567          
5.50%, 04/20/2041   97   109 0.88%, 11/30/2016   2,667   2,686
          0.88%, 12/31/2016   3,755   3,781
5.50%, 10/20/2041   85   96 0.88%, 01/31/2017   2,450   2,466
5.50%, 11/20/2041   91   104          
5.50%, 10/20/2042   252   283 0.88%, 02/28/2017   4,110   4,136
          0.88%, 04/15/2017   3,780   3,802
5.50%, 11/20/2042   241   273 0.88%, 04/30/2017   1,209   1,216
5.50%, 06/20/2043   253   284          
5.50%, 09/20/2043   358   400 0.88%, 05/15/2017   2,632   2,647
          0.88%, 06/15/2017   1,978   1,988
6.00%, 07/15/2032   2   2 0.88%, 07/15/2017   2,450   2,462
6.00%, 12/15/2032   2   2          
6.00%, 10/15/2034   35   41 0.88%, 08/15/2017   2,530   2,542
          0.88%, 10/15/2017   2,005   2,012
6.00%, 04/15/2035   24   28 0.88%, 11/15/2017   2,505   2,512
6.00%, 04/15/2036   20   23          
6.00%, 06/15/2036   38   44 0.88%, 01/15/2018   2,336   2,338
          0.88%, 01/31/2018   2,635   2,637
6.00%, 04/15/2037   61   71 1.00%, 08/31/2016   2,179   2,197
6.00%, 05/15/2037   55   63          
6.00%, 10/20/2037   86   99 1.00%, 09/30/2016   4,322   4,359
          1.00%, 10/31/2016   5,484   5,532
6.00%, 11/20/2037   32   36 1.00%, 03/31/2017   3,545   3,575
6.00%, 01/15/2038   25   28          
6.00%, 08/15/2038   21   24 1.00%, 09/15/2017   2,505   2,522
          1.00%, 12/15/2017   2,455   2,468
6.00%, 01/15/2039   182   207 1.00%, 02/15/2018   2,415   2,425
6.00%, 09/15/2039   112   129          
6.00%, 09/15/2039   83   95 1.00%, 03/15/2018   2,420   2,429
          1.00%, 05/31/2018   3,820   3,824
6.00%, 11/15/2039   152   173 1.00%, 06/30/2019   1,800   1,782
6.00%, 01/20/2042   87   100          
6.50%, 10/20/2028   1   2 1.00%, 08/31/2019   1,680   1,659
          1.00%, 09/30/2019   1,390   1,371
6.50%, 05/20/2029   1   1 1.00%, 11/30/2019   3,500   3,447
6.50%, 02/20/2032   1   1 1.13%, 05/31/2019   20   20
6.50%, 05/20/2032   8   10 1.13%, 12/31/2019   2,190   2,169
6.50%, 05/15/2037   72   84          
6.50%, 08/20/2038   27   31 1.13%, 03/31/2020   3,130   3,093
          1.13%, 04/30/2020   4,482   4,423
6.50%, 09/15/2038   24   28 1.25%, 10/31/2018   2,445   2,458
7.00%, 01/15/2028   1   1          
7.00%, 03/15/2029   3   3 1.25%, 11/30/2018   6,375   6,405
          1.25%, 01/31/2019   2,245   2,253
7.00%, 07/15/2031   2   2 1.25%, 10/31/2019   730   728
    $   140,264 1.25%, 01/31/2020   3,408   3,390
U.S. Treasury - 35.52%         1.25%, 02/29/2020   1,846   1,836
0.25%, 04/15/2016   2,076   2,075 1.38%, 06/30/2018   1,683   1,704
0.25%, 05/15/2016   3,028   3,025 1.38%, 07/31/2018   2,890   2,924
0.38%, 04/30/2016   5,190   5,193 1.38%, 09/30/2018   5,430   5,488
0.38%, 05/31/2016   2,900   2,901 1.38%, 11/30/2018   1,700   1,716
0.38%, 10/31/2016   3,190   3,186 1.38%, 12/31/2018   2,000   2,017
0.50%, 06/15/2016   5,155   5,163 1.38%, 02/28/2019   1,627   1,639
0.50%, 06/30/2016   2,600   2,604 1.38%, 01/31/2020   2,040   2,043
0.50%, 07/31/2016   2,255   2,259 1.38%, 02/29/2020   3,130   3,131
0.50%, 08/31/2016   2,735   2,738 1.38%, 03/31/2020   3,525   3,526
0.50%, 09/30/2016   2,690   2,693 1.38%, 05/31/2020   1,570   1,567
0.50%, 11/30/2016   2,695   2,696 1.50%, 06/30/2016   2,976   3,018
0.50%, 01/31/2017   2,532   2,532 1.50%, 07/31/2016   3,433   3,483
0.50%, 02/28/2017   2,600   2,598 1.50%, 08/31/2018   3,990   4,051
0.50%, 03/31/2017   2,620   2,617 1.50%, 12/31/2018   2,569   2,603
0.63%, 07/15/2016   2,200   2,207 1.50%, 01/31/2019   3,205   3,247
0.63%, 08/15/2016   1,705   1,710 1.50%, 02/28/2019   2,400   2,430
0.63%, 10/15/2016   5,000   5,013 1.50%, 03/31/2019   230   233
0.63%, 11/15/2016   1,525   1,529 1.50%, 05/31/2019   2,955   2,987
0.63%, 12/15/2016   3,125   3,132 1.50%, 10/31/2019   5,880   5,926
0.63%, 12/31/2016   2,650   2,656 1.50%, 11/30/2019   2,420   2,439
0.63%, 02/15/2017   1,750   1,753 1.50%, 01/31/2022   3,114   3,074
0.63%, 05/31/2017   2,340   2,340 1.63%, 03/31/2019   6,050   6,152
0.63%, 08/31/2017   2,025   2,021 1.63%, 04/30/2019   2,250   2,287
0.63%, 09/30/2017   1,605   1,601 1.63%, 06/30/2019   5,000   5,078
0.63%, 11/30/2017   2,831   2,819 1.63%, 07/31/2019   3,675   3,730
0.63%, 04/30/2018   2,930   2,903 1.63%, 08/31/2019   5,130   5,205
0.75%, 01/15/2017   2,265   2,275 1.63%, 12/31/2019   3,105   3,145
0.75%, 03/15/2017   2,500   2,510 1.63%, 08/15/2022   3,130   3,105
0.75%, 06/30/2017   4,011   4,019 1.63%, 11/15/2022   1,660   1,644

 

See accompanying notes.

62

 

Schedule of Investments
Bond Market Index Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT Principal      
AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)  
 
U.S. Treasury (continued)         U.S. Treasury (continued)          
1.75%, 05/31/2016 $ 1,920 $ 1,951   3.13%, 02/15/2043 $ 2,730 $ 3,049  
1.75%, 10/31/2018   1,320   1,351   3.13%, 08/15/2044   3,650   4,089  
1.75%, 09/30/2019   2,745   2,797   3.25%, 05/31/2016   4,950   5,117  
1.75%, 10/31/2020   2,920   2,958   3.25%, 06/30/2016   860   891  
1.75%, 02/28/2022   2,390   2,397   3.25%, 07/31/2016   1,724   1,790  
1.75%, 03/31/2022   2,925   2,932   3.25%, 12/31/2016   2,004   2,100  
1.75%, 05/15/2022   2,700   2,707   3.25%, 03/31/2017   2,936   3,092  
1.75%, 05/15/2023   5,047   5,020   3.38%, 11/15/2019   3,640   3,975  
1.88%, 08/31/2017   3,904   4,014   3.38%, 05/15/2044   4,040   4,733  
1.88%, 09/30/2017   3,014   3,098   3.50%, 02/15/2018   2,607   2,803  
1.88%, 10/31/2017   2,984   3,069   3.50%, 05/15/2020   2,727   3,009  
1.88%, 06/30/2020   1,000   1,023   3.50%, 02/15/2039   1,421   1,682  
1.88%, 11/30/2021   3,981   4,030   3.63%, 08/15/2019   2,198   2,417  
2.00%, 04/30/2016   1,610   1,639   3.63%, 02/15/2020   5,986   6,633  
2.00%, 07/31/2020   2,024   2,082   3.63%, 02/15/2021   5,000   5,581  
2.00%, 09/30/2020   1,500   1,541   3.63%, 08/15/2043   2,600   3,177  
2.00%, 11/30/2020   1,115   1,144   3.63%, 02/15/2044   3,800   4,646  
2.00%, 02/28/2021   1,655   1,695   3.75%, 11/15/2018   2,385   2,610  
2.00%, 05/31/2021   4,815   4,930   3.75%, 08/15/2041   1,100   1,367  
2.00%, 08/31/2021   2,650   2,706   3.75%, 11/15/2043   4,510   5,634  
2.00%, 10/31/2021   1,600   1,633   3.88%, 05/15/2018   806   879  
2.00%, 11/15/2021   4,290   4,386   3.88%, 08/15/2040   714   899  
2.00%, 02/15/2022   2,195   2,240   4.00%, 08/15/2018   645   710  
2.00%, 02/15/2023   2,477   2,517   4.25%, 11/15/2017   1,733   1,889  
2.00%, 02/15/2025   4,725   4,755   4.25%, 05/15/2039   2,619   3,458  
2.13%, 08/31/2020   1,815   1,877   4.25%, 11/15/2040   1,446   1,925  
2.13%, 01/31/2021   3,265   3,369   4.38%, 02/15/2038   400   536  
2.13%, 08/15/2021   3,350   3,448   4.38%, 11/15/2039   800   1,078  
2.13%, 09/30/2021   2,160   2,222   4.38%, 05/15/2040   2,384   3,221  
2.13%, 12/31/2021   2,505   2,579   4.38%, 05/15/2041   1,870   2,549  
2.25%, 11/30/2017   1,529   1,589   4.50%, 05/15/2017   1,250   1,353  
2.25%, 03/31/2021   1,310   1,360   4.50%, 02/15/2036   2,464   3,357  
2.25%, 04/30/2021   1,135   1,178   4.50%, 08/15/2039   43   59  
2.25%, 07/31/2021   10,120   10,495   4.63%, 11/15/2016   2,483   2,651  
2.25%, 11/15/2024   8,420   8,656   4.63%, 02/15/2017   3,400   3,660  
2.38%, 07/31/2017   4,040   4,200   4.63%, 02/15/2040   1,930   2,694  
2.38%, 05/31/2018   1,838   1,919   4.75%, 08/15/2017   2,704   2,963  
2.38%, 06/30/2018   3,188   3,328   4.75%, 02/15/2037   2,195   3,089  
2.38%, 12/31/2020   1,689   1,767   4.75%, 02/15/2041   1,728   2,477  
2.38%, 08/15/2024   6,265   6,513   4.88%, 08/15/2016   1,950   2,070  
2.50%, 06/30/2017   3,129   3,258   5.00%, 05/15/2037   810   1,177  
2.50%, 08/15/2023   2,682   2,823   5.13%, 05/15/2016   6,040   6,363  
2.50%, 05/15/2024   6,950   7,301   5.25%, 11/15/2028   1,140   1,556  
2.50%, 02/15/2045   3,000   2,972   5.50%, 08/15/2028   750   1,043  
2.63%, 04/30/2016   1,105   1,132   6.00%, 02/15/2026   725   1,010  
2.63%, 01/31/2018   366   384   6.13%, 11/15/2027   2,000   2,896  
2.63%, 08/15/2020   4,490   4,758   6.25%, 08/15/2023   1,210   1,632  
2.63%, 11/15/2020   4,312   4,569   6.50%, 11/15/2026   1,398   2,048  
2.75%, 11/30/2016   4,806   4,988   6.63%, 02/15/2027   180   267  
2.75%, 05/31/2017   940   983   6.75%, 08/15/2026   930   1,380  
2.75%, 12/31/2017   1,625   1,711   7.25%, 05/15/2016   1,200   1,293  
2.75%, 02/28/2018   1,673   1,763   7.25%, 08/15/2022   2,500   3,473  
2.75%, 02/15/2019   1,003   1,063   7.50%, 11/15/2016   810   902  
2.75%, 11/15/2023   3,306   3,545   7.50%, 11/15/2024   370   554  
2.75%, 02/15/2024   4,366   4,679   7.63%, 02/15/2025   1,789   2,720  
2.75%, 08/15/2042   2,111   2,197   7.88%, 02/15/2021   50   68  
2.75%, 11/15/2042   3,730   3,877   8.00%, 11/15/2021   1,094   1,530  
2.88%, 03/31/2018   3,692   3,907   8.75%, 05/15/2017   213   249  
2.88%, 05/15/2043   5,153   5,490   8.88%, 08/15/2017   1,600   1,910  
3.00%, 08/31/2016   3,594   3,726       $   648,886  
3.00%, 09/30/2016   5,451   5,660 TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY      
3.00%, 02/28/2017   2,604   2,726 OBLIGATIONS   $   1,165,601  
3.00%, 05/15/2042   1,127   1,229 Total Investments   $   1,993,969  
3.00%, 11/15/2044   4,945   5,418 Liabilities in Excess of Other Assets, Net - (9.16)% $   (167,306 )
3.13%, 10/31/2016   2,524   2,631 TOTAL NET ASSETS - 100.00%   $   1,826,663  
3.13%, 01/31/2017   1,648   1,726              
3.13%, 04/30/2017   1,908   2,008              
3.13%, 05/15/2019   2,656   2,857 (a) Variable Rate. Rate shown is in effect at March 31, 2015.      
3.13%, 05/15/2021   2,420   2,635 (b) Fair value of these investments is determined in good faith by the Manager  
3.13%, 11/15/2041   2,077   2,322   under procedures established and periodically reviewed by the Board of  
3.13%, 02/15/2042   2,318   2,592   Directors. At the end of the period, the fair value of these securities totaled  
            $1,450 or 0.08% of net assets.          

 

See accompanying notes.

63

 

    Schedule of Investments  
    Bond Market Index Account  
    March 31, 2015 (unaudited)  
 
 
(c) Security exempt from registration under Rule 144A of the Securities Act of  
  1933. These securities may be resold in transactions exempt from  
  registration, normally to qualified institutional buyers. At the end of the  
  period, the value of these securities totaled $7,322 or 0.40% of net assets.  
(d) Non-Income Producing Security    
(e) Credit support indicates investments that benefit from credit enhancement  
  or liquidity support provided by a third party bank, institution, or  
  government agency.    
(f) Security was purchased in a "to-be-announced" ("TBA") transaction. See  
  Notes to Financial Statements for additional information.    
 
 
 
  Portfolio Summary (unaudited)    
Sector   Percent  
Government 42.71 %
Mortgage Securities 30.48 %
Exchange Traded Funds 9.49 %
Financial 8.09 %
Consumer, Non-cyclical 3.75 %
Energy 3.13 %
Communications 2.67 %
Utilities 1.96 %
Industrial 1.76 %
Consumer, Cyclical 1.49 %
Basic Materials 1.15 %
Technology 0.98 %
Asset Backed Securities 0.53 %
Revenue Bonds 0.52 %
General Obligation Unlimited 0.40 %
Insured 0.02 %
Diversified 0.02 %
General Obligation Limited 0.01 %
Liabilities in Excess of Other Assets, Net (9.16 )%
TOTAL NET ASSETS 100.00 %

 

See accompanying notes.

64

 

        Schedule of Investments  
        Diversified Balanced Account  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 14.88%        
International Equity Index Fund (a)   7,102,969 $ 71,598  
MidCap S&P 400 Index Fund (a)   2,048,241   41,805  
SmallCap S&P 600 Index Fund (a)   1,661,395   41,518  
    $   154,921  
 
Principal Variable Contracts Funds, Inc. Class 1 - 85.15%      
Bond Market Index Account (a) 49,918,526   523,645  
LargeCap S&P 500 Index Account (a) 24,602,712   363,136  
    $   886,781  
TOTAL INVESTMENT COMPANIES   $   1,041,702  
Total Investments   $   1,041,702  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (272 )
TOTAL NET ASSETS - 100.00%   $   1,041,430  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       50.28 %
Domestic Equity Funds       42.87 %
International Equity Funds       6.88 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

65

 

Schedule of Investments
Diversified Balanced Account
March 31, 2015 (unaudited)
 
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares   Cost Shares     Proceeds Shares   Cost
Bond Market Index Account 49,274,630 $ 495,642 2,085,862 $ 21,746 1,441,966   $ 15,107 49,918,526 $ 502,392
International Equity Index Fund 7,315,976   72,625 199,117   1,954 412,124     4,187 7,102,969   70,389
LargeCap S&P 500 Index Account 23,980,643   229,711 1,238,998   18,175 616,929     9,223 24,602,712   238,814
MidCap S&P 400 Index Fund 2,081,188   30,530 52,941   1,043 85,888     1,736 2,048,241   29,865
SmallCap S&P 600 Index Fund 1,691,547   29,264 61,757   1,481 91,909     2,262 1,661,395   28,497
    $ 857,772   $ 44,399     $ 32,515 $   869,957
 
 
            Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Bond Market Index Account $   — $     111     $     —
International Equity Index Fund     —       (3 )         —
LargeCap S&P 500 Index Account     —       151           —
MidCap S&P 400 Index Fund     —       28           —
SmallCap S&P 600 Index Fund     —       14           —
  $   — $     301     $     —
Amounts in thousands except shares                          

 

See accompanying notes.

66

 

        Schedule of Investments  
    Diversified Balanced Managed Volatility Account  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 14.87%        
International Equity Index Fund (a)   730,522 $ 7,364  
MidCap S&P 400 Index Fund (a)   210,650   4,299  
SmallCap S&P 600 Index Fund (a)   170,892   4,270  
    $   15,933  
 
Principal Variable Contracts Funds, Inc. Class 1 - 85.16%      
Bond Market Index Account (a)   5,132,821   53,843  
LargeCap S&P 500 Managed Volatility Index 3,302,067   37,380  
Account (a)          
    $   91,223  
TOTAL INVESTMENT COMPANIES   $   107,156  
Total Investments   $   107,156  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (30 )
TOTAL NET ASSETS - 100.00%   $   107,126  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       50.26 %
Domestic Equity Funds       42.90 %
International Equity Funds       6.87 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

67

 

Schedule of Investments
Diversified Balanced Managed Volatility Account
March 31, 2015 (unaudited)
 
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares   Cost Shares     Proceeds Shares   Cost
Bond Market Index Account 4,117,024 $ 41,895 1,134,147 $ 11,843 118,350   $ 1,237 5,132,821 $ 52,500
International Equity Index Fund 611,378   6,351 156,947   1,562 37,803     386 730,522   7,527
LargeCap S&P 500 Managed 2,616,786   28,521 752,941   8,502 67,660     778 3,302,067   36,245
Volatility Index Account                          
MidCap S&P 400 Index Fund 173,892   3,374 44,644   888 7,886     159 210,650   4,103
SmallCap S&P 600 Index Fund 141,322   3,446 38,175   925 8,605     211 170,892   4,160
    $ 83,587   $ 23,720     $ 2,771 $   104,535
 
 
            Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Bond Market Index Account $   — $     (1 ) $       —
International Equity Index Fund     —       —           —
LargeCap S&P 500 Managed Volatility                          
Index Account     —       —           —
MidCap S&P 400 Index Fund     —       —           —
SmallCap S&P 600 Index Fund     —       —           —
  $   — $     (1 ) $       —
Amounts in thousands except shares                          

 

See accompanying notes.

68

 

        Schedule of Investments  
        Diversified Growth Account  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 19.86%        
International Equity Index Fund (a) 29,501,504 $ 297,375  
MidCap S&P 400 Index Fund (a)   7,443,593   151,924  
SmallCap S&P 600 Index Fund (a)   6,037,802   150,884  
    $   600,183  
 
Principal Variable Contracts Funds, Inc. Class 1 - 80.17%      
Bond Market Index Account (a) 101,591,157   1,065,691  
LargeCap S&P 500 Index Account (a) 91,964,737   1,357,400  
    $   2,423,091  
TOTAL INVESTMENT COMPANIES   $   3,023,274  
Total Investments   $   3,023,274  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (780 )
TOTAL NET ASSETS - 100.00%   $   3,022,494  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       54.93 %
Fixed Income Funds       35.26 %
International Equity Funds       9.84 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

69

 

Schedule of Investments
Diversified Growth Account
March 31, 2015 (unaudited)
 
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares   Cost Shares     Proceeds Shares   Cost
Bond Market Index Account 98,500,294 $ 990,493 6,179,583 $ 64,458 3,088,720   $ 32,376 101,591,157 $ 1,022,808
International Equity Index Fund 29,846,185   304,246 1,059,763   10,489 1,404,444     14,311 29,501,504   300,402
LargeCap S&P 500 Index Account 88,047,755   920,281 5,165,554   75,865 1,248,572     18,702 91,964,737   977,632
MidCap S&P 400 Index Fund 7,428,975   116,730 251,574   4,988 236,956     4,797 7,443,593   116,944
SmallCap S&P 600 Index Fund 6,038,091   114,137 271,784   6,551 272,073     6,710 6,037,802   113,979
    $ 2,445,887   $ 162,351     $ 76,896 $   2,531,765
 
 
            Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Bond Market Index Account $   — $     233     $     —
International Equity Index Fund     —       (22 )         —
LargeCap S&P 500 Index Account     —       188           —
MidCap S&P 400 Index Fund     —       23           —
SmallCap S&P 600 Index Fund     —       1           —
  $   — $     423     $     —
Amounts in thousands except shares                          

 

See accompanying notes.

70

 

        Schedule of Investments  
    Diversified Growth Managed Volatility Account  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 19.85%        
International Equity Index Fund (a)   1,824,196 $ 18,388  
MidCap S&P 400 Index Fund (a)   460,232   9,393  
SmallCap S&P 600 Index Fund (a)   373,353   9,330  
    $   37,111  
 
Principal Variable Contracts Funds, Inc. Class 1 - 80.18%      
Bond Market Index Account (a)   6,280,970   65,888  
LargeCap S&P 500 Managed Volatility Index 7,420,757   84,003  
Account (a)          
    $   149,891  
TOTAL INVESTMENT COMPANIES   $   187,002  
Total Investments   $   187,002  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (51 )
TOTAL NET ASSETS - 100.00%   $   186,951  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       54.94 %
Fixed Income Funds       35.25 %
International Equity Funds       9.84 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

71

 

Schedule of Investments
Diversified Growth Managed Volatility Account
March 31, 2015 (unaudited)
 
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares   Cost Shares     Proceeds Shares   Cost
Bond Market Index Account 5,182,725 $ 52,705 1,251,203 $ 13,058 152,958   $ 1,604 6,280,970 $ 64,160
International Equity Index Fund 1,570,429   16,383 332,364   3,318 78,597     800 1,824,196   18,900
LargeCap S&P 500 Managed 6,049,724   65,740 1,445,758   16,377 74,725     857 7,420,757   81,260
Volatility Index Account                          
MidCap S&P 400 Index Fund 390,867   7,582 82,544   1,647 13,179     266 460,232   8,963
SmallCap S&P 600 Index Fund 317,668   7,764 71,191   1,731 15,506     382 373,353   9,113
    $ 150,174   $ 36,131     $ 3,909 $   182,396
 
 
            Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Bond Market Index Account $   — $     1   $       —
International Equity Index Fund     —       (1 )         —
LargeCap S&P 500 Managed Volatility                          
Index Account     —       —           —
MidCap S&P 400 Index Fund     —       —           —
SmallCap S&P 600 Index Fund     —       —           —
  $   — $     —   $       —
Amounts in thousands except shares                          

 

See accompanying notes.

72

 

        Schedule of Investments  
        Diversified Income Account  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 9.91%        
International Equity Index Fund (a)   689,356 $ 6,949  
MidCap S&P 400 Index Fund (a)   260,895   5,325  
SmallCap S&P 600 Index Fund (a)   211,637   5,289  
    $   17,563  
 
Principal Variable Contracts Funds, Inc. Class 1 - 90.12%      
Bond Market Index Account (a) 11,020,382   115,604  
LargeCap S&P 500 Index Account (a)   2,984,583   44,052  
    $   159,656  
TOTAL INVESTMENT COMPANIES   $   177,219  
Total Investments   $   177,219  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (49 )
TOTAL NET ASSETS - 100.00%   $   177,170  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       65.25 %
Domestic Equity Funds       30.86 %
International Equity Funds       3.92 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

73

 

Schedule of Investments
Diversified Income Account
March 31, 2015 (unaudited)
 
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Bond Market Index Account 10,654,542 $ 108,077   854,882 $ 8,939 489,042   $ 5,110 11,020,382 $ 111,907
International Equity Index Fund 695,303   7,181   53,135   525 59,082     593 689,356   7,112
LargeCap S&P 500 Index Account 2,848,873   33,071   297,780   4,362 162,070     2,406 2,984,583   35,053
MidCap S&P 400 Index Fund 259,609   4,370   19,441   384 18,155     363 260,895   4,393
SmallCap S&P 600 Index Fund 211,009   4,379   18,231   439 17,603     430 211,637   4,388
    $ 157,078   $   14,649     $ 8,902 $   162,853
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Bond Market Index Account $     — $     1   $       —
International Equity Index Fund       —       (1 )         —
LargeCap S&P 500 Index Account       —       26           —
MidCap S&P 400 Index Fund       —       2           —
SmallCap S&P 600 Index Fund       —       —           —
  $     — $     28   $       —
Amounts in thousands except shares                            

 

See accompanying notes.

74

 

Schedule of Investments
Diversified International Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 98.64% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.36%       Commercial Services (continued)      
WPP PLC 64,253 $ 1,459 Cielo SA 63,100 $ 903
        TAL Education Group ADR(b) 38,525   1,280
          $   3,999
Aerospace & Defense - 1.21%              
Kawasaki Heavy Industries Ltd 373,000   1,882 Computers - 1.20%      
Safran SA 28,650   2,002 Ingenico 16,491   1,809
Thales SA 17,621   977 TDK Corp 42,300   2,995
  $   4,861   $   4,804
 
Agriculture - 0.79%       Distribution & Wholesale - 0.32%      
British American Tobacco PLC 4,520   234 Hitachi High-Technologies Corp 41,500   1,263
Japan Tobacco Inc 43,800   1,385        
KT&G Corp 19,144   1,530 Diversified Financial Services - 2.08%      
  $   3,149 Intermediate Capital Group PLC 105,121   784
Airlines - 1.08%       Macquarie Group Ltd 61,369   3,567
easyJet PLC 55,462   1,544 ORIX Corp 162,780   2,287
Ryanair Holdings PLC ADR 41,414   2,765 Paragon Group of Cos PLC/The 122,944   768
  $   4,309 Shinhan Financial Group Co Ltd 24,872   935
          $   8,341
Automobile Manufacturers - 3.44%              
Daimler AG 34,229   3,287 Electric - 2.76%      
Maruti Suzuki India Ltd (a) 14,664   911 Enel SpA 640,052   2,892
Renault SA 17,151   1,558 Iberdrola SA 453,576   2,925
Toyota Motor Corp 115,000   8,027 Korea Electric Power Corp 55,280   2,278
  $   13,783 Tenaga Nasional BHD 765,100   2,962
          $   11,057
Automobile Parts & Equipment - 1.98%              
Bridgestone Corp 62,200   2,490 Electrical Components & Equipment - 0.59%      
Continental AG 8,351   1,967 Delta Electronics Inc 177,000   1,115
Valeo SA 23,182   3,458 Mabuchi Motor Co Ltd 23,600   1,249
  $   7,915   $   2,364
 
Banks - 11.15%       Electronics - 3.76%      
Axis Bank Ltd (a) 246,122   2,214 Alps Electric Co Ltd 77,800   1,873
Bangkok Bank PCL 89,300   509 Hon Hai Precision Industry Co Ltd 606,044   1,774
Bank of Montreal 39,800   2,385 Hoya Corp 73,500   2,943
Commonwealth Bank of Australia 46,443   3,294 Japan Aviation Electronics Industry Ltd 40,600   980
Danske Bank A/S 84,791   2,235 Merry Electronics Co Ltd 119,050   381
DBS Group Holdings Ltd 101,000   1,497 Minebea Co Ltd 64,082   1,008
DNB ASA 148,523   2,384 Murata Manufacturing Co Ltd 15,300   2,101
ICICI Bank Ltd ADR 208,150   2,156 Omron Corp 69,500   3,131
Mitsubishi UFJ Financial Group Inc 613,500   3,800 SCREEN Holdings Co Ltd 116,000   878
Natixis SA 466,418   3,494   $   15,069
Nordea Bank AB 245,236   2,987 Engineering & Construction - 1.67%      
Oversea-Chinese Banking Corp Ltd 172,000   1,324 Acciona SA (b) 12,023   926
Royal Bank of Canada 65,950   3,970 ACS Actividades de Construccion y Servicios 66,408   2,350
Sumitomo Mitsui Financial Group Inc 63,900   2,448 SA      
Svenska Handelsbanken AB 36,558   1,646 Promotora y Operadora de Infraestructura 75,600   807
Swedbank AB 110,735   2,644 SAB de CV (b)      
Toronto-Dominion Bank/The 104,942   4,492 Skanska AB 53,263   1,194
Yes Bank Ltd 89,086   1,163 Vinci SA 24,539   1,402
  $   44,642   $   6,679
 
Beverages - 1.80%       Food - 2.49%      
Anheuser-Busch InBev NV 43,069   5,262 Aryzta AG (b) 31,193   1,912
Asahi Group Holdings Ltd 35,800   1,135 Associated British Foods PLC 35,757   1,492
Britvic PLC 73,908   802 Delhaize Group SA 15,328   1,377
  $   7,199 Greencore Group PLC 247,972   1,185
Biotechnology - 0.35%       Gruma SAB de CV 98,900   1,259
CSL Ltd 20,168   1,411 Nestle SA 36,347   2,737
          $   9,962
 
Building Materials - 0.32%       Forest Products & Paper - 1.03%      
CSR Ltd 112,099   343 Mondi PLC 80,522   1,547
Kingspan Group PLC 48,607   926 Smurfit Kappa Group PLC 28,158   791
  $   1,269 Stora Enso OYJ 174,166   1,791
          $   4,129
Chemicals - 1.77%              
Givaudan SA (b) 1,169   2,112 Gas - 0.79%      
Lonza Group AG (b) 5,738   714 Gas Natural SDG SA 79,131   1,777
Potash Corp of Saskatchewan Inc 56,600   1,825 Keyera Corp 20,700   1,377
Yara International ASA 47,768   2,425   $   3,154
 
  $   7,076 Hand & Machine Tools - 0.53%      
Commercial Services - 1.00%       Disco Corp 7,600   776
Ashtead Group PLC 113,202   1,816        

 

See accompanying notes.

75

 

Schedule of Investments
Diversified International Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Hand & Machine Tools (continued)       Oil & Gas - 4.92%      
Fuji Electric Co Ltd 287,000 $ 1,354 Caltex Australia Ltd 56,119 $ 1,489
  $   2,130 Canadian Natural Resources Ltd 101,200   3,102
        Parex Resources Inc (b) 77,600   494
Healthcare - Products - 0.77%       PetroChina Co Ltd 1,652,000   1,835
Coloplast A/S 40,688   3,074 Royal Dutch Shell PLC - A Shares 97,948   2,913
        Royal Dutch Shell PLC - B Shares 112,533   3,505
Healthcare - Services - 0.77%       Sasol Ltd 28,913   976
Fresenius SE & Co KGaA 29,636   1,767 Statoil ASA 73,590   1,301
Ramsay Health Care Ltd 25,535   1,303 Suncor Energy Inc 57,366   1,676
  $   3,070 TOTAL SA 48,435   2,408
          $   19,699
Home Builders - 2.20%              
Barratt Developments PLC 313,666   2,452 Pharmaceuticals - 8.61%      
Persimmon PLC (b) 80,681   1,988 Actelion Ltd (b) 10,329   1,191
Sekisui House Ltd 103,200   1,499 Bayer AG 31,725   4,747
Taylor Wimpey PLC 1,242,626   2,849 BTG PLC (b) 117,747   1,245
  $   8,788 Novartis AG 83,871   8,278
        Novo Nordisk A/S 104,045   5,554
Home Furnishings - 0.58%       Roche Holding AG 28,874   7,935
Howden Joinery Group PLC 166,609   1,093 Shire PLC 69,264   5,522
Steinhoff International Holdings Ltd 193,316   1,210   $   34,472
  $   2,303        
        Pipelines - 0.47%      
Insurance - 5.23%       TransCanada Corp 44,000   1,882
BB Seguridade Participacoes SA 159,800   1,638        
Direct Line Insurance Group PLC 627,513   2,961        
Fairfax Financial Holdings Ltd 2,746   1,539 Private Equity - 0.37%      
Hannover Rueck SE 36,832   3,806 3i Group PLC 205,291   1,467
Legal & General Group PLC 586,498   2,416        
Prudential PLC 117,550   2,917 Real Estate - 3.21%      
Sampo Oyj 42,088   2,123 Brookfield Asset Management Inc 112,219   6,002
Sanlam Ltd 281,258   1,813 Deutsche Annington Immobilien SE 40,237   1,356
Tokio Marine Holdings Inc 46,000   1,736 Deutsche Wohnen AG 61,316   1,568
  $   20,949 Lend Lease Group 127,196   1,606
Internet - 1.15%       Mitsui Fudosan Co Ltd 43,000   1,263
Tencent Holdings Ltd 139,900   2,657 Wheelock & Co Ltd 208,000   1,063
Vipshop Holdings Ltd ADR(b) 65,420   1,926   $   12,858
  $   4,583 REITS - 0.54%      
Investment Companies - 2.12%       Mirvac Group 753,220   1,150
CK Hutchison Holdings Ltd 241,500   4,934 Segro PLC 160,978   994
Investor AB 89,703   3,571   $   2,144
  $   8,505 Retail - 4.87%      
Iron & Steel - 0.80%       Alimentation Couche-Tard Inc 152,252   6,067
APERAM SA (b) 27,882   1,118 Dollarama Inc 75,400   4,215
JFE Holdings Inc 93,600   2,066 Next PLC 19,395   2,017
  $   3,184 Pandora A/S 44,498   4,051
        Poundland Group PLC 186,795   1,010
Machinery - Construction & Mining - 0.88%       Travis Perkins PLC 21,413   618
Mitsubishi Electric Corp 296,000   3,514 Wal-Mart de Mexico SAB de CV 607,900   1,515
          $   19,493
 
Machinery - Diversified - 0.43%       Semiconductors - 2.95%      
Sumitomo Heavy Industries Ltd 263,000   1,721 ams AG 32,674   1,560
        ARM Holdings PLC 123,030   1,998
        Dialog Semiconductor PLC (b) 44,010   1,980
Media - 1.58%              
Grupo Televisa SAB ADR(b) 30,906   1,020 SK Hynix Inc 58,953   2,408
ITV PLC 1,185,298   4,438 Taiwan Semiconductor Manufacturing Co Ltd 835,140   3,881
Numericable-SFR SAS (b) 15,639   854   $   11,827
  $   6,312 Software - 1.41%      
Metal Fabrication & Hardware - 0.10%       HCL Technologies Ltd 191,950   2,999
Bharat Forge Ltd 20,394   416 Tech Mahindra Ltd 123,864   1,246
        UBISOFT Entertainment (b) 74,807   1,381
          $   5,626
Mining - 0.88%              
BHP Billiton Ltd 88,162   2,049 Telecommunications - 7.43%      
BHP Billiton PLC 67,165   1,474 Belgacom SA 63,906   2,236
  $   3,523 Bharti Infratel Ltd 139,098   855
        BT Group PLC 648,771   4,215
Miscellaneous Manufacturing - 1.28%       China Mobile Ltd 195,500   2,548
FUJIFILM Holdings Corp 81,500   2,900 China Telecom Corp Ltd 3,064,000   1,959
Largan Precision Co Ltd 26,000   2,235 Deutsche Telekom AG 218,148   3,990
  $   5,135 Hellenic Telecommunications Organization 87,811   778

 

See accompanying notes.

76

 

Schedule of Investments
Diversified International Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value(000 's)
 
Telecommunications (continued)            
KDDI Corp 117,900     $ 2,664  
MTN Group Ltd 101,886       1,717  
Nippon Telegraph & Telephone Corp 41,100       2,537  
Orange SA 195,320       3,137  
SK Telecom Co Ltd 8,610       2,119  
Telekom Malaysia Bhd 492,700       965  
        $   29,720  
 
Transportation - 2.62%            
AP Moeller - Maersk A/S - B shares 1,117       2,335  
Canadian National Railway Co 77,276       5,175  
Canadian Pacific Railway Ltd 9,268       1,697  
Deutsche Post AG 41,475       1,292  
        $   10,499  
TOTAL COMMON STOCKS     $   394,788  
INVESTMENT COMPANIES - 0.44% Shares Held Value(000 's)
 
Publicly Traded Investment Fund - 0.44%            
BlackRock Liquidity Funds FedFund Portfolio 1,774,866       1,775  
 
TOTAL INVESTMENT COMPANIES     $   1,775  
Total Investments     $   396,563  
Other Assets in Excess of Liabilities, Net - 0.92%   $   3,680  
TOTAL NET ASSETS - 100.00%     $   400,243  
 
 
(a) Fair value of these investments is determined in good faith by the Manager  
  under procedures established and periodically reviewed by the Board of  
  Directors. At the end of the period, the fair value of these securities totaled  
  $3,125 or 0.78% of net assets.            
(b) Non-Income Producing Security            
 
 
 
  Portfolio Summary (unaudited)          
Country         Percent  
Japan           15.96 %
Canada         11.47 %
United Kingdom         10.89 %
Germany         6.42 %
Switzerland         6.22 %
France         5.61 %
Australia         4.42 %
Denmark         4.31 %
Sweden         3.01 %
India           2.98 %
Ireland         2.80 %
China           2.41 %
Taiwan, Province Of China         2.35 %
Korea, Republic Of         2.31 %
Belgium         2.22 %
Hong Kong         2.14 %
Spain           1.99 %
South Africa         1.80 %
Netherlands         1.61 %
Norway         1.54 %
Mexico         1.16 %
Finland         0.98 %
Malaysia         0.98 %
Italy           0.72 %
Singapore         0.70 %
Brazil           0.64 %
United States         0.44 %
Austria         0.39 %
Luxembourg         0.28 %
Greece         0.20 %
Thailand         0.13 %
Other Assets in Excess of Liabilities, Net         0.92 %
TOTAL NET ASSETS         100.00 %

 

See accompanying notes.

77

 

Schedule of Investments
Equity Income Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 97.07% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Aerospace & Defense - 2.42%       Gas - 1.13%      
Lockheed Martin Corp 36,742 $ 7,457 Sempra Energy 64,139 $ 6,992
Raytheon Co 68,785   7,515        
  $   14,972 Healthcare - Products - 2.01%      
Apparel - 1.33%       Becton Dickinson and Co 30,519   4,382
VF Corp 109,740   8,265 Medtronic PLC 103,646   8,084
          $   12,466
 
Automobile Manufacturers - 1.17%       Insurance - 5.86%      
PACCAR Inc 114,531   7,232 ACE Ltd 108,390   12,084
        Allstate Corp/The 81,136   5,775
        Chubb Corp/The 41,487   4,194
Automobile Parts & Equipment - 2.49%       MetLife Inc 239,970   12,131
Autoliv Inc 67,325   7,929 Swiss Re AG ADR 21,794   2,105
Johnson Controls Inc 148,341   7,482   $   36,289
  $   15,411        
        Machinery - Diversified - 2.07%      
Banks - 9.10%       Deere & Co 146,428   12,840
Australia & New Zealand Banking Group Ltd 66,931   1,860        
ADR              
Bank of Nova Scotia/The 96,128   4,828 Media - 0.59%      
Grupo Financiero Santander Mexico SAB de 168,780   1,843 Walt Disney Co/The 35,135   3,685
CV ADR              
JP Morgan Chase & Co 212,103   12,849 Mining - 0.86%      
M&T Bank Corp 42,062   5,342 BHP Billiton Ltd ADR 115,363   5,361
PNC Financial Services Group Inc/The 119,294   11,123        
US Bancorp/MN 194,634   8,500        
Wells Fargo & Co 184,576   10,041 Miscellaneous Manufacturing - 1.90%      
  $   56,386 3M Co 21,875   3,608
        Parker-Hannifin Corp 68,791   8,171
Beverages - 0.68%         $   11,779
Coca-Cola Co/The 103,965   4,216        
        Oil & Gas - 9.85%      
        Chevron Corp 69,746   7,322
Chemicals - 1.54%       Cimarex Energy Co 37,005   4,259
Air Products & Chemicals Inc 26,452   4,001 Crescent Point Energy Corp 279,925   6,241
EI du Pont de Nemours & Co 77,246   5,521 Exxon Mobil Corp 95,621   8,128
  $   9,522 Marathon Oil Corp 210,063   5,485
Computers - 4.06%       Marathon Petroleum Corp 107,589   11,016
Accenture PLC - Class A 7,068   662 Occidental Petroleum Corp 130,764   9,546
Apple Inc 124,696   15,516 Royal Dutch Shell PLC - B shares ADR 144,122   9,036
EMC Corp/MA 245,334   6,271   $   61,033
International Business Machines Corp 16,686   2,678 Pharmaceuticals - 12.33%      
  $   25,127 Abbott Laboratories 207,409   9,609
Distribution & Wholesale - 0.76%       AbbVie Inc 125,129   7,325
Genuine Parts Co 50,665   4,721 GlaxoSmithKline PLC ADR 71,093   3,281
        Johnson & Johnson 63,101   6,348
        Merck & Co Inc 200,481   11,524
Diversified Financial Services - 5.57%       Novartis AG ADR 69,512   6,855
BlackRock Inc 32,012   11,711 Pfizer Inc 315,102   10,962
Discover Financial Services 175,203   9,873 Roche Holding AG ADR 265,655   9,133
FNF Group 351,807   12,932 Shire PLC ADR 6,546   1,566
  $   34,516 Teva Pharmaceutical Industries Ltd ADR 156,948   9,778
Electric - 4.35%         $   76,381
Eversource Energy 133,453   6,742 Pipelines - 3.14%      
NextEra Energy Inc 56,938   5,924 Enterprise Products Partners LP 229,314   7,552
Wisconsin Energy Corp 131,105   6,490 Kinder Morgan Inc/DE 283,601   11,928
Xcel Energy Inc 224,300   7,808   $   19,480
  $   26,964        
        Private Equity - 1.42%      
Electrical Components & Equipment - 0.47%       KKR & Co LP 385,002   8,782
Emerson Electric Co 51,214   2,900        
 
        REITS - 4.06%      
Electronics - 1.21%       American Capital Agency Corp 289,150   6,168
Garmin Ltd 58,070   2,759 Annaly Capital Management Inc 630,247   6,555
Honeywell International Inc 45,633   4,760 Digital Realty Trust Inc 188,410   12,427
  $   7,519   $   25,150
 
Food - 2.27%       Retail - 2.43%      
Kraft Foods Group Inc 50,903   4,434 Costco Wholesale Corp 20,413   3,092
Kroger Co/The 125,774   9,642 Starbucks Corp 67,472   6,390
  $   14,076 Tiffany & Co 63,648   5,602
          $   15,084

 

See accompanying notes.

78

 

          Schedule of Investments  
          Equity Income Account  
          March 31, 2015 (unaudited)  
 
 
COMMON STOCKS (continued) Shares Held Value (000 's)
 
Semiconductors - 4.82%            
Applied Materials Inc 344,380 $ 7,769  
Maxim Integrated Products Inc 155,842       5,425  
Microchip Technology Inc 199,565       9,759  
Taiwan Semiconductor Manufacturing Co Ltd 293,826       6,899  
ADR            
      $   29,852  
 
Software - 0.76%            
Microsoft Corp 116,029       4,717  
 
 
Telecommunications - 2.06%            
BCE Inc 186,020       7,880  
Verizon Communications Inc 99,942       4,860  
      $   12,740  
 
Toys, Games & Hobbies - 2.40%            
Hasbro Inc 191,847       12,133  
Mattel Inc 120,539       2,754  
      $   14,887  
 
Transportation - 1.96%            
Norfolk Southern Corp 50,501       5,198  
Union Pacific Corp 35,255       3,819  
United Parcel Service Inc 32,045       3,106  
      $   12,123  
TOTAL COMMON STOCKS     $   601,468  
INVESTMENT COMPANIES - 2.43% Shares Held Value (000 's)
 
Publicly Traded Investment Fund - 2.43%            
BlackRock Liquidity Funds FedFund Portfolio 15,032,904       15,033  
 
TOTAL INVESTMENT COMPANIES     $   15,033  
Total Investments     $   616,501  
Other Assets in Excess of Liabilities, Net - 0.50%   $   3,094  
TOTAL NET ASSETS - 100.00%     $   619,595  
 
 
 
 
Portfolio Summary (unaudited)          
Sector         Percent  
Financial         26.01 %
Consumer, Non-cyclical         17.29 %
Energy         12.99 %
Consumer, Cyclical         10.58 %
Industrial         10.03 %
Technology         9.64 %
Utilities         5.48 %
Communications         2.65 %
Exchange Traded Funds         2.43 %
Basic Materials         2.40 %
Other Assets in Excess of Liabilities, Net         0.50 %
TOTAL NET ASSETS         100.00 %

 

See accompanying notes.

79

 

Schedule of Investments
Government & High Quality Bond Account
March 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 1.03%     Shares Held Value (000's)       Principal    
              BONDS (continued)     Amount (000's) Value (000's)
  Publicly Traded Investment Fund - 1.03%                      
  BlackRock Liquidity Funds FedFund Portfolio     3,237,540 $ 3,238 Mortgage Backed Securities (continued)          
              Ginnie Mae (continued)          
  TOTAL INVESTMENT COMPANIES     $   3,238 0.98%, 02/16/2055(a)   $ 26,003 $ 1,279
        Principal     1.02%, 01/16/2057     8,992   795
BONDS- 32.25 % Amount (000's) Value (000's) 1.15%, 09/16/2053(a)     13,381   718
              1.33%, 03/16/2049(a)     35,528   2,365
  Home Equity Asset Backed Securities - 1.55%       2.25%, 03/16/2046(a)     1,685   1,688
  ACE Securities Corp Mortgage Loan Trust           2.30%, 08/16/2041     1,954   2,003
  Series 2007-D1           2.75%, 02/16/2055     1,500   1,477
  6.34%, 02/25/2038(a),(b)   $ 3,300 $ 3,216 3.48%, 07/16/2045(a)     1,892   1,980
  6.93%, 02/25/2038(b)     1,673   1,643 3.50%, 12/20/2034(a)     7,483   483
        $   4,859 3.50%, 05/20/2039     520   543
              3.50%, 05/20/2043(a)     7,851   1,582
  Mortgage Backed Securities - 30.46%           3.50%, 01/16/2049(a)     992   1,036
  CFCRE Commercial Mortgage Trust 2011-           4.00%, 09/16/2026(a)     3,815   394
  C1                      
  5.54%, 04/15/2044(a),(b)     1,000   1,152 GS Mortgage Securities Trust 2011-GC5          
              5.31%, 08/10/2044(a),(b)     900   960
  Citigroup Mortgage Loan Trust 2009-11                      
  1.52%, 10/25/2035(a),(b)     133   133 Jefferies Resecuritization Trust 2010-R4          
              5.00%, 10/26/2036(b)     1,080   1,105
  Citigroup Mortgage Loan Trust 2010-10                      
  2.43%, 02/25/2036(a),(b)     1,400   1,377 JP Morgan Chase Commercial Mortgage          
  Citigroup Mortgage Loan Trust 2010-9           Securities Trust 2011-C5          
              5.32%, 08/15/2046(a),(b)     2,000   2,304
  4.25%, 01/25/2036(b)     2,042   2,091            
  COMM 2014-UBS4 Mortgage Trust           JP Morgan Chase Commercial Mortgage          
  4.62%, 08/10/2047     1,000   1,030 Securities Trust 2013-C10          
              3.37%, 12/15/2047(a)     1,200   1,246
  Fannie Mae Grantor Trust 2005-T1                      
  0.52%, 05/25/2035(a)     472   467 JP Morgan Chase Commercial Mortgage          
  Fannie Mae REMICS           Securities Trust 2013-C16          
              4.94%, 12/15/2046(a)     1,800   2,035
  2.00%, 02/25/2040(a)     1,725   1,705            
  2.50%, 11/25/2041     1,283   1,302 JP Morgan Mortgage Trust 2013-1          
              3.00%, 03/25/2043(b)     1,841   1,836
  3.50%, 01/25/2028(a)     5,987   731            
  3.50%, 01/25/2040(a)     6,669   1,018 JPMBB Commercial Mortgage Securities          
  3.50%, 11/25/2042(a)     6,834   1,247 Trust 2014-C25          
              4.45%, 11/15/2047(a)     1,000   1,051
  4.00%, 12/25/2039     3,572   558            
  4.00%, 11/25/2042(a)     3,512   890 New Residential Mortgage Loan Trust 2014-          
  7.00%, 04/25/2032     270   312 1          
              5.00%, 01/25/2054(a),(b)     1,932   2,099
  8.70%, 12/25/2019     3   3            
  Freddie Mac REMICS           New Residential Mortgage Loan Trust 2014-          
  1.50%, 04/15/2028     2,386   2,368 3          
              4.75%, 11/25/2054(a),(b)     1,372   1,456
  2.50%, 11/15/2028(a)     7,817   769            
  2.50%, 11/15/2032     1,800   1,796 Springleaf Mortgage Loan Trust 2013-1          
              2.31%, 06/25/2058(a),(b)     1,100   1,079
  2.50%, 01/15/2043(a)     4,418   582            
  2.50%, 02/15/2043     1,719   1,709 Springleaf Mortgage Loan Trust 2013-3          
              3.79%, 09/25/2057(a),(b)     1,000   1,007
  3.00%, 11/15/2030(a)     5,894   536            
  3.00%, 05/15/2033     2,700   2,743 Structured Asset Sec Corp Mort Pass Through          
  3.00%, 06/15/2033(a)     10,230   1,109 Certs Series 2004-3          
              5.66%, 03/25/2034(a)     733   763
  3.50%, 04/15/2038(a)     3,950   387            
  3.50%, 08/15/2040(a)     6,180   868 WFRBS Commercial Mortgage Trust 2013-          
  3.50%, 10/15/2042(a)     3,742   724 C14          
              4.00%, 06/15/2046(a),(b)     1,000   952
  4.00%, 05/15/2039     4,200   4,443            
  4.00%, 10/15/2040     3,000   3,233 WFRBS Commercial Mortgage Trust 2014-          
  4.50%, 05/15/2037(a)     1,166   1,230 C23          
              4.38%, 10/15/2057(a)     1,000   1,089
  Freddie Mac Strips                      
  1.85%, 10/15/2037(a)     22,151   1,577 WFRBS Commercial Mortgage Trust 2014-          
  1.88%, 02/15/2038(a)     18,482   1,396 LC14          
              4.34%, 03/15/2047(a)     2,450   2,554
  3.00%, 12/15/2032(a)     10,698   1,538            
  Ginnie Mae                 $   95,570
  0.47%, 04/16/2053(a)     12,556   409 Other Asset Backed Securities - 0.24%          
  0.59%, 01/16/2054(a)     20,663   1,075 Chase Funding Trust Series 2004-1          
  0.71%, 04/16/2047(a)     16,438   965 0.63%, 12/25/2033(a)     98   90
  0.75%, 11/16/2045(a)     26,946   1,579 TAL Advantage V LLC          
  0.75%, 05/16/2053(a)     12,992   836 3.33%, 05/20/2039(a),(b)     663   673
  0.76%, 03/16/2049(a)     9,084   441       $   763
  0.80%, 12/16/2053(a)     15,745   958            
  0.86%, 02/16/2053(a)     23,580   1,505 TOTAL BONDS     $   101,192
  0.88%, 02/16/2053(a)     15,337   1,086 U.S. GOVERNMENT & GOVERNMENT     Principal    
  0.88%, 02/16/2053(a)     22,425   1,693 AGENCY OBLIGATIONS - 67.11%     Amount (000's) Value (000's)
  0.89%, 04/16/2053(a)     8,851   580 Federal Home Loan Mortgage Corporation (FHLMC) -    
  0.91%, 03/16/2052(a)     8,651   695 14.58 %        
  0.91%, 10/16/2054(a)     15,409   852 2.00%, 02/01/2028   $ 2,037 $ 2,038
              2.35%, 09/01/2032(a)     28   29
  0.92%, 11/16/2052(a)     18,361   1,326            
  0.96%, 02/16/2046(a)     13,449   893 2.50%, 09/01/2027     755   776
  0.97%, 01/16/2053(a)     9,862   792 2.50%, 02/01/2028     1,508   1,550
  0.98%, 09/16/2053(a)     14,202   982 3.00%, 02/01/2027     593   623

 

See accompanying notes.

80

 

Schedule of Investments
Government & High Quality Bond Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)     Federal Home Loan Mortgage Corporation (FHLMC)    
(continued)         (continued)        
3.00%, 08/01/2042 $ 1,229 $ 1,256 6.50%, 12/01/2028 $ 19 $ 22
3.00%, 10/01/2042   864   883 6.50%, 03/01/2029   8   10
3.00%, 10/01/2042   1,633   1,674 6.50%, 07/01/2031   70   81
3.00%, 10/01/2042   1,565   1,601 6.50%, 08/01/2031   6   7
3.00%, 05/01/2043   1,759   1,800 6.50%, 10/01/2031   12   14
3.50%, 02/01/2032   2,501   2,639 6.50%, 10/01/2031   20   23
3.50%, 04/01/2042   714   750 6.50%, 12/01/2031   37   44
3.50%, 04/01/2042   2,833   2,975 6.50%, 01/01/2032   118   143
3.50%, 05/01/2042   973   1,026 6.50%, 02/01/2032   32   38
3.50%, 07/01/2042   3,469   3,652 6.50%, 05/01/2032   79   95
3.50%, 09/01/2042   1,616   1,697 6.50%, 04/01/2035   15   17
3.50%, 10/01/2042   993   1,046 7.00%, 09/01/2023   14   14
4.00%, 12/01/2040   694   750 7.00%, 12/01/2023   6   7
4.00%, 07/01/2042   1,278   1,393 7.00%, 01/01/2024   7   9
4.00%, 01/01/2043   2,061   2,221 7.00%, 09/01/2027   9   10
4.00%, 06/01/2043   2,402   2,596 7.00%, 01/01/2028   65   73
4.50%, 08/01/2033   99   108 7.00%, 04/01/2028   38   45
4.50%, 07/01/2039   1,411   1,558 7.00%, 05/01/2028   6   6
4.50%, 12/01/2040   1,450   1,584 7.00%, 08/01/2028   12   12
4.50%, 05/01/2041   1,397   1,542 7.00%, 10/01/2031   22   27
4.50%, 11/01/2043   1,758   1,966 7.00%, 10/01/2031   15   19
5.00%, 10/01/2025   352   390 7.00%, 04/01/2032   109   133
5.00%, 02/01/2033   436   485 7.50%, 10/01/2030   18   21
5.00%, 06/01/2033   316   354 7.50%, 02/01/2031   12   14
5.00%, 05/01/2035   159   176 7.50%, 02/01/2031   16   20
5.00%, 07/01/2035   73   81 7.50%, 02/01/2031   7   8
5.00%, 07/01/2035   32   36 8.00%, 10/01/2030   30   35
5.00%, 07/01/2035   266   296 8.00%, 12/01/2030   2   2
5.00%, 10/01/2035   123   137 8.50%, 07/01/2029   33   37
5.50%, 04/01/2018   50   52     $   45,775
5.50%, 03/01/2024   17   19          
5.50%, 03/01/2033   295   333 Federal National Mortgage Association (FNMA) - 34.02%    
5.50%, 04/01/2038   28   32 2.00%, 10/01/2027   774   775
5.50%, 05/01/2038   109   122 2.00%, 10/01/2027   1,959   1,963
          2.16%, 12/01/2032(a)   50   52
6.00%, 04/01/2017   25   26 2.23%, 07/01/2034(a)   73   78
6.00%, 04/01/2017   19   20 2.25%, 12/01/2033(a)   222   237
6.00%, 05/01/2017   21   22          
6.00%, 07/01/2017   13   14 2.50%, 05/01/2027   2,009   2,069
6.00%, 12/01/2023   9   11 2.50%, 06/01/2027   1,902   1,958
6.00%, 05/01/2031   26   30 2.50%, 06/01/2027   2,375   2,446
6.00%, 12/01/2031   33   38 2.50%, 05/01/2028   1,198   1,234
6.00%, 09/01/2032   43   49 2.50%, 07/01/2028   871   893
6.00%, 11/01/2033   78   89 3.00%, 05/01/2028   1,587   1,672
6.00%, 11/01/2033   98   113 3.00%, 05/01/2029   1,796   1,895
6.00%, 05/01/2034   451   508 3.00%, 10/01/2042   2,497   2,561
6.00%, 05/01/2034   243   279 3.00%, 11/01/2042   2,707   2,777
6.00%, 09/01/2034   130   150 3.00%, 11/01/2042   873   896
6.00%, 02/01/2035   127   146 3.00%, 02/01/2043   1,823   1,869
6.00%, 10/01/2036(a)   137   157 3.00%, 02/01/2043   1,739   1,786
6.00%, 03/01/2037   97   110 3.00%, 04/01/2043   1,574   1,615
6.00%, 01/01/2038(a)   76   86 3.50%, 02/01/2042   1,931   2,049
6.00%, 01/01/2038   211   241 3.50%, 09/01/2042   3,357   3,552
6.00%, 04/01/2038   106   121 3.50%, 11/01/2042   2,333   2,472
6.50%, 11/01/2016   9   9 3.50%, 12/01/2042   2,408   2,549
6.50%, 06/01/2017   30   31 4.00%, 01/01/2034   1,152   1,244
6.50%, 06/01/2018   6   7 4.00%, 11/01/2040   1,217   1,305
6.50%, 08/01/2021   6   6 4.00%, 12/01/2040   1,048   1,140
6.50%, 12/01/2021   38   44 4.00%, 01/01/2041   2,214   2,379
6.50%, 04/01/2022   44   50 4.00%, 02/01/2041   2,024   2,170
6.50%, 05/01/2022   30   34 4.00%, 02/01/2041   2,608   2,836
6.50%, 05/01/2023   20   21 4.00%, 03/01/2041   2,793   2,994
6.50%, 04/01/2024   9   10 4.00%, 04/01/2041   2,146   2,301
6.50%, 04/01/2026   6   7 4.00%, 11/01/2041   1,134   1,216
6.50%, 05/01/2026   7   7 4.00%, 02/01/2042   1,617   1,759
6.50%, 05/01/2026   4   5 4.00%, 04/01/2042   1,263   1,353
6.50%, 12/01/2027   7   8 4.00%, 08/01/2043   893   974
6.50%, 01/01/2028   9   11 4.00%, 10/01/2043   811   882
6.50%, 03/01/2028   6   7 4.00%, 10/01/2043   903   974
6.50%, 09/01/2028   2   2 4.00%, 08/01/2044   958   1,053
6.50%, 09/01/2028   15   17 4.00%, 10/01/2044   3,076   3,321
6.50%, 10/01/2028   40   48 4.50%, 12/01/2019   54   57
6.50%, 11/01/2028   8   9 4.50%, 01/01/2020   218   230

 

See accompanying notes.

81

 

Schedule of Investments
Government & High Quality Bond Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT     Principal    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
4.50%, 08/01/2039 $ 872 $ 970 6.50%, 07/01/2028   $ 12 $ 14
4.50%, 09/01/2039   1,440   1,590 6.50%, 09/01/2028     21   24
4.50%, 01/01/2041   2,925   3,245 6.50%, 02/01/2029     5   6
4.50%, 08/01/2041   1,277   1,431 6.50%, 03/01/2029     11   13
4.50%, 09/01/2041   1,824   1,997 6.50%, 04/01/2029     5   6
4.50%, 03/01/2042   881   977 6.50%, 06/01/2031     12   14
4.50%, 09/01/2043   3,197   3,581 6.50%, 06/01/2031     11   12
4.50%, 09/01/2043   1,370   1,535 6.50%, 09/01/2031     18   21
4.50%, 10/01/2043   1,742   1,952 6.50%, 01/01/2032     4   5
4.50%, 11/01/2043   1,836   2,057 6.50%, 04/01/2032     75   87
4.50%, 09/01/2044   983   1,101 6.50%, 08/01/2032     24   28
5.00%, 01/01/2018   119   125 6.50%, 11/01/2032     34   38
5.00%, 11/01/2018   102   107 6.50%, 11/01/2032     38   40
5.00%, 05/01/2033   2,445   2,772 6.50%, 02/01/2033     50   58
5.00%, 05/01/2034   432   482 6.50%, 07/01/2034     151   179
5.00%, 04/01/2035   194   220 6.50%, 12/01/2036     91   105
5.00%, 04/01/2035   285   322 6.50%, 07/01/2037     68   84
5.00%, 07/01/2035   14   15 6.50%, 07/01/2037     47   58
5.00%, 02/01/2038   674   762 6.50%, 02/01/2038     47   56
5.00%, 03/01/2038   1,002   1,135 7.00%, 01/01/2027     4   4
5.00%, 02/01/2040   2,813   3,205 7.00%, 11/01/2027     8   9
5.00%, 06/01/2040   794   889 7.00%, 08/01/2028     32   38
5.00%, 07/01/2041   1,331   1,499 7.00%, 12/01/2028     24   28
5.00%, 07/01/2041   2,178   2,482 7.00%, 10/01/2029     36   43
5.50%, 08/01/2017   27   28 7.00%, 05/01/2031     5   5
5.50%, 12/01/2017   36   38 7.00%, 11/01/2031     63   68
5.50%, 01/01/2018   62   66 7.50%, 04/01/2022     2   2
5.50%, 07/01/2019   56   59 7.50%, 11/01/2029     16   17
5.50%, 08/01/2019   10   11 8.00%, 05/01/2027     30   33
5.50%, 08/01/2019   22   23 8.00%, 09/01/2027     12   12
5.50%, 08/01/2019   12   13 8.00%, 06/01/2030     4   5
5.50%, 08/01/2019   11   11 8.50%, 02/01/2023     1   1
5.50%, 08/01/2019   23   24 8.50%, 10/01/2027     35   36
5.50%, 08/01/2019   88   93 9.00%, 09/01/2030     9   11
5.50%, 09/01/2019   63   67       $   106,760
5.50%, 10/01/2019   25   27 Government National Mortgage Association (GNMA) -    
5.50%, 05/01/2024   78   88 9.02 %        
5.50%, 05/01/2033   36   40 3.00%, 04/15/2027     1,257   1,328
5.50%, 06/01/2033   161   182 3.00%, 11/15/2042     1,749   1,804
5.50%, 06/01/2033   130   148 3.00%, 12/15/2042     3,359   3,465
5.50%, 09/01/2033   710   814 3.00%, 02/15/2043     2,574   2,673
5.50%, 02/01/2037   16   18 3.50%, 11/15/2041     2,495   2,633
5.50%, 03/01/2038   249   284 3.50%, 12/20/2041     1,899   2,004
5.50%, 03/01/2038   372   424 3.50%, 01/15/2043     2,038   2,180
5.50%, 08/01/2038   213   244 3.50%, 06/20/2043     1,336   1,430
6.00%, 08/01/2016   11   11 4.00%, 03/20/2040     1,873   2,010
6.00%, 12/01/2016   27   27 4.00%, 08/15/2041     1,816   1,990
6.00%, 08/01/2017   43   44 4.50%, 07/15/2040     1,621   1,812
6.00%, 06/01/2022   46   52 5.00%, 09/15/2033     12   13
6.00%, 03/01/2026   8   9 5.00%, 02/15/2034     684   768
6.00%, 11/01/2028   24   27 5.00%, 09/15/2039     107   122
6.00%, 08/01/2031   83   95 5.50%, 07/20/2033     308   352
6.00%, 12/01/2031   22   25 5.50%, 11/15/2033     58   66
6.00%, 01/01/2033   131   150 5.50%, 03/20/2034     324   367
6.00%, 02/01/2034   54   62 5.50%, 05/20/2035     290   329
6.00%, 05/01/2037   394   444 5.50%, 11/15/2038     368   419
6.00%, 07/01/2037   365   419 5.50%, 01/15/2039     123   140
6.00%, 11/01/2037   67   77 5.50%, 01/15/2039     548   626
6.00%, 12/01/2037   20   23 5.50%, 03/15/2039     290   327
6.00%, 03/01/2038   153   176 6.00%, 06/20/2024     58   66
6.00%, 08/01/2038   837   964 6.00%, 06/20/2024     10   11
6.50%, 06/01/2016   7   7 6.00%, 02/20/2026     6   7
6.50%, 08/01/2017   23   24 6.00%, 04/20/2026     11   13
6.50%, 11/01/2023   71   82 6.00%, 05/20/2026     6   6
6.50%, 05/01/2024   25   28 6.00%, 06/20/2026     7   8
6.50%, 09/01/2024   29   34 6.00%, 06/20/2026     12   13
6.50%, 07/01/2025   14   16 6.00%, 07/20/2026     6   6
6.50%, 08/01/2025   36   40 6.00%, 09/20/2026     10   11
6.50%, 02/01/2026   10   11 6.00%, 03/20/2027     24   27
6.50%, 03/01/2026   2   3 6.00%, 01/20/2028     8   9
6.50%, 05/01/2026   6   7 6.00%, 03/20/2028     5   5
6.50%, 06/01/2026   4   4 6.00%, 06/20/2028     29   33

 

See accompanying notes.

82

 

Schedule of Investments
Government & High Quality Bond Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal       Portfolio Summary (unaudited)    
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)   Sector Percent  
Government National Mortgage Association (GNMA)         Mortgage Securities 88.08 %
(continued)           Government 9.49 %
  6.00%, 07/20/2028 $ 19 $ 21   Asset Backed Securities 1.79 %
  6.00%, 02/20/2029   18   20   Exchange Traded Funds 1.03 %
  6.00%, 03/20/2029   35   40   Liabilities in Excess of Other Assets, Net (0.39 )%
  6.00%, 07/20/2029   35   41   TOTAL NET ASSETS 100.00 %
  6.00%, 05/20/2032(a)   62   72        
  6.00%, 07/20/2033   235   272        
  6.50%, 12/20/2025   15   17        
  6.50%, 01/20/2026   23   24        
  6.50%, 02/20/2026   16   18        
  6.50%, 03/20/2031   21   25        
  6.50%, 04/20/2031   22   27        
  7.00%, 01/15/2028   5   5        
  7.00%, 01/15/2028   3   3        
  7.00%, 01/15/2028   2   2        
  7.00%, 01/15/2028   10   13        
  7.00%, 01/15/2028   2   2        
  7.00%, 03/15/2028   111   121        
  7.00%, 05/15/2028   55   62        
  7.00%, 01/15/2029   19   21        
  7.00%, 03/15/2029   7   8        
  7.00%, 05/15/2031   16   19        
  7.00%, 06/20/2031   15   18        
  7.00%, 09/15/2031   42   50        
  7.00%, 06/15/2032   223   266        
  7.50%, 01/15/2023   1   1        
  7.50%, 01/15/2023   1   1        
  7.50%, 01/15/2023   1   1        
  7.50%, 02/15/2023   2   2        
  7.50%, 02/15/2023   4   4        
  7.50%, 04/15/2023   21   23        
  7.50%, 06/15/2023   2   2        
  7.50%, 07/15/2023   1   1        
  7.50%, 09/15/2023   4   4        
  7.50%, 09/15/2023   4   4        
  7.50%, 10/15/2023   7   8        
  7.50%, 11/15/2023   7   7        
  8.00%, 07/15/2026   2   2        
  8.00%, 08/15/2026   4   5        
  8.00%, 01/15/2027   1   2        
  8.00%, 02/15/2027   1   1        
      $   28,308        
 
U.S. Treasury - 9.49%                
  1.75%, 10/31/2018   3,900   3,992        
  2.25%, 11/30/2017   5,000   5,193        
  3.13%, 05/15/2021   8,000   8,710        
  4.25%, 11/15/2040   2,200   2,928        
  5.25%, 11/15/2028   3,000   4,094        
  6.25%, 08/15/2023   3,600   4,855        
      $   29,772        
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY            
OBLIGATIONS   $   210,615        
Total Investments   $   315,045        
Liabilities in Excess of Other Assets, Net - (0.39)% $   (1,228 )      
TOTAL NET ASSETS - 100.00%   $   313,817        
 
 
(a) Variable Rate. Rate shown is in effect at March 31, 2015.            
(b) Security exempt from registration under Rule 144A of the Securities Act of        
  1933. These securities may be resold in transactions exempt from        
  registration, normally to qualified institutional buyers. At the end of the        
  period, the value of these securities totaled $23,083 or 7.36% of net assets.        

 

See accompanying notes.

83

 

Schedule of Investments
Income Account
March 31, 2015 (unaudited)
 
 
  COMMON STOCKS - 0.00%   Shares Held Value(000 's)     Principal    
                    BONDS (continued)   Amount (000's) Value (000's)
  Computers - 0.00%                          
  SONICblue Inc (a),(b)     500,000     $ —   Banks (continued)        
                    Wells Fargo & Co        
                    7.98%, 12/31/2049(c) $ 2,000 $ 2,190
  Transportation - 0.00%                     $   20,029
  Trailer Bridge Inc (a),(b)     1,186       —            
                    Beverages - 1.15%        
  TOTAL COMMON STOCKS         $   —   Anheuser-Busch InBev Worldwide Inc        
  INVESTMENT COMPANIES - 3.69%   Shares Held Value(000 's) 2.50%, 07/15/2022   750   740
                    7.75%, 01/15/2019   1,000   1,210
  Publicly Traded Investment Fund - 3.69%                 Innovation Ventures LLC / Innovation        
  BlackRock Liquidity Funds FedFund Portfolio     10,268,202       10,268   Ventures Finance Corp        
                    9.50%, 08/15/2019(d)   1,250   1,263
  TOTAL INVESTMENT COMPANIES         $   10,268       $   3,213
        Principal                    
BONDS- 62.36 % Amount (000's) Value(000 's) Biotechnology - 1.36%        
                    Amgen Inc        
  Aerospace & Defense - 0.42%                 3.63%, 05/15/2022   500   529
  Boeing Co/The                 3.88%, 11/15/2021   2,000   2,152
  8.75%, 08/15/2021   $ 850 $ 1,173   Gilead Sciences Inc        
                    4.40%, 12/01/2021   1,000   1,118
  Airlines - 0.08%                     $   3,799
  Southwest Airlines Co 1994-A Pass Through                 Chemicals - 0.54%        
  Trust                 Airgas Inc        
  9.15%, 07/01/2016     216   223   1.65%, 02/15/2018   1,000   996
                    Eagle Spinco Inc        
  Automobile Floor Plan Asset Backed Securities - 3.05%           4.63%, 02/15/2021   500   494
  Ally Master Owner Trust                     $   1,490
  0.62%, 04/15/2018(c)     2,000   2,002            
  CNH Wholesale Master Note Trust                 Commercial Services - 0.89%        
  0.77%, 08/15/2019 (c),(d)     2,000   2,004   ERAC USA Finance LLC        
                    6.38%, 10/15/2017(d)   1,000   1,121
  Ford Credit Floorplan Master Owner Trust A                 7.00%, 10/15/2037(d)   1,000   1,348
  0.55%, 01/15/2018(c)     1,000   1,000            
  0.57%, 02/15/2019(c)     500   500       $   2,469
  Nissan Master Owner Trust Receivables                 Computers - 0.62%        
  0.47%, 02/15/2018(c)     1,000   1,000   Apple Inc        
  Volkswagen Credit Auto Master Trust                 2.40%, 05/03/2023   1,750   1,728
  0.53%, 07/22/2019(c),(d)     2,000   1,996            
 
            $   8,502   Credit Card Asset Backed Securities - 0.48%    
  Automobile Manufacturers - 1.12%                 Cabela's Credit Card Master Note Trust        
  American Honda Finance Corp                 0.52%, 03/16/2020(c)   1,325   1,325
  0.75%, 10/07/2016(c)     500   502            
  Ford Motor Credit Co LLC                 Diversified Financial Services - 2.17%        
  3.98%, 06/15/2016     2,000   2,062   General Electric Capital Corp        
  General Motors Co                 1.27%, 03/15/2023(c)   2,000   2,026
  4.88%, 10/02/2023     500   542   5.30%, 02/11/2021   500   577
            $   3,106   International Lease Finance Corp        
Banks- 7.19 %               8.75%, 03/15/2017(c)   1,000   1,105
  Bank of America Corp                 Jefferies Group LLC        
  5.42%, 03/15/2017     800   854   6.25%, 01/15/2036   1,425   1,424
  8.00%, 07/29/2049(c)     1,000   1,069   8.50%, 07/15/2019   750   897
  8.13%, 12/29/2049(c)     1,000   1,079       $   6,029
  Citigroup Inc                 Electric - 6.96%        
  4.50%, 01/14/2022     1,000   1,104   Exelon Generation Co LLC        
  Goldman Sachs Group Inc/The                 6.20%, 10/01/2017   1,000   1,108
  3.63%, 02/07/2016     500   511   GenOn Americas Generation LLC        
  5.38%, 03/15/2020     2,000   2,269   8.50%, 10/01/2021   1,250   1,188
  ING Bank NV                          
  5.00%, 06/09/2021(d)     1,000   1,141   GenOn Energy Inc        
  JP Morgan Chase & Co                   9.88%, 10/15/2020   750   759
  7.90%, 04/29/2049 (c)     1,000   1,076   LG&E and KU Energy LLC        
                    4.38%, 10/01/2021   1,000   1,104
  Morgan Stanley                 Metropolitan Edison Co        
  5.50%, 07/28/2021     1,000   1,160   3.50%, 03/15/2023(d)   1,000   1,019
  6.25%, 08/09/2026     850   1,055   NiSource Finance Corp        
  PNC Financial Services Group Inc/The                          
  6.75%, 07/29/2049(c)     2,000   2,225   5.25%, 09/15/2017   1,000   1,093
                    Oncor Electric Delivery Co LLC        
  SunTrust Bank/Atlanta GA                 7.00%, 09/01/2022   2,000   2,562
  2.75%, 05/01/2023     1,000   994   PacifiCorp        
  US Bancorp/MN                 5.25%, 06/15/2035   850   1,038
  1.65%, 05/15/2017     3,000   3,041   6.25%, 10/15/2037   500   687
  3.60%, 09/11/2024     250   261   PPL Energy Supply LLC        
                    5.70%, 10/15/2035   2,000   2,024

 

See accompanying notes.

84

 

Schedule of Investments
Income Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)     Amount (000's) Value (000's)
 
Electric (continued)           Lodging - 0.75%          
Solar Star Funding LLC           Boyd Gaming Corp          
5.38%, 06/30/2035(d) $ 1,500 $ 1,708   9.13%, 12/01/2018   $ 2,000 $ 2,090
Southwestern Electric Power Co                      
3.55%, 02/15/2022   1,000   1,055              
5.38%, 04/15/2015   1,275   1,276 Media - 2.87 %        
            21st Century Fox America Inc          
TransAlta Corp           6.40%, 12/15/2035     1,000   1,316
4.50%, 11/15/2022   1,750   1,725              
Tucson Electric Power Co           8.00%, 10/17/2016     1,000   1,105
            Comcast Corp          
3.85%, 03/15/2023   1,000   1,044   6.45%, 03/15/2037     2,000   2,708
    $   19,390   Historic TW Inc          
Electronics - 0.51%           9.15%, 02/01/2023     250   345
Corning Inc           Time Warner Cable Inc          
4.75%, 03/15/2042   750   818   6.55%, 05/01/2037     1,500   1,884
6.63%, 05/15/2019   500   591   6.75%, 06/15/2039     500   641
    $   1,409         $   7,999
 
Entertainment - 0.19%           Mining - 0.62%          
Greektown Holdings LLC/Greektown           Glencore Canada Corp          
Mothership Corp           6.00%, 10/15/2015     1,675   1,718
8.88%, 03/15/2019(d)   250   264              
Peninsula Gaming LLC / Peninsula Gaming           Oil & Gas - 6.02%          
Corp           BG Energy Capital PLC          
8.38%, 02/15/2018(d)   250   263              
            4.00%, 10/15/2021(d)     2,000   2,084
    $   527   BP Capital Markets PLC          
Environmental Control - 0.94%           3.25%, 05/06/2022     1,000   1,030
ADS Waste Holdings Inc           4.75%, 03/10/2019     2,000   2,213
8.25%, 10/01/2020   1,500   1,568   Linn Energy LLC / Linn Energy Finance          
Republic Services Inc           Corp          
3.55%, 06/01/2022   1,000   1,046   6.50%, 05/15/2019     1,000   841
    $   2,614   Nabors Industries Inc          
            5.00%, 09/15/2020     1,000   996
Forest Products & Paper - 0.79%           Petro-Canada          
Plum Creek Timberlands LP           9.25%, 10/15/2021     1,075   1,450
4.70%, 03/15/2021   2,000   2,209   Phillips 66          
            4.30%, 04/01/2022     1,000   1,090
Healthcare - Services - 1.18%           Rowan Cos Inc          
HCA Inc           4.88%, 06/01/2022     750   721
7.50%, 11/06/2033   250   270   5.00%, 09/01/2017     2,000   2,060
HealthSouth Corp           W&T Offshore Inc          
5.75%, 11/01/2024   500   520   8.50%, 06/15/2019     2,500   1,512
7.75%, 09/15/2022   740   781   Whiting Petroleum Corp          
Roche Holdings Inc           5.75%, 03/15/2021     1,250   1,241
0.61%, 09/30/2019(c),(d)   1,000   1,002   XTO Energy Inc          
Vantage Oncology LLC / Vantage Oncology           6.75%, 08/01/2037     1,000   1,534
Finance Co                 $   16,772
9.50%, 06/15/2017(d)   750   724              
            Oil & Gas Services - 1.44%          
    $   3,297   Exterran Partners LP / EXLP Finance Corp          
Insurance - 2.56%           6.00%, 04/01/2021     2,000   1,840
Fidelity National Financial Inc           Weatherford International Ltd/Bermuda          
6.60%, 05/15/2017   2,500   2,731   4.50%, 04/15/2022     250   228
First American Financial Corp           5.13%, 09/15/2020     2,000   1,948
4.30%, 02/01/2023   2,000   2,003         $   4,016
Prudential Financial Inc           Other Asset Backed Securities - 1.40%          
7.38%, 06/15/2019   1,000   1,211   Drug Royalty II LP 2          
8.88%, 06/15/2068(c)   1,000   1,179   3.48%, 07/15/2023(c),(d)     1,872   1,903
    $   7,124   PFS Financing Corp          
            0.67%, 04/17/2017(c),(d)     1,000   1,000
Iron & Steel - 1.52%           0.72%, 02/15/2018(c),(d)     1,000   1,000
Allegheny Technologies Inc                      
5.95%, 01/15/2021   2,000   2,100         $   3,903
ArcelorMittal           Packaging & Containers - 0.38%          
6.25%, 03/01/2021(c)   2,000   2,125              
            Sealed Air Corp          
    $   4,225   6.88%, 07/15/2033(d)     1,000   1,052
Leisure Products & Services - 1.05%                      
Carnival Corp           Pharmaceuticals - 0.64%          
7.20%, 10/01/2023   1,475   1,815   AbbVie Inc          
Royal Caribbean Cruises Ltd           2.90%, 11/06/2022     1,000   992
7.25%, 03/15/2018   1,000   1,115   Actavis Funding SCS          
    $   2,930   4.55%, 03/15/2035     750   782
                  $   1,774

 

See accompanying notes.

85

 

Schedule of Investments
Income Account
March 31, 2015 (unaudited)
 
 
        Principal           Principal          
  BONDS (continued)     Amount (000's) Value (000's) CONVERTIBLE BONDS (continued)   Amount (000's) Value (000 's)
 
  Pipelines - 2.52%           Pharmaceuticals - 0.40%                
  ANR Pipeline Co           Omnicare Inc                
  9.63%, 11/01/2021   $ 1,000 $ 1,353 3.25%, 12/15/2035   $ 433 $ 473  
  Buckeye Partners LP           3.50%, 02/15/2044     538   655  
  4.35%, 10/15/2024     500   499           $   1,128  
  El Paso Natural Gas Co LLC           TOTAL CONVERTIBLE BONDS         $   3,370  
  7.50%, 11/15/2026     2,100   2,626 SENIOR FLOATING RATE INTERESTS - Principal          
  Express Pipeline LLC           0.64 % Amount (000's) Value (000 's)
  7.39%, 12/31/2019(d)     676   718                  
  Southeast Supply Header LLC           Transportation - 0.64%                
  4.25%, 06/15/2024(d)     750   763 Trailer Bridge Inc, Term Loan                
              10.00%, 04/02/2016(b),(c),(e)   $ 1,775 $ 1,775  
  Southern Natural Gas Co LLC                            
  8.00%, 03/01/2032     850   1,057                  
        $   7,016 TOTAL SENIOR FLOATING RATE INTERESTS   $   1,775  
              U.S. GOVERNMENT & GOVERNMENT     Principal          
REITS - 8.04 %         AGENCY OBLIGATIONS - 31.16%   Amount (000's) Value (000 's)
  Alexandria Real Estate Equities Inc           Federal Home Loan Mortgage Corporation (FHLMC) -          
  4.60%, 04/01/2022     1,250   1,321 6.08 %              
  BioMed Realty LP           3.00%, 10/01/2042   $ 1,739 $ 1,778  
  4.25%, 07/15/2022     1,000   1,045 3.00%, 10/01/2042     864   883  
  6.13%, 04/15/2020     1,000   1,152 3.00%, 11/01/2042     849   868  
  CubeSmart LP           3.00%, 12/01/2042     388   397  
  4.80%, 07/15/2022     1,750   1,933 3.50%, 10/01/2041     1,062   1,115  
  Duke Realty LP           3.50%, 04/01/2042     2,236   2,349  
  8.25%, 08/15/2019     2,000   2,470 3.50%, 04/01/2042     1,428   1,499  
  HCP Inc           4.50%, 08/01/2033     367   401  
  3.75%, 02/01/2019     1,000   1,054 4.50%, 05/01/2039     833   908  
  Health Care REIT Inc           4.50%, 06/01/2039     489   544  
  6.13%, 04/15/2020     1,000   1,159 4.50%, 07/01/2039     1,580   1,749  
  6.20%, 06/01/2016     1,675   1,774 4.50%, 12/01/2040     777   849  
  Healthcare Realty Trust Inc           4.50%, 10/01/2041     949   1,035  
  6.50%, 01/17/2017     2,000   2,176 5.00%, 08/01/2019     225   237  
  Hospitality Properties Trust           5.00%, 08/01/2035     1,049   1,160  
  4.65%, 03/15/2024     750   777 5.50%, 11/01/2017     36   38  
  5.00%, 08/15/2022     750   798 5.50%, 01/01/2018     15   16  
  Kimco Realty Corp           5.50%, 05/01/2031     49   55  
  6.88%, 10/01/2019     2,000   2,380 5.50%, 06/01/2035     104   117  
  Simon Property Group LP           5.50%, 01/01/2036     258   292  
  10.35%, 04/01/2019     2,000   2,592 5.50%, 04/01/2036     157   178  
  Ventas Realty LP / Ventas Capital Corp           6.00%, 03/01/2031     32   36  
  3.25%, 08/15/2022     1,750   1,756 6.00%, 05/01/2032     54   62  
        $   22,387 6.00%, 06/01/2038     255   291  
  Savings & Loans - 0.40%           6.50%, 06/01/2029     19   22  
  First Niagara Financial Group Inc           6.50%, 08/01/2029     22   25  
  7.25%, 12/15/2021     1,000   1,117 7.00%, 01/01/2032     20   21  
              9.00%, 01/01/2025     4   5  
                        $   16,930  
  Telecommunications - 0.82%                            
  Qwest Corp           Federal National Mortgage Association (FNMA) - 15.26%          
  6.75%, 12/01/2021     2,000   2,292 3.00%, 03/01/2042     1,524   1,562  
              3.00%, 03/01/2042     1,496   1,534  
              3.00%, 05/01/2042     814   835  
  Transportation - 0.94%           3.00%, 06/01/2042     1,534   1,573  
  Navios Maritime Holdings Inc / Navios           3.00%, 06/01/2042     753   772  
  Maritime Finance II US Inc           3.00%, 08/01/2042     780   799  
  7.38%, 01/15/2022(d)     500   466                  
              3.50%, 12/01/2040     1,278   1,346  
  Trailer Bridge Inc           3.50%, 12/01/2041     475   500  
  0.00%, 11/15/2015(a),(b)     2,000   —                  
  15.75%, 03/31/2017(b),(c),(e)     2,315   2,155 3.50%, 03/01/2042     763   802  
              3.50%, 04/01/2042     1,387   1,459  
        $   2,621 3.50%, 02/01/2043     919   971  
  Trucking & Leasing - 0.75%           3.50%, 06/01/2043     1,414   1,494  
  Penske Truck Leasing Co Lp / PTL Finance           4.00%, 03/01/2039     1,035   1,107  
  Corp           4.00%, 08/01/2040     874   937  
  3.75%, 05/11/2017(d)     2,000   2,086 4.00%, 09/01/2040     1,916   2,072  
              4.00%, 11/01/2040     967   1,037  
  TOTAL BONDS     $   173,654 4.00%, 10/01/2041     856   917  
        Principal     4.00%, 10/01/2041     1,092   1,170  
  CONVERTIBLE BONDS - 1.21%     Amount (000's) Value (000's) 4.00%, 11/01/2041     1,311   1,405  
              4.00%, 04/01/2042     706   756  
  Automobile Parts & Equipment - 0.81%           4.00%, 11/01/2043     2,214   2,401  
  Meritor Inc           4.00%, 11/01/2043     883   952  
  7.88%, 03/01/2026     1,500   2,242 4.00%, 01/01/2044     1,993   2,149  
              4.00%, 02/01/2044     2,673   2,892  
              4.00%, 09/01/2044     950   1,016  

 

See accompanying notes.

86

 

Schedule of Investments
Income Account
March 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     Portfolio Summary (unaudited)    
AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's) Sector Percent  
              Mortgage Securities 21.39 %
Federal National Mortgage Association (FNMA) (continued)     Financial 20.36 %
  4.50%, 06/01/2039   $ 375 $ 409      
  4.50%, 08/01/2039     430   478 Energy 9.98 %
              Government 9.77 %
  4.50%, 05/01/2040     1,319   1,451 Utilities 6.96 %
  4.50%, 10/01/2040     1,500   1,652      
  4.50%, 12/01/2040     837   921 Consumer, Non-cyclical 5.63 %
              Asset Backed Securities 4.93 %
  4.50%, 05/01/2044     890   974 Industrial 4.58 %
  5.00%, 01/01/2018     57   60      
  5.00%, 08/01/2035     498   554 Consumer, Cyclical 3.99 %
              Exchange Traded Funds 3.69 %
  5.00%, 04/01/2039     291   327 Communications 3.69 %
  5.00%, 12/01/2039     327   364      
  5.00%, 04/01/2040     853   958 Basic Materials 3.47 %
              Technology 0.62 %
  5.00%, 06/01/2040     727   816 Other Assets in Excess of Liabilities, Net 0.94 %
  5.50%, 03/01/2033     64   72      
  5.50%, 06/01/2033     236   267 TOTAL NET ASSETS 100.00 %
  5.50%, 02/01/2035     462   526      
  6.00%, 04/01/2032     57   66      
  6.50%, 05/01/2031     6   6      
  6.50%, 04/01/2032     86   99      
  6.50%, 05/01/2032     36   42      
  7.00%, 01/01/2030     2   2      
        $   42,502      
Government National Mortgage Association (GNMA) -          
0.05 %              
  6.00%, 05/20/2032(c)     53   62      
  7.00%, 06/20/2031     54   66      
  9.00%, 02/15/2025     3   3      
        $   131      
 
U.S. Treasury - 9.77%                
  1.38%, 11/30/2018     1,000   1,010      
  1.63%, 11/15/2022     2,000   1,981      
  1.75%, 05/15/2022     2,000   2,005      
  2.00%, 11/15/2021     2,000   2,045      
  2.38%, 05/31/2018     1,000   1,044      
  2.63%, 11/15/2020     2,000   2,119      
  2.75%, 02/15/2019     1,000   1,060      
  2.75%, 02/15/2024     1,000   1,072      
  2.88%, 05/15/2043     1,000   1,065      
  3.00%, 11/15/2044     1,000   1,096      
  3.13%, 05/15/2019     2,000   2,152      
  3.13%, 05/15/2021     1,000   1,089      
  3.13%, 08/15/2044     1,000   1,120      
  3.38%, 05/15/2044     1,000   1,171      
  3.63%, 02/15/2020     2,000   2,216      
  3.63%, 02/15/2044     1,000   1,223      
  3.75%, 08/15/2041     1,000   1,243      
  3.75%, 11/15/2043     2,000   2,498      
        $   27,209      
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY          
OBLIGATIONS     $   86,772      
Total Investments     $   275,839      
Other Assets in Excess of Liabilities, Net - 0.94% $   2,620      
TOTAL NET ASSETS - 100.00%     $   278,459      
 
 
(a) Non-Income Producing Security                
(b) Fair value of these investments is determined in good faith by the Manager      
  under procedures established and periodically reviewed by the Board of      
  Directors. At the end of the period, the fair value of these securities totaled      
  $3,930 or 1.41% of net assets.                
(c) Variable Rate. Rate shown is in effect at March 31, 2015.          
(d) Security exempt from registration under Rule 144A of the Securities Act of      
  1933. These securities may be resold in transactions exempt from      
  registration, normally to qualified institutional buyers. At the end of the      
  period, the value of these securities totaled $24,925 or 8.95% of net assets.      
(e) Security is Illiquid                

 

See accompanying notes.

87

 

Schedule of Investments
International Emerging Markets Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 95.43% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.50%       Diversified Financial Services - 4.33%      
Multiplus SA 19,400 $ 204 Fubon Financial Holding Co Ltd 771,000 $ 1,382
Smiles SA 20,195   318 Mega Financial Holding Co Ltd 1,524,484   1,263
  $   522 Rural Electrification Corp Ltd 100,917   538
        Shinhan Financial Group Co Ltd 35,990   1,352
Agriculture - 0.87%         $   4,535
Bunge Ltd 4,703   387        
KT&G Corp 6,605   528 Electric - 4.51%      
  $   915 Huadian Fuxin Energy Corp Ltd 1,152,000   563
        Huadian Power International Corp Ltd 1,115,119   930
Airlines - 1.88%       Huaneng Power International Inc 312,000   371
Air China Ltd 636,000   649 JSW Energy Ltd 285,108   543
Korean Air Lines Co Ltd (a) 19,268   842 Korea Electric Power Corp 33,066   1,363
Turk Hava Yollari AO (a) 145,993   481 Tenaga Nasional BHD 247,800   959
  $   1,972   $   4,729
 
Apparel - 0.32%       Electronics - 1.95%      
Feng TAY Enterprise Co Ltd 56,600   340 AU Optronics Corp (a) 582,000   292
        Hon Hai Precision Industry Co Ltd 311,354   911
Automobile Manufacturers - 4.41%       Hu Lane Associate Inc 94,000   434
Ashok Leyland Ltd (a) 391,797   459 Pegatron Corp 150,000   405
Brilliance China Automotive Holdings Ltd 282,000   543   $   2,042
Hyundai Motor Co 5,644   855 Engineering & Construction - 2.23%      
Kia Motors Corp 9,343   380 China Railway Group Ltd 539,000   551
Maruti Suzuki India Ltd (b) 13,960   867        
        Grupo Aeroportuario del Pacifico SAB de CV 82,400   542
Tata Motors Ltd ADR 33,656   1,517 Grupo Aeroportuario del Sureste SAB de CV 51,258   689
  $   4,621 (a)      
 
Banks - 16.09%       Promotora y Operadora de Infraestructura 52,308   558
Abu Dhabi Commercial Bank PJSC 245,992   432 SAB de CV (a)      
Axis Bank Ltd (b) 130,659   1,175   $   2,340
Banco de Chile 5,134,658   576 Environmental Control - 0.50%      
Bank Negara Indonesia Persero Tbk PT 1,080,900   597 Coway Co Ltd 6,371   524
Bank of China Ltd 4,318,800   2,497        
Barclays Africa Group Ltd 60,941   929        
BDO Unibank Inc 160,700   445 Food - 3.76%      
China Construction Bank Corp 1,443,902   1,198 BRF SA 27,100   536
China Merchants Bank Co Ltd 169,500   414 Gruma SAB de CV 81,000   1,031
Credicorp Ltd 4,645   653 Indofood Sukses Makmur Tbk PT 904,100   515
FirstRand Ltd 330,736   1,520 JBS SA 165,225   735
Grupo Financiero Inbursa SAB de CV 283,300   714 Thai Union Frozen Products PCL (b) 734,400   453
Industrial & Commercial Bank of China Ltd 1,594,000   1,179 Universal Robina Corp 132,750   670
Industrial Bank of Korea 57,120   686   $   3,940
Kasikornbank PCL 155,200   1,097 Healthcare - Services - 0.38%      
Malayan Banking Bhd 163,200   411 Netcare Ltd 117,651   403
Qatar National Bank SAQ 10,732   570        
Turkiye Is Bankasi 284,932   641        
Yes Bank Ltd 86,156   1,125 Insurance - 4.71%      
  $   16,859 BB Seguridade Participacoes SA 75,000   768
        China Life Insurance Co Ltd 136,000   598
Beverages - 0.36%       PICC Property & Casualty Co Ltd 400,300   790
Arca Continental SAB de CV (a) 61,100   376        
        Ping An Insurance Group Co of China Ltd 86,000   1,032
        Powszechny Zaklad Ubezpieczen SA 8,864   1,144
Chemicals - 1.27%       Sanlam Ltd 93,683   604
LG Hausys Ltd 3,096   481   $   4,936
UPL Ltd 121,112   855 Internet - 5.35%      
  $   1,336 Alibaba Group Holding Ltd ADR(a) 7,574   630
Coal - 0.54%       Com2uSCorp (a) 1,748   303
China Shenhua Energy Co Ltd 221,500   565 Tencent Holdings Ltd 193,400   3,673
        Vipshop Holdings Ltd ADR(a) 34,135   1,005
          $   5,611
Commercial Services - 1.33%              
Cielo SA 42,600   610 Iron & Steel - 0.27%      
Shenzhen International Holdings Ltd 279,500   421 POSCO 1,275   279
TAL Education Group ADR(a) 10,897   362        
  $   1,393 Media - 1.87%      
Computers - 1.98%       Naspers Ltd 12,742   1,955
Infosys Ltd ADR 17,207   604        
Lenovo Group Ltd 568,000   828 Metal Fabrication & Hardware - 1.48%      
Tata Consultancy Services Ltd 15,813   644 Bharat Forge Ltd 35,386   722
  $   2,076 Hyosung Corp 10,580   825
Cosmetics & Personal Care - 0.98%         $   1,547
Amorepacific Corp 339   1,024        

 

See accompanying notes.

88

 

Schedule of Investments
International Emerging Markets Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) PREFERRED STOCKS - 3.32% Shares Held Value (000 's)
 
Mining - 0.95%       Banks - 2.41%            
KGHM Polska Miedz SA 20,516 $ 649 Banco Bradesco SA 96,480 $ 896  
MMC Norilsk Nickel OJSC ADR 19,699   351 Itau Unibanco Holding SA 147,335       1,635  
  $   1,000         $   2,531  
 
Miscellaneous Manufacturing - 0.82%       Electric - 0.15%            
Largan Precision Co Ltd 10,000   860 Cia Energetica de Sao Paulo 21,089       157  
 
 
Oil & Gas - 3.96%       Media - 0.04%            
China Petroleum & Chemical Corp 382,400   305 Zee Entertainment Enterprises Ltd (a) 3,223,416       42  
Cosan SA Industria e Comercio 54,100   470                
Hindustan Petroleum Corp Ltd 72,766   755                
Lukoil OAO ADR 24,593   1,137 Oil & Gas - 0.44%            
PetroChina Co Ltd 874,000   971 Petroleo Brasileiro SA 60,300       185  
Sasol Ltd 7,733   261 Surgutneftegas OAO 359,800       275  
Tatneft OAO ADR 8,405   249         $   460  
  $   4,148 Telecommunications - 0.28%            
Pharmaceuticals - 1.42%       Telefonica Brasil SA 18,700       289  
Aurobindo Pharma Ltd 42,265   826                
Lupin Ltd 20,689   664 TOTAL PREFERRED STOCKS     $   3,479  
  $   1,490 Total Investments     $   104,024  
        Other Assets in Excess of Liabilities, Net - 0.74%   $   779  
Real Estate - 1.38%       TOTAL NET ASSETS - 100.00%     $   104,803  
China Vanke Co Ltd (a) 219,900   521                
Emlak Konut Gayrimenkul Yatirim Ortakligi 540,452   612                
AS       (a) Non-Income Producing Security            
Shimao Property Holdings Ltd 148,500   312 (b) Fair value of these investments is determined in good faith by the Manager  
  $   1,445   under procedures established and periodically reviewed by the Board of  
          Directors. At the end of the period, the fair value of these securities totaled  
REITS - 1.24%         $2,495 or 2.38% of net assets.            
Fibra Uno Administracion SA de CV 151,300   401                
Growthpoint Properties Ltd 135,770   321                
Mexico Real Estate Management SA de CV (a) 368,500   580                
  $   1,302   Portfolio Summary (unaudited)          
        Country         Percent  
Retail - 0.99%       China           19.56 %
ANTA Sports Products Ltd 282,000   515 Korea, Republic Of         15.73 %
Wal-Mart de Mexico SAB de CV 210,800   525 Taiwan, Province Of China         13.24 %
  $   1,040 India           12.37 %
Semiconductors - 11.81%       South Africa         6.82 %
Advanced Semiconductor Engineering Inc 467,000   633 Brazil           6.49 %
Everlight Electronics Co Ltd 268,000   607 Mexico         5.83 %
Samsung Electronics Co Ltd 3,245   4,208 Hong Kong         3.73 %
SK Hynix Inc 40,350   1,648 Malaysia         2.22 %
Taiwan Semiconductor Manufacturing Co Ltd 915,164   4,253 Russian Federation         1.91 %
Vanguard International Semiconductor Corp 300,000   509 Poland         1.71 %
Win Semiconductors Corp 378,000   517 United States         1.67 %
  $   12,375 Indonesia         1.66 %
        Turkey         1.65 %
Software - 0.82%       Thailand         1.48 %
HCL Technologies Ltd 54,734   855 Philippines         1.07 %
        Peru           0.62 %
Telecommunications - 10.17%       Chile           0.55 %
America Movil SAB de CV ADR 33,798   692 Qatar           0.54 %
Bharti Infratel Ltd 124,147   763 United Arab Emirates         0.41 %
BYD Electronic International Co Ltd 234,000   296 Other Assets in Excess of Liabilities, Net         0.74 %
China Mobile Ltd 201,459   2,625 TOTAL NET ASSETS         100.00 %
China Telecom Corp Ltd 1,374,000   878                
Chunghwa Telecom Co Ltd 204,000   652                
DiGi.Com Bhd 326,000   554                
MTN Group Ltd 68,329   1,152                
SK Telecom Co Ltd 4,805   1,182                
Taiwan Mobile Co Ltd 233,000   815                
Telekom Malaysia Bhd 211,500   414                
Telekomunikasi Indonesia Persero Tbk PT 2,869,000   633                
  $   10,656                
TOTAL COMMON STOCKS $   100,011                
INVESTMENT COMPANIES - 0.51% Shares Held Value (000's)                
 
Publicly Traded Investment Fund - 0.51%                      
BlackRock Liquidity Funds FedFund Portfolio 533,982   534                
 
TOTAL INVESTMENT COMPANIES $   534                

 

See accompanying notes.

89

 

Schedule of Investments
LargeCap Blend Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 95.42% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.08%       Beverages (continued)      
Interpublic Group of Cos Inc/The 1,545 $ 34 Coca-Cola Enterprises Inc 3,913 $ 173
Omnicom Group Inc 933   73 Constellation Brands Inc 631   73
  $   107 Dr Pepper Snapple Group Inc 2,023   159
        Keurig Green Mountain Inc 654   73
Aerospace & Defense - 2.42%       Monster Beverage Corp (a) 848   117
Boeing Co/The 4,988   749 PepsiCo Inc 18,082   1,729
General Dynamics Corp 752   102   $   2,936
L-3 Communications Holdings Inc 305   38        
Lockheed Martin Corp 650   132 Biotechnology - 3.63%      
Northrop Grumman Corp 473   76 Alexion Pharmaceuticals Inc (a) 1,188   206
Orbital ATK Inc 8,741   670 Amgen Inc 12,870   2,058
Raytheon Co 10,217   1,116 Biogen Inc (a) 2,433   1,028
Rockwell Collins Inc 484   47 Celgene Corp (a) 3,102   358
United Technologies Corp 4,090   479 Gilead Sciences Inc (a) 7,531   739
  $   3,409 Incyte Corp (a) 400   37
        Regeneron Pharmaceuticals Inc (a) 1,116   503
Agriculture - 0.95%       United Therapeutics Corp (a) 200   34
Altria Group Inc 8,189   410 Vertex Pharmaceuticals Inc (a) 1,310   154
Archer-Daniels-Midland Co 2,811   133   $   5,117
Bunge Ltd 800   66        
Lorillard Inc 926   60 Building Materials - 0.78%      
Philip Morris International Inc 7,805   588 Eagle Materials Inc 9,580   800
Reynolds American Inc 1,154   80 Martin Marietta Materials Inc 800   112
  $   1,337 Vulcan Materials Co 2,194   185
          $   1,097
Airlines - 0.62%              
American Airlines Group Inc 6,720   355 Chemicals - 2.10%      
Delta Air Lines Inc 6,566   295 Air Products & Chemicals Inc 458   69
Southwest Airlines Co 1,613   71 Airgas Inc 1,253   133
United Continental Holdings Inc (a) 2,210   149 Ashland Inc 900   115
  $   870 Celanese Corp 2,100   117
        CF Industries Holdings Inc 179   51
Apparel - 0.50%       Dow Chemical Co/The 2,625   126
Hanesbrands Inc 4,402   147 Eastman Chemical Co 557   38
Michael Kors Holdings Ltd (a) 752   50 Ecolab Inc 7,520   860
Nike Inc 3,721   374 EI du Pont de Nemours & Co 4,679   335
Ralph Lauren Corp 225   30 International Flavors & Fragrances Inc 302   35
Under Armour Inc (a) 500   40 LyondellBasell Industries NV 942   83
VF Corp 841   63 Monsanto Co 2,616   294
  $   704 Mosaic Co/The 1,173   54
Automobile Manufacturers - 0.26%       PPG Industries Inc 523   118
Ford Motor Co 9,732   157 Praxair Inc 1,487   180
General Motors Co 3,352   126 RPM International Inc 1,700   82
PACCAR Inc 1,328   84 Sherwin-Williams Co/The 742   211
  $   367 Sigma-Aldrich Corp 447   62
          $   2,963
Automobile Parts & Equipment - 1.34%              
BorgWarner Inc 800   48 Coal - 0.01%      
Delphi Automotive PLC 2,687   215 Consol Energy Inc 700   20
Johnson Controls Inc 32,197   1,624        
  $   1,887 Commercial Services - 1.09%      
Banks - 7.49%       ADT Corp/The 641   27
Bank of America Corp 50,048   770 Automatic Data Processing Inc 7,431   637
Bank of New York Mellon Corp/The 5,673   229 Cintas Corp 347   28
BB&T Corp 1,779   69 Equifax Inc 1,000   93
Capital One Financial Corp 1,374   108 H&R Block Inc 996   32
Citigroup Inc 48,324   2,490 MasterCard Inc 5,991   518
        McGraw Hill Financial Inc 876   90
Comerica Inc 1,900   86 Quanta Services Inc (a) 743   21
Goldman Sachs Group Inc/The 1,219   229 Total System Services Inc  597    23
JP Morgan Chase & Co 40,745   2,468 United Rentals Inc (a) 361   33
KeyCorp 3,205   45        
M&T Bank Corp 1,400   178 Western Union Co/The 1,901   39
Morgan Stanley 10,381   370   $   1,541
Northern Trust Corp 2,722   189 Computers - 4.73%      
PNC Financial Services Group Inc/The 1,307   122 Accenture PLC - Class A 3,221   302
Regions Financial Corp 5,132   49 Apple Inc 37,608   4,680
State Street Corp 4,774   351 Cognizant Technology Solutions Corp (a) 2,854   178
SunTrust Banks Inc 1,966   81 EMC Corp/MA 8,267   211
US Bancorp/MN 4,449   194 Hewlett-Packard Co 4,397   137
Wells Fargo & Co 46,391   2,524 International Business Machines Corp 3,906   627
  $   10,552 NetApp Inc 1,173   41
Beverages - 2.08%       SanDisk Corp 1,302   83
Coca-Cola Co/The 15,074   612 Seagate Technology PLC 4,030   210
        Teradata Corp (a) 550   24

 

See accompanying notes.

90

 

Schedule of Investments
LargeCap Blend Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Computers (continued)       Electronics - 2.61%      
Western Digital Corp 1,913 $ 174 Agilent Technologies Inc 2,400 $ 100
  $   6,667 Amphenol Corp 1,500   88
        Corning Inc 3,036   69
Consumer Products - 0.11%       Honeywell International Inc 13,456   1,404
Clorox Co/The 491   54 Keysight Technologies Inc (a) 1,200   44
Kimberly-Clark Corp 928   100 Sensata Technologies Holding NV (a) 2,900   167
  $   154 TE Connectivity Ltd 864   62
Cosmetics & Personal Care - 1.29%       Thermo Fisher Scientific Inc 7,774   1,044
Colgate-Palmolive Co 2,811   195 Trimble Navigation Ltd (a) 1,100   28
Estee Lauder Cos Inc/The 900   75 Tyco International PLC 15,720   677
Procter & Gamble Co/The 18,908   1,549   $   3,683
  $   1,819 Engineering & Construction - 0.19%      
Distribution & Wholesale - 0.08%       Fluor Corp 562   32
Fossil Group Inc (a) 169   14 Granite Construction Inc 6,230   219
Genuine Parts Co 572   53 Jacobs Engineering Group Inc (a) 452   20
WW Grainger Inc 224   53   $   271
  $   120 Environmental Control - 0.03%      
Diversified Financial Services - 2.62%       Republic Services Inc 911   37
Affiliated Managers Group Inc (a) 204   44        
Ally Financial Inc (a) 3,800   80        
        Food - 1.91%      
American Express Co 9,710   758 Campbell Soup Co 666   31
Ameriprise Financial Inc 1,397   182 ConAgra Foods Inc 2,900   106
BlackRock Inc 627   229 Danone SA ADR 42,576   575
Charles Schwab Corp/The 20,244   616 General Mills Inc 1,281   72
CME Group Inc/IL 1,780   169 Hormel Foods Corp 504   29
Discover Financial Services 3,696   209 JM Smucker Co/The 381   44
E*Trade Financial Corp (a) 2,700   77        
        Kellogg Co 1,500   99
FNF Group 1,400   51 Kraft Foods Group Inc 1,856   161
Franklin Resources Inc 1,468   75 Kroger Co/The 1,248   96
Intercontinental Exchange Inc 904   211 McCormick & Co Inc/MD 480   37
LPL Financial Holdings Inc 1,000   44 Mondelez International Inc 11,457   414
NASDAQ OMX Group Inc/The 422   22 Nestle SA ADR 8,960   674
Och-Ziff Capital Management Group LLC 3,000   38 Safeway Inc (a),(b),(c) 825   —
T Rowe Price Group Inc 977   79 Sysco Corp 4,020   152
TD Ameritrade Holding Corp 1,700   63 Tyson Foods Inc 1,095   42
Visa Inc 11,393   746 Whole Foods Market Inc 3,152   164
  $   3,693   $   2,696
 
Electric - 1.86%       Forest Products & Paper - 0.12%      
AES Corp/VA 10,722   138 International Paper Co 3,184   177
Ameren Corp 909   38        
American Electric Power Co Inc 4,088   230        
CMS Energy Corp 3,632   127 Gas - 0.73%      
Consolidated Edison Inc 1,097   67 CenterPoint Energy Inc 1,611   33
Dominion Resources Inc/VA 1,246   88 NiSource Inc 5,985   264
DTE Energy Co 664   54 Sempra Energy 6,700   731
Duke Energy Corp 1,754   135   $   1,028
Edison International 1,221   76 Hand & Machine Tools - 0.10%      
Entergy Corp 676   52 Snap-on Inc 217   32
Eversource Energy 740   37 Stanley Black & Decker Inc 1,089   104
Exelon Corp 15,236   512   $   136
FirstEnergy Corp 6,101   214        
Integrys Energy Group Inc 281   20 Healthcare - Products - 1.06%      
NextEra Energy Inc 1,093   114 Baxter International Inc 1,153   79
NRG Energy Inc 3,200   81 Becton Dickinson and Co 1,504   216
Pepco Holdings Inc 947   25 Boston Scientific Corp (a) 2,819   50
PG&E Corp 3,356   178 CR Bard Inc 272   45
Pinnacle West Capital Corp 414   26 DENTSPLY International Inc 508   26
PPL Corp 2,499   84 Edwards Lifesciences Corp (a) 404   57
Public Service Enterprise Group Inc 1,897   80 Henry Schein Inc (a) 314   44
SCANA Corp 535   30 Intuitive Surgical Inc (a) 140   71
Southern Co/The 2,200   97 Medtronic PLC 6,703   523
TECO Energy Inc 827   16 Patterson Cos Inc 307   15
Wisconsin Energy Corp 845   42 St Jude Medical Inc 1,454   95
Xcel Energy Inc 1,896   66 Stryker Corp 2,222   205
  $   2,627 Zimmer Holdings Inc 636   75
 
Electrical Components & Equipment - 0.25%         $   1,501
AMETEK Inc 885   46 Healthcare - Services - 1.83%      
Emerson Electric Co 1,635   93 Aetna Inc 2,449   261
Energizer Holdings Inc 800   110 Anthem Inc 1,904   294
Hubbell Inc 900   99 Cigna Corp 624   81
  $   348 DaVita HealthCare Partners Inc (a) 800   65

 

See accompanying notes.

91

 

Schedule of Investments
LargeCap Blend Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Healthcare - Services (continued)       Lodging (continued)      
Humana Inc 1,161 $ 206 Wynn Resorts Ltd 400 $ 50
Laboratory Corp of America Holdings (a) 376   47   $   940
Quest Diagnostics Inc 540   42        
UnitedHealth Group Inc 13,364   1,581 Machinery - Construction & Mining - 0.13%      
  $   2,577 Caterpillar Inc 2,072   166
        Joy Global Inc 366   14
Home Builders - 0.04%         $   180
Lennar Corp 1,200   62        
        Machinery - Diversified - 0.77%      
        Cummins Inc 401   55
Home Furnishings - 0.08%       Deere & Co 810   71
Harman International Industries Inc 257   34 Flowserve Corp 3,798   214
Leggett & Platt Inc 502   23 Rockwell Automation Inc 5,671   658
Whirlpool Corp 292   59 Roper Industries Inc 370   64
  $   116 Xylem Inc/NY 653   23
 
Housewares - 0.03%         $   1,085
Newell Rubbermaid Inc 989   39 Media - 3.23%      
        Cablevision Systems Corp 749   14
Insurance - 3.88%       CBS Corp 969   59
ACE Ltd 802   89 Comcast Corp - Class A 10,733   606
        DIRECTV (a) 2,222   189
Aflac Inc 1,075   69        
Allstate Corp/The 1,020   73 Gannett Co Inc 850   31
        News Corp (a) 4,800   77
American International Group Inc 3,398   186        
Aon PLC 686   66 Nielsen NV 1,182   53
Assurant Inc 251   15 Scripps Networks Interactive Inc 377   26
Berkshire Hathaway Inc - Class A (a) 5   1,088 Time Warner Cable Inc 1,507   226
Berkshire Hathaway Inc - Class B (a) 5,850   844 Time Warner Inc 2,040   172
Chubb Corp/The 565   57 Twenty-First Century Fox Inc - A Shares 10,198   345
CNA Financial Corp 2,300   95 Twenty-First Century Fox Inc - B Shares 23,160   761
Genworth Financial Inc (a) 900   7 Viacom Inc 2,187   149
Hartford Financial Services Group Inc/The 1,549   65 Walt Disney Co/The 17,626   1,849
Lincoln National Corp 953   55   $   4,557
Loews Corp 600   24 Metal Fabrication & Hardware - 0.14%      
Marsh & McLennan Cos Inc 4,720   265 Precision Castparts Corp 938   197
MetLife Inc 38,238   1,932        
Progressive Corp/The 1,980   54        
Prudential Financial Inc 1,109   89 Mining - 0.20%      
Torchmark Corp 468   26 Alcoa Inc 8,581   111
Travelers Cos Inc/The 787   85 Franco-Nevada Corp 500   24
Unum Group 942   32 Freeport-McMoRan Inc 5,516   104
XL Group PLC 6,700   247 Newmont Mining Corp 1,869   41
  $   5,463   $   280
 
Internet - 5.63%       Miscellaneous Manufacturing - 2.43%      
Amazon.com Inc (a) 1,924   716 3M Co 2,788   460
eBay Inc (a) 3,865   223 Danaher Corp 5,146   437
Expedia Inc 369   35 Dover Corp 1,114   77
F5 Networks Inc (a) 270   31 Eaton Corp PLC 1,132   77
Facebook Inc (a) 25,121   2,065 General Electric Co 72,414   1,797
Google Inc - A Shares (a) 3,096   1,717 Illinois Tool Works Inc 740   72
Google Inc - C Shares (a) 3,137   1,720 Ingersoll-Rand PLC 1,200   82
LinkedIn Corp (a) 100   25 Pall Corp 300   30
Netflix Inc (a) 428   178 Parker-Hannifin Corp 539   64
Priceline Group Inc/The (a) 312   363 Pentair PLC 1,774   111
Splunk Inc (a) 8,110   480 Textron Inc 4,820   213
VeriSign Inc (a) 1,599   107   $   3,420
Yahoo! Inc (a) 6,245   278        
        Office & Business Equipment - 0.05%      
  $   7,938 Pitney Bowes Inc 695   16
Iron & Steel - 0.25%       Xerox Corp 3,918   51
Nucor Corp 7,515   357   $   67
        Oil & Gas - 5.00%      
Leisure Products & Services - 0.18%       Anadarko Petroleum Corp 2,473   205
Carnival Corp 900   43 Apache Corp 2,000   121
Harley-Davidson Inc 2,695   163 California Resources Corp 3,934   30
Norwegian Cruise Line Holdings Ltd (a) 900   49 Canadian Natural Resources Ltd 5,200   160
  $   255 Chesapeake Energy Corp 1,861   26
        Chevron Corp 6,712   704
Lodging - 0.67%       Cimarex Energy Co 500   58
Hilton Worldwide Holdings Inc (a) 2,900   86 Concho Resources Inc (a) 210   24
Marriott International Inc/MD 773   62 ConocoPhillips 3,624   225
MGM Resorts International (a) 2,300   48 Continental Resources Inc/OK (a) 550   24
Starwood Hotels & Resorts Worldwide Inc 7,820   653 Devon Energy Corp 936   56
Wyndham Worldwide Corp 448   41 Diamond Offshore Drilling Inc 238   6

 

See accompanying notes.

92

 

Schedule of Investments
LargeCap Blend Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Oil & Gas (continued)       REITS (continued)      
Ensco PLC 830 $ 18 Iron Mountain Inc 1,608 $ 59
EOG Resources Inc 2,183   200 Kimco Realty Corp 1,546   41
EQT Corp 800   66 Macerich Co/The 527   44
Exxon Mobil Corp 30,575   2,600 Plum Creek Timber Co Inc 635   28
Helmerich & Payne Inc 603   41 Prologis Inc 1,919   84
Hess Corp 8,380   569 Public Storage 655   129
Marathon Petroleum Corp 2,163   222 Simon Property Group Inc 2,001   391
Murphy Oil Corp 605   28 SL Green Realty Corp 769   98
Newfield Exploration Co (a) 602   21 Ventas Inc 779   57
Noble Corp PLC 911   13 Vornado Realty Trust 1,855   207
Noble Energy Inc 1,449   71 Weyerhaeuser Co 3,675   122
Occidental Petroleum Corp 13,413   979   $   2,884
Phillips 66 1,850   145        
Pioneer Natural Resources Co 857   140 Retail - 7.79%      
Range Resources Corp 920   48 Advance Auto Parts Inc 4,660   698
        AutoNation Inc (a) 281   18
Royal Dutch Shell PLC ADR 1,000   60 AutoZone Inc (a) 271   185
Southwestern Energy Co (a) 1,441   33        
        Bed Bath & Beyond Inc (a) 695   53
Tesoro Corp 470   43        
Valero Energy Corp 1,259   80 Best Buy Co Inc 1,091   41
        CarMax Inc (a) 2,600   179
WPX Energy Inc (a) 3,266   36        
        Chipotle Mexican Grill Inc (a) 186   121
  $   7,052 Coach Inc 1,833   76
Oil & Gas Services - 1.47%       Costco Wholesale Corp 2,460   373
Baker Hughes Inc 1,056   67 CVS Health Corp 27,884   2,878
Cameron International Corp (a) 8,294   374 Darden Restaurants Inc 448   31
FMC Technologies Inc (a) 7,527   279 Dollar General Corp 2,137   161
Halliburton Co 15,765   692 Dollar Tree Inc (a) 770   62
National Oilwell Varco Inc 3,754   188 GameStop Corp 402   15
Schlumberger Ltd 5,698   475 Gap Inc/The 994   43
  $   2,075 Home Depot Inc/The 5,425   616
        Kohl's Corp 1,557   122
Packaging & Containers - 0.10%       L Brands Inc 2,121   200
Ball Corp 1,298   91 Lowe's Cos Inc 4,911   365
Owens-Illinois Inc (a) 567   13        
        Macy's Inc 1,276   83
Sealed Air Corp 759   35 McDonald's Corp 3,656   356
  $   139 Nordstrom Inc 517   42
Pharmaceuticals - 7.32%       O'Reilly Automotive Inc (a) 384   83
Abbott Laboratories 6,964   323 PVH Corp 309   33
AbbVie Inc 8,685   509 Rite Aid Corp (a) 8,600   75
Actavis PLC (a) 2,090   623 Ross Stores Inc 2,177   230
AmerisourceBergen Corp 503   57 Staples Inc 2,352   38
Bristol-Myers Squibb Co 12,785   824 Starbucks Corp 4,153   393
Cardinal Health Inc 797   72 Target Corp 8,281   680
Eli Lilly & Co 5,687   413 TJX Cos Inc/The 22,894   1,604
Express Scripts Holding Co (a) 1,778   154 Tractor Supply Co 910   77
Hospira Inc 642   56 Urban Outfitters Inc (a) 375   17
Johnson & Johnson 24,239   2,438 Walgreens Boots Alliance Inc 4,441   376
Mallinckrodt PLC (a) 300   38 Wal-Mart Stores Inc 6,758   556
McKesson Corp 1,503   340 Yum! Brands Inc 1,228   97
Merck & Co Inc 41,075   2,361   $   10,977
Perrigo Co PLC 290   48 Semiconductors - 2.31%      
Pfizer Inc 44,105   1,534 Altera Corp 900   39
Roche Holding AG ADR 9,800   337 Applied Materials Inc 11,804   266
Shire PLC ADR 400   96 ASML Holding NV - NY Reg Shares 7,617   769
Zoetis Inc 2,161   100 Atmel Corp 2,500   21
  $   10,323 Avago Technologies Ltd 537   68
Pipelines - 0.26%       Broadcom Corp 6,546   284
Kinder Morgan Inc/DE 3,635   153 Intel Corp 17,669   553
Spectra Energy Corp 3,927   142 Lam Research Corp 2,570   180
Williams Cos Inc/The 1,431   72 Micron Technology Inc (a) 5,958   161
  $   367 Qualcomm Inc 10,452   725
        Texas Instruments Inc 2,518   144
REITS - 2.05%       Xilinx Inc 980   41
American Tower Corp 7,915   746   $   3,251
AvalonBay Communities Inc 1,150   200        
Boston Properties Inc 574   81 Software - 5.18%      
Crown Castle International Corp 1,886   156 Adobe Systems Inc (a) 1,008   75
Equity Residential 856   67 CA Inc 1,195   39
Federal Realty Investment Trust 500   74 Citrix Systems Inc (a) 5,340   341
General Growth Properties Inc 3,555   105 Dun & Bradstreet Corp/The 134   17
HCP Inc 1,727   75 Electronic Arts Inc (a) 1,165   69
Health Care REIT Inc 822   63 Fidelity National Information Services Inc 1,500   102
Host Hotels & Resorts Inc 2,839   57 Fiserv Inc (a) 894   71

 

See accompanying notes.

93

 

Schedule of Investments
LargeCap Blend Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000 's)     Portfolio Summary (unaudited)      
                Sector           Percent  
Software (continued)             Consumer, Non-cyclical       21.32 %
Intuit Inc 705     $ 68   Financial           16.04 %
Microsoft Corp 82,290       3,346                  
Oracle Corp 25,512       1,101   Technology       12.22 %
Paychex Inc  1,225        61   Consumer, Cyclical       11.72 %
Rackspace Hosting Inc (a) 1,600       83   Industrial           11.15 %
Red Hat Inc (a) 14,728       1,115   Communications       10.97 %
Salesforce.com Inc (a) 4,282       286   Energy           6.74 %
VMware Inc (a) 6,370       522   Exchange Traded Funds       4.16 %
                Basic Materials       2.68 %
        $   7,296   Utilities           2.59 %
Telecommunications - 2.03%             Other Assets in Excess of Liabilities, Net     0.41 %
AT&T Inc 16,879       551   TOTAL NET ASSETS       100.00 %
CenturyLink Inc 2,123       73                  
Cisco Systems Inc 22,761       627                  
Harris Corp 390       31                  
Motorola Solutions Inc 1,100       73                  
T-Mobile US Inc (a) 4,000       127                  
Verizon Communications Inc 27,921       1,357                  
Windstream Holdings Inc 2,140       16                  
        $   2,855                  
 
Textiles - 0.03%                            
Mohawk Industries Inc (a) 232       43                  
 
 
Toys, Games & Hobbies - 0.10%                            
Hasbro Inc 419       26                  
Mattel Inc 4,900       112                  
        $   138                  
 
Transportation - 1.20%                            
Canadian Pacific Railway Ltd 330       60                  
CH Robinson Worldwide Inc 8,948       655                  
CSX Corp 2,363       78                  
Expeditors International of Washington Inc 1,093       53                  
FedEx Corp 2,028       336                  
Norfolk Southern Corp 651       67                  
Union Pacific Corp 2,123       230                  
United Parcel Service Inc 2,195       213                  
        $   1,692                  
TOTAL COMMON STOCKS     $   134,489                  
INVESTMENT COMPANIES - 4.17% Shares Held Value (000 's)                
 
Publicly Traded Investment Fund - 4.17%                            
BlackRock Liquidity Funds TempFund 4,910,420       4,910                  
Portfolio                            
Goldman Sachs Financial Square Funds - 812,138       813                  
Money Market Fund                            
JP Morgan Prime Money Market Fund 147,018       147                  
        $   5,870                  
TOTAL INVESTMENT COMPANIES     $   5,870                  
Total Investments     $   140,359                  
Other Assets in Excess of Liabilities, Net - 0.41%   $   573                  
TOTAL NET ASSETS - 100.00%     $   140,932                  
 
 
(a) Non-Income Producing Security                            
(b) Security is Illiquid                            
(c) Fair value of these investments is determined in good faith by the Manager                  
  under procedures established and periodically reviewed by the Board of                  
  Directors. At the end of the period, the fair value of these securities totaled                  
  $0 or 0.00% of net assets.                            
 
 
 
Futures Contracts
                            Unrealized
Type   Long/Short     Contracts  Notional Value Fair Value Appreciation/(Depreciation)
S&P 500 Emini; June 2015 Long   60 $ 6,156 $ 6,182 $ 26  
Total                       $   26  
 
Amounts in thousands except contracts                            

 

See accompanying notes.

94

 

Schedule of Investments
LargeCap Growth Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 96.49% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value(000 's)
 
Airlines - 4.98%       Packaging & Containers - 0.48%            
Delta Air Lines Inc 67,514 $ 3,035 Rock-Tenn Co 9,300     $ 600  
United Continental Holdings Inc (a) 48,055   3,232              
  $   6,267 Pharmaceuticals - 8.94%            
Apparel - 4.60%       Actavis PLC (a) 11,222       3,340  
Nike Inc 39,770   3,990 Bristol-Myers Squibb Co 48,375       3,120  
Under Armour Inc (a) 22,226   1,795 McKesson Corp 17,435       3,944  
        Mylan NV (a) 14,262       846  
  $   5,785              
              $   11,250  
Banks - 3.98%                    
Capital One Financial Corp 24,500   1,931 Retail - 14.32%            
Morgan Stanley 86,100   3,073 Chipotle Mexican Grill Inc (a) 3,118       2,028  
  $   5,004 Kohl's Corp 38,000       2,974  
        L Brands Inc 25,306       2,386  
Beverages - 1.49%       lululemon athletica Inc (a) 18,700       1,197  
Constellation Brands Inc 16,111   1,872 Starbucks Corp 27,544       2,609  
        Target Corp 39,700       3,258  
Biotechnology - 10.08%       Ulta Salon Cosmetics & Fragrance Inc (a) 19,273       2,907  
Alexion Pharmaceuticals  Inc (a) 6,715   1,164 Urban Outfitters Inc (a) 14,400       657  
Biogen Inc (a) 7,798   3,293       $   18,016  
Celgene Corp (a) 11,738   1,353 Semiconductors - 4.05%            
Gilead Sciences Inc (a) 54,227   5,321 Lam Research Corp 28,179       1,979  
Illumina Inc (a) 8,367   1,553 NXP Semiconductors NV (a) 31,109       3,122  
  $   12,684       $   5,101  
 
Chemicals - 3.71%       Software - 2.43%            
PPG Industries Inc 20,692   4,667 ServiceNow Inc (a) 22,993       1,811  
        Tableau Software Inc (a) 13,500       1,249  
Commercial Services - 6.68%             $   3,060  
FleetCor Technologies Inc (a) 13,472   2,033              
        Telecommunications - 1.06%            
MasterCard Inc 44,598   3,853 Palo Alto Networks Inc (a) 9,137       1,335  
McGraw Hill Financial Inc 18,046   1,866              
Towers Watson & Co 4,900   648              
  $   8,400 Transportation - 1.89%            
        Canadian Pacific Railway Ltd 13,013       2,378  
Computers - 8.00%                    
Apple Inc 67,922   8,452 TOTAL COMMON STOCKS     $   121,411  
Western Digital Corp 17,693   1,610 INVESTMENT COMPANIES - 3.12% Shares Held Value(000 's)
  $   10,062              
        Publicly Traded Investment Fund - 3.12%            
Cosmetics & Personal Care - 1.52%       BlackRock Liquidity Funds FedFund Portfolio 3,928,183       3,928  
Estee Lauder Cos Inc/The 23,063   1,918              
        TOTAL INVESTMENT COMPANIES     $   3,928  
Diversified Financial Services - 5.53%       Total Investments     $   125,339  
Discover Financial Services 46,110   2,598 Other Assets in Excess of Liabilities, Net - 0.39%   $   493  
Intercontinental Exchange Inc 2,700   630 TOTAL NET ASSETS - 100.00%     $   125,832  
Visa Inc 57,040   3,731              
  $   6,959              
        (a) Non-Income Producing Security            
Food - 0.92%                    
Whole Foods Market Inc 22,334   1,163              
 
        Portfolio Summary (unaudited)          
Healthcare - Products - 2.02%                    
Edwards Lifesciences Corp (a) 9,407   1,340 Sector         Percent  
Intuitive Surgical Inc (a) 2,390   1,207 Consumer, Non-cyclical         31.65 %
        Consumer, Cyclical         26.95 %
  $   2,547 Technology         14.48 %
Internet - 5.75%       Financial         9.51 %
Amazon.com Inc (a) 5,139   1,912 Communications         7.82 %
Facebook Inc (a) 48,682   4,003 Basic Materials         3.71 %
Splunk Inc (a) 22,262   1,318 Exchange Traded Funds         3.12 %
  $   7,233 Industrial         2.37 %
        Other Assets in Excess of Liabilities, Net         0.39 %
Leisure Products & Services - 1.98%       TOTAL NET ASSETS         100.00 %
Royal Caribbean Cruises Ltd 30,462   2,493              
 
 
Lodging - 1.07%                    
Hilton Worldwide Holdings Inc (a) 45,433   1,346              
 
Media - 1.01%                    
Walt Disney Co/The 12,118   1,271              

 

See accompanying notes.

95

 

Schedule of Investments
LargeCap Growth Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 96.62% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.09%       Biotechnology (continued)      
Alliance Data Systems Corp (a) 247 $ 73 Charles River Laboratories International Inc 157 $ 12
Interpublic Group of Cos Inc/The 2,685   60 (a)      
Omnicom Group Inc 1,078   84 Gilead Sciences Inc (a) 55,883   5,484
  $   217 Illumina Inc (a) 504   94
        Incyte Corp (a) 5,820   534
Aerospace & Defense - 1.91%       Myriad Genetics Inc (a) 444   16
Boeing Co/The 28,730   4,312 Regeneron Pharmaceuticals Inc (a) 1,685   761
KLX Inc (a) 369   14 United Therapeutics Corp (a) 304   52
Lockheed Martin Corp 1,088   221 Vertex Pharmaceuticals Inc (a) 6,553   773
Rockwell Collins Inc 757   73   $   16,765
Spirit AeroSystems Holdings Inc (a) 710   37        
Triumph Group Inc 87   5 Building Materials - 0.64%      
United Technologies Corp 417   49 Eagle Materials Inc 310   26
  $   4,711 Martin Marietta Materials Inc 399   56
        Masco Corp 2,275   60
Agriculture - 0.35%       Vulcan Materials Co 17,000   1,433
Altria Group Inc 8,244   412   $   1,575
Archer-Daniels-Midland Co 384   18        
Lorillard Inc 1,590   104 Chemicals - 2.31%      
Philip Morris International Inc 3,335   251 Albemarle Corp 234   12
Reynolds American Inc 1,022   71 Celanese Corp 98   5
  $   856 Cytec Industries Inc 59   3
        Dow Chemical Co/The 1,229   59
Airlines - 1.62%       Eastman Chemical Co 866   60
Alaska Air Group Inc 796   53 Ecolab Inc 27,744   3,173
American Airlines Group Inc 52,032   2,746 EI du Pont de Nemours & Co 9,017   645
Copa Holdings SA 155   16 Huntsman Corp 852   19
Delta Air Lines Inc 298   13 International Flavors & Fragrances Inc 514   60
Southwest Airlines Co 2,507   111 LyondellBasell Industries NV 1,725   151
Spirit Airlines Inc (a) 460   35 Monsanto Co 1,991   224
United Continental Holdings Inc (a) 15,121   1,017 NewMarket Corp 56   27
  $   3,991 PPG Industries Inc 569   128
Apparel - 0.65%       Praxair Inc 1,206   146
Carter's Inc 338   31 RPM International Inc 783   38
Deckers Outdoor Corp (a) 234   17 Sherwin-Williams Co/The 2,854   812
Hanesbrands Inc 23,917   802 Sigma-Aldrich Corp 346   48
Michael Kors Holdings Ltd (a) 851   56 Valspar Corp/The 548   46
Nike Inc 2,913   292 Westlake Chemical Corp 245   18
Ralph Lauren Corp 281   37   $   5,674
Under Armour Inc (a) 3,225   261        
        Commercial Services - 1.07%      
VF Corp 1,438   108 Automatic Data Processing Inc 2,009   172
  $   1,604 Avis Budget Group Inc (a) 673   40
Automobile Manufacturers - 0.35%       Booz Allen Hamilton Holding Corp 498   14
PACCAR Inc 1,323   84 Cintas Corp 509   41
Tesla Motors Inc (a) 4,143   782 Equifax Inc 421   39
        FleetCor Technologies Inc (a) 345   52
  $   866        
        Global Payments Inc 434   40
Automobile Parts & Equipment - 0.07%       H&R Block Inc 1,737   56
Allison Transmission Holdings Inc 841   27 KAR Auction Services Inc 412   16
BorgWarner Inc 825   50 MasterCard Inc 4,229   365
Johnson Controls Inc 1,131   57 McGraw Hill Financial Inc 984   102
Lear Corp 413   46 Moody's Corp 758   79
  $   180 Morningstar Inc 131   10
        Quanta Services Inc (a) 310   9
Banks - 1.35%       Robert Half International Inc 871   53
Morgan Stanley 60,900   2,173 SEI Investments Co 787   35
State Street Corp 15,500   1,140 ServiceMaster Global Holdings Inc (a) 187   6
  $   3,313 Total System Services Inc 834   32
Beverages - 0.62%       United Rentals Inc (a) 617   56
Brown-Forman Corp 555   50 Vantiv Inc (a) 17,300   652
Coca-Cola Co/The 14,281   579 Verisk Analytics Inc (a) 9,554   682
Constellation Brands Inc 540   63 Western Union Co/The 3,414   71
Dr Pepper Snapple Group Inc 861   68   $   2,622
Keurig Green Mountain Inc 511   57 Computers - 6.17%      
Monster Beverage Corp (a) 517   71        
        Accenture PLC - Class A 2,661   249
PepsiCo Inc 6,651   636 Apple Inc 65,535   8,154
  $   1,524 Cognizant Technology Solutions Corp (a) 48,165   3,005
Biotechnology - 6.81%       Diebold Inc 444   16
Alexion Pharmaceuticals Inc (a) 14,720   2,551 DST Systems Inc 166   18
Amgen Inc 2,944   471 EMC Corp/MA 1,284   33
Biogen Inc (a) 6,572   2,774 Genpact Ltd (a) 102,725   2,389
BioMarin Pharmaceutical Inc (a) 6,068   756 IHS Inc (a) 431   49
Celgene Corp (a) 21,572   2,487 International Business Machines Corp 3,980   639

 

See accompanying notes.

96

 

Schedule of Investments
LargeCap Growth Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Computers (continued)       Electronics (continued)      
Jack Henry & Associates Inc 535 $ 37 Tyco International PLC 1,499 $ 64
NCR Corp (a) 109   3   $   5,450
NetApp Inc 701   25        
SanDisk Corp 8,145   518 Engineering & Construction - 0.05%      
Teradata Corp (a) 787   35 Chicago Bridge & Iron Co NV ADR 617   30
  $   15,170 Fluor Corp 575   33
        SBA Communications Corp (a) 471   55
Consumer Products - 0.11%         $   118
Avery Dennison Corp 222   12        
Church & Dwight Co Inc 861   73 Entertainment - 0.02%      
Clorox Co/The 691   76 Cinemark Holdings Inc 729   33
Kimberly-Clark Corp 1,127   121 Six Flags Entertainment Corp 455   22
  $   282   $   55
 
Cosmetics & Personal Care - 1.76%       Environmental Control - 1.53%      
        Clean Harbors Inc (a) 309   18
Colgate-Palmolive Co 2,957   205 Stericycle Inc (a) 26,414   3,709
Estee Lauder Cos Inc/The 48,929   4,069        
Procter & Gamble Co/The 556   45 Waste Connections Inc 461   22
  $   4,319 Waste Management Inc 326   18
          $   3,767
Distribution & Wholesale - 1.10%              
Fastenal Co 60,454   2,505 Food - 1.72%      
Fossil Group Inc (a) 287   24 Campbell Soup Co 746   35
Genuine Parts Co 600   56 General Mills Inc 2,696   153
HD Supply Holdings Inc (a) 654   20 Hershey Co/The 540   55
LKQ Corp (a) 1,951   50 Hormel Foods Corp 848   48
WW Grainger Inc 237   56 Ingredion Inc 80   6
  $   2,711 Kellogg Co 846   56
        Kraft Foods Group Inc 2,151   187
Diversified Financial Services - 6.66%       Kroger Co/The 2,236   171
Affiliated Managers Group Inc (a) 352   76 Pilgrim's Pride Corp 56   1
Air Lease Corp 45   2 Sysco Corp 1,418   54
Ally Financial Inc (a) 1,540   32 Tyson Foods Inc 117   4
American Express Co 3,695   289 Whole Foods Market Inc 66,677   3,473
Ameriprise Financial Inc 421   55   $   4,243
BlackRock Inc 198   72        
Charles Schwab Corp/The 140,335   4,272 Forest Products & Paper - 0.01%      
Federated Investors Inc 483   16 International Paper Co 413   23
        Veritiv Corp (a) 9   —
Franklin Resources Inc 1,308   67        
Intercontinental Exchange Inc 3,611   842   $   23
Invesco Ltd 446   18 Hand & Machine Tools - 0.01%      
Lazard Ltd 782   41 Lincoln Electric Holdings Inc 185   12
LPL Financial Holdings Inc 545   24 Snap-on Inc 49   7
Santander Consumer USA Holdings Inc 41   1 Stanley Black & Decker Inc 126   12
Synchrony Financial (a) 591   18        
          $   31
T Rowe Price Group Inc 1,060   86        
TD Ameritrade Holding Corp 44,100   1,643 Healthcare - Products - 2.59%      
Visa Inc 134,652   8,808 Align Technology Inc (a) 516   28
Waddell & Reed Financial Inc 529   26 Baxter International Inc 2,251   154
  $   16,388 Becton Dickinson and Co 801   115
        CR Bard Inc 316   53
Electric - 0.03%       DENTSPLY International Inc 297   15
Calpine Corp (a) 375   9 Edwards Lifesciences Corp (a) 437   62
Dominion Resources Inc/VA 239   17 Henry Schein Inc (a) 544   76
ITC Holdings Corp 941   35 Hill-Rom Holdings Inc 26   1
  $   61 IDEXX Laboratories Inc (a) 304   47
        Intuitive Surgical Inc (a) 11,108   5,610
Electrical Components & Equipment - 0.16%              
AMETEK Inc 999   52 Patterson Cos Inc 52   2
Emerson Electric Co 2,134   121 ResMed Inc 895   64
        Sirona Dental Systems Inc (a) 214   19
Hubbell Inc 70   8        
Mobileye NV (a) 5,100   214 St Jude Medical Inc 759   50
  $   395 Stryker Corp 820   76
        Zimmer Holdings Inc 92   11
Electronics - 2.22%         $   6,383
Agilent Technologies Inc 346   14        
Amphenol Corp 56,061   3,304 Healthcare - Services - 2.87%      
Avnet Inc 195   9 Aetna Inc 675   72
Corning Inc 1,923   44 Anthem Inc 6,200   957
        Centene Corp (a) 730   52
Gentex Corp/MI 1,035   19        
GoPro Inc (a) 91   4 Cigna Corp 150   19
        DaVita HealthCare Partners Inc (a) 36,841   2,994
Honeywell International Inc 3,147   328 HCA Holdings Inc (a) 223   17
Keysight Technologies Inc (a) 173   6        
Mettler-Toledo International Inc (a) 185   61 Humana Inc 6,600   1,175
        Laboratory Corp of America Holdings (a) 303   38
National Instruments Corp 47,411   1,519 Mednax Inc (a) 422   31
Thermo Fisher Scientific Inc 581   78        

 

See accompanying notes.

97

 

Schedule of Investments
LargeCap Growth Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Healthcare - Services (continued)       Machinery - Diversified (continued)      
Premier Inc (a) 219 $ 8 Flowserve Corp 15,070 $ 851
UnitedHealth Group Inc 14,300   1,692 Graco Inc 378   27
  $   7,055 IDEX Corp 475   36
        Rockwell Automation Inc 563   66
Home Builders - 0.02%       Roper Industries Inc 286   49
NVR Inc (a) 26   34        
        Wabtec Corp/DE 12,111   1,151
Thor Industries Inc 280   18 Xylem Inc/NY 836   29
  $   52   $   2,356
 
Home Furnishings - 0.04%       Media - 0.91%      
Harman International Industries Inc 431   57 Cablevision Systems Corp 1,197   22
Leggett & Platt Inc 412   19 CBS Corp 1,619   98
Whirlpool Corp 49   10 Charter Communications Inc (a) 286   55
  $   86 Comcast Corp - Class A 9,867   557
Housewares - 0.04%       DIRECTV (a) 1,950   166
Newell Rubbermaid Inc 1,039   41 FactSet Research Systems Inc 268   43
Scotts Miracle-Gro Co/The 275   18 Nielsen NV 1,334   59
Toro Co 346   24 Scripps Networks Interactive Inc 668   46
Tupperware Brands Corp 315   22 Sirius XM Holdings Inc (a) 16,415   63
        Starz (a) 487   17
  $   105        
        Time Warner Cable Inc 1,161   174
Insurance - 0.10%       Twenty-First Century Fox Inc - A Shares 5,851   198
American Financial Group Inc/OH 78   5 Viacom Inc 1,688   115
Aon PLC 919   88 Walt Disney Co/The 6,041   634
Arthur J Gallagher & Co 960   45   $   2,247
Erie Indemnity Co 165   14        
Marsh & McLennan Cos Inc 1,495   84 Metal Fabrication & Hardware - 0.75%      
Reinsurance Group of America Inc 140   13 Precision Castparts Corp 8,789   1,846
  $   249 Timken Co/The 36   1
        Valmont Industries Inc 14   2
Internet - 14.92%         $   1,849
Alibaba Group Holding Ltd ADR(a) 11,347   945        
Amazon.com Inc (a) 22,090   8,219 Mining - 0.01%      
Baidu Inc ADR(a) 7,100   1,480 Compass Minerals International Inc 210   20
CDW Corp/DE 538   20 Tahoe Resources Inc 91   1
Dropbox Inc (a),(b),(c),(d) 1,434   27   $   21
eBay Inc (a) 4,557   263        
        Miscellaneous Manufacturing - 3.87%      
Equinix Inc 192   45 3M Co 2,629   434
Expedia Inc 641   60 AO Smith Corp 232   15
F5 Networks Inc (a) 479   55        
Facebook Inc (a) 77,349   6,360 AptarGroup Inc 102   6
        Colfax Corp (a) 35,531   1,696
Flipkart Online Services Pvt Ltd (a),(c),(e) 194   22        
Google Inc - A Shares (a) 8,880   4,927 Crane Co 130   8
Google Inc - C Shares (a) 8,427   4,618 Danaher Corp 78,136   6,633
Liberty Interactive Corp (a) 1,555   45 Donaldson Co Inc 822   31
LinkedIn Corp (a) 3,576   894 Dover Corp 778   54
Netflix Inc (a) 1,916   798 Illinois Tool Works Inc 1,317   128
Priceline Group Inc/The (a) 3,065   3,568 Parker-Hannifin Corp 503   60
TripAdvisor Inc (a) 31,888   2,652 Pentair PLC 95   6
Twitter Inc (a) 16,862   844 Textron Inc 9,600   426
VeriSign Inc (a) 704   47 Trinity Industries Inc 727   26
Vipshop Holdings Ltd ADR(a) 28,100   827   $   9,523
  $   36,716 Office & Business Equipment - 0.01%      
        Pitney Bowes Inc 615   14
Leisure Products & Services - 0.06%              
Harley-Davidson Inc 910   55        
Norwegian Cruise Line Holdings Ltd (a) 533   29 Oil & Gas - 1.45%      
Polaris Industries Inc 419   59 Atwood Oceanics Inc 90   2
  $   143 Cheniere Energy Inc (a) 860   67
        Chesapeake Energy Corp 817   12
Lodging - 1.82%       Cimarex Energy Co 76   9
Hilton Worldwide Holdings Inc (a) 40,007   1,185 Concho Resources Inc (a) 455   53
Las Vegas Sands Corp 1,358   75 CVR Energy Inc 43   2
Marriott International Inc/MD 761   61 EOG Resources Inc 2,213   203
MGM Resorts International (a) 66,729   1,403        
        EQT Corp 11,688   969
Wyndham Worldwide Corp 769   70 Helmerich & Payne Inc 408   28
Wynn Resorts Ltd 13,400   1,687 HollyFrontier Corp 262   11
  $   4,481 Kosmos Energy Ltd (a) 730   6
        Laredo Petroleum Inc (a) 486   6
Machinery - Construction & Mining - 0.03%              
Caterpillar Inc 857   69 Marathon Petroleum Corp 772   79
        Murphy USA Inc (a) 155   11
        Noble Energy Inc 1,641   80
Machinery - Diversified - 0.96%       Oasis Petroleum Inc (a) 731   10
Cummins Inc 749   104 Patterson-UTI Energy Inc 541   10
Deere & Co 487   43 PBF Energy Inc 155   5

 

See accompanying notes.

98

 

Schedule of Investments
LargeCap Growth Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Oil & Gas (continued)       REITS (continued)      
Phillips 66 956 $ 75 Health Care REIT Inc 698 $ 54
Pioneer Natural Resources Co 3,716   607 Healthcare Trust of America Inc 102   3
Range Resources Corp 21,830   1,136 Iron Mountain Inc 1,048   38
Seadrill Ltd 757   7 Lamar Advertising Co 509   30
SM Energy Co 420   22 NorthStar Realty Finance Corp 332   6
Southwestern Energy Co (a) 2,486   58 Omega Healthcare Investors Inc 278   11
Tesoro Corp 348   32 Outfront Media Inc 66   2
Valero Energy Corp 808   51 Plum Creek Timber Co Inc 535   23
Whiting Petroleum Corp (a) 400   12 Public Storage 535   106
  $   3,563 Simon Property Group Inc 935   183
        Tanger Factory Outlet Centers Inc 411   14
Oil & Gas Services - 2.03%       Taubman Centers Inc 377   29
Baker Hughes Inc 261   17 Urban Edge Properties 142   3
Cameron International Corp (a) 826   37        
Dresser-Rand Group Inc (a) 484   39 Ventas Inc 881   64
Dril-Quip Inc (a) 244   17 Vornado Realty Trust 263   30
FMC Technologies Inc (a) 51,364   1,901 Weyerhaeuser Co 372   12
Halliburton Co 3,420   150   $   1,009
National Oilwell Varco Inc 246   12 Retail - 6.27%      
Oceaneering International Inc 634   34 Advance Auto Parts Inc 462   69
RPC Inc 381   5 AutoNation Inc (a) 428   28
Schlumberger Ltd 33,180   2,768 AutoZone Inc (a) 136   93
Superior Energy Services Inc 75   2 Bed Bath & Beyond Inc (a) 496   38
Targa Resources Corp 238   23 Best Buy Co Inc 523   20
  $   5,005 Big Lots Inc 125   6
        Brinker International Inc 401   25
Packaging & Containers - 0.10%       CarMax Inc (a) 10,961   756
Ball Corp 882   62 Chipotle Mexican Grill Inc (a) 579   377
Crown Holdings Inc (a) 878   48        
Owens-Illinois Inc (a) 682   16 Coach Inc 1,737   72
        Copart Inc (a) 699   26
Packaging Corp of America 622   49 Costco Wholesale Corp 18,434   2,792
Sealed Air Corp 1,368   62 CST Brands Inc 435   19
Silgan Holdings Inc 310   18 CVS Health Corp 727   75
  $   255 Dick's Sporting Goods Inc 123   7
Pharmaceuticals - 8.86%       Dillard's Inc 110   15
AbbVie Inc 6,523   382 Dollar General Corp 984   74
Actavis PLC (a) 8,349   2,485 Dollar Tree Inc (a) 862   70
AmerisourceBergen Corp 937   106 Domino's Pizza Inc 352   35
Bristol-Myers Squibb Co 39,622   2,555 Foot Locker Inc 149   9
Cardinal Health Inc 186   17 GameStop Corp 39   1
Catamaran Corp (a) 1,311   78 Gap Inc/The 1,590   69
Eli Lilly & Co 14,200   1,032 GNC Holdings Inc 580   28
Endo International PLC (a) 594   53 Home Depot Inc/The 5,693   647
Express Scripts Holding Co (a) 55,803   4,842 Kohl's Corp 82   6
Herbalife Ltd (a) 512   22 L Brands Inc 550   52
Johnson & Johnson 1,819   183 Lowe's Cos Inc 25,249   1,878
McKesson Corp 15,345   3,471 Macy's Inc 1,164   76
Mead Johnson Nutrition Co 34,199   3,438 McDonald's Corp 3,572   348
Merck & Co Inc 1,688   97 Michaels Cos Inc/The (a) 126   3
Mylan NV (a) 1,343   80 MSC Industrial Direct Co Inc 297   21
Pharmacyclics Inc (a) 217   56 O'Reilly Automotive Inc (a) 442   96
Quintiles Transnational Holdings Inc (a) 171   11 Panera Bread Co (a) 155   25
Valeant Pharmaceuticals International Inc (a) 14,100   2,801 Penske Automotive Group Inc 136   7
Zoetis Inc 2,054   95 PVH Corp 460   49
        Rite Aid Corp (a) 4,109   36
  $   21,804        
        Ross Stores Inc 885   93
Pipelines - 0.09%       Sally Beauty Holdings Inc (a) 749   26
Kinder Morgan Inc/DE 1,556   65 Starbucks Corp 56,523   5,353
Williams Cos Inc/The 3,025   153 Target Corp 413   34
  $   218 TJX Cos Inc/The 2,920   205
Real Estate - 0.03%       Tractor Supply Co 13,878   1,181
        Ulta Salon Cosmetics & Fragrance Inc (a) 407   61
CBRE Group Inc (a) 1,775   69        
        Urban Outfitters Inc (a) 474   22
Jones Lang LaSalle Inc 87   15        
  $   84 Walgreens Boots Alliance Inc 3,148   267
        Wal-Mart Stores Inc 712   59
REITS - 0.41%       Williams-Sonoma Inc 596   48
American Tower Corp 1,422   134 World Fuel Services Corp 110   6
Apartment Investment & Management Co 547   22 Yum! Brands Inc 1,594   125
Boston Properties Inc 131   18   $   15,428
Columbia Property Trust Inc 135   4        
Crown Castle International Corp 1,346   111 Semiconductors - 1.77%      
Equity LifeStyle Properties Inc 370   20 Applied Materials Inc 2,939   66
Extra Space Storage Inc 735   50 ASML Holding NV - NY Reg Shares 3,900   394
Federal Realty Investment Trust 283   42 Avago Technologies Ltd 902   114

 

See accompanying notes.

99

 

Schedule of Investments
LargeCap Growth Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) INVESTMENT COMPANIES (continued)   Shares Held Value(000 's)
 
Semiconductors (continued)       Publicly Traded Investment Fund (continued)              
Intel Corp 1,713 $ 54 JP Morgan Prime Money Market Fund   360,751 $ 361  
Micron Technology Inc (a) 3,801   103           $   7,607  
NVIDIA Corp 654   14 TOTAL INVESTMENT COMPANIES       $   7,607  
NXP Semiconductors NV (a) 27,339   2,744 CONVERTIBLE PREFERRED STOCKS -              
ON Semiconductor Corp (a) 1,350   16 0.22 % Shares Held Value(000 's)
Qualcomm Inc 6,804   472                  
Skyworks Solutions Inc 685   67 Internet - 0.22%              
        Airbnb Inc (a),(b),(c),(f)   3,936       161  
Texas Instruments Inc 4,370   250 Dropbox Inc (a),(b),(c),(g)   8,228       157  
Xilinx Inc 1,699   72                  
  $   4,366 Flipkart Online Services Pvt Ltd Series E   220       25  
        (a),(b),(c),(h)              
Shipbuilding - 0.02%       Flipkart Online Services Pvt Ltd Series A   68       8  
Huntington Ingalls Industries Inc 262   37 (a),(b),(c),(i)              
        Flipkart Online Services Pvt Ltd Series C   117       13  
        (a),(b),(c),(j)              
Software - 5.59%       Uber Technologies Inc (a),(b),(c),(k)   5,740       191  
Activision Blizzard Inc 2,088   47                  
Adobe Systems Inc (a) 1,798   133           $   555  
Akamai Technologies Inc (a) 644   46 TOTAL CONVERTIBLE PREFERRED STOCKS   $   555  
ANSYS Inc (a) 20,399   1,799 PREFERRED STOCKS - 0.05%   Shares Held Value(000 's)
Broadridge Financial Solutions Inc 780   43 Internet - 0.05%              
Cerner Corp (a) 1,235   91                  
      Flipkart Online Services Pvt Ltd Series G   985       118  
Citrix Systems Inc(a) 940   60 (a),(b),(c),(l)              
Dun & Bradstreet Corp/The 97   13 TOTAL PREFERRED STOCKS       $   118  
Electronic Arts Inc (a) 1,004   59                  
Fidelity National Information Services Inc  246    17 Total Investments       $   246,041  
Fiserv Inc (a) 1,050   83 Other Assets in Excess of Liabilities, Net - 0.02%   $   41  
Intuit Inc 1,196   116 TOTAL NET ASSETS - 100.00%       $   246,082  
Microsoft Corp 22,481   914                  
NetSuite Inc (a) 21,135   1,960                  
        (a) Non-Income Producing Security              
Oracle Corp 13,816   596 (b) Security is Illiquid              
Paychex Inc 1,209   60 (c) Fair value of these investments is determined in good faith by the Manager  
Red Hat Inc (a) 16,797   1,272                  
Salesforce.com Inc (a) 74,160   4,955   under procedures established and periodically reviewed by the Board of  
ServiceNow Inc (a) 11,100   875   Directors. At the end of the period, the fair value of these securities totaled  
SolarWinds Inc (a) 397   20   $722 or 0.29% of net assets.              
Tableau Software Inc (a) 234   22 (d) Restricted Security. At the end of the period, the value of this security  
Veeva Systems Inc (a) 271   7   totaled $27 or 0.01% of the net assets. The security was purchased  
VMware Inc (a) 566   46   November 7, 2014 at a total cost of $27.              
Workday Inc (a) 6,200   523 (e) Restricted Security. At the end of the period, the value of this security  
          totaled $22 or 0.01% of net assets. The security was purchased March 19,  
  $   13,757   2015 at a cost of $22.              
Telecommunications - 0.51%       (f) Restricted Security. At the end of the period, the value of this security  
ARRIS Group Inc (a) 772   22   totaled $161 or 0.07% of the net assets. The security was purchased April  
CenturyLink Inc 249   9   16, 2014 at a cost of $160.              
Harris Corp 132   10 (g) Restricted Security. At the end of the period, the value of this security  
Level 3 Communications Inc (a) 1,000   54   totaled $157 or 0.06% of the net assets. The security was purchased  
Palo Alto Networks Inc (a) 2,400   351   January 30, 2014 at a total cost of $157.              
Verizon Communications Inc 16,798   817 (h) Restricted Security. At the end of the period, the value of this security  
  $   1,263   totaled $25 or 0.01% of net assets. The security was purchased on March  
          19, 2015 at a cost of $25.              
Transportation - 1.10%       (i) Restricted Security. At the end of the period, the value of this security  
CH Robinson Worldwide Inc 941   69   totaled $8 or 0.00% of the net assets. The security was purchased March  
Expeditors International of Washington Inc 1,249   60   19, 2015 at a total cost of $8.              
FedEx Corp 6,017   995 (j) Restricted Security. At the end of the period, the value of this security  
Genesee & Wyoming Inc (a) 163   16   totaled $13 or 0.01% of the net assets. The security was purchased March  
JB Hunt Transport Services Inc 9,400   803   19, 2015 at a total cost of $13.              
Kirby Corp (a) 355   26 (k) Restricted Security. At the end of the period, the value of this security  
Landstar System Inc 270   18   totaled $191 or 0.08% of net assets. The security was purchased on  
Norfolk Southern Corp 416   43   December 5, 2014 at a cost of $191.              
Old Dominion Freight Line Inc (a) 411   32 (l) Restricted Security. At the end of the period, the value of this security  
Union Pacific Corp 3,640   394   totaled $118 or 0.05% of net assets. The security was purchased on  
United Parcel Service Inc 2,545   247   December 17, 2014 at a cost of $118.              
  $   2,703                  
 
Trucking & Leasing - 0.00%                        
AMERCO 28   9                  
 
TOTAL COMMON STOCKS $   237,761                  
INVESTMENT COMPANIES - 3.09% Shares Held Value (000's)                  
 
Publicly Traded Investment Fund - 3.09%                        
BlackRock Liquidity Funds TempFund 3,838,954   3,839                  
Portfolio                        
Goldman Sachs Financial Square Funds - 3,407,534   3,407                  
Money Market Fund                        

 

See accompanying notes.

100

 

Schedule of Investments
LargeCap Growth Account I
March 31, 2015 (unaudited)
 
 
Portfolio Summary (unaudited)                    
Sector   Percent                
Consumer, Non-cyclical   26.79 %              
Communications   16.70 %              
Technology   13.52 %              
Industrial   13.35 %              
Consumer, Cyclical   12.06 %              
Financial   8.55 %              
Energy   3.57 %              
Exchange Traded Funds   3.09 %              
Basic Materials   2.33 %              
Utilities   0.02 %              
Other Assets in Excess of Liabilities, Net   0.02 %              
TOTAL NET ASSETS   100.00 %              
 
Futures Contracts
                    Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
S&P 500 Emini; June 2015 Long 76   $ 7,828 $   7,831 $ 3
Total               $   3
 
Amounts in thousands except contracts                    

 

See accompanying notes.

101

 

Schedule of Investments
LargeCap S&P 500 Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 96.83% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.25%       Beverages - 2.13%      
Alliance Data Systems Corp (a) 6,432 $ 1,906 Brown-Forman Corp 15,959 $ 1,442
Interpublic Group of Cos Inc/The 42,231   934 Coca-Cola Co/The 402,467   16,320
Omnicom Group Inc 25,268   1,970 Coca-Cola Enterprises Inc 22,223   982
  $   4,810 Constellation Brands Inc 17,239   2,003
        Dr Pepper Snapple Group Inc 19,763   1,551
Aerospace & Defense - 2.00%       Keurig Green Mountain Inc 12,418   1,388
Boeing Co/The 67,092   10,069 Molson Coors Brewing Co 16,372   1,219
General Dynamics Corp 32,274   4,380 Monster Beverage Corp (a) 14,975   2,073
L-3 Communications Holdings Inc 8,452   1,063 PepsiCo Inc 151,822   14,517
Lockheed Martin Corp 27,473   5,576   $   41,495
Northrop Grumman Corp 20,320   3,271        
Raytheon Co 31,475   3,439 Biotechnology - 2.92%      
Rockwell Collins Inc 13,616   1,315 Alexion Pharmaceuticals Inc (a) 20,703   3,588
United Technologies Corp 84,635   9,919 Amgen Inc 77,721   12,424
  $   39,032 Biogen Inc (a) 24,028   10,145
        Celgene Corp (a) 81,995   9,452
Agriculture - 1.52%       Gilead Sciences Inc (a) 152,543   14,969
Altria Group Inc 201,695   10,089 Regeneron Pharmaceuticals Inc (a) 7,555   3,411
Archer-Daniels-Midland Co 64,963   3,079 Vertex Pharmaceuticals Inc (a) 24,794   2,925
Lorillard Inc 36,875   2,410   $   56,914
Philip Morris International Inc 158,435   11,935        
Reynolds American Inc 31,559   2,174 Building Materials - 0.15%      
  $   29,687 Martin Marietta Materials Inc 6,332   885
        Masco Corp 35,800   956
Airlines - 0.55%       Vulcan Materials Co 13,530   1,141
American Airlines Group Inc 73,461   3,877   $   2,982
Delta Air Lines Inc 84,421   3,796        
Southwest Airlines Co 69,234   3,067 Chemicals - 2.28%      
  $   10,740 Air Products & Chemicals Inc 19,751   2,988
        Airgas Inc 6,924   735
Apparel - 0.76%       CF Industries Holdings Inc 4,906   1,392
Hanesbrands Inc 41,049   1,375 Dow Chemical Co/The 111,455   5,348
Michael Kors Holdings Ltd (a) 20,561   1,352 Eastman Chemical Co 15,224   1,054
Nike Inc 71,671   7,191 Ecolab Inc 27,583   3,155
Ralph Lauren Corp 6,170   811 EI du Pont de Nemours & Co 92,731   6,627
Under Armour Inc (a) 17,088   1,380 FMC Corp 13,654   782
VF Corp 35,064   2,641 International Flavors & Fragrances Inc 8,269   971
  $   14,750 LyondellBasell Industries NV 40,560   3,561
Automobile Manufacturers - 0.72%       Monsanto Co 49,497   5,570
Ford Motor Co 405,163   6,539 Mosaic Co/The 31,848   1,467
General Motors Co 138,542   5,195 PPG Industries Inc 13,934   3,143
PACCAR Inc 36,309   2,293 Praxair Inc 29,577   3,571
  $   14,027 Sherwin-Williams Co/The 8,261   2,350
        Sigma-Aldrich Corp 12,231   1,691
Automobile Parts & Equipment - 0.41%         $   44,405
BorgWarner Inc 23,191   1,402        
Delphi Automotive PLC 29,730   2,371 Coal - 0.03%      
Goodyear Tire & Rubber Co/The 27,608   748 Consol Energy Inc 23,583   658
Johnson Controls Inc 67,319   3,395        
  $   7,916 Commercial Services - 1.30%      
Banks - 6.93%       ADT Corp/The 17,529   728
Bank of America Corp 1,077,403   16,581 Automatic Data Processing Inc 48,664   4,168
Bank of New York Mellon Corp/The 114,083   4,591 Cintas Corp 9,973   814
BB&T Corp 73,823   2,878 Equifax Inc 12,237   1,138
Capital One Financial Corp 56,493   4,453 H&R Block Inc 28,190   904
Citigroup Inc 310,723   16,008 MasterCard Inc 99,979   8,637
Comerica Inc 18,267   824 McGraw Hill Financial Inc 28,011   2,896
        Moody's Corp 18,210   1,890
Fifth Third Bancorp 83,447   1,573 Quanta Services Inc (a) 21,657   618
Goldman Sachs Group Inc/The 41,492   7,799        
Huntington Bancshares Inc/OH 82,962   917 Robert Half International Inc 13,841   838
        Total System Services Inc 16,868   644
JP Morgan Chase & Co 381,850   23,133 United Rentals Inc (a) 9,885   901
KeyCorp 87,601   1,240        
M&T Bank Corp 13,612   1,729 Western Union Co/The 53,405   1,111
Morgan Stanley 157,905   5,636   $   25,287
Northern Trust Corp 22,478   1,566 Computers - 6.06%      
PNC Financial Services Group Inc/The 53,328   4,972 Accenture PLC - Class A 64,332   6,027
Regions Financial Corp 137,537   1,300 Apple Inc 596,564   74,231
State Street Corp 42,225   3,105 Cognizant Technology Solutions Corp (a) 62,436   3,895
SunTrust Banks Inc 53,722   2,207 Computer Sciences Corp 14,445   943
US Bancorp/MN 182,427   7,967 EMC Corp/MA 203,617   5,204
Wells Fargo & Co 480,199   26,123 Hewlett-Packard Co 186,152   5,801
Zions Bancorporation 20,784   561 International Business Machines Corp 94,147   15,111
  $   135,163 NetApp Inc 31,929   1,132
        SanDisk Corp 21,816   1,388

 

See accompanying notes.

102

 

Schedule of Investments
LargeCap S&P 500 Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Computers (continued)       Electronics - 1.44%      
Seagate Technology PLC 33,628 $ 1,750 Agilent Technologies Inc 34,393 $ 1,429
Teradata Corp (a) 14,866   656 Allegion PLC 9,833   602
Western Digital Corp 22,242   2,024 Amphenol Corp 31,769   1,872
  $   118,162 Corning Inc 130,209   2,953
        FLIR Systems Inc 14,317   448
Consumer Products - 0.31%       Garmin Ltd 12,376   588
Avery Dennison Corp 9,268   491 Honeywell International Inc 80,159   8,361
Clorox Co/The 13,435   1,483 PerkinElmer Inc 11,576   592
Kimberly-Clark Corp 37,430   4,009 TE Connectivity Ltd 41,604   2,980
  $   5,983 Thermo Fisher Scientific Inc 40,638   5,459
Cosmetics & Personal Care - 1.57%       Tyco International PLC 43,020   1,853
Colgate-Palmolive Co 87,328   6,055 Waters Corp (a) 8,503   1,057
Estee Lauder Cos Inc/The 22,845   1,900   $   28,194
Procter & Gamble Co/The (b) 276,583   22,663        
        Energy - Alternate Sources - 0.02%      
  $   30,618 First Solar Inc (a) 7,703   460
Distribution & Wholesale - 0.23%              
Fastenal Co 27,842   1,154 Engineering & Construction - 0.07%      
Fossil Group Inc (a) 4,540   374        
        Fluor Corp 15,136   865
Genuine Parts Co 15,639   1,457 Jacobs Engineering Group Inc (a) 13,140   594
WW Grainger Inc 6,147   1,450   $   1,459
  $   4,435        
        Environmental Control - 0.24%      
Diversified Financial Services - 2.52%       Republic Services Inc 25,673   1,041
Affiliated Managers Group Inc (a) 5,591   1,201 Stericycle Inc (a) 8,699   1,222
American Express Co 89,769   7,013 Waste Management Inc 43,731   2,371
Ameriprise Financial Inc 18,692   2,446   $   4,634
BlackRock Inc 12,992   4,753        
Charles Schwab Corp/The 118,163   3,597 Food - 1.68%      
CME Group Inc/IL 32,477   3,076 Campbell Soup Co 18,201   847
Discover Financial Services 45,805   2,581 ConAgra Foods Inc 43,621   1,594
E*Trade Financial Corp (a) 29,579   845 General Mills Inc 61,835   3,500
Franklin Resources Inc 40,122   2,059 Hershey Co/The 15,153   1,529
Intercontinental Exchange Inc 11,471   2,676 Hormel Foods Corp 13,793   784
Invesco Ltd 43,960   1,745 JM Smucker Co/The 10,422   1,206
Legg Mason Inc 10,153   560 Kellogg Co 25,929   1,710
NASDAQ OMX Group Inc/The 12,103   616 Kraft Foods Group Inc 60,221   5,246
Navient Corp 41,117   836 Kroger Co/The 50,320   3,858
T Rowe Price Group Inc 26,703   2,162 McCormick & Co Inc/MD 13,137   1,013
Visa Inc 198,685   12,996 Mondelez International Inc 168,938   6,097
  $   49,162 Sysco Corp 60,667   2,289
        Tyson Foods Inc 29,924   1,146
Electric - 2.64%       Whole Foods Market Inc 36,948   1,924
AES Corp/VA 66,206   851   $   32,743
Ameren Corp 24,850   1,049        
American Electric Power Co Inc 50,146   2,821 Forest Products & Paper - 0.12%      
CMS Energy Corp 28,212   985 International Paper Co 43,307   2,403
Consolidated Edison Inc 29,997   1,830        
Dominion Resources Inc/VA 60,236   4,269 Gas - 0.28%      
DTE Energy Co 18,151   1,465 AGL Resources Inc 12,255   609
Duke Energy Corp 72,466   5,564 CenterPoint Energy Inc 44,019   898
Edison International 33,369   2,084 NiSource Inc 32,386   1,430
Entergy Corp 18,484   1,432 Sempra Energy 23,714   2,585
Eversource Energy 32,446   1,639   $   5,522
Exelon Corp 88,063   2,960        
FirstEnergy Corp 43,137   1,512 Hand & Machine Tools - 0.12%      
Integrys Energy Group Inc 8,145   587 Snap-on Inc 5,953   876
NextEra Energy Inc 45,417   4,726 Stanley Black & Decker Inc 16,121   1,537
NRG Energy Inc 34,586   871   $   2,413
Pepco Holdings Inc 25,893   695        
PG&E Corp 48,792   2,589 Healthcare - Products - 1.82%      
Pinnacle West Capital Corp 11,324   722 Baxter International Inc 55,570   3,807
PPL Corp 68,310   2,299 Becton Dickinson and Co 21,383   3,070
        Boston Scientific Corp (a) 136,269   2,419
Public Service Enterprise Group Inc 51,842   2,173        
SCANA Corp 14,637   805 CR Bard Inc 7,605   1,273
Southern Co/The 93,188   4,126 DENTSPLY International Inc 14,374   732
        Edwards Lifesciences Corp (a) 11,044   1,573
TECO Energy Inc 24,122   468 Henry Schein Inc (a) 8,582   1,198
Wisconsin Energy Corp 23,096   1,143 Intuitive Surgical Inc (a) 3,748   1,893
Xcel Energy Inc 51,822   1,804        
  $   51,469 Medtronic PLC 145,953   11,383
        Patterson Cos Inc 8,775   428
Electrical Components & Equipment - 0.27%       St Jude Medical Inc 28,808   1,884
AMETEK Inc 24,689   1,297 Stryker Corp 30,645   2,827
Emerson Electric Co 70,177   3,974 Varian Medical Systems Inc (a) 10,249   964
  $   5,271        

 

See accompanying notes.

103

 

Schedule of Investments
LargeCap S&P 500 Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Healthcare - Products (continued)       Internet (continued)      
Zimmer Holdings Inc 17,401 $ 2,045 Yahoo! Inc (a) 89,165 $ 3,962
  $   35,496   $   90,166
 
Healthcare - Services - 1.72%       Iron & Steel - 0.10%      
Aetna Inc 36,020   3,837 Allegheny Technologies Inc 11,125   334
Anthem Inc 27,324   4,219 Nucor Corp 32,676   1,553
Cigna Corp 26,469   3,426   $   1,887
DaVita HealthCare Partners Inc (a) 17,681   1,437        
HCA Holdings Inc (a) 30,152   2,268 Leisure Products & Services - 0.25%      
Humana Inc 15,322   2,728 Carnival Corp 46,133   2,207
Laboratory Corp of America Holdings (a) 10,272   1,295 Harley-Davidson Inc 21,664   1,316
Quest Diagnostics Inc 14,780   1,136 Royal Caribbean Cruises Ltd 16,870   1,381
Tenet Healthcare Corp (a) 10,087   499   $   4,904
UnitedHealth Group Inc 97,676   11,554 Lodging - 0.27%      
Universal Health Services Inc 9,323   1,098 Marriott International Inc/MD 21,242   1,706
  $   33,497 Starwood Hotels & Resorts Worldwide Inc 17,584   1,468
Holding Companies - Diversified - 0.04%       Wyndham Worldwide Corp 12,347   1,117
Leucadia National Corp 32,294   720 Wynn Resorts Ltd 8,296   1,045
          $   5,336
 
Home Builders - 0.14%       Machinery - Construction & Mining - 0.27%      
DR Horton Inc 34,056   970 Caterpillar Inc 62,082   4,968
Lennar Corp 18,284   947 Joy Global Inc 9,973   391
Pulte Group Inc 33,939   755   $   5,359
  $   2,672 Machinery - Diversified - 0.52%      
Home Furnishings - 0.16%       Cummins Inc 17,249   2,391
Harman International Industries Inc 7,028   939 Deere & Co 34,770   3,049
Leggett & Platt Inc 14,169   653 Flowserve Corp 13,797   779
Whirlpool Corp 7,999   1,616 Rockwell Automation Inc 13,877   1,610
  $   3,208 Roper Industries Inc 10,278   1,768
        Xylem Inc/NY 18,672   654
Housewares - 0.06%         $   10,251
Newell Rubbermaid Inc 27,765   1,085        
        Media - 3.31%      
        Cablevision Systems Corp 22,467   411
Insurance - 3.89%       CBS Corp 46,855   2,841
ACE Ltd 33,526   3,738 Comcast Corp - Class A 260,253   14,696
Aflac Inc 44,951   2,877 DIRECTV (a) 51,496   4,382
Allstate Corp/The 42,650   3,035 Discovery Communications Inc - A Shares (a) 15,223   468
American International Group Inc 140,563   7,702 Discovery Communications Inc - C Shares (a) 27,680   816
Aon PLC 28,703   2,759 Gannett Co Inc 23,233   861
Assurant Inc 7,053   433 News Corp (a) 51,150   819
Berkshire Hathaway Inc - Class B (a) 186,780   26,956 Nielsen NV 32,320   1,441
Chubb Corp/The 23,644   2,390 Scripps Networks Interactive Inc 9,978   684
Cincinnati Financial Corp 15,132   806 Time Warner Cable Inc 28,769   4,312
Genworth Financial Inc (a) 50,871   372 Time Warner Inc 85,062   7,183
Hartford Financial Services Group Inc/The 43,113   1,803 Twenty-First Century Fox Inc - A Shares 187,270   6,337
Lincoln National Corp 26,259   1,509 Viacom Inc 37,401   2,555
Loews Corp 30,576   1,249 Walt Disney Co/The 160,142   16,797
Marsh & McLennan Cos Inc 55,181   3,095   $   64,603
MetLife Inc 114,447   5,785        
Progressive Corp/The 54,889   1,493 Metal Fabrication & Hardware - 0.16%      
Prudential Financial Inc 46,498   3,734 Precision Castparts Corp 14,519   3,049
Torchmark Corp 13,018   715        
Travelers Cos Inc/The 32,914   3,559 Mining - 0.24%      
Unum Group 25,750   869 Alcoa Inc 125,181   1,618
XL Group PLC 26,141   962 Freeport-McMoRan Inc 106,501   2,018
  $   75,841 Newmont Mining Corp 51,092   1,109
Internet - 4.62%         $   4,745
Amazon.com Inc (a) 39,000   14,512        
eBay Inc (a) 112,777   6,505 Miscellaneous Manufacturing - 2.90%      
        3M Co 65,010   10,723
Equinix Inc 5,784   1,347 Danaher Corp 62,887   5,339
Expedia Inc 10,123   953 Dover Corp 16,698   1,154
F5 Networks Inc (a) 7,388   849        
Facebook Inc (a) 215,003   17,676 Eaton Corp PLC 48,608   3,303
Google Inc - A Shares (a) 29,247   16,223 General Electric Co 1,030,837   25,575
Google Inc - C Shares (a) 29,308   16,061 Illinois Tool Works Inc 35,753   3,473
Netflix Inc (a) 6,196   2,582 Ingersoll-Rand PLC 26,969   1,836
Priceline Group Inc/The (a) 5,319   6,192 Pall Corp 10,922   1,097
        Parker-Hannifin Corp 14,590   1,733
Symantec Corp 69,888   1,633 Pentair PLC 18,685   1,175
TripAdvisor Inc (a) 11,417   950        
VeriSign Inc (a) 10,774   721 Textron Inc 28,353   1,257
          $   56,665

 

See accompanying notes.

104

 

Schedule of Investments
LargeCap S&P 500 Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Office & Business Equipment - 0.09%       Pipelines - 0.73%      
Pitney Bowes Inc 20,649 $ 481 Kinder Morgan Inc/DE 174,526 $ 7,340
Xerox Corp 107,068   1,376 ONEOK Inc 21,344   1,030
  $   1,857 Spectra Energy Corp 68,732   2,486
        Williams Cos Inc/The 68,938   3,488
Oil & Gas - 5.86%         $   14,344
Anadarko Petroleum Corp 51,890   4,297        
Apache Corp 38,593   2,328 Publicly Traded Investment Fund - 0.83%      
Cabot Oil & Gas Corp 42,316   1,250 iShares Core S&P 500 ETF 78,116   16,235
Chesapeake Energy Corp 52,991   750        
Chevron Corp 192,566   20,216 Real Estate - 0.06%      
Cimarex Energy Co 8,971   1,032 CBRE Group Inc  (a) 28,650   1,109
ConocoPhillips 126,125   7,853        
Devon Energy Corp 39,578   2,387        
Diamond Offshore Drilling Inc 6,882   184 REITS - 2.44%      
Ensco PLC 23,997   506 American Tower Corp 43,278   4,075
EOG Resources Inc 56,171   5,150 Apartment Investment & Management Co 16,005   630
EQT Corp 15,556   1,289 AvalonBay Communities Inc 13,524   2,357
Exxon Mobil Corp 429,615   36,517 Boston Properties Inc 15,689   2,204
Helmerich & Payne Inc 11,024   750 Crown Castle International Corp 34,193   2,822
Hess Corp 24,883   1,689 Equity Residential 37,259   2,901
Marathon Oil Corp 69,127   1,805 Essex Property Trust Inc 6,670   1,533
Marathon Petroleum Corp 27,966   2,863 General Growth Properties Inc 64,348   1,901
Murphy Oil Corp 17,088   796 HCP Inc 47,190   2,039
Newfield Exploration Co (a) 16,467   578 Health Care REIT Inc 35,791   2,769
Noble Corp PLC 24,780   354 Host Hotels & Resorts Inc 77,584   1,566
Noble Energy Inc 39,611   1,937 Iron Mountain Inc 19,148   699
Occidental Petroleum Corp 78,918   5,761 Kimco Realty Corp 42,255   1,135
Phillips 66 55,664   4,375 Macerich Co/The 14,416   1,216
Pioneer Natural Resources Co 15,256   2,495 Plum Creek Timber Co Inc 18,031   783
QEP Resources Inc 16,541   345 Prologis Inc 52,452   2,285
Range Resources Corp 16,983   884 Public Storage 14,867   2,931
Southwestern Energy Co (a) 39,377   913 Simon Property Group Inc 31,836   6,228
Tesoro Corp 12,792   1,168 SL Green Realty Corp 10,101   1,297
Transocean Ltd 34,879   512 Ventas Inc 33,881   2,474
Valero Energy Corp 52,734   3,355 Vornado Realty Trust 17,896   2,004
  $   114,339 Weyerhaeuser Co 53,769   1,782
 
Oil & Gas Services - 1.10%         $   47,631
Baker Hughes Inc 44,503   2,829 Retail - 6.50%      
Cameron International Corp (a) 19,840   895 AutoNation Inc (a) 7,677   494
FMC Technologies Inc (a) 23,704   877 AutoZone Inc (a) 3,266   2,228
Halliburton Co 87,022   3,819 Bed Bath & Beyond Inc (a) 19,009   1,459
National Oilwell Varco Inc 41,985   2,099 Best Buy Co Inc 29,817   1,127
Schlumberger Ltd 130,616   10,899 CarMax Inc (a) 21,509   1,484
  $   21,418 Chipotle Mexican Grill Inc (a) 3,177   2,067
        Coach Inc 28,250   1,170
Packaging & Containers - 0.16%       Costco Wholesale Corp 45,061   6,827
Ball Corp 14,066   994 CVS Health Corp 115,247   11,895
MeadWestvaco Corp 17,149   855 Darden Restaurants Inc 12,704   881
Owens-Illinois Inc (a) 16,819   392        
        Dollar General Corp 31,076   2,342
Sealed Air Corp 21,523   981 Dollar Tree Inc (a) 21,062   1,709
  $   3,222 Family Dollar Stores Inc 9,846   780
Pharmaceuticals - 7.44%       GameStop Corp 11,113   422
Abbott Laboratories 154,547   7,160 Gap Inc/The 27,164   1,177
AbbVie Inc 163,244   9,556 Home Depot Inc/The 134,970   15,334
Actavis PLC (a) 39,992   11,902 Kohl's Corp 20,689   1,619
AmerisourceBergen Corp 21,367   2,429 L Brands Inc 25,179   2,374
Bristol-Myers Squibb Co 170,232   10,980 Lowe's Cos Inc 99,644   7,413
Cardinal Health Inc 33,811   3,052 Macy's Inc 34,883   2,264
Eli Lilly & Co 100,142   7,275 McDonald's Corp 98,436   9,592
Endo International PLC (a) 18,180   1,631 Nordstrom Inc 14,407   1,157
Express Scripts Holding Co (a) 74,448   6,460 O'Reilly Automotive Inc (a) 10,410   2,251
Hospira Inc 17,555   1,542 PVH Corp 8,444   900
Johnson & Johnson 284,774   28,648 Ross Stores Inc 21,199   2,234
Mallinckrodt PLC (a) 11,929   1,511 Staples Inc 65,598   1,068
McKesson Corp 23,847   5,394 Starbucks Corp 76,793   7,272
Mead Johnson Nutrition Co 20,719   2,083 Target Corp 65,237   5,354
Merck & Co Inc 290,684   16,709 Tiffany & Co 11,526   1,014
Mylan NV (a) 38,191   2,267 TJX Cos Inc/The 69,921   4,898
Perrigo Co PLC 14,420   2,387 Tractor Supply Co 13,948   1,186
Pfizer Inc (b) 627,711   21,838 Urban Outfitters Inc (a) 10,246   468
Zoetis Inc 51,290   2,374 Walgreens Boots Alliance Inc 89,307   7,563
  $   145,198 Wal-Mart Stores Inc 161,756   13,304

 

See accompanying notes.

105

 

Schedule of Investments
LargeCap S&P 500 Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000 's)
 
Retail (continued)       Transportation (continued)            
Yum! Brands Inc 44,359 $ 3,492 Union Pacific Corp 90,260 $ 9,776  
  $   126,819 United Parcel Service Inc 71,176       6,900  
                $   31,454  
Savings & Loans - 0.05%       TOTAL COMMON STOCKS   $ 1,889,388  
Hudson City Bancorp Inc 49,297   516                
People's United Financial Inc 31,567   480 INVESTMENT COMPANIES - 3.30% Shares Held Value (000 's)
  $   996 Publicly Traded Investment Fund - 3.30%            
Semiconductors - 2.89%       BlackRock Liquidity Funds FedFund Portfolio 64,483,254       64,483  
Altera Corp 30,817   1,322                
Analog Devices Inc 31,916   2,011 TOTAL INVESTMENT COMPANIES     $   64,483  
Applied Materials Inc 125,841   2,839 Total Investments   $ 1,953,871  
Avago Technologies Ltd 26,279   3,337 Liabilities in Excess of Other Assets, Net - (0.13)%   $   (2,530 )
Broadcom Corp 55,827   2,417 TOTAL NET ASSETS - 100.00%   $ 1,951,341  
Intel Corp 485,056   15,168                
KLA-Tencor Corp 16,659   971                
Lam Research Corp 16,316   1,146 (a) Non-Income Producing Security            
Linear Technology Corp 24,498   1,146 (b) Security or a portion of the security was pledged to cover margin      
Microchip Technology Inc 20,632   1,009   requirements for futures contracts. At the end of the period, the value of  
Micron Technology Inc (a) 110,337   2,993   these securities totaled $5,794 or 0.30% of net assets.          
NVIDIA Corp 52,885   1,106                
Qualcomm Inc 168,946   11,715                
Skyworks Solutions Inc 19,543   1,921   Portfolio Summary (unaudited)          
Texas Instruments Inc 107,247   6,133 Sector           Percent  
Xilinx Inc 26,776   1,133 Consumer, Non-cyclical         22.50 %
  $   56,367 Financial         15.89 %
Software - 3.86%       Technology         12.81 %
Adobe Systems Inc (a) 48,738   3,604 Communications         11.26 %
Akamai Technologies Inc (a) 18,315   1,301 Consumer, Cyclical         10.19 %
Autodesk Inc (a) 23,218   1,361 Industrial         9.91 %
CA Inc 32,653   1,065 Energy         7.74 %
Cerner Corp (a) 31,227   2,288 Exchange Traded Funds         4.13 %
Citrix Systems Inc (a) 16,369   1,045 Utilities         2.92 %
Dun & Bradstreet Corp/The 3,683   473 Basic Materials         2.74 %
Electronic Arts Inc (a) 31,845   1,873 Diversified         0.04 %
Fidelity National Information Services Inc 29,196   1,987 Liabilities in Excess of Other Assets, Net         (0.13 )%
Fiserv Inc (a) 24,446   1,941 TOTAL NET ASSETS         100.00 %
Intuit Inc 28,341   2,748                
Microsoft Corp 840,223   34,159                
Oracle Corp 328,324   14,167                
Paychex Inc 33,473   1,661                
Red Hat Inc (a) 18,785   1,423                
Salesforce.com Inc (a) 61,969   4,140                
  $   75,236                
 
Telecommunications - 3.08%                      
AT&T Inc 531,571   17,356                
CenturyLink Inc 58,019   2,004                
Cisco Systems Inc 522,822   14,391                
Frontier Communications Corp 102,671   724                
Harris Corp 10,663   840                
Juniper Networks Inc 37,098   838                
Level 3 Communications Inc (a) 29,373   1,581                
Motorola Solutions Inc 19,528   1,302                
Verizon Communications Inc 425,592   20,696                
Windstream Holdings Inc 61,721   457                
  $   60,189                
 
Textiles - 0.06%                      
Mohawk Industries Inc (a) 6,355   1,180                
 
 
Toys, Games & Hobbies - 0.08%                      
Hasbro Inc 11,458   725                
Mattel Inc 34,643   791                
  $   1,516                
 
Transportation - 1.61%                      
CH Robinson Worldwide Inc 14,986   1,097                
CSX Corp 101,452   3,360                
Expeditors International of Washington Inc 19,639   946                
FedEx Corp 26,985   4,465                
Kansas City Southern 11,308   1,154                
Norfolk Southern Corp 31,484   3,241                
Ryder System Inc 5,426   515                

 

See accompanying notes.

106

 

Schedule of Investments
LargeCap S&P 500 Index Account
March 31, 2015 (unaudited)
 
Futures Contracts
                  Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
S&P 500 Emini; June 2015 Long 626 $ 64,269 $   64,503 $ 234
Total             $   234
Amounts in thousands except contracts                  

 

See accompanying notes.

107

 

Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 87.84% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Advertising - 0.22%       Beverages - 1.92%      
Alliance Data Systems Corp (a) 362 $ 107 Brown-Forman Corp 898 $ 81
Interpublic Group of Cos Inc/The 2,377   53 Coca-Cola Co/The 22,659   919
Omnicom Group Inc 1,422   111 Coca-Cola Enterprises Inc 1,251   55
  $   271 Constellation Brands Inc 970   113
        Dr Pepper Snapple Group Inc 1,112   87
Aerospace & Defense - 1.81%       Keurig Green Mountain Inc 699   78
Boeing Co/The 3,777   567 Molson Coors Brewing Co 921   69
General Dynamics Corp 1,817   247 Monster Beverage Corp (a) 843   117
L-3 Communications Holdings Inc 475   60 PepsiCo Inc 8,547   817
Lockheed Martin Corp 1,546   314   $   2,336
Northrop Grumman Corp 1,144   184        
Raytheon Co 1,772   193 Biotechnology - 2.64%      
Rockwell Collins Inc 766   74 Alexion Pharmaceuticals Inc (a) 1,165   202
United Technologies Corp 4,765   558 Amgen Inc 4,375   699
  $   2,197 Biogen Inc (a) 1,352   571
        Celgene Corp (a) 4,616   532
Agriculture - 1.38%       Gilead Sciences Inc (a) 8,588   843
Altria Group Inc 11,355   568 Regeneron Pharmaceuticals Inc (a) 425   192
Archer-Daniels-Midland Co 3,657   173 Vertex Pharmaceuticals Inc (a) 1,395   164
Lorillard Inc 2,076   136   $   3,203
Philip Morris International Inc 8,920   672        
Reynolds American Inc 1,776   122 Building Materials - 0.14%      
  $   1,671 Martin Marietta Materials Inc 356   50
        Masco Corp 2,015   54
Airlines - 0.50%       Vulcan Materials Co 761   64
American Airlines Group Inc 4,136   218   $   168
Delta Air Lines Inc 4,753   214        
Southwest Airlines Co 3,898   173 Chemicals - 2.06%      
  $   605 Air Products & Chemicals Inc 1,112   168
        Airgas Inc 389   41
Apparel - 0.68%       CF Industries Holdings Inc 276   78
Hanesbrands Inc 2,311   77 Dow Chemical Co/The 6,275   301
Michael Kors Holdings Ltd (a) 1,157   76 Eastman Chemical Co 857   59
Nike Inc 4,035   405 Ecolab Inc 1,553   178
Ralph Lauren Corp 347   45 EI du Pont de Nemours & Co 5,220   373
Under Armour Inc (a) 962   78 FMC Corp 768   44
VF Corp 1,974   149 International Flavors & Fragrances Inc 465   55
  $   830 LyondellBasell Industries NV 2,283   200
Automobile Manufacturers - 0.65%       Monsanto Co 2,786   314
Ford Motor Co 22,811   368 Mosaic Co/The 1,793   83
General Motors Co 7,800   293 PPG Industries Inc 784   177
PACCAR Inc 2,044   129 Praxair Inc 1,665   201
  $   790 Sherwin-Williams Co/The 465   132
        Sigma-Aldrich Corp 688   95
Automobile Parts & Equipment - 0.37%         $   2,499
BorgWarner Inc 1,305   79        
Delphi Automotive PLC 1,673   134 Coal - 0.03%      
Goodyear Tire & Rubber Co/The 1,554   42 Consol Energy Inc 1,327   37
Johnson Controls Inc 3,790   191        
  $   446 Commercial Services - 1.17%      
Banks - 6.27%       ADT Corp/The 986   41
Bank of America Corp 60,660   934 Automatic Data Processing Inc 2,739   235
Bank of New York Mellon Corp/The 6,423   258 Cintas Corp 561   46
BB&T Corp 4,156   162 Equifax Inc 689   64
Capital One Financial Corp 3,180   251 H&R Block Inc 1,587   51
Citigroup Inc 17,494   901 MasterCard Inc 5,629   486
Comerica Inc 1,028   46 McGraw Hill Financial Inc 1,577   163
        Moody's Corp 1,025   106
Fifth Third Bancorp 4,698   89 Quanta Services Inc (a) 1,219   35
Goldman Sachs Group Inc/The 2,336   439        
Huntington Bancshares Inc/OH 4,670   52 Robert Half International Inc 779   47
        Total System Services Inc 949   36
JP Morgan Chase & Co 21,498   1,302 United Rentals Inc (a) 556   51
KeyCorp 4,932   70        
M&T Bank Corp 766   97 Western Union Co/The 3,006   62
Morgan Stanley 8,890   317   $   1,423
Northern Trust Corp 1,265   88 Computers - 5.48%      
PNC Financial Services Group Inc/The 3,002   280 Accenture PLC - Class A 3,622   339
Regions Financial Corp 7,743   73 Apple Inc 33,587   4,179
State Street Corp 2,377   175 Cognizant Technology Solutions Corp (a) 3,515   219
SunTrust Banks Inc 3,024   124 Computer Sciences Corp 813   53
US Bancorp/MN 10,271   449 EMC Corp/MA 11,464   293
Wells Fargo & Co 27,036   1,471 Hewlett-Packard Co 10,480   327
Zions Bancorporation 1,170   32 International Business Machines Corp 5,300   851
  $   7,610 NetApp Inc 1,797   64
        SanDisk Corp 1,228   78

 

See accompanying notes.

108

 

Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Computers (continued)       Electronics - 1.31%      
Seagate Technology PLC 1,893 $ 98 Agilent Technologies Inc 1,936 $ 81
Teradata Corp (a) 836   37 Allegion PLC 553   34
Western Digital Corp 1,252   114 Amphenol Corp 1,788   105
  $   6,652 Corning Inc 7,331   166
        FLIR Systems Inc 806   25
Consumer Products - 0.28%       Garmin Ltd 696   33
Avery Dennison Corp 521   28 Honeywell International Inc 4,513   471
Clorox Co/The 756   83 PerkinElmer Inc 651   33
Kimberly-Clark Corp 2,107   226 TE Connectivity Ltd 2,342   168
  $   337 Thermo Fisher Scientific Inc 2,288   307
Cosmetics & Personal Care - 1.42%       Tyco International PLC 2,422   104
Colgate-Palmolive Co 4,916   341 Waters Corp (a) 478   60
Estee Lauder Cos Inc/The 1,286   107   $   1,587
Procter & Gamble Co/The 15,572   1,276 Energy - Alternate Sources - 0.02%      
  $   1,724 First Solar Inc (a) 433   26
Distribution & Wholesale - 0.21%              
Fastenal Co 1,567   65 Engineering & Construction - 0.07%      
Fossil Group Inc (a) 255   21        
        Fluor Corp 852   49
Genuine Parts Co 880   82 Jacobs Engineering Group Inc (a) 739   33
WW Grainger Inc 346   82   $   82
  $   250        
        Environmental Control - 0.22%      
Diversified Financial Services - 2.28%       Republic Services Inc 1,445   59
Affiliated Managers Group Inc (a) 314   67 Stericycle Inc (a) 489   69
American Express Co 5,054   395 Waste Management Inc 2,462   133
Ameriprise Financial Inc 1,052   138   $   261
BlackRock Inc 731   267        
Charles Schwab Corp/The 6,652   202 Food - 1.52%      
CME Group Inc/IL 1,828   173 Campbell Soup Co 1,024   48
Discover Financial Services 2,578   145 ConAgra Foods Inc 2,456   90
E*Trade Financial Corp (a) 1,665   48 General Mills Inc 3,481   197
Franklin Resources Inc 2,258   116 Hershey Co/The 853   86
Intercontinental Exchange Inc 645   150 Hormel Foods Corp 776   44
Invesco Ltd 2,475   98 JM Smucker Co/The 586   68
Legg Mason Inc 571   32 Kellogg Co 1,459   96
NASDAQ OMX Group Inc/The 681   35 Kraft Foods Group Inc 3,390   295
Navient Corp 2,314   47 Kroger Co/The 2,833   217
T Rowe Price Group Inc 1,503   122 McCormick & Co Inc/MD 739   57
Visa Inc 11,186   732 Mondelez International Inc 9,511   343
  $   2,767 Sysco Corp 3,415   129
        Tyson Foods Inc 1,684   65
Electric - 2.39%       Whole Foods Market Inc 2,080   108
AES Corp/VA 3,727   48   $   1,843
Ameren Corp 1,399   59        
American Electric Power Co Inc 2,823   159 Forest Products & Paper - 0.11%      
CMS Energy Corp 1,588   56 International Paper Co 2,438   135
Consolidated Edison Inc 1,688   103        
Dominion Resources Inc/VA 3,391   240 Gas - 0.26%      
DTE Energy Co 1,021   82 AGL Resources Inc 689   34
Duke Energy Corp 4,080   313 CenterPoint Energy Inc 2,478   51
Edison International 1,878   117 NiSource Inc 1,823   80
Entergy Corp 1,040   81 Sempra Energy 1,335   146
Eversource Energy 1,826   92   $   311
Exelon Corp 4,958   167        
FirstEnergy Corp 2,428   85 Hand & Machine Tools - 0.11%      
Integrys Energy Group Inc 458   33 Snap-on Inc 335   49
NextEra Energy Inc 2,557   266 Stanley Black & Decker Inc 907   87
NRG Energy Inc 1,947   49   $   136
Pepco Holdings Inc 1,457   39        
PG&E Corp 2,747   146 Healthcare - Products - 1.65%      
Pinnacle West Capital Corp 637   41 Baxter International Inc 3,128   214
PPL Corp 3,846   130 Becton Dickinson and Co 1,203   173
        Boston Scientific Corp (a) 7,672   136
Public Service Enterprise Group Inc 2,918   122        
SCANA Corp 824   45 CR Bard Inc 428   72
Southern Co/The 5,246   232 DENTSPLY International Inc 809   41
        Edwards Lifesciences Corp (a) 621   89
TECO Energy Inc 1,358   26 Henry Schein Inc (a) 483   67
Wisconsin Energy Corp 1,300   64 Intuitive Surgical Inc (a) 211   107
Xcel Energy Inc 2,917   102        
  $   2,897 Medtronic PLC 8,217   641
        Patterson Cos Inc 494   24
Electrical Components & Equipment - 0.24%       St Jude Medical Inc 1,621   106
AMETEK Inc 1,390   73 Stryker Corp 1,725   159
Emerson Electric Co 3,951   224 Varian Medical Systems Inc (a) 577   54
  $   297        

 

See accompanying notes.

109

 

Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Healthcare - Products (continued)       Internet (continued)      
Zimmer Holdings Inc 979 $ 115 Yahoo! Inc (a) 5,020 $ 223
  $   1,998   $   5,074
 
Healthcare - Services - 1.55%       Iron & Steel - 0.09%      
Aetna Inc 2,028   216 Allegheny Technologies Inc 626   19
Anthem Inc 1,538   237 Nucor Corp 1,839   87
Cigna Corp 1,490   193   $   106
DaVita HealthCare Partners Inc (a) 995   81        
HCA Holdings Inc (a) 1,697   128 Leisure Products & Services - 0.23%      
Humana Inc 862   153 Carnival Corp 2,597   124
Laboratory Corp of America Holdings (a) 578   73 Harley-Davidson Inc 1,219   74
Quest Diagnostics Inc 832   64 Royal Caribbean Cruises Ltd 949   78
Tenet Healthcare Corp (a) 567   28   $   276
UnitedHealth Group Inc 5,499   650 Lodging - 0.25%      
Universal Health Services Inc 524   62 Marriott International Inc/MD 1,195   96
  $   1,885 Starwood Hotels & Resorts Worldwide Inc 990   82
Holding Companies - Diversified - 0.03%       Wyndham Worldwide Corp 695   63
Leucadia National Corp 1,818   41 Wynn Resorts Ltd 467   59
          $   300
 
Home Builders - 0.12%       Machinery - Construction & Mining - 0.25%      
DR Horton Inc 1,917   55 Caterpillar Inc 3,495   280
Lennar Corp 1,029   53 Joy Global Inc 561   22
Pulte Group Inc 1,910   42   $   302
  $   150 Machinery - Diversified - 0.48%      
Home Furnishings - 0.15%       Cummins Inc 971   135
Harman International Industries Inc 395   53 Deere & Co 1,957   172
Leggett & Platt Inc 797   36 Flowserve Corp 776   44
Whirlpool Corp 450   91 Rockwell Automation Inc 781   90
  $   180 Roper Industries Inc 578   99
        Xylem Inc/NY 1,051   37
Housewares - 0.05%         $   577
Newell Rubbermaid Inc 1,563   61        
        Media - 3.00%      
        Cablevision Systems Corp 1,264   23
Insurance - 3.52%       CBS Corp 2,638   160
ACE Ltd 1,887   210 Comcast Corp - Class A 14,652   827
Aflac Inc 2,530   162 DIRECTV (a) 2,899   247
Allstate Corp/The 2,401   171 Discovery Communications Inc - A Shares (a) 857   26
American International Group Inc 7,914   434 Discovery Communications Inc - C Shares (a) 1,558   46
Aon PLC 1,616   155 Gannett Co Inc 1,308   49
Assurant Inc 397   24 News Corp (a) 2,879   46
Berkshire Hathaway Inc - Class B (a) 10,516   1,518 Nielsen NV 1,819   81
Chubb Corp/The 1,331   135 Scripps Networks Interactive Inc 561   38
Cincinnati Financial Corp 851   45 Time Warner Cable Inc 1,619   243
Genworth Financial Inc (a) 2,864   21 Time Warner Inc 4,789   404
Hartford Financial Services Group Inc/The 2,427   102 Twenty-First Century Fox Inc - A Shares 10,543   357
Lincoln National Corp 1,478   85 Viacom Inc 2,105   144
Loews Corp 1,721   70 Walt Disney Co/The 9,016   946
Marsh & McLennan Cos Inc 3,106   174   $   3,637
MetLife Inc 6,443   326        
Progressive Corp/The 3,090   84 Metal Fabrication & Hardware - 0.14%      
Prudential Financial Inc 2,617   210 Precision Castparts Corp 817   172
Torchmark Corp 732   40        
Travelers Cos Inc/The 1,853   200 Mining - 0.22%      
Unum Group 1,449   49 Alcoa Inc 7,047   91
XL Group PLC 1,471   54 Freeport-McMoRan Inc 5,996   114
  $   4,269 Newmont Mining Corp 2,876   62
Internet - 4.18%         $   267
Amazon.com Inc (a) 2,195   817        
eBay Inc (a) 6,349   366 Miscellaneous Manufacturing - 2.63%      
        3M Co 3,660   604
Equinix Inc 325   76 Danaher Corp 3,540   301
Expedia Inc 569   53 Dover Corp 940   65
F5 Networks Inc (a) 415   48        
(a)       Eaton Corp PLC 2,736   186
Facebook Inc 12,105   995 General Electric Co (b) 58,038   1,440
Google Inc - A Shares (a) 1,646   913        
Google Inc - C Shares (a) 1,650   904 Illinois Tool Works Inc 2,013   195
Netflix Inc (a) 348   145 Ingersoll-Rand PLC 1,518   103
Priceline Group Inc/The (a) 299   348 Pall Corp 614   62
        Parker-Hannifin Corp 821   97
Symantec Corp 3,934   92 Pentair PLC 1,052   66
TripAdvisor Inc (a) 642   53        
VeriSign Inc (a) 606   41 Textron Inc 1,596   71
          $   3,190

 

See accompanying notes.

110

 

Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Office & Business Equipment - 0.09%       Pipelines - 0.66%      
Pitney Bowes Inc 1,162 $ 27 Kinder Morgan Inc/DE 9,826 $ 413
Xerox Corp 6,028   78 ONEOK Inc 1,201   58
  $   105 Spectra Energy Corp 3,869   140
        Williams Cos Inc/The 3,881   196
Oil & Gas - 5.30%         $   807
Anadarko Petroleum Corp 2,921   242        
Apache Corp 2,172   131 Publicly Traded Investment Fund - 0.96%      
Cabot Oil & Gas Corp 2,382   70 iShares Core S&P 500 ETF 5,602   1,164
Chesapeake Energy Corp 2,983   42        
Chevron Corp 10,841   1,138 Real Estate - 0.05%       
Cimarex Energy Co 505   58 CBRE Group Inc (a) 1,613   62
ConocoPhillips 7,101   442        
Devon Energy Corp 2,228   134        
Diamond Offshore Drilling Inc 387   10 REITS - 2.21%      
Ensco PLC 1,351   29 American Tower Corp 2,436   229
EOG Resources Inc 3,162   290 Apartment Investment & Management Co 901   36
EQT Corp 875   73 AvalonBay Communities Inc 761   133
Exxon Mobil Corp (b) 24,188   2,056 Boston Properties Inc 883   124
Helmerich & Payne Inc 620   42 Crown Castle International Corp 1,925   159
Hess Corp 1,401   95 Equity Residential 2,097   163
Marathon Oil Corp 3,892   102 Essex Property Trust Inc 375   86
Marathon Petroleum Corp 1,574   161 General Growth Properties Inc 3,622   107
Murphy Oil Corp 962   45 HCP Inc 2,656   115
Newfield Exploration Co (a) 927   33 Health Care REIT Inc 2,015   156
Noble Corp PLC 1,395   20 Host Hotels & Resorts Inc 4,368   88
Noble Energy Inc 2,230   109 Iron Mountain Inc 1,078   39
Occidental Petroleum Corp 4,443   324 Kimco Realty Corp 2,379   64
Phillips 66 3,134   246 Macerich Co/The 811   68
Pioneer Natural Resources Co 858   140 Plum Creek Timber Co Inc 1,015   44
QEP Resources Inc 931   19 Prologis Inc 2,953   129
Range Resources Corp 956   50 Public Storage 837   165
Southwestern Energy Co (a) 2,217   52 Simon Property Group Inc 1,792   351
Tesoro Corp 720   66 SL Green Realty Corp 568   73
Transocean Ltd 1,963   29 Ventas Inc 1,907   139
Valero Energy Corp 2,969   189 Vornado Realty Trust 1,007   113
  $   6,437 Weyerhaeuser Co 3,027   100
 
Oil & Gas Services - 0.99%         $   2,681
Baker Hughes Inc 2,505   159 Retail - 5.88%      
Cameron International Corp (a) 1,117   51 AutoNation Inc (a) 432   28
FMC Technologies Inc (a) 1,334   49 AutoZone Inc (a) 183   125
Halliburton Co 4,899   215 Bed Bath & Beyond Inc (a) 1,070   82
National Oilwell Varco Inc 2,363   118 Best Buy Co Inc 1,678   63
Schlumberger Ltd 7,353   614 CarMax Inc (a) 1,211   84
  $   1,206 Chipotle Mexican Grill Inc (a) 178   116
        Coach Inc 1,590   66
Packaging & Containers - 0.15%       Costco Wholesale Corp 2,537   384
Ball Corp 791   56 CVS Health Corp 6,488   670
MeadWestvaco Corp 965   48 Darden Restaurants Inc 715   50
Owens-Illinois Inc (a) 946   22        
        Dollar General Corp 1,749   132
Sealed Air Corp 1,211   55 Dollar Tree Inc (a) 1,185   96
  $   181 Family Dollar Stores Inc 554   44
Pharmaceuticals - 6.73%       GameStop Corp 625   24
Abbott Laboratories 8,701   403 Gap Inc/The 1,529   66
AbbVie Inc 9,190   538 Home Depot Inc/The 7,599   863
Actavis PLC (a) 2,251   670 Kohl's Corp 1,164   91
AmerisourceBergen Corp 1,203   137 L Brands Inc 1,417   134
Bristol-Myers Squibb Co 9,584   618 Lowe's Cos Inc 5,610   417
Cardinal Health Inc 1,903   172 Macy's Inc 1,964   127
Eli Lilly & Co 5,638   409 McDonald's Corp 5,542   540
Endo International PLC (a) 1,023   92 Nordstrom Inc 811   65
Express Scripts Holding Co (a) 4,191   364 O'Reilly Automotive Inc (a) 586   127
Hospira Inc 988   87 PVH Corp 475   51
Johnson & Johnson 16,033   1,613 Ross Stores Inc 1,193   126
Mallinckrodt PLC (a) 671   85 Staples Inc 3,693   60
McKesson Corp 1,342   303 Starbucks Corp 4,323   409
Mead Johnson Nutrition Co 1,166   117 Target Corp 3,672   301
Merck & Co Inc 16,366   941 Tiffany & Co 648   57
Mylan NV (a) 2,150   128 TJX Cos Inc/The 3,936   276
Perrigo Co PLC 811   134 Tractor Supply Co 785   67
Pfizer Inc 35,341   1,229 Urban Outfitters Inc (a) 576   26
Zoetis Inc 2,887   134 Walgreens Boots Alliance Inc 5,028   426
  $   8,174 Wal-Mart Stores Inc 9,107   749

 

See accompanying notes.

111

 

Schedule of Investments
LargeCap S&P 500 Managed Volatility Index Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000 's)
 
Retail (continued)       Transportation (continued)            
Yum! Brands Inc 2,497 $ 196 Union Pacific Corp 5,081 $ 550  
  $   7,138 United Parcel Service Inc 4,007       389  
                $   1,770  
Savings & Loans - 0.05%       TOTAL COMMON STOCKS     $   106,606  
Hudson City Bancorp Inc 2,775   29                
People's United Financial Inc 1,777   27 INVESTMENT COMPANIES - 12.19% Shares Held Value (000 's)
  $   56 Publicly Traded Investment Fund - 12.19%            
Semiconductors - 2.61%       BlackRock Liquidity Funds FedFund Portfolio 14,793,838       14,794  
Altera Corp 1,735   74                
Analog Devices Inc 1,796   113 TOTAL INVESTMENT COMPANIES     $   14,794  
Applied Materials Inc 7,085   160 TOTAL PURCHASED OPTIONS - 0.15%     $   190  
Avago Technologies Ltd 1,479   188 Total Investments     $   121,590  
Broadcom Corp 3,143   136 Liabilities in Excess of Other Assets, Net - (0.18)%   $   (224 )
Intel Corp 27,309   854 TOTAL NET ASSETS - 100.00%     $   121,366  
KLA-Tencor Corp 937   55                
Lam Research Corp 918   64                
Linear Technology Corp 1,379   65 (a) Non-Income Producing Security            
Microchip Technology Inc 1,161   57 (b) Security or a portion of the security was pledged to cover margin  
Micron Technology Inc (a) 6,212   168   requirements for futures contracts. At the end of the period, the value of  
NVIDIA Corp 2,977   62   these securities totaled $1,347 or 1.11% of net assets.          
Qualcomm Inc 9,512   660                
Skyworks Solutions Inc 1,100   108                
Texas Instruments Inc 6,038   345   Portfolio Summary (unaudited)          
Xilinx Inc 1,507   64 Sector           Percent  
  $   3,173 Consumer, Non-cyclical         20.34 %
Software - 3.49%       Financial         14.38 %
Adobe Systems Inc (a) 2,744   203 Exchange Traded Funds         13.15 %
Akamai Technologies Inc (a) 1,031   73 Technology         11.59 %
Autodesk Inc (a) 1,307   77 Communications         10.19 %
CA Inc 1,838   60 Consumer, Cyclical         9.21 %
Cerner Corp (a) 1,758   129 Industrial         9.00 %
Citrix Systems Inc (a) 921   59 Energy         7.01 %
Dun & Bradstreet Corp/The 207   27 Utilities         2.65 %
Electronic Arts Inc (a) 1,792   105 Basic Materials         2.48 %
Fidelity National Information Services Inc 1,643   112 Purchased Options         0.15 %
Fiserv Inc (a) 1,376   109 Diversified         0.03 %
Intuit Inc 1,595   155 Liabilities in Excess of Other Assets, Net         (0.18 )%
Microsoft Corp (b) 47,306   1,923 TOTAL NET ASSETS         100.00 %
Oracle Corp 18,485   798                
Paychex Inc 1,884   93                
Red Hat Inc (a) 1,057   80                
Salesforce.com Inc (a) 3,489   233                
  $   4,236                
 
Telecommunications - 2.79%                      
AT&T Inc 29,928   977                
CenturyLink Inc 3,266   113                
Cisco Systems Inc 29,435   810                
Frontier Communications Corp 5,780   41                
Harris Corp 600   47                
Juniper Networks Inc 2,088   47                
Level 3 Communications Inc (a) 1,653   89                
Motorola Solutions Inc 1,099   74                
Verizon Communications Inc 23,961   1,165                
Windstream Holdings Inc 3,475   26                
  $   3,389                
 
Textiles - 0.05%                      
Mohawk Industries Inc (a) 357   66                
 
 
Toys, Games & Hobbies - 0.07%                      
Hasbro Inc 645   41                
Mattel Inc 1,950   44                
  $   85                
 
Transportation - 1.46%                      
CH Robinson Worldwide Inc 843   62                
CSX Corp 5,711   189                
Expeditors International of Washington Inc 1,105   53                
FedEx Corp 1,519   251                
Kansas City Southern 636   65                
Norfolk Southern Corp 1,772   182                
Ryder System Inc 305   29                

 

See accompanying notes.

112

 

        Schedule of Investments                    
LargeCap S&P 500 Managed Volatility Index Account
March 31, 2015 (unaudited)
 
 
Futures Contracts
                              Unrealized  
Type   Long/Short Contracts Notional Value     Fair Value   Appreciation/(Depreciation)  
S&P 500 Emini; June 2015     Long   87 $   8,974 $   8,964 $ (10 )
Total                         $   (10 )
 
Amounts in thousands except contracts                                
 
 
Options
                Upfront Premiums             Unrealized  
Purchased Options Outstanding   Exercise Price Expiration Date Contracts   Paid/(Received)     Fair Value   Appreciation/(Depreciation)  
Call - S&P 500 Index $ 2,080.00 04/05/2015   80 $ 44   $ 34   $   (10 )
Call - S&P 500 Index $ 2,140.00 04/20/2015   15   11     3       (8 )
Put - S&P 500 Index $ 2,040.00 04/05/2015   100   85     21       (64 )
Put - S&P 500 Index $ 2,060.00 04/20/2015   60   134     132       (2 )
Total             $ 274   $ 190   $   (84 )
 
                Upfront Premiums             Unrealized  
Written Options Outstanding   Exercise Price Expiration Date Contracts   Paid/(Received)     Fair Value   Appreciation/(Depreciation)  
Call - S&P 500 Index $ 2,085.00 04/05/2015   80 $ (32 ) $ (25 ) $   7  
Call - S&P 500 Index $ 2,160.00 04/20/2015   15   (4 )   (1 )     3  
Put - S&P 500 Index $ 2,030.00 04/05/2015   100   (62 )   (12 )     50  
Put - S&P 500 Index $ 2,020.00 04/20/2015   60   (76 )   (65 )     11  
Total             $ (174 ) $ (103 ) $   71  
 
Amounts in thousands except contracts                                

 

See accompanying notes.

113

 

Schedule of Investments
LargeCap Value Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 99.62% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000 's)
 
Aerospace & Defense - 5.25%       Office & Business Equipment - 0.62%            
General Dynamics Corp 33,807 $ 4,589 Xerox Corp 79,572 $ 1,023  
L-3 Communications Holdings Inc 16,176   2,035                
United Technologies Corp 17,829   2,089 Oil & Gas - 10.96%            
  $   8,713 Chevron Corp 6,441       676  
Agriculture - 2.61%       Cimarex Energy Co 12,385       1,425  
Archer-Daniels-Midland Co 54,282   2,573 ConocoPhillips 46,194       2,876  
Philip Morris International Inc 23,183   1,746 EP Energy Corp (a) 45,192       474  
  $   4,319 Exxon Mobil Corp 83,138       7,067  
        Laredo Petroleum Inc (a) 41,038       535  
Airlines - 2.70%       Tesoro Corp 36,044       3,291  
Delta Air Lines Inc 38,692   1,740 Valero Energy Corp 28,657       1,823  
Southwest Airlines Co 61,952   2,744         $   18,167  
  $   4,484                
        Packaging & Containers - 0.76%            
Automobile Parts & Equipment - 1.19%       Rock-Tenn Co 19,398       1,251  
Lear Corp 17,853   1,979                
 
        Pharmaceuticals - 8.75%            
Banks - 16.72%       Cardinal Health Inc 49,887       4,503  
Goldman Sachs Group Inc/The 22,976   4,319 Johnson & Johnson 25,112       2,526  
JP Morgan Chase & Co 110,466   6,692 Pfizer Inc 215,024       7,481  
KeyCorp 250,119   3,542         $   14,510  
PNC Financial Services Group Inc/The 25,051   2,336                
SunTrust Banks Inc 62,040   2,549 REITS - 5.32%            
Wells Fargo & Co 152,519   8,297 Duke Realty Corp 97,282       2,118  
  $   27,735 Extra Space Storage Inc 27,079       1,830  
        General Growth Properties Inc 86,273       2,549  
Biotechnology - 1.51%       Simon Property Group Inc 11,880       2,324  
Amgen Inc 15,641   2,500         $   8,821  
 
        Retail - 4.30%            
Computers - 2.67%       Foot Locker Inc 38,818       2,445  
Amdocs Ltd 15,413   838 Kohl's Corp 13,121       1,027  
Western Digital Corp 39,509   3,596 Macy's Inc (b) 28,264       1,835  
  $   4,434 Target Corp 22,236       1,825  
Electric - 6.27%               $   7,132  
Edison International 13,379   836 Semiconductors - 2.61%            
Exelon Corp 40,810   1,371 Broadcom Corp 47,271       2,046  
PG&E Corp 64,609   3,429 Intel Corp 72,966       2,282  
PPL Corp 59,683   2,009         $   4,328  
Public Service Enterprise Group Inc 65,748   2,756                
  $   10,401 Software - 2.96%            
        Electronic Arts Inc (a) 36,503       2,147  
Electrical Components & Equipment - 0.77%       Microsoft Corp 68,064       2,767  
Emerson Electric Co 22,584   1,279         $   4,914  
 
        Telecommunications - 2.10%            
Food - 3.88%       AT&T Inc 19,374       633  
Kroger Co/The 54,281   4,161 Cisco Systems Inc 103,550       2,850  
Tyson Foods Inc 59,231   2,269         $   3,483  
  $   6,430 TOTAL COMMON STOCKS     $   165,211  
Healthcare - Products - 0.92%       INVESTMENT COMPANIES - 0.40% Shares Held Value (000 's)
St Jude Medical Inc 23,410   1,531 Publicly Traded Investment Fund - 0.40%            
        BlackRock Liquidity Funds FedFund Portfolio 663,372       663  
Healthcare - Services - 4.26%                      
Aetna Inc 31,157   3,319 TOTAL INVESTMENT COMPANIES     $   663  
Anthem Inc 24,257   3,746 Total Investments     $   165,874  
  $   7,065 Liabilities in Excess of Other Assets, Net - (0.02)%   $   (35 )
 
Insurance - 8.21%       TOTAL NET ASSETS - 100.00%     $   165,839  
American International Group Inc 40,792   2,235                
Berkshire Hathaway Inc - Class B (a) 50,972   7,356                
        (a) Non-Income Producing Security            
Lincoln National Corp 6,421   369 (b) Security or a portion of the security was pledged to cover margin  
PartnerRe Ltd 22,745   2,600   requirements for futures contracts. At the end of the period, the value of  
Reinsurance Group of America Inc 11,369   1,060   these securities totaled $811 or 0.49% of net assets.          
  $   13,620                
 
Media - 2.77%                      
Comcast Corp - Class A 56,422   3,186                
Time Warner Inc 16,556   1,398                
  $   4,584                
 
Miscellaneous Manufacturing - 1.51%                      
Danaher Corp 29,546   2,508                

 

See accompanying notes.

114

 

  Schedule of Investments  
  LargeCap Value Account  
  March 31, 2015 (unaudited)  
 
 
Portfolio Summary (unaudited)    
Sector Percent  
Financial 30.25 %
Consumer, Non-cyclical 21.93 %
Energy 10.96 %
Technology 8.86 %
Industrial 8.29 %
Consumer, Cyclical 8.19 %
Utilities 6.27 %
Communications 4.87 %
Exchange Traded Funds 0.40 %
Liabilities in Excess of Other Assets, Net (0.02 )%
TOTAL NET ASSETS 100.00 %

 

See accompanying notes.

115

 

Schedule of Investments
MidCap Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 100.18% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Aerospace & Defense - 1.67%       Insurance (continued)      
Rockwell Collins Inc 49,448 $ 4,774 Aon PLC 159,818 $ 15,362
TransDigm Group Inc 33,123   7,245 Arch Capital Group Ltd (a) 56,497   3,480
  $   12,019 Brown & Brown Inc 236,289   7,824
        Loews Corp 287,162   11,725
Automobile Parts & Equipment - 0.04%       Markel Corp (a) 27,180   20,900
Remy International Inc 12,033   267 Progressive Corp/The 146,842   3,994
        White Mountains Insurance Group Ltd 8,143   5,574
Banks - 1.08%       Willis Group Holdings PLC 123,019   5,927
M&T Bank Corp 61,140   7,765   $   78,020
        Internet - 4.55%      
Building Materials - 1.66%       Liberty Interactive Corp (a) 420,699   12,280
Armstrong World Industries Inc (a) 37,832   2,174 Liberty Ventures (a) 219,577   9,224
Martin Marietta Materials Inc 69,700   9,744 VeriSign Inc (a) 167,383   11,210
  $   11,918   $   32,714
 
Chemicals - 5.21%       Lodging - 1.35%      
Air Products & Chemicals Inc 104,429   15,798 Wyndham Worldwide Corp 64,175   5,806
Airgas Inc 77,461   8,219 Wynn Resorts Ltd 30,762   3,872
Ashland Inc 57,676   7,343   $   9,678
Ecolab Inc 41,821   4,784        
Platform Specialty Products Corp (a) 49,996   1,283 Machinery - Diversified - 1.27%      
        Roper Industries Inc 52,985   9,114
  $   37,427        
 
Commercial Services - 7.74%       Media - 7.54%      
CDK Global Inc 18,749   877 Discovery Communications Inc - C Shares (a) 360,213   10,617
KAR Auction Services Inc 230,587   8,746 FactSet Research Systems Inc 25,642   4,082
Live Nation Entertainment Inc (a) 209,118   5,276 Liberty Broadband Corp - A Shares (a) 42,146   2,380
Macquarie Infrastructure Co LLC 109,065   8,975 Liberty Broadband Corp - C Shares (a) 104,857   5,935
McGraw Hill Financial Inc 74,549   7,708 Liberty Global PLC - A Shares (a) 82,850   4,264
Moody's Corp 132,037   13,705 Liberty Global PLC - C Shares (a) 234,451   11,678
Robert Half International Inc 56,017   3,390 Liberty Media Corp - A Shares (a) 127,959   4,933
Verisk Analytics Inc (a) 97,010   6,927 Liberty Media Corp - C Shares (a) 244,280   9,332
  $   55,604 Tribune Media Co 16,275   990
Distribution & Wholesale - 1.09%         $   54,211
Fastenal Co 124,621   5,164 Miscellaneous Manufacturing - 1.31%      
HD Supply Holdings Inc (a) 86,432   2,693 Colfax Corp (a) 197,155   9,410
  $   7,857        
 
Diversified Financial Services - 2.94%       Oil & Gas - 3.14%      
Charles Schwab Corp/The 321,873   9,798 Cheniere Energy Inc (a) 21,540   1,667
FNF Group 225,839   8,302 Cimarex Energy Co 54,378   6,258
FNFV Group (a) 67,482   952 EOG Resources Inc 79,567   7,296
LPL Financial Holdings Inc 47,388   2,078 Hess Corp 108,210   7,344
  $   21,130   $   22,565
 
Electric - 1.46%       Packaging & Containers - 0.40%      
Brookfield Infrastructure Partners LP 148,469   6,761 MeadWestvaco Corp 57,222   2,854
Brookfield Renewable Energy Partners LP/CA 52,498   1,657        
Calpine Corp (a) 89,067   2,037        
  $   10,455 Pharmaceuticals - 5.93%      
        Mead Johnson Nutrition Co 90,554   9,104
Electronics - 0.95%       Valeant Pharmaceuticals International Inc (a) 111,330   22,112
Sensata Technologies Holding NV (a) 118,561   6,811 Zoetis Inc 245,344   11,357
          $   42,573
 
Engineering & Construction - 1.33%       Pipelines - 2.90%      
SBA Communications Corp (a) 81,907   9,591 Kinder Morgan Inc/DE 248,221   10,440
        Kinder Morgan Inc/DE - Warrants (a) 88,999   365
Healthcare - Products - 2.32%       Williams Cos Inc/The 198,667   10,051
Becton Dickinson and Co 52,971   7,606   $   20,856
CR Bard Inc 54,295   9,086 Private Equity - 0.59%      
  $   16,692 Onex Corp 73,441   4,269
Healthcare - Services - 0.78%              
DaVita HealthCare Partners Inc (a) 35,929   2,920 Real Estate - 7.27%       
Laboratory Corp of America Holdings (a) 21,044   2,654 Brookfield Asset Management Inc 525,420   28,168
  $   5,574 Brookfield Property Partners LP 104,922   2,544
        CBRE Group Inc (a) 203,763   7,888
Holding Companies - Diversified - 1.74%       Forest City Enterprises Inc (a) 280,339   7,154
Leucadia National Corp 353,867 7,888
Liberty TripAdvisor Holdings Inc (a) 145,825   4,636 Howard Hughes Corp/The (a) 41,956   6,504
  $   12,524   $   52,258
 
Insurance - 10.86%              
Alleghany Corp (a) 6,641   3,234        

 

See accompanying notes.

116

 

          Schedule of Investments  
          MidCap Account  
          March 31, 2015 (unaudited)  
 
 
COMMON STOCKS (continued) Shares Held Value (000 's)
 
REITS - 1.40%            
Crown Castle International Corp 121,510 $ 10,030  
 
Retail - 12.75%            
AutoZone Inc (a) 18,213       12,424  
CarMax Inc (a) 153,078       10,564  
Copart Inc (a) 134,915       5,069  
Dollar General Corp 123,847       9,335  
O'Reilly Automotive Inc (a) 90,699       19,613  
Restaurant Brands International Inc 289,642       11,125  
Restaurant Brands International LP 3,000       110  
Ross Stores Inc 68,754       7,244  
TJX Cos Inc/The 230,570       16,151  
      $   91,635  
 
Semiconductors - 1.21%            
Microchip Technology Inc 178,101       8,709  
 
 
Software - 4.50%            
Adobe Systems Inc (a) 106,453       7,871  
Fidelity National Information Services Inc 160,049       10,893  
Intuit Inc 94,094       9,123  
MSCI Inc 72,027       4,416  
      $   32,303  
 
Telecommunications - 1.85%            
EchoStar Corp (a) 91,471       4,731  
Motorola Solutions Inc 128,203       8,547  
      $   13,278  
 
Textiles - 1.35%            
Mohawk Industries Inc (a) 52,386       9,731  
 
TOTAL COMMON STOCKS     $   719,842  
INVESTMENT COMPANIES - 0.13% Shares Held Value (000 's)
 
Publicly Traded Investment Fund - 0.13%            
BlackRock Liquidity Funds FedFund Portfolio 911,212       911  
 
TOTAL INVESTMENT COMPANIES     $   911  
Total Investments     $   720,753  
Liabilities in Excess of Other Assets, Net - (0.31)%   $   (2,212 )
TOTAL NET ASSETS - 100.00%     $   718,541  
 
 
(a) Non-Income Producing Security            
 
 
 
Portfolio Summary (unaudited)          
Sector         Percent  
Financial         24.14 %
Consumer, Non-cyclical         16.77 %
Consumer, Cyclical         16.58 %
Communications         13.94 %
Industrial         8.59 %
Energy         6.04 %
Technology         5.71 %
Basic Materials         5.21 %
Diversified         1.74 %
Utilities         1.46 %
Exchange Traded Funds         0.13 %
Liabilities in Excess of Other Assets, Net         (0.31 )%
TOTAL NET ASSETS         100.00 %

 

See accompanying notes.

117

 

Schedule of Investments
Money Market Account
March 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 5.35%   Shares Held Value (000's)         Principal    
                BONDS (continued)     Amount (000's) Value (000's)
  Publicly Traded Investment Fund - 5.35%                        
  BlackRock Liquidity Funds TempFund   5,000,000 $ 5,000   Other Asset Backed Securities (continued)          
  Portfolio             GE Equipment Midticket LLC Series 2014-1          
  Deutsche Money Market Series   2,900,000   2,900   0.20%, 09/22/2015(a)   $ 116 $ 116
  Morgan Stanley Institutional Liquidity Funds -   2,700,000   2,700   GE Equipment Transportation LLC Series          
  Government Portfolio             2015-1          
  STIT - Liquid Assets Portfolio   4,100,000   4,100   0.25%, 03/23/2016(a)     1,410   1,410
        $   14,700   GreatAmerica Leasing Receivables          
  TOTAL INVESTMENT COMPANIES     $   14,700   0.40%, 03/21/2016(a),(b)     600   600
      Principal       John Deere Owner Trust 2015          
                0.27%, 04/01/2016(a)     1,700   1,700
BONDS- 8.91 % Amount (000's) Value (000's)              
                Kubota Credit Owner Trust 2015-1          
  Automobile Asset Backed Securities - 4.43%         0.27%, 02/16/2016(a),(b)     914   914
  Ally Auto Receivables Trust 2014-2             Macquarie Equipment Funding Trust 2014-A          
  0.20%, 10/15/2015(a)   $ 244 $ 244   0.26%, 09/21/2015(b)     472   472
  Ally Auto Receivables Trust 2014-SN2                   $   6,510
  0.25%, 10/20/2015(a)     329   329   TOTAL BONDS     $   24,502
  AmeriCredit Automobile Receivables 2015-1                   Principal    
  0.30%, 01/08/2016(a)     952   952              
                MUNICIPAL BONDS - 6.70%     Amount (000's) Value (000's)
  Bank of The West Auto Trust 2014-1                        
  0.25%, 11/16/2015(b)     656   656   California - 0.05%          
  CarMax Auto Owner Trust 2015-1             California Statewide Communities          
  0.24%, 03/15/2016(a)     1,272   1,272   Development Authority (credit support from          
  Chrysler Capital Auto Receivables Trust 2014-             Fannie Mae)          
  B             0.14%, 04/08/2015(d)   $ 140 $ 140
  0.20%, 10/15/2015(a),(b)     23   23              
  Enterprise Fleet Financing LLC             Colorado - 0.87%          
  0.25%, 08/20/2015(b)     273   273              
                City of Colorado Springs CO Utilities System          
  Ford Credit Auto Owner Trust 2014-C             Revenue (credit support from Bank of New          
  0.23%, 12/15/2015     541   541   York Mellon)          
  GM Financial Automobile Leasing Trust             0.17%, 04/08/2015(d)     1,600   1,600
  2015-1             Colorado Housing & Finance          
  0.38%, 03/21/2016(a)     1,200   1,200              
                Authority (credit support from Federal Home          
  Harley-Davidson Motorcycle Trust 2015-1             Loan Bank)          
  0.25%, 02/16/2016(a)     843   843   0.11%, 04/08/2015(a),(d)     800   800
  Hyundai Auto Receivables Trust 2015-A                   $   2,400
  0.24%, 01/15/2016(a)     1,184   1,184              
  Mercedes Benz Auto Lease Trust 2015-A             Illinois - 0.07%          
  0.24%, 01/15/2016(a)     1,574   1,574   Memorial Health System/IL (credit support          
  Nissan Auto Lease Trust 2014-B             from JP Morgan Chase & Co)          
  0.20%, 10/15/2015(a)     663   663   0.06%, 04/08/2015(d)     200   200
  Santander Drive Auto Receivables Trust 2014-                        
  5             Indiana - 0.15%          
  0.27%, 12/15/2015     471   471   Ball State University Foundation Inc (credit          
  Volkswagen Auto Lease Trust 2015-A                        
  0.25%, 03/21/2016(a)     1,020   1,020   support from US Bank)          
                0.08%, 04/01/2015(d)     400   400
  Volkswagen Auto Loan Enhanced Trust 2014-                        
  2                        
  0.20%, 10/20/2015(a)     496   496 Iowa- 0.18 %        
  World Omni Auto Receivables Trust 2014-B             Iowa Finance Authority (credit support from          
  0.23%, 11/16/2015     270   270   FHLB 100%, Fannie Mae 78.25% and Ginnie          
  World Omni Automobile Lease Securitization             Mae 21.75%)          
  Trust 2014-A             0.10%, 04/08/2015(d)     500   500
  0.20%, 10/09/2015     181   181              
        $   12,192   Minnesota - 0.40%          
Banks- 0.65 %           Minnesota Housing Finance Agency (credit          
  Wells Fargo Bank NA             support from Wells Fargo)          
  0.40%, 04/21/2016(a)     1,800   1,800   0.17%, 04/08/2015(d)     1,100   1,100
 
 
  Diversified Financial Services - 0.73%             New Mexico - 0.44%          
  MetLife Inc             Village of Los Lunas NM (credit support from          
  0.33%, 08/17/2015(a),(c)     2,000   2,000   Wells Fargo)          
                0.22%, 04/08/2015(d)     1,200   1,200
 
  Insurance - 0.73%                        
  New York Life Global             New York - 3.25%          
  0.22%, 07/24/2015(a),(c)     2,000   2,000   Housing Development Corp/NY (credit          
                support from Fannie Mae)          
                0.08%, 04/08/2015(d)     2,150   2,150
  Other Asset Backed Securities - 2.37%             Housing Development Corp/NY (credit          
  CIT Equipment Collateral 2014-VT1             support from Freddie Mac)          
  0.30%, 12/21/2015(a),(b)     1,053   1,053   0.07%, 04/08/2015(d)     1,320   1,320
  Dell Equipment Finance Trust 2014-1                        
  0.26%, 08/14/2015(b)     245   245              

 

See accompanying notes.

118

 

Schedule of Investments
Money Market Account
March 31, 2015 (unaudited)
 
 
        Principal         Principal    
  MUNICIPAL BONDS (continued)     Amount (000's) Value (000's) COMMERCIAL PAPER (continued)   Amount (000's) Value (000's)
 
  New York (continued)           Banks (continued)        
  New York State Housing Finance           Mizuho Funding LLC (credit support from        
  Agency (credit support from Fannie Mae)           Mizuho Corp Bank Ltd)        
  0.07%, 04/08/2015(d)   $ 900 $ 900 0.25%, 04/06/2015(b),(d) $ 2,200 $ 2,200
  0.09%, 04/08/2015(d)     1,560   1,560 MUFG Union Bank NA        
  0.19%, 04/08/2015(d)     1,700   1,700 0.12%, 05/06/2015   2,200   2,200
  New York State Housing Finance           0.18%, 05/11/2015   2,300   2,299
  Agency (credit support from Freddie Mac)           Nordea Bank AB        
  0.07%, 04/08/2015(d)     1,300   1,300 0.18%, 06/30/2015(b),(e)   2,000   1,999
        $   8,930 Oversea-Chinese Banking Corp Ltd        
              0.17%, 06/10/2015(e)   2,300   2,299
  North Carolina - 0.31%           PNC Bank NA        
  City of Raleigh NC (credit support from           0.28%, 06/22/2015   1,600   1,599
  Wells Fargo)           Skandinaviska Enskilda Banken AB        
  0.17%, 04/08/2015(d)     840   840          
              0.17%, 05/01/2015(b),(e)   2,200   2,200
              0.23%, 06/19/2015(b),(e)   2,000   1,999
  Pennsylvania - 0.24%           0.26%, 08/07/2015(b),(e)   2,000   1,998
  Luzerne County Industrial Development           Societe Generale SA        
  Authority (credit support from Wells Fargo)           0.17%, 05/01/2015(b),(e)   1,750   1,750
  0.22%, 04/08/2015(d)     670   670 0.20%, 05/12/2015(b),(e)   2,200   2,199
              Standard Chartered Bank/New York        
              0.22%, 04/22/2015(b)   1,300   1,300
Texas - 0.58 %         0.26%, 06/18/2015(b)   2,100   2,099
  South Central Texas Industrial Development           Sumitomo Mitsui Banking Corp        
  Corp (credit support from JP Morgan Chase &           0.24%, 04/08/2015(b),(e)   2,000   2,000
  Co)           0.24%, 06/26/2015(b),(e)   2,100   2,099
  0.07%, 04/08/2015(d)     1,600   1,600          
              0.25%, 04/24/2015(b),(e)   2,000   2,000
              United Overseas Bank Ltd        
  Washington - 0.16%           0.21%, 04/13/2015(b),(e)   2,200   2,200
  Washington State Housing Finance               $   55,137
  Commission (credit support from Bank of                    
  America)           Chemicals - 0.76%        
  0.12%, 04/08/2015(d)     440   440 EI du Pont de Nemours & Co        
              0.12%, 04/01/2015(b)   2,100   2,100
 
  TOTAL MUNICIPAL BONDS     $   18,420          
        Principal     Commercial Services - 2.11%        
  COMMERCIAL PAPER - 69.93%     Amount (000's) Value (000's) Catholic Health Initiatives        
              0.12%, 04/21/2015   2,300   2,300
  Aerospace & Defense - 0.80%           0.15%, 05/27/2015   1,500   1,499
  United Technologies Corp           0.20%, 06/17/2015   2,000   1,999
  0.10%, 04/22/2015(b)   $ 2,200 $ 2,200          
                  $   5,798
 
              Consumer Products - 0.73%        
  Agriculture - 0.73%           Reckitt Benckiser Treasury Services        
  Cargill Inc           PLC (credit support from Reckitt Benckiser        
  0.07%, 04/01/2015(b)     2,000   2,000          
              Group)        
              0.12%, 04/08/2015(b),(d)   2,000   2,000
  Automobile Manufacturers - 2.73%                    
  BMW US Capital LLC (credit support from           Diversified Financial Services - 28.18%        
  BMW AG)           Alpine Securitization Corp        
  0.10%, 04/30/2015(b),(d)     2,000   2,000          
              0.18%, 04/27/2015(b)   2,000   2,000
  VW Credit Inc (credit support from           0.26%, 04/01/2015(b)   2,100   2,100
  Volkswagen AG)           0.26%, 06/01/2015(b)   2,000   1,999
  0.05%, 04/01/2015(b),(d)     5,500   5,500          
              Anglesea Funding LLC        
        $   7,500 0.16%, 04/01/2015(b)   2,200   2,200
Banks - 20.05 %         AXA Financial Inc (credit support from AXA        
  Bank of Tokyo-Mitsubishi UFJ Ltd/New York           SA)        
  NY           0.25%, 05/04/2015(b),(d)   1,300   1,300
  0.14%, 04/10/2015     1,500   1,500 BNP Paribas Finance Inc (credit support from        
  0.22%, 04/29/2015     2,200   2,199 BNP Paribas)        
  0.24%, 05/22/2015     1,000   999 0.19%, 05/18/2015(d)   2,000   1,999
  Credit Suisse/New York NY           0.23%, 05/07/2015(d)   2,000   1,999
  0.17%, 04/13/2015     1,800   1,800 0.24%, 06/25/2015(d)   2,200   2,199
  0.26%, 04/16/2015     1,400   1,400 Collateralized Commercial Paper Co LLC        
  0.26%, 04/21/2015     2,100   2,100 0.20%, 04/27/2015   1,700   1,700
  DNB Bank ASA           Collateralized Commercial Paper II Co LLC        
  0.20%, 04/28/2015(b),(e)     2,200   2,200 0.20%, 05/22/2015(b)   2,000   1,999
  Manhattan Asset Funding Co LLC           0.20%, 07/06/2015(b)   1,000   999
  0.17%, 04/09/2015(b)     2,500   2,500 0.23%, 04/07/2015(b)   1,100   1,100
  0.19%, 04/17/2015(b)     2,000   2,000 Dealers Capital Access Trust Inc        
  0.20%, 04/20/2015(b)     2,200   2,200 0.25%, 04/10/2015   2,000   2,000
  Mitsubishi UFJ Trust & Banking Corp/NY           0.25%, 04/14/2015   2,200   2,200
  0.23%, 05/27/2015(b)     1,800   1,799 0.25%, 04/16/2015   2,100   2,100

 

See accompanying notes.

119

 

Schedule of Investments
Money Market Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal          
COMMERCIAL PAPER (continued)   Amount (000's) Value (000's) COMMERCIAL PAPER (continued)   Amount (000's) Value(000 's)
 
Diversified Financial Services (continued)         REITS - 2.18%                
Fairway Finance LLC         Simon Property Group LP                
0.13%, 04/28/2015(b) $ 1,500 $ 1,500   0.11%, 04/27/2015(b)   $ 1,500 $ 1,500  
Gotham Funding Corp           0.13%, 04/13/2015(b)     1,000   1,000  
0.15%, 04/07/2015(b)   2,200   2,200   0.13%, 04/27/2015(b)     1,300   1,300  
0.15%, 05/04/2015(b)   1,000   1,000   0.17%, 05/13/2015(b)     2,200   2,199  
0.16%, 04/09/2015(b)   1,400   1,400             $   5,999  
0.16%, 05/15/2015(b)   2,000   2,000                    
ING US Funding LLC (credit support from         Supranational Bank - 0.73%                
ING Bank)         Corp Andina de Fomento                
            0.13%, 04/01/2015(b)     2,000   2,000  
0.22%, 05/08/2015(d)   2,000   1,999                    
0.24%, 06/03/2015(d)   2,000   1,999                    
0.27%, 06/12/2015(d)   2,000   1,999 Telecommunications - 1.53%                
Intercontinental Exchange Inc         Telstra Corp Ltd                
0.16%, 04/02/2015(b)   2,100   2,100   0.19%, 06/10/2015(b)     2,000   1,999  
0.16%, 04/09/2015(b)   2,000   2,000   0.20%, 06/23/2015(b)     2,200   2,199  
0.17%, 04/14/2015(b)   2,100   2,100             $   4,198  
JP Morgan Securities LLC         TOTAL COMMERCIAL PAPER         $   192,264  
0.30%, 08/19/2015   2,100   2,097         Principal          
Liberty Street Funding LLC         CERTIFICATE OF DEPOSIT - 2.76%   Amount (000's) Value(000 's)
0.16%, 05/13/2015(b)   1,000   1,000                    
0.16%, 05/26/2015(b)   1,600   1,600 Banks - 2.76%                
0.18%, 04/20/2015(b)   2,000   2,000 Bank of America NA                
0.18%, 04/23/2015(b)   2,000   2,000   0.20%, 05/14/2015     2,000   2,000  
Nieuw Amsterdam Receivables Corp           0.21%, 04/14/2015     2,200   2,200  
0.15%, 04/15/2015(b)   2,100   2,100   0.21%, 06/19/2015     2,000   2,000  
0.15%, 04/17/2015(b)   2,000   2,000 Bank of Nova Scotia/Houston                
0.15%, 05/15/2015(b)   500   500   0.42%, 04/08/2016(a),(e)     1,400   1,400  
0.16%, 04/08/2015(b)   2,100   2,100             $   7,600  
Regency Markets No. 1 LLC         TOTAL CERTIFICATE OF DEPOSIT         $   7,600  
0.15%, 04/20/2015(b)   1,900   1,900         Maturity          
0.16%, 04/29/2015(b)   3,900   3,899 REPURCHASE AGREEMENTS - 4.55%   Amount (000's) Value(000 's)
Sheffield Receivables Corp                            
0.16%, 04/06/2015(b)   2,000   2,000 Banks - 4.55%                
0.16%, 04/16/2015(b)   1,000   1,000 Merrill Lynch Repurchase Agreement; 0.07% $ 12,520   $   12,520  
0.18%, 04/10/2015(b)   2,000   2,000   dated 03/31/2015 maturing 04/01/2015                
0.25%, 06/10/2015(b)   1,500   1,499   (collateralized by US Government                
Thunder Bay Funding LLC           Security; $12,770,400; 0.00%; dated                
0.21%, 07/16/2015(b)   1,600   1,599   08/15/26 )              
 
    $   77,485 TOTAL REPURCHASE AGREEMENTS         $   12,520  
Electric - 4.89%         Total Investments         $   270,006  
GDF Suez         Other Assets in Excess of Liabilities, Net - 1.80%   $   4,939  
0.17%, 04/13/2015(b)   2,200   2,200 TOTAL NET ASSETS - 100.00%         $   274,945  
0.18%, 04/02/2015(b)   2,000   2,000                    
0.20%, 05/26/2015(b)   1,750   1,749                    
Oglethorpe Power Corp         (a) Variable Rate. Rate shown is in effect at March 31, 2015.          
0.17%, 05/11/2015(b)   2,000   2,000 (b) Security exempt from registration under Rule 144A of the Securities Act of  
0.23%, 05/20/2015(b)   1,800   1,799   1933. These securities may be resold in transactions exempt from  
Southern Co Funding Corp           registration, normally to qualified institutional buyers. At the end of the  
0.20%, 04/02/2015(b)   1,900   1,900   period, the value of these securities totaled $150,016 or 54.56% of net  
0.23%, 04/01/2015(b)   1,800   1,800   assets.                
    $   13,448 (c) Security is Illiquid                
          (d) Credit support indicates investments that benefit from credit enhancement  
Insurance - 1.64%           or liquidity support provided by a third party bank, institution, or  
Prudential PLC           government agency.                
0.15%, 04/07/2015(b)   500   500                    
0.19%, 04/07/2015(b)   2,000   2,000 (e) Security issued by foreign bank and denominated in USD.          
0.22%, 06/09/2015(b)   2,000   1,999                    
    $   4,499                    
 
Miscellaneous Manufacturing - 1.31%                            
Dover Corp                            
0.11%, 04/06/2015(b)   1,300   1,300                    
Illinois Tool Works Inc                            
0.10%, 04/01/2015(b)   2,300   2,300                    
    $   3,600                    
 
Pipelines - 1.56%                            
Questar Corp                            
0.10%, 04/03/2015(b)   2,300   2,300                    
0.13%, 04/17/2015(b)   2,000   2,000                    
    $   4,300                    

 

See accompanying notes.

120

 

  Schedule of Investments  
  Money Market Account  
  March 31, 2015 (unaudited)  
 
 
Portfolio Summary (unaudited)    
Sector Percent  
Financial 61.47 %
Asset Backed Securities 6.80 %
Insured 6.70 %
Exchange Traded Funds 5.35 %
Utilities 4.89 %
Consumer, Non-cyclical 3.57 %
Consumer, Cyclical 2.73 %
Industrial 2.11 %
Energy 1.56 %
Communications 1.53 %
Basic Materials 0.76 %
Government 0.73 %
Other Assets in Excess of Liabilities, Net 1.80 %
TOTAL NET ASSETS 100.00 %

 

See accompanying notes.

121

 

Schedule of Investments
Principal Capital Appreciation Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 97.71% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Aerospace & Defense - 2.89%       Cosmetics & Personal Care - 0.66%      
Boeing Co/The 4,244 $ 637 Procter & Gamble Co/The 3,259 $ 267
Northrop Grumman Corp 1,910   308        
Teledyne Technologies Inc (a) 2,112   225        
        Distribution & Wholesale - 0.48%      
  $   1,170 Pool Corp 2,812   196
Airlines - 0.41%              
Alaska Air Group Inc 1,742   115 Diversified Financial Services - 3.52%      
Cathay Pacific Airways Ltd ADR 4,625   53 Ameriprise Financial Inc 1,336   175
  $   168 Charles Schwab Corp/The 14,161   431
Apparel - 1.89%       FNF Group 6,206   228
Nike Inc 6,673   670 Franklin Resources Inc 8,133   418
Ralph Lauren Corp 747   98 T Rowe Price Group Inc 2,190   177
  $   768   $   1,429
 
Automobile Manufacturers - 0.94%       Electric - 1.21%      
Nissan Motor Co Ltd ADR 738   15 Duke Energy Corp 2,910   224
PACCAR Inc 5,836   368 Edison International 1,635   102
  $   383 Xcel Energy Inc 4,747   165
          $   491
Automobile Parts & Equipment - 1.55%              
Autoliv Inc 2,280   269 Electronics - 3.06%      
Johnson Controls Inc 7,140   360 Corning Inc 7,643   173
  $   629 FEI Co 1,391   106
        FLIR Systems Inc 2,088   65
Banks - 6.65%       Thermo Fisher Scientific Inc 2,639   355
East West Bancorp Inc 4,886   198 Trimble Navigation Ltd (a) 4,704   119
Goldman Sachs Group Inc/The 1,008   190 Waters Corp (a) 3,418   425
JP Morgan Chase & Co 7,169   434   $   1,243
PNC Financial Services Group Inc/The 3,678   343        
State Street Corp 1,840   135 Engineering & Construction - 0.46%      
SVB Financial Group (a) 1,700   216 Granite Construction Inc 2,139   75
        Jacobs Engineering Group Inc (a) 2,467   112
US Bancorp/MN 8,857   387        
Wells Fargo & Co 14,600   794   $   187
  $   2,697 Environmental Control - 0.52%      
Beverages - 1.71%       Waste Connections Inc 4,358   210
Ambev SA ADR 14,716   85        
Brown-Forman Corp 1,953   176 Food - 2.79%      
Coca-Cola Co/The 7,228   293 Dairy Farm International Holdings Ltd ADR 2,229   105
PepsiCo Inc 1,472   141 Darling Ingredients Inc (a) 1,720   24
  $   695 General Mills Inc 3,943   223
Biotechnology - 0.68%       Kroger Co/The 4,301   330
Gilead Sciences Inc (a) 2,792   274 McCormick & Co Inc/MD 2,844   219
        Whole Foods Market Inc 4,430   231
          $   1,132
Building Materials - 0.42%              
Apogee Enterprises Inc 3,923   169 Gas - 1.55%      
        Sempra Energy 5,762   628
 
Chemicals - 2.47%              
Axiall Corp 982   46 Healthcare - Products - 2.86%      
EI du Pont de Nemours & Co 3,895   278 Becton Dickinson and Co 2,266   325
FMC Corp 2,882   165 Bio-Techne Corp 1,943   195
        Edwards Lifesciences Corp (a) 1,577   225
International Flavors & Fragrances Inc 2,326   273 Halyard Health Inc (a) 2,702   133
PPG Industries Inc 1,055   238        
  $   1,000 Medtronic PLC 1,622   127
        Varian Medical Systems Inc (a) 1,652   155
Commercial Services - 0.70%         $   1,160
Robert Half International Inc 2,430   147        
TrueBlue Inc (a) 5,590   136 Healthcare - Services - 1.48%      
        DaVita HealthCare Partners Inc (a) 3,459   281
  $   283        
        Universal Health Services Inc 2,718   320
Computers - 5.27%         $   601
Apple Inc 10,808   1,345        
EMC Corp/MA 13,564   347 Housewares - 0.33%      
International Business Machines Corp 2,208   354 Tupperware Brands Corp 1,944   134
Teradata Corp (a) 2,053   91        
  $   2,137 Insurance - 2.83%      
Consumer Products - 0.78%       ACE Ltd 2,346   262
Kimberly-Clark Corp 1,362   146 Chubb Corp/The 1,287   130
WD-40 Co 1,920   170 HCC Insurance Holdings Inc 6,064   344
        MetLife Inc 2,835   143
  $   316 StanCorp Financial Group Inc 512   35
        XL Group PLC 6,315   232
          $   1,146

 

See accompanying notes.

122

 

Schedule of Investments
Principal Capital Appreciation Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000 's)
 
Internet - 2.91%       REITS (continued)            
Amazon.com Inc (a) 1,023 $ 380 Essex Property Trust Inc 803 $ 184  
eBay Inc (a) 2,662   153 HCP Inc 3,888       168  
Google Inc - A Shares (a) 607   337 Plum Creek Timber Co Inc 7,706       335  
Google Inc - C Shares (a) 452   248 Sabra Health Care REIT Inc 3,422       113  
LinkedIn Corp (a) 251   63 Ventas Inc 3,247       237  
  $   1,181 Weyerhaeuser Co 3,044       101  
 
Iron & Steel - 0.72%             $   1,412  
Reliance Steel & Aluminum Co 3,422   209 Retail - 6.76%            
Schnitzer Steel Industries Inc 5,108   81 Copart Inc (a) 6,156       231  
  $   290 Costco Wholesale Corp 4,758       721  
        CVS Health Corp 4,780       493  
Leisure Products & Services - 0.83%       Home Depot Inc/The 2,659       302  
Carnival Corp 2,975   143 Nordstrom Inc 5,526       444  
Harley-Davidson Inc 3,214   195 Starbucks Corp 5,808       550  
  $   338       $   2,741  
 
Lodging - 0.06%       Savings & Loans - 0.47%            
Red Lion Hotels Corp (a) 3,882   26              
        Washington Federal Inc 8,750       191  
 
Machinery - Construction & Mining - 0.25%       Semiconductors - 3.65%            
Caterpillar Inc 1,262   101 Altera Corp 6,280       269  
        Applied Materials Inc 8,673       196  
Machinery - Diversified - 1.03%       Avago Technologies Ltd 1,080       137  
AGCO Corp 261   12 Intel Corp 7,034       220  
Deere & Co 4,601   404 Lam Research Corp 3,001       211  
  $   416 Microchip Technology Inc 5,280       258  
        Qualcomm Inc 2,704       188  
Media - 2.25%             $   1,479  
Viacom Inc 3,842   262              
Walt Disney Co/The 6,193   650 Software - 6.55%            
  $   912 Adobe Systems Inc (a) 7,489       554  
        Autodesk Inc (a) 2,595       152  
Metal Fabrication & Hardware - 0.48%       Fair Isaac Corp 3,607       320  
Precision Castparts Corp 923   194 Informatica Corp (a) 3,831       168  
        Microsoft Corp 15,380       625  
Mining - 0.09%       Omnicell Inc (a) 3,668       129  
Freeport-McMoRan Inc 1,871   35 Oracle Corp 11,986       517  
        Tyler Technologies Inc (a) 1,577       190  
              $   2,655  
Miscellaneous Manufacturing - 1.73%                    
AptarGroup Inc 3,520   224 Telecommunications - 2.41%            
Crane Co 2,278   142 China Mobile Ltd ADR 2,102       137  
General Electric Co 13,500   335 Cisco Systems Inc 7,375       203  
  $   701 Polycom Inc (a) 5,939       79  
        Verizon Communications Inc 11,516       560  
Oil & Gas - 5.97%             $   979  
Apache Corp 4,013   242              
Chevron Corp 5,207   547 Toys, Games & Hobbies - 0.65%            
Devon Energy Corp 4,804   290 Hasbro Inc 2,837       179  
Energen Corp 2,713   179 Mattel Inc 3,655       84  
Exxon Mobil Corp 8,299   705       $   263  
HollyFrontier Corp 3,022   122              
Occidental Petroleum Corp 4,630   338 Transportation - 1.51%            
        Expeditors International of Washington Inc 6,365       306  
  $   2,423 Union Pacific Corp 2,841       308  
Oil & Gas Services - 0.72%             $   614  
Natural Gas Services Group Inc (a) 4,184   80              
Schlumberger Ltd 2,530   211 Trucking & Leasing - 0.20%            
  $   291 Greenbrier Cos Inc/The 1,394       81  
 
Pharmaceuticals - 6.68%       Water - 0.20%            
Abbott Laboratories 4,830   224 California Water Service Group 3,357       82  
AbbVie Inc 5,034   295              
Actavis PLC (a) 1,270   378              
        TOTAL COMMON STOCKS     $   39,628  
Bristol-Myers Squibb Co 4,401   284 INVESTMENT COMPANIES - 2.65% Shares Held Value (000 's)
Johnson & Johnson 4,565   459              
McKesson Corp 2,936   664 Publicly Traded Investment Fund - 2.65%            
Perrigo Co PLC 450   75 BlackRock Liquidity Funds FedFund Portfolio 1,076,426       1,076  
Teva Pharmaceutical Industries Ltd ADR 2,379   148              
VCA Inc (a) 3,342   183 TOTAL INVESTMENT COMPANIES     $   1,076  
  $   2,710 Total Investments     $   40,704  
REITS - 3.48%       Liabilities in Excess of Other Assets, Net - (0.35)%   $   (144 )
Alexandria Real Estate Equities Inc 2,618   257 TOTAL NET ASSETS - 100.00%     $   40,560  
Annaly Capital Management Inc 1,620   17              

 

See accompanying notes.

123

 

  Schedule of Investments  
  Principal Capital Appreciation Account  
  March 31, 2015 (unaudited)  
 
 
 
(a) Non-Income Producing Security    
 
 
 
Portfolio Summary (unaudited)    
Sector Percent  
Consumer, Non-cyclical 18.34 %
Financial 16.95 %
Technology 15.47 %
Consumer, Cyclical 13.91 %
Industrial 12.54 %
Communications 7.57 %
Energy 6.69 %
Basic Materials 3.27 %
Utilities 2.96 %
Exchange Traded Funds 2.65 %
Liabilities in Excess of Other Assets, Net (0.35 )%
TOTAL NET ASSETS 100.00 %

 

See accompanying notes.

124

 

          Schedule of Investments  
      Principal LifeTime 2010 Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.01% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 68.08%        
Blue Chip Fund (a)   81,647 $ 1,278  
Bond Market Index Fund (a)   315,538   3,522  
Diversified International Fund (a)   187,386   2,221  
Diversified Real Asset Fund (a)   178,803   2,151  
Equity Income Fund (a)   57,783   1,544  
Global Diversified Income Fund (a)   275,323   3,877  
Global Multi-Strategy Fund (a)   145,337   1,631  
Global Opportunities Fund (a)   72,214   859  
Inflation Protection Fund (a)   327,720   2,815  
International Emerging Markets Fund (a)   19,501   465  
LargeCap Growth Fund I (a)   107,388   1,398  
LargeCap S&P 500 Index Fund (a)   120,197   1,750  
LargeCap Value Fund (a)   34,535   438  
LargeCap Value Fund III (a)   108,930   1,723  
MidCap Fund (a)   94,767   2,211  
Origin Emerging Markets Fund (a),(b)   25,926   250  
Overseas Fund (a)   202,182   2,147  
SmallCap Growth Fund I (a)   54,889   696  
SmallCap Value Fund II (a)   53,437   720  
      $   31,696  
 
Principal Variable Contracts Funds, Inc. Class 1 - 31.93%      
Bond & Mortgage Securities Account (a)   846,594   9,880  
Short-Term Income Account (a)   1,911,679   4,989  
      $   14,869  
TOTAL INVESTMENT COMPANIES   $   46,565  
Total Investments   $   46,565  
Liabilities in Excess of Other Assets, Net - (0.01)% $   (6 )
TOTAL NET ASSETS - 100.00%   $   46,559  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       45.55 %
Domestic Equity Funds       25.25 %
Specialty Funds       16.45 %
International Equity Funds       12.76 %
Liabilities in Excess of Other Assets, Net       (0.01 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

125

 

Schedule of Investments
Principal LifeTime 2010 Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Blue Chip Fund — $ —   82,686 $ 1,301 1,039   $ 16 81,647 $ 1,285
Bond & Mortgage Securities Account 922,569   10,844   33,804   391 109,779     1,271 846,594   9,975
Bond Market Index Fund 326,944   3,639   11,804   131 23,210     258 315,538   3,512
Diversified International Fund 193,748   2,685   6,297   75 12,659     147 187,386   2,616
Diversified Real Asset Fund 135,027   1,400   55,373   668 11,597     141 178,803   1,933
Equity Income Fund 90,261   1,711   3,353   91 35,831     956 57,783   1,095
Global Diversified Income Fund 156,226   1,682   133,584   1,889 14,487     204 275,323   3,369
Global Multi-Strategy Fund 114,677   1,188   40,472   453 9,812     108 145,337   1,534
Global Opportunities Fund 74,398   801   2,129   26 4,313     52 72,214   775
High Yield Fund I 133,933   1,320   4,510   46 138,443     1,428 —   —
Inflation Protection Fund 281,441   2,265   70,101   595 23,822     204 327,720   2,658
International Emerging Markets Fund 31,149   900   922   22 12,570     293 19,501   559
LargeCap Growth Fund I 214,256   2,490   6,929   90 113,797     1,471 107,388   1,241
LargeCap S&P 500 Index Fund 125,115   1,455   4,334   64 9,252     135 120,197   1,392
LargeCap Value Fund 84,232   1,058   2,590   33 52,287     658 34,535   434
LargeCap Value Fund III 112,586   1,528   3,681   59 7,337     116 108,930   1,474
MidCap Fund 97,720   1,474   2,814   65 5,767     131 94,767   1,411
Origin Emerging Markets Fund —   —   26,477   250 551     5 25,926   245
Overseas Fund 209,210   1,954   6,890   74 13,918     147 202,182   1,881
Short-Term Income Account 1,988,097   5,053   75,335   196 151,753     394 1,911,679   4,855
SmallCap Growth Fund I 56,477   484   1,583   19 3,171     38 54,889   466
SmallCap Value Fund II 54,911   453   1,489   19 2,963     37 53,437   435
    $ 44,384   $   6,557     $ 8,210 $   43,145
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Blue Chip Fund $     — $     —   $       —
Bond & Mortgage Securities Account       —       11           —
Bond Market Index Fund       —       —           —
Diversified International Fund       —       3           —
Diversified Real Asset Fund       —       6           —
Equity Income Fund       9       249           —
Global Diversified Income Fund       33       2           —
Global Multi-Strategy Fund       —       1           —
Global Opportunities Fund       —       —           —
High Yield Fund I       11       62           —
Inflation Protection Fund       —       2           —
International Emerging Markets Fund       —       (70 )         —
LargeCap Growth Fund I       —       132           —
LargeCap S&P 500 Index Fund       —       8           —
LargeCap Value Fund       —       1           —
LargeCap Value Fund III       —       3           —
MidCap Fund       —       3           —
Origin Emerging Markets Fund       —       —           —
Overseas Fund       —       —           —
Short-Term Income Account       —       —           —
SmallCap Growth Fund I       —       1           —
SmallCap Value Fund II       —       —           —
  $     53 $     414   $       —
Amounts in thousands except shares                            

 

See accompanying notes.

126

 

          Schedule of Investments  
      Principal LifeTime 2020 Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.00% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 79.01%        
Blue Chip Fund (a)   565,806 $ 8,855  
Bond Market Index Fund (a)   1,147,502   12,806  
Diversified International Fund (a)   983,555   11,655  
Diversified Real Asset Fund (a)   737,699   8,874  
Equity Income Fund (a)   334,716   8,944  
Global Diversified Income Fund (a)   530,999   7,476  
Global Multi-Strategy Fund (a)   395,088   4,433  
Global Opportunities Fund (a)   918,709   10,923  
Global Real Estate Securities Fund (a)   824,095   7,870  
Inflation Protection Fund (a)   676,259   5,809  
International Emerging Markets Fund (a)   128,481   3,066  
LargeCap Growth Fund I (a)   766,415   9,979  
LargeCap S&P 500 Index Fund (a)   887,687   12,925  
LargeCap Value Fund (a)   594,937   7,550  
LargeCap Value Fund III (a)   762,493   12,063  
MidCap Fund (a)   159,372   3,718  
MidCap Growth Fund III (a)   404,821   4,429  
MidCap Value Fund III (a)   213,900   4,261  
Origin Emerging Markets Fund (a),(b)   176,573   1,704  
Overseas Fund (a)   1,116,018   11,852  
SmallCap Growth Fund I (a)   259,085   3,285  
SmallCap Value Fund II (a)   246,967   3,329  
      $   165,806  
 
Principal Variable Contracts Funds, Inc. Class 1 - 20.99%      
Bond & Mortgage Securities Account (a)   3,150,599   36,767  
Short-Term Income Account (a)   2,793,708   7,292  
      $   44,059  
TOTAL INVESTMENT COMPANIES   $   209,865  
Total Investments   $   209,865  
Liabilities in Excess of Other Assets, Net - 0.00% $   (10 )
TOTAL NET ASSETS - 100.00%   $   209,855  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       37.81 %
Fixed Income Funds       29.86 %
International Equity Funds       22.43 %
Specialty Funds       9.90 %
Liabilities in Excess of Other Assets, Net       0.00 %
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

127

 

Schedule of Investments
Principal LifeTime 2020 Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Blue Chip Fund — $ —   571,987 $ 9,003 6,181   $ 98 565,806 $ 8,906
Bond & Mortgage Securities Account 3,249,647   38,267   50,510   584 149,558     1,733 3,150,599   37,130
Bond Market Index Fund 1,181,836   13,154   17,577   195 51,911     577 1,147,502   12,773
Diversified International Fund 1,013,491   15,240   15,395   178 45,331     536 983,555   14,904
Diversified Real Asset Fund 466,139   4,824   298,490   3,599 26,930     326 737,699   8,113
Equity Income Fund 265,899   5,036   80,578   2,148 11,761     316 334,716   6,898
Global Diversified Income Fund 291,618   3,962   266,148   3,775 26,767     377 530,999   7,360
Global Multi-Strategy Fund 412,606   4,247   8,578   95 26,096     291 395,088   4,058
Global Opportunities Fund 942,281   10,162   12,106   143 35,678     427 918,709   9,886
Global Real Estate Securities Fund 834,408   6,222   14,332   136 24,645     237 824,095   6,129
High Yield Fund I 352,183   3,221   5,457   56 357,640     3,690 —   —
Inflation Protection Fund 702,878   6,122   12,695   108 39,314     337 676,259   5,893
International Emerging Markets Fund 208,056   5,906   3,892   91 83,467     1,943 128,481   3,576
LargeCap Growth Fund I 1,495,119   17,374   20,285   257 748,989     9,694 766,415   8,860
LargeCap S&P 500 Index Fund 915,820   10,643   13,216   191 41,349     605 887,687   10,279
LargeCap Value Fund 767,469   9,641   10,327   130 182,859     2,306 594,937   7,468
LargeCap Value Fund III 1,009,127   13,499   13,442   211 260,076     4,086 762,493   10,059
MidCap Fund 164,747   2,475   2,023   46 7,398     170 159,372   2,360
MidCap Growth Fund III 414,328   3,997   5,365   57 14,872     160 404,821   3,894
MidCap Value Fund III 219,137   3,521   2,974   58 8,211     162 213,900   3,421
Origin Emerging Markets Fund —   —   179,806   1,701 3,233     31 176,573   1,670
Overseas Fund 1,149,221   10,812   17,104   178 50,307     536 1,116,018   10,457
Short-Term Income Account 2,891,240   7,470   48,791   127 146,323     381 2,793,708   7,216
SmallCap Growth Fund I 266,603   2,256   3,915   47 11,433     140 259,085   2,169
SmallCap Value Fund II 254,181   2,095   3,790   49 11,004     144 246,967   2,004
    $ 200,146   $   23,163     $ 29,303 $   195,483
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Blue Chip Fund $     — $     1     $     —
Bond & Mortgage Securities Account       —       12           —
Bond Market Index Fund       —       1           —
Diversified International Fund       —       22           —
Diversified Real Asset Fund       —       16           —
Equity Income Fund       52       30           —
Global Diversified Income Fund       66       —           —
Global Multi-Strategy Fund       —       7           —
Global Opportunities Fund       —       8           —
Global Real Estate Securities Fund       57       8           —
High Yield Fund I       30       413           —
Inflation Protection Fund       —       —           —
International Emerging Markets Fund       —       (478 )         —
LargeCap Growth Fund I       —       923           —
LargeCap S&P 500 Index Fund       —       50           —
LargeCap Value Fund       —       3           —
LargeCap Value Fund III       —       435           —
MidCap Fund       —       9           —
MidCap Growth Fund III       —       —           —
MidCap Value Fund III       —       4           —
Origin Emerging Markets Fund       —       —           —
Overseas Fund       —       3           —
Short-Term Income Account       —       —           —
SmallCap Growth Fund I       —       6           —
SmallCap Value Fund II       —       4           —
  $     205 $     1,477     $     —
Amounts in thousands except shares                            

 

See accompanying notes.

128

 

          Schedule of Investments  
      Principal LifeTime 2030 Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.01% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 87.36%        
Blue Chip Fund (a)   329,400 $ 5,155  
Bond Market Index Fund (a)   461,330   5,148  
Diversified International Fund (a)   683,125   8,095  
Diversified Real Asset Fund (a)   397,574   4,783  
Equity Income Fund (a)   150,440   4,020  
Global Diversified Income Fund (a)   169,037   2,380  
Global Multi-Strategy Fund (a)   250,431   2,810  
Global Opportunities Fund (a)   489,767   5,823  
Global Real Estate Securities Fund (a)   653,454   6,240  
Inflation Protection Fund (a)   259,266   2,227  
International Emerging Markets Fund (a)   93,711   2,236  
LargeCap Growth Fund (a)   320,516   3,603  
LargeCap Growth Fund I (a)   662,133   8,621  
LargeCap S&P 500 Index Fund (a)   569,896   8,298  
LargeCap Value Fund (a)   357,601   4,538  
LargeCap Value Fund III (a)   336,620   5,325  
MidCap Fund (a)   42,458   991  
MidCap Growth Fund III (a)   352,552   3,857  
MidCap Value Fund III (a)   179,960   3,585  
Origin Emerging Markets Fund (a),(b)   168,494   1,626  
Overseas Fund (a)   749,103   7,955  
Preferred Securities Fund (a)   235,790   2,455  
SmallCap Growth Fund I (a)   208,464   2,643  
SmallCap Value Fund II (a)   199,106   2,684  
      $   105,098  
 
Principal Variable Contracts Funds, Inc. Class 1 - 12.65%      
Bond & Mortgage Securities Account (a)   1,304,016   15,218  
 
TOTAL INVESTMENT COMPANIES   $   120,316  
Total Investments   $   120,316  
Liabilities in Excess of Other Assets, Net - (0.01)% $   (8 )
TOTAL NET ASSETS - 100.00%   $   120,308  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       44.32 %
International Equity Funds       26.58 %
Fixed Income Funds       20.82 %
Specialty Funds       8.29 %
Liabilities in Excess of Other Assets, Net       (0.01 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

129

 

Schedule of Investments
Principal LifeTime 2030 Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Blue Chip Fund — $ —   330,832 $ 5,207 1,432   $ 22 329,400 $ 5,185
Bond & Mortgage Securities Account 1,300,379   14,829   51,357   595 47,720     555 1,304,016   14,869
Bond Market Index Fund 460,081   5,121   17,910   199 16,661     186 461,330   5,134
Diversified International Fund 681,036   8,288   27,130   312 25,041     292 683,125   8,308
Diversified Real Asset Fund 190,063   2,052   216,856   2,615 9,345     113 397,574   4,554
Equity Income Fund —   —   151,141   4,030 701     19 150,440   4,011
Global Diversified Income Fund —   —   171,140   2,428 2,103     30 169,037   2,398
Global Multi-Strategy Fund 249,656   2,595   11,552   128 10,777     119 250,431   2,604
Global Opportunities Fund 488,258   5,300   19,059   224 17,550     208 489,767   5,315
Global Real Estate Securities Fund 646,756   4,904   26,067   250 19,369     187 653,454   4,968
High Yield Fund I 228,963   2,146   7,530   76 236,493     2,439 —   —
Inflation Protection Fund 258,326   2,277   13,022   112 12,082     104 259,266   2,285
International Emerging Markets Fund 161,761   3,621   7,303   171 75,353     1,752 93,711   2,063
LargeCap Growth Fund 318,795   3,361   10,521   114 8,800     97 320,516   3,378
LargeCap Growth Fund I 1,059,246   12,321   38,028   475 435,141     5,628 662,133   7,655
LargeCap S&P 500 Index Fund 568,819   6,628   21,531   309 20,454     298 569,896   6,641
LargeCap Value Fund 514,960   6,482   17,697   222 175,056     2,203 357,601   4,505
LargeCap Value Fund III 681,988   9,186   23,841   371 369,209     5,830 336,620   4,393
MidCap Fund —   —   42,706   1,002 248     6 42,458   996
MidCap Growth Fund III 351,502   3,338   12,500   130 11,450     122 352,552   3,346
MidCap Value Fund III 179,416   2,936   6,699   130 6,155     121 179,960   2,946
Origin Emerging Markets Fund —   —   169,438   1,603 944     9 168,494   1,594
Overseas Fund 746,753   7,417   30,089   312 27,739     293 749,103   7,436
Preferred Securities Fund 231,582   2,356   11,307   117 7,099     73 235,790   2,400
SmallCap Growth Fund I 207,892   1,839   6,588   78 6,016     73 208,464   1,845
SmallCap Value Fund II 198,589   1,674   6,313   81 5,796     76 199,106   1,679
    $ 108,671   $   21,291     $ 20,855 $   110,508
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Blue Chip Fund $     — $     —     $     —
Bond & Mortgage Securities Account       —       —           —
Bond Market Index Fund       —       —           —
Diversified International Fund       —       —           —
Diversified Real Asset Fund       —       —           —
Equity Income Fund       23       —           —
Global Diversified Income Fund       16       —           —
Global Multi-Strategy Fund       —       —           —
Global Opportunities Fund       —       (1 )         —
Global Real Estate Securities Fund       45       1           —
High Yield Fund I       20       217           —
Inflation Protection Fund       —       —           —
International Emerging Markets Fund       —       23           —
LargeCap Growth Fund       —       —           —
LargeCap Growth Fund I       —       487           —
LargeCap S&P 500 Index Fund       —       2           —
LargeCap Value Fund       —       4           —
LargeCap Value Fund III       —       666           —
MidCap Fund       —       —           —
MidCap Growth Fund III       —       —           —
MidCap Value Fund III       —       1           —
Origin Emerging Markets Fund       —       —           —
Overseas Fund       —       —           —
Preferred Securities Fund       31       —           —
SmallCap Growth Fund I       —       1           —
SmallCap Value Fund II       —       —           —
  $     135 $     1,401     $     —
Amounts in thousands except shares                            

 

See accompanying notes.

130

 

          Schedule of Investments  
      Principal LifeTime 2040 Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.01% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 92.86%        
Bond Market Index Fund (a)   90,139 $ 1,006  
Diversified International Fund (a)   300,927   3,566  
Diversified Real Asset Fund (a)   123,071   1,481  
Global Multi-Strategy Fund (a)   89,035   999  
Global Opportunities Fund (a)   204,324   2,429  
Global Real Estate Securities Fund (a)   238,788   2,280  
High Yield Fund I (a)   85,585   875  
Inflation Protection Fund (a)   46,852   402  
International Emerging Markets Fund (a)   39,411   940  
LargeCap Growth Fund (a)   152,071   1,709  
LargeCap Growth Fund I (a)   429,375   5,591  
LargeCap S&P 500 Index Fund (a)   237,127   3,453  
LargeCap Value Fund (a)   220,994   2,804  
LargeCap Value Fund III (a)   252,898   4,001  
MidCap Growth Fund III (a)   140,282   1,535  
MidCap Value Fund III (a)   78,611   1,566  
Origin Emerging Markets Fund (a),(b)   63,767   615  
Overseas Fund (a)   336,488   3,574  
Preferred Securities Fund (a)   66,667   694  
SmallCap Growth Fund I (a)   87,378   1,108  
SmallCap Value Fund II (a)   77,545   1,045  
      $   41,673  
 
Principal Variable Contracts Funds, Inc. Class 1 - 7.15%      
Bond & Mortgage Securities Account (a)   274,979   3,209  
 
TOTAL INVESTMENT COMPANIES   $   44,882  
Total Investments   $   44,882  
Liabilities in Excess of Other Assets, Net - (0.01)% $   (5 )
TOTAL NET ASSETS - 100.00%   $   44,877  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       50.83 %
International Equity Funds       29.86 %
Fixed Income Funds       13.79 %
Specialty Funds       5.53 %
Liabilities in Excess of Other Assets, Net       (0.01 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

131

 

Schedule of Investments
Principal LifeTime 2040 Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Bond & Mortgage Securities Account 266,039 $ 3,074   18,448 $ 214 9,508   $ 110 274,979 $ 3,178
Bond Market Index Fund 87,033   969   6,414   71 3,308     37 90,139   1,003
Diversified International Fund 290,599   3,615   21,183   247 10,855     128 300,927   3,734
Diversified Real Asset Fund 54,373   612   71,123   858 2,425     29 123,071   1,441
Global Multi-Strategy Fund 85,868   904   6,536   73 3,369     38 89,035   939
Global Opportunities Fund 197,769   2,179   13,474   160 6,919     83 204,324   2,256
Global Real Estate Securities Fund 229,461   1,773   17,409   167 8,082     78 238,788   1,862
High Yield Fund I 81,699   814   6,813   70 2,927     31 85,585   853
Inflation Protection Fund —   —   46,967   402 115     — 46,852   402
International Emerging Markets Fund 62,753   1,650   5,171   122 28,513     664 39,411   1,091
LargeCap Growth Fund 147,717   1,565   8,944   99 4,590     52 152,071   1,612
LargeCap Growth Fund I 446,008   5,233   28,314   360 44,947     584 429,375   5,009
LargeCap S&P 500 Index Fund 229,346   2,691   15,849   230 8,068     118 237,127   2,803
LargeCap Value Fund 214,330   2,715   13,690   173 7,026     89 220,994   2,799
LargeCap Value Fund III 295,114   4,002   18,192   286 60,408     949 252,898   3,372
MidCap Growth Fund III 135,812   1,443   9,138   97 4,668     50 140,282   1,490
MidCap Value Fund III 76,201   1,267   4,920   97 2,510     50 78,611   1,314
Origin Emerging Markets Fund —   —   63,989   605 222     2 63,767   603
Overseas Fund 325,043   3,340   23,487   247 12,042     127 336,488   3,460
Preferred Securities Fund 64,017   667   4,677   48 2,027     21 66,667   694
SmallCap Growth Fund I 85,035   968   4,806   58 2,463     30 87,378   996
SmallCap Value Fund II 75,360   710   4,500   58 2,315     30 77,545   738
    $ 40,191   $   4,742     $ 3,300 $   41,649
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Bond & Mortgage Securities Account $     — $     —   $       —
Bond Market Index Fund       —       —           —
Diversified International Fund       —       —           —
Diversified Real Asset Fund       —       —           —
Global Multi-Strategy Fund       —       —           —
Global Opportunities Fund       —       —           —
Global Real Estate Securities Fund       17       —           —
High Yield Fund I       11       —           —
Inflation Protection Fund       —       —           —
International Emerging Markets Fund       —       (17 )         —
LargeCap Growth Fund       —       —           —
LargeCap Growth Fund I       —       —           —
LargeCap S&P 500 Index Fund       —       —           —
LargeCap Value Fund       —       —           —
LargeCap Value Fund III       —       33           —
MidCap Growth Fund III       —       —           —
MidCap Value Fund III       —       —           —
Origin Emerging Markets Fund       —       —           —
Overseas Fund       —       —           —
Preferred Securities Fund       9       —           —
SmallCap Growth Fund I       —       —           —
SmallCap Value Fund II       —       —           —
  $     37 $     16   $       —
Amounts in thousands except shares                            

 

See accompanying notes.

132

 

          Schedule of Investments  
      Principal LifeTime 2050 Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 98.00%        
Bond Market Index Fund (a)   17,403 $ 194  
Diversified International Fund (a)   175,458   2,079  
Diversified Real Asset Fund (a)   54,997   662  
Global Multi-Strategy Fund (a)   34,648   389  
Global Opportunities Fund (a)   122,432   1,456  
Global Real Estate Securities Fund (a)   135,749   1,296  
High Yield Fund I (a)   41,894   428  
International Emerging Markets Fund (a)   23,283   555  
LargeCap Growth Fund (a)   88,806   998  
LargeCap Growth Fund I (a)   254,846   3,318  
LargeCap S&P 500 Index Fund (a)   131,418   1,913  
LargeCap Value Fund (a)   119,124   1,512  
LargeCap Value Fund III (a)   148,052   2,342  
MidCap Growth Fund III (a)   76,019   832  
MidCap Value Fund III (a)   44,239   881  
Origin Emerging Markets Fund (a),(b)   47,762   461  
Overseas Fund (a)   191,953   2,038  
Preferred Securities Fund (a)   46,558   485  
SmallCap Growth Fund I (a)   47,061   597  
SmallCap Value Fund II (a)   44,775   604  
      $   23,040  
 
Principal Variable Contracts Funds, Inc. Class 1 - 2.02%      
Bond & Mortgage Securities Account (a)   40,698   475  
 
TOTAL INVESTMENT COMPANIES   $   23,515  
Total Investments   $   23,515  
Liabilities in Excess of Other Assets, Net - (0.02)% $   (4 )
TOTAL NET ASSETS - 100.00%   $   23,511  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       55.29 %
International Equity Funds       33.54 %
Fixed Income Funds       6.73 %
Specialty Funds       4.46 %
Liabilities in Excess of Other Assets, Net       (0.02 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

133

 

Schedule of Investments
Principal LifeTime 2050 Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Bond & Mortgage Securities Account 38,120 $ 445   5,152 $ 60 2,574   $ 30 40,698 $ 475
Bond Market Index Fund 16,503   184   1,804   20 904     10 17,403   194
Diversified International Fund 166,673   2,117   17,906   209 9,121     105 175,458   2,221
Diversified Real Asset Fund 28,553   320   28,034   338 1,590     19 54,997   639
Global Multi-Strategy Fund 32,659   337   3,983   44 1,994     22 34,648   359
Global Opportunities Fund 116,435   1,262   12,132   144 6,135     73 122,432   1,333
Global Real Estate Securities Fund 128,671   980   13,423   129 6,345     60 135,749   1,049
High Yield Fund I 39,201   381   4,875   50 2,182     22 41,894   409
International Emerging Markets Fund 40,498   1,034   4,441   105 21,656     503 23,283   627
LargeCap Growth Fund 85,164   898   7,319   81 3,677     41 88,806   938
LargeCap Growth Fund I 243,430   2,833   23,079   293 11,663     147 254,846   2,978
LargeCap S&P 500 Index Fund 125,211   1,462   12,436   180 6,229     90 131,418   1,552
LargeCap Value Fund 113,702   1,430   10,923   138 5,501     69 119,124   1,499
LargeCap Value Fund III 159,825   2,157   14,901   234 26,674     418 148,052   1,983
MidCap Growth Fund III 72,395   731   7,252   77 3,628     38 76,019   770
MidCap Value Fund III 42,283   687   3,944   78 1,988     39 44,239   726
Origin Emerging Markets Fund —   —   47,882   452 120     — 47,762   452
Overseas Fund 182,273   1,823   19,833   209 10,153     105 191,953   1,927
Preferred Securities Fund 43,999   452   4,602   48 2,043     22 46,558   478
SmallCap Growth Fund I 45,128   476   3,867   47 1,934     23 47,061   500
SmallCap Value Fund II 42,932   382   3,692   48 1,849     24 44,775   406
    $ 20,391   $   2,984     $ 1,860 $   21,515
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Bond & Mortgage Securities Account $     — $     —   $       —
Bond Market Index Fund       —       —           —
Diversified International Fund       —       —           —
Diversified Real Asset Fund       —       —           —
Global Multi-Strategy Fund       —       —           —
Global Opportunities Fund       —       —           —
Global Real Estate Securities Fund       9       —           —
High Yield Fund I       6       —           —
International Emerging Markets Fund       —       (9 )         —
LargeCap Growth Fund       —       —           —
LargeCap Growth Fund I       —       (1 )         —
LargeCap S&P 500 Index Fund       —       —           —
LargeCap Value Fund       —       —           —
LargeCap Value Fund III       —       10           —
MidCap Growth Fund III       —       —           —
MidCap Value Fund III       —       —           —
Origin Emerging Markets Fund       —       —           —
Overseas Fund       —       —           —
Preferred Securities Fund       6       —           —
SmallCap Growth Fund I       —       —           —
SmallCap Value Fund II       —       —           —
  $     21 $     —   $       —
Amounts in thousands except shares                            

 

See accompanying notes.

134

 

          Schedule of Investments  
      Principal LifeTime 2060 Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.27% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 98.44%        
Bond Market Index Fund (a)   761 $ 8  
Diversified International Fund (a)   11,463   136  
Diversified Real Asset Fund (a)   2,631   32  
Global Multi-Strategy Fund (a)   2,562   29  
Global Opportunities Fund (a)   8,271   98  
Global Real Estate Securities Fund (a)   8,884   85  
High Yield Fund I (a)   2,776   28  
International Emerging Markets Fund (a)   1,871   45  
LargeCap Growth Fund (a)   4,944   56  
LargeCap Growth Fund I (a)   15,712   205  
LargeCap S&P 500 Index Fund (a)   8,530   124  
LargeCap Value Fund (a)   7,110   90  
LargeCap Value Fund III (a)   10,473   166  
MidCap Growth Fund III (a)   4,950   54  
MidCap Value Fund III (a)   2,703   54  
Origin Emerging Markets Fund (a),(b)   2,805   27  
Overseas Fund (a)   12,466   132  
Preferred Securities Fund (a)   1,761   18  
SmallCap Growth Fund I (a)   2,537   32  
SmallCap Value Fund II (a)   2,427   33  
      $   1,452  
 
Principal Variable Contracts Funds, Inc. Class 1 - 1.83%      
Bond & Mortgage Securities Account (a)   2,336   27  
 
TOTAL INVESTMENT COMPANIES   $   1,479  
Total Investments   $   1,479  
Liabilities in Excess of Other Assets, Net - (0.27)% $   (4 )
TOTAL NET ASSETS - 100.00%   $   1,475  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       55.15 %
International Equity Funds       35.45 %
Fixed Income Funds       5.58 %
Specialty Funds       4.09 %
Liabilities in Excess of Other Assets, Net       (0.27 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

135

 

Schedule of Investments
Principal LifeTime 2060 Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                 March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales Sales   March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares Proceeds Shares   Cost
Bond & Mortgage Securities Account 1,316 $ 15   1,105 $ 13 85 $ 1 2,336 $ 27
Bond Market Index Fund 426   5   364   4 29   1 761   8
Diversified International Fund 6,408   74   5,491   64 436   5 11,463   133
Diversified Real Asset Fund 972   12   1,725   21 66   1 2,631   32
Global Multi-Strategy Fund 1,446   16   1,211   13 95   1 2,562   28
Global Opportunities Fund 4,735   57   3,838   45 302   3 8,271   99
Global Real Estate Securities Fund 5,296   44   3,888   37 300   3 8,884   78
High Yield Fund I 1,531   16   1,348   14 103   1 2,776   29
International Emerging Markets Fund 1,702   39   1,357   32 1,188   28 1,871   43
LargeCap Growth Fund 2,900   31   2,220   25 176   2 4,944   54
LargeCap Growth Fund I 9,234   116   7,055   90 577   8 15,712   198
LargeCap S&P 500 Index Fund 4,899   63   3,925   57 294   5 8,530   115
LargeCap Value Fund 4,095   52   3,267   41 252   3 7,110   90
LargeCap Value Fund III 6,211   88   4,641   73 379   6 10,473   155
MidCap Growth Fund III 2,835   33   2,293   24 178   2 4,950   55
MidCap Value Fund III 1,561   29   1,238   24 96   1 2,703   52
Origin Emerging Markets Fund —   —   2,806   27 —   — 2,806   27
Overseas Fund 6,857   78   6,091   64 482   5 12,466   137
Preferred Securities Fund 1,622   16   1,198   12 1,059   10 1,761   18
SmallCap Growth Fund I 1,434   19   1,199   15 96   1 2,537   33
SmallCap Value Fund II 1,394   18   1,123   15 90   1 2,427   32
    $ 821   $   710   $ 88 $   1,443
 
 
              Realized Gain/Loss     Realized Gain from
      Income       on Investments   Capital Gain Distributions
Bond & Mortgage Securities Account $     — $     — $       —
Bond Market Index Fund       —       —         —
Diversified International Fund       —       —         —
Diversified Real Asset Fund       —       —         —
Global Multi-Strategy Fund       —       —         —
Global Opportunities Fund       —       —         —
Global Real Estate Securities Fund       1       —         —
High Yield Fund I       —       —         —
International Emerging Markets Fund       —       —         —
LargeCap Growth Fund       —       —         —
LargeCap Growth Fund I       —       —         —
LargeCap S&P 500 Index Fund       —       —         —
LargeCap Value Fund       —       —         —
LargeCap Value Fund III       —       —         —
MidCap Growth Fund III       —       —         —
MidCap Value Fund III       —       —         —
Origin Emerging Markets Fund       —       —         —
Overseas Fund       —       —         —
Preferred Securities Fund       —       —         —
SmallCap Growth Fund I       —       —         —
SmallCap Value Fund II       —       —         —
  $     1 $     — $       —
Amounts in thousands except shares                          

 

See accompanying notes.

136

 

          Schedule of Investments  
      Principal LifeTime Strategic Income Account  
          March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 56.72%        
Blue Chip Fund (a)   31,494 $ 493  
Bond Market Index Fund (a)   245,003   2,734  
Diversified International Fund (a)   54,947   651  
Diversified Real Asset Fund (a)   74,757   899  
Equity Income Fund (a)   41,629   1,112  
Global Diversified Income Fund (a)   214,446   3,019  
Global Multi-Strategy Fund (a)   106,034   1,190  
Global Opportunities Fund (a)   21,929   261  
Inflation Protection Fund (a)   399,757   3,434  
International Emerging Markets Fund (a)   7,396   176  
LargeCap Growth Fund I (a)   47,581   620  
LargeCap S&P 500 Index Fund (a)   33,573   489  
MidCap Fund (a)   37,210   868  
Origin Emerging Markets Fund (a),(b)   17,567   170  
Overseas Fund (a)   61,820   657  
SmallCap Growth Fund I (a)   10,576   134  
SmallCap Value Fund II (a)   10,082   136  
      $   17,043  
 
Principal Variable Contracts Funds, Inc. Class 1 - 43.30%      
Bond & Mortgage Securities Account (a)   688,451   8,034  
Short-Term Income Account (a)   1,907,233   4,978  
      $   13,012  
TOTAL INVESTMENT COMPANIES   $   30,055  
Total Investments   $   30,055  
Liabilities in Excess of Other Assets, Net - (0.02)% $   (5 )
TOTAL NET ASSETS - 100.00%   $   30,050  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
  information.          
(b) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       63.83 %
Specialty Funds       17.00 %
Domestic Equity Funds       12.82 %
International Equity Funds       6.37 %
Liabilities in Excess of Other Assets, Net       (0.02 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

137

 

Schedule of Investments
Principal LifeTime Strategic Income Account
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Blue Chip Fund — $ —   31,788 $ 500 294   $ 4 31,494 $ 496
Bond & Mortgage Securities Account 743,612   8,771   24,694   286 79,855     928 688,451   8,137
Bond Market Index Fund 249,296   2,775   8,608   96 12,901     144 245,003   2,727
Diversified International Fund 55,893   750   1,835   21 2,781     32 54,947   739
Diversified Real Asset Fund 109,630   1,149   4,062   49 38,935     469 74,757   776
Equity Income Fund 79,781   1,510   2,383   63 40,535     1,080 41,629   784
Global Diversified Income Fund 149,602   1,487   83,484   1,184 18,640     262 214,446   2,408
Global Multi-Strategy Fund 71,871   743   38,434   430 4,271     48 106,034   1,125
Global Opportunities Fund 22,354   241   838   10 1,263     15 21,929   236
High Yield Fund I 104,822   1,096   2,899   29 107,721     1,111 —   —
Inflation Protection Fund 228,467   1,836   185,041   1,570 13,751     117 399,757   3,289
International Emerging Markets Fund 8,405   203   312   7 1,321     30 7,396   180
LargeCap Growth Fund I 87,126   1,013   2,336   29 41,881     541 47,581   550
LargeCap S&P 500 Index Fund 34,433   401   1,386   20 2,246     32 33,573   389
MidCap Fund 37,686   567   956   21 1,432     32 37,210   557
Origin Emerging Markets Fund —   —   17,718   169 151     — 17,567   169
Overseas Fund 62,886   585   2,037   21 3,103     33 61,820   573
Short-Term Income Account 1,940,482   4,888   64,592   168 97,841     255 1,907,233   4,801
SmallCap Growth Fund I 10,788   93   414   5 626     8 10,576   90
SmallCap Value Fund II 10,282   85   386   5 586     7 10,082   83
    $ 28,193   $   4,683     $ 5,148 $   28,109
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Blue Chip Fund $     — $     —   $       —
Bond & Mortgage Securities Account       —       8           —
Bond Market Index Fund       —       —           —
Diversified International Fund       —       —           —
Diversified Real Asset Fund       —       47           —
Equity Income Fund       6       291           —
Global Diversified Income Fund       29       (1 )         —
Global Multi-Strategy Fund       —       —           —
Global Opportunities Fund       —       —           —
High Yield Fund I       9       (14 )         —
Inflation Protection Fund       —       —           —
International Emerging Markets Fund       —       —           —
LargeCap Growth Fund I       —       49           —
LargeCap S&P 500 Index Fund       —       —           —
MidCap Fund       —       1           —
Origin Emerging Markets Fund       —       —           —
Overseas Fund       —       —           —
Short-Term Income Account       —       —           —
SmallCap Growth Fund I       —       —           —
SmallCap Value Fund II       —       —           —
  $     44 $     381   $       —
Amounts in thousands except shares                            

 

See accompanying notes.

138

 

          Schedule of Investments  
          Real Estate Securities Account  
          March 31, 2015 (unaudited)  
 
 
COMMON STOCKS - 99.24% Shares Held Value (000 's)
 
Healthcare - Services - 1.05%            
Brookdale Senior Living Inc (a) 48,845 $ 1,844  
 
 
REITS - 98.19%            
American Realty Capital Properties Inc 141,398       1,393  
American Tower Corp 26,449       2,490  
Apartment Investment & Management Co 134,260       5,284  
AvalonBay Communities Inc 37,315       6,502  
Boston Properties Inc 54,332       7,633  
Camden Property Trust 51,323       4,010  
CBL & Associates Properties Inc 17,668       350  
CubeSmart 132,782       3,207  
DDR Corp 167,689       3,122  
Duke Realty Corp 133,330       2,903  
Education Realty Trust Inc 44,458       1,573  
EPR Properties 49,999       3,001  
Equity One Inc 113,339       3,025  
Equity Residential 71,242       5,547  
Essex Property Trust Inc 38,176       8,777  
Extra Space Storage Inc 58,180       3,931  
Federal Realty Investment Trust 22,748       3,349  
First Industrial Realty Trust Inc 181,822       3,896  
General Growth Properties Inc 232,843       6,881  
GEO Group Inc/The 8,653       379  
Health Care REIT Inc 101,523       7,854  
Host Hotels & Resorts Inc 251,227       5,070  
Kilroy Realty Corp 55,936       4,261  
Macerich Co/The 15,840       1,336  
Paramount Group Inc 108,820       2,100  
Pebblebrook Hotel Trust 100,780       4,693  
Prologis Inc 166,323       7,245  
Public Storage 32,532       6,413  
Saul Centers Inc 33,144       1,896  
Simon Property Group Inc 103,237       20,197  
SL Green Realty Corp 60,020       7,705  
STORE Capital Corp 43,169       1,008  
Strategic Hotels & Resorts Inc (a) 198,716       2,470  
Sun Communities Inc 36,542       2,438  
Sunstone Hotel Investors Inc 189,394       3,157  
Urban Edge Properties 28,311       671  
Ventas Inc 114,914       8,391  
Vornado Realty Trust 56,743       6,355  
WP GLIMCHER Inc 50,641       842  
      $   171,355  
TOTAL COMMON STOCKS     $   173,199  
INVESTMENT COMPANIES - 0.40% Shares Held Value (000 's)
 
Publicly Traded Investment Fund - 0.40%            
BlackRock Liquidity Funds FedFund Portfolio 691,817       692  
 
TOTAL INVESTMENT COMPANIES     $   692  
Total Investments     $   173,891  
Other Assets in Excess of Liabilities, Net - 0.36%   $   628  
TOTAL NET ASSETS - 100.00%     $   174,519  
 
 
(a) Non-Income Producing Security            
 
 
 
Portfolio Summary (unaudited)          
Sector         Percent  
Financial         98.19 %
Consumer, Non-cyclical         1.05 %
Exchange Traded Funds         0.40 %
Other Assets in Excess of Liabilities, Net         0.36 %
TOTAL NET ASSETS         100.00 %

 

See accompanying notes.

139

 

        Schedule of Investments  
        SAM Balanced Portfolio  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 50.35%        
Blue Chip Fund (a)   2,713,752 $ 42,470  
Global Diversified Income Fund (a)   1,319,867   18,584  
Global Multi-Strategy Fund (a)   6,131,404   68,794  
Global Real Estate Securities Fund (a)   2,031,096   19,397  
High Yield Fund (a)   2,853,066   21,255  
Inflation Protection Fund (a)   1,281,303   11,006  
International Emerging Markets Fund (a)   421,416   10,055  
LargeCap Growth Fund (a)   7,607,183   85,505  
LargeCap Value Fund (a)   6,330,222   80,331  
MidCap Value Fund I (a)   1,094,691   16,617  
Preferred Securities Fund (a)   361,136   3,760  
Principal Capital Appreciation Fund (a)   853,583   50,780  
SmallCap Growth Fund I (a)   73,759   935  
SmallCap Value Fund II (a)   498,756   6,723  
Small-MidCap Dividend Income Fund (a)   2,044,342   28,662  
    $   464,874  
 
Principal Variable Contracts Funds, Inc. Class 1 - 49.67%      
Diversified International Account (a)   3,503,248   51,498  
Equity Income Account (a)   4,562,928   106,134  
Government & High Quality Bond Account (a)   6,494,526   68,647  
Income Account (a) 12,193,138   133,515  
MidCap Account (a)   892,885   57,841  
Short-Term Income Account (a) 15,673,348   40,907  
    $   458,542  
TOTAL INVESTMENT COMPANIES   $   923,416  
Total Investments   $   923,416  
Liabilities in Excess of Other Assets, Net - (0.02)% $   (206 )
TOTAL NET ASSETS - 100.00%   $   923,210  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       51.56 %
Fixed Income Funds       30.23 %
Specialty Funds       9.46 %
International Equity Funds       8.77 %
Liabilities in Excess of Other Assets, Net       (0.02 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

140

 

Schedule of Investments
SAM Balanced Portfolio
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                 March 31,
Affiliated Securities 2014   2014   Purchases Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares Cost Shares     Proceeds Shares   Cost
Blue Chip Fund 2,782,489 $ 39,000   — $ — 68,737   $ 1,071 2,713,752 $ 37,916
Diversified International Account 5,052,004   53,927   — — 1,548,756     21,545 3,503,248   35,630
Equity Income Account 4,692,543   52,332   — — 129,615     2,987 4,562,928   50,755
Global Diversified Income Fund 1,338,732   18,057   13,764 194 32,629     459 1,319,867   17,787
Global Multi-Strategy Fund 4,448,034   46,633   1,683,370 18,516 —     — 6,131,404   65,149
Global Real Estate Securities Fund 1,013,697   8,193   1,017,399 9,755 —     — 2,031,096   17,948
Government & High Quality Bond 6,654,476   65,657   5,604 59 165,554     1,743 6,494,526   63,987
Account                          
High Yield Fund 2,590,684   17,625   262,382 1,930 —     — 2,853,066   19,555
Income Account 12,440,973   121,674   — — 247,835     2,702 12,193,138   119,007
Inflation Protection Fund 1,295,128   11,148   — — 13,825     120 1,281,303   11,029
International Emerging Markets Fund 655,350   15,441   — — 233,934     5,408 421,416   9,906
LargeCap Growth Fund 7,813,229   84,220   — — 206,046     2,296 7,607,183   81,766
LargeCap Value Fund 8,194,515   106,259   9,264 118 1,873,557     23,338 6,330,222   81,909
MidCap Account 905,088   39,930   — — 12,203     788 892,885   39,207
MidCap Value Fund I 242,199   3,953   852,492 12,476 —     — 1,094,691   16,429
Preferred Securities Fund 371,056   2,083   4,531 47 14,451     150 361,136   2,009
Principal Capital Appreciation Fund 874,988   44,541   — — 21,405     1,268 853,583   43,301
Short-Term Income Account 16,080,585   40,843   22,689 59 429,926     1,118 15,673,348   39,776
SmallCap Growth Fund I 73,759   747   — — —     — 73,759   747
SmallCap Value Fund II 498,756   5,013   — — —     — 498,756   5,013
Small-MidCap Dividend Income Fund 2,065,534   22,800   11,642 163 32,834     459 2,044,342   22,502
    $ 800,076   $ 43,317     $ 65,452 $   781,328
 
 
            Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Blue Chip Fund $     — $   (13 )   $     —
Diversified International Account       —     3,248           —
Equity Income Account       —     1,410           —
Global Diversified Income Fund       194     (5 )         —
Global Multi-Strategy Fund       —     —           —
Global Real Estate Securities Fund       141     —           —
Government & High Quality Bond Account     —     14           —
High Yield Fund       307     —           —
Income Account       —     35           —
Inflation Protection Fund       —     1           —
International Emerging Markets Fund       —     (127 )         —
LargeCap Growth Fund       —     (158 )         —
LargeCap Value Fund       —     (1,130 )         —
MidCap Account       —     65           —
MidCap Value Fund I       —     —           —
Preferred Securities Fund       47     29           —
Principal Capital Appreciation Fund       —     28           —
Short-Term Income Account       —     (8 )         —
SmallCap Growth Fund I       —     —           —
SmallCap Value Fund II       —     —           —
Small-MidCap Dividend Income Fund       163     (2 )         —
  $     852 $   3,387     $     —
Amounts in thousands except shares                          

 

See accompanying notes.

141

 

        Schedule of Investments  
    SAM Conservative Balanced Portfolio  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 42.42%        
Blue Chip Fund (a)   390,904 $ 6,118  
Global Diversified Income Fund (a)   521,002   7,336  
Global Multi-Strategy Fund (a)   1,051,904   11,802  
Global Real Estate Securities Fund (a)   382,847   3,656  
High Yield Fund (a)   1,455,129   10,841  
Inflation Protection Fund (a)   465,239   3,996  
International Emerging Markets Fund (a)   64,818   1,547  
LargeCap Growth Fund (a)   1,334,323   14,998  
LargeCap Value Fund (a)   1,113,360   14,128  
MidCap Value Fund I (a)   270,615   4,108  
Preferred Securities Fund (a)   111,676   1,163  
Principal Capital Appreciation Fund (a)   150,824   8,972  
SmallCap Growth Fund I (a)   20,894   265  
SmallCap Value Fund II (a)   73,229   987  
Small-MidCap Dividend Income Fund (a)   321,026   4,501  
    $   94,418  
 
Principal Variable Contracts Funds, Inc. Class 1 - 57.60%      
Bond & Mortgage Securities Account (a)   381,809   4,456  
Diversified International Account (a)   550,831   8,097  
Equity Income Account (a)   649,765   15,113  
Government & High Quality Bond Account (a) 2,610,761   27,596  
Income Account (a)   4,385,858   48,025  
MidCap Account (a)   130,037   8,424  
Short-Term Income Account (a)   6,311,513   16,473  
    $   128,184  
TOTAL INVESTMENT COMPANIES   $   222,602  
Total Investments   $   222,602  
Liabilities in Excess of Other Assets, Net - (0.02)% $   (51 )
TOTAL NET ASSETS - 100.00%   $   222,551  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       50.57 %
Domestic Equity Funds       34.88 %
Specialty Funds       8.60 %
International Equity Funds       5.97 %
Liabilities in Excess of Other Assets, Net       (0.02 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

142

 

Schedule of Investments
SAM Conservative Balanced Portfolio
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares Cost Shares     Proceeds Shares   Cost
Blue Chip Fund 397,512 $ 5,444 2,495 $ 39 9,103   $ 142 390,904 $ 5,340
Bond & Mortgage Securities Account 396,098   4,603 —   — 14,289     165 381,809   4,436
Diversified International Account 796,751   8,228 2,661   39 248,581     3,456 550,831   5,364
Equity Income Account 666,857   7,436 3,114   72 20,206     468 649,765   7,230
Global Diversified Income Fund 528,519   7,176 8,172   115 15,689     222 521,002   7,061
Global Multi-Strategy Fund 897,556   9,492 154,348   1,699 —     — 1,051,904   11,191
Global Real Estate Securities Fund 281,701   2,288 101,146   963 —     — 382,847   3,251
Government & High Quality Bond 2,670,835   26,905 16,215   171 76,289     802 2,610,761   26,279
Account                          
High Yield Fund 1,364,721   9,477 131,871   969 41,463     307 1,455,129   10,126
Income Account 4,494,303   44,866 16,756   183 125,201     1,365 4,385,858   43,707
Inflation Protection Fund 412,086   3,547 53,153   456 —     — 465,239   4,003
International Emerging Markets Fund 109,246   2,563 —   — 44,428     1,027 64,818   1,512
LargeCap Growth Fund 1,376,642   14,994 —   — 42,319     471 1,334,323   14,485
LargeCap Value Fund 1,313,046   16,996 5,712   72 205,398     2,561 1,113,360   14,386
MidCap Account 127,557   5,216 5,401   325 2,921     189 130,037   5,363
MidCap Value Fund I 117,560   1,898 153,055   2,240 —     — 270,615   4,138
Preferred Securities Fund 110,275   619 1,401   14 —     — 111,676   633
Principal Capital Appreciation Fund 156,440   7,964 —   — 5,616     332 150,824   7,639
Short-Term Income Account 6,529,387   16,430 28,692   75 246,566     642 6,311,513   15,858
SmallCap Growth Fund I 20,894   212 —   — —     — 20,894   212
SmallCap Value Fund II 73,229   726 —   — —     — 73,229   726
Small-MidCap Dividend Income Fund 331,050   3,592 1,826   26 11,850     166 321,026   3,451
    $ 200,672   $ 7,458     $ 12,315 $   196,391
 
 
          Realized Gain/Loss       Realized Gain from
      Income   on Investments     Capital Gain Distributions
Blue Chip Fund $   — $     (1 )   $     —
Bond & Mortgage Securities Account     —       (2 )         —
Diversified International Account     —       553           —
Equity Income Account     —       190           —
Global Diversified Income Fund     76       (8 )         —
Global Multi-Strategy Fund     —       —           —
Global Real Estate Securities Fund     27       —           —
Government & High Quality Bond Account   —       5           —
High Yield Fund     161       (13 )         —
Income Account     —       23           —
Inflation Protection Fund     —       —           —
International Emerging Markets Fund     —       (24 )         —
LargeCap Growth Fund     —       (38 )         —
LargeCap Value Fund     —       (121 )         —
MidCap Account     —       11           —
MidCap Value Fund I     —       —           —
Preferred Securities Fund     14       —           —
Principal Capital Appreciation Fund     —       7           —
Short-Term Income Account     —       (5 )         —
SmallCap Growth Fund I     —       —           —
SmallCap Value Fund II     —       —           —
Small-MidCap Dividend Income Fund     26       (1 )         —
  $   304 $     576     $     —
Amounts in thousands except shares                          

 

See accompanying notes.

143

 

        Schedule of Investments  
    SAM Conservative Growth Portfolio  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 62.00%        
Blue Chip Fund (a)   1,127,090 $ 17,639  
Diversified Real Asset Fund (a)   871,187   10,480  
Global Multi-Strategy Fund (a)   2,729,650   30,627  
Global Real Estate Securities Fund (a)   971,352   9,276  
High Yield Fund (a)   250,902   1,869  
International Emerging Markets Fund (a)   174,225   4,157  
LargeCap Growth Fund (a)   3,329,091   37,419  
LargeCap Value Fund (a)   2,747,416   34,865  
MidCap Value Fund I (a)   533,052   8,092  
Preferred Securities Fund (a)   35,891   374  
Principal Capital Appreciation Fund (a)   364,128   21,662  
SmallCap Growth Fund I (a)   50,087   635  
SmallCap Value Fund II (a)   123,629   1,667  
Small-MidCap Dividend Income Fund (a)   875,614   12,276  
    $   191,038  
 
Principal Variable Contracts Funds, Inc. Class 1 - 38.03%      
Diversified International Account (a)   1,440,478   21,175  
Equity Income Account (a)   1,839,710   42,791  
Government & High Quality Bond Account (a) 717,674   7,586  
Income Account (a)   1,249,382   13,681  
MidCap Account (a)   422,680   27,381  
Short-Term Income Account (a)   1,755,428   4,582  
    $   117,196  
TOTAL INVESTMENT COMPANIES   $   308,234  
Total Investments   $   308,234  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (87 )
TOTAL NET ASSETS - 100.00%   $   308,147  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       66.34 %
Specialty Funds       13.34 %
International Equity Funds       11.23 %
Fixed Income Funds       9.12 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

144

 

Schedule of Investments
SAM Conservative Growth Portfolio
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014   Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost   Shares   Cost Shares     Proceeds Shares   Cost
Blue Chip Fund 1,121,994 $ 15,701   20,030 $ 306 14,934   $ 235 1,127,090 $ 15,771
Diversified International Account 2,094,008   26,131   12,479   182 666,009     9,308 1,440,478   16,802
Diversified Real Asset Fund 871,224   10,211   8,579   104 8,616     105 871,187   10,205
Equity Income Account 1,830,072   20,448   27,570   635 17,932     418 1,839,710   20,669
Global Multi-Strategy Fund 2,098,559   22,401   662,371   7,291 31,280     349 2,729,650   29,339
Global Real Estate Securities Fund 797,815   6,823   184,330   1,762 10,793     105 971,352   8,479
Government & High Quality Bond 720,217   6,965   7,399   78 9,942     104 717,674   6,939
Account                            
High Yield Fund 233,667   1,574   17,235   126 —     — 250,902   1,700
Income Account 1,255,785   12,061   9,531   104 15,934     173 1,249,382   11,993
International Emerging Markets Fund 300,706   7,077   —   — 126,481     2,965 174,225   4,085
LargeCap Growth Fund 3,338,967   36,250   30,748   341 40,624     454 3,329,091   36,108
LargeCap Value Fund 3,267,577   42,345   22,498   285 542,659     6,762 2,747,416   35,539
MidCap Account 352,126   16,536   76,061   4,545 5,507     350 422,680   20,739
MidCap Value Fund I 166,656   2,692   373,340   5,457 6,944     104 533,052   8,034
Preferred Securities Fund 35,441   215   450   5 —     — 35,891   220
Principal Capital Appreciation Fund 363,569   18,505   3,500   208 2,941     175 364,128   18,538
Short-Term Income Account 1,716,244   4,383   39,184   102 —     — 1,755,428   4,485
SmallCap Growth Fund I 50,087   507   —   — —     — 50,087   507
SmallCap Value Fund II 123,629   1,218   —   — —     — 123,629   1,218
Small-MidCap Dividend Income Fund 881,832   10,043   8,682   122 14,900     210 875,614   9,953
    $ 262,086   $   21,653     $ 21,817 $   261,323
 
 
              Realized Gain/Loss       Realized Gain from
      Income       on Investments     Capital Gain Distributions
Blue Chip Fund $     — $     (1 )   $     —
Diversified International Account       —       (203 )         —
Diversified Real Asset Fund       —       (5 )         —
Equity Income Account       —       4           —
Global Multi-Strategy Fund       —       (4 )         —
Global Real Estate Securities Fund       67       (1 )         —
Government & High Quality Bond Account     —       —           —
High Yield Fund       27       —           —
Income Account       —       1           —
International Emerging Markets Fund       —       (27 )         —
LargeCap Growth Fund       —       (29 )         —
LargeCap Value Fund       —       (329 )         —
MidCap Account       —       8           —
MidCap Value Fund I       —       (11 )         —
Preferred Securities Fund       5       —           —
Principal Capital Appreciation Fund       —       —           —
Short-Term Income Account       —       —           —
SmallCap Growth Fund I       —       —           —
SmallCap Value Fund II       —       —           —
Small-MidCap Dividend Income Fund       70       (2 )         —
  $     169 $     (599 )   $     —
Amounts in thousands except shares                            

 

See accompanying notes.

145

 

        Schedule of Investments  
        SAM Flexible Income Portfolio  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.02% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 36.67%        
Blue Chip Fund (a)   154,862 $ 2,424  
Global Diversified Income Fund (a)   1,096,003   15,432  
Global Real Estate Securities Fund (a)   244,685   2,337  
High Yield Fund (a)   2,578,654   19,211  
Inflation Protection Fund (a)   1,183,764   10,168  
International Emerging Markets Fund (a)   58,957   1,407  
LargeCap Growth Fund (a)   868,008   9,756  
LargeCap Value Fund (a)   932,863   11,838  
Preferred Securities Fund (a)   337,113   3,509  
SmallCap Growth Fund I (a)   20,056   254  
Small-MidCap Dividend Income Fund (a)   769,378   10,787  
    $   87,123  
 
Principal Variable Contracts Funds, Inc. Class 1 - 63.35%      
Bond & Mortgage Securities Account (a)   465,156   5,428  
Diversified International Account (a)   116,229   1,709  
Equity Income Account (a)   1,021,702   23,765  
Government & High Quality Bond Account (a) 2,348,729   24,826  
Income Account (a)   6,605,394   72,329  
Short-Term Income Account (a)   8,614,737   22,484  
    $   150,541  
TOTAL INVESTMENT COMPANIES   $   237,664  
Total Investments   $   237,664  
Liabilities in Excess of Other Assets, Net - (0.02)% $   (54 )
TOTAL NET ASSETS - 100.00%   $   237,610  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Fixed Income Funds       66.48 %
Domestic Equity Funds       24.76 %
Specialty Funds       6.49 %
International Equity Funds       2.29 %
Liabilities in Excess of Other Assets, Net       (0.02 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

146

 

Schedule of Investments
SAM Flexible Income Portfolio
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases   Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares   Cost Shares     Proceeds Shares   Cost
Blue Chip Fund 166,707 $ 2,149 — $ — 11,845   $ 176 154,862 $ 1,985
Bond & Mortgage Securities Account 480,945   5,545 5,462   63 21,251     246 465,156   5,360
Diversified International Account 300,456   2,770 —   — 184,227     2,559 116,229   947
Equity Income Account 1,035,499   14,144 11,297   263 25,094     585 1,021,702   13,824
Global Diversified Income Fund 1,094,973   14,933 26,615   375 25,585     361 1,096,003   14,927
Global Real Estate Securities Fund 264,882   1,968 1,778   17 21,975     213 244,685   1,784
Government & High Quality Bond 2,353,313   23,239 45,523   479 50,107     528 2,348,729   23,195
Account                          
High Yield Fund 1,949,914   13,756 659,823   4,846 31,083     232 2,578,654   18,356
Income Account 6,622,511   66,362 107,246   1,166 124,363     1,356 6,605,394   66,164
Inflation Protection Fund 1,168,795   10,067 25,054   215 10,085     87 1,183,764   10,194
International Emerging Markets Fund 79,337   1,889 —   — 20,380     472 58,957   1,396
LargeCap Growth Fund 868,876   9,308 12,062   135 12,930     145 868,008   9,299
LargeCap Value Fund 1,019,252   13,233 14,950   190 101,339     1,267 932,863   12,090
Preferred Securities Fund 351,413   2,006 4,331   45 18,631     194 337,113   1,891
Short-Term Income Account 8,611,528   21,314 161,973   421 158,764     413 8,614,737   21,319
SmallCap Growth Fund I 20,056   203 —   — —     — 20,056   203
Small-MidCap Dividend Income Fund 779,702   8,245 11,134   156 21,458     301 769,378   8,104
    $ 211,131   $ 8,371     $ 9,135 $   211,038
 
 
            Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Blue Chip Fund $   — $     12   $       —
Bond & Mortgage Securities Account     —       (2 )         —
Diversified International Account     —       736           —
Equity Income Account     —       2           —
Global Diversified Income Fund     160       (20 )         —
Global Real Estate Securities Fund     17       12           —
Government & High Quality Bond Account   —       5           —
High Yield Fund     271       (14 )         —
Income Account     —       (8 )         —
Inflation Protection Fund     —       (1 )         —
International Emerging Markets Fund     —       (21 )         —
LargeCap Growth Fund     —       1           —
LargeCap Value Fund     —       (66 )         —
Preferred Securities Fund     45       34           —
Short-Term Income Account     —       (3 )         —
SmallCap Growth Fund I     —       —           —
Small-MidCap Dividend Income Fund     61       4           —
  $   554 $     671   $       —
Amounts in thousands except shares                          

 

See accompanying notes.

147

 

        Schedule of Investments  
    SAM Strategic Growth Portfolio  
        March 31, 2015 (unaudited)  
 
 
INVESTMENT COMPANIES - 100.03% Shares Held Value (000's)  
 
Principal Funds, Inc. Institutional Class - 78.93%        
Global Multi-Strategy Fund (a)   1,751,500 $ 19,652  
Global Real Estate Securities Fund (a)   1,119,726   10,693  
International Emerging Markets Fund (a)   245,691   5,862  
LargeCap Growth Fund (a)   3,706,015   41,656  
LargeCap Value Fund (a)   2,638,754   33,486  
MidCap Value Fund I (a)   973,736   14,781  
Principal Capital Appreciation Fund (a)   775,612   46,141  
SmallCap Growth Fund I (a)   361,224   4,580  
SmallCap Value Fund II (a)   373,114   5,030  
Small-MidCap Dividend Income Fund (a)   692,232   9,705  
    $   191,586  
 
Principal Variable Contracts Funds, Inc. Class 1 - 21.10%      
Diversified International Account (a)   865,239   12,719  
Equity Income Account (a)   1,654,861   38,492  
    $   51,211  
TOTAL INVESTMENT COMPANIES   $   242,797  
Total Investments   $   242,797  
Liabilities in Excess of Other Assets, Net - (0.03)% $   (72 )
TOTAL NET ASSETS - 100.00%   $   242,725  
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional  
information.          
 
 
 
Portfolio Summary (unaudited)      
Fund Type       Percent  
Domestic Equity Funds       79.88 %
International Equity Funds       12.05 %
Specialty Funds       8.10 %
Liabilities in Excess of Other Assets, Net       (0.03 )%
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

148

 

Schedule of Investments
SAM Strategic Growth Portfolio
March 31, 2015 (unaudited)
 
 
  December 31,   December 31,                   March 31,
Affiliated Securities 2014   2014 Purchases Purchases Sales     Sales March 31, 2015   2015
  Shares   Cost Shares   Cost Shares     Proceeds Shares   Cost
Diversified International Account 1,304,494 $ 14,885 6,677 $ 98 445,932   $ 6,231 865,239 $ 9,317
Equity Income Account 1,621,596   19,876 50,823   1,164 17,558     409 1,654,861   20,641
Global Multi-Strategy Fund 446,248   4,977 1,312,135   14,437 6,883     77 1,751,500   19,337
Global Real Estate Securities Fund 1,125,328   9,486 47,697   456 53,299     519 1,119,726   9,438
International Emerging Markets Fund 382,516   9,096 —   — 136,825     3,205 245,691   5,803
LargeCap Growth Fund 3,675,275   39,379 71,736   788 40,996     458 3,706,015   39,709
LargeCap Value Fund 3,464,774   45,010 40,465   514 866,485     10,796 2,638,754   34,128
MidCap Value Fund I 581,999   9,405 401,381   5,872 9,644     146 973,736   15,116
Principal Capital Appreciation Fund 763,314   42,312 20,919   1,218 8,621     512 775,612   42,999
SmallCap Growth Fund I 362,606   3,708 —   — 1,382     17 361,224   3,692
SmallCap Value Fund II 373,985   3,631 —   — 871     11 373,114   3,620
Small-MidCap Dividend Income Fund 683,462   7,799 17,869   250 9,099     128 692,232   7,918
    $ 209,564   $ 24,797     $ 22,509 $   211,718
 
 
          Realized Gain/Loss       Realized Gain from
      Income     on Investments     Capital Gain Distributions
Diversified International Account $   — $     565     $     —
Equity Income Account     —       10           —
Global Multi-Strategy Fund     —       —           —
Global Real Estate Securities Fund     78       15           —
International Emerging Markets Fund     —       (88 )         —
LargeCap Growth Fund     —       —           —
LargeCap Value Fund     —       (600 )         —
MidCap Value Fund I     —       (15 )         —
Principal Capital Appreciation Fund     —       (19 )         —
SmallCap Growth Fund I     —       1           —
SmallCap Value Fund II     —       —           —
Small-MidCap Dividend Income Fund     55       (3 )         —
  $   133 $     (134 )   $     —
Amounts in thousands except shares                          

 

See accompanying notes.

149

 

Schedule of Investments
Short-Term Income Account
March 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 1.54%     Shares Held Value (000's)         Principal    
                BONDS (continued)   Amount (000's) Value (000's)
  Publicly Traded Investment Fund - 1.54%                        
  BlackRock Liquidity Funds FedFund Portfolio     4,020,116 $ 4,020   Automobile Floor Plan Asset Backed Securities - 2.48%    
                CNH Wholesale Master Note Trust          
  TOTAL INVESTMENT COMPANIES     $   4,020   0.77%, 08/15/2019(a),(b)   $ 1,250 $ 1,252
        Principal       Ford Credit Floorplan Master Owner Trust A          
BONDS- 97.69 %   Amount (000's) Value (000's)   0.55%, 01/15/2018(b)     1,500   1,501
                Nissan Master Owner Trust Receivables          
  Agriculture - 0.85%             0.47%, 02/15/2018(b)     1,000   1,000
  Cargill Inc             Volkswagen Credit Auto Master Trust          
  6.00%, 11/27/2017(a)   $ 2,000 $ 2,230   0.53%, 07/22/2019(a),(b)     1,000   998
                World Omni Master Owner Trust          
                0.52%, 02/15/2018(a),(b)     1,750   1,749
  Automobile Asset Backed Securities - 7.10%                  
  American Credit Acceptance Receivables                   $   6,500
  Trust             Automobile Manufacturers - 2.79%          
  1.64%, 11/15/2016(a),(b)     34   34              
                Daimler Finance North America LLC          
  AmeriCredit Automobile Receivables 2015-1             0.68%, 03/02/2018(a),(b)     750   751
  0.77%, 04/09/2018     1,500   1,500   1.38%, 08/01/2017(a)     500   500
  AmeriCredit Automobile Receivables Trust             1.65%, 03/02/2018(a)     500   503
  2013-5             Ford Motor Credit Co LLC          
  0.56%, 03/08/2017(b)     262   262              
                3.98%, 06/15/2016     1,930   1,990
  AmeriCredit Automobile Receivables Trust             PACCAR Financial Corp          
  2014-1             0.86%, 12/06/2018(b)     750   754
  0.57%, 07/10/2017(b)     598   598              
                1.45%, 03/09/2018     500   502
  AmeriCredit Automobile Receivables Trust             2.20%, 09/15/2019     1,000   1,018
  2014-2             Toyota Motor Credit Corp          
  0.54%, 10/10/2017(b)     1,352   1,351              
                2.10%, 01/17/2019     1,250   1,272
  AmeriCredit Automobile Receivables Trust                   $   7,290
  2014-3                        
  0.64%, 04/09/2018     1,403   1,403 Banks- 16.86 %        
  Capital Auto Receivables Asset Trust 2013-1             Australia & New Zealand Banking Group          
  0.97%, 01/22/2018     1,000   1,001   Ltd/New York NY          
  Capital Auto Receivables Asset Trust 2014-1             0.82%, 05/15/2018(b)     500   502
  0.68%, 05/20/2016(b)     846   846   Bank of America NA          
  Capital Auto Receivables Asset Trust 2014-3             0.55%, 06/15/2016(b)     1,000   996
  0.50%, 02/21/2017(b)     1,800   1,797   0.57%, 06/15/2017(b)     750   744
  CPS Auto Receivables Trust 2013-A             1.25%, 02/14/2017     500   501
  1.31%, 06/15/2020(a),(b)     1,258   1,249   5.30%, 03/15/2017     3,900   4,165
  CPS Auto Receivables Trust 2013-B             Bank of New York Mellon Corp/The          
  1.82%, 09/15/2020(a),(b)     694   691   2.20%, 05/15/2019     1,000   1,016
  CPS Auto Receivables Trust 2013-C             BB&T Corp          
  1.64%, 04/16/2018(a)     449   449   0.91%, 02/01/2019(b)     500   502
  CPS Auto Receivables Trust 2013-D             Branch Banking & Trust Co          
  1.54%, 07/16/2018(a),(b)     529   529   0.56%, 05/23/2017(b)     1,750   1,738
  CPS Auto Receivables Trust 2014-C             0.59%, 09/13/2016(b)     1,300   1,295
  1.31%, 02/15/2019(a),(b)     1,037   1,033   Capital One Financial Corp          
  CPS Auto Receivables Trust 2014-D             6.15%, 09/01/2016     1,316   1,402
  1.49%, 04/15/2019(a)     901   899   Capital One NA/Mclean VA          
  CPS Auto Trust             0.94%, 02/05/2018(b)     1,000   1,002
  1.48%, 03/16/2020(a)     252   252   1.65%, 02/05/2018     1,000   996
  Ford Credit Auto Owner Trust/Ford Credit             Citigroup Inc          
  2014-REV1           4.75%, 05/19/2015     1,250   1,257
  2.26%, 11/15/2025(a),(b)     1,000   1,018   6.13%, 05/15/2018     2,000   2,251
  Santander Drive Auto Receivables Trust 2013-             Commonwealth Bank of Australia/New York          
  5             NY          
  0.55%, 04/17/2017(b)     22   22   1.63%, 03/12/2018     750   753
  Santander Drive Auto Receivables Trust 2014-             2.25%, 03/13/2019     500   507
  1             Goldman Sachs Group Inc/The          
  0.54%, 06/15/2017(b)     212   212   1.36%, 11/15/2018(b)     2,000   2,022
  0.66%, 06/15/2017(b)     933   933   1.42%, 04/23/2020(b)     500   506
  Santander Drive Auto Receivables Trust 2014-             2.60%, 04/23/2020     300   303
  2             JP Morgan Chase Bank NA          
  0.54%, 07/17/2017(b)     576   575   5.88%, 06/13/2016     1,250   1,320
  Santander Drive Auto Receivables Trust 2014-             6.00%, 10/01/2017     3,000   3,321
  3             KeyBank NA/Cleveland OH          
  0.54%, 08/15/2017(b)     681   680   2.25%, 03/16/2020     500   503
  Westlake Automobile Receivables Trust 2014-             5.45%, 03/03/2016     250   260
  2             7.41%, 10/15/2027     2,750   2,756
  0.97%, 10/16/2017(a),(b)     500   500   Morgan Stanley          
  Westlake Automobile Receivables Trust 2015-             1.11%, 01/24/2019(b)     2,750   2,759
  1             1.54%, 04/25/2018(b)     2,000   2,032
  1.17%, 03/15/2018(a),(b),(c)     750   750   1.88%, 01/05/2018     500   503
        $   18,584   National City Bank/Cleveland OH          
                0.63%, 06/07/2017(b)     500   498

 

See accompanying notes.

150

 

Schedule of Investments
Short-Term Income Account
March 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)   Amount (000's) Value (000's)
 
Banks (continued)           Electric (continued)          
PNC Bank NA           PPL Energy Supply LLC          
4.88%, 09/21/2017 $ 1,700 $ 1,835   5.70%, 10/15/2035   $ 1,400 $ 1,417
SunTrust Bank/Atlanta GA           6.50%, 05/01/2018     250   266
0.55%, 08/24/2015(b)   1,000   1,000   Public Service Co of New Mexico          
0.56%, 04/01/2015(b)   500   500   7.95%, 05/15/2018     2,785   3,270
7.25%, 03/15/2018   1,500   1,736   San Diego Gas & Electric Co          
US Bank NA/Cincinnati OH           1.91%, 02/01/2022     300   302
0.74%, 10/28/2019(b)   1,250   1,253   Southern California Edison Co          
Wells Fargo Bank NA           1.85%, 02/01/2022     615   618
6.00%, 11/15/2017   1,250   1,397   Southern Co/The          
    $   44,131   2.45%, 09/01/2018     1,000   1,031
            TransAlta Corp          
Beverages - 0.39%           6.65%, 05/15/2018     2,250   2,501
Anheuser-Busch InBev Finance Inc                 $   14,378
2.15%, 02/01/2019   500   509              
SABMiller Holdings Inc           Finance - Mortgage Loan/Banker - 7.56%          
0.94%, 08/01/2018(a),(b)   500   501   Fannie Mae          
    $   1,010   1.63%, 01/21/2020     7,000   7,048
            1.75%, 06/20/2019     3,000   3,050
Biotechnology - 0.77%           1.75%, 09/12/2019     3,250   3,302
Amgen Inc           1.88%, 02/19/2019     6,250   6,394
1.25%, 05/22/2017   1,000   999         $   19,794
2.20%, 05/22/2019   1,000   1,013              
    $   2,012 Food - 0.48 %        
            Ingredion Inc          
Chemicals - 1.04%           3.20%, 11/01/2015     1,250   1,265
Airgas Inc                      
1.65%, 02/15/2018   1,200   1,195              
3.25%, 10/01/2015   1,500   1,516 Gas - 0.63 %        
    $   2,711   Laclede Group Inc/The          
            1.01%, 08/15/2017(b)     1,650   1,648
Commercial Services - 0.29%                      
ERAC USA Finance LLC                      
5.60%, 05/01/2015(a)   750   753   Healthcare - Products - 0.68%          
            Becton Dickinson and Co          
            1.80%, 12/15/2017     500   504
Computers - 0.77%           2.68%, 12/15/2019     500   511
Apple Inc           Medtronic Inc          
1.00%, 05/03/2018   500   497   1.07%, 03/15/2020(a),(b)     500   505
International Business Machines Corp           1.50%, 03/15/2018(a)     250   251
1.95%, 02/12/2019   1,500   1,522         $   1,771
    $   2,019              
            Healthcare - Services - 0.59%          
Credit Card Asset Backed Securities - 0.90%       Anthem Inc          
Cabela's Credit Card Master Note Trust           5.88%, 06/15/2017     500   547
0.52%, 03/16/2020(b)   390   390              
            Roche Holdings Inc          
0.62%, 07/15/2022(b)   750   748   0.61%, 09/30/2019(a),(b)     1,000   1,002
0.65%, 06/15/2020(a),(b)   500   502              
0.70%, 02/18/2020(a),(b)   710   712         $   1,549
    $   2,352   Home Equity Asset Backed Securities - 3.26%      
            ABFC 2005-WMC1 Trust          
Diversified Financial Services - 3.14%           0.83%, 06/25/2035(b)     539   532
General Electric Capital Corp           ACE Securities Corp Home Equity Loan Trust          
0.76%, 01/14/2019(b)   2,500   2,503              
            Series 2005-HE2          
0.87%, 01/09/2020(b)   500   503   0.89%, 04/25/2035(b)     348   348
5.63%, 09/15/2017   250   276   ACE Securities Corp Home Equity Loan Trust          
Jefferies Group LLC           Series 2005-WF1          
3.88%, 11/09/2015   1,500   1,520   0.85%, 05/25/2035(b)     221   220
MassMutual Global Funding II           Asset Backed Securities Corp Home Equity          
2.10%, 08/02/2018(a)   500   510              
            Loan Trust Series OOMC 2005-HE6          
Murray Street Investment Trust I           0.68%, 07/25/2035(b)     611   606
4.65%, 03/09/2017(b)   2,750   2,914              
            Bayview Financial Acquisition Trust          
    $   8,226   0.81%, 05/28/2044(b)     74   74
            0.81%, 08/28/2044(b)     479   477
Electric - 5.49%           5.66%, 12/28/2036(b)     29   29
Dominion Resources Inc/VA                      
1.40%, 09/15/2017   1,000   1,001   Bear Stearns Asset Backed Securities I Trust          
Indiantown Cogeneration LP           2006 -PC1        
            0.50%, 12/25/2035(b)     524   522
9.77%, 12/15/2020   496   568              
LG&E and KU Energy LLC           Home Equity Asset Trust 2005-4          
            0.88%, 10/25/2035(b)     1,000   977
2.13%, 11/15/2015   1,250   1,258              
NextEra Energy Capital Holdings Inc           JP Morgan Mortgage Acquisition Corp 2005-          
7.30%, 09/01/2067(b)   1,000   1,053   FLD1          
            0.91%, 07/25/2035(b)     83   83
NiSource Finance Corp                      
5.25%, 09/15/2017   1,000   1,093              

 

See accompanying notes.

151

 

Schedule of Investments
Short-Term Income Account
March 31, 2015 (unaudited)
 
 
      Principal             Principal    
BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)   Amount (000's) Value (000's)
 
Home Equity Asset Backed Securities (continued)       Manufactured Housing Asset Backed Securities (continued)    
JP Morgan Mortgage Acquisition Corp 2005-             Mid-State Trust IV          
OPT1             8.33%, 04/01/2030   $ 12 $ 13
0.62%, 06/25/2035(b)   $ 261 $ 259         $   82
RAMP Series 2005-EFC2 Trust                        
0.64%, 07/25/2035(b)     78   78 Media- 0.35 %        
RASC Series 2003-KS10 Trust             Time Warner Cable Inc          
4.47%, 03/25/2032     311   315   8.25%, 04/01/2019     750   917
RASC Series 2005-AHL2 Trust                        
0.52%, 10/25/2035(b)     128   126   Mining - 0.68%          
Soundview Home Loan Trust 2005-CTX1             Glencore Finance Canada Ltd          
0.59%, 11/25/2035(b)     546   539   2.70%, 10/25/2017(a),(b)     1,250   1,268
Structured Asset Securities Corp Mortgage             Teck Resources Ltd          
Loan Trust Series 2005-GEL4             5.38%, 10/01/2015     500   511
0.79%, 08/25/2035(b)     194   184         $   1,779
Terwin Mortgage Trust 2005-2HE                        
0.55%, 01/25/2035(a),(b)     21   20   Mortgage Backed Securities - 8.22%          
Terwin Mortgage Trust Series TMTS 2005-             Adjustable Rate Mortgage Trust 2004-2          
              1.31%, 02/25/2035(b)     32   32
14HE                      
4.85%, 08/25/2036(b)     209   216   Alternative Loan Trust 2004-J8          
Wells Fargo Home Equity Asset-Backed             6.00%, 02/25/2017     42   42
Securities 2004-2 Trust             Banc of America Alternative Loan Trust 2003-          
0.59%, 10/25/2034(b)     53   52   10          
5.00%, 10/25/2034     2,646   2,640   5.00%, 12/25/2018     190   194
5.00%, 10/25/2034     3   3   Banc of America Funding 2004-1 Trust          
Wells Fargo Home Equity Asset-Backed             5.25%, 02/25/2019     37   38
Securities 2005-2 Trust             Banc of America Funding 2004-3 Trust          
0.58%, 11/25/2035(b)     233   233   4.75%, 09/25/2019     151   153
      $   8,533   Banc of America Funding 2006-G Trust          
              0.35%, 07/20/2036(b)     17   17
Home Furnishings - 0.58%             Banc of America Mortgage Trust 2004-8          
Samsung Electronics America Inc             5.25%, 10/25/2019     67   69
1.75%, 04/10/2017(a)     1,500   1,513   Banc of America Mortgage Trust 2005-7          
              5.00%, 08/25/2020     10   10
Insurance - 4.42%             BCAP LLC 2011-RR11 Trust          
              2.56%, 03/26/2035(a),(b)     294   295
Berkshire Hathaway Finance Corp                        
1.60%, 05/15/2017     1,500   1,523   CHL Mortgage Pass-Through Trust 2003-46          
              2.47%, 01/19/2034(b)     159   159
2.00%, 08/15/2018     1,000   1,025              
Chubb Corp/The             CHL Mortgage Pass-Through Trust 2004-19          
6.38%, 03/29/2067(b)     250   265   5.25%, 10/25/2034     26   26
Lincoln National Corp             CHL Mortgage Pass-Through Trust 2004-J1          
              4.50%, 01/25/2019(b)     42   43
7.00%, 05/17/2066(b)     500   480              
MetLife Inc             CHL Mortgage Pass-Through Trust 2004-J7          
6.82%, 08/15/2018     750   874   5.00%, 09/25/2019     134   138
Metropolitan Life Global Funding I             Citigroup Mortgage Loan Trust 2009-6          
              2.63%, 07/25/2036(a),(b)     99   99
2.30%, 04/10/2019(a)     250   254              
New York Life Global Funding             Credit Suisse First Boston Mortgage Securities          
1.45%, 12/15/2017(a)     1,250   1,261   Corp          
              1.13%, 05/25/2034(b)     114   112
2.15%, 06/18/2019(a)     750   757              
2.45%, 07/14/2016(a)     1,000   1,022   5.00%, 09/25/2019     30   29
Prudential Covered Trust 2012-1             5.00%, 10/25/2019     170   171
3.00%, 09/30/2015(a)     2,323   2,346   Credit Suisse Mortgage Capital Certificates          
              2.25%, 07/27/2037(a),(b)     193   193
Prudential Financial Inc                        
8.88%, 06/15/2068(b)     1,500   1,768   Freddie Mac REMICS          
              0.62%, 06/15/2023(b)     3   3
      $   11,575   Ginnie Mae          
Internet - 0.39%             0.61%, 07/16/2054(b)     4,662   267
Amazon.com Inc             0.76%, 03/16/2049(b)     7,192   349
2.60%, 12/05/2019     1,000   1,024   0.89%, 09/16/2055(b)     9,756   649
              0.91%, 03/16/2052(b)     4,794   385
              0.93%, 10/16/2054(b)     5,723   367
Iron & Steel - 0.39%             0.93%, 10/16/2054(b)     6,325   353
ArcelorMittal             0.93%, 06/16/2055(b)     9,803   609
4.50%, 03/01/2016(b)     1,000   1,020              
              0.98%, 02/16/2055(b)     9,533   469
              1.00%, 01/16/2055(b)     9,676   568
Machinery - Diversified - 0.96%             1.01%, 10/16/2054(b)     6,723   417
John Deere Capital Corp             1.11%, 01/16/2054(b)     6,314   432
1.35%, 01/16/2018     1,000   1,004   1.14%, 08/16/2042(b)     14,972   1,062
2.05%, 03/10/2020     1,500   1,510   1.15%, 06/16/2045(b)     12,257   900
      $   2,514   1.21%, 07/16/2056(b)     999   89
              1.22%, 02/16/2046(b)     9,659   747
Manufactured Housing Asset Backed Securities - 0.03%       1.41%, 12/16/2036(b)     4,368   334
Green Tree Financial Corp             4.50%, 08/20/2032     30   31
7.70%, 09/15/2026     65   69              

 

See accompanying notes.

152

 

Schedule of Investments
Short-Term Income Account
March 31, 2015 (unaudited)
 
 
    Principal           Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)     Amount (000's) Value (000's)
 
Mortgage Backed Securities (continued)         Other Asset Backed Securities (continued)          
GSMSC Pass-Through Trust 2009-4R         Ameriquest Mortgage Securities Inc Asset-          
0.62%, 12/26/2036(a),(b) $ 536 $ 528 Backed Pass-Through Ctfs Ser 2005-R1          
JP Morgan Mortgage Trust 2004-A3         0.85%, 03/25/2035(b)   $ 529 $ 527
2.34%, 07/25/2034(b)   87   87 Carrington Mortgage Loan Trust Series 2005-          
JP Morgan Mortgage Trust 2004-S1         NC4          
5.00%, 09/25/2034   447   464 0.57%, 09/25/2035(b)     197   196
JP Morgan Resecuritization Trust Series 2010-         Citigroup Mortgage Loan Trust Inc          
4         0.60%, 07/25/2035(b)     89   88
2.26%, 10/26/2036(a),(b)   194   194 Credit-Based Asset Servicing and          
MASTR Alternative Loan Trust 2003-9         Securitization LLC          
6.50%, 01/25/2019   109   111 4.24%, 08/25/2035(b)     59   59
MASTR Asset Securitization Trust 2004-11         4.74%, 07/25/2035(b)     447   453
5.00%, 12/25/2019   33   34 CWABS Asset-Backed Certificates Trust          
MASTR Asset Securitization Trust 2004-9         2005-3          
5.00%, 09/25/2019   94   96 0.62%, 08/25/2035(b)     499   498
PHH Mortgage Trust Series 2008-CIM1         Drug Royalty II LP 2          
5.22%, 06/25/2038   606   617 3.48%, 07/15/2023(a),(b)     1,404   1,427
Prime Mortgage Trust 2005-2         FFMLT Trust 2005-FF2          
5.25%, 07/25/2020(b)   220   224 0.83%, 03/25/2035(b)     46   46
Provident Funding Mortgage Loan Trust 2005-         Fieldstone Mortgage Investment Trust Series          
1         2005-1          
0.46%, 05/25/2035(b)   550   528 1.25%, 03/25/2035(b)     407   407
RALI Series 2003-QS23 Trust         First Franklin Mortgage Loan Trust 2005-          
5.00%, 12/26/2018   394   399 FF4          
RALI Series 2004-QS3 Trust         0.60%, 05/25/2035(b)     170   168
5.00%, 03/25/2019   139   139 Green Tree Home Improvement Loan Trust          
RBSSP Resecuritization Trust 2009-7         7.45%, 09/15/2025     1   1
0.57%, 06/26/2037(a),(b)   95   91 JP Morgan Mortgage Acquisition Corp 2005-          
Sequoia Mortgage Trust 2013-4         OPT2          
1.55%, 04/25/2043(b)   1,896   1,831 0.46%, 12/25/2035(b)     600   589
Sequoia Mortgage Trust 2013-8         Mastr Specialized Loan Trust          
2.25%, 06/25/2043(b)   1,253   1,229 1.42%, 11/25/2034(a),(b)     114   117
Springleaf Mortgage Loan Trust 2012-3         Merrill Lynch Mortgage Investors Trust Series          
1.57%, 12/25/2059(a),(b)   1,183   1,186 2005 -FM1        
2.66%, 12/25/2059(a),(b)   500   500 0.55%, 05/25/2036(b)     23   23
3.56%, 12/25/2059(a)   200   203 NYCTL 2014-A Trust          
Springleaf Mortgage Loan Trust 2013-1         1.03%, 11/10/2027(a),(c)     249   248
1.27%, 06/25/2058(a),(b)   1,916   1,914 OneMain Financial Issuance Trust 2014-1          
Springleaf Mortgage Loan Trust 2013-2         2.43%, 06/18/2024(a),(b)     900   901
1.78%, 12/25/2065(a)   677   676 OneMain Financial Issuance Trust 2014-2          
3.52%, 12/25/2065(a),(b)   569   580 2.47%, 09/18/2024(a),(c)     2,000   1,995
WaMu Mortgage Pass-Through Certificates         PFS Financing Corp          
Series 2003-S8 Trust         0.67%, 04/17/2017(a),(b)     1,250   1,251
5.00%, 09/25/2018   44   45 0.72%, 02/15/2018(a),(b)     2,000   2,000
    $   21,527 0.77%, 02/15/2019(a),(b)     750   748
          0.77%, 10/15/2019(a),(b)     500   500
Oil & Gas - 3.13%         PFS Tax Lien Trust 2014-1          
BP Capital Markets PLC         1.44%, 05/15/2029(a),(b)     364   365
4.75%, 03/10/2019   2,000   2,214 Securitized Asset Backed Receivables LLC          
Chevron Corp         Trust 2006-OP1          
1.37%, 03/02/2018   500   502 0.47%, 10/25/2035(b)     29   28
1.72%, 06/24/2018   1,300   1,317 Springleaf Funding Trust 2013-A          
Phillips 66         2.58%, 09/15/2021(a),(b)     646   649
2.95%, 05/01/2017   1,500   1,551 Trafigura Securitisation Finance PLC 2014-1          
Rowan Cos Inc         1.12%, 10/15/2021(a),(b),(c)     700   700
7.88%, 08/01/2019   500   558 Wachovia Mortgage Loan Trust Series 2005-          
Sinopec Group Overseas Development 2014         WMC1          
Ltd         0.91%, 10/25/2035(b)     132   132
1.75%, 04/10/2017(a)   500   500            
Total Capital International SA               $   14,173
0.83%, 08/10/2018(b)   550   553 Pharmaceuticals - 2.59%          
1.55%, 06/28/2017   1,000   1,011 Abbott Laboratories          
    $   8,206 2.00%, 03/15/2020     2,000   2,013
          AbbVie Inc          
Oil & Gas Services - 0.79%         1.20%, 11/06/2015     2,500   2,504
Weatherford International Ltd/Bermuda         Actavis Funding SCS          
5.50%, 02/15/2016   2,000   2,058 1.85%, 03/01/2017     500   503
          2.35%, 03/12/2018     750   760
Other Asset Backed Securities - 5.41%         Merck & Co Inc          
Ameriquest Mortgage Securities Inc Asset-         1.10%, 01/31/2018     1,000   998
Backed Pass-Through Ctfs Ser 2004-R11               $   6,778
0.78%, 11/25/2034(b)   57   57            

 

See accompanying notes.

153

 

Schedule of Investments
Short-Term Income Account
March 31, 2015 (unaudited)
 
 
        Principal           Principal    
  BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
  Pipelines - 1.63%           Student Loan Asset Backed Securities (continued)    
  Buckeye Partners LP           SLM Private Credit Student Loan Trust 2004-          
  2.65%, 11/15/2018   $ 965 $ 965 A          
  DCP Midstream LLC           0.47%, 03/16/2020(b)   $ 210 $ 210
  5.38%, 10/15/2015(a)     810   814 SLM Private Credit Student Loan Trust 2004-          
  Florida Gas Transmission Co LLC           B          
  4.00%, 07/15/2015(a)     1,000   1,008 0.47%, 06/15/2021(b)     1,129   1,122
  7.90%, 05/15/2019(a)     830   992 SLM Private Credit Student Loan Trust 2005-          
  TransCanada PipeLines Ltd           B          
  6.35%, 05/15/2067(b)     500   485 0.45%, 03/15/2023(b)     1,103   1,095
        $   4,264 0.54%, 12/15/2023(b)     350   339
              SLM Private Credit Student Loan Trust 2006-          
  Real Estate - 0.76%           A          
  Prologis LP           0.46%, 12/15/2023(b)     303   300
  7.38%, 10/30/2019     741   893 SLM Private Education Loan Trust 2013-A          
  WEA Finance LLC / Westfield UK & Europe           0.77%, 08/15/2022(a),(b)     825   826
  Finance PLC           SLM Private Education Loan Trust 2013-B          
  1.75%, 09/15/2017(a)     600   603            
              0.82%, 07/15/2022(a),(b)     622   623
  2.70%, 09/17/2019(a)     500   506            
              1.85%, 06/17/2030(a),(b)     500   497
        $   2,002 SLM Private Education Loan Trust 2014-A          
REITS- 3.42 %         0.77%, 07/15/2022(a),(b)     355   355
  Alexandria Real Estate Equities Inc                 $   10,872
  2.75%, 01/15/2020     1,500   1,505 Telecommunications - 1.96%          
  BioMed Realty LP           AT&T Inc          
  2.63%, 05/01/2019     500   504 0.64%, 02/12/2016(b)     1,000   999
  3.85%, 04/15/2016     1,000   1,024 Cisco Systems Inc          
  HCP Inc           1.10%, 03/03/2017     1,500   1,510
  6.30%, 09/15/2016     1,121   1,202 Verizon Communications Inc          
  Health Care REIT Inc           2.02%, 09/14/2018(b)     500   522
  3.63%, 03/15/2016     750   769 3.65%, 09/14/2018     1,500   1,595
  5.88%, 05/15/2015     500   503 Vodafone Group PLC          
  Healthcare Realty Trust Inc           1.63%, 03/20/2017     500   503
  5.75%, 01/15/2021     510   576       $   5,129
  6.50%, 01/17/2017     750   816            
  Kimco Realty Corp           Transportation - 0.29%          
  4.30%, 02/01/2018     500   538 Ryder System Inc          
  Nationwide Health Properties Inc           2.45%, 11/15/2018     750   763
  6.00%, 05/20/2015     500   503            
  Ventas Realty LP                      
  1.55%, 09/26/2016     750   755 Trucking & Leasing - 0.77%          
              Penske Truck Leasing Co Lp / PTL Finance          
  Ventas Realty LP / Ventas Capital Corp           Corp          
  2.70%, 04/01/2020     250   253 2.50%, 03/15/2016(a)     500   507
        $   8,948 3.13%, 05/11/2015(a)     1,500   1,503
  Retail - 0.10%                 $   2,010
  Walgreens Boots Alliance Inc           TOTAL BONDS     $   255,736
  1.75%, 11/17/2017     250   252 U.S. GOVERNMENT & GOVERNMENT     Principal    
              AGENCY OBLIGATIONS - 0.21%   Amount (000's) Value (000's)
  Savings & Loans - 0.00%           Federal Home Loan Mortgage Corporation (FHLMC) -    
  Washington Mutual Bank / Henderson NV           0.02 %        
              2.24%, 11/01/2021(b)   $ 1 $ 1
  0.00%, 01/15/2013(d)     200   —            
              2.39%, 09/01/2035(b)     50   54
              6.00%, 05/01/2017     8   8
  Software - 0.60%           9.50%, 08/01/2016     1   1
  Microsoft Corp                 $   64
  1.85%, 02/12/2020     1,000   1,009            
  Oracle Corp           Federal National Mortgage Association (FNMA) - 0.18%    
              1.88%, 04/01/2033(b)     142   149
  5.75%, 04/15/2018     500   565 2.13%, 07/01/2034(b)     61   65
        $   1,574 2.13%, 08/01/2034(b)     23   24
  Student Loan Asset Backed Securities - 4.15%       2.16%, 12/01/2032(b)     25   26
  KeyCorp Student Loan Trust 2004-A           2.29%, 02/01/2037(b)     72   76
  0.56%, 10/28/2041(b)     198   190 2.37%, 01/01/2035(b)     38   41
  KeyCorp Student Loan Trust 2006-A           2.41%, 11/01/2032(b)     8   9
  0.46%, 06/27/2029(b)     194   193 2.43%, 02/01/2035(b)     8   9
  0.58%, 09/27/2035(b)     2,500   2,419 2.63%, 12/01/2033(b)     28   30
  SLC Private Student Loan Trust 2006-A           4.15%, 11/01/2035(b)     2   3
  0.42%, 07/15/2036(b)     1,070   1,062 5.60%, 04/01/2019(b)     1   1
  SLC Private Student Loan Trust 2010-B           8.00%, 05/01/2027     21   23
  3.67%, 07/15/2042(a),(b)     441   461 8.50%, 11/01/2017     1   1
  SLM Private Credit Student Loan Trust 2002-                 $   457
  A           Government National Mortgage Association (GNMA) -    
  0.82%, 12/16/2030(b)     1,196   1,180 0.01 %        
              9.00%, 12/15/2020     3   3

 

See accompanying notes.

154

 

          Schedule of Investments  
          Short-Term Income Account  
          March 31, 2015 (unaudited)  
 
 
U.S. GOVERNMENT & GOVERNMENT Principal        
AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)  
Government National Mortgage Association (GNMA)        
(continued)          
  10.00%, 05/15/2020 $ 5 $ 5  
  10.00%, 06/15/2020   5   5  
  10.00%, 02/15/2025   2   2  
  10.00%, 09/15/2018   2   2  
  10.00%, 09/15/2018   2   2  
  10.00%, 02/15/2019   17   17  
      $   36  
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY        
OBLIGATIONS   $   557  
Total Investments   $   260,313  
Other Assets in Excess of Liabilities, Net - 0.56% $   1,464  
TOTAL NET ASSETS - 100.00%   $   261,777  
 
 
(a) Security exempt from registration under Rule 144A of the Securities Act of  
  1933. These securities may be resold in transactions exempt from  
  registration, normally to qualified institutional buyers. At the end of the  
  period, the value of these securities totaled $55,119 or 21.06% of net  
  assets.          
(b) Variable Rate. Rate shown is in effect at March 31, 2015.      
(c) Fair value of these investments is determined in good faith by the Manager  
  under procedures established and periodically reviewed by the Board of  
  Directors. At the end of the period, the fair value of these securities totaled  
  $3,693 or 1.41% of net assets.          
(d) Non-Income Producing Security          
 
 
 
  Portfolio Summary (unaudited)        
Sector       Percent  
Financial       28.60 %
Asset Backed Securities       23.33 %
Mortgage Securities       8.43 %
Government       7.56 %
Consumer, Non-cyclical       6.64 %
Utilities       6.12 %
Energy       5.56 %
Consumer, Cyclical       3.46 %
Communications       2.70 %
Basic Materials       2.11 %
Industrial       2.02 %
Exchange Traded Funds       1.54 %
Technology       1.37 %
Other Assets in Excess of Liabilities, Net       0.56 %
TOTAL NET ASSETS       100.00 %

 

See accompanying notes.

155

 

Schedule of Investments
SmallCap Blend Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 97.38% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Aerospace & Defense - 2.24%       Commercial Services (continued)      
Astronics Corp (a) 7,000 $ 516 Sabre Corp 30,000 $ 729
Esterline Technologies Corp (a) 3,710   424 Team Health Holdings Inc (a) 14,820   867
Spirit AeroSystems Holdings Inc (a) 11,540   603   $   6,754
  $   1,543 Computers - 4.89%      
Apparel - 1.69%       Barracuda Networks Inc (a) 11,530   444
G-III Apparel Group Ltd (a) 6,880   775 CACI International Inc (a) 10,170   914
Iconix Brand Group Inc (a) 11,700   394 Manhattan Associates Inc (a) 17,090   865
  $   1,169 NetScout Systems Inc (a) 24,200   1,061
        Nimble Storage Inc (a) 3,950   88
Automobile Parts & Equipment - 2.72%         $   3,372
American Axle & Manufacturing Holdings Inc 14,470   374        
(a)       Diversified Financial Services - 1.10%      
Cooper Tire & Rubber Co 27,704   1,187 Cowen Group Inc (a) 41,975   218
Meritor Inc (a) 24,747   312 Evercore Partners Inc - Class A 1,530   79
  $   1,873 Investment Technology Group Inc (a) 9,410   285
        OM Asset Management PLC 9,350   175
Banks - 6.19%         $   757
Chemical Financial Corp 4,480   140        
First Merchants Corp 3,519   83 Electric - 2.06%      
First of Long Island Corp/The 3,865   98 Avista Corp 17,586   601
Hanmi Financial Corp 7,228   153 NRG Yield Inc 13,780   699
National Penn Bancshares Inc 41,710   449 Portland General Electric Co 3,223   120
PrivateBancorp Inc 20,840   733   $   1,420
Renasant Corp 7,290   219 Electronics - 0.52%      
Webster Financial Corp 22,615   838 Fluidigm Corp (a) 2,938   124
WesBanco Inc 7,490   244 Itron Inc (a) 6,390   233
Western Alliance Bancorp (a) 16,790   498        
Wilshire Bancorp Inc 11,700   117   $   357
Wintrust Financial Corp 14,560   694 Energy - Alternate Sources - 0.71%      
  $   4,266 Pattern Energy Group Inc 17,247   488
 
Biotechnology - 3.07%              
Acceleron Pharma Inc (a) 2,630   100 Engineering & Construction - 2.46%      
Ardelyx Inc (a) 3,253   42 Dycom Industries Inc (a) 10,100   493
Avalanche Biotechnologies Inc (a) 1,084   44 EMCOR Group Inc 19,780   919
Bellicum Pharmaceuticals Inc (a) 2,680   62 Tutor Perini Corp (a) 12,200   285
BIND Therapeutics Inc (a) 12,344   68   $   1,697
BIND Therapeutics Inc - Warrants (a),(b) 1,938   3        
Bluebird Bio Inc (a) 1,898   229 Entertainment - 1.35%      
Cambrex Corp (a) 5,920   235 Marriott Vacations Worldwide Corp 10,830   878
Cytokinetics Inc - Warrants (a),(b),(c) 12,207   3 Vail Resorts Inc 504   52
Eleven Biotherapeutics Inc (a) 4,043   36   $   930
Epizyme Inc (a) 2,950   55 Food - 0.98%      
Exact Sciences Corp (a) 8,707   192 SUPERVALU Inc (a) 58,240   677
Fate Therapeutics Inc (a) 8,610   42        
Genocea Biosciences Inc (a) 7,816   93        
Insmed Inc (a) 7,170   149 Forest Products & Paper - 0.93%      
Intercept Pharmaceuticals Inc (a) 430   121 Clearwater Paper Corp (a) 9,830   642
MacroGenics Inc (a) 4,170   131        
NewLink Genetics Corp (a) 2,490   136 Gas - 0.56%      
Puma Biotechnology Inc (a) 690   163 Southwest Gas Corp 6,680   389
Seattle Genetics Inc (a) 1,950   69        
Spark Therapeutics Inc (a) 680   53        
Sunesis Pharmaceuticals Inc (a) 13,452   33 Hand & Machine Tools - 0.81%      
Versartis Inc (a) 3,327   61 Regal-Beloit Corp 7,030   562
  $   2,120        
 
Building Materials - 1.10%       Healthcare - Products - 2.52%      
        DexCom Inc (a) 6,120   382
Boise Cascade Co (a) 14,110   528        
        ICU Medical Inc (a) 5,890   549
Eagle Materials Inc 2,740   229 K2M Group Holdings Inc (a) 14,520   320
  $   757 LDR Holding Corp (a) 5,840   214
Chemicals - 0.26%       Ocular Therapeutix Inc (a) 2,260   95
OM Group Inc 5,920   178 OraSure Technologies Inc (a) 16,560   108
        STAAR Surgical Co (a) 9,050   67
 
Commercial Services - 9.79%         $   1,735
ABM Industries Inc 19,330   616 Healthcare - Services - 3.93%      
Corporate Executive Board Co 5,550   443 Acadia Healthcare Co Inc (a) 12,180   872
Huron Consulting Group Inc (a) 11,840   783 Centene Corp (a) 13,280   939
James River Group Holdings Ltd 13,960   329 HealthSouth Corp 20,330   902
Korn/Ferry International 26,070   857   $   2,713
Live Nation Entertainment Inc (a) 27,880   703        
On Assignment Inc (a) 14,510   557        
PAREXEL International Corp (a) 12,610   870        

 

See accompanying notes.

156

 

Schedule of Investments
SmallCap Blend Account
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000 's)
 
Holding Companies - Diversified - 0.21%       REITS (continued)            
FCB Financial Holdings Inc (a) 5,270 $ 144 QTS Realty Trust Inc 10,490 $ 382  
                $   4,719  
 
Home Builders - 0.68%       Retail - 8.43%            
Installed Building Products Inc (a) 21,620   470 Brown Shoe Co Inc 32,160       1,055  
        Citi Trends Inc (a) 4,590       124  
        Flex Pharma Inc (a) 2,880       57  
Insurance - 4.89%       Freshpet Inc (a) 6,550       127  
Aspen Insurance Holdings Ltd 18,800   888 Kirkland's Inc (a) 12,351       293  
First American Financial Corp 28,510   1,017 Office Depot Inc (a) 119,936       1,103  
Navigators Group Inc/The (a) 1,750   136                
Primerica Inc 8,150   415 Penske Automotive Group Inc 12,635       651  
        Red Robin Gourmet Burgers Inc (a) 7,154       622  
Radian Group Inc 25,910   435 Rite Aid Corp (a) 111,960       973  
Validus Holdings Ltd 11,431   481                
  $   3,372 Wendy's Co/The 74,380       811  
                $   5,816  
Internet - 2.32%                      
CDW Corp/DE 27,143   1,011 Savings & Loans - 0.68%            
Intralinks Holdings Inc (a) 20,700   214 Oritani Financial Corp 6,490       94  
MaxPoint Interactive Inc (a) 19,940   191 Provident Financial Services Inc 20,240       378  
Rubicon Project Inc/The (a) 10,382   186         $   472  
  $   1,602 Semiconductors - 1.00%            
        Entegris Inc (a) 32,480       445  
Investment Companies - 0.79%                      
Apollo Investment Corp 70,910   544 Micrel Inc 16,180       244  
                $   689  
 
Miscellaneous Manufacturing - 1.78%       Software - 6.52%            
        2U Inc (a) 18,220       466  
AO Smith Corp 11,820   776 Acxiom Corp (a) 19,520       361  
Blount International Inc 12,020   155                
Federal Signal Corp 18,980   300 Advent Software Inc 18,005       794  
        Amber Road Inc (a) 21,654       200  
  $   1,231 Aspen Technology Inc (a) 22,360       861  
Oil & Gas - 2.33%       Blackbaud Inc 13,680       648  
Carrizo Oil & Gas Inc (a) 11,510   572 Hortonworks Inc (a) 1,850       44  
Northern Oil and Gas Inc (a) 23,350   180 Mavenir Systems Inc (a) 635       11  
RSP Permian Inc (a) 16,590   418 MobileIron Inc (a) 12,559       116  
Sanchez Energy Corp (a) 15,460   201 New Relic Inc (a) 940       33  
Whiting Petroleum Corp (a) 7,640   236 SYNNEX Corp 9,470       732  
  $   1,607 Workiva Inc (a) 16,160       233  
 
Packaging & Containers - 0.38%               $   4,499  
Graphic Packaging Holding Co 17,950   261 Telecommunications - 4.11%            
        ARRIS Group Inc (a) 32,489       939  
Pharmaceuticals - 4.25%       Plantronics Inc 14,210       752  
        Qorvo Inc (a) 14,315       1,141  
Achaogen Inc (a) 6,410   63                
Aratana Therapeutics Inc (a) 9,871   158         $   2,832  
Array BioPharma Inc (a) 17,630   130 Transportation - 1.81%            
Cerulean Pharma Inc (a) 12,120   109 ArcBest Corp 8,900       337  
Clovis Oncology Inc (a) 2,110   157 Matson Inc 16,510       696  
Concert Pharmaceuticals Inc (a) 7,360   111 Navigator Holdings Ltd (a) 11,320       216  
FibroGen Inc (a) 2,730   86                
Nektar Therapeutics (a) 10,630   117         $   1,249  
Orexigen Therapeutics Inc (a) 19,340   151 Trucking & Leasing - 0.32%            
PRA Health Sciences Inc (a) 19,180   553 Greenbrier Cos Inc/The 3,840       223  
Prestige Brands Holdings Inc (a) 20,139   864                
ProQR Therapeutics NV (a) 2,812   62 TOTAL COMMON STOCKS     $   67,165  
Proteon Therapeutics Inc (a) 6,840   80 INVESTMENT COMPANIES - 2.25% Shares Held Value (000 's)
Revance Therapeutics Inc (a) 2,770   57                
SCYNEXIS Inc (a) 8,340   69 Publicly Traded Investment Fund - 2.25%            
Vanda Pharmaceuticals Inc (a) 7,811   73 BlackRock Liquidity Funds FedFund Portfolio 1,549,058       1,549  
Zafgen Inc (a) 2,260   89                
  $   2,929 TOTAL INVESTMENT COMPANIES     $   1,549  
        Total Investments     $   68,714  
Publicly Traded Investment Fund - 0.16%       Other Assets in Excess of Liabilities, Net - 0.37%   $   257  
THL Credit Inc 8,690   107 TOTAL NET ASSETS - 100.00%     $   68,971  
 
 
REITS - 6.84%       (a) Non-Income Producing Security            
Apartment Investment & Management Co 25,900   1,019 (b) Fair value of these investments is determined in good faith by the Manager  
CubeSmart 15,190   367   under procedures established and periodically reviewed by the Board of  
Education Realty Trust Inc 1   —   Directors. At the end of the period, the fair value of these securities totaled  
First Industrial Realty Trust Inc 37,980   814   $6 or 0.01% of net assets.            
Highwoods Properties Inc 14,902   682 (c) Security is Illiquid            
Hudson Pacific Properties Inc 26,570   882                
Kilroy Realty Corp 7,520   573                

 

See accompanying notes.

157

 

Schedule of Investments
SmallCap Blend Account
March 31, 2015 (unaudited)
 
 
Portfolio Summary (unaudited)                    
Sector   Percent                
Consumer, Non-cyclical   24.54 %              
Financial   20.64 %              
Consumer, Cyclical   14.88 %              
Technology   12.41 %              
Industrial   11.42 %              
Communications   6.43 %              
Energy   3.04 %              
Utilities   2.62 %              
Exchange Traded Funds   2.25 %              
Basic Materials   1.19 %              
Diversified   0.21 %              
Other Assets in Excess of Liabilities, Net   0.37 %              
TOTAL NET ASSETS   100.00 %              
 
Futures Contracts
                    Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
Russell 2000 Mini; June 2015 Long 5   $ 615 $   624 $ 9
Total               $   9
 
Amounts in thousands except contracts                    

 

See accompanying notes.

158

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 94.78% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Aerospace & Defense - 1.52%       Beverages - 0.06%      
Astronics Corp (a) 13,082 $ 964 Boston Beer Co Inc/The (a),(b) 85 $ 23
Cubic Corp 23   1 Coca-Cola Bottling Co Consolidated 70   8
Curtiss-Wright Corp 130   10 Farmer Bros Co (a) 122   3
Ducommun Inc (a) 78   2 National Beverage Corp (a) 187   4
GenCorp Inc (a) 536   12   $   38
HEICO Corp 605   37 Biotechnology - 8.13%      
Kaman Corp 231   10 Acceleron Pharma Inc (a),(b) 273   10
Moog Inc (a) 50   4        
        Achillion Pharmaceuticals Inc (a) 331   3
Teledyne Technologies Inc (a) 89   9        
        Acorda Therapeutics Inc (a) 427   14
  $   1,049 Aegerion Pharmaceuticals Inc (a) 267   7
Agriculture - 0.03%       Agenus Inc (a) 819   4
Andersons Inc/The 261   11 Alder Biopharmaceuticals Inc (a) 167   5
Vector Group Ltd 427   9 Alnylam Pharmaceuticals Inc (a) 2,816   294
  $   20 AMAG Pharmaceuticals Inc (a) 243   13
        ANI Pharmaceuticals Inc (a) 113   7
Airlines - 2.89%       Ardelyx Inc (a),(b) 86   1
Allegiant Travel Co 144   28 Arena Pharmaceuticals Inc (a),(b) 2,184   10
Hawaiian Holdings Inc (a) 470   10 ARIAD Pharmaceuticals Inc (a),(b) 1,492   12
JetBlue Airways Corp (a) 574   11 Atara Biotherapeutics Inc (a) 83   3
Spirit Airlines Inc (a) 20,402   1,578 Avalanche Biotechnologies Inc (a) 4,972   202
Virgin America Inc (a) 12,020   366 Bellicum Pharmaceuticals Inc (a),(b) 7,990   185
  $   1,993 BioCryst Pharmaceuticals Inc (a),(b) 912   8
        Bluebird Bio Inc (a) 4,937   596
Apparel - 0.70%       Cambrex Corp (a) 314   12
Columbia Sportswear Co 188 12
G-III Apparel Group Ltd (a) 195   22 Celldex Therapeutics Inc (a) 725   20
Iconix Brand Group Inc (a) 271   9 Cellular Dynamics International Inc (a),(b) 150   2
Oxford Industries Inc  149    11 CTI BioPharma Corp (a) 2,569   5
Sequential Brands Group Inc (a),(b) 32,360   346 Eleven Biotherapeutics Inc (a),(b) 84   1
Skechers U.S.A. Inc (a) 294   21 Emergent Biosolutions Inc (a) 63   2
Steven Madden Ltd (a) 592   23 Endocyte Inc (a),(b) 607   4
Vince Holding Corp (a) 183   3 Enzo Biochem Inc (a) 647   2
        Exact Sciences Corp (a),(b) 802   18
Wolverine World Wide Inc 1,031   35 Five Prime Therapeutics Inc (a) 339   8
  $   482 Halozyme Therapeutics Inc (a) 926   13
Automobile Manufacturers - 0.01%       Immunomedics Inc (a),(b) 1,265   5
Wabash National Corp (a) 719   10 Inovio Pharmaceuticals Inc (a),(b) 877   7
        Insmed Inc (a) 12,664   263
        Intercept Pharmaceuticals Inc (a) 1,840   519
Automobile Parts & Equipment - 0.20%       Intrexon Corp (a),(b) 21,893   993
American Axle & Manufacturing Holdings Inc 688   18 Isis Pharmaceuticals Inc (a) 7,201   459
(a)              
        Kite Pharma Inc (a),(b) 137   8
Commercial Vehicle Group Inc (a) 433   3        
        KYTHERA Biopharmaceuticals Inc (a) 157   8
Cooper Tire & Rubber Co 88   4 Ligand Pharmaceuticals Inc (a) 201   15
Cooper-Standard Holding Inc (a) 15   1        
        MacroGenics Inc (a) 16,558   520
Dana Holding Corp 857   18 Medicines Co/The (a) 605   17
Dorman Products Inc (a),(b) 275   14        
        Merrimack Pharmaceuticals Inc (a) 950   11
Douglas Dynamics Inc 322   7 NewLink Genetics Corp (a),(b) 177   10
Gentherm Inc (a) 358   18        
        Novavax Inc (a),(b) 2,133   18
Meritor Inc (a) 538   7        
        Omeros Corp (a),(b) 319   7
Standard Motor Products Inc 194   8 OncoMed Pharmaceuticals Inc (a),(b) 207   5
Strattec Security Corp 50   4 OvaScience Inc (a),(b) 5,591   194
Tenneco Inc (a) 619   35        
        Pacific Biosciences of California Inc (a) 942   6
  $   137 PDL BioPharma Inc 1,647   12
Banks - 7.60%       Peregrine Pharmaceuticals Inc (a) 2,687   4
Bank of the Ozarks Inc 36,596   1,351 Prothena Corp PLC (a) 114   4
Cardinal Financial Corp 31   1 PTC Therapeutics Inc (a) 219   13
Cass Information Systems Inc 189   11 Puma Biotechnology Inc (a),(b) 2,004   473
CoBiz Financial Inc 37,320   460 Repligen Corp (a) 329   10
ConnectOne Bancorp Inc 20,720   403 Sangamo BioSciences Inc (a) 615   10
Customers Bancorp Inc (a) 16,426   400 Sequenom Inc (a),(b) 1,906   8
Eagle Bancorp Inc (a) 200   8 Spectrum Pharmaceuticals Inc (a),(b) 295   2
First Financial Bankshares Inc (b) 378   10 Stemline Therapeutics Inc (a) 248   4
First NBC Bank Holding Co (a) 19,130   631 Synageva BioPharma Corp (a),(b) 210   20
Home BancShares Inc/AR 449   15 Theravance Biopharma Inc (a) 370   6
Opus Bank 27,308   843 Theravance Inc 697   11
PacWest Bancorp 11,280   529 Ultragenyx Pharmaceutical Inc (a) 5,270   327
Talmer Bancorp Inc 4,946   76 XOMA Corp (a) 1,219   4
Texas Capital Bancshares Inc (a) 145   7 ZIOPHARM Oncology Inc (a),(b) 16,397   177
Walker & Dunlop Inc (a) 27,640   490   $   5,611
Western Alliance Bancorp (a) 414   12        
        Building Materials - 3.28%      
  $   5,247 AAON Inc 379   9
        Apogee Enterprises Inc 24,360   1,053

 

See accompanying notes.

159

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Building Materials (continued)       Commercial Services (continued)      
Boise Cascade Co (a) 423 $ 16 Nutrisystem Inc 477 $ 10
Continental Building Products Inc (a) 192   4 On Assignment Inc (a) 567   22
Drew Industries Inc 241   15 PAREXEL International Corp (a) 592   41
Headwaters Inc (a) 788   15 Performant Financial Corp (a) 461   2
Nortek Inc (a) 82   7 Providence Service Corp/The (a) 189   10
Simpson Manufacturing Co Inc 55   2 RPX Corp (a) 88   1
Trex Co Inc (a) 20,882   1,138 Sotheby's 546   23
US Concrete Inc (a) 232   8 SP Plus Corp (a) 236   5
  $   2,267 Strayer Education Inc (a) 180   10
        Team Health Holdings Inc (a) 731   43
Chemicals - 0.84%       Team Inc (a) 213   8
A Schulman Inc 112   5 TrueBlue Inc (a) 431   10
Aceto Corp 86   2 Weight Watchers International Inc (a),(b) 417   3
Balchem Corp 326   18 WEX Inc (a) 396   42
Calgon Carbon Corp 571   12   $   2,569
Chemtura Corp (a) 658   18        
Ferro Corp (a) 770   10 Computers - 2.82%      
Hawkins Inc 33   1 Barracuda Networks Inc (a) 130   5
HB Fuller Co 449   19 Carbonite Inc (a) 295   4
Innophos Holdings Inc 130   7 Cray Inc (a) 365   10
Innospec Inc 83   4 Electronics For Imaging Inc (a) 480   20
Koppers Holdings Inc 335   7 EPAM Systems Inc (a) 18,482   1,133
Kronos Worldwide Inc 42   1 ExlService Holdings Inc (a) 227   8
Minerals Technologies Inc 157   11 Fleetmatics Group PLC (a) 338   15
PolyOne Corp 12,067   451 IGATE Corp (a) 376   16
Quaker Chemical Corp 94   8 LivePerson Inc (a) 888   9
Sensient Technologies Corp 48   3 Luxoft Holding Inc (a) 129   7
Zep Inc 105   2 Manhattan Associates Inc (a) 774   39
  $   579 MAXIMUS Inc 691   46
        MTS Systems Corp 157   12
Coal - 0.01%       NetScout Systems Inc (a),(b) 372   16
SunCoke Energy Inc 416   6 Qualys Inc (a) 205   10
        Quantum Corp (a) 1,465   2
Commercial Services - 3.72%       Science Applications International Corp 406   21
Advisory Board Co/The (a) 380   20 Super Micro Computer Inc (a) 8,458   281
American Public Education Inc (a) 270   8 Sykes Enterprises Inc (a) 65   2
ARC Document Solutions Inc (a) 44,601   411 Synaptics Inc (a) 3,056   249
Bright Horizons Family Solutions Inc (a) 312   16 Syntel Inc (a) 317   16
Capella Education Co 111   7 TeleTech Holdings Inc 148   4
Cardtronics Inc (a) 454   17 Unisys Corp (a) 315   7
Cimpress NV (a) 340   29 Virtusa Corp (a) 266   11
Corporate Executive Board Co 303   24 Vocera Communications Inc (a) 371   4
CorVel Corp (a) 182   6   $   1,947
Deluxe Corp 269   19 Consumer Products - 0.05%       
Electro Rent Corp 27   — Central Garden and Pet Co - A Shares (a) 68   1
Euronet Worldwide Inc (a) 520   31        
        Helen of Troy Ltd (a) 109   9
EVERTEC Inc 671   15 Tumi Holdings Inc (a) 515   12
ExamWorks Group Inc (a) 356   15        
Forrester Research Inc 179   7 WD-40 Co 150   13
Franklin Covey Co (a) 121   2   $   35
Grand Canyon Education Inc (a) 474   21 Cosmetics & Personal Care - 0.00%      
Great Lakes Dredge & Dock Corp (a) 72   — Inter Parfums Inc 19   —
Hackett Group Inc/The 107   1 Revlon Inc (a) 45   2
Healthcare Services Group Inc 630   20   $   2
HealthEquity Inc (a) 75   2        
Heartland Payment Systems Inc 366   17 Distribution & Wholesale - 1.51%      
Hill International Inc (a) 396   1 Core-Mark Holding Co Inc 40   2
HMS Holdings Corp (a) 899   14 H&E Equipment Services Inc 11,843   296
Huron Consulting Group Inc (a) 39   3 Pool Corp 458   32
INC Research Holdings Inc (a) 134   4 Rentrak Corp (a),(b) 12,200   678
Insperity Inc 203   11 Watsco Inc 269   34
K12 Inc (a) 238   4   $   1,042
Kforce Inc 32,802   732 Diversified Financial Services - 0.93%      
Korn/Ferry International 8,806   290 Blackhawk Network Holdings Inc (a),(b) 537   19
Landauer Inc 156   5 Cohen & Steers Inc 209   9
LendingTree Inc (a) 6,480   363 Credit Acceptance Corp (a) 69   13
Liberty Tax Inc 62   2 Diamond Hill Investment Group Inc 47   8
LifeLock Inc (a) 729   10 Ellie Mae Inc (a) 287   16
Matthews International Corp 3,410   176 Encore Capital Group Inc (a) 290   12
Medifast Inc (a) 198   6        
Monro Muffler Brake Inc (b) 320   21 Evercore Partners Inc - Class A 356   18
        Financial Engines Inc 461   19
Multi-Color Corp 96   7 GAMCO Investors Inc 106   8
National Research Corp 164   2 Greenhill & Co Inc 253   10
Neff Corp (a) 48   —        

 

See accompanying notes.

160

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Diversified Financial Services (continued)       Entertainment - 0.36%      
Higher One Holdings Inc (a) 254 $ 1 Carmike Cinemas Inc (a) 217 $ 7
INTL. FCStone Inc (a) 71   2 Churchill Downs Inc 89   10
MarketAxess Holdings Inc 338   28 Eros International PLC (a) 132   3
Moelis & Co 12,280   370 National CineMedia Inc 217   3
OM Asset Management PLC 228   4 Pinnacle Entertainment Inc (a) 609   22
PennyMac Financial Services Inc (a) 132   2 Scientific Games Corp (a),(b) 15,670   164
PRA Group Inc (a) 539   29 Vail Resorts Inc 367   38
Pzena Investment Management Inc 224   2   $   247
Silvercrest Asset Management Group Inc 107   2        
Virtus Investment Partners Inc 76   10 Environmental Control - 0.04%      
WageWorks Inc (a) 366   20 MSA Safety Inc 267   13
Westwood Holdings Group Inc 121   7 Tetra Tech Inc 67   2
WisdomTree Investments Inc 965   21 US Ecology Inc 193   10
World Acceptance Corp (a),(b) 129   9   $   25
  $   639 Food - 0.47%      
Electric - 0.02%       B&G Foods Inc 456   13
Abengoa Yield PLC 25   1 Calavo Growers Inc 236   12
        Cal-Maine Foods Inc (b) 311   12
Ormat Technologies Inc (b) 365   14        
        Chefs' Warehouse Inc/The (a) 244   5
  $   15 Darling Ingredients Inc (a) 539   8
Electrical Components & Equipment - 1.12%       Diamond Foods Inc (a) 357   12
Acuity Brands Inc 3,680   619 Fresh Market Inc/The (a),(b) 429   17
Advanced Energy Industries Inc (a) 388   10 Inventure Foods Inc (a) 11,850   133
Belden Inc 453   42 J&J Snack Foods Corp 149   16
Encore Wire Corp 258   10 Lancaster Colony Corp 116   11
EnerSys 118   8 Sanderson Farms Inc 198   16
Generac Holdings Inc (a),(b) 718   35 Smart & Final Stores Inc (a),(b) 142   2
Graham Corp 165   4 Tootsie Roll Industries Inc (b) 289   10
Insteel Industries Inc 272   6 TreeHouse Foods Inc (a) 218   19
Littelfuse Inc 200   20 United Natural Foods Inc (a) 505   39
TCP International Holdings Ltd (a) 70   —   $   325
Universal Display Corp (a),(b) 418   19        
  $   773 Forest Products & Paper - 0.05%      
        Clearwater Paper Corp (a) 219   14
Electronics - 2.08%       Deltic Timber Corp 100   7
Badger Meter Inc 149   9 Neenah Paper Inc 140   9
Coherent Inc (a) 34   2 Orchids Paper Products Co 109   3
Control4 Corp (a),(b) 190   2 Schweitzer-Mauduit International Inc 76   3
FARO Technologies Inc (a) 16,474   1,024   $   36
FEI Co 439   34        
Fluidigm Corp (a) 292   12 Hand & Machine Tools - 0.03%      
Imprivata Inc (a) 65   1 Franklin Electric Co Inc 461   18
Mesa Laboratories Inc 46   3        
Methode Electronics Inc 5,903   277 Healthcare - Products - 4.69%      
Newport Corp (a) 369   7 Abaxis Inc 6,960   447
NVE Corp 33   2 ABIOMED Inc (a) 409   29
OSI Systems Inc (a) 74   5 Accelerate Diagnostics Inc (a),(b) 376   9
Plexus Corp (a) 192   8 Affymetrix Inc (a) 298   4
Rogers Corp (a) 84   7 AtriCure Inc (a) 17,232   353
Sparton Corp (a) 166   4 Atrion Corp 25   9
TASER International Inc (a),(b) 483   12 BioTelemetry Inc (a) 295   3
Watts Water Technologies Inc 29   2 Cantel Medical Corp 346   16
Woodward Inc 462   24 Cardiovascular Systems Inc (a) 288   11
  $   1,435 Cepheid (a) 12,946   736
        Cerus Corp (a),(b) 1,495   6
Energy - Alternate Sources - 0.53%       Cyberonics Inc (a) 275   18
Enphase Energy Inc (a),(b) 25,500   336        
        Cynosure Inc (a) 126   4
Green Plains Inc 324   9 DexCom Inc (a) 779   49
Pattern Energy Group Inc 354   10 Endologix Inc (a),(b) 657   11
REX American Resources Corp (a) 82   5        
        GenMark Diagnostics Inc (a) 688   9
TerraForm Power Inc 177   7 Genomic Health Inc (a),(b) 273   8
Vivint Solar Inc (a),(b) 153   2        
        Globus Medical Inc (a) 674   17
  $   369 Haemonetics Corp (a) 73   3
Engineering & Construction - 0.91%       HeartWare International Inc (a) 174   15
Aegion Corp (a) 57   1 Inogen Inc (a) 14,564   466
Argan Inc 92   3 Insulet Corp (a) 568   19
Comfort Systems USA Inc 119   3 Integra LifeSciences Holdings Corp (a) 167   10
Dycom Industries Inc (a) 315   16 Intersect ENT Inc (a) 68   2
Exponent Inc 137   12 K2M Group Holdings Inc (a) 24,545   541
MasTec Inc (a) 683   13 LDR Holding Corp (a) 4,737   174
Mistras Group Inc (a) 272   5 Luminex Corp (a) 623   10
Tutor Perini Corp (a) 24,580   574 Masimo Corp (a) 458   15
  $   627 Meridian Bioscience Inc 426   8

 

See accompanying notes.

161

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Healthcare - Products (continued)       Insurance - 0.77%      
MiMedx Group Inc (a),(b) 955 $ 10 AmTrust Financial Services Inc 7,925 $ 451
NanoString Technologies Inc (a) 167   2 Atlas Financial Holdings Inc (a) 176   3
Natus Medical Inc (a) 329   13 Crawford & Co 146   1
Navidea Biopharmaceuticals Inc (a),(b) 1,932   3 Employers Holdings Inc 295   8
NuVasive Inc (a) 399   18 Essent Group Ltd (a) 458   11
NxStage Medical Inc (a) 629   11 Federated National Holding Co 205   6
OraSure Technologies Inc (a) 60   — HCI Group Inc 102   5
Oxford Immunotec Global PLC (a) 217   3 Heritage Insurance Holdings Inc (a) 130   3
Quidel Corp (a) 292   8 Infinity Property & Casualty Corp 69   6
Rockwell Medical Inc (a),(b) 97   1 Maiden Holdings Ltd 83   1
Spectranetics Corp/The (a),(b) 426   15 MGIC Investment Corp (a) 1,447   14
STAAR Surgical Co (a),(b) 628   5 United Insurance Holdings Corp 249   6
STERIS Corp (b) 615   43 Universal Insurance Holdings Inc 490   13
SurModics Inc (a) 43   1   $   528
Thoratec Corp (a) 582   24        
Utah Medical Products Inc 62   4 Internet - 2.76%      
        8x8 Inc (a) 46,325   389
Vascular Solutions Inc (a) 281   9        
        Bankrate Inc (a) 105   1
West Pharmaceutical Services Inc 735   44 Bazaarvoice Inc (a),(b) 349   2
Wright Medical Group Inc (a) 384   10        
        Blue Nile Inc (a) 198   6
Zeltiq Aesthetics Inc (a),(b) 298   9        
        ChannelAdvisor Corp (a) 25,350   246
  $   3,235 Chegg Inc (a),(b) 31,220   248
Healthcare - Services - 3.29%       Cogent Communications Holdings Inc 464   16
AAC Holdings Inc (a),(b) 64   2 comScore Inc (a) 314   16
Acadia Healthcare Co Inc (a),(b) 18,549   1,328 Dice Holdings Inc (a) 236   2
Addus HomeCare Corp (a) 13   — Endurance International Group Holdings Inc 494   9
Air Methods Corp (a) 401   19 (a)      
Alliance HealthCare Services Inc (a) 37   1 ePlus Inc (a) 4   —
Amsurg Corp (a) 148   9 FTD Cos Inc (a) 35   1
Bio-Reference Laboratories Inc (a) 234   8 Global Sources Ltd (a) 55   —
Capital Senior Living Corp (a) 298   8 GrubHub Inc (a) 146   7
Chemed Corp 180   21 HealthStream Inc (a) 347   9
Ensign Group Inc/The 190   9 HomeAway Inc (a) 22,765   687
Genesis Healthcare Inc (a) 215   2 j2 Global Inc 486   32
HealthSouth Corp 696   31 Lionbridge Technologies Inc (a) 1,070   6
Healthways Inc (a) 269   5 magicJack VocalTec Ltd (a) 325   2
IPC Healthcare Inc (a) 161   8 NIC Inc 666   12
Kindred Healthcare Inc 132   3 Orbitz Worldwide Inc (a) 389   5
Molina Healthcare Inc (a) 310   21 Overstock.com Inc (a) 190   5
RadNet Inc (a) 505   4 Pandora Media Inc (a) 7,045   114
Select Medical Holdings Corp 757   11 Perficient Inc (a) 375   8
Surgical Care Affiliates Inc (a) 195   7 Reis Inc 12   —
US Physical Therapy Inc 200   9 RetailMeNot Inc (a) 510   9
WellCare Health Plans Inc (a) 8,345   763 Shutterfly Inc (a) 210   10
  $   2,269 Shutterstock Inc (a),(b) 155   11
        Stamps.com Inc (a) 133   9
Holding Companies - Diversified - 1.98%       Travelzoo Inc (a) 146   1
FCB Financial Holdings Inc (a),(b) 20,440   560        
        VASCO Data Security International Inc (a),(b) 302   7
Horizon Pharma PLC (a) 30,901   802        
        Web.com Group Inc (a) 464   9
HRG Group Inc (a) 564   7        
        WebMD Health Corp (a) 347   15
  $   1,369 XO Group Inc (a) 442   8
Home Builders - 0.03%       Yodlee Inc (a) 82   1
Cavco Industries Inc (a) 147   11 Zix Corp (a) 972   4
Installed Building Products Inc (a) 140   3   $   1,907
KB Home (b) 554   9        
LGI Homes Inc (a),(b) 53   1 Iron & Steel - 0.02%      
        Shiloh Industries Inc (a) 155   2
  $   24 Worthington Industries Inc 466   13
Home Furnishings - 0.48%         $   15
American Woodmark Corp (a) 202   11        
        Leisure Products & Services - 1.89%      
Daktronics Inc 436   5 Black Diamond Inc (a) 5,102   48
DTS Inc/CA (a) 90   3        
        Brunswick Corp/DE 18,240   938
Ethan Allen Interiors Inc 9,270   256 Escalade Inc 35   1
iRobot Corp (a),(b) 264   9        
        Fox Factory Holding Corp (a) 183   3
La-Z-Boy Inc 453   13 Interval Leisure Group Inc 311   8
Select Comfort Corp (a) 552   19        
        Life Time Fitness Inc (a) 37   3
TiVo Inc (a) 575   6        
        Malibu Boats Inc (a) 12,749   297
Universal Electronics Inc (a) 162   9        
        Nautilus Inc (a) 313   5
  $   331 Travelport Worldwide Ltd 222   4
Housewares - 0.01%         $   1,307
Libbey Inc 182   7 Lodging - 0.04%      
        Boyd Gaming Corp (a) 631   9
        Diamond Resorts International Inc (a) 359   12

 

See accompanying notes.

162

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Lodging (continued)       Office Furnishings - 0.57%      
La Quinta Holdings Inc (a) 285 $ 7 Herman Miller Inc 618 $ 17
  $   28 HNI Corp 434   24
        Interface Inc 596   12
Machinery - Construction & Mining - 0.01%       Knoll Inc 13,945   327
Hyster-Yale Materials Handling Inc 108   8 Steelcase Inc 862   16
          $   396
Machinery - Diversified - 0.87%              
Adept Technology Inc (a),(b) 13,070   80 Oil & Gas - 1.36%      
        Abraxas Petroleum Corp (a) 1,514   5
Altra Industrial Motion Corp 282   8        
Applied Industrial Technologies Inc 249   11 Adams Resources & Energy Inc 2   —
Chart Industries Inc (a) 318   11 Alon USA Energy Inc 141   2
        Approach Resources Inc (a) 328   2
Cognex Corp (a) 901   45        
        Bonanza Creek Energy Inc (a) 336   8
Columbus McKinnon Corp/NY 36   1 Carrizo Oil & Gas Inc (a) 486   24
DXP Enterprises Inc (a) 212   9        
        Clayton Williams Energy Inc (a) 96   5
Gorman-Rupp Co/The 309   9 Delek US Holdings Inc   330    13
Kadant Inc 29   2 Diamondback Energy Inc (a) 7,782   598
Lindsay Corp 93   7 EXCO Resources Inc (b) 962   2
Manitex International Inc (a),(b) 227   2        
        FMSA Holdings Inc (a),(b) 143   1
Tennant Co 6,322   414 Gastar Exploration Inc (a) 1,088   3
Twin Disc Inc 112   2 Jones Energy Inc (a),(b) 214   2
  $   601 Magnum Hunter Resources Corp - Warrants 11,865   —
Media - 0.09%       (a),(c),(d)      
Crown Media Holdings Inc (a) 549   2 Matador Resources Co (a) 424   9
Entravision Communications Corp 910   6 North Atlantic Drilling Ltd 374   —
Gray Television Inc (a) 820   11 Panhandle Oil and Gas Inc 229   5
Nexstar Broadcasting Group Inc 311   18 Parsley Energy Inc (a) 477   8
Saga Communications Inc 12   1 PDC Energy Inc (a) 49   3
Sinclair Broadcast Group Inc (b) 698   22 PetroQuest Energy Inc (a) 865   2
Townsquare Media Inc (a) 90   1 Rosetta Resources Inc (a) 148   3
  $   61 RSP Permian Inc (a) 108   3
        Sanchez Energy Corp (a),(b) 14,893   194
Metal Fabrication & Hardware - 0.13%       Synergy Resources Corp (a) 682   8
CIRCOR International Inc 166   9 TransAtlantic Petroleum Ltd (a) 224   1
Furmanite Corp (a) 625   5 Trecora Resources (a) 282   3
Mueller Industries Inc 385   14 Triangle Petroleum Corp (a),(b) 621   3
Mueller Water Products Inc - Class A 1,662   16 Vertex Energy Inc (a),(b) 222   1
RBC Bearings Inc 244   19 W&T Offshore Inc (b) 252   1
Rexnord Corp (a) 784   21        
        Western Refining Inc 568   28
Sun Hydraulics Corp 202   8   $   937
  $   92        
        Oil & Gas Services - 0.08%      
Mining - 0.09%       Basic Energy Services Inc (a) 522   4
Coeur Mining Inc (a) 471   2 C&J Energy Services Ltd (a) 645   7
Globe Specialty Metals Inc 685   13 CARBO Ceramics Inc (b) 202   6
Gold Resource Corp 726   2 Flotek Industries Inc (a) 487   7
Materion Corp 133   5 Forum Energy Technologies Inc (a) 361   7
Ring Energy Inc (a),(b) 336   4 Geospace Technologies Corp (a) 22   —
Stillwater Mining Co (a) 1,006   13        
        Gulf Island Fabrication Inc 103   2
United States Lime & Minerals Inc 34   2 ION Geophysical Corp (a) 404   1
US Silica Holdings Inc 574   21 Matrix Service Co (a) 433   8
  $   62 PHI Inc (a) 14   —
Miscellaneous Manufacturing - 0.33%       Pioneer Energy Services Corp (a) 738   4
American Railcar Industries Inc (b) 146   7 Profire Energy Inc (a) 283   —
AZZ Inc 232   11 Tesco Corp 58   1
        Thermon Group Holdings Inc (a) 333   8
Blount International Inc 516   7 Willbros Group Inc (a) 656   2
Chase Corp 99   4        
CLARCOR Inc 496   33   $   57
EnPro Industries Inc 204   13 Packaging & Containers - 0.15%      
GP Strategies Corp (a) 149   5 Berry Plastics Group Inc (a) 546   20
Harsco Corp 723   12 Graphic Packaging Holding Co 3,509   51
Hillenbrand Inc 655   20 KapStone Paper and Packaging Corp 907   30
John Bean Technologies Corp 304   11   $   101
Lydall Inc (a) 241   8        
Park-Ohio Holdings Corp 144   8 Pharmaceuticals - 5.87%      
Polypore International Inc (a) 404   24 ACADIA Pharmaceuticals Inc (a) 650   21
Proto Labs Inc (a) 203   14 Achaogen Inc (a) 137   1
Raven Industries Inc 382   8 Actinium Pharmaceuticals Inc (a) 351   1
Smith & Wesson Holding Corp (a),(b) 559   7 Adamas Pharmaceuticals Inc (a) 10,682   187
Standex International Corp 150   12 Agios Pharmaceuticals Inc (a),(b) 152   14
Sturm Ruger & Co Inc (b) 174   9 Akorn Inc (a) 13,742   653
TriMas Corp (a) 417   13 Amicus Therapeutics Inc (a) 14,800   161
  $   226 Amphastar Pharmaceuticals Inc (a) 161   2
        Anacor Pharmaceuticals Inc (a) 196   11

 

See accompanying notes.

163

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Pharmaceuticals (continued)       Private Equity (continued)      
Anika Therapeutics Inc (a) 236 $ 10 GSV Capital Corp (a),(b) 34,279 $ 336
Antares Pharma Inc (a),(b) 1,933   5   $   337
Array BioPharma Inc (a) 909   7        
Auspex Pharmaceuticals Inc (a) 94   9 Real Estate - 0.61%      
BioDelivery Sciences International Inc (a) 693   7 HFF Inc 356   13
        Marcus & Millichap Inc (a) 10,680   400
BioSpecifics Technologies Corp (a) 68   3        
        St Joe Co/The (a) 532   10
Catalent Inc (a) 451   14        
Cempra Inc (a) 271   9   $   423
Chimerix Inc (a) 271   10 REITS - 0.39%      
Clovis Oncology Inc (a),(b) 221   16 Alexander's Inc 18   8
Depomed Inc (a) 22,860   512 American Assets Trust Inc 124   5
Dicerna Pharmaceuticals Inc (a) 3,850   93 Aviv REIT Inc 30   1
Dyax Corp (a) 1,229   21 CoreSite Realty Corp 188   9
Enanta Pharmaceuticals Inc (a) 170   5 DuPont Fabros Technology Inc 337   11
Endo International PLC (a) 1   — EastGroup Properties Inc 294   18
FibroGen Inc (a),(b) 134   4 Empire State Realty Trust Inc 947   18
Flexion Therapeutics Inc (a) 100   2 National Health Investors Inc 387   28
Furiex Pharmaceuticals Inc - Rights (a),(c),(d) 104   1 Potlatch Corp 419   17
Hyperion Therapeutics Inc (a) 178   8 PS Business Parks Inc 101   8
IGI Laboratories Inc (a),(b) 532   4 Ryman Hospitality Properties Inc 200   12
Immune Design Corp (a) 89   2 Sabra Health Care REIT Inc 571   19
Impax Laboratories Inc (a) 223   10 Saul Centers Inc 139   8
Infinity Pharmaceuticals Inc (a) 498   7 Sovran Self Storage Inc 296   28
Insys Therapeutics Inc (a),(b) 164   10 Strategic Hotels & Resorts Inc (a) 2,106   26
Ironwood Pharmaceuticals Inc (a) 1,243   20 Sun Communities Inc 496   33
Keryx Biopharmaceuticals Inc (a),(b) 1,052   13 Universal Health Realty Income Trust 202   11
Lannett Co Inc (a) 264   18 Urstadt Biddle Properties Inc 281   7
MannKind Corp (a),(b) 2,043   11   $   267
Marinus Pharmaceuticals Inc (a),(b) 7,190   65        
Nektar Therapeutics (a) 746   8 Retail - 8.30%      
Neogen Corp (a) 376   18 American Eagle Outfitters Inc 33,060   565
Neurocrine Biosciences Inc (a) 19,093   758 America's Car-Mart Inc/TX (a) 22   1
Ophthotech Corp (a) 142   7 ANN Inc (a) 476   20
OPKO Health Inc (a),(b) 1,784   25 Asbury Automotive Group Inc (a) 312   26
Orexigen Therapeutics Inc (a) 1,110   9 BJ's Restaurants Inc (a) 86   4
Osiris Therapeutics Inc (a),(b) 283   5 Bloomin' Brands Inc 784   19
Pacira Pharmaceuticals Inc/DE (a) 371   33 Boot Barn Holdings Inc (a) 43   1
Pernix Therapeutics Holdings Inc (a) 545   6 Bravo Brio Restaurant Group Inc (a) 286   4
Phibro Animal Health Corp 240   8 Brown Shoe Co Inc 346   11
Portola Pharmaceuticals Inc (a) 19,151   727 Buckle Inc/The 287   15
POZEN Inc (a) 447   3 Buffalo Wild Wings Inc (a) 192   35
PRA Health Sciences Inc (a) 280   8 Build-A-Bear Workshop Inc (a) 145   3
Prestige Brands Holdings Inc (a) 531   23 Burlington Stores Inc (a) 4,840   287
Progenics Pharmaceuticals Inc (a) 316   2 Casey's General Stores Inc 391   35
Receptos Inc (a) 225   37 Cato Corp/The 67   3
Regulus Therapeutics Inc (a),(b) 256   4 Cheesecake Factory Inc/The 508   25
Revance Therapeutics Inc (a),(b) 89   2 Christopher & Banks Corp (a) 40,850   227
Sagent Pharmaceuticals Inc (a) 287   7 Chuy's Holdings Inc (a) 18,603   419
SciClone Pharmaceuticals Inc (a) 518   5 Cracker Barrel Old Country Store Inc 182   28
Sucampo Pharmaceuticals Inc (a) 291   5 Dave & Buster's Entertainment Inc (a) 15,897   484
Synta Pharmaceuticals Corp (a),(b) 1,063   2 Del Frisco's Restaurant Group Inc (a) 391   8
Synutra International Inc (a) 308   2 Denny's Corp (a) 960   11
TESARO Inc (a) 173   10 DineEquity Inc 66   7
Tetraphase Pharmaceuticals Inc (a) 267   10 Diversified Restaurant Holdings Inc (a) 24,785   104
TherapeuticsMD Inc (a) 1,966   12 Express Inc (a) 95   2
Threshold Pharmaceuticals Inc (a),(b) 808   3 Fiesta Restaurant Group Inc (a) 272   17
USANA Health Sciences Inc (a) 93   10 Finish Line Inc/The 198   5
Vanda Pharmaceuticals Inc (a),(b) 650   6 First Cash Financial Services Inc (a) 312   15
Vitae Pharmaceuticals Inc (a),(b) 98   1 Five Below Inc (a) 7,509   267
Vivus Inc (a),(b) 1,473   4 Francesca's Holdings Corp (a) 702   12
Xencor Inc (a) 240   4 Genesco Inc (a) 40   3
XenoPort Inc (a) 132   1 Group 1 Automotive Inc 73   6
Zogenix Inc (a) 2,009   3 Habit Restaurants Inc/The (a),(b) 74   2
ZS Pharma Inc (a),(b) 7,960   335 Hibbett Sports Inc (a) 263   13
  $   4,050 HSN Inc 337   23
        Jack in the Box Inc 10,316   989
Pipelines - 0.06%       Kirkland's Inc (a) 141   3
Primoris Services Corp 344   6 Krispy Kreme Doughnuts Inc (a) 662   13
SemGroup Corp 446   36 Lithia Motors Inc 232   23
  $   42 Lumber Liquidators Holdings Inc (a),(b) 246   8
        MarineMax Inc (a) 23,767   630
Private Equity - 0.49%       Mattress Firm Holding Corp (a),(b) 152   11
Fifth Street Asset Management Inc 56   1        
        Men's Wearhouse Inc 342   18

 

See accompanying notes.

164

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Retail (continued)       Software (continued)      
Nathan's Famous Inc 51 $ 3 Epiq Systems Inc 27 $ —
Noodles & Co (a),(b) 180   3 Everyday Health Inc (a) 14,497   186
Outerwall Inc (b) 192   13 Fair Isaac Corp 328   29
Papa John's International Inc 311   19 Globant SA (a) 92   2
PetMed Express Inc 331   5 Glu Mobile Inc (a),(b) 99,215   497
Pier 1 Imports Inc (b) 856   12 Guidewire Software Inc (a) 9,939   523
Popeyes Louisiana Kitchen Inc (a) 240   14 Imperva Inc (a) 19,043   813
PriceSmart Inc 188   16 inContact Inc (a) 898   10
Red Robin Gourmet Burgers Inc (a) 9,854   858 Infoblox Inc (a) 478   11
Restoration Hardware Holdings Inc (a),(b) 317   31 Kofax Ltd (a) 1,234   14
Rush Enterprises Inc - Class A (a) 299   8 Mavenir Systems Inc (a) 192   3
Ruth's Hospitality Group Inc 378   6 MedAssets Inc (a) 589   11
Sonic Corp 388   12 Medidata Solutions Inc (a) 555   27
Texas Roadhouse Inc 708   26 Merge Healthcare Inc (a) 1,158   5
Tilly's Inc (a) 17,285   271 MicroStrategy Inc (a) 4,648   787
Vera Bradley Inc (a) 357   6 Model N Inc (a) 19,035   228
Vitamin Shoppe Inc (a) 254   10 Monotype Imaging Holdings Inc 404   13
Zumiez Inc (a) 269   11 Omnicell Inc (a) 375   13
  $   5,726 PDF Solutions Inc (a) 12,470   223
        Pegasystems Inc 362   8
Savings & Loans - 0.98%       Proofpoint Inc (a) 15,904   942
B of I Holding Inc (a) 4,477   417        
        QAD Inc 103   3
Investors Bancorp Inc 698   8 Qlik Technologies Inc (a) 24,721   770
Meridian Bancorp Inc (a) 338   4        
Pacific Premier Bancorp Inc (a) 15,297   248 Quality Systems Inc 511   8
        RealPage Inc (a) 464   9
United Financial Bancorp Inc 140   2 SPS Commerce Inc (a) 166   11
  $   679 SS&C Technologies Holdings Inc 695   43
Semiconductors - 5.06%       Synchronoss Technologies Inc (a) 13,885   659
Ambarella Inc (a) 299   23 SYNNEX Corp 51   4
Amkor Technology Inc (a) 726   6 Take-Two Interactive Software Inc (a) 105   3
Brooks Automation Inc 93   1 Tyler Technologies Inc (a) 337   41
Cabot Microelectronics Corp (a) 210   11 Ultimate Software Group Inc/The (a) 4,673   794
Cavium Inc (a) 10,443   740 Verint Systems Inc (a) 577   36
Cirrus Logic Inc (a) 302   10   $   6,985
Cypress Semiconductor Corp (a) 2,742   39        
Diodes Inc (a) 414   12 Storage & Warehousing - 0.00%      
        Wesco Aircraft Holdings Inc (a) 138   2
Entegris Inc (a) 799   11        
Inphi Corp (a) 16,827   300        
Integrated Device Technology Inc (a) 1,011   20 Telecommunications - 2.42%      
InvenSense Inc (a),(b) 637   10 ADTRAN Inc 476   9
IPG Photonics Corp (a) 9,822   911 Alliance Fiber Optic Products Inc 227   4
Lattice Semiconductor Corp (a) 1,221   8 Anixter International Inc (a) 126   10
Microsemi Corp (a) 33,083   1,171 Aruba Networks Inc (a) 1,108   27
Monolithic Power Systems Inc 401   21 Ciena Corp (a) 941   18
Pixelworks Inc (a),(b) 21,970   110 Cincinnati Bell Inc (a) 810   3
PMC-Sierra Inc (a) 901   8 Consolidated Communications Holdings Inc 352   7
Power Integrations Inc 316   16 FairPoint Communications Inc (a) 267   5
Rambus Inc (a) 1,181   15 Finisar Corp (a) 870   19
Semtech Corp (a) 693   18 General Communication Inc (a) 588   9
Silicon Laboratories Inc (a) 310   16 Gogo Inc (a),(b) 501   9
Tessera Technologies Inc 324   13 GTT Communications Inc (a) 31,770   600
Ultra Clean Holdings Inc (a) 176   1 Harmonic Inc (a) 245   2
Xcerra Corp (a) 350   3 IDT Corp - Class B 250   4
  $   3,494 Infinera Corp (a) 931   18
        Inteliquent Inc 532   8
Software - 10.12%       Intelsat SA (a) 133   2
ACI Worldwide Inc (a) 1,162   25        
        InterDigital Inc/PA 386   20
Advent Software Inc 525   23 Ixia (a) 111   1
Aspen Technology Inc (a) 940   36        
        Leap Wireless International Inc - Rights 282   1
AVG Technologies NV (a) 356   8 (a),(c),(d)      
Blackbaud Inc 471   22 LogMeIn Inc (a) 248   14
Bottomline Technologies de Inc (a) 296   8 Loral Space & Communications Inc (a) 117   8
BroadSoft Inc (a) 256   9        
        Lumos Networks Corp 260   4
Callidus Software Inc (a) 808   10 NeuStar Inc (a),(b) 543   13
Castlight Health Inc (a),(b) 212   2        
        NTELOS Holdings Corp 145   1
CommVault Systems Inc (a) 482   21 Orbcomm Inc (a) 38,580   230
Computer Programs & Systems Inc 183   10 Plantronics Inc 390   21
Constant Contact Inc (a) 321   12 Polycom Inc (a) 655   9
Cornerstone OnDemand Inc (a) 476   14 Premiere Global Services Inc (a) 118   1
CSG Systems International Inc 231   7 Qorvo Inc (a) 1,478   118
Dealertrack Technologies Inc (a) 402   16 RigNet Inc (a),(b) 196   6
Demandware Inc (a),(b) 269   16 Ruckus Wireless Inc (a) 673   9
Envestnet Inc (a) 348   20        
        Shenandoah Telecommunications Co 336   10

 

See accompanying notes.

165

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value(000 's) Portfolio Summary (unaudited)    
                Sector Percent  
Telecommunications  (continued)
ShoreTel Inc (a) 1,036     $ 7   Consumer, Non-cyclical 26.31 %
Sonus Networks Inc (a) 440       3   Technology 18.00 %
TESSCO Technologies Inc 8       —   Consumer, Cyclical 17.00 %
Ubiquiti Networks Inc (b) 308       9   Exchange Traded Funds 14.27 %
ViaSat Inc (a) 429       26   Financial 11.76 %
Vonage Holdings Corp (a) 81,520       400   Industrial 11.39 %
                Communications 5.27 %
West Corp 211       7   Energy 2.04 %
        $   1,672   Diversified 1.98 %
Textiles - 0.00%             Basic Materials 1.00 %
Culp Inc 22       1   Utilities 0.03 %
                Liabilities in Excess of Other Assets, Net (9.05 )%
 
Transportation - 0.88%             TOTAL NET ASSETS 100.00 %
ArcBest Corp 249       9        
Echo Global Logistics Inc (a) 385       11        
Forward Air Corp 325       18        
GasLog Ltd 151       3        
Heartland Express Inc 567       13        
HUB Group Inc (a) 329       13        
Knight Transportation Inc 623       20        
Marten Transport Ltd 161       4        
Matson Inc 243       10        
PAM Transportation Services Inc (a) 9       1        
Roadrunner Transportation Systems Inc (a) 18,307       462        
Saia Inc (a) 257       11        
Swift Transportation Co (a) 887       23        
Universal Truckload Services Inc 82       2        
Werner Enterprises Inc 152       5        
        $   605        
 
Trucking & Leasing - 0.04%                  
General Finance Corp (a) 212       2        
Greenbrier Cos Inc/The (b) 288       16        
TAL International Group Inc 194       8        
        $   26        
 
Water - 0.01%                  
American States Water Co 44       2        
SJW Corp 60       2        
York Water Co/The 132       3        
        $   7        
TOTAL COMMON STOCKS     $   65,420        
INVESTMENT COMPANIES - 14.27% Shares Held Value(000 's)      
 
Publicly Traded Investment Fund - 14.27%                  
BlackRock Liquidity Funds TempFund 1,830,444       1,830        
Portfolio                  
Goldman Sachs Financial Square Funds - 5,681,951       5,682        
Government Fund (e)                  
Goldman Sachs Financial Square Funds - 2,291,465       2,292        
Money Market Fund                  
JP Morgan Prime Money Market Fund 49,057       49        
        $   9,853        
TOTAL INVESTMENT COMPANIES     $   9,853        
Total Investments     $   75,273        
Liabilities in Excess of Other Assets, Net - (9.05)%   $   (6,249 )      
TOTAL NET ASSETS - 100.00%     $   69,024        
 
 
(a) Non-Income Producing Security                  
(b) Security or a portion of the security was on loan at the end of the period.        
(c) Security is Illiquid                  
(d) Fair value of these investments is determined in good faith by the Manager        
  under procedures established and periodically reviewed by the Board of        
  Directors. At the end of the period, the fair value of these securities totaled        
  $2 or 0.00% of net assets.                  
(e) Security was purchased with the cash proceeds from securities loans.        

 

See accompanying notes.

166

 

Schedule of Investments
SmallCap Growth Account II
March 31, 2015 (unaudited)
 
Futures Contracts
                  Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
Russell 2000 Mini; June 2015 Long 35 $ 4,310 $   4,371 $ 61
Total             $   61
Amounts in thousands except contracts                  

 

See accompanying notes.

167

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS - 94.31% Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value(000 's)
 
Advertising - 0.03%       Banks (continued)        
Harte-Hanks Inc 1,790 $ 14 Cardinal Financial Corp 747 $   15
MDC Partners Inc 763   22 Cascade Bancorp (a) 7,841   37  
  $   36 Cathay General Bancorp 5,799   165  
        Century Bancorp Inc/MA 128   5  
Aerospace & Defense - 1.52%       Chemical Financial Corp 2,389   75  
AAR Corp 12,968   398 Citizens & Northern Corp 2,056   41  
Cubic Corp 5,150   266 City Holding Co 3,390   159  
Curtiss-Wright Corp 2,858   212 CNB Financial Corp/PA 549   9  
Ducommun Inc (a) 241   6 Columbia Banking System Inc 3,055   89  
Esterline Technologies Corp (a) 835   96 Community Bank System Inc 988   35  
Kaman Corp 318   14 Community Trust Bancorp Inc 3,584   119  
LMI Aerospace Inc (a) 400   5 CommunityOne Bancorp (a) 1,400   14  
Moog Inc (a) 1,855   139 ConnectOne Bancorp Inc 2,832   55  
National Presto Industries Inc (b) 178   11 CU Bancorp (a) 368   8  
SIFCO Industries Inc 73   2 Customers Bancorp Inc (a) 13,699   333  
Teledyne Technologies Inc (a) 762   81 CVB Financial Corp 21,622   344  
Triumph Group Inc 5,900   352 East West Bancorp Inc 3,135   127  
  $   1,582 Enterprise Bancorp Inc/MA 277   6  
Agriculture - 0.17%       Enterprise Financial Services Corp 6,927   143  
Alico Inc 99   5 Fidelity Southern Corp 9,328   157  
Andersons Inc/The 3,177   131 Financial Institutions Inc 3,714   85  
Universal Corp/VA 490   23 First Bancorp Inc/ME 328   6  
        First BanCorp/Puerto Rico (a) 36,366   226  
Vector Group Ltd 655   15          
  $   174 First Bancorp/Troy NC 1,925   34  
        First Busey Corp 5,790   39  
Airlines - 1.09%       First Business Financial Services Inc 1,441   62  
Hawaiian Holdings Inc (a) 31,603   696 First Citizens BancShares Inc/NC 604   157  
JetBlue Airways Corp (a) 5,587   108 First Commonwealth Financial Corp 27,486   248  
Republic Airways Holdings Inc (a) 22,898   314 First Community Bancshares Inc/VA 5,295   92  
SkyWest Inc 1,229   18 First Financial Bancorp 6,321   112  
  $   1,136 First Financial Bankshares Inc (b) 709   20  
        First Financial Corp/IN 1,411   51  
Apparel - 0.30%       First Interstate BancSystem Inc 11,158   310  
Columbia Sportswear Co 322   20 First Merchants Corp 8,092   190  
Crocs Inc (a) 1,594   19          
Iconix Brand Group Inc (a) 6,454   217 First Midwest Bancorp Inc/IL 8,087   141  
        First NBC Bank Holding Co (a) 6,154   203  
Perry Ellis International Inc (a) 443   10          
Skechers U.S.A. Inc (a) 245   18 First of Long Island Corp/The 1,000   26  
Unifi Inc (a) 567   20 FirstMerit Corp 46,987   896  
        FNB Corp/PA 4,218   55  
Weyco Group Inc 226   7 German American Bancorp Inc 1,269   38  
  $   311 Glacier Bancorp Inc 1,573   40  
Automobile Parts & Equipment - 1.72%       Great Southern Bancorp Inc 2,379   94  
Cooper Tire & Rubber Co 22,866   979 Great Western Bancorp Inc 683   15  
Cooper-Standard Holding Inc (a) 312   19 Hampton Roads Bankshares Inc (a) 3,600   7  
Dana Holding Corp 10,933   231 Hancock Holding Co 1,997   60  
Douglas Dynamics Inc 96   2 Hanmi Financial Corp 30,569   646  
Fuel Systems Solutions Inc (a) 523   6 Heartland Financial USA Inc 5,865   191  
Meritor Inc (a) 38,712   488 Heritage Financial Corp/WA 3,613   62  
Miller Industries Inc/TN 391   10 Home BancShares Inc/AR 384   13  
Modine Manufacturing Co (a) 1,243   17 Horizon Bancorp/IN 2,726   64  
Remy International Inc 692   15 Hudson Valley Holding Corp 543   14  
Standard Motor Products Inc 286   12 IBERIABANK Corp 2,164   137  
Strattec Security Corp 27   2 Independent Bank Corp/Rockland MA 3,480   152  
Superior Industries International Inc 869   17 International Bancshares Corp 1,351   35  
  $   1,798 Lakeland Bancorp Inc 1,401   16  
        Lakeland Financial Corp 394   16  
Banks - 13.53%       LegacyTexas Financial Group Inc 754   17  
1st Source Corp 1,481   47 Macatawa Bank Corp 964   5  
American National Bankshares Inc 291   7 MainSource Financial Group Inc 5,455   107  
Ameris Bancorp 4,531   120 MB Financial Inc 2,561   80  
Ames National Corp 300   7 Mercantile Bank Corp 647   13  
Arrow Financial Corp 414   11 Merchants Bancshares Inc/VT 189   6  
BancFirst Corp 261   16 Metro Bancorp Inc 523   14  
BancorpSouth Inc 2,030   47 MidSouth Bancorp Inc 314   5  
Bank of Kentucky Financial Corp/The 800   39 MidWestOne Financial Group Inc 251   7  
Bank of Marin Bancorp 900   46 National Bankshares Inc (b) 254   8  
Banner Corp 2,481   114 National Penn Bancshares Inc 10,447   112  
BBCN Bancorp Inc 5,898   85 NBT Bancorp Inc 8,091   202  
BNC Bancorp 1,100   20 Northrim BanCorp Inc 239   6  
Boston Private Financial Holdings Inc 4,700   57 OFG Bancorp 13,215   215  
Bridge Bancorp Inc 429   11 Old Line Bancshares Inc (b) 311   5  
Bryn Mawr Bank Corp 508   15 Old National Bancorp/IN 2,833   40  
Camden National Corp 286   11 Pacific Continental Corp 673   9  
Capital Bank Financial Corp (a) 528   15          

 

See accompanying notes.

168

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Banks (continued)       Building Materials - 0.25%      
PacWest Bancorp 2,500 $ 117 Apogee Enterprises Inc 253 $ 11
Park National Corp (b) 310   27 Gibraltar Industries Inc (a) 3,637   60
Park Sterling Corp 6,347   45 Griffon Corp 1,158   20
Penns Woods Bancorp Inc 175   9 Louisiana-Pacific Corp (a) 2,948   49
Peoples Bancorp Inc/OH 3,260   77 LSI Industries Inc 792   6
Peoples Financial Services Corp (b) 4,477   200 Masonite International Corp (a) 542   36
Pinnacle Financial Partners Inc 14,550   647 Quanex Building Products Corp 737   15
Preferred Bank/Los Angeles CA 7,732   213 Simpson Manufacturing Co Inc 939   35
PrivateBancorp Inc 20,422   719 Universal Forest Products Inc 500   28
Prosperity Bancshares Inc 1,843   97   $   260
Renasant Corp 771   23        
Republic Bancorp Inc/KY 1,900   47 Chemicals - 1.62%      
S&T Bancorp Inc 739   21 A Schulman Inc 6,465   311
Sandy Spring Bancorp Inc 632   17 Aceto Corp 581   13
Sierra Bancorp 2,958   50 Axiall Corp 6,317   297
Simmons First National Corp 1,446   66 Hawkins Inc 830   31
South State Corp 1,840   126 Innophos Holdings Inc 339   19
Southside Bancshares Inc 506   15 Innospec Inc 1,287   60
        Intrepid Potash Inc (a),(b) 1,406   16
Southwest Bancorp Inc 13,153   234        
State Bank Financial Corp 8,395   177 KMG Chemicals Inc 353   9
        Kraton Performance Polymers Inc (a) 826   17
Stock Yards Bancorp Inc 1,524   52        
Stonegate Bank 1,666   50 Kronos Worldwide Inc 2,475   32
        Landec Corp (a) 993   14
Suffolk Bancorp 426   10        
Susquehanna Bancshares Inc 12,346   169 Minerals Technologies Inc 7,613   557
Talmer Bancorp Inc 643   10 Olin Corp 1,943   62
Texas Capital Bancshares Inc (a) 628   31 OM Group Inc 797   24
Tompkins Financial Corp 1,265   68 Quaker Chemical Corp 146   12
TowneBank/Portsmouth VA 1,073   17 Sensient Technologies Corp 1,259   87
TriCo Bancshares 13,073   315 Stepan Co 383   16
TriState Capital Holdings Inc (a) 5,920   62 Tronox Ltd 1,296   26
Triumph Bancorp Inc (a) 3,884   53 Zep Inc 5,013   85
TrustCo Bank Corp NY 2,280   16   $   1,688
Trustmark Corp 3,940   96 Coal - 0.03%      
UMB Financial Corp 7,302   386 Cloud Peak Energy Inc (a) 2,242   13
Umpqua Holdings Corp 4,438   76 Hallador Energy Co 376   4
Union Bankshares Corp 3,263   72 Westmoreland Coal Co (a) 545   15
United Bankshares Inc/WV 1,699   64   $   32
United Community Banks Inc/GA 1,055   20        
Univest Corp of Pennsylvania 625   12 Commercial Services - 4.68%      
Valley National Bancorp 5,456   52 ABM Industries Inc 18,063   575
Walker & Dunlop Inc (a) 623   11 Albany Molecular Research Inc (a),(b) 856   15
Washington Trust Bancorp Inc 349   13 AMN Healthcare Services Inc (a) 1,087   25
Webster Financial Corp 5,401   200 ARC Document Solutions Inc (a) 8,000   74
WesBanco Inc 11,605   378 Ascent Capital Group Inc (a) 331   13
West Bancorporation Inc 3,983   80 Bridgepoint Education Inc (a) 607   6
Westamerica Bancorporation 647   28 Brink's Co/The 1,029   29
Western Alliance Bancorp (a) 742   22 Carriage Services Inc 481   12
Wilshire Bancorp Inc 36,210   361 CBIZ Inc (a) 1,496   14
Wintrust Financial Corp 8,530   407 CDI Corp 2,824   39
Yadkin Financial Corp (a) 2,400   49 Cenveo Inc (a) 42,000   90
  $   14,115 CRA International Inc (a) 1,580   49
        Cross Country Healthcare Inc (a) 36,745   436
Biotechnology - 0.91%       Deluxe Corp 582   40
Achillion Pharmaceuticals Inc (a) 1,817   18 Electro Rent Corp 547   6
AMAG Pharmaceuticals Inc (a) 260   14 Ennis Inc 951   13
Applied Genetic Technologies Corp/DE (a) 1,000   20 Franklin Covey Co (a) 154   3
Ardelyx Inc (a),(b) 2,700   35 FTI Consulting Inc (a) 995   37
Avalanche Biotechnologies Inc (a) 800   32 Global Cash Access Holdings Inc (a) 24,902   190
Celldex Therapeutics Inc (a) 5,100   142 Great Lakes Dredge & Dock Corp (a) 2,043   12
Dynavax Technologies Corp (a),(b) 555   13 Green Dot Corp (a) 8,000   127
Emergent Biosolutions Inc (a) 600   17 Hackett Group Inc/The 681   6
Geron Corp (a),(b) 3,315   13 HealthEquity Inc (a) 240   6
Kite Pharma Inc (a),(b) 1,200   69 Heidrick & Struggles International Inc 4,689   115
Medicines Co/The (a) 5,215   146 Huron Consulting Group Inc (a) 509   34
Merrimack Pharmaceuticals Inc (a),(b) 204   3 ICF International Inc (a) 477   20
OvaScience Inc (a),(b) 325   11 K12 Inc (a) 713   11
Prothena Corp PLC (a) 415   16 Kelly Services Inc 15,100   263
RTI Surgical Inc (a) 2,139   11 Korn/Ferry International 18,882   621
Sage Therapeutics Inc (a),(b) 3,300   166 LifeLock Inc (a) 8,600   121
Spectrum Pharmaceuticals Inc (a),(b) 1,843   11 Live Nation Entertainment Inc (a) 3,400   86
Ultragenyx Pharmaceutical Inc (a) 2,000   124 Matthews International Corp 5,422   279
XOMA Corp (a) 23,300   85 McGrath RentCorp 623   21
  $   946 MoneyGram International Inc (a) 1,048   9

 

See accompanying notes.

169

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Commercial Services (continued)       Diversified Financial Services (continued)      
Monster Worldwide Inc (a) 2,168 $ 14 Regional Management Corp (a) 383 $ 6
Multi-Color Corp 238   17 Springleaf Holdings Inc (a),(b) 518   27
National Research Corp 44   1 Stifel Financial Corp (a) 1,734   97
Navigant Consulting Inc (a) 1,246   16 Walter Investment Management Corp (a),(b) 803   13
Neff Corp (a) 279   3   $   2,211
PHH Corp (a) 1,080   26        
PRGX Global Inc (a) 1,016   4 Electric - 3.70%      
Quad/Graphics Inc 19,665   452 Abengoa Yield PLC 568   19
Rent-A-Center Inc/TX 1,267   35 Allete Inc 946   50
Resources Connection Inc 11,429   200 Avista Corp 1,642   56
RPX Corp (a) 10,869   156 Black Hills Corp 948   48
RR Donnelley & Sons Co 3,918   75 Cleco Corp 6,092   332
        Dynegy Inc (a) 21,526   677
TrueBlue Inc (a) 12,000   292        
Viad Corp 6,992   195 El Paso Electric Co 6,110   236
  $   4,883 Empire District Electric Co/The 4,820   119
        EnerNOC Inc (a) 735   8
Computers - 2.29%       IDACORP Inc 8,693   547
CACI International Inc (a) 2,456   221 MGE Energy Inc 3,254   144
Computer Task Group Inc 541   4 NorthWestern Corp 6,089   327
Convergys Corp 2,356   54 NRG Yield Inc (b) 649   33
Datalink Corp (a) 3,208   39 Otter Tail Corp 765   25
Engility Holdings Inc 11,318   340 PNM Resources Inc 7,875   230
ExlService Holdings Inc (a) 450   17 Portland General Electric Co 9,932   369
Insight Enterprises Inc (a) 18,963   541 Spark Energy Inc (b) 1,100   16
Mentor Graphics Corp 2,300   55 UIL Holdings Corp 7,492   385
Mercury Systems Inc (a) 793   12 Unitil Corp 2,405   84
Quantum Corp (a) 4,780   8 Westar Energy Inc 4,100   159
Sykes Enterprises Inc (a) 10,941   272   $   3,864
TeleTech Holdings Inc 309   8        
Unisys Corp (a) 24,545   569 Electrical Components & Equipment - 0.61%      
        Advanced Energy Industries Inc (a) 93   2
Varonis Systems Inc (a),(b) 9,600   246        
  $   2,386 Encore Wire Corp 182   7
        EnerSys 7,113   457
Consumer Products - 1.65%       General Cable Corp 1,027   18
ACCO Brands Corp (a) 69,572   578 Littelfuse Inc 1,514   150
Central Garden and Pet Co - A Shares (a) 16,391   174   $   634
CSS Industries Inc 362   11        
Helen of Troy Ltd (a) 11,731   956 Electronics - 2.28%      
  $   1,719 Bel Fuse Inc 393   7
        Benchmark Electronics Inc (a) 19,068   458
Cosmetics & Personal Care - 0.09%       Brady Corp 1,012   29
Revlon Inc (a) 2,218   91 Checkpoint Systems Inc 1,537   17
        Coherent Inc (a) 545   35
Distribution & Wholesale - 0.19%       CTS Corp 808   14
Beacon Roofing Supply Inc (a) 815   25 ESCO Technologies Inc 637   25
        FARO Technologies Inc (a) 82   5
Core-Mark Holding Co Inc 492   32 GSI Group Inc (a) 6,053   80
Houston Wire & Cable Co 641   6 II-VI Inc (a) 1,246   23
ScanSource Inc (a) 666   27        
        Itron Inc (a) 925   34
United Stationers Inc 2,749   113 Kemet Corp (a) 1,664   7
  $   203 Kimball Electronics Inc (a) 18,960   268
Diversified Financial Services - 2.12%       Newport Corp (a) 157   3
Aircastle Ltd 958   22 NVE Corp 100   7
Arlington Asset Investment Corp 13,842   333 OSI Systems Inc (a) 363   27
BGC Partners Inc 18,088   171 Plexus Corp (a) 523   21
Calamos Asset Management Inc 621   8 Rofin-Sinar Technologies Inc (a) 689   17
Consumer Portfolio Services Inc (a) 755   5 Rogers Corp (a) 305   25
Cowen Group Inc (a) 40,602   211 Sanmina Corp (a) 40,773   987
Encore Capital Group Inc (a) 301   13 Stoneridge Inc (a) 17,400   196
Enova International Inc (a) 13,500   266 TTM Technologies Inc (a) 2,070   19
Federal Agricultural Mortgage Corp 370   10 Viasystems Group Inc (a) 179   3
Gain Capital Holdings Inc 4,851   47 Vishay Precision Group Inc (a) 458   7
Higher One Holdings Inc (a) 778   2 Watts Water Technologies Inc 646   36
Home Loan Servicing Solutions Ltd 1,726   29 Woodward Inc 528   27
Investment Technology Group Inc (a) 8,077   245   $   2,377
Janus Capital Group Inc 3,597   62        
KCG Holdings Inc (a) 951   12 Energy - Alternate Sources - 1.52%      
        First Solar Inc (a) 6,500   389
Ladder Capital Corp 565   10        
Manning & Napier Inc 5,190   67 FutureFuel Corp 6,959   72
        Green Plains Inc 17,277   493
Marlin Business Services Corp 304   6 Pacific Ethanol Inc (a),(b) 22,109   239
Nelnet Inc 439   21 Renewable Energy Group Inc (a) 27,759   255
Nicholas Financial Inc (a) 371   5        
        REX American Resources Corp (a) 2,045   124
PennyMac Financial Services Inc (a) 9,600   163        
        TerraForm Power Inc (b) 379   14
Piper Jaffray Cos (a) 6,869   360        
          $   1,586

 

See accompanying notes.

170

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Engineering & Construction - 1.36%       Healthcare - Products (continued)      
Aegion Corp (a) 851 $ 15 BioTelemetry Inc (a) 392 $ 3
Argan Inc 7,174   260 CONMED Corp 645   32
Comfort Systems USA Inc 643   14 CryoLife Inc 1,028   11
Dycom Industries Inc (a) 137   7 Cynosure Inc (a) 8,132   249
EMCOR Group Inc 12,072   561 Exactech Inc (a) 355   9
Granite Construction Inc 831   29 Greatbatch Inc (a) 1,788   103
MYR Group Inc (a) 516   16 Haemonetics Corp (a) 1,112   50
Tutor Perini Corp (a) 7,993   186 Hanger Inc (a) 823   19
VSE Corp 4,053   332 ICU Medical Inc (a) 2,817   262
  $   1,420 Integra LifeSciences Holdings Corp (a) 350   22
        Invacare Corp 678   13
Entertainment - 0.27%       Merit Medical Systems Inc (a) 1,020   20
AMC Entertainment Holdings Inc 508   18 NuVasive Inc (a) 10,877   500
Churchill Downs Inc 111   13 OraSure Technologies Inc (a) 15,423   101
Eros International PLC (a) 516   9        
        Orthofix International NV (a) 440   16
International Speedway Corp 685   22 PhotoMedex Inc (a),(b) 361   1
Isle of Capri Casinos Inc (a) 778   11        
        SurModics Inc (a) 407   11
Marriott Vacations Worldwide Corp 644   52 Tornier NV (a) 831   22
National CineMedia Inc 1,137   17 Wright Medical Group Inc (a) 620   16
Penn National Gaming Inc (a) 1,878   29        
Reading International Inc (a) 650   9   $   1,524
Speedway Motorsports Inc 4,633   106 Healthcare - Services - 1.47%      
  $   286 AAC Holdings Inc (a),(b) 94   3
        Addus HomeCare Corp (a) 181   4
Environmental Control - 0.04%       Alliance HealthCare Services Inc (a) 513   11
CECO Environmental Corp (b) 771   8        
        Almost Family Inc (a) 308   14
Tetra Tech Inc 1,398   34 Amedisys Inc (a) 642   17
  $   42 Amsurg Corp (a) 782   48
Food - 1.60%       Bio-Reference Laboratories Inc (a) 63   2
Chefs' Warehouse Inc/The (a) 121   3 Ensign Group Inc/The 36   2
Darling Ingredients Inc (a) 3,194   45 Five Star Quality Care Inc (a) 8,384   37
Dean Foods Co 2,288   38 Genesis Healthcare Inc (a) 459   3
Fresh Del Monte Produce Inc 884   34 HealthSouth Corp 494   22
Ingles Markets Inc 323   16 Healthways Inc (a) 546   11
John B Sanfilippo & Son Inc 7,196   310 IPC Healthcare Inc (a) 261   12
Lancaster Colony Corp 173   17 Kindred Healthcare Inc 1,660   39
Pinnacle Foods Inc 5,651   231 LHC Group Inc (a) 449   15
Post Holdings Inc (a) 1,106   52 Magellan Health Inc (a) 644   46
Sanderson Farms Inc 118   9 Molina Healthcare Inc (a) 9,150   616
Seaboard Corp (a) 21   87 National HealthCare Corp 248   16
Smart & Final Stores Inc (a),(b) 9,234   162 Roka Bioscience Inc (a),(b) 3,100   10
Snyder's-Lance Inc 1,012   32 Select Medical Holdings Corp 176   3
SpartanNash Co 8,732   275 Triple-S Management Corp (a) 1,318   26
SUPERVALU Inc (a) 25,264   294 Universal American Corp/NY (a) 1,536   16
Tootsie Roll Industries Inc (b) 57   2 WellCare Health Plans Inc (a) 6,134   561
TreeHouse Foods Inc (a) 497   42   $   1,534
Village Super Market Inc 246   8 Holding Companies - Diversified - 0.04%      
Weis Markets Inc 267   13 FCB Financial Holdings Inc (a) 302   8
  $   1,670 HRG Group Inc (a) 1,233   15
Forest Products & Paper - 0.36%       National Bank Holdings Corp 735   14
Domtar Corp 1,900   88   $   37
Neenah Paper Inc 289   18 Home Builders - 0.22%      
PH Glatfelter Co 2,780   77 LGI Homes Inc (a),(b) 399   7
Resolute Forest Products Inc (a) 6,886   119        
        M/I Homes Inc (a) 591   14
Schweitzer-Mauduit International Inc 1,552   71 MDC Holdings Inc 815   23
  $   373 Meritage Homes Corp (a) 933   45
Gas - 2.22%       Ryland Group Inc/The 1,129   55
Chesapeake Utilities Corp 307   16 Standard Pacific Corp (a) 3,511   32
Laclede Group Inc/The 3,106   159 TRI Pointe Homes Inc (a) 2,786   43
New Jersey Resources Corp 27,916   867 William Lyon Homes (a) 568   15
Northwest Natural Gas Co 4,973   239   $   234
ONE Gas Inc 1,418   61 Home Furnishings - 0.56%      
Piedmont Natural Gas Co Inc 1,643   61 Daktronics Inc 401   4
South Jersey Industries Inc 688   37 DTS Inc/CA (a) 439   15
Southwest Gas Corp 7,182   418 Ethan Allen Interiors Inc 607   17
WGL Holdings Inc 8,149   459 Flexsteel Industries Inc 182   6
  $   2,317 La-Z-Boy Inc 279   8
Healthcare - Products - 1.46%       Skullcandy Inc (a) 23,060   261
Affymetrix Inc (a) 1,282   16 TiVo Inc (a) 1,426   15
Analogic Corp 293   27 Universal Electronics Inc (a) 4,600   259
AngioDynamics Inc (a) 919   16   $   585
AtriCure Inc (a) 261   5        

 

See accompanying notes.

171

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Housewares - 0.09%       Internet (continued)      
Lifetime Brands Inc 5,783 $ 89 Reis Inc 279 $ 7
NACCO Industries Inc 176   9 Rightside Group Ltd (a) 319   3
  $   98 RingCentral Inc (a),(b) 15,500   238
        Rubicon Project Inc/The (a) 10,400   186
Insurance - 4.99%       Shutterfly Inc (a) 318   14
Ambac Financial Group Inc (a) 940   23        
        Stamps.com Inc (a) 44   3
American Equity Investment Life Holding Co 31,210   909 TechTarget Inc (a) 601   7
Amerisafe Inc 7,140   330 TeleCommunication Systems Inc (a) 1,772   7
AmTrust Financial Services Inc 4,510   257   $   1,539
Argo Group International Holdings Ltd 685   34        
Aspen Insurance Holdings Ltd 4,300   203 Investment Companies - 0.02%      
Assured Guaranty Ltd 6,800   179 Acacia Research Corp 1,205   13
Baldwin & Lyons Inc 344   8 Caesars Acquisition Co (a) 1,678   11
CNO Financial Group Inc 50,608   871   $   24
Donegal Group Inc 297   5        
EMC Insurance Group Inc 166   6 Iron & Steel - 0.81%      
        AK Steel Holding Corp (a),(b) 3,762   17
Employers Holdings Inc 489   13        
Enstar Group Ltd (a) 207   29 Commercial Metals Co 28,423   460
FBL Financial Group Inc 236   15 Schnitzer Steel Industries Inc 976   15
        Shiloh Industries Inc (a) 18   —
Fidelity & Guaranty Life 5,291   112 Universal Stainless & Alloy Products Inc (a) 260   7
First American Financial Corp 5,564   198        
Greenlight Capital Re Ltd (a) 598   19 Worthington Industries Inc 13,100   349
Hallmark Financial Services Inc (a) 520   5   $   848
HCI Group Inc 100   5 Leisure Products & Services - 0.19%      
Hilltop Holdings Inc (a) 12,148   236 Brunswick Corp/DE 1,121   58
Horace Mann Educators Corp 1,763   60 Callaway Golf Co 1,678   16
Independence Holding Co 282   4 Escalade Inc 280   5
Infinity Property & Casualty Corp 154   13 Interval Leisure Group Inc 328   8
Kansas City Life Insurance Co 153   7 Johnson Outdoors Inc 187   6
Kemper Corp 1,052   41 Life Time Fitness Inc (a) 933   66
Maiden Holdings Ltd 33,770   501 Nautilus Inc (a) 434   7
MGIC Investment Corp (a) 4,866   47 Steiner Leisure Ltd (a) 352   17
Montpelier Re Holdings Ltd ADR 897   34 Travelport Worldwide Ltd 618   10
National General Holdings Corp 845   16   $   193
National Western Life Insurance Co 54   14        
Navigators Group Inc/The (a) 251   20 Lodging - 0.05%      
OneBeacon Insurance Group Ltd 857   13 Belmond Ltd (a) 2,084   25
Phoenix Cos Inc/The (a) 210   10 Boyd Gaming Corp (a) 569   8
Primerica Inc 1,455   74 Marcus Corp/The 702   15
Radian Group Inc 3,208   54 Monarch Casino & Resort Inc (a) 345   7
RLI Corp 1,047   55   $   55
Safety Insurance Group Inc 307   18 Machinery - Construction & Mining - 0.19%      
Selective Insurance Group Inc 6,773   197 Astec Industries Inc 399   17
State Auto Financial Corp 568   14 Hyster-Yale Materials Handling Inc 2,400   176
Stewart Information Services Corp 2,853   116   $   193
Symetra Financial Corp 13,795   324        
Third Point Reinsurance Ltd (a) 1,197   17 Machinery - Diversified - 0.53%      
Trupanion Inc (a),(b) 847   7 Alamo Group Inc 257   16
United Fire Group Inc 2,802   89 Albany International Corp 525   21
United Insurance Holdings Corp 52   1 Applied Industrial Technologies Inc 638   29
Universal Insurance Holdings Inc 61   2 Briggs & Stratton Corp 1,171   24
  $   5,205 Columbus McKinnon Corp/NY 639   17
        Gerber Scientific Inc (a),(c),(d) 1,974   —
Internet - 1.48%       Global Power Equipment Group Inc 627   8
1-800-Flowers.com Inc (a) 928   11        
8x8 Inc (a) 2,214   19 Hurco Cos Inc 1,041   34
Bankrate Inc (a) 1,409   16 Kadant Inc 7,451   393
Bazaarvoice Inc (a),(b) 1,054   6 Lindsay Corp 70   5
Blucora Inc (a) 12,580   171 Twin Disc Inc 83   2
Chegg Inc (a) 1,557   12   $   549
Cinedigm Corp (a) 2,179   4 Media - 1.64%      
Dice Holdings Inc (a) 944   8 AH Belo Corp 705   6
ePlus Inc (a) 179   16 Crown Media Holdings Inc (a) 221   1
FTD Cos Inc (a) 432   13 Cumulus Media Inc (a) 1,730   4
Global Sources Ltd (a) 597   4 Daily Journal Corp (a) 40   7
Internap Corp (a) 1,291   13 Dex Media Inc (a),(b) 12,145   51
Intralinks Holdings Inc (a) 8,900   92 Entercom Communications Corp (a) 4,702   57
Lands' End Inc (a) 11,198   402 Entravision Communications Corp 24,200   153
Limelight Networks Inc (a) 2,217   8 EW Scripps Co/The 16,159   460
magicJack VocalTec Ltd (a) 7,948   54 Hemisphere Media Group Inc (a),(b) 308   4
New Media Investment Group Inc 1,078   26 Houghton Mifflin Harcourt Co (a) 2,606   61
Orbitz Worldwide Inc (a) 1,014   12 Journal Communications Inc (a) 24,570   364
Perficient Inc (a) 433   9 Lee Enterprises Inc (a),(b) 1,921   6
Q2 Holdings Inc (a) 8,400   178 McClatchy Co/The (a) 2,195   4

 

See accompanying notes.

172

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Media (continued)       Oil & Gas (continued)      
Media General Inc (a) 1,693 $ 28 North Atlantic Drilling Ltd 1,970 $ 2
Meredith Corp 859   48 Northern Oil and Gas Inc (a) 2,248   17
New York Times Co/The 3,308   46 Panhandle Oil and Gas Inc 1,400   28
Saga Communications Inc 129   6 Parker Drilling Co (a) 32,002   111
Salem Media Group Inc 389   2 PDC Energy Inc (a) 786   43
Scholastic Corp 641   26 Rosetta Resources Inc (a) 1,265   22
Sinclair Broadcast Group Inc (b) 10,155   319 RSP Permian Inc (a) 611   15
Time Inc 2,668   60 Sanchez Energy Corp (a),(b) 748   10
  $   1,713 Stone Energy Corp (a) 12,531   184
        TransAtlantic Petroleum Ltd (a) 397   2
Metal Fabrication & Hardware - 0.40%       Triangle Petroleum Corp (a),(b) 1,417   7
Ampco-Pittsburgh Corp 3,011   53 Vaalco Energy Inc (a) 33,491   82
CIRCOR International Inc 65   4 Vantage Drilling Co (a) 7,705   3
Dynamic Materials Corp 482   6 W&T Offshore Inc (b) 861   4
Global Brass & Copper Holdings Inc 6,484   100 Warren Resources Inc (a) 109,265   98
LB Foster Co 4,275   203 Western Refining Inc 900   45
Mueller Industries Inc 473   17   $   1,419
Northwest Pipe Co (a) 364   8        
RTI International Metals Inc (a) 608   22 Oil & Gas Services - 1.05%      
  $   413 Basic Energy Services Inc (a) 4,300   30
        Bristow Group Inc 844   46
Mining - 0.16%       C&J Energy Services Ltd (a) 21,039   234
Century Aluminum Co (a) 1,266   18        
        Dawson Geophysical Co (a) 5,104   22
Coeur Mining Inc (a) 2,771   13        
        Exterran Holdings Inc 1,388   47
Globe Specialty Metals Inc 3,500   66 Forum Energy Technologies Inc (a) 5,709   112
Hecla Mining Co 9,121   27 Geospace Technologies Corp (a) 425   7
Horsehead Holding Corp (a) 922   12        
        Gulf Island Fabrication Inc 329   5
Kaiser Aluminum Corp 456   35 Gulfmark Offshore Inc 993   13
  $   171 Helix Energy Solutions Group Inc (a) 14,508   217
Miscellaneous Manufacturing - 0.56%       ION Geophysical Corp (a) 39,993   87
Actuant Corp 1,303   31 McDermott International Inc (a) 4,965   19
American Railcar Industries Inc (b) 22   1 Mitcham Industries Inc (a) 6,189   28
Barnes Group Inc 1,332   54 Natural Gas Services Group Inc (a) 458   9
Chase Corp 25   1 Newpark Resources Inc (a) 2,054   19
CLARCOR Inc 105   7 PHI Inc (a) 433   13
Fabrinet (a) 13,489   256 Pioneer Energy Services Corp (a) 637   3
Federal Signal Corp 1,509   24 SEACOR Holdings Inc (a) 446   31
FreightCar America Inc 442   14 Superior Energy Services Inc 4,076   91
GP Strategies Corp (a) 166   6 Tesco Corp 3,250   37
Handy & Harman Ltd (a) 153   6 Willbros Group Inc (a) 8,600   28
LSB Industries Inc (a) 411   17   $   1,098
Lydall Inc (a) 84   3        
        Packaging & Containers - 0.66%      
Park-Ohio Holdings Corp 1,600   84 Berry Plastics Group Inc (a) 959   35
Standex International Corp 630   52 Graphic Packaging Holding Co 30,500   444
Tredegar Corp 916   18 Rock-Tenn Co 3,200   206
TriMas Corp (a) 188   6        
        UFP Technologies Inc (a) 223   5
  $   580   $   690
 
Office & Business Equipment - 0.01%       Pharmaceuticals - 1.00%      
Eastman Kodak Co (a) 641   12        
        Amphastar Pharmaceuticals Inc (a) 7,000   105
        Anacor Pharmaceuticals Inc (a) 493   29
Office Furnishings - 0.50%       Auspex Pharmaceuticals Inc (a) 300   30
HNI Corp 126   7 BioScrip Inc (a),(b) 2,514   11
Kimball International Inc 28,058   294 Cara Therapeutics Inc (a) 3,325   33
Steelcase Inc 11,800   223 Catalent Inc (a) 180   6
  $   524 Derma Sciences Inc (a) 835   7
        Dicerna Pharmaceuticals Inc (a),(b) 2,800   67
Oil & Gas - 1.36%       Hyperion Therapeutics Inc (a) 100   5
Adams Resources & Energy Inc 77   5 Immune Design Corp (a) 1,500   32
Alon USA Energy Inc 692   12 Impax Laboratories Inc (a) 5,321   249
Approach Resources Inc (a) 815   5 Lannett Co Inc (a) 2,500   169
Bill Barrett Corp (a) 1,831   15        
        Nature's Sunshine Products Inc 398   5
Callon Petroleum Co (a) 20,031   150 Nektar Therapeutics (a) 1,316   14
Comstock Resources Inc (b) 1,760   6 Nutraceutical International Corp (a) 326   6
Delek US Holdings Inc 11,388   452 Omega Protein Corp (a) 716   10
Emerald Oil Inc (a) 2,890   2        
        Owens & Minor Inc 2,675   91
Energy XXI Ltd 6,965   25 PharMerica Corp (a) 717   20
EXCO Resources Inc (b) 3,485   6 PRA Health Sciences Inc (a) 88   3
FMSA Holdings Inc (a),(b) 598   4 Progenics Pharmaceuticals Inc (a) 1,954   12
Gastar Exploration Inc (a) 12,000   32 Revance Therapeutics Inc (a),(b) 2,000   41
Halcon Resources Corp (a) 9,606   15 Sagent Pharmaceuticals Inc (a) 156   4
Magnum Hunter Resources Corp - Warrants 362   — SciClone Pharmaceuticals Inc (a) 719   6
(a),(c),(d)       XenoPort Inc (a) 1,902   14
Matador Resources Co (a) 753   17        

 

See accompanying notes.

173

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Pharmaceuticals (continued)       REITS (continued)      
Zafgen Inc (a),(b) 1,100 $ 44 New York Mortgage Trust Inc (b) 2,232 $ 17
ZS Pharma Inc (a),(b) 700   29 New York REIT Inc 3,420   36
  $   1,042 One Liberty Properties Inc 449   11
        Parkway Properties Inc/Md 16,458   286
Real Estate - 0.55%       Pebblebrook Hotel Trust 1,648   77
Alexander & Baldwin Inc 6,518   281 Pennsylvania Real Estate Investment Trust 10,037   233
Altisource Residential Corp 1,230   26 PennyMac Mortgage Investment Trust 16,360   348
BBX Capital Corp (a) 309   6        
        Physicians Realty Trust 1,492   26
Kennedy-Wilson Holdings Inc 1,395   36 Potlatch Corp 12,000   480
RE/MAX Holdings Inc 6,700   223 PS Business Parks Inc 276   23
  $   572 RAIT Financial Trust 24,079   165
REITS - 14.38%       Ramco-Gershenson Properties Trust 6,465   120
Acadia Realty Trust 3,521   122 Redwood Trust Inc 27,564   493
AG Mortgage Investment Trust Inc 600   11 Resource Capital Corp 2,725   12
Agree Realty Corp 479   16 Retail Opportunity Investments Corp 28,607   524
American Assets Trust Inc 756   33 Rexford Industrial Realty Inc 1,215   19
American Campus Communities Inc 6,200   266 RLJ Lodging Trust 3,602   113
American Capital Mortgage Investment Corp 1,079   19 Rouse Properties Inc 5,575   106
American Residential Properties Inc (a) 672   12 Ryman Hospitality Properties Inc 445   27
Anworth Mortgage Asset Corp 69,388   353 Sabra Health Care REIT Inc 118   4
Apollo Commercial Real Estate Finance Inc 1,233   21 Saul Centers Inc 46   3
Armada Hoffler Properties Inc 3,100   33 Select Income REIT 778   19
ARMOUR Residential REIT Inc 7,530   24 Silver Bay Realty Trust Corp 8,403   136
Ashford Hospitality Prime Inc 4,580   77 Sovran Self Storage Inc 156   15
Ashford Hospitality Trust Inc 51,477   495 STAG Industrial Inc 1,195   28
Associated Estates Realty Corp 1,216   30 Starwood Waypoint Residential Trust 817   21
Aviv REIT Inc 381   14 STORE Capital Corp 667   16
Capstead Mortgage Corp 49,919   588 Strategic Hotels & Resorts Inc (a) 1,215   15
Cedar Realty Trust Inc 24,364   182 Summit Hotel Properties Inc 49,507   696
Chambers Street Properties 44,362   350 Sun Communities Inc 2,100   140
Chatham Lodging Trust 5,243   154 Sunstone Hotel Investors Inc 33,362   556
Chesapeake Lodging Trust 8,396   284 Terreno Realty Corp 904   21
Colony Financial Inc 3,201   83 Urstadt Biddle Properties Inc 333   8
CoreSite Realty Corp 9,000   438 Washington Real Estate Investment Trust 1,817   50
Cousins Properties Inc 51,223   543 Western Asset Mortgage Capital Corp 887   13
CubeSmart 4,460   108 Whitestone REIT 818   13
CyrusOne Inc 5,495   171   $   14,996
CYS Investments Inc 15,725   140 Retail - 4.76%      
DCT Industrial Trust Inc 15,404   534 American Eagle Outfitters Inc 5,111   87
DiamondRock Hospitality Co 59,835   845 America's Car-Mart Inc/TX (a) 245   13
DuPont Fabros Technology Inc 923   30 Barnes & Noble Inc (a) 9,348   221
EastGroup Properties Inc 1,004   60 Biglari Holdings Inc (a) 42   17
Education Realty Trust Inc 5,348   189 BJ's Restaurants Inc (a) 392   20
EPR Properties 3,785   227 Bob Evans Farms Inc 522   24
Equity One Inc 1,675   45 Boot Barn Holdings Inc (a) 117   3
Excel Trust Inc 1,292   18 Brown Shoe Co Inc 8,240   271
Extra Space Storage Inc 2,400   162 Build-A-Bear Workshop Inc (a) 126   2
FelCor Lodging Trust Inc 17,047   195 Burlington Stores Inc (a) 111   7
First Industrial Realty Trust Inc 32,515   697 Cash America International Inc 14,694   343
First Potomac Realty Trust 1,570   19 Cato Corp/The 2,556   101
Franklin Street Properties Corp 4,106   53 Children's Place Inc/The 533   34
GEO Group Inc/The 9,042   395 Citi Trends Inc (a) 5,555   150
Getty Realty Corp 2,919   53 Cracker Barrel Old Country Store Inc 43   7
Government Properties Income Trust 3,040   70 Dave & Buster's Entertainment Inc (a) 3,800   116
Gramercy Property Trust Inc 984   28 Denny's Corp (a) 1,039   12
Hatteras Financial Corp 2,017   37 DineEquity Inc 244   26
Healthcare Realty Trust Inc 2,865   80 Express Inc (a) 1,917   32
Hersha Hospitality Trust 89,866   582 Ezcorp Inc (a) 1,252   11
Highwoods Properties Inc 2,480   114 Finish Line Inc/The 865   21
Home Properties Inc 900   62 Fred's Inc 778   13
Hudson Pacific Properties Inc 1,390   46 Genesco Inc (a) 529   38
Inland Real Estate Corp 2,334   25 Group 1 Automotive Inc 478   41
Invesco Mortgage Capital Inc 2,596   40 Guess? Inc 1,487   28
Investors Real Estate Trust 2,368   18 Haverty Furniture Cos Inc 724   18
iStar Financial Inc (a) 1,794   23        
        Kirkland's Inc (a) 220   5
Kite Realty Group Trust 8,929   252 MarineMax Inc (a) 596   16
LaSalle Hotel Properties 4,162   162 Movado Group Inc 366   10
Lexington Realty Trust 4,295   42 Office Depot Inc (a) 139,437   1,282
LTC Properties Inc 5,776   266 PC Connection Inc 331   9
Mack-Cali Realty Corp 1,870   36 Regis Corp (a) 1,021   17
Medical Properties Trust Inc 6,187   91 Rite Aid Corp (a) 98,800   859
Monmouth Real Estate Investment Corp 1,605   18 Ruby Tuesday Inc (a) 2,254   14
New Residential Investment Corp 2,973   45 Rush Enterprises Inc - Class A (a) 206   6

 

See accompanying notes.

174

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) COMMON STOCKS (continued) Shares Held Value (000's)
 
Retail (continued)       Semiconductors (continued)      
Ruth's Hospitality Group Inc 10,666 $ 169 Tessera Technologies Inc 521 $ 21
Shoe Carnival Inc 545   16 Ultra Clean Holdings Inc (a) 44,931   321
Sonic Automotive Inc 964   24 Veeco Instruments Inc (a) 836   26
Sonic Corp 386   12 Xcerra Corp (a) 3,764   33
Stage Stores Inc 758   17   $   2,466
Stein Mart Inc 1,034   13        
Systemax Inc (a) 3,000   37 Software - 0.96%      
        2U Inc (a),(b) 230   6
Tilly's Inc (a) 684   11        
        Actua Corp (a) 964   15
Tuesday Morning Corp (a),(b) 301   5        
        Acxiom Corp (a) 1,635   30
Vitamin Shoppe Inc (a) 370   15        
        Audience Inc (a),(b) 900   4
World Fuel Services Corp 1,600   92 Avid Technology Inc (a) 9,900   148
Zumiez Inc (a) 16,854   678        
  $   4,963 CSG Systems International Inc 477   15
        Dealertrack Technologies Inc (a) 319   12
Savings & Loans - 1.92%       Digi International Inc (a) 961   10
Astoria Financial Corp 2,105   27 Ebix Inc (b) 717   22
Banc of California Inc 14,220   175 Epiq Systems Inc 1,084   19
BankFinancial Corp 1,786   23 Globant SA (a) 2,900   61
Berkshire Hills Bancorp Inc 2,213   61 HubSpot Inc (a) 61   2
Brookline Bancorp Inc 1,690   17 Imperva Inc (a) 5,100   218
Capitol Federal Financial Inc 3,478   44 Infoblox Inc (a) 263   6
Charter Financial Corp/MD 5,800   67 ManTech International Corp/VA 550   19
Clifton Bancorp Inc 975   14 MedAssets Inc (a) 128   2
Dime Community Bancshares Inc 1,207   19 Paycom Software Inc (a) 234   8
EverBank Financial Corp 2,173   39 Progress Software Corp (a) 2,192   59
First Defiance Financial Corp 2,562   84 Rosetta Stone Inc (a),(b) 781   6
First Financial Northwest Inc 507   6 Sapiens International Corp NV (a) 779   6
First Niagara Financial Group Inc 8,346   74 Seachange International Inc (a) 1,210   10
Flagstar Bancorp Inc (a) 34,200   496 SYNNEX Corp 597   46
Flushing Financial Corp 3,849   77 Take-Two Interactive Software Inc (a) 10,511   267
HomeStreet Inc (a) 9,100   167 Verint Systems Inc (a) 106   7
Investors Bancorp Inc 8,361   98   $   998
Meta Financial Group Inc 225   9        
Northfield Bancorp Inc 1,076   16 Storage & Warehousing - 0.05%      
Northwest Bancshares Inc 2,340   28 Mobile Mini Inc 914   39
        Wesco Aircraft Holdings Inc (a),(b) 1,056   16
OceanFirst Financial Corp 498   9        
Oritani Financial Corp 1,112   16   $   55
Pacific Premier Bancorp Inc (a) 626   10 Supranational Bank - 0.10%      
Provident Financial Services Inc 5,211   97 Banco Latinoamericano de Comercio Exterior 3,329   109
Sterling Bancorp/DE 2,237   30 SA      
Territorial Bancorp Inc 318   8        
United Community Financial Corp/OH 7,456   41        
United Financial Bancorp Inc 1,522   19 Telecommunications - 1.08%      
Washington Federal Inc 2,461   54 ADTRAN Inc 644   12
        Anixter International Inc (a) 354   27
Waterstone Financial Inc 1,267   16        
WSFS Financial Corp 2,116   160 Atlantic Tele-Network Inc 235   16
  $   2,001 Black Box Corp 567   12
        Calix Inc (a) 1,527   13
Semiconductors - 2.36%       Cincinnati Bell Inc (a) 3,859   14
Alpha & Omega Semiconductor Ltd (a) 14,385   128 Comtech Telecommunications Corp 4,965   143
Amkor Technology Inc (a) 35,889   317 Consolidated Communications Holdings Inc 540   11
Brooks Automation Inc 1,460   17 DigitalGlobe Inc (a) 1,588   54
Cabot Microelectronics Corp (a) 141   7 EarthLink Holdings Corp 3,679   16
Cascade Microtech Inc (a) 430   6 Extreme Networks Inc (a) 1,121   3
Cirrus Logic Inc (a) 1,025   34 FairPoint Communications Inc (a) 164   3
Cohu Inc 926   10 Finisar Corp (a) 233   5
Cypress Semiconductor Corp (a) 38,051   537 Globalstar Inc (a),(b) 5,739   19
Diodes Inc (a) 415   12 Harmonic Inc (a) 1,924   14
DSP Group Inc (a) 743   9 Hawaiian Telcom Holdco Inc (a) 382   10
Emulex Corp (a) 1,683   13 IDT Corp - Class B 1,849   33
Entegris Inc (a) 1,466   20 Infinera Corp (a) 686   13
Fairchild Semiconductor International Inc (a) 17,150   312 Inteliquent Inc 32,500   511
Integrated Device Technology Inc (a) 838   17 Intelsat SA (a) 727   9
Integrated Silicon Solution Inc 1,120   20 Iridium Communications Inc (a),(b) 1,941   19
Intersil Corp 2,715   39 Ixia (a) 1,074   13
IXYS Corp 8,617   106 Leap Wireless International Inc - Rights 1,093   3
Microsemi Corp (a) 720   26 (a),(c),(d)      
MKS Instruments Inc 6,871   232 Netgear Inc (a) 859   28
OmniVision Technologies Inc (a) 1,318   35 NeuStar Inc (a),(b) 104   3
Pericom Semiconductor Corp 5,308   83 NTELOS Holdings Corp 341   2
Photronics Inc (a) 1,583   13 Plantronics Inc 182   10
PMC-Sierra Inc (a) 2,852   26 Polycom Inc (a) 1,771   24
QLogic Corp (a) 2,050   30 Preformed Line Products Co 91   4
Silicon Laboratories Inc (a) 320   16 Premiere Global Services Inc (a) 1,523   14

 

See accompanying notes.

175

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000's) INVESTMENT COMPANIES (continued) Shares Held Value (000 's)
 
Telecommunications (continued)       Publicly Traded Investment Fund (continued)            
Shenandoah Telecommunications Co 129 $ 4 JP Morgan Prime Money Market Fund 91,996 $ 92  
Spok Holdings Inc 826   16         $   7,301  
Telenav Inc (a) 1,010   8 TOTAL INVESTMENT COMPANIES     $   7,301  
TESSCO Technologies Inc 191   5 Total Investments     $   105,674  
Vonage Holdings Corp (a) 4,210   21 Liabilities in Excess of Other Assets, Net - (1.31)%   $   (1,369 )
West Corp 442   15 TOTAL NET ASSETS - 100.00%     $   104,305  
  $   1,127                
 
Textiles - 0.08%                      
Culp Inc 272   7 (a) Non-Income Producing Security            
G&K Services Inc 482   35 (b) Security or a portion of the security was on loan at the end of the period.  
UniFirst Corp/MA 354   42 (c) Security is Illiquid            
        (d) Fair value of these investments is determined in good faith by the Manager  
  $   84   under procedures established and periodically reviewed by the Board of  
Toys, Games & Hobbies - 0.01%         Directors. At the end of the period, the fair value of these securities totaled  
Jakks Pacific Inc (a),(b) 685   5   $3 or 0.00% of net assets.            
        (e) Security was purchased with the cash proceeds from securities loans.  
 
Transportation - 1.56%                      
Air Transport Services Group Inc (a) 1,878   17                
ArcBest Corp 3,775   143   Portfolio Summary (unaudited)          
Ardmore Shipping Corp 664   7 Sector           Percent  
Atlas Air Worldwide Holdings Inc (a) 607   26 Financial         37.51 %
CAI International Inc (a) 603   15 Consumer, Non-cyclical         13.03 %
Dorian LPG Ltd (a) 270   4 Industrial         10.54 %
Era Group Inc (a) 748   16 Consumer, Cyclical         10.08 %
Frontline Ltd/Bermuda (a) 2,441   5 Exchange Traded Funds         7.00 %
GasLog Ltd 754   15 Utilities         6.25 %
Hornbeck Offshore Services Inc (a) 10,578   199 Technology         5.62 %
International Shipholding Corp 209   3 Communications         4.23 %
Marten Transport Ltd 516   12 Energy         3.96 %
Matson Inc 17,875   753 Basic Materials         2.95 %
Navios Maritime Acquisition Corp 3,000   11 Government         0.10 %
Nordic American Tankers Ltd 2,118   25 Diversified         0.04 %
PAM Transportation Services Inc (a) 95   5 Liabilities in Excess of Other Assets, Net         (1.31 )%
Patriot Transportation Holding Inc (a) 82   2 TOTAL NET ASSETS         100.00 %
Roadrunner Transportation Systems Inc (a) 653   17                
Scorpio Tankers Inc 3,924   37                
Ship Finance International Ltd 1,392   21                
Swift Transportation Co (a) 5,900   154                
Teekay Tankers Ltd 2,957   17                
Universal Truckload Services Inc 1,291   32                
USA Truck Inc (a) 229   6                
UTI Worldwide Inc (a) 1,911   23                
Werner Enterprises Inc 862   27                
XPO Logistics Inc (a) 884   40                
  $   1,632                
 
Trucking & Leasing - 0.58%                      
AMERCO 1,700   562                
TAL International Group Inc 539   22                
Textainer Group Holdings Ltd 601   18                
  $   602                
 
Water - 0.33%                      
American States Water Co 5,063   202                
Artesian Resources Corp 900   19                
California Water Service Group 4,405   108                
SJW Corp 459   14                
  $   343                
TOTAL COMMON STOCKS $   98,373                
INVESTMENT COMPANIES - 7.00% Shares Held Value (000's)                
 
Publicly Traded Investment Fund - 7.00%                      
BlackRock Liquidity Funds TempFund 3,271,407   3,271                
Portfolio                      
Goldman Sachs Financial Square Funds - 1,829,577   1,830                
Government Fund (e)                      
Goldman Sachs Financial Square Funds - 2,107,894   2,108                
Money Market Fund                      

 

See accompanying notes.

176

 

Schedule of Investments
SmallCap Value Account I
March 31, 2015 (unaudited)
 
Futures Contracts
                  Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
Russell 2000 Mini; June 2015 Long 47 $ 5,791 $   5,870 $ 79
Total             $   79
Amounts in thousands except contracts                  

 

See accompanying notes.

177

 

    Glossary to the Schedule of Investments
    March 31, 2015 (unaudited)
 
 
Currency Abbreviations    
USD/$ United States Dollar  

 

See accompanying notes.

178

 

At March 31, 2015, the net federal income tax unrealized appreciation (depreciation) and federal tax cost of investments held by the Accounts were as follows (amounts in thousands):

                   
                   
    Unrealized   Unrealized     Net Unrealized   Cost for Federal
    Appreciation   (Depreciation)     Appreciation (Depreciation)   Income Tax Purposes
Balanced Account $ 5,564 $ (660 ) $ 4,904 $ 45,409
Bond & Mortgage Securities Account   7,184   (3,889 )   3,295   344,176
Bond Market Index Account   40,360   (3,842 )   36,518   1,957,451
Diversified Balanced Account   173,413   (1,816 )   171,597   870,105
Diversified Balanced Managed Volatility Account 2,974   (353 )   2,621   104,535
Diversified Growth Account   502,701   (11,531 )   491,170   2,532,104
Diversified Growth Managed Volatility Account 5,530   (929 )   4,601   182,401
Diversified Income Account   14,610   (278 )   14,332   162,887
Diversified International Account   74,694   (16,975 )   57,719   338,844
Equity Income Account   247,761   (11,457 )   236,304   380,197
Government & High Quality Bond Account   9,446   (4,235 )   5,211   309,834
Income Account   18,303   (2,204 )   16,099   259,740
International Emerging Markets Account   13,425   (5,894 )   7,531   96,493
LargeCap Blend Account II   31,341   (2,255 )   29,086   111,273
LargeCap Growth Account   30,719   (765 )   29,954   95,385
LargeCap Growth Account I   70,897   (3,804 )   67,093   178,948
LargeCap S&P 500 Index Account   567,107   (32,511 )   534,596   1,419,275
LargeCap S&P 500 Managed Volatility Index                  
Account   8,981   (3,433 )   5,548   116,042
LargeCap Value Account   23,048   (2,913 )   20,135   145,739
MidCap Account   287,003   (4,808 )   282,195   438,558
Money Market Account   —   —     —   270,006
Principal Capital Appreciation Account   21,914   (162 )   21,752   18,952
Principal LifeTime 2010 Account   4,245   (880 )   3,365   43,200
Principal LifeTime 2020 Account   19,577   (5,372 )   14,205   195,660
Principal LifeTime 2030 Account   11,504   (1,802 )   9,702   110,614
Principal LifeTime 2040 Account   4,085   (892 )   3,193   41,689
Principal LifeTime 2050 Account   2,440   (461 )   1,979   21,536
Principal LifeTime 2060 Account   52   (16 )   36   1,443
Principal LifeTime Strategic Income Account   2,302   (379 )   1,923   28,132
Real Estate Securities Account   60,608   (384 )   60,224   113,667
SAM Balanced Portfolio   138,043   (2,242 )   135,801   787,615
SAM Conservative Balanced Portfolio   23,869   (554 )   23,315   199,287
SAM Conservative Growth Portfolio   43,950   (1,160 )   42,790   265,444
SAM Flexible Income Portfolio   23,280   (575 )   22,705   214,959
SAM Strategic Growth Portfolio   29,671   (1,712 )   27,959   214,838
Short-Term Income Account   2,784   (1,144 )   1,640   258,673
SmallCap Blend Account   18,911   (1,229 )   17,682   51,032
SmallCap Growth Account II   18,589   (2,147 )   16,442   58,831
SmallCap Value Account I   24,450   (4,604 )   19,846   85,828

 

 

Security Valuation. Principal LifeTime 2010 Account, Principal LifeTime 2020 Account, Principal LifeTime 2030 Account, Principal LifeTime 2040 Account, Principal LifeTime 2050 Account, Principal LifeTime 2060 Account, and Principal LifeTime Strategic Income Account (collectively, the “Principal LifeTime Accounts”), SAM Balanced Portfolio, SAM Conservative Balanced Portfolio, SAM Conservative Growth Portfolio, SAM Flexible Income Portfolio, SAM Strategic Growth Portfolio (collectively, the “SAM Portfolios”), along with Diversified Balanced Account, Diversified Balanced Managed Volatility Account, Diversified Growth Account, Diversified Growth Managed Volatility Account, and Diversified Income Account invest in combinations of other series of Principal Variable Contracts Funds, Inc. and Principal Funds, Inc. (the “Underlying Funds”). Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of valuation.

Balanced Account, Bond & Mortgage Securities Account, Bond Market Index Account, Diversified International Account, Equity Income Account, Government & High Quality Bond Account, Income Account, International Emerging Markets Account, LargeCap Blend Account II, LargeCap Growth Account, LargeCap Growth Account I, LargeCap S&P 500 Index Account, LargeCap S&P 500 Managed Volatility Index Account, LargeCap Value Account, MidCap Account, Money Market Account, Principal Capital Appreciation Account, Real Estate Securities Account, Short-Term Income Account, SmallCap Blend Account, SmallCap Growth Account II, and SmallCap Value Account I “known as the Accounts” value securities for which market quotations are readily available at fair value, which is determined using the last reported sale price. If no sales are reported, as is regularly the case for some securities traded over-the-counter, securities are valued using the last reported bid price or an evaluated bid price provided by a pricing service. Pricing services use electronic modeling techniques that incorporate security characteristics, market conditions and dealer-supplied valuations to determine an evaluated bid price. When reliable market quotations are not considered to be readily available, which may be the case, for example, with respect to restricted securities, certain debt securities, preferred stocks and foreign securities, the investments are valued at their fair value as determined in good faith by Principal Management Corporation (the “Manager”) under procedures established and periodically reviewed by the Accounts’ Board of Directors.

The value of foreign securities used in computing the net asset value per share is generally determined as of the close of the foreign exchange where the security is principally traded. Events that occur after the close of the applicable foreign market or exchange but prior to the calculation of the Accounts’ net asset value are reflected in the Accounts’ net asset value. Many factors are reviewed in the course of making a good faith determination of a security’s fair value, including, but not limited to, price movements in ADRs, futures contracts, industry indices, general indices and foreign currencies.

To the extent each Account invests in foreign securities listed on foreign exchanges which trade on days on which the Account does not determine its net asset value, for example weekends and other customary national U.S. holidays, each Accounts’ net asset value could be significantly affected on days when shareholders cannot purchase or redeem shares.

Certain securities issued by companies in emerging market countries may have more than one quoted valuation at any given point in time, sometimes referred to as a "local" price and a "premium" price. The premium price is often a negotiated price, which may not consistently represent a price at which a specific transaction can be effected. It is the policy of the Accounts to value such securities at prices at which it is expected those shares may be sold, and the Manager or any sub-advisor is authorized to make such determinations subject to such oversight by the Accounts’ Board of Directors as may occasionally be necessary.

Money Market Account values its securities at amortized cost as permitted under Rule 2a-7 of the Investment Company Act of 1940. Other mutual funds are valued at the funds’ net asset value. Under the amortized cost method, a security is valued by applying a constant yield to maturity of the difference between the principal amount due at maturity and the cost of the security to the Account.

 

Fair value is defined as the price that the Accounts would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market of the security at the measurement date. In determining fair value, the Accounts use various valuation approaches, including market, income and/or cost approaches. A hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.

Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the Accounts. Unobservable inputs are inputs that reflect the Accounts own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

ÏLevel 1 – Quoted prices are available in active markets for identical securities as of the reporting date. The type of securities included in Level 1 includes listed equities and listed derivatives.

ÏLevel 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayments speeds, credit risk, etc.). Investments which are generally included in this category include corporate bonds, senior floating rate interests, and municipal bonds.

ÏLevel 3 – Significant unobservable inputs (including the Accounts’ assumptions in determining the fair value of investments). Investments which are generally included in this category include certain corporate bonds and certain mortgage backed securities.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the market place, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Accounts in determining fair value is greatest for instruments categorized in Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Fair value is a market based measure considered from the perspective of a market participant who holds the asset rather than an entity specific measure. Therefore, even when market assumptions are not readily available, the Accounts’ own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Accounts use prices and inputs that are current as of the measurement date.

Investments which are generally included in the Level 3 category are primarily valued using quoted prices from brokers and dealers participating in the market for these investments. These investments are classified as Level 3 investments due to the lack of market transparency and market corroboration to support these quoted prices. Valuation models may be used as the pricing source for other investments classified as Level 3. Valuation models rely on one or more significant unobservable inputs such as prepayment rates, probability of default, or loss severity in the event of default. Significant increases in any of those inputs in isolation would result in a significantly lower fair value measurement.

 

The fair values of these entities are dependent on economic, political and other considerations. The values of the underlying investee entities may be affected by significant changes in the economic conditions, changes in government policies, and other factors (e.g., natural disasters, accidents, conflicts, etc.).

Fair value of these investments is determined in good faith by the Manager under procedures established and periodically reviewed by the Accounts’ Board of Directors. The Manager has established a Valuation Committee of senior officers and employees, with the responsibility of overseeing the pricing and valuation of all securities, including securities where market quotations are not readily available. The Valuation Committee meets monthly and reports directly to the Board of Directors. The Pricing Group who reports to the Valuation Committee relies on the established Pricing Policies to determine fair valuation. Included in the Pricing Policies is an overview of the approved valuation technique established for each asset class. The Pricing Group will consider all appropriate information available when determining fair valuation.

The Pricing Group relies on externally provided valuation inputs to determine the value of Level 3 securities. Security values are updated as new information becomes available. Valuation data and changes in valuation amounts are reviewed on a daily basis based on specified criteria for the security, asset class, and other factors. In addition, valuation data is periodically compared to actual transactions executed by the Accounts (i.e., purchases/sales) and differences between transaction prices and prior period valuation data are investigated based on specified tolerances.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those instruments. For example, short-term securities held in Money Market Account are valued using amortized cost, as permitted under 2a-7 of the Investment Company Act of 1940. Generally, amortized cost approximates the current fair value of these securities, but because the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.

The beginning of the period timing recognition has been adopted for the significant transfers between levels of each Accounts’ assets and liabilities. There were no significant transfers into or out of Level 3, except as noted in the Level 3 roll forward. The table below shows the amounts that were transferred from Level 1 to Level 2 due to lack of exchange traded valuation data; however observable market inputs were available to support these valuations:

International Emerging Markets Account $ 3,747,766

 

 

The following is a summary of the inputs used as of March 31, 2015 in valuing the Accounts’ securities carried at value (amounts

shown in thousands):                    
        Level 2 - Other            
    Level 1 - Quoted   Significant Observable     Level 3 - Significant      
Account   Prices   Inputs     Unobservable Inputs   Totals (Level 1,2,3)  
 
Balanced Account                    
Bonds $ — $ 10,487   $ 112 $ 10,599  
Common Stocks*   31,652   —     —   31,652  
Investment Companies   12   —     —   12  
Senior Floating Rate Interests   —   35     —   35  
U.S. Government & Government Agency Obligations   —   8,015     —   8,015  
Total investments in securities $ 31,664 $ 18,537   $ 112 $ 50,313  
Assets                    
Equity Contracts**                    
Futures $ 2 $ —   $ — $ 2  
                     
 
Bond & Mortgage Securities Account                    
Bonds $ — $ 212,575   $ 1,530 $ 214,105  
Common Stocks*   —   —     —   —  
Convertible Bonds   —   137     —   137  
Investment Companies   13,021   —     —   13,021  
Preferred Stocks                    
Communications   135   —     —   135  
Financial   1,210   184     —   1,394  
Senior Floating Rate Interests   —   13,559     —   13,559  
U.S. Government & Government Agency Obligations   —   105,120     —   105,120  
Total investments in securities $ 14,366 $ 331,575   $ 1,530 $ 347,471  
Assets                    
Credit Contracts**                    
Credit Default Swaps $ — $ 483   $ — $ 483  
Interest Rate Contracts**                    
Futures $ 232 $ —   $ — $ 232  
Liabilities                    
Credit Contracts**                    
Exchange Cleared Credit Default Swaps $ — $ (263 ) $ — $ (263 )
                     
 
Bond Market Index Account                    
Bonds $ — $ 636,210   $ 1,450 $ 637,660  
Investment Companies   173,398   —     —   173,398  
Municipal Bonds   —   17,310     —   17,310  
U.S. Government & Government Agency Obligations   —   1,165,601     —   1,165,601  
Total investments in securities $ 173,398 $ 1,819,121   $ 1,450 $ 1,993,969  
                     
Diversified Balanced Account                    
Investment Companies $ 1,041,702 $ —   $ — $ 1,041,702  
Total investments in securities $ 1,041,702 $ —   $ — $ 1,041,702  
                     
 
Diversified Balanced Managed Volatility Account                    
Investment Companies $ 107,156 $ —   $ — $ 107,156  
Total investments in securities $ 107,156 $ —   $ — $ 107,156  
                     
Diversified Growth Account                    
Investment Companies $ 3,023,274 $ —   $ — $ 3,023,274  
Total investments in securities $ 3,023,274 $ —   $ — $ 3,023,274  
                     
 
Diversified Growth Managed Volatility Account                    
Investment Companies $ 187,002 $ —   $ — $ 187,002  
Total investments in securities $ 187,002 $ —   $ — $ 187,002  
                     
 
Diversified Income Account                    
Investment Companies $ 177,219 $ —   $ — $ 177,219  
Total investments in securities $ 177,219 $ —   $ — $ 177,219  
 
Diversified International Account                    
Common Stocks                    
Basic Materials $ 1,825 $ 16,087   $ — $ 17,912  
Communications   2,946   39,128     —   42,074  
Consumer, Cyclical   14,562   43,292     —   57,854  
Consumer, Non-cyclical   3,442   62,894     —   66,336  
Energy   7,154   14,427     —   21,581  
Financial   22,182   76,724     —   98,906  
Industrial   7,679   45,978     —   53,657  
Technology   —   22,257     —   22,257  
Utilities   1,377   12,834     —   14,211  
Investment Companies   1,775   —     —   1,775  
Total investments in securities $ 62,942 $ 333,621   $ — $ 396,563  

 

 

                 
        Level 2 - Other        
    Level 1 - Quoted   Significant Observable   Level 3 - Significant    
Account   Prices   Inputs   Unobservable Inputs   Totals (Level 1,2,3)
 
Equity Income Account                
Common Stocks* $ 601,468 $ — $ — $ 601,468
Investment Companies   15,033   —   —   15,033
  Total investments in securities $ 616,501 $ — $ — $ 616,501
                 
 
Government & High Quality Bond Account              
Bonds $ — $ 101,192 $ — $ 101,192
Investment Companies   3,238   —   —   3,238
U.S. Government & Government Agency Obligations —   210,615   —   210,615
  Total investments in securities $ 3,238 $ 311,807 $ — $ 315,045
                 
 
Income Account                
Bonds $ — $ 171,499 $ 2,155 $ 173,654
Common Stocks*   —   —   —   —
Convertible Bonds   —   3,370   —   3,370
Investment Companies   10,268   —   —   10,268
Senior Floating Rate Interests   —   1,775   —   1,775
U.S. Government & Government Agency Obligations —   86,772   —   86,772
  Total investments in securities $ 10,268 $ 263,416 $ 2,155 $ 275,839
                 
 
International Emerging Markets Account              
Common Stocks                
Basic Materials $ 351 $ 2,264 $ — $ 2,615
Communications   2,849   15,895   —   18,744
Consumer, Cyclical   2,042   5,931   —   7,973
Consumer, Non-cyclical   4,037   5,504   —   9,541
Energy   1,856   2,857   —   4,713
Financial   3,692   25,385   —   29,077
Industrial   1,789   5,524   —   7,313
Technology   604   14,702   —   15,306
Utilities   —   4,729   —   4,729
Investment Companies   534   —   —   534
Preferred Stocks                
Communications   —   331   —   331
Energy   —   460   —   460
Financial   —   2,531   —   2,531
Utilities   —   157   —   157
  Total investments in securities $ 17,754 $ 86,270 $ — $ 104,024
                 
 
LargeCap Blend Account II                
Common Stocks* $ 134,489 $ — $ — $ 134,489
Investment Companies   5,870   —   —   5,870
  Total investments in securities $ 140,359 $ — $ — $ 140,359
Assets                
Equity Contracts**                
Futures $ 26 $ — $ — $ 26
 
LargeCap Growth Account                
Common Stocks* $ 121,411 $ — $ — $ 121,411
Investment Companies   3,928   —   —   3,928
  Total investments in securities $ 125,339 $ — $ — $ 125,339
 
LargeCap Growth Account I                
Common Stocks                
Basic Materials $ 5,718 $ — $ — $ 5,718
Communications   40,394   49   —   40,443
Consumer, Cyclical   29,702   —   —   29,702
Consumer, Non-cyclical   65,913   —   —   65,913
Energy   8,786   —   —   8,786
Financial   21,043   —   —   21,043
Industrial   32,848   —   —   32,848
Technology   33,247   —   —   33,247
Utilities   61   —   —   61
Convertible Preferred Stocks                
Communications   —   398   157   555
Investment Companies   7,607   —   —   7,607
Preferred Stocks                
Communications   —   118   —   118
  Total investments in securities $ 245,319 $ 565 $ 157 $ 246,041
Assets                
Equity Contracts**                
Futures $ 3 $ — $ — $ 3
                 
 
LargeCap S&P 500 Index Account                
Common Stocks* $ 1,889,388 $ — $ — $ 1,889,388
Investment Companies   64,483   —   —   64,483
  Total investments in securities $ 1,953,871 $ — $ — $ 1,953,871
Assets                
Equity Contracts**                
Futures $ 234 $ — $ — $ 234

 

 

                     
          Level 2 - Other          
    Level 1 - Quoted     Significant Observable   Level 3 - Significant      
Account   Prices     Inputs   Unobservable Inputs   Totals (Level 1,2,3)  
 
LargeCap S&P 500 Managed Volatility Index Account                  
Common Stocks* $ 106,606   $ — $ — $ 106,606  
Investment Companies   14,794     —   —   14,794  
Purchased Options   190     —   —   190  
  Total investments in securities $ 121,590   $ — $ — $ 121,590  
Liabilities                    
Equity Contracts**                    
Futures $ (10 ) $ — $ — $ (10 )
Options   (103 )   —   —   (103 )
                     
 
LargeCap Value Account                    
Common Stocks* $ 165,211   $ — $ — $ 165,211  
Investment Companies   663     —   —   663  
  Total investments in securities $ 165,874   $ — $ — $ 165,874  
                     
 
MidCap Account                    
Common Stocks* $ 719,842   $ — $ — $ 719,842  
Investment Companies   911     —   —   911  
  Total investments in securities $ 720,753   $ — $ — $ 720,753  
                     
 
Money Market Account                    
Bonds $ —   $ 24,502 $ — $ 24,502  
Certificate of Deposit   —     7,600   —   7,600  
Commercial Paper   —     192,264   —   192,264  
Investment Companies   14,700     —   —   14,700  
Municipal Bonds   —     18,420   —   18,420  
Repurchase Agreements   —     12,520   —   12,520  
  Total investments in securities $ 14,700   $ 255,306 $ — $ 270,006  
                     
 
Principal Capital Appreciation Account                  
Common Stocks* $ 39,628   $ — $ — $ 39,628  
Investment Companies   1,076     —   —   1,076  
  Total investments in securities $ 40,704   $ — $ — $ 40,704  
                     
 
Principal LifeTime 2010 Account                    
Investment Companies $ 46,565   $ — $ — $ 46,565  
  Total investments in securities $ 46,565   $ — $ — $ 46,565  
 
Principal LifeTime 2020 Account                    
Investment Companies $ 209,865   $ — $ — $ 209,865  
  Total investments in securities $ 209,865   $ — $ — $ 209,865  
                     
 
Principal LifeTime 2030 Account                    
Investment Companies $ 120,316   $ — $ — $ 120,316  
  Total investments in securities $ 120,316   $ — $ — $ 120,316  
                     
 
Principal LifeTime 2040 Account                    
Investment Companies $ 44,882   $ — $ — $ 44,882  
  Total investments in securities $ 44,882   $ — $ — $ 44,882  
                     
 
Principal LifeTime 2050 Account                    
Investment Companies $ 23,515   $ — $ — $ 23,515  
  Total investments in securities $ 23,515   $ — $ — $ 23,515  
                     
 
Principal LifeTime 2060 Account                    
Investment Companies $ 1,479   $ — $ — $ 1,479  
  Total investments in securities $ 1,479   $ — $ — $ 1,479  
 
Principal LifeTime Strategic Income Account                  
Investment Companies $ 30,055   $ — $ — $ 30,055  
  Total investments in securities $ 30,055   $ — $ — $ 30,055  
                     
 
Real Estate Securities Account                    
Common Stocks* $ 173,199   $ — $ — $ 173,199  
Investment Companies   692     —   —   692  
  Total investments in securities $ 173,891   $ — $ — $ 173,891  
                     
SAM Balanced Portfolio                    
Investment Companies $ 923,416   $ — $ — $ 923,416  
  Total investments in securities $ 923,416   $ — $ — $ 923,416  
                     
 
SAM Conservative Balanced Portfolio                  
Investment Companies $ 222,602   $ — $ — $ 222,602  
  Total investments in securities $ 222,602   $ — $ — $ 222,602  
                     
 
SAM Conservative Growth Portfolio                  
Investment Companies $ 308,234   $ — $ — $ 308,234  
  Total investments in securities $ 308,234   $ — $ — $ 308,234  

 

 

      Level 2 - Other        
    Level 1 - Quoted Significant Observable   Level 3 - Significant    
Account   Prices   Inputs   Unobservable Inputs   Totals (Level 1,2,3)
 
SAM Flexible Income Portfolio                
Investment Companies $ 237,664 $ — $ — $ 237,664
  Total investments in securities $ 237,664 $ — $ — $ 237,664
 
SAM Strategic Growth Portfolio                
Investment Companies $ 242,797 $ — $ — $ 242,797
  Total investments in securities $ 242,797 $ — $ — $ 242,797
 
Short-Term Income Account                
Bonds $ — $ 252,043 $ 3,693 $ 255,736
Investment Companies   4,020   —   —   4,020
U.S. Government & Government Agency Obligations —   557   —   557
  Total investments in securities $ 4,020 $ 252,600 $ 3,693 $ 260,313
 
SmallCap Blend Account                
Common Stocks                
Basic Materials $ 820 $ — $ — $ 820
Communications   4,434   —   —   4,434
Consumer, Cyclical   10,258   —   —   10,258
Consumer, Non-cyclical   16,922   6   —   16,928
Diversified   144   —   —   144
Energy   2,095   —   —   2,095
Financial   14,237   —   —   14,237
Industrial   7,880   —   —   7,880
Technology   8,560   —   —   8,560
Utilities   1,809   —   —   1,809
Investment Companies   1,549   —   —   1,549
  Total investments in securities $ 68,708 $ 6 $ — $ 68,714
Assets                
Equity Contracts**                
Futures $ 9 $ — $ — $ 9
 
SmallCap Growth Account II                
Common Stocks                
Basic Materials $ 692 $ — $ — $ 692
Communications   3,639   1   —   3,640
Consumer, Cyclical   11,733   —   —   11,733
Consumer, Non-cyclical   18,153   1   —   18,154
Diversified   1,369   —   —   1,369
Energy   1,411   —   —   1,411
Financial   8,120   —   —   8,120
Industrial   7,853   —   —   7,853
Technology   12,426   —   —   12,426
Utilities   22   —   —   22
Investment Companies   9,853   —   —   9,853
  Total investments in securities $ 75,271 $ 2 $ — $ 75,273
 
Assets                
 
Equity Contracts**                
Futures $ 61 $ — $ — $ 61
 
SmallCap Value Account I                
Common Stocks                
Basic Materials $ 3,080 $ — $ — $ 3,080
Communications   4,412   3   —   4,415
Consumer, Cyclical   10,530   —   —   10,530
Consumer, Non-cyclical   13,583   —   —   13,583
Diversified   37   —   —   37
Energy   4,135   —   —   4,135
Financial   39,124   —   —   39,124
Government   109   —   —   109
Industrial   10,974   —   —   10,974
Technology   5,862   —   —   5,862
Utilities   6,524   —   —   6,524
Investment Companies   7,301   —   —   7,301
  Total investments in securities $ 105,671 $ 3 $ — $ 105,674
 
Assets                
 
Equity Contracts**                
Futures $ 79 $ — $ — $ 79
 
 
*For additional detail regarding sector classifications, please see the Schedules of Investments        
**Exchange Cleared Swaps and Futures are valued at the unrealized appreciation/(depreciation) of the instrument.    

 

 

Certain detailed information is provided for those Accounts with significant investments in Level 3 securities. Quantitative information about the significant unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy is as follows (amounts in thousands):

Account Asset Type Fair Value as of
March 31, 2015		 Valuation Technique Unobservable
Input		 Input Value
 
Short-Term Income              
Account Bonds $ 700 Indicative Market Quotations Broker Quote $ 99.94
  Bonds   2,993 Third Party Vendor Broker Quote   99.74-99.99
      3,693        

 

The changes in investments measured at fair value for which Level 3 inputs have been used to determine fair value are as follows (amounts shown in thousands):

Account Value
December 31,
2014		 Realized Gain/(Loss) Accrued Discounts/Premiums
and Change in Unrealized
Gain/(Loss)		 Purchases Proceeds from
Sales		 Transfers
into Level
3 *		 Transfers
Out of Level
3 **		 Value
March 31,
2015		 Net Change in Unrealized
Appreciation/(Depreciation) on
Investments Held at March 31,
2015
Short-Term Income Account                                          
Bonds $ 2,909 $ - $ (9 ) $ 1,749 $ (56 ) $   - $ (900 ) $ 3,693 $ (9 )
Total $ 2,909 $ - $ (9 ) $ 1,749 $ (56 ) $   - $ (900 ) $ 3,693 $ (9 )

 

*Securities are transferred into Level 3 for a variety of reasons including, but not limited to:
1. Securities where trading has been halted
2. Securities that have certain restrictions on trading
3. Instances in which a security is not priced by pricing services

**Securities are transferred out of Level 3 for a variety of reasons including, but not limited to:
1. Securities where trading resumes
2. Securities where trading restrictions have expired
3. Instances in which a price becomes available from a pricing service

At the end of the period, there were no other Accounts which had a significant Level 3 balance. During the period, there were no significant purchases, sales, or transfers into or out of Level 3, except as noted above.

The Accounts' Schedules of Investments as of March 31, 2015 have not been audited. This report is provided for the general information of the Accounts' shareholders.

For more information regarding the Account and its holdings, please see the Accounts' prospectus and annual report.


ITEM 2 – CONTROLS AND PROCEDURES

a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing).

(b) There have been no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3 – EXHIBITS

Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act are attached hereto as Exhibit 99.CERT.

 

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) Principal Variable Contracts Funds, Inc.

By /s/ Michael J. Beer

Michael J. Beer, President and CEO

Date 05/21/2015

     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/ Michael J. Beer

Michael J. Beer, President and CEO

Date 05/21/2015

By /s/ Tracy W. Bollin

Tracy W. Bollin, Chief Financial Officer

Date 05/21/2015