N-CSRS 1 d103180dncsrs.htm THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10 The Prudential Variable Contract Account-10

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act file number:    811-03421
Exact name of registrant as specified in charter:    The Prudential Variable Contract Account-10
Address of principal executive offices:    655 Broad Street, 17th Floor
   Newark, New Jersey 07102
Name and address of agent for service:    Deborah A. Docs
   655 Broad Street, 17th Floor
   Newark, New Jersey 07102
Registrant’s telephone number, including area code:    973-367-7521
Date of fiscal year end:    12/31/2017
Date of reporting period:    6/30/2017

Item 1 – Reports to Stockholders –

The MEDLEY Program

 

 

SEMIANNUAL REPORT    June 30, 2017

 

 

LOGO

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

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

The accompanying financial statements as of June 30, 2017, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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

 

LOGO

The Prudential MEDLEY Program

 

Table of Contents

   Semiannual Report  

June 30, 2017

 

∎   LETTER TO PARTICIPANTS

 

∎   VCA-10

Financial Statements

 

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

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

 

∎   APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program

Letter to Participants

   June 30, 2017

 

∎   DEAR PARTICIPANT:

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

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

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

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

Sincerely,

 

LOGO   LOGO

Stuart Parker

President,

The Prudential Variable Contract Account 10

  

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2017

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

Account-24 (VCA-24)

 

Presentation of Portfolio Holdings — unaudited

   June 30, 2017

 

Conservative Balanced  
Five Largest Holdings     (% of Net Assets ) 
Apple, Inc.     1.7%  
U.S. Treasury Inflation Indexed Bonds     1.4%  
Microsoft Corp.     1.2%  
U.S. Treasury Notes, 2.125%, 09/30/21     1.0%  
Amazon.com, Inc.     0.9%  
Diversified Bond  
Issuer     (% of Net Assets ) 

Corporate Bonds

     41.9%  
Commercial Mortgage-Backed Securities     13.2%  

Asset-Backed Securities

     12.2%  
Residential Mortgage-Backed Securities     6.0%  

U.S. Treasury Obligations

     5.0%  
Equity  
Five Largest Holdings     (% of Net Assets ) 
Apple, Inc.     3.9%  

JPMorgan Chase & Co.

     3.8%  
Microsoft Corp.     3.2%  

Amazon.com, Inc.

     2.7%  
Facebook, Inc.     2.6%  
 
Flexible Managed  
Five Largest Holdings     (% of Net Assets ) 

Apple, Inc.

     1.7%  
JPMorgan Chase & Co.     1.3%  

Facebook, Inc.

     1.2%  
Alphabet, Inc.     1.1%  
Johnson & Johnson     1.1%  
Global  
Top Five Countries     (% of Net Assets ) 

United States

     62.1%  
Japan     7.6%  

United Kingdom

     6.4%  
France     4.8%  
Germany     3.1%  
Government Income  
Allocation     (% of Net Assets ) 
U.S. Government Agency Obligations     42.5%  
U.S. Treasury Obligations     28.6%  
Commercial Mortgage-Backed Securities     20.9%  
Collateralized Loan Obligations     6.3%  

Corporate Bonds

     1.3%  
 
Stock Index  
Five Largest Holdings     (% of Net Assets ) 
Apple, Inc.     3.6%  
Microsoft Corp.     2.5%  
Amazon.com, Inc.     1.8%  
Johnson & Johnson     1.7%  
Facebook, Inc. (Class A Stock)     1.7%  
VCA-10  
Five Largest Holdings     (% of Net Assets ) 

JPMorgan Chase & Co.

     3.20%  

Apple, Inc.

     2.80%  

Goldman Sachs Group, Inc. (The)

     2.70%  

Microsoft Corp.

     2.50%  

Bank of America Corp.

     2.10%  
 

 

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

FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (unaudited)  

June 30, 2017

 

LONG-TERM INVESTMENTS — 98.0%  
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 2.7%

      

Boeing Co. (The)

      9,148      $ 1,809,017  

United Technologies Corp.

      19,469        2,377,360  
     

 

 

  
        4,186,377  
     

 

 

  

Automobiles — 1.0%

      

Tesla, Inc.*

      4,168        1,507,190  
     

 

 

  

Banks — 10.7%

      

Bank of America Corp.

      133,250        3,232,645  

BB&T Corp.

      43,954        1,995,951  

Citigroup, Inc.

      40,292        2,694,729  

JPMorgan Chase & Co.

      54,388        4,971,063  

PNC Financial Services Group, Inc. (The)

      17,436        2,177,233  

Wells Fargo & Co.

      26,801        1,485,043  
     

 

 

  
        16,556,664  
     

 

 

  

Biotechnology — 3.0%

      

BioMarin Pharmaceutical, Inc.*

      7,614        691,503  

Celgene Corp.*

      20,246        2,629,348  

Shire PLC, ADR

      8,111        1,340,505  
     

 

 

  
        4,661,356  
     

 

 

  

Capital Markets — 2.7%

      

Goldman Sachs Group, Inc. (The)

      19,197        4,259,814  
     

 

 

  

Chemicals — 2.1%

      

Dow Chemicals Co. (The)

      26,534        1,673,499  

FMC Corp.

      21,332        1,558,303  
     

 

 

  
        3,231,802  
     

 

 

  

Communications Equipment — 1.0%

 

   

Cisco Systems, Inc.

      48,356        1,513,543  
     

 

 

  

Consumer Finance — 2.4%

      

Capital One Financial Corp.

      23,662        1,954,954  

SLM Corp.*

      153,732        1,767,918  
     

 

 

  
        3,722,872  
     

 

 

  

Containers & Packaging — 0.6%

 

   

Sealed Air Corp.

      21,620        967,711  
     

 

 

  

Electric Utilities — 2.6%

      

Exelon Corp.

      43,457        1,567,494  

PG&E Corp.

      37,635        2,497,835  
     

 

 

  
        4,065,329  
     

 

 

  

Electrical Equipment — 1.0%

      

Eaton Corp. PLC

      20,570        1,600,963  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.2%

 

Flex Ltd.*

      110,278        1,798,634  
     

 

 

  

Energy Equipment & Services — 1.1%

 

   

Halliburton Co.

      40,649        1,736,119  
     

 

 

  

Equity Real Estate Investment Trust (REITs) — 1.0%

 

American Tower Corp.

      12,091        1,599,881  
     

 

 

  

Food & Staples Retailing — 1.1%

      

Wal-Mart Stores, Inc.

      23,202        1,755,927  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Food Products — 1.8%

      

Conagra Foods, Inc.

      43,747      $ 1,564,393  

Mondelez International, Inc. (Class A Stock)

      26,896        1,161,638  
     

 

 

  
        2,726,031  
     

 

 

  

Health Care Equipment & Supplies — 1.2%

 

Zimmer Biomet Holdings, Inc.

      14,737        1,892,231  
     

 

 

  

Health Care Providers & Services — 2.3%

 

Cigna Corp.

      11,605        1,942,561  

Laboratory Corp. of America Holdings*

      10,991        1,694,153  
     

 

 

  
        3,636,714  
     

 

 

  

Hotels, Restaurants & Leisure — 2.8%

 

   

Carnival Corp.

      21,503        1,409,952  

Hyatt Hotels Corp. (Class A Stock)*

      27,804        1,562,863  

McDonald’s Corp.

      8,465        1,296,499  
     

 

 

  
        4,269,314  
     

 

 

  

Household Durables — 0.7%

      

Newell Brands, Inc.

      19,534        1,047,413  
     

 

 

  

Household Products — 1.6%

      

Procter & Gamble Co. (The)

      27,678        2,412,138  
     

 

 

  

Industrial Conglomerates — 0.7%

 

   

General Electric Co.

      38,461        1,038,832  
     

 

 

  

Insurance — 2.8%

      

Chubb Ltd. (Switzerland)

      15,543        2,259,641  

MetLife, Inc.

      36,995        2,032,505  
     

 

 

  
        4,292,146  
     

 

 

  

Internet & Direct Marketing Retail — 2.8%

 

Amazon.com, Inc.*

      2,614        2,530,352  

Netflix, Inc.*

      12,168        1,818,021  
     

 

 

  
        4,348,373  
     

 

 

  

Internet Software & Services — 8.9%

 

   

Alibaba Group Holding Ltd. (China), ADR*

      22,784        3,210,266  

Alphabet, Inc. (Class A Stock)*

      2,901        2,697,002  

Alphabet, Inc. (Class C Stock)*

      1,216        1,105,016  

eBay, Inc.*

      44,789        1,564,032  

Facebook, Inc. (Class A Stock)*

      17,040        2,572,699  

Tencent Holdings Ltd. (China), ADR

      75,476        2,714,117  
     

 

 

  
        13,863,132  
     

 

 

  

IT Services — 2.2%

      

DXC Technology Co.

      14,057        1,078,453  

Mastercard, Inc. (Class A Stock)

      18,655        2,265,650  
     

 

 

  
        3,344,103  
     

 

 

  

Machinery — 1.0%

      

Parker-Hannifin Corp.

      10,107        1,615,301  
     

 

 

  

Media — 4.8%

      

Charter Communications, Inc. (Class A Stock)*

      6,471        2,179,756  

Comcast Corp. (Class A Stock)

      62,762        2,442,697  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (unaudited)  

June 30, 2017

 

COMMON STOCKS
(continued)		    Shares      Value  

Media (continued)

 

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

      24,155      $ 753,153  

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

      37,869        1,073,207  

Viacom, Inc. (Class B Stock)

      28,547        958,323  
     

 

 

  
        7,407,136  
     

 

 

  

Oil, Gas & Consumable Fuels — 5.4%

 

   

Anadarko Petroleum Corp.

      16,452        745,934  

Chevron Corp.

      23,476        2,449,251  

Hess Corp.

      16,129        707,579  

Noble Energy, Inc.

      29,340        830,322  

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

      42,758        2,274,288  

Suncor Energy, Inc. (Canada)

      48,738        1,423,150  
     

 

 

  
        8,430,524  
     

 

 

  

Pharmaceuticals — 4.9%

      

Allergan PLC

      6,708        1,630,648  

Eli Lilly & Co.

      19,553        1,609,213  

Merck & Co., Inc.

      31,978        2,049,470  

Pfizer, Inc.

      68,681        2,306,995  
     

 

 

  
        7,596,326  
     

 

 

  

Road & Rail — 1.7%

      

Ryder Systems, Inc.

      12,690        913,426  

Union Pacific Corp.

      15,252        1,661,095  
     

 

 

  
        2,574,521  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.1%

 

Broadcom Ltd.

      10,181        2,372,682  

NVIDIA Corp.

      16,503        2,385,674  

Texas Instruments, Inc.

      20,441        1,572,526  
     

 

 

  
        6,330,882  
     

 

 

  

Software — 8.0%

      

Activision Blizzard, Inc.

      39,309        2,263,019  

Adobe Systems, Inc.*

      16,495        2,333,053  

Microsoft Corp.

      56,760        3,912,467  

PTC, Inc.*

      28,413        1,566,124  

salesforce.com, Inc.*

      26,816        2,322,266  
     

 

 

  
        12,396,929  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.8%

 

Apple, Inc.

      30,611        4,408,596  
     

 

 

  

Textiles, Apparel & Luxury Goods — 2.3%

 

adidas AG (Germany), ADR

      18,069        1,734,082  

Coach, Inc.

      37,389        1,769,995  
     

 

 

  
        3,504,077  
     

 

 

  

Wireless Telecommunication Services — 1.0%

 

Vodafone Group PLC
(United Kingdom), ADR

      53,422        1,534,814  
     

 

 

  

TOTAL COMMON STOCKS
(cost $106,720,705)

 

      151,833,715  
     

 

 

  
SHORT-TERM
INVESTMENT — 1.7%		    Shares      Value  

AFFILIATED MUTUAL FUND

      

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund
(cost $2,710,744)(a)

      2,710,744      $ 2,710,744  
     

 

 

  

TOTAL INVESTMENTS — 99.7%
(cost $109,431,449)

 

      154,544,459  
     

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%

      

Receivable for Securities Sold

 

      958,866  

Cash

 

      658,974  

Interest and Dividends Receivable

 

      173,568  

Tax Reclaim Receivable

 

      27,657  

Payable Pending Capital Transactions

 

      (122,291 ) 

Payable for Securities Purchased

 

      (1,270,687 ) 
     

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES

 

      426,087  
     

 

 

  

NET ASSETS — 100%

 

    $ 154,970,546  
     

 

 

  

NET ASSETS, representing:

      

Equity of Participants —

 

    $ 154,998,216  

Equity of The Prudential Insurance Company of America

 

      (27,670 ) 
     

 

 

  
      $ 154,970,546  
     

 

 

  

The following abbreviations are used in the semiannual report:

 

ADR   American Depositary Receipt

 

* Non-income producing security.

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (unaudited)  

June 30, 2017

 

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

    

Level 1

     

Level 2

     

Level 3

  

Investments in Securities

         

Common Stocks

         

Aerospace & Defense

    $ 4,186,377      $ —      $ —  

Automobiles

      1,507,190        —        —  

Banks

      16,556,664        —        —  

Biotechnology

      4,661,356        —        —  

Capital Markets

      4,259,814        —        —  

Chemicals

      3,231,802        —        —  

Communications Equipment

      1,513,543        —        —  

Consumer Finance

      3,722,872        —        —  

Containers & Packaging

      967,711        —        —  

Electric Utilities

      4,065,329        —        —  

Electrical Equipment

      1,600,963        —        —  

Electronic Equipment, Instruments & Components

      1,798,634        —        —  

Energy Equipment & Services

      1,736,119        —        —  

Equity Real Estate Investment Trust (REITs)

      1,599,881        —        —  

Food & Staples Retailing

      1,755,927        —        —  

Food Products

      2,726,031        —        —  

Health Care Equipment & Supplies

      1,892,231        —        —  

Health Care Providers & Services

      3,636,714        —        —  

Hotels, Restaurants & Leisure

      4,269,314        —        —  

Household Durables

      1,047,413        —        —  

Household Products

      2,412,138        —        —  

Industrial Conglomerates

      1,038,832        —        —  

Insurance

      4,292,146        —        —  

Internet & Direct Marketing Retail

      4,348,373        —        —  

Internet Software & Services

      13,863,132        —        —  

IT Services

      3,344,103        —        —  

Machinery

      1,615,301        —        —  

Media

      7,407,136        —        —  

Oil, Gas & Consumable Fuels

      8,430,524        —        —  

Pharmaceuticals

      7,596,326        —        —  

Road & Rail

      2,574,521        —        —  

Semiconductors & Semiconductor Equipment

      6,330,882        —        —  

Software

      12,396,929        —        —  

Technology Hardware, Storage & Peripherals

      4,408,596        —        —  

Textiles, Apparel & Luxury Goods

      3,504,077        —        —  

Wireless Telecommunication Services

      1,534,814        —        —  

Affiliated Mutual Fund

      2,710,744        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 154,544,459      $   —      $   —  
  

 

 

     

 

 

     

 

 

  

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF NET ASSETS (unaudited)  

June 30, 2017

 

Industry classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2017 were as follows:

 

Banks

      10.7 % 

Internet Software & Services

      8.9  

Software

      8.0  

Oil, Gas & Consumable Fuels

      5.4  

Pharmaceuticals

      4.9  

Media

      4.8  

Semiconductors & Semiconductor Equipment

      4.1  

Biotechnology

      3.0  

Hotels, Restaurants & Leisure

      2.8  

Insurance

      2.8  

Internet & Direct Marketing Retail

      2.8  

Technology Hardware, Storage & Peripherals

      2.8  

Aerospace & Defense

      2.7  

Capital Markets

      2.7  

Electric Utilities

      2.6  

Consumer Finance

      2.4  

Health Care Providers & Services

      2.3  

Textiles, Apparel & Luxury Goods

      2.3  

IT Services

      2.2  

Chemicals

      2.1  

Food Products

      1.8  

Affiliated Mutual Fund

      1.7 % 

Road & Rail

      1.7  

Household Products

      1.6  

Electronic Equipment, Instruments & Components

      1.2  

Health Care Equipment & Supplies

      1.2  

Energy Equipment & Services

      1.1  

Food & Staples Retailing

      1.1  

Automobiles

      1.0  

Communications Equipment

      1.0  

Electrical Equipment

      1.0  

Equity Real Estate Investment Trust (REITs)

      1.0  

Machinery

      1.0  

Wireless Telecommunications Services

      1.0  

Household Durables

      0.7  

Industrial Conglomerates

      0.7  

Containers & Packaging

      0.6  
  

 

 

  
     99.7  

Other assets in excess of liabilities

      0.3  
  

 

 

  
     100.0 % 
  

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

 

   STATEMENT OF OPERATIONS (unaudited)  

Six Months Ended June 30, 2017

 

          

INVESTMENT INCOME

   

Unaffiliated Dividend Income (net of $13,512 foreign withholding tax)

    $ 1,274,719  

Affiliated Dividend Income

      11,074  

Total Income

      1,285,793  

EXPENSES

   

Fees Charged to Participants for Investment Management Services

      (192,801 ) 

Fees Charged to Participants for Administrative Expenses:

   

Standard Contract

      (519,731 ) 

0.50% Contract

      (4,759 ) 

0.45% Contract

      (9,456 ) 

Total Expenses

      (726,747 ) 

NET INVESTMENT INCOME

      559,046  

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

   

Net Realized Gain (Loss) on:

   

Investment Transactions

      5,165,954  

Foreign Currency Transactions

      1,276  
       5,167,230  

Net Change in Unrealized Appreciation (Depreciation) on Investments

      8,050,604  

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS

      13,217,834  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 13,776,880  

 

   STATEMENT OF CHANGES IN NET ASSETS (unaudited)  

 

        Six Months Ended
June 30, 2017		      Year Ended
December 31, 2016		  

OPERATIONS

        

Net Investment Income

      $ 559,046      $ 1,321,716  

Net Realized Gain on Investment and Foreign Currency Transactions

        5,167,230        4,632,303  

Net Change In Unrealized Appreciation (Depreciation) on Investments

        8,050,604        2,703,381  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

        13,776,880        8,657,400  

CAPITAL TRANSACTIONS

        

Purchase Payments and Transfers In

        707,269        1,076,649  

Withdrawals and Transfers Out

        (9,533,529 )       (17,277,918 ) 

NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS

        (8,826,260 )       (16,201,269 ) 

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

        (7,707 )       4,298  

TOTAL INCREASE (DECREASE) IN NET ASSETS

        4,942,913        (7,539,571 ) 

NET ASSETS

        

Beginning of period

        150,027,633        157,567,204  

End of period

      $ 154,970,546      $ 150,027,633  

Accumulation Unit Values and Equity of Participants as of June 30, 2017

 

Standard Contract:

   

Accumulation Unit Value and Equity of Participants, $141,736,519 / 8,134,649 Accumulation Units

    $ 17.4238  
  

 

 

  

0.50% Contract:

   

Accumulation Unit Value and Equity of Participants, $3,743,773 / 193,487 Accumulation Units

    $ 19.3490  
  

 

 

  

0.45% Contract:

   

Accumulation Unit Value and Equity of Participants, $9,517,924 / 490,338 Accumulation Units

    $ 19.4109  
  

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

 

   INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (unaudited)  

(For an Accumulation Unit outstanding throughout the period)

 

    Six Months Ended June 30, 2017     Year Ended December 31, 2016  
     Standard
Contract		     0.50%
Contract		     0.45%
Contract		     Standard
Contract		     0.50%
Contract		     0.45%
Contract		  

Investment Income

   $ .1413     $ .1567     $ .1571     $ .2736     $ .3019     $ .3027  

Expenses

            

Investment management fee

     (.0209 )      (.0231 )      (.0232 )      (.0369 )      (.0407 )      (.0408 ) 

Administrative expenses

     (.0624 )      (.0231 )      (.0185 )      (.1103 )      (.0407 )      (.0327 ) 

Net Investment Income

     .0580       .1105       .1154       .1264       .2205       .2292  

Capital Changes

            

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

     1.4380       1.5943       1.5992       .8068       .8955       .8983  

Net Increase (Decrease) in Accumulation Unit Value

     1.4960       1.7048       1.7146       .9332       1.1160       1.1275  

Accumulation Unit Value

            

Beginning of period

     15.9278       17.6442       17.6963       14.9946       16.5282       16.5688  

End of period

   $ 17.4238     $ 19.3490     $ 19.4109     $ 15.9278     $ 17.6442     $ 17.6963  

Total Return**

     9.39 %      9.66 %      9.69 %     
 6.22
 % 
     6.75 %      6.80 % 

Ratio of Expenses To Average Net Assets***

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

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

     .70 %††      1.20 %††      1.25 %††      .85 %      1.34 %      1.39 % 

Portfolio Turnover Rate

     23 %†††      23 %†††      23 %†††      42 %      42 %      42 % 

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

    8,135       193       490       8,606       212       522  

 

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

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

 

   INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (unaudited)  

(For an Accumulation Unit outstanding throughout the year)

 

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

Investment Income

    $ .2397     $ .2631     $ .2637     $ .1871     $ .2046     $ .2049  

Expenses

             

Investment management fee

      (.0384 )      (.0422 )      (.0423 )      (.0362 )      (.0397 )      (.0398 ) 

Administrative expenses

      (.1149 )      (.0422 )      (.0339 )      (.1086 )      (.0397 )      (.0318 ) 

Net Investment Income

      .0864       .1787       .1875       .0423       .1252       .1333  

Capital Changes

         

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

      (.3479 )      (.3837 )      (.3847 )      1.4515       1.5879       1.5907  

Net Increase (Decrease) in Accumulation Unit Value

      (.2615 )      (.2050 )      (.1972 )      1.4938       1.7131       1.7240  

Accumulation Unit Value

         

Beginning of year

      15.2561       16.7332       16.7660       13.7623       15.0201       15.0420  

End of year

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

Total Return**

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

Ratio of Expenses To Average Net Assets***

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

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

      .57 %      1.06 %      1.11 %      .29 %      .78 %      .83 % 

Portfolio Turnover Rate

      47 %      47 %      47 %      70 %      70 %      70 % 

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

      9,595       219       609       10,646       242       657  

 

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

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

 

   INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (unaudited)  

(For an Accumulation Unit outstanding throughout the period)

 

     Year Ended December 31, 2013     Year Ended December 31, 2012  
      Standard
Contract		     0.50%
Contract		     0.45%
Contract		     Standard
Contract		     0.50%
Contract		     0.45%
Contract		  

Investment Income

    $ .1792     $ .1950     $ .1952     $ .1825     $ .1975     $ .1976  

Expenses

             

Investment management fee

      (.0303 )      (.0330 )      (.0330 )      (.0251 )      (.0272 )      (.0272 ) 

Administrative expenses

      (.0906 )      (.0330 )      (.0264 )      (.0752 )      (.0272 )      (.0218 ) 

Net Investment Income

      .0583       .1290       .1358       .0822       .1431       .1486  

Capital Changes

             

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

      3.1834       3.4658       3.4700       1.0786       1.1677       1.1686  

Net Increase (Decrease) in Accumulation Unit Value

      3.2417       3.5948       3.6058       1.1608       1.3108       1.3172  

Accumulation Unit Value

             

Beginning of year

      10.5206       11.4253       11.4362       9.3598       10.1145       10.1190  

End of year

    $ 13.7623     $ 15.0201     $ 15.0420     $ 10.5206     $ 11.4253     $ 11.4362  

Total Return**

      30.81 %      31.46 %      31.53 %      12.40 %      12.96 %      13.02 % 

Ratio of Expenses To Average Net Assets***

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

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

      .48 %      .98 %      1.03 %      .82 %      1.32 %      1.37 % 

Portfolio Turnover Rate

      69 %      69 %      69 %      44 %      44 %      44 % 

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

      11,720       224       751       13,204       205       891  

 

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

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10 (unaudited)

 

Note 1:   General

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

PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% contracts”), and contracts with annual expenses of 0.45%, as a percentage of net asset, (the “0.45% contracts”). The financial statements show separate Accumulation Units Values for each type of contract.

 

Note 2:   Accounting Policies

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

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

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

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

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

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

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

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

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

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

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

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

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

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

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

Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Account does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and

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

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

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

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

 

Note 3:   Investment Management Agreement and Charges

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

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

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

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

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

 

Note 4:   Other Transactions with Affiliates

The Account may enter into certain securities purchase or sale transactions under Committee approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Committee. For the period ended June 30, 2017 no such transactions were entered into by the Account.

During the six months ended June 30, 2017, the Account invested in the Prudential Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

 

Note 5:   Purchases and Sales of Portfolio Securities

For the six months ended June 30, 2017, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $34,083,168 and $42,959,470, respectively.

 

Note 6:   Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2017 and the year ended December 31, 2016, respectively, are as follows:

 

Standard Contracts

    Units     Amount  

Six months ended June 30, 2017:

     

Account units issued

      42,035     $ 707,269  

Account units redeemed

      (512,953 )      (8,590,515 ) 
  

 

 

    

 

 

  

Net increase (decrease) in units outstanding

      (470,918 )    $ (7,883,246 ) 
  

 

 

    

 

 

  

Year ended December 31, 2016:

     

Account units issued

      73,142     $ 1,076,402  

Account units redeemed

      (1,062,336 )      (15,742,006 ) 
  

 

 

    

 

 

  

Net increase (decrease) in units outstanding

      (989,194 )    $ (14,665,604 ) 
  

 

 

    

 

 

  

0.50 % Contracts

    Units     Amount  

Six months ended June 30, 2017:

     

Account units issued

      —     $ —  

Account units redeemed

      (18,951 )      (353,107 ) 
  

 

 

    

 

 

  

Net increase (decrease) in units outstanding

      (18,951 )    $ (353,107 ) 
  

 

 

    

 

 

  

Year ended December 31, 2016:

     

Account units issued

      15     $ 247  

Account units redeemed

      (6,770 )      (109,172 ) 
  

 

 

    

 

 

  

Net increase (decrease) in units outstanding

      (6,755 )    $ (108,925 ) 
  

 

 

    

 

 

  

0.45 % Contracts

    Units     Amount  

Six months ended June 30, 2017:

     

Account units issued

      —     $ —  

Account units redeemed

      (31,233 )      (589,907 ) 
  

 

 

    

 

 

  

Net increase (decrease) in units outstanding

      (31,233 )    $ (589,907 ) 
  

 

 

    

 

 

  

Year ended December 31, 2016:

     

Account units issued

      —     $ —  

Account units redeemed

      (87,732 )      (1,426,740 ) 
  

 

 

    

 

 

  

Net increase (decrease) in units outstanding

      (87,732 )    $ (1,426,740 ) 
  

 

 

    

 

 

  

 

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

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

 

Note 8:   Participant Loans

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

For the six months ended June 30, 2017, $42,602 in participant loans were withdrawn from VCA-10 and $31,346 of principal and interest was repaid to VCA-10. For the year ended December 31, 2016, $85,662 in participant loans were withdrawn from VCA-10 and $80,871 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2017, PICA has advised the Account that it received $216 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

 

Note 9:   Recent Accounting Pronouncements and Reporting Updates

On October 13, 2016, the Securities and Exchange Commission (the “SEC”) adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.

The Prudential Series Fund

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

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

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

Important Note

This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.

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

The Prudential Series Fund

Fees and Expenses — unaudited

   June 30, 2017

 

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2017 through June 30, 2017.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 

The Prudential Series Fund Portfolios    Beginning
Account Value
January 1, 2017		      Ending
Account Value
June 30, 2017		      Annualized Expense
Ratio based on the
Six-Month period		     Expenses Paid
During the
Six-Month period*		  
Conservative Balanced (Class I)    Actual    $ 1,000.00      $ 1,058.30        0.58 %    $ 2.96  
     Hypothetical    $ 1,000.00      $ 1,021.92        0.58 %    $ 2.91  
Diversified Bond (Class I)    Actual    $ 1,000.00      $ 1,044.00        0.44 %    $ 2.23  
     Hypothetical    $ 1,000.00      $ 1,022.61        0.44 %    $ 2.21  
Equity (Class I)    Actual    $ 1,000.00      $ 1,114.30        0.47 %    $ 2.46  
     Hypothetical    $ 1,000.00      $ 1,022.46        0.47 %    $ 2.36  
Equity (Class II)    Actual    $ 1,000.00      $ 1,112.20        0.87 %    $ 4.56  
     Hypothetical    $ 1,000.00      $ 1,020.48        0.87 %    $ 4.36  
Flexible Managed (Class I)    Actual    $ 1,000.00      $ 1,059.30        0.62 %    $ 3.17  
     Hypothetical    $ 1,000.00      $ 1,021.72        0.62 %    $ 3.11  
Global (Class I)    Actual    $ 1,000.00      $ 1,125.10        0.79 %    $ 4.16  
     Hypothetical    $ 1,000.00      $ 1,020.88        0.79 %    $ 3.96  
Government Income (Class I)    Actual    $ 1,000.00      $ 1,021.20        0.51 %    $ 2.56  
     Hypothetical    $ 1,000.00      $ 1,022.27        0.51 %    $ 2.56  
Government Money Market (Class I)    Actual    $ 1,000.00      $ 1,001.80        0.34 %    $ 1.69  
     Hypothetical    $ 1,000.00      $ 1,023.11        0.34 %    $ 1.71  
Stock Index (Class I)    Actual    $ 1,000.00      $ 1,091.90        0.32 %    $ 1.66  
     Hypothetical    $ 1,000.00      $ 1,023.21        0.32 %    $ 1.61  

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2017, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2017 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

   CONSERVATIVE BALANCED PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 89.2%         
COMMON STOCKS — 49.0%    Shares      Value  

Aerospace & Defense — 1.1%

 

Arconic, Inc.

      25,080      $ 568,062  

Boeing Co. (The)

      32,550        6,436,762  

General Dynamics Corp.

      16,300        3,229,030  

L3 Technologies, Inc.

      4,500        751,860  

Lockheed Martin Corp.

      14,300        3,969,823  

Northrop Grumman Corp.

      10,162        2,608,687  

Raytheon Co.

      16,700        2,696,716  

Rockwell Collins, Inc.

      9,400        987,752  

Singapore Technologies Engineering Ltd. (Singapore)

      21,800        58,240  

Textron, Inc.

      14,900        701,790  

Thales SA (France)

      379        40,790  

TransDigm Group, Inc.(a)

      3,000        806,610  

United Technologies Corp.

      42,800        5,226,308  
     

 

 

  
        28,082,430  
     

 

 

  

Air Freight & Logistics — 0.3%

 

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

      8,500        583,780  

Deutsche Post AG (Germany)

      3,617        135,776  

Expeditors International of Washington, Inc.(a)

      10,100        570,448  

FedEx Corp.

      14,150        3,075,220  

United Parcel Service, Inc.
(Class B Stock)

      39,800        4,401,482  
     

 

 

  
        8,766,706  
     

 

 

  

Airlines — 0.3%

 

Alaska Air Group, Inc.

      7,400        664,224  

American Airlines Group, Inc.(a)

      28,200        1,419,024  

Delta Air Lines, Inc.

      41,400        2,224,836  

Deutsche Lufthansa AG (Germany)

      17,892        407,751  

International Consolidated Airlines Group SA (United Kingdom)

      3,186        25,314  

Southwest Airlines Co.

      35,700        2,218,398  

United Continental Holdings, Inc.*

      16,700        1,256,675  
     

 

 

  
        8,216,222  
     

 

 

  

Auto Components — 0.1%

 

Aisin Seiki Co. Ltd. (Japan)

      6,300        323,862  

BorgWarner, Inc.

      11,800        499,848  

Bridgestone Corp. (Japan)

      2,300        99,433  

Cie Generale des Etablissements Michelin (France)

      543        72,270  

Continental AG (Germany)

      162        35,046  

Delphi Automotive PLC

      15,700        1,376,105  

GKN PLC (United Kingdom)

      32,966        140,026  

Goodyear Tire & Rubber Co. (The)

      13,400        468,464  

Koito Manufacturing Co. Ltd. (Japan)

      400        20,684  

Sumitomo Electric Industries Ltd. (Japan)

      2,700        41,770  

Valeo SA (France)

      495        33,303  
     

 

 

  
        3,110,811  
     

 

 

  

Automobiles — 0.3%

 

Bayerische Motoren Werke AG (Germany)

      1,186        110,307  

Daimler AG (Germany)

      3,463        251,167  

Ferrari NV (Italy)

      218        18,759  
COMMON STOCKS
(continued)		    Shares      Value  

Automobiles (continued)

 

Fiat Chrysler Automobiles NV (United Kingdom)*

      3,504      $ 37,018  

Ford Motor Co.

      222,585        2,490,726  

General Motors Co.

      77,700        2,714,061  

Harley-Davidson, Inc.(a)

      10,100        545,602  

Honda Motor Co. Ltd. (Japan)

      5,800        158,909  

Mitsubishi Motors Corp. (Japan)

      28,100        185,830  

Nissan Motor Co. Ltd. (Japan)

      8,600        85,870  

Peugeot SA (France)

      974        19,411  

Suzuki Motor Corp. (Japan)

      8,100        385,868  

Toyota Motor Corp. (Japan)

      3,900        204,998  

Volkswagen AG (Germany)

      123        19,104  
     

 

 

  
        7,227,630  
     

 

 

  

Banks — 3.3%

 

Aozora Bank Ltd. (Japan)

      2,000        7,636  

Banco Santander SA (Spain)

      3,911        25,969  

Bank Leumi Le-Israel BM (Israel)

      5,033        24,453  

Bank of America Corp.

      574,621        13,940,305  

BB&T Corp.

      45,900        2,084,319  

Bendigo & Adelaide Bank Ltd. (Australia)

      24,362        207,383  

BNP Paribas SA (France)

      3,813        274,509  

Citigroup, Inc.

      158,885        10,626,229  

Citizens Financial Group, Inc.

      29,500        1,052,560  

Comerica, Inc.

      10,200        747,048  

Commonwealth Bank of Australia (Australia)

      6,277        399,318  

Credit Agricole SA (France)

      25,515        411,006  

Danske Bank A/S (Denmark)

      10,319        397,004  

DBS Group Holdings Ltd. (Singapore)

      3,600        54,183  

DNB ASA (Norway)

      3,528        60,063  

Fifth Third Bancorp

      40,921        1,062,309  

HSBC Holdings PLC
(United Kingdom)

      71,230        661,158  

Huntington Bancshares, Inc.

      61,236        827,911  

ING Groep NV (Netherlands)

      32,581        562,439  

Intesa Sanpaolo SpA, RSP (Italy)

      1,867        5,554  

JPMorgan Chase & Co.

      204,245        18,667,993  

KBC Groep NV (Belgium)

      4,931        373,864  

KeyCorp.

      59,500        1,115,030  

Lloyds Banking Group PLC
(United Kingdom)

      470,437        405,414  

M&T Bank Corp.

      9,000        1,457,550  

Mitsubishi UFJ Financial Group, Inc. (Japan)

      15,600        105,223  

Mizuho Financial Group, Inc. (Japan)

      85,500        156,762  

National Australia Bank Ltd. (Australia)

      5,302        120,612  

Natixis SA (France)

      52,765        354,197  

Nordea Bank AB (Sweden)

      6,069        77,297  

Oversea-Chinese Banking Corp. Ltd. (Singapore)

      11,300        88,517  

People’s United Financial, Inc.

      16,500        291,390  

PNC Financial Services Group, Inc. (The)

      27,733        3,463,020  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Banks (continued)

 

Regions Financial Corp.

      67,703      $ 991,172  

Resona Holdings, Inc. (Japan)

      7,900        43,638  

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

      8,194        99,202  

Societe Generale SA (France)

      1,923        103,699  

Sumitomo Mitsui Financial Group, Inc. (Japan)

      2,700        105,420  

SunTrust Banks, Inc.

      28,500        1,616,520  

Swedbank AB (Sweden)
(Class A Stock)

      15,471        377,583  

U.S. Bancorp

      90,785        4,713,557  

United Overseas Bank Ltd. (Singapore)

      4,700        78,907  

Wells Fargo & Co.

      257,864        14,288,244  

Westpac Banking Corp. (Australia)

      12,307        288,155  

Zions Bancorporation

      11,550        507,160  
     

 

 

  
        83,321,482  
     

 

 

  

Beverages — 1.0%

 

Anheuser-Busch InBev SA/NV (Belgium)

      255        28,164  

Asahi Group Holdings Ltd. (Japan)

      600        22,596  

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

      10,200        495,720  

Coca-Cola Co. (The)

      220,401        9,884,985  

Coca-Cola European Partners PLC (United Kingdom)

      850        34,440  

Coca-Cola HBC AG (Switzerland)*

      1,368        40,232  

Constellation Brands, Inc.
(Class A Stock)

      10,100        1,956,673  

Diageo PLC (United Kingdom)

      10,771        318,304  

Dr. Pepper Snapple Group, Inc.

      10,700        974,877  

Kirin Holdings Co. Ltd. (Japan)

      2,900        59,156  

Molson Coors Brewing Co.
(Class B Stock)

      10,800        932,472  

Monster Beverage Corp.*

      23,400        1,162,512  

PepsiCo, Inc.

      81,607        9,424,792  

Pernod Ricard SA (France)

      753        100,832  

Treasury Wine Estates Ltd. (Australia)

      2,592        26,210  
     

 

 

  
        25,461,965  
     

 

 

  

Biotechnology — 1.4%

 

AbbVie, Inc.

      90,900        6,591,159  

Alexion Pharmaceuticals, Inc.*

      13,100        1,593,877  

Amgen, Inc.

      42,437        7,308,924  

Biogen, Inc.*

      12,360        3,354,009  

Celgene Corp.*

      44,400        5,766,228  

CSL Ltd. (Australia)

      1,573        166,942  

Gilead Sciences, Inc.

      74,600        5,280,188  

Incyte Corp.*

      10,300        1,296,873  

Regeneron Pharmaceuticals, Inc.*

      4,440        2,180,662  

Vertex Pharmaceuticals, Inc.*

      14,500        1,868,615  
     

 

 

  
        35,407,477  
     

 

 

  

Building Products — 0.2%

 

Allegion PLC

      5,733        465,061  

Asahi Glass Co. Ltd. (Japan)

      800        33,786  

Cie de Saint-Gobain (France)

      865        46,195  
COMMON STOCKS
(continued)		    Shares      Value  

Building Products (continued)

 

Daikin Industries Ltd. (Japan)

      800      $ 82,074  

Fortune Brands Home & Security, Inc.(a)

      8,800        574,112  

Johnson Controls International PLC

      53,322        2,312,042  

Masco Corp.

      18,400        703,064  
     

 

 

  
        4,216,334  
     

 

 

  

Capital Markets — 1.4%

 

3i Group PLC (United Kingdom)

      1,967        23,127  

Affiliated Managers Group, Inc.

      3,500        580,510  

Ameriprise Financial, Inc.

      9,020        1,148,156  

Bank of New York Mellon Corp. (The)

      59,158        3,018,241  

BlackRock, Inc.

      7,100        2,999,111  

CBOE Holdings, Inc.

      4,900        447,860  

Charles Schwab Corp. (The)

      69,250        2,974,980  

CME Group, Inc.

      19,600        2,454,704  

E*TRADE Financial Corp.*

      14,620        555,999  

Franklin Resources, Inc.

      20,100        900,279  

Goldman Sachs Group, Inc. (The)

      21,200        4,704,280  

Hargreaves Lansdown PLC
(United Kingdom)

      9,833        166,742  

Intercontinental Exchange, Inc.

      33,755        2,225,130  

Invesco Ltd.

      22,500        791,775  

Macquarie Group Ltd. (Australia)

      5,696        387,349  

Moody’s Corp.

      9,700        1,180,296  

Morgan Stanley

      81,980        3,653,029  

Nasdaq, Inc.

      6,900        493,281  

Nomura Holdings, Inc. (Japan)

      61,000        367,857  

Northern Trust Corp.

      12,400        1,205,404  

Partners Group Holding AG (Switzerland)

      557        345,847  

Raymond James Financial, Inc.

      7,200        577,584  

S&P Global, Inc.

      15,100        2,204,449  

Schroders PLC (United Kingdom)

      595        24,059  

State Street Corp.

      20,900        1,875,357  

T. Rowe Price Group, Inc.(a)

      14,200        1,053,782  
     

 

 

  
        36,359,188  
     

 

 

  

Chemicals — 1.1%

 

Air Products & Chemicals, Inc.

      12,700        1,816,862  

Albemarle Corp.

      6,800        717,672  

Asahi Kasei Corp. (Japan)

      4,000        43,153  

BASF SE (Germany)

      3,747        347,756  

CF Industries Holdings, Inc.

      13,400        374,664  

Covestro AG (Germany), 144A

      3,885        281,640  

Dow Chemical Co. (The)

      63,631        4,013,207  

E.I. du Pont de Nemours & Co.

      49,320        3,980,617  

Eastman Chemical Co.

      8,600        722,314  

Ecolab, Inc.

      14,900        1,977,975  

EMS-Chemie Holding AG (Switzerland)

      506        373,635  

FMC Corp.

      7,500        547,875  

Hitachi Chemical Co. Ltd. (Japan)

      400        11,992  

International Flavors & Fragrances, Inc.

      4,600        621,000  

JSR Corp. (Japan)

      400        6,924  

Kuraray Co. Ltd. (Japan)

      1,300        23,672  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Chemicals (continued)

 

LyondellBasell Industries NV
(Class A Stock)

      19,200      $ 1,620,288  

Mitsubishi Chemical Holdings Corp. (Japan)

      41,600        346,601  

Mitsubishi Gas Chemical Co., Inc. (Japan)

      700        14,868  

Mitsui Chemicals, Inc. (Japan)

      50,000        266,269  

Monsanto Co.

      24,994        2,958,290  

Mosaic Co. (The)

      18,700        426,921  

PPG Industries, Inc.

      15,000        1,649,400  

Praxair, Inc.

      16,600        2,200,330  

Sherwin-Williams Co. (The)

      4,750        1,667,060  

Shin-Etsu Chemical Co. Ltd. (Japan)

      1,400        127,418  

Sika AG (Switzerland)

      6        38,521  

Sumitomo Chemical Co. Ltd. (Japan)

      6,000        34,679  

Teijin Ltd. (Japan)

      14,900        287,527  
     

 

 

  
        27,499,130  
     

 

 

  

Commercial Services & Supplies — 0.2%

 

Cintas Corp.

      4,800        604,992  

ISS A/S (Denmark)

      7,536        296,023  

Republic Services, Inc.

      13,465        858,124  

Stericycle, Inc.*

      4,900        373,968  

Waste Management, Inc.

      23,542        1,726,806  
     

 

 

  
        3,859,913  
     

 

 

  

Communications Equipment — 0.5%

 

Cisco Systems, Inc.

      285,600        8,939,280  

F5 Networks, Inc.*(a)

      3,900        495,534  

Harris Corp.

      7,300        796,284  

Juniper Networks, Inc.

      20,500        571,540  

Motorola Solutions, Inc.

      9,589        831,750  
     

 

 

  
        11,634,388  
     

 

 

  

Construction & Engineering — 0.1%

 

ACS Actividades de Construccion y Servicios SA (Spain)

      685        26,485  

Fluor Corp.

      7,800        357,084  

Hochtief AG (Germany)

      916        168,158  

Jacobs Engineering Group, Inc.

      6,700        364,413  

Kajima Corp. (Japan)

      13,000        109,871  

Obayashi Corp. (Japan)

      31,200        367,602  

Quanta Services, Inc.*

      8,400        276,528  

Skanska AB (Sweden)
(Class B Stock)

      1,229        29,184  

Taisei Corp. (Japan)

      16,000        146,345  

Vinci SA (France)

      1,813        154,652  
     

 

 

  
        2,000,322  
     

 

 

  

Construction Materials — 0.1%

 

Martin Marietta Materials, Inc.

      3,700        823,546  

Vulcan Materials Co.

      7,600        962,768  
     

 

 

  
        1,786,314  
     

 

 

  

Consumer Finance — 0.3%

 

American Express Co.

      43,200        3,639,168  

Capital One Financial Corp.

      27,361        2,260,566  

Discover Financial Services

      22,440        1,395,543  
COMMON STOCKS
(continued)		    Shares      Value  

Consumer Finance (continued)

 

Navient Corp.

      15,300      $ 254,745  

Synchrony Financial

      43,272        1,290,371  
     

 

 

  
        8,840,393  
     

 

 

  

Containers & Packaging — 0.2%

 

Avery Dennison Corp.

      5,400        477,198  

Ball Corp.

      19,600        827,316  

International Paper Co.

      22,973        1,300,502  

Sealed Air Corp.

      10,800        483,408  

WestRock Co.

      14,544        824,063  
     

 

 

  
        3,912,487  
     

 

 

  

Distributors — 0.1%

 

Genuine Parts Co.

      8,400        779,184  

LKQ Corp.*

      16,500        543,675  
     

 

 

  
        1,322,859  
     

 

 

  

Diversified Consumer Services — 0.0%

 

H&R Block, Inc.

      11,600        358,556  
     

 

 

  

Diversified Financial Services — 0.8%

 

Berkshire Hathaway, Inc.
(Class B Stock)*

      108,700        18,410,519  

Investor AB (Sweden)
(Class B Stock)

      1,403        67,690  

Leucadia National Corp.

      18,600        486,576  

ORIX Corp. (Japan)

      22,400        348,541  
     

 

 

  
        19,313,326  
     

 

 

  

Diversified Telecommunication Services — 1.1%

 

AT&T, Inc.

      351,638        13,267,302  

CenturyLink, Inc.(a)

      31,036        741,139  

Deutsche Telekom AG (Germany)

      593        10,689  

HKT Trust & HKT Ltd. (Hong Kong)

      4,000        5,246  

Level 3 Communications, Inc.*

      16,900        1,002,170  

Nippon Telegraph & Telephone Corp. (Japan)

      9,000        424,837  

Orange SA (France)

      25,668        408,505  

Telecom Italia SpA (Italy)*

      345,641        319,778  

Telecom Italia SpA, RSP (Italy)

      22,010        16,288  

Telefonica SA (Spain)

      8,048        83,310  

Verizon Communications, Inc.

      232,476        10,382,378  
     

 

 

  
        26,661,642  
     

 

 

  

Electric Utilities — 1.0%

 

Alliant Energy Corp.

      12,400        498,108  

American Electric Power Co., Inc.

      27,860        1,935,434  

Chubu Electric Power Co., Inc. (Japan)

      2,400        31,917  

CK Infrastructure Holdings Ltd. (Hong Kong)

      2,000        16,801  

CLP Holdings Ltd. (Hong Kong)

      7,000        74,020  

Duke Energy Corp.

      39,961        3,340,340  

Edison International

      19,000        1,485,610  

EDP-Energias de Portugal SA (Portugal)

      30,232        98,896  

Endesa SA (Spain)

      6,480        149,485  

Enel SpA (Italy)

      90,399        484,856  

Entergy Corp.

      10,500        806,085  

Eversource Energy

      18,500        1,123,135  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Electric Utilities (continued)

      

Exelon Corp.

      52,513      $ 1,894,144  

FirstEnergy Corp.

      24,206        705,847  

Iberdrola SA (Spain)

      36,403        288,473  

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

      2,700        37,231  

Kyushu Electric Power Co., Inc. (Japan)

      1,500        18,231  

NextEra Energy, Inc.

      26,700        3,741,471  

PG&E Corp.

      28,700        1,904,819  

Pinnacle West Capital Corp.

      6,700        570,572  

PPL Corp.

      37,900        1,465,214  

Red Electrica Corp. SA (Spain)

      1,526        31,925  

Southern Co. (The)

      56,500        2,705,220  

SSE PLC (United Kingdom)

      3,600        68,117  

Terna Rete Elettrica Nazionale SpA (Italy)

      5,273        28,480  

Tohoku Electric Power Co., Inc. (Japan)

      1,700        23,560  

Xcel Energy, Inc.

      28,310        1,298,863  
     

 

 

  
        24,826,854  
     

 

 

  

Electrical Equipment — 0.3%

      

Acuity Brands, Inc.(a)

      2,600        528,528  

AMETEK, Inc.

      12,900        781,353  

Eaton Corp. PLC

      25,537        1,987,545  

Emerson Electric Co.

      36,700        2,188,054  

Nidec Corp. (Japan)

      500        51,370  

Rockwell Automation, Inc.

      7,500        1,214,700  

Vestas Wind Systems A/S (Denmark)

      4,449        410,942  
     

 

 

  
        7,162,492  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.2%

 

Amphenol Corp. (Class A Stock)

      17,900        1,321,378  

Corning, Inc.

      52,100        1,565,605  

FLIR Systems, Inc.

      8,100        280,746  

Hexagon AB (Sweden) (Class B Stock)

      918        43,614  

Hitachi High-Technologies Corp. (Japan)

      200        7,789  

Hitachi Ltd. (Japan)

      65,000        400,770  

Keyence Corp. (Japan)

      200        88,045  

Kyocera Corp. (Japan)

      6,300        366,161  

TDK Corp. (Japan)

      1,000        66,102  

TE Connectivity Ltd.

      20,700        1,628,676  
     

 

 

  
        5,768,886  
     

 

 

  

Energy Equipment & Services — 0.4%

      

Baker Hughes, a GE Co., LLC

      24,798        1,351,739  

Halliburton Co.

      49,400        2,109,874  

Helmerich & Payne, Inc.(a)

      6,700        364,078  

National Oilwell Varco, Inc.(a)

      21,500        708,210  

Schlumberger Ltd.

      79,524        5,235,860  

TechnipFMC PLC (United Kingdom)*

      26,700        726,240  

Transocean Ltd.*(a)

      20,500        168,715  
     

 

 

  
        10,664,716  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Equity Real Estate Investment Trusts (REITs) — 1.4%

 

Alexandria Real Estate Equities, Inc.

      4,700      $ 566,209  

American Tower Corp.

      24,400        3,228,608  

Apartment Investment & Management Co. (Class A Stock)

      8,333        358,069  

AvalonBay Communities, Inc.

      8,075        1,551,773  

Boston Properties, Inc.

      9,000        1,107,180  

Crown Castle International Corp.

      21,000        2,103,780  

Digital Realty Trust, Inc.(a)

      9,200        1,039,140  

Equinix, Inc.

      4,554        1,954,395  

Equity Residential(a)

      21,400        1,408,762  

Essex Property Trust, Inc.

      3,850        990,489  

Extra Space Storage, Inc.(a)

      7,300        569,400  

Federal Realty Investment Trust

      4,100        518,199  

GGP, Inc.(a)

      31,300        737,428  

Goodman Group (Australia)

      6,830        41,279  

GPT Group (The) (Australia)

      7,268        26,732  

Hammerson PLC (United Kingdom)

      2,760        20,650  

HCP, Inc.

      25,500        814,980  

Host Hotels & Resorts, Inc.(a)

      40,182        734,125  

Iron Mountain, Inc.

      14,402        494,853  

Kimco Realty Corp.

      23,300        427,555  

Land Securities Group PLC (United Kingdom)

      21,263        280,729  

Macerich Co. (The)(a)

      7,300        423,838  

Mid-America Apartment Communities, Inc.

      6,600        695,508  

Mirvac Group (Australia)

      7,627        12,472  

Nippon Building Fund, Inc. (Japan)

      5        25,512  

Prologis, Inc.

      30,477        1,787,171  

Public Storage

      8,700        1,814,211  

Realty Income Corp.(a)

      15,200        838,736  

Regency Centers Corp.

      8,000        501,120  

Simon Property Group, Inc.

      18,293        2,959,076  

SL Green Realty Corp.

      5,900        624,220  

Stockland (Australia)

      69,507        233,745  

UDR, Inc.

      14,500        565,065  

Ventas, Inc.

      20,618        1,432,539  

Vornado Realty Trust

      10,025        941,347  

Welltower, Inc.

      21,100        1,579,335  

Weyerhaeuser Co.

      42,118        1,410,953  
     

 

 

  
        34,819,183  
     

 

 

  

Food & Staples Retailing — 0.9%

 

Casino Guichard Perrachon SA (France)

      3,784        224,105  

Costco Wholesale Corp.

      25,100        4,014,243  

CVS Health Corp.

      58,548        4,710,772  

ICA Gruppen AB (Sweden)(a)

      8,644        322,006  

J. Sainsbury PLC (United Kingdom)

      87,624        287,414  

Koninklijke Ahold Delhaize NV (Netherlands)

      4,699        89,691  

Kroger Co. (The)

      52,092        1,214,785  

Sysco Corp.

      28,000        1,409,240  

Wal-Mart Stores, Inc.

      86,300        6,531,184  

Walgreens Boots Alliance, Inc.

      48,700        3,813,697  

Wesfarmers Ltd. (Australia)

      3,288        101,385  

Whole Foods Market, Inc.

      17,500        736,925  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Food & Staples Retailing (continued)

 

WM Morrison Supermarkets PLC (United Kingdom)

      22,843      $ 71,747  
     

 

 

  
        23,527,194  
     

 

 

  

Food Products — 0.7%

      

Archer-Daniels-Midland Co.

      32,026        1,325,236  

Campbell Soup Co.

      10,800        563,220  

Conagra Brands, Inc.

      24,100        861,816  

General Mills, Inc.

      32,900        1,822,660  

Golden Agri-Resources Ltd. (Singapore)

      382,900        104,293  

Hershey Co. (The)

      8,200        880,434  

Hormel Foods Corp.(a)

      15,300        521,883  

J.M. Smucker Co. (The)

      6,700        792,811  

Kellogg Co.(a)

      14,700        1,021,062  

Kraft Heinz Co. (The)

      34,017        2,913,216  

Marine Harvest ASA (Norway)*

      18,519        316,845  

McCormick & Co., Inc.

      6,900        672,819  

Mondelez International, Inc. (Class A Stock)

      87,053        3,759,819  

Nestle SA (Switzerland)

      6,830        595,697  

NH Foods Ltd. (Japan)

      5,000        152,101  

Orkla ASA (Norway)

      1,982        20,145  

Tate & Lyle PLC (United Kingdom)

      31,639        272,678  

Tyson Foods, Inc. (Class A Stock)

      16,700        1,045,921  

WH Group Ltd. (Hong Kong), 144A

      384,500        388,257  

Wilmar International Ltd. (Singapore)

      55,200        134,266  
     

 

 

  
        18,165,179  
     

 

 

  

Gas Utilities — 0.0%

      

Gas Natural SDG SA (Spain)

      2,481        58,077  
     

 

 

  

Health Care Equipment & Supplies — 1.4%

 

Abbott Laboratories

      98,500        4,788,085  

Align Technology, Inc.*

      3,800        570,456  

Baxter International, Inc.

      27,600        1,670,904  

Becton, Dickinson & Co.

      12,978        2,532,137  

Boston Scientific Corp.*

      77,267        2,141,841  

C.R. Bard, Inc.

      4,200        1,327,662  

Cochlear Ltd. (Australia)

      196        23,410  

Cooper Cos., Inc. (The)

      2,940        703,895  

Danaher Corp.

      34,800        2,936,772  

DENTSPLY SIRONA, Inc.

      13,400        868,856  

Edwards Lifesciences Corp.*

      12,400        1,466,176  

Hologic, Inc.*

      16,300        739,694  

Hoya Corp. (Japan)

      1,400        72,886  

IDEXX Laboratories, Inc.*

      5,300        855,526  

Intuitive Surgical, Inc.*

      2,100        1,964,277  

Medtronic PLC

      78,690        6,983,737  

Smith & Nephew PLC (United Kingdom)

      10,993        189,834  

Stryker Corp.(a)

      17,700        2,456,406  

Varian Medical Systems, Inc.*

      5,700        588,183  

Zimmer Biomet Holdings, Inc.

      11,700        1,502,280  
     

 

 

  
        34,383,017  
     

 

 

  

Health Care Providers & Services — 1.4%

 

   

Aetna, Inc.

      19,569        2,971,161  

Alfresa Holdings Corp. (Japan)

      2,300        44,466  
COMMON STOCKS
(continued)		    Shares      Value  

Health Care Providers & Services (continued)

 

AmerisourceBergen Corp.(a)

      9,600      $ 907,488  

Anthem, Inc.

      15,100        2,840,763  

Cardinal Health, Inc.

      18,350        1,429,832  

Centene Corp.*

      10,200        814,776  

Cigna Corp.

      14,700        2,460,633  

DaVita, Inc.*

      9,000        582,840  

Envision Healthcare Corp.*(a)

      7,000        438,690  

Express Scripts Holding Co.*

      34,449        2,199,224  

Fresenius Medical Care AG & Co. KGaA (Germany)

      536        51,722  

Fresenius SE & Co. KGaA (Germany)

      2,957        253,868  

HCA Healthcare, Inc.*

      16,800        1,464,960  

Henry Schein, Inc.*(a)

      4,700        860,194  

Humana, Inc.

      8,600        2,069,332  

Laboratory Corp. of America Holdings*

      5,900        909,426  

McKesson Corp.

      12,130        1,995,870  

Medipal Holdings Corp. (Japan)

      6,300        116,815  

Patterson Cos., Inc.(a)

      4,500        211,275  

Quest Diagnostics, Inc.

      8,000        889,280  

Ramsay Health Care Ltd. (Australia)

      540        30,554  

Sonic Healthcare Ltd. (Australia)

      6,302        117,336  

UnitedHealth Group, Inc.

      55,200        10,235,184  

Universal Health Services, Inc. (Class B Stock)

      5,200        634,816  
     

 

 

  
        34,530,505  
     

 

 

  

Health Care Technology — 0.0%

 

Cerner Corp.*

      17,100        1,136,637  
     

 

 

  

Hotels, Restaurants & Leisure — 0.9%

 

Aristocrat Leisure Ltd. (Australia)

      24,521        425,118  

Carnival Corp.

      23,900        1,567,123  

Carnival PLC

      679        44,898  

Chipotle Mexican Grill, Inc.*(a)

      1,750        728,175  

Darden Restaurants, Inc.

      6,950        628,558  

Galaxy Entertainment Group Ltd. (Hong Kong)

      25,000        151,733  

Hilton Worldwide Holdings, Inc.(a)

      11,100        686,535  

InterContinental Hotels Group PLC (United Kingdom)

      671        37,263  

Marriott International, Inc. (Class A Stock)

      18,368        1,842,494  

McDonald’s Corp.

      46,900        7,183,204  

Royal Caribbean Cruises Ltd.

      9,600        1,048,608  

Sodexo SA (France)

      328        42,392  

Starbucks Corp.

      83,100        4,845,561  

TUI AG (Germany)

      1,957        28,529  

Wyndham Worldwide Corp.

      6,020        604,468  

Wynn Resorts Ltd.

      4,800        643,776  

Yum! Brands, Inc.

      19,600        1,445,696  
     

 

 

  
        21,954,131  
     

 

 

  

Household Durables — 0.3%

 

Barratt Developments PLC (United Kingdom)

      3,601        26,447  

D.R. Horton, Inc.

      18,700        646,459  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Household Durables (continued)

 

Garmin Ltd.(a)

      7,000      $ 357,210  

Leggett & Platt, Inc.

      7,400        388,722  

Lennar Corp. (Class A Stock)

      11,700        623,844  

Mohawk Industries, Inc.*

      3,640        879,752  

Newell Brands, Inc.

      27,014        1,448,491  

Panasonic Corp. (Japan)

      7,800        106,277  

Persimmon PLC (United Kingdom)

      11,972        349,662  

PulteGroup, Inc.

      14,622        358,678  

Sekisui House Ltd. (Japan)

      2,300        40,649  

Sony Corp. (Japan)

      5,700        217,419  

Taylor Wimpey PLC (United Kingdom)

      135,285        310,676  

Whirlpool Corp.

      4,326        828,948  
     

 

 

  
        6,583,234  
     

 

 

  

Household Products — 0.8%

 

Church & Dwight Co., Inc.

      14,600        757,448  

Clorox Co. (The)

      7,500        999,300  

Colgate-Palmolive Co.

      50,400        3,736,152  

Henkel AG & Co. KGaA (Germany)

      372        45,062  

Kimberly-Clark Corp.

      20,300        2,620,933  

Procter & Gamble Co. (The)

      145,825        12,708,649  
     

 

 

  
        20,867,544  
     

 

 

  

Independent Power & Renewable Electricity Producers — 0.0%

 

AES Corp.

      36,500        405,515  

NRG Energy, Inc.

      17,500        301,350  
     

 

 

  
        706,865  
     

 

 

  

Industrial Conglomerates — 1.1%

      

3M Co.

      34,100        7,099,279  

CK Hutchison Holdings Ltd. (Hong Kong)

      32,416        406,806  

General Electric Co.

      497,530        13,438,285  

Honeywell International, Inc.

      43,612        5,813,044  

Jardine Matheson Holdings Ltd. (Hong Kong)

      900        57,780  

Jardine Strategic Holdings Ltd. (Hong Kong)

      800        33,352  

Roper Technologies, Inc.

      6,000        1,389,180  

Siemens AG (Germany)

      4,833        664,800  
     

 

 

  
        28,902,526  
     

 

 

  

Insurance — 1.3%

      

Aflac, Inc.

      23,400        1,817,712  

AIA Group Ltd. (Hong Kong)

      16,600        121,452  

Allianz SE (Germany)

      1,629        321,471  

Allstate Corp. (The)

      21,300        1,883,772  

American International Group, Inc.

      51,739        3,234,722  

Aon PLC

      15,300        2,034,135  

Arthur J. Gallagher & Co.

      9,800        561,050  

Assurant, Inc.

      3,600        373,284  

Aviva PLC (United Kingdom)

      14,421        98,920  

AXA SA (France)

      6,965        190,725  

Baloise Holding AG (Switzerland)

      181        28,037  

Chubb Ltd.

      26,586        3,865,073  

Cincinnati Financial Corp.

      8,437        611,261  

Direct Line Insurance Group PLC (United Kingdom)

      4,875        22,574  
COMMON STOCKS
(continued)		    Shares      Value  

Insurance (continued)

      

Everest Re Group Ltd.

      2,000      $ 509,180  

Gjensidige Forsikring ASA (Norway)

      14,142        241,403  

Hannover Rueck SE (Germany)

      213        25,584  

Hartford Financial Services Group, Inc. (The)

      21,800        1,146,026  

Legal & General Group PLC (United Kingdom)

      92,653        311,779  

Lincoln National Corp.

      13,118        886,514  

Loews Corp.

      15,975        747,790  

Marsh & McLennan Cos., Inc.

      29,300        2,284,228  

MetLife, Inc.

      62,000        3,406,280  

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

      9,700        327,168  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)

      572        115,746  

NN Group NV (Netherlands)

      1,140        40,451  

Principal Financial Group, Inc.

      15,300        980,271  

Progressive Corp. (The)

      32,400        1,428,516  

Prudential PLC (United Kingdom)

      9,381        215,330  

QBE Insurance Group Ltd. (Australia)

      9,392        85,246  

Sampo OYJ (Finland) (Class A Stock)

      5,026        257,863  

SCOR SE (France)

      620        24,631  

Swiss Life Holding AG (Switzerland)*

      982        332,183  

Swiss Re AG (Switzerland)

      1,143        104,748  

Torchmark Corp.

      6,225        476,212  

Travelers Cos., Inc. (The)

      16,335        2,066,868  

Unum Group

      13,110        611,319  

Willis Towers Watson PLC

      7,400        1,076,404  

XL Group Ltd. (Bermuda)

      15,400        674,520  
     

 

 

  
        33,540,448  
     

 

 

  

Internet & Direct Marketing Retail — 1.3%

 

Amazon.com, Inc.*

      22,730        22,002,640  

Expedia, Inc.

      7,050        1,050,098  

Netflix, Inc.*

      24,550        3,668,015  

Priceline Group, Inc. (The)*

      2,880        5,387,098  

TripAdvisor, Inc.*(a)

      6,150        234,930  
     

 

 

  
        32,342,781  
     

 

 

  

Internet Software & Services — 2.2%

 

Akamai Technologies, Inc.*

      10,400        518,024  

Alphabet, Inc. (Class A Stock)*

      17,090        15,888,231  

Alphabet, Inc. (Class C Stock)*

      17,043        15,487,486  

eBay, Inc.*

      57,400        2,004,408  

Facebook, Inc. (Class A Stock)*

      135,050        20,389,849  

VeriSign, Inc.*(a)

      5,100        474,096  
     

 

 

  
        54,762,094  
     

 

 

  

IT Services — 1.8%

 

Accenture PLC (Class A Stock)

      35,900        4,440,112  

Alliance Data Systems Corp.

      3,240        831,676  

Amadeus IT Group SA (Spain)

      5,517        329,783  

Atos SE (France)

      2,440        342,359  

Automatic Data Processing, Inc.

      25,600        2,622,976  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A6

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

IT Services (continued)

 

Cognizant Technology Solutions Corp. (Class A Stock)

      34,600      $ 2,297,440  

CSRA, Inc.

      8,200        260,350  

DXC Technology Co.

      16,228        1,245,012  

Fidelity National Information Services, Inc.

      19,200        1,639,680  

Fiserv, Inc.*

      12,500        1,529,250  

Fujitsu Ltd. (Japan)

      26,000        192,303  

Gartner, Inc.*

      4,800        592,848  

Global Payments, Inc.

      8,900        803,848  

International Business Machines Corp.

      49,000        7,537,670  

Mastercard, Inc. (Class A Stock)

      53,800        6,534,010  

Paychex, Inc.

      18,500        1,053,390  

PayPal Holdings, Inc.*

      64,000        3,434,880  

Total System Services, Inc.

      9,096        529,842  

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

      106,000        9,940,680  

Western Union Co. (The)(a)

      25,210        480,250  
     

 

 

  
        46,638,359  
     

 

 

  

Leisure Products — 0.0%

 

Bandai Namco Holdings, Inc. (Japan)

      400        13,667  

Hasbro, Inc.

      6,300        702,513  

Mattel, Inc.(a)

      19,351        416,627  
     

 

 

  
        1,132,807  
     

 

 

  

Life Sciences Tools & Services — 0.3%

 

Agilent Technologies, Inc.

      18,714        1,109,927  

Illumina, Inc.*

      8,600        1,492,272  

Lonza Group AG (Switzerland)*

      204        44,190  

Mettler-Toledo International, Inc.*

      1,550        912,237  

PerkinElmer, Inc.

      6,600        449,724  

QIAGEN NV*

      390        12,977  

Thermo Fisher Scientific, Inc.

      22,300        3,890,681  

Waters Corp.*

      4,700        864,048  
     

 

 

  
        8,776,056  
     

 

 

  

Machinery — 0.8%

 

Amada Holdings Co. Ltd. (Japan)

      600        6,960  

Atlas Copco AB (Sweden) (Class A Stock)

      6,761        259,973  

Atlas Copco AB (Sweden) (Class B Stock)

      1,000        34,565  

Caterpillar, Inc.

      33,500        3,599,910  

Cummins, Inc.

      9,000        1,459,980  

Deere & Co.

      17,100        2,113,389  

Dover Corp.

      9,300        746,046  

Flowserve Corp.(a)

      7,200        334,296  

Fortive Corp.

      17,550        1,111,792  

Illinois Tool Works, Inc.

      17,800        2,549,850  

IMI PLC (United Kingdom)

      6,448        100,429  

Ingersoll-Rand PLC

      15,000        1,370,850  

JTEKT Corp. (Japan)

      6,900        101,536  

PACCAR, Inc.

      20,443        1,350,056  

Parker-Hannifin Corp.

      7,765        1,241,002  

Pentair PLC (United Kingdom)

      9,577        637,254  

Sandvik AB (Sweden)

      6,826        107,470  

Schindler Holding AG (Switzerland)

      71        14,758  
COMMON STOCKS
(continued)		    Shares      Value  

Machinery (continued)

 

SKF AB (Sweden) (Class B Stock)

      1,454      $ 29,525  

Snap-on, Inc.

      3,600        568,800  

Stanley Black & Decker, Inc.

      8,897        1,252,075  

Volvo AB (Sweden) (Class B Stock)

      25,755        439,217  

Wartsila OYJ Abp (Finland)

      525        31,047  

Xylem, Inc.

      10,500        582,015  
     

 

 

  
        20,042,795  
     

 

 

  

Marine — 0.0%

 

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

      6        11,449  
     

 

 

  

Media — 1.4%

 

CBS Corp. (Class B Stock)

      21,634        1,379,817  

Charter Communications, Inc. (Class A Stock)*

      12,280        4,136,518  

Comcast Corp. (Class A Stock)

      270,380        10,523,190  

Dentsu, Inc. (Japan)

      800        38,378  

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

      8,500        219,555  

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

      12,300        310,083  

DISH Network Corp. (Class A Stock)*

      12,600        790,776  

Eutelsat Communications SA (France)

      4,820        122,982  

Interpublic Group of Cos., Inc. (The)

      21,031        517,363  

News Corp. (Class A Stock)

      21,475        294,207  

News Corp. (Class B Stock)

      4,800        67,920  

Omnicom Group, Inc.(a)

      13,700        1,135,730  

Publicis Groupe SA (France)

      696        51,875  

RTL Group SA (Luxembourg)

      287        21,683  

Scripps Networks Interactive, Inc. (Class A Stock)(a)

      5,400        368,874  

Time Warner, Inc.

      44,166        4,434,708  

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

      59,600        1,689,064  

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

      27,800        774,786  

Viacom, Inc. (Class B Stock)

      20,134        675,898  

Walt Disney Co. (The)

      83,000        8,818,750  
     

 

 

  
        36,372,157  
     

 

 

  

Metals & Mining — 0.1%

 

Anglo American PLC (United Kingdom)*

      2,378        31,770  

ArcelorMittal (Luxembourg)*

      6,919        156,945  

Fortescue Metals Group Ltd. (Australia)

      46,449        185,939  

Freeport-McMoRan, Inc.*

      74,688        897,003  

Mitsubishi Materials Corp. (Japan)

      200        6,069  

Newmont Mining Corp.

      29,400        952,266  

Nippon Steel & Sumitomo Metal Corp. (Japan)

      2,900        65,716  

Norsk Hydro ASA (Norway)

      28,375        157,028  

Nucor Corp.

      18,600        1,076,382  

Rio Tinto Ltd. (United Kingdom)

      1,549        75,279  

Rio Tinto PLC (United Kingdom)

      2,906        123,075  

South32 Ltd. (Australia)

      18,712        38,537  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A7

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Metals & Mining (continued)

 

voestalpine AG (Austria)

      423      $ 19,716  
     

 

 

  
        3,785,725  
     

 

 

  

Multi-Utilities — 0.5%

 

AGL Energy Ltd. (Australia)

      2,131        41,760  

Ameren Corp.

      14,100        770,847  

CenterPoint Energy, Inc.

      23,600        646,168  

CMS Energy Corp.

      16,000        740,000  

Consolidated Edison, Inc.

      17,800        1,438,596  

Dominion Energy, Inc.

      35,832        2,745,806  

DTE Energy Co.

      10,500        1,110,795  

National Grid PLC (United Kingdom)

      8,177        101,318  

NiSource, Inc.

      16,400        415,904  

Public Service Enterprise Group, Inc.

      29,200        1,255,892  

SCANA Corp.

      8,300        556,183  

Sempra Energy

      14,619        1,648,292  

WEC Energy Group, Inc.(a)

      18,013        1,105,638  
     

 

 

  
        12,577,199  
     

 

 

  

Multiline Retail — 0.2%

 

Dollar General Corp.

      14,800        1,066,932  

Dollar Tree, Inc.*

      13,765        962,449  

Kohl’s Corp.(a)

      11,100        429,237  

Macy’s, Inc.(a)

      16,174        375,884  

Nordstrom, Inc.(a)

      6,100        291,763  

Target Corp.

      31,400        1,641,906  
     

 

 

  
        4,768,171  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.5%

 

Anadarko Petroleum Corp.

      31,754        1,439,726  

Apache Corp.(a)

      21,814        1,045,545  

BP PLC (United Kingdom)

      88,923        513,281  

Cabot Oil & Gas Corp.

      25,600        642,048  

Chesapeake Energy Corp.*(a)

      40,100        199,297  

Chevron Corp.

      108,522        11,322,100  

Cimarex Energy Co.

      5,800        545,258  

Concho Resources, Inc.*

      8,600        1,045,158  

ConocoPhillips

      70,477        3,098,169  

Devon Energy Corp.

      29,300        936,721  

EOG Resources, Inc.

      32,900        2,978,108  

EQT Corp.(a)

      10,300        603,477  

Exxon Mobil Corp.

      241,899        19,528,506  

Galp Energia SGPS SA (Portugal)

      1,779        26,959  

Hess Corp.(a)

      15,100        662,437  

JXTG Holdings, Inc. (Japan)

      11,200        49,006  

Kinder Morgan, Inc.

      109,398        2,096,066  

Marathon Oil Corp.

      45,682        541,332  

Marathon Petroleum Corp.

      29,782        1,558,492  

Murphy Oil Corp.(a)

      9,200        235,796  

Newfield Exploration Co.*

      11,700        332,982  

Noble Energy, Inc.

      24,700        699,010  

Occidental Petroleum Corp.

      43,600        2,610,332  

OMV AG (Austria)

      6,056        314,565  

ONEOK, Inc.(a)

      12,900        672,864  

Phillips 66

      25,038        2,070,392  

Pioneer Natural Resources Co.

      9,650        1,539,947  

Range Resources Corp.

      10,300        238,651  
COMMON STOCKS
(continued)		    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

 

Repsol SA (Spain)

      22,046      $ 337,990  

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

      15,815        420,186  

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

      13,687        367,449  

Tesoro Corp.

      8,500        795,600  

TOTAL SA (France)

      8,459        419,965  

Valero Energy Corp.

      25,500        1,720,230  

Williams Cos., Inc. (The)

      47,400        1,435,272  
     

 

 

  
        63,042,917  
     

 

 

  

Paper & Forest Products — 0.0%

 

Mondi PLC (South Africa)

      8,423        220,867  

UPM-Kymmene OYJ (Finland)

      12,072        344,230  
     

 

 

  
        565,097  
     

 

 

  

Personal Products — 0.1%

 

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

      26,800        502,768  

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

      13,000        1,247,740  

Kao Corp. (Japan)

      1,800        107,025  

L’Oreal SA (France)

      340        70,895  

Unilever NV (United Kingdom), CVA

      5,747        317,246  

Unilever PLC (United Kingdom)

      11,072        599,196  
     

 

 

  
        2,844,870  
     

 

 

  

Pharmaceuticals — 2.6%

 

Allergan PLC

      19,275        4,685,560  

Astellas Pharma, Inc. (Japan)

      7,500        91,925  

AstraZeneca PLC (United Kingdom)

      3,927        263,046  

Bayer AG (Germany)

      5,357        694,323  

Bristol-Myers Squibb Co.

      95,370        5,314,016  

Daiichi Sankyo Co. Ltd. (Japan)

      2,100        49,566  

Eli Lilly & Co.

      55,400        4,559,420  

GlaxoSmithKline PLC (United Kingdom)

      17,546        373,508  

Johnson & Johnson

      155,148        20,524,529  

Mallinckrodt PLC*

      6,500        291,265  

Merck & Co., Inc.

      157,433        10,089,881  

Merck KGaA (Germany)

      454        54,934  

Mitsubishi Tanabe Pharma Corp. (Japan)

      5,200        120,287  

Mylan NV*

      26,900        1,044,258  

Novartis AG (Switzerland)

      6,777        566,060  

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

      4,119        176,982  

Orion OYJ (Finland) (Class B Stock)

      5,797        370,318  

Perrigo Co. PLC(a)

      8,600        649,472  

Pfizer, Inc.

      339,470        11,402,797  

Roche Holding AG (Switzerland)

      3,425        875,139  

Sanofi (France)

      7,238        693,546  

Shionogi & Co. Ltd. (Japan)

      1,100        61,334  

Zoetis, Inc.

      28,500        1,777,830  
     

 

 

  
        64,729,996  
     

 

 

  

Professional Services — 0.2%

 

Adecco Group AG (Switzerland)

      4,402        335,354  

Equifax, Inc.

      7,000        961,940  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A8

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Professional Services (continued)

 

IHS Markit Ltd.*

      16,100      $ 709,044  

Nielsen Holdings PLC(a)

      18,700        722,942  

Randstad Holding NV (Netherlands)

      4,962        289,291  

RELX PLC (United Kingdom)

      5,807        125,530  

Robert Half International, Inc.

      7,500        359,475  

Verisk Analytics, Inc.*

      8,700        734,019  
     

 

 

  
        4,237,595  
     

 

 

  

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc. (Class A Stock)*

      18,200        662,480  

Cheung Kong Property Holdings Ltd. (Hong Kong)

      10,000        78,253  

Daiwa House Industry Co. Ltd. (Japan)

      2,000        68,451  

Henderson Land Development Co. Ltd. (Hong Kong)

      4,400        24,534  

Kerry Properties Ltd. (Hong Kong)

      29,000        98,466  

Mitsubishi Estate Co. Ltd. (Japan)

      17,000        317,778  

Sun Hung Kai Properties Ltd. (Hong Kong)

      17,000        249,733  

Swiss Prime Site AG (Switzerland)*

      254        23,094  

Wharf Holdings Ltd. (The) (Hong Kong)

      5,000        41,373  

Wheelock & Co. Ltd. (Hong Kong)

      46,000        346,960  
     

 

 

  
        1,911,122  
     

 

 

  

Road & Rail — 0.5%

 

CSX Corp.

      52,800        2,880,768  

JB Hunt Transport Services, Inc.

      4,800        438,624  

Kansas City Southern

      6,200        648,830  

Nippon Express Co. Ltd. (Japan)

      33,000        207,081  

Norfolk Southern Corp.

      17,000        2,068,900  

Tokyu Corp. (Japan)

      4,000        30,566  

Union Pacific Corp.

      46,900        5,107,879  

West Japan Railway Co. (Japan)

      600        42,453  
     

 

 

  
        11,425,101  
     

 

 

  

Semiconductors & Semiconductor Equipment — 1.6%

 

Advanced Micro Devices, Inc.*(a)

      40,300        502,944  

Analog Devices, Inc.

      21,058        1,638,312  

Applied Materials, Inc.

      62,500        2,581,875  

ASM Pacific Technology Ltd. (Hong Kong)

      9,200        124,133  

Broadcom Ltd.

      22,980        5,355,489  

Intel Corp.

      269,600        9,096,304  

KLA-Tencor Corp.

      9,200        841,892  

Lam Research Corp.

      9,550        1,350,657  

Microchip Technology, Inc.(a)

      12,400        957,032  

Micron Technology, Inc.*

      58,200        1,737,852  

NVIDIA Corp.

      33,650        4,864,444  

Qorvo, Inc.*

      7,707        488,007  

QUALCOMM, Inc.

      84,200        4,649,524  

Rohm Co. Ltd. (Japan)

      300        23,130  

Skyworks Solutions, Inc.

      10,800        1,036,260  

STMicroelectronics NV (Switzerland)

      3,545        50,976  

Texas Instruments, Inc.

      57,000        4,385,010  

Tokyo Electron Ltd. (Japan)

      600        81,116  

Xilinx, Inc.

      14,400        926,208  
     

 

 

  
        40,691,165  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Software — 2.3%

 

Activision Blizzard, Inc.

      39,200      $ 2,256,744  

Adobe Systems, Inc.*

      28,300        4,002,752  

ANSYS, Inc.*

      4,300        523,224  

Autodesk, Inc.*

      11,400        1,149,348  

CA, Inc.

      17,264        595,090  

Check Point Software Technologies Ltd. (Israel)*

      1,700        185,436  

Citrix Systems, Inc.*

      9,100        724,178  

Electronic Arts, Inc.*

      18,000        1,902,960  

Intuit, Inc.

      14,200        1,885,902  

Konami Holdings Corp. (Japan)

      200        11,133  

Microsoft Corp.

      441,700        30,446,381  

Nexon Co. Ltd. (Japan)*

      2,400        47,606  

Oracle Corp.

      171,300        8,588,982  

Red Hat, Inc.*

      10,400        995,800  

salesforce.com, inc.*

      37,400        3,238,840  

SAP SE (Germany)

      276        28,889  

Symantec Corp.

      34,278        968,354  

Synopsys, Inc.*

      8,700        634,491  
     

 

 

  
        58,186,110  
     

 

 

  

Specialty Retail — 1.1%

 

Advance Auto Parts, Inc.

      4,300        501,337  

AutoNation, Inc.*(a)

      3,574        150,680  

AutoZone, Inc.*(a)

      1,650        941,259  

Bed Bath & Beyond, Inc.(a)

      8,500        258,400  

Best Buy Co., Inc.(a)

      15,825        907,247  

CarMax, Inc.*(a)

      10,500        662,130  

Dixons Carphone PLC (United Kingdom)

      46,253        170,983  

Foot Locker, Inc.

      7,500        369,600  

Gap, Inc. (The)(a)

      12,200        268,278  

Home Depot, Inc. (The)

      69,450        10,653,630  

Industria de Diseno Textil SA (Spain)

      2,233        85,759  

L Brands, Inc.

      13,806        744,005  

Lowe’s Cos., Inc.

      49,400        3,829,982  

Nitori Holdings Co. Ltd. (Japan)

      300        40,159  

O’Reilly Automotive, Inc.*

      5,400        1,181,196  

Ross Stores, Inc.

      22,200        1,281,606  

Signet Jewelers Ltd.(a)

      4,300        271,932  

Staples, Inc.

      37,049        373,083  

Tiffany & Co.

      6,100        572,607  

TJX Cos., Inc. (The)

      37,200        2,684,724  

Tractor Supply Co.

      7,300        395,733  

Ulta Beauty, Inc.*

      3,400        976,956  
     

 

 

  
        27,321,286  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.0%

 

Apple, Inc.

      299,690        43,161,354  

Brother Industries Ltd. (Japan)

      1,100        25,479  

Canon, Inc. (Japan)

      10,200        346,956  

FUJIFILM Holdings Corp. (Japan)

      900        32,452  

Hewlett Packard Enterprise Co.

      94,748        1,571,869  

HP, Inc.

      97,648        1,706,887  

NetApp, Inc.

      15,200        608,760  

Seagate Technology PLC(a)

      16,600        643,250  

Western Digital Corp.

      16,803        1,488,746  

Xerox Corp.

      12,090        347,346  
     

 

 

  
        49,933,099  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A9

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Textiles, Apparel & Luxury Goods — 0.4%

 

adidas AG (Germany)

      667      $ 127,897  

Cie Financiere Richemont SA (Switzerland)

      962        79,604  

Coach, Inc.

      16,000        757,440  

Hanesbrands, Inc.(a)

      21,200        490,992  

Hermes International (France)

      699        345,290  

LVMH Moet Hennessy Louis Vuitton SE (France)

      988        247,055  

Michael Kors Holdings Ltd.*

      9,300        337,125  

NIKE, Inc. (Class B Stock)

      75,600        4,460,400  

PVH Corp.

      4,700        538,150  

Ralph Lauren Corp.

      3,400        250,920  

Swatch Group AG (The)
(Switzerland)

      363        26,518  

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

      9,600        208,896  

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

      9,474        190,996  

VF Corp.(a)

      19,300        1,111,680  
     

 

 

  
        9,172,963  
     

 

 

  

Tobacco — 0.9%

 

Altria Group, Inc.

      111,300        8,288,511  

British American Tobacco PLC (United Kingdom)

      6,650        453,153  

Japan Tobacco, Inc. (Japan)

      5,200        182,770  

Philip Morris International, Inc.

      88,500        10,394,325  

Reynolds American, Inc.

      47,138        3,065,855  

Swedish Match AB (Sweden)

      3,109        109,533  
     

 

 

  
        22,494,147  
     

 

 

  

Trading Companies & Distributors — 0.1%

 

Fastenal Co.(a)

      16,900        735,657  

ITOCHU Corp. (Japan)

      24,400        363,290  

Marubeni Corp. (Japan)

      25,800        167,149  

Mitsubishi Corp. (Japan)

      5,300        111,411  

Mitsui & Co. Ltd. (Japan)

      14,700        210,443  

Sumitomo Corp. (Japan)

      23,600        307,748  

Toyota Tsusho Corp. (Japan)

      700        21,046  

United Rentals, Inc.*

      4,900        552,279  

W.W. Grainger, Inc.(a)

      3,200        577,696  
     

 

 

  
        3,046,719  
     

 

 

  

Transportation Infrastructure — 0.0%

 

Abertis Infraestructuras SA (Spain)

      2,121        39,316  

Aena SA (Spain), 144A

      241        47,061  

Atlantia SpA (Italy)

      757        21,294  

Auckland International Airport Ltd. (New Zealand)

      3,721        19,443  
     

 

 

  
        127,114  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Water Utilities — 0.0%

 

American Water Works Co., Inc.

      10,400      $ 810,680  
     

 

 

  

Wireless Telecommunication Services — 0.0%

 

KDDI Corp. (Japan)

      6,600        174,554  

SoftBank Group Corp. (Japan)

      6,200        503,999  

Vodafone Group PLC (United Kingdom)

      94,634        268,758  
     

 

 

  
        947,311  
     

 

 

  

TOTAL COMMON STOCKS
(cost $452,214,017)

 

      1,237,653,948  
     

 

 

  
PREFERRED STOCKS — 0.1%     

Automobiles — 0.0%

 

Bayerische Motoren Werke AG (Germany) (PRFC)

      212        17,495  

Volkswagen AG (Germany) (PRFC)

      2,621        400,374  
     

 

 

  
        417,869  
     

 

 

  

Banks — 0.0%

 

Citigroup Capital XIII 7.542%, (Capital Security, fixed to floating preferred)

      20,000        519,600  
     

 

 

  

Capital Markets — 0.1%

 

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

      30,000        822,900  
     

 

 

  

Household Products — 0.0%

 

Henkel AG & Co. KGaA (Germany) (PRFC)

      355        48,952  
     

 

 

  

TOTAL PREFERRED STOCKS
(cost $1,653,774)

 

      1,809,321  
     

 

 

  
     Units         
RIGHTS* — 0.0%      

Construction & Engineering

      

ACS Actividades de Construccion y Servicios SA (Spain),
expiring 07/13/17
(cost $584)

      685        548  
     

 

 

  
     Shares         
UNAFFILIATED EXCHANGE TRADED FUNDS — 0.0%  

iShares MSCI EAFE ETF
(cost $439,837)

      7,534        491,217  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A10

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

 

ASSET-BACKED SECURITIES — 5.0%    Interest
Rate		     Maturity
Date		    Principal
Amount
(000)#		      Value  

Automobiles — 1.6%

           

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

      1.839% (c)    04/08/19      289      $ 288,653  

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

      1.789% (c)    10/08/19      1,266        1,267,115  

AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B

      1.649% (c)    11/08/19      506        506,666  

AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C

      2.410%     07/08/22      800        797,352  

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

      1.920%     09/20/19      1,475        1,474,300  

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

      2.500%     07/20/21      2,800        2,787,430  

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

      2.630%     12/20/21      3,200        3,181,949  

Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A

      1.740%     02/22/22      1,964        1,961,978  

Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 144A

      2.130%     07/20/22      2,600        2,604,319  

Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 144A^

      1.970%     01/20/23      1,700        1,699,912  

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

      2.310%     08/15/27      4,200        4,222,355  

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

      2.030%     12/15/27      2,600        2,581,010  

Ford Credit Auto Owner Trust, Series 2017-1, Class A, 144A

      2.620%     08/15/28      4,400        4,452,683  

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

      1.659% (c)    05/15/20      1,600        1,604,166  

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

      2.009% (c)    05/17/21      1,700        1,715,130  

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

      2.320%     03/25/20      2,400        2,391,677  

OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A

      2.040%     01/15/21      468        468,558  

OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 144A

      2.160%     10/15/20      5,700        5,698,460  
          

 

 

  
             39,703,713  
          

 

 

  

Collateralized Loan Obligations — 1.7%

           

ALM Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A

      2.208% (c)    04/16/27      1,000        999,500  

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A

      2.602% (c)    04/28/26      400        400,903  

Apidos CLO (Cayman Islands), Series 2014-17A, Class A1R, 144A

      2.468% (c)    04/17/26      420        420,991  

ArrowMark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A

      —% (c)(p)    07/15/29      500        500,000  

Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A

      2.293% (c)    10/22/25      250        250,077  

Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1R, 144A

      2.551% (c)    07/18/30      1,000        1,000,000  

Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1R, 144A

      2.450% (c)    07/15/29      1,000        1,000,000  

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

      2.308% (c)    04/17/25      2,200        2,202,314  

Canyon Capital CLO Ltd. (Cayman Islands), Series 2015-1A, Class AS, 144A

      2.408% (c)    04/15/29      2,500        2,499,981  

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A

      2.320% (c)    07/27/26      750        750,775  

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

      2.706% (c)    04/20/26      1,650        1,652,110  

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

      2.708% (c)    04/18/27      1,000        1,001,931  

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

      2.621% (c)    05/05/27      250        250,388  

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

      2.698% (c)    04/15/27      250        250,288  

KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A

      2.358% (c)    10/15/26      2,500        2,500,699  

Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A

      2.278% (c)    01/18/27      2,000        2,003,107  

Mill Creek CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A

      2.906% (c)    04/20/28      1,250        1,257,350  

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

      2.336% (c)    04/20/25      2,100        2,100,295  

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

      2.303% (c)    07/22/25      1,000        1,000,507  

Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A

      2.472% (c)    05/21/29      2,000        1,999,997  

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

      2.566% (c)    07/25/26      1,250        1,250,012  

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

      2.319% (c)    05/07/26      2,500        2,501,220  

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

      3.856% (c)    10/20/23      900        900,605  

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

      2.856% (c)    07/20/28      1,750        1,757,046  

TICP CLO Ltd. (Cayman Islands), Series 2017-7A, Class AS, 144A

      —% (c)(p)    07/15/29      1,000        998,500  

Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A

      2.856% (c)    10/25/28      2,500        2,510,468  

Trinitas CLO Ltd. (Cayman Islands), Series 2017-6A, Class A, 144A

      2.655% (c)    07/25/29      1,000        998,502  

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

      2.278% (c)    07/15/25      2,200        2,201,733  

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

      2.298% (c)    04/15/24      1,500        1,500,563  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A11

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

ASSET-BACKED SECURITIES — 5.0%    Interest
Rate		     Maturity
Date		      Principal
Amount
(000)#		      Value  

Collateralized Loan Obligations (continued)

 

Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A

      2.431% (c)      04/20/29        1,500      $ 1,500,046  

West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A

      2.339% (c)      11/07/25        1,500        1,500,531  

Zais CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A

      2.572% (c)      07/15/29        1,250        1,250,313  
          

 

 

  
             42,910,752  
          

 

 

  

Consumer Loans — 0.4%

 

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

      2.570%       07/18/25        3,334        3,338,042  

SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A

      3.050%       04/25/29        2,071        2,083,244  

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

      3.160%       11/15/24        4,665        4,707,193  
          

 

 

  
             10,128,479  
          

 

 

  

Credit Cards — 0.6%

 

American Express Credit Account Master Trust, Series 2017-2, Class A

      1.439% (c)      09/16/24        5,100        5,132,624  

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

      1.959% (c)      05/15/20        2,700        2,703,212  

Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5

      1.836% (c)      04/22/26        2,700        2,714,025  

Discover Card Execution Note Trust, Series 2017-A4, Class A4

      2.530%       10/15/26        2,800        2,791,270  

Discover Card Execution Note Trust, Series 2017-A5, Class A5

      1.816% (c)      12/15/26        1,900        1,910,099  
          

 

 

  
             15,251,230  
          

 

 

  

Equipment — 0.1%

 

MMAF Equipment Finance LLC, Series 2017-AA, Class A4, 144A

      2.410%       08/16/24        2,500        2,505,525  
          

 

 

  

Home Equity Loans — 0.1%

 

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

      2.866% (c)      03/25/33        181        180,461  

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

      2.416% (c)      05/25/33        103        102,287  

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

      2.266% (c)      12/27/33        633        617,199  

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

      2.116% (c)      07/25/32        208        208,018  

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

      2.491% (c)      09/25/32        2,383        2,370,247  

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

      1.981% (c)      02/25/34        708        680,663  
          

 

 

  
             4,158,875  
          

 

 

  

Other — 0.1%

 

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

      2.200%       10/20/30        902        901,334  

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

      2.000%       09/20/29        448        443,822  
          

 

 

  
             1,345,156  
          

 

 

  

Residential Mortgage-Backed Securities — 0.4%

 

Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A

      4.145% (c)      12/26/46        3,750        3,765,301  

Credit Suisse Mortgage Trust, Series 2017-6R, Class A1, 144A^

      2.722% (c)      03/06/47        2,125        2,125,000  

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

      3.721% (c)      07/25/35        352        350,003  

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

      1.966% (c)      03/25/34        1,382        1,378,844  

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

      4.678% (c)      07/25/34        324        321,737  

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

      2.071% (c)      07/25/34        506        475,497  

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

      2.011% (c)      06/25/34        366        355,837  

VOLT LVII LLC, Series 2017-NPL4, Class A1, 144A

      3.375%       04/25/47        486        486,073  

VOLT LX LLC, Series 2017-NPL7, Class A1, 144A

      3.250%       04/25/59        570        569,491  
          

 

 

  
             9,827,783  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(cost $124,997,281)

 

      125,831,513  
          

 

 

  
BANK LOANS(c) — 0.1%        

Technology

 

Dell International LLC

      3.299%       12/31/18        500        500,382  

First Data Corp.

      3.656%       04/26/24        940        939,579  
          

 

 

  

TOTAL BANK LOANS
(cost $1,399,500)

 

      1,439,961  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A12

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.5%    Interest
Rate		     Maturity
Date		    Principal
Amount
(000)#		      Value  

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

      3.172%     05/15/49      3,100      $ 3,081,434  

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

      3.014%     05/10/58      2,500        2,465,537  

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

      2.815%     04/10/46      900        906,803  

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

      3.575%     05/10/47      2,090        2,171,173  

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

      2.944%     05/10/49      2,700        2,673,626  

Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3

      3.442%     04/14/50      4,000        4,088,230  

Commercial Mortgage Trust, Series 2012-CR5, Class A3

      2.540%     12/10/45      1,000        994,920  

Commercial Mortgage Trust, Series 2013-CR7, Class A3

      2.929%     03/10/46      1,324        1,339,937  

Commercial Mortgage Trust, Series 2014-CR15, Class A2

      2.928%     02/10/47      2,000        2,028,088  

Commercial Mortgage Trust, Series 2014-CR18, Class A4

      3.550%     07/15/47      2,100        2,169,676  

Commercial Mortgage Trust, Series 2014-LC17, Class A4

      3.648%     10/10/47      5,000        5,203,485  

Commercial Mortgage Trust, Series 2014-UBS3, Class A2

      2.844%     06/10/47      1,700        1,729,928  

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

      3.544%     11/15/48      2,500        2,567,599  

CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3

      3.127%     06/15/50      3,800        3,790,664  

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

      3.513% (c)    12/25/23      1,925        2,035,521  

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

      2.829% (c)    01/25/25      4,100        4,157,179  

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

      3.038% (c)    11/25/25      3,000        3,050,782  

Fannie Mae-Aces, Series 2016-M7, Class AB2

      2.385%     09/25/26      1,800        1,734,118  

Fannie Mae-Aces, Series 2017-M1, Class A2

      2.497% (c)    10/25/26      1,600        1,543,619  

Fannie Mae-Aces, Series 2017-M4, Class A2

      2.684% (c)    12/25/26      8,600        8,399,341  

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

      1.570% (c)    05/25/22      20,046        1,153,801  

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

      1.606% (c)    06/25/22      5,544        334,699  

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

      3.023%     01/25/25      4,965        5,095,573  

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

      3.284% (c)    06/25/25      3,650        3,808,954  

FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,IO

      1.502% (c)    03/25/26      4,655        451,654  

FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM

      3.327% (c)    03/25/27      4,200        4,322,949  

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

      1.872% (c)    05/25/19      15,496        395,605  

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

      1.810% (c)    07/25/19      16,424        428,487  

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

      3.161% (c)    05/25/25      1,900        1,963,805  

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

      3.136%     02/10/48      3,000        3,015,916  

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

      3.244%     10/10/48      4,800        4,842,107  

GS Mortgage Securities Trust, Series 2016-GS4, Class A3

      3.178%     11/10/49      4,000        4,015,054  

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

      3.408%     11/15/47      1,100        1,129,513  

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

      2.920%     02/15/48      5,000        4,965,644  

JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3

      3.109%     07/15/50      5,581        5,612,239  

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

      2.881%     06/15/49      2,500        2,466,813  

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

      3.139%     06/15/45      728        736,189  

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

      2.611%     12/15/47      1,500        1,502,792  

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

      2.875%     12/15/47      3,200        3,238,703  

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

      3.070%     12/15/46      1,165        1,181,902  

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

      2.694%     04/15/46      1,100        1,110,424  

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

      6.114% (c)    07/15/40      1,990        1,992,595  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A13

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

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

      2.863%       12/15/48        1,200      $ 1,212,867  

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

      3.540%       12/15/48        5,000        5,150,954  

Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3

      2.531%       08/15/49        6,300        6,003,395  

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

      2.792%       12/10/45        1,400        1,410,388  

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

      2.920%       03/10/46        3,200        3,233,481  

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

      2.971%       04/10/46        1,500        1,518,707  

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

      5.608% (c)      05/15/46        2,527        2,526,999  

Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XB, IO

      1.484% (c)      08/15/49        9,000        940,388  

Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3

      2.642%       11/15/49        4,500        4,335,742  

Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4

      3.190%       07/15/50        3,300        3,310,956  
          

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $140,729,857)

 

      139,540,955  
          

 

 

  
CORPORATE BONDS — 11.2%           

Agriculture — 0.2%

           

Altria Group, Inc., Gtd. Notes

      4.000%       01/31/24        1,585        1,691,033  

Bunge Ltd. Finance Corp., Gtd. Notes

      8.500%       06/15/19        690        771,713  

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

      2.050%       02/11/18        1,680        1,681,663  

Reynolds American, Inc., Gtd. Notes

      8.125%       06/23/19        290        323,441  
          

 

 

  
             4,467,850  
          

 

 

  

Airlines — 0.2%

           

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

      3.375%       11/01/28        2,382        2,393,751  

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

      6.648%       03/15/19        9        8,712  

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

      6.703%       12/15/22        22        24,062  

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

      7.250%       05/10/21        472        522,601  

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

      4.750%       07/12/22        478        505,755  

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

      4.000%       04/29/26        333        350,939  

Delta Air Lines, Inc., Sr. Unsec’d. Notes

      2.875%       03/13/20        1,300        1,316,998  

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

      6.821%       02/10/24        251        288,488  

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

      4.950%       11/23/20        283        294,258  

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

      5.300%       10/15/20        550        577,749  
          

 

 

  
             6,283,313  
          

 

 

  

Auto Manufacturers — 0.4%

           

Ford Motor Co., Sr. Unsec’d. Notes

      4.750%       01/15/43        1,090        1,052,144  

Ford Motor Co., Sr. Unsec’d. Notes(a)

      5.291%       12/08/46        1,825        1,873,034  

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

      6.250%       10/02/43        1,065        1,182,948  

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

      6.600%       04/01/36        585        677,793  

General Motors Financial Co., Inc., Gtd. Notes

      3.950%       04/13/24        1,700        1,724,143  

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

      2.850%       01/15/21        2,300        2,326,984  
          

 

 

  
             8,837,046  
          

 

 

  

Auto Parts & Equipment — 0.1%

           

Magna International, Inc. (Canada), Sr. Unsec’d. Notes

      3.625%       06/15/24        1,690        1,735,246  
          

 

 

  

Banks — 3.0%

           

Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A

      2.625%       04/28/21        2,086        2,132,153  

Bank of America Corp., Jr. Sub. Notes

      6.300% (c)      12/31/49        275        308,344  

Bank of America Corp., Jr. Sub. Notes

      8.000% (c)      12/29/49        2,100        2,157,750  

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

      6.000%       09/01/17        1,330        1,339,149  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A14

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Banks (continued)

           

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

      3.300%       01/11/23        1,520      $ 1,549,941  

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

      3.500%       04/19/26        4,770        4,786,247  

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

      4.000%       04/01/24        745        780,662  

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

      4.443% (c)      01/20/48        270        285,574  

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

      5.650%       05/01/18        105        108,297  

Bank of America Corp., Sub. Notes, MTN

      4.000%       01/22/25        1,700        1,729,605  

Bank of America NA, Sub. Notes

      6.000%       10/15/36        805        1,016,195  

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

      3.684%       01/10/23        320        328,339  

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

      4.337%       01/10/28        450        462,606  

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

      4.375%       01/12/26        1,205        1,252,135  

Citigroup, Inc., Jr. Sub. Notes

      5.950% (c)      12/31/49        1,590        1,673,030  

Citigroup, Inc., Jr. Sub. Notes(a)

      6.125% (c)      12/31/49        945        1,015,875  

Citigroup, Inc., Jr. Sub. Notes

      6.250% (c)      12/31/49        640        710,000  

Citigroup, Inc., Sr. Unsec’d. Notes

      2.750%       04/25/22        1,120        1,118,227  

Citigroup, Inc., Sr. Unsec’d. Notes

      3.700%       01/12/26        1,610        1,628,336  

Citigroup, Inc., Sr. Unsec’d. Notes

      4.281% (c)      04/24/48        630        644,569  

Citigroup, Inc., Sr. Unsec’d. Notes

      8.125%       07/15/39        850        1,305,035  

Citigroup, Inc., Sub. Notes

      4.450%       09/29/27        1,485        1,544,427  

Citigroup, Inc., Sub. Notes

      4.750%       05/18/46        440        461,866  

Compass Bank, Sr. Unsec’d. Notes

      1.850%       09/29/17        1,050        1,050,254  

Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes, 144A

      4.282%       01/09/28        980        1,013,007  

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

      3.375%       05/12/21        1,240        1,255,903  

Dexia Credit Local SA (France), Gov’t. Liq. Gtd. Notes, 144A

      1.875%       09/15/21        1,000        975,832  

Discover Bank, Sr. Unsec’d. Notes

      4.250%       03/13/26        595        611,142  

Discover Bank, Sub. Notes

      7.000%       04/15/20        485        538,324  

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

      5.300% (c)      12/31/49        560        588,000  

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

      5.375% (c)      12/31/49        1,800        1,891,440  

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

      3.750%       02/25/26        1,165        1,186,264  

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

      3.850%       01/26/27        2,625        2,670,433  

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

      5.250%       07/27/21        2,305        2,526,395  

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

      5.750%       01/24/22        1,250        1,407,342  

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

      6.250%       02/01/41        220        287,384  

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

      6.750%       10/01/37        1,100        1,427,845  

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

      4.875%       01/14/22        1,230        1,339,573  

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

      5.100%       04/05/21        920        1,000,227  

JPMorgan Chase & Co., Jr. Sub. Notes

      6.100% (c)      12/31/49        1,175        1,274,875  

JPMorgan Chase & Co., Jr. Sub. Notes

      7.900% (c)      04/29/49        2,000        2,079,000  

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

      4.250%       10/15/20        1,660        1,762,726  

JPMorgan Chase & Co., Sub. Notes

      3.875%       09/10/24        3,525        3,636,894  

JPMorgan Chase & Co., Sub. Notes

      4.950%       06/01/45        195        217,535  

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

      5.800%       01/13/20        1,770        1,925,594  

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

      2.900%       02/06/25        2,385        2,363,430  

Morgan Stanley, Jr. Sub. Notes

      5.450% (c)      12/31/49        640        662,720  

Morgan Stanley, Sr. Unsec’d. Notes

      4.375%       01/22/47        1,800        1,877,767  

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

      3.750%       02/25/23        605        629,087  

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

      5.500%       07/28/21        840        931,438  

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

      6.625%       04/01/18        100        103,551  

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

      6.375%       07/24/42        640        850,753  

Morgan Stanley, Sub. Notes, GMTN

      4.350%       09/08/26        3,050        3,170,896  

National City Corp., Sub. Notes

      6.875%       05/15/19        2,687        2,923,733  

Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN
(original cost $1,585,580; purchased 09/09/15)(f)(g)

      1.875%       09/17/18        1,590        1,592,372  

PNC Bank NA, Sr. Unsec’d. Notes

      1.950%       03/04/19        455        455,826  

PNC Bank NA, Sub. Notes

      3.800%       07/25/23        480        504,188  

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

      2.450%       01/10/19        925        932,982  
          

 

 

  
             76,003,094  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A15

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Beverages — 0.1%

           

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

      4.700%       02/01/36        2,005      $ 2,206,789  
          

 

 

  

Biotechnology — 0.1%

           

Amgen, Inc., Sr. Unsec’d. Notes

      4.663%       06/15/51        1,527        1,617,326  

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

      4.150%       03/01/47        30        30,140  

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

      5.650%       12/01/41        110        133,341  
          

 

 

  
             1,780,807  
          

 

 

  

Building Materials — 0.0%

           

Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g)

      5.375%       11/15/24        1,135        1,196,006  
          

 

 

  

Chemicals — 0.2%

           

Celanese US Holdings LLC, Gtd. Notes

      5.875%       06/15/21        1,160        1,301,227  

CF Industries, Inc., Gtd. Notes

      5.375%       03/15/44        445        397,163  

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

      4.625%       10/01/44        5        5,322  

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

      9.400%       05/15/39        30        50,422  

LyondellBasell Industries NV, Sr. Unsec’d. Notes

      4.625%       02/26/55        955        935,477  

LyondellBasell Industries NV, Sr. Unsec’d. Notes

      5.000%       04/15/19        201        210,134  

Mosaic Co. (The), Sr. Unsec’d. Notes(a)

      5.450%       11/15/33        265        279,582  

Mosaic Co. (The), Sr. Unsec’d. Notes

      5.625%       11/15/43        295        301,181  

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

      7.500%       06/01/25        500        611,725  

Westlake Chemical Corp., Gtd. Notes

      4.625%       02/15/21        750        776,250  
          

 

 

  
             4,868,483  
          

 

 

  

Commercial Services — 0.1%

           

ERAC USA Finance LLC, Gtd. Notes, 144A

      4.200%       11/01/46        875        823,637  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      6.375%       10/15/17        1,198        1,213,497  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      7.000%       10/15/37        390        506,261  

United Rentals North America, Inc., Gtd. Notes

      5.875%       09/15/26        400        426,000  
          

 

 

  
             2,969,395  
          

 

 

  

Computers — 0.4%

           

Apple, Inc., Sr. Unsec’d. Notes

      2.850%       05/11/24        4,410        4,431,367  

Apple, Inc., Sr. Unsec’d. Notes

      3.200%       05/13/25        2,400        2,451,137  

Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A

      3.480%       06/01/19        825        844,285  

Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A

      4.420%       06/15/21        700        737,953  

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

      2.450% (c)      10/05/17        1,039        1,041,595  

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

      2.850% (c)      10/05/18        545        549,663  

Seagate HDD Cayman, Gtd. Notes

      3.750%       11/15/18        455        465,920  
          

 

 

  
             10,521,920  
          

 

 

  

Diversified Financial Services — 0.4%

           

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

      3.750%       05/15/19        600        616,279  

Bear Stearns Cos. LLC (The), Gtd. Notes

      6.400%       10/02/17        270        273,112  

Bear Stearns Cos. LLC (The), Gtd. Notes

      7.250%       02/01/18        1,135        1,170,600  

CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A

      3.150%       07/24/24        1,300        1,331,963  

Discover Financial Services, Sr. Unsec’d. Notes

      3.850%       11/21/22        900        921,703  

GE Capital International Funding Co. Unlimited Co., Gtd. Notes

      4.418%       11/15/35        922        1,003,494  

Jefferies Group LLC, Sr. Unsec’d. Notes

      6.500%       01/20/43        465        525,497  

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

      5.250%       02/06/12        1,850        115,625  

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

      6.875%       05/02/18        700        44,520  

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

      8.450%       06/15/18        295        310,635  

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

      1.875%       07/15/18        55        55,252  

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

      2.450%       07/15/24        285        285,992  

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

      3.250%       06/15/25        540        562,414  

Synchrony Financial, Sr. Unsec’d. Notes

      2.700%       02/03/20        2,175        2,186,029  
          

 

 

  
             9,403,115  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A16

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Electric — 0.8%

           

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

      6.350%       10/01/36        530      $ 692,472  

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

      6.125%       04/01/36        340        436,802  

Black Hills Corp., Sr. Unsec’d. Notes

      2.500%       01/11/19        950        955,080  

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

      6.950%       03/15/33        300        413,438  

Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A

      4.750%       02/23/27        355        365,206  

Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A

      4.875%       01/15/24        490        517,563  

Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes

      5.500%       12/01/39        145        177,891  

Dominion Energy, Inc., Jr. Sub. Notes

      4.104%       04/01/21        2,470        2,592,463  

Duke Energy Carolinas LLC, First Mortgage

      6.050%       04/15/38        530        694,197  

Dynegy, Inc., Gtd. Notes

      6.750%       11/01/19        345        355,781  

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

      6.000%       05/15/35        845        1,001,893  

Eversource Energy, Sr. Unsec’d. Notes

      4.500%       11/15/19        605        638,121  

Exelon Corp., Jr. Sub. Notes

      3.497% (c)      06/01/22        2,397        2,448,873  

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

      6.250%       10/01/39        1,375        1,500,330  

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

      5.450%       07/15/44        265        302,697  

Florida Power & Light Co., First Mortgage

      5.950%       10/01/33        380        481,918  

Iberdrola International BV (Spain), Gtd. Notes

      6.750%       09/15/33        140        169,550  

Monongahela Power Co., First Mortgage, 144A

      4.100%       04/15/24        1,560        1,657,333  

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

      4.881%       08/15/19        545        576,718  

NRG Energy, Inc., Gtd. Notes

      7.250%       05/15/26        685        708,975  

PSEG Power LLC, Gtd. Notes

      3.000%       06/15/21        1,260        1,279,362  

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

      7.950%       05/15/18        135        142,056  

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

      3.000%       05/15/27        675        676,364  

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

      5.800%       05/01/37        515        657,850  

Southern California Edison Co., First Mortgage

      3.600%       02/01/45        690        671,189  

State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A

      2.750%       05/07/19        500        504,601  

Xcel Energy, Inc., Sr. Unsec’d. Notes

      4.800%       09/15/41        480        512,551  
          

 

 

  
             21,131,274  
          

 

 

  

Entertainment — 0.0%

           

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

      4.875%       11/01/20        800        853,000  
          

 

 

  

Food — 0.1%

           

Kraft Heinz Foods Co., Gtd. Notes

      3.000%       06/01/26        1,510        1,445,147  

Kraft Heinz Foods Co., Gtd. Notes

      4.375%       06/01/46        360        352,560  

Kroger Co. (The), Sr. Unsec’d. Notes

      4.450%       02/01/47        240        231,338  
          

 

 

  
             2,029,045  
          

 

 

  

Forest Products & Paper — 0.1%

           

Georgia-Pacific LLC, Gtd. Notes, 144A(g)

      5.400%       11/01/20        275        300,842  

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

      6.000%       11/15/41        1,270        1,548,761  

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

      7.950%       06/15/18        304        321,416  
          

 

 

  
             2,171,019  
          

 

 

  

Gas — 0.1%

           

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

      4.800%       11/01/43        45        47,547  

NiSource Finance Corp., Gtd. Notes

      3.490%       05/15/27        2,355        2,371,205  
          

 

 

  
             2,418,752  
          

 

 

  

Healthcare-Products — 0.4%

           

Abbott Laboratories, Sr. Unsec’d. Notes

      2.000%       09/15/18        3,700        3,707,237  

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

      3.700%       06/06/27        3,370        3,380,653  

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

      3.734%       12/15/24        372        378,096  

Medtronic, Inc., Gtd. Notes

      3.500%       03/15/25        1,425        1,482,373  

Medtronic, Inc., Gtd. Notes

      4.375%       03/15/35        997        1,088,989  
          

 

 

  
             10,037,348  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A17

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Healthcare-Services — 0.3%

           

Aetna, Inc., Sr. Unsec’d. Notes

      6.625%       06/15/36        480      $ 647,601  

Aetna, Inc., Sr. Unsec’d. Notes

      6.750%       12/15/37        1,050        1,452,360  

Anthem, Inc., Sr. Unsec’d. Notes

      4.625%       05/15/42        330        356,262  

Anthem, Inc., Sr. Unsec’d. Notes

      4.650%       01/15/43        260        280,210  

Cigna Corp., Sr. Unsec’d. Notes

      5.875%       03/15/41        540        678,898  

Cigna Corp., Sr. Unsec’d. Notes

      6.150%       11/15/36        640        811,010  

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

      4.125%       10/15/20        435        451,313  

HCA, Inc., Sr. Sec’d. Notes

      5.250%       04/15/25        350        376,250  

HCA, Inc., Sr. Sec’d. Notes

      5.250%       06/15/26        700        754,950  

Kaiser Foundation Hospitals, Gtd. Notes

      4.150%       05/01/47        670        694,219  

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

      3.200%       02/01/22        160        163,290  

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

      4.024%       08/01/45        340        346,346  

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

      3.950%       10/15/42        440        445,944  

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

      6.625%       11/15/37        410        565,075  
          

 

 

  
             8,023,728  
          

 

 

  

Home Builders — 0.0%

           

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

      3.625%       02/15/18        375        377,330  
          

 

 

  

Housewares — 0.1%

           

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

      4.200%       04/01/26        2,010        2,134,192  
          

 

 

  

Insurance — 0.7%

           

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

      5.500%       11/15/20        480        520,037  

American International Group, Inc., Sr. Unsec’d. Notes

      4.500%       07/16/44        1,910        1,942,239  

AXIS Specialty Finance LLC, Gtd. Notes

      5.875%       06/01/20        990        1,080,601  

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

      3.125%       03/15/26        1,350        1,365,187  

Chubb Corp. (The), Gtd. Notes

      3.408% (c)      03/29/67        1,260        1,250,550  

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

      5.125%       04/15/22        635        704,886  

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

      6.500%       05/01/42        215        278,358  

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

      7.000%       03/15/34        910        1,161,532  

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

      6.300%       10/09/37        701        860,955  

Markel Corp., Sr. Unsec’d. Notes

      5.000%       03/30/43        165        177,185  

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

      6.750%       11/15/39        650        913,008  

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

      6.063%       03/30/40        350        455,280  

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

      6.375%       04/30/20        640        700,131  

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

      9.250%       06/15/39        695        1,132,869  

Principal Financial Group, Inc., Gtd. Notes

      4.625%       09/15/42        105        114,402  

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

      3.700%       01/26/45        570        554,454  

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

      4.270%       05/15/47        1,430        1,463,904  

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

      6.850%       12/16/39        122        167,055  

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

      4.000%       05/30/47        660        675,162  

Unum Group, Sr. Unsec’d. Notes

      5.625%       09/15/20        315        344,635  

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

      6.150%       08/15/19        575        620,551  
          

 

 

  
             16,482,981  
          

 

 

  

Lodging — 0.2%

           

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

      3.000%       03/01/19        490        497,492  

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

      3.250%       09/15/22        805        823,169  

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

      6.750%       05/15/18        2,700        2,813,808  

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

      2.500%       03/01/18        405        406,773  
          

 

 

  
             4,541,242  
          

 

 

  

Machinery-Diversified — 0.0%

           

Xylem, Inc., Sr. Unsec’d. Notes

      4.875%       10/01/21        1,060        1,146,674  
          

 

 

  

Media — 0.5%

           

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

      6.150%       03/01/37        250        312,338  

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

      6.900%       08/15/39        35        46,203  

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

      7.625%       11/30/28        1,265        1,656,101  

AMC Networks, Inc., Gtd. Notes

      5.000%       04/01/24        1,225        1,254,094  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A18

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Media (continued)

           

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

      8.625%       09/15/17        374      $ 378,675  

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

      5.375%       05/01/25        720        766,800  

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

      6.384%       10/23/35        630        746,772  

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

      6.484%       10/23/45        1,000        1,200,213  

Comcast Cable Holdings LLC, Gtd. Notes

      9.875%       06/15/22        1,440        1,819,620  

Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes

      5.000%       05/13/45        500        480,989  

Historic TW, Inc., Gtd. Notes

      9.150%       02/01/23        625        801,699  

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

      6.375%       07/28/17        750        750,372  

Time Warner Cable LLC, Sr. Sec’d. Notes

      5.500%       09/01/41        270        290,160  

Time Warner, Inc., Gtd. Notes

      3.800%       02/15/27        585        588,955  

Time Warner, Inc., Gtd. Notes

      6.200%       03/15/40        175        209,010  

Time Warner, Inc., Gtd. Notes

      6.250%       03/29/41        495        604,728  

Viacom, Inc., Sr. Unsec’d. Notes

      5.250%       04/01/44        340        340,483  

Videotron Ltd. (Canada), Gtd. Notes

      5.000%       07/15/22        850        898,875  
          

 

 

  
             13,146,087  
          

 

 

  

Mining — 0.1%

           

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

      5.000%       09/30/43        180        208,294  

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

      6.250% (c)      10/19/75        315        343,350  

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

      5.875%       04/23/45        400        427,636  

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

      6.750%       04/16/40        300        345,536  
          

 

 

  
             1,324,816  
          

 

 

  

Miscellaneous Manufacturing — 0.0%

           

Actuant Corp., Gtd. Notes

      5.625%       06/15/22        1,040        1,073,800  
          

 

 

  

Multi-National — 0.2%

           

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

      2.000%       05/10/19        1,065        1,067,980  

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

      2.125%       09/27/21        1,195        1,188,045  

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

      2.400%       10/26/22        855        836,341  

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

      4.375%       02/11/20        800        845,563  
          

 

 

  
             3,937,929  
          

 

 

  

Oil & Gas — 0.7%

           

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

      4.677% (s)      10/10/36        1,000        412,285  

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

      6.450%       09/15/36        1,040        1,224,176  

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

      6.600%       03/15/46        195        240,831  

ConocoPhillips Co., Gtd. Notes

      4.950%       03/15/26        1,280        1,425,560  

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

      5.000%       06/15/45        85        85,870  

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

      5.600%       07/15/41        225        233,680  

Devon Financing Co. LLC, Gtd. Notes

      7.875%       09/30/31        1,350        1,751,856  

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

      3.900%       04/01/35        830        804,946  

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

      4.950%       07/19/22        255        263,770  

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

      6.510%       03/07/22        440        485,387  

Helmerich & Payne International Drilling Co., Gtd. Notes

      4.650%       03/15/25        1,555        1,630,631  

KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A

      3.875%       04/19/22        400        395,840  

Nabors Industries, Inc., Gtd. Notes

      4.625%       09/15/21        890        845,322  

Noble Energy, Inc., Sr. Unsec’d. Notes

      5.050%       11/15/44        925        949,993  

Petroleos Mexicanos (Mexico), Gtd. Notes

      5.500%       01/21/21        795        833,955  

Petroleos Mexicanos (Mexico), Gtd. Notes

      6.500%       06/02/41        955        948,315  

Petroleos Mexicanos (Mexico), Gtd. Notes

      8.625% (c)      12/01/23        350        411,250  

Petroleos Mexicanos (Mexico), Gtd. Notes, 144A

      5.375%       03/13/22        330        347,407  

Petroleos Mexicanos (Mexico), Gtd. Notes, MTN

      6.875%       08/04/26        1,000        1,108,000  

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

      6.875%       05/01/18        1,450        1,508,078  

Raizen Fuels Finance SA (Brazil), Gtd. Notes, 144A

      5.300%       01/20/27        240        243,300  

Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A

      2.500%       04/28/20        1,000        1,004,709  
          

 

 

  
             17,155,161  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A19

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Oil & Gas Services — 0.1%

            

Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A

      4.000%        12/21/25        2,170      $ 2,274,796  
           

 

 

  

Packaging & Containers — 0.0%

            

Ball Corp., Gtd. Notes

      4.375%        12/15/20        465        488,250  

WestRock RKT Co., Gtd. Notes

      4.900%        03/01/22        675        735,631  
           

 

 

  
              1,223,881  
           

 

 

  

Pharmaceuticals — 0.3%

            

AbbVie, Inc., Sr. Unsec’d. Notes

      3.600%        05/14/25        950        969,061  

AbbVie, Inc., Sr. Unsec’d. Notes

      4.500%        05/14/35        1,595        1,682,143  

Actavis, Inc., Gtd. Notes

      6.125%        08/15/19        440        475,152  

Allergan Funding SCS, Gtd. Notes

      3.800%        03/15/25        380        393,053  

Allergan Funding SCS, Gtd. Notes

      4.550%        03/15/35        1,625        1,734,408  

Allergan Funding SCS, Gtd. Notes

      4.750%        03/15/45        144        155,443  

Eli Lilly & Co., Sr. Unsec’d. Notes

      3.100%        05/15/27        815        823,011  

Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes

      3.150%        10/01/26        460        436,852  

Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes

      4.100%        10/01/46        145        133,557  
           

 

 

  
              6,802,680  
           

 

 

  

Pipelines — 0.2%

            

DCP Midstream Operating LP, Gtd. Notes, 144A

      5.350%        03/15/20        473        491,920  

Energy Transfer LP, Sr. Unsec’d. Notes

      4.650%        06/01/21        610        643,474  

Energy Transfer Partners LP, Sr. Unsec’d. Notes

      4.900%        03/15/35        200        194,480  

Enterprise Products Operating LLC, Gtd. Notes

      3.700%        02/15/26        215        218,978  

Enterprise Products Operating LLC, Gtd. Notes

      3.750%        02/15/25        1,055        1,086,441  

Kinder Morgan Energy Partners LP, Gtd. Notes

      5.950%        02/15/18        530        543,094  

MPLX LP, Sr. Unsec’d. Notes

      4.000%        02/15/25        1,140        1,147,759  

MPLX LP, Sr. Unsec’d. Notes

      5.200%        03/01/47        25        25,747  

ONEOK Partners LP, Gtd. Notes

      6.650%        10/01/36        130        156,453  

Williams Partners LP, Sr. Unsec’d. Notes

      4.900%        01/15/45        1,100        1,101,444  
           

 

 

  
              5,609,790  
           

 

 

  

Real Estate — 0.0%

            

Prologis LP, Gtd. Notes

      6.875%        03/15/20        68        75,440  
           

 

 

  

Real Estate Investment Trusts (REITs) — 0.0%

            

Select Income REIT, Sr. Unsec’d. Notes

      2.850%        02/01/18        550        552,285  

Simon Property Group LP, Sr. Unsec’d. Notes

      3.375%        03/15/22        190        196,338  
           

 

 

  
              748,623  
           

 

 

  

Retail — 0.3%

            

CVS Health Corp., Sr. Unsec’d. Notes

      5.125%        07/20/45        590        676,373  

CVS Health Corp., Sr. Unsec’d. Notes

      5.300%        12/05/43        170        195,912  

Home Depot, Inc. (The), Sr. Unsec’d. Notes

      4.400%        03/15/45        565        618,799  

L Brands, Inc., Gtd. Notes

      5.625%        02/15/22        1,000        1,070,000  

Lowe’s Cos., Inc., Sr. Unsec’d. Notes

      6.500%        03/15/29        116        151,232  

Macy’s Retail Holdings, Inc., Gtd. Notes(a)

      3.875%        01/15/22        300        297,557  

McDonald’s Corp., Sr. Unsec’d. Notes, MTN

      3.700%        01/30/26        1,925        1,993,570  

Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)

      5.625%        12/01/25        1,020        1,044,225  

Target Corp., Sr. Unsec’d. Notes

      3.500%        07/01/24        265        274,480  
           

 

 

  
              6,322,148  
           

 

 

  

Savings & Loans — 0.0%

            

People’s United Financial, Inc., Sr. Unsec’d. Notes

      3.650%        12/06/22        1,195        1,220,128  
           

 

 

  

Semiconductors — 0.1%

            

Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A

      3.875%        01/15/27        1,555        1,596,830  

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

      5.750%        03/15/23        1,200        1,263,000  
           

 

 

  
              2,859,830  
           

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A20

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Software — 0.2%

           

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

      2.850%       10/15/18        1,225      $ 1,239,452  

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

      3.625%       10/15/20        1,640        1,717,971  

Microsoft Corp., Sr. Unsec’d. Notes

      4.000%       02/12/55        360        364,548  

Oracle Corp., Sr. Unsec’d. Notes

      4.300%       07/08/34        700        759,508  
          

 

 

  
             4,081,479  
          

 

 

  

Telecommunications — 0.4%

           

AT&T Corp., Gtd. Notes

      8.250% (c)      11/15/31        10        13,890  

AT&T, Inc., Sr. Unsec’d. Notes

      3.400%       05/15/25        3,130        3,077,072  

AT&T, Inc., Sr. Unsec’d. Notes

      4.500%       05/15/35        350        344,327  

AT&T, Inc., Sr. Unsec’d. Notes

      4.500%       03/09/48        12        11,228  

AT&T, Inc., Sr. Unsec’d. Notes

      4.550%       03/09/49        1,174        1,109,402  

AT&T, Inc., Sr. Unsec’d. Notes

      4.750%       05/15/46        560        549,138  

AT&T, Inc., Sr. Unsec’d. Notes

      4.800%       06/15/44        305        302,269  

AT&T, Inc., Sr. Unsec’d. Notes

      5.150%       03/15/42        520        531,020  

AT&T, Inc., Sr. Unsec’d. Notes

      5.350%       09/01/40        113        119,653  

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

      9.125% (c)      12/15/30        350        532,168  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A

      3.360% (c)      03/20/23        1,400        1,412,250  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.522%       09/15/48        947        895,949  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.672%       03/15/55        2,238        2,095,189  
          

 

 

  
             10,993,555  
          

 

 

  

Transportation — 0.1%

 

Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes

      3.450%       09/15/21        1,180        1,230,108  

Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes

      6.700%       08/01/28        735        961,804  

CSX Corp., Sr. Unsec’d. Notes

      6.150%       05/01/37        690        886,956  

Norfolk Southern Corp., Sr. Unsec’d. Notes

      5.590%       05/17/25        120        136,619  
          

 

 

  
             3,215,487  
          

 

 

  

TOTAL CORPORATE BONDS
(cost $272,742,110)

 

      283,685,279  
          

 

 

  
MUNICIPAL BONDS — 0.7%  

Alabama — 0.0%

 

Alabama Economic Settlement Authority, Revenue Bonds, BABs

      4.263%       09/15/32        180        189,265  
          

 

 

  

California — 0.2%

 

Bay Area Toll Authority, Revenue Bonds, BABs

      6.263%       04/01/49        1,305        1,865,654  

California Educational Facilities Authority, Revenue Bonds, BABs

      5.000%       06/01/46        550        734,575  

Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs

      5.000%       11/01/46        700        917,791  

State of California, GO, BABs

      7.300%       10/01/39        1,250        1,827,887  

State of California, GO, BABs

      7.500%       04/01/34        350        508,270  

State of California, GO, BABs

      7.550%       04/01/39        245        373,865  

State of California, GO, BABs

      7.625%       03/01/40        205        312,330  
          

 

 

  
             6,540,372  
          

 

 

  

Colorado — 0.0%

 

Regional Transportation District, Revenue Bonds, Series 2010-B, BABs

      5.844%       11/01/50        565        760,512  
          

 

 

  

Illinois — 0.1%

 

Chicago O’Hare International Airport, Revenue Bonds, BABs

      6.395%       01/01/40        970        1,310,518  
          

 

 

  

New Jersey — 0.1%

 

New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs

      7.414%       01/01/40        1,000        1,502,010  
          

 

 

  

New York — 0.1%

 

New York City Transitional Finance Authority, Revenue Bonds, BABs

      5.767%       08/01/36        1,100        1,359,853  
          

 

 

  

Ohio — 0.0%

 

Ohio State University (The), Revenue Bonds, BABs

      4.910%       06/01/40        415        499,340  

Ohio State Water Development Authority, Revenue Bonds, BABs

      4.879%       12/01/34        275        313,294  
          

 

 

  
             812,634  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A21

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Oregon — 0.0%

 

Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs

      5.834%     11/15/34      425      $ 547,362  
          

 

 

  

Pennsylvania — 0.0%

 

Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs

      5.511%     12/01/45      505        629,599  
          

 

 

  

Tennessee — 0.1%

           

Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs

      6.731%     07/01/43      945        1,265,289  
          

 

 

  

Texas — 0.1%

 

University of Texas System (The), Revenue Bonds, Ser. F, Rfdg.

      5.000%     08/15/47      1,100        1,443,068  
          

 

 

  

TOTAL MUNICIPAL BONDS
(cost $12,868,329)

 

      16,360,482  
          

 

 

  
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 2.3%  

Alternative Loan Trust, Series 2004-18CB, Class 3A1

      5.250%     09/25/19      133        133,344  

Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1

      6.000%     01/25/36      907        844,640  

Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A

      3.500% (c)    07/26/36      1,224        1,222,130  

Banc of America Mortgage Trust, Series 2005-A, Class 2A1

      3.475% (c)    02/25/35      199        198,581  

Banc of America Mortgage Trust, Series 2005-B, Class 2A1

      3.601% (c)    03/25/35      224        217,973  

Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A

      2.972% (c)    10/27/27      468        468,329  

Bayview Opportunity Master Fund IVb Trust, Series 2017-CRT1, Class M, 144A

      3.372% (c)    10/25/28      1,017        1,018,055  

Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5

      3.445% (c)    02/25/37      447        449,359  

CIM Trust, Series 2017-2, Class A1, 144A

      3.051% (c)    12/25/57      1,692        1,690,931  

CIM Trust, Series 2017-3, Class A3, 144A

      3.051% (c)    01/25/57      3,604        3,656,812  

Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1

      3.174% (c)    09/25/28      791        802,305  

Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1

      3.416% (c)    10/25/28      1,087        1,102,373  

Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1

      2.666% (c)    01/25/29      1,269        1,284,705  

Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2

      4.766% (c)    07/25/29      570        601,948  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2

      4.216% (c)    10/25/29      870        893,443  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1

      2.116% (c)    10/25/27      2,429        2,432,012  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1

      2.666% (c)    07/25/28      1,229        1,234,790  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2

      2.516% (c)    03/25/29      1,040        1,051,735  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2

      3.466% (c)    11/25/28      1,200        1,233,136  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1

      2.416% (c)    07/25/29      2,247        2,276,616  

JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1

      3.454% (c)    07/25/35      222        222,414  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A

      3.051% (c)    09/01/21      1,281        1,281,195  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-1, Class A, 144A^

      2.995% (c)    01/01/22      2,220        2,214,782  

LSTAR Securities Investment Ltd., Series 2017-3, Class A1, 144A

      2.995% (c)    04/01/22      2,288        2,311,479  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A

      3.017% (c)    05/01/22      10,542        10,440,636  

LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A

      3.017% (c)    05/01/22      7,457        7,379,590  

MASTR Alternative Loan Trust, Series 2004-4, Class 4A1

      5.000%     04/25/19      21        21,219  

Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^

      2.317% (c)    05/10/19      7,380        7,380,000  

Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A

      2.287% (c)    06/10/19      1,300        1,297,826  

Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A

      1.967% (c)    07/10/19      1,950        1,950,819  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A22

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

      3.396% (c)    02/25/34      290      $ 291,604  

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A

      5.000%     03/25/20      74        74,420  
          

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $57,473,011)

 

      57,679,201  
          

 

 

  
SOVEREIGN BONDS — 1.1%  

Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, EMTN

      1.125%     08/03/19      1,200        1,186,944  

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

      4.000%     02/26/24      220        228,360  

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

      4.375%     07/12/21      400        425,600  

Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes

      5.125%     06/29/20      265        285,218  

Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN

      2.375%     06/04/25      400        388,728  

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

      4.000%     03/25/19      392        404,690  

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

      6.375%     03/29/21      1,760        1,979,120  

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

      7.625%     03/29/41      688        1,025,120  

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN

      5.875%     01/15/24      750        854,874  

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN

      5.875%     01/15/24      750        805,506  

Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes

      1.500%     07/21/21      600        580,177  

Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes

      2.125%     06/01/20      1,000        999,886  

Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes

      2.250%     02/24/20      600        602,594  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.125%     04/13/21      600        591,137  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.125%     10/25/23      1,000        967,920  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.625%     04/20/22      1,400        1,401,889  

Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A

      1.125%     05/23/18      2,634        2,626,111  

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes

      4.000%     10/02/23      438        458,104  

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN

      4.750%     03/08/44      766        766,766  

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

      3.750%     03/16/25      490        504,700  

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

      4.000%     09/22/24      395        414,750  

Province of Ontario (Canada), Sr. Unsec’d. Notes

      2.250%     05/18/22      575        574,677  

Province of Ontario (Canada), Sr. Unsec’d. Notes

      2.400%     02/08/22      285        287,199  

Province of Ontario (Canada), Sr. Unsec’d. Notes

      4.400%     04/14/20      280        298,621  

Province of Quebec (Canada), Sr. Unsec’d. Notes

      2.750%     04/12/27      2,110        2,100,706  

Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN

      2.375%     10/26/21      980        964,320  

Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN

      1.750%     03/10/21      2,385        2,370,933  

Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A

      2.500%     06/08/22      1,200        1,202,363  

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

      7.000%     06/05/20      1,260        1,377,722  

Uruguay Government International Bond (Uruguay), Sr. Unsec’d. Notes

      5.100%     06/18/50      490        498,820  
          

 

 

  

TOTAL SOVEREIGN BONDS
(cost $26,972,103)

 

      27,173,555  
          

 

 

  
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.0%  

Federal Home Loan Banks(k)

      5.500%     07/15/36      850        1,150,474  

Federal Home Loan Mortgage Corp.

      1.500%     01/17/20      1,260        1,258,942  

Federal Home Loan Mortgage Corp.

      2.500%     03/01/30      744        749,469  

Federal Home Loan Mortgage Corp.

      3.000%     TBA      1,500        1,496,719  

Federal Home Loan Mortgage Corp.

      3.000%     10/01/28      646        665,219  

Federal Home Loan Mortgage Corp.

      3.000%     06/01/29      1,190        1,224,190  

Federal Home Loan Mortgage Corp.

      3.000%     06/01/42      492        493,517  

Federal Home Loan Mortgage Corp.

      3.000%     10/01/42      1,142        1,146,183  

Federal Home Loan Mortgage Corp.

      3.000%     01/01/43      1,033        1,036,635  

Federal Home Loan Mortgage Corp.

      3.000%     07/01/43      2,710        2,715,991  

Federal Home Loan Mortgage Corp.

      3.000%     12/01/44      1,216        1,219,060  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A23

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal Home Loan Mortgage Corp.

      3.000%      03/01/45      944      $ 947,403  

Federal Home Loan Mortgage Corp.

      3.000%      03/01/45      1,141        1,142,993  

Federal Home Loan Mortgage Corp.

      3.000%      04/01/45      928        932,011  

Federal Home Loan Mortgage Corp.

      3.500%      TBA      9,500        9,759,511  

Federal Home Loan Mortgage Corp.

      3.500%      08/01/26      849        888,806  

Federal Home Loan Mortgage Corp.

      3.500%      06/01/42      497        513,264  

Federal Home Loan Mortgage Corp.

      4.000%      TBA      8,000        8,413,530  

Federal Home Loan Mortgage Corp.

      4.000%      06/01/26      819        860,463  

Federal Home Loan Mortgage Corp.

      4.000%      09/01/26      298        313,041  

Federal Home Loan Mortgage Corp.

      4.000%      10/01/39      828        873,811  

Federal Home Loan Mortgage Corp.

      4.000%      12/01/40      572        604,256  

Federal Home Loan Mortgage Corp.

      4.000%      10/01/41      697        739,249  

Federal Home Loan Mortgage Corp.

      4.000%      01/01/42      214        226,056  

Federal Home Loan Mortgage Corp.

      4.500%      02/01/19      15        15,430  

Federal Home Loan Mortgage Corp.

      4.500%      07/01/19      119        121,386  

Federal Home Loan Mortgage Corp.

      4.500%      07/01/20      75        76,942  

Federal Home Loan Mortgage Corp.

      4.500%      02/01/39      134        144,348  

Federal Home Loan Mortgage Corp.

      4.500%      09/01/39      220        236,572  

Federal Home Loan Mortgage Corp.

      4.500%      10/01/39      1,997        2,147,666  

Federal Home Loan Mortgage Corp.

      4.500%      12/01/39      194        208,331  

Federal Home Loan Mortgage Corp.

      4.500%      07/01/41      319        343,336  

Federal Home Loan Mortgage Corp.

      4.500%      07/01/41      2,416        2,598,083  

Federal Home Loan Mortgage Corp.

      4.500%      08/01/41      793        852,894  

Federal Home Loan Mortgage Corp.

      4.500%      08/01/41      241        258,118  

Federal Home Loan Mortgage Corp.

      4.500%      08/01/41      172        184,399  

Federal Home Loan Mortgage Corp.

      4.500%      10/01/41      303        324,797  

Federal Home Loan Mortgage Corp.

      5.000%      07/01/18      55        56,548  

Federal Home Loan Mortgage Corp.

      5.000%      12/01/18      32        33,057  

Federal Home Loan Mortgage Corp.

      5.000%      07/01/19      82        84,558  

Federal Home Loan Mortgage Corp.

      5.000%      07/01/19      88        90,504  

Federal Home Loan Mortgage Corp.

      5.000%      12/01/19      17        17,664  

Federal Home Loan Mortgage Corp.

      5.000%      05/01/34      24        25,682  

Federal Home Loan Mortgage Corp.

      5.000%      05/01/34      446        487,251  

Federal Home Loan Mortgage Corp.

      5.000%      10/01/35      10        11,473  

Federal Home Loan Mortgage Corp.

      5.000%      07/01/37      726        794,510  

Federal Home Loan Mortgage Corp.

      5.000%      05/01/39      99        109,024  

Federal Home Loan Mortgage Corp.

      5.500%      12/01/33      56        62,080  

Federal Home Loan Mortgage Corp.

      5.500%      01/01/34      58        64,617  

Federal Home Loan Mortgage Corp.

      5.500%      06/01/34      104        115,965  

Federal Home Loan Mortgage Corp.

      5.500%      07/01/34      282        313,389  

Federal Home Loan Mortgage Corp.

      5.500%      05/01/37      84        94,238  

Federal Home Loan Mortgage Corp.

      5.500%      02/01/38      649        719,733  

Federal Home Loan Mortgage Corp.

      5.500%      05/01/38      71        79,017  

Federal Home Loan Mortgage Corp.

      5.500%      07/01/38      171        190,388  

Federal Home Loan Mortgage Corp.

      6.000%      03/01/32      326        373,107  

Federal Home Loan Mortgage Corp.

      6.000%      12/01/33      108        120,941  

Federal Home Loan Mortgage Corp.

      6.000%      11/01/36      83        93,164  

Federal Home Loan Mortgage Corp.

      6.000%      01/01/37      70        79,316  

Federal Home Loan Mortgage Corp.

      6.000%      05/01/37      40        45,281  

Federal Home Loan Mortgage Corp.

      6.000%      02/01/38      7        7,674  

Federal Home Loan Mortgage Corp.

      6.000%      08/01/39      85        95,120  

Federal Home Loan Mortgage Corp.(hh)

      6.750%      03/15/31      550        795,745  

Federal Home Loan Mortgage Corp.

      7.000%      05/01/31      17        17,989  

Federal Home Loan Mortgage Corp.

      7.000%      06/01/31      15        15,818  

Federal Home Loan Mortgage Corp.

      7.000%      06/01/31      11        11,803  

Federal Home Loan Mortgage Corp.

      7.000%      08/01/31      159        177,570  

Federal Home Loan Mortgage Corp.

      7.000%      10/01/31      7        7,662  

Federal National Mortgage Assoc.

      1.875%      09/24/26      150        142,222  

Federal National Mortgage Assoc.

      2.000%      08/01/31      1,126        1,102,150  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A24

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal National Mortgage Assoc.

      2.500%      TBA      2,000      $ 2,007,700  

Federal National Mortgage Assoc.

      2.500%      01/01/28      1,141        1,154,605  

Federal National Mortgage Assoc.

      2.500%      10/01/43      836        809,961  

Federal National Mortgage Assoc.

      3.000%      TBA      500        512,617  

Federal National Mortgage Assoc.

      3.000%      02/01/27      2,543        2,617,361  

Federal National Mortgage Assoc.

      3.000%      08/01/30      1,618        1,661,286  

Federal National Mortgage Assoc.

      3.000%      02/01/31      3,424        3,517,075  

Federal National Mortgage Assoc.

      3.000%      05/01/31      2,119        2,176,757  

Federal National Mortgage Assoc.

      3.000%      11/01/36      2,855        2,899,273  

Federal National Mortgage Assoc.

      3.000%      12/01/42      2,266        2,275,145  

Federal National Mortgage Assoc.

      3.000%      04/01/43      7,008        7,037,217  

Federal National Mortgage Assoc.

      3.000%      07/01/43      1,679        1,685,462  

Federal National Mortgage Assoc.

      3.000%      08/01/43      4,548        4,566,446  

Federal National Mortgage Assoc.

      3.500%      TBA      8,500        8,730,098  

Federal National Mortgage Assoc.

      3.500%      TBA      4,000        4,101,371  

Federal National Mortgage Assoc.

      3.500%      07/01/27      1,869        1,948,451  

Federal National Mortgage Assoc.

      3.500%      06/01/39      731        755,296  

Federal National Mortgage Assoc.

      3.500%      01/01/42      5,839        6,024,508  

Federal National Mortgage Assoc.

      3.500%      05/01/42      3,164        3,264,627  

Federal National Mortgage Assoc.

      3.500%      07/01/42      1,161        1,198,401  

Federal National Mortgage Assoc.

      3.500%      08/01/42      473        487,356  

Federal National Mortgage Assoc.

      3.500%      08/01/42      1,433        1,477,908  

Federal National Mortgage Assoc.

      3.500%      09/01/42      2,249        2,319,579  

Federal National Mortgage Assoc.

      3.500%      09/01/42      583        601,367  

Federal National Mortgage Assoc.

      3.500%      11/01/42      426        439,495  

Federal National Mortgage Assoc.

      3.500%      03/01/43      3,501        3,615,866  

Federal National Mortgage Assoc.

      3.500%      04/01/43      813        838,685  

Federal National Mortgage Assoc.

      3.500%      04/01/43      1,244        1,282,122  

Federal National Mortgage Assoc.

      3.500%      01/01/46      2,500        2,569,363  

Federal National Mortgage Assoc.

      4.000%      TBA      9,750        10,249,306  

Federal National Mortgage Assoc.

      4.000%      TBA      14,500        15,217,353  

Federal National Mortgage Assoc.

      4.000%      10/01/41      3,342        3,526,108  

Federal National Mortgage Assoc.

      4.000%      09/01/44      3,785        3,981,152  

Federal National Mortgage Assoc.

      4.500%      TBA      2,500        2,681,738  

Federal National Mortgage Assoc.

      4.500%      11/01/18      74        75,449  

Federal National Mortgage Assoc.

      4.500%      01/01/19      45        46,385  

Federal National Mortgage Assoc.

      4.500%      01/01/19      56        57,653  

Federal National Mortgage Assoc.

      4.500%      06/01/19      15        15,743  

Federal National Mortgage Assoc.

      4.500%      07/01/33      78        84,276  

Federal National Mortgage Assoc.

      4.500%      08/01/33      70        75,348  

Federal National Mortgage Assoc.

      4.500%      09/01/33      162        174,319  

Federal National Mortgage Assoc.

      4.500%      10/01/33      185        198,788  

Federal National Mortgage Assoc.

      4.500%      10/01/33      15        15,820  

Federal National Mortgage Assoc.

      4.500%      10/01/33      43        47,243  

Federal National Mortgage Assoc.

      4.500%      01/01/35      2        2,158  

Federal National Mortgage Assoc.

      4.500%      07/01/39      1,262        1,369,635  

Federal National Mortgage Assoc.

      4.500%      08/01/39      1,980        2,148,668  

Federal National Mortgage Assoc.

      4.500%      03/01/41      696        755,186  

Federal National Mortgage Assoc.

      5.000%      TBA      6,500        7,100,235  

Federal National Mortgage Assoc.

      5.000%      10/01/18      19        19,837  

Federal National Mortgage Assoc.

      5.000%      01/01/19      68        69,818  

Federal National Mortgage Assoc.

      5.000%      03/01/34      365        399,213  

Federal National Mortgage Assoc.

      5.000%      06/01/35      136        149,199  

Federal National Mortgage Assoc.

      5.000%      07/01/35      183        200,051  

Federal National Mortgage Assoc.

      5.000%      09/01/35      123        136,143  

Federal National Mortgage Assoc.

      5.000%      11/01/35      120        132,218  

Federal National Mortgage Assoc.

      5.000%      02/01/36      173        189,700  

Federal National Mortgage Assoc.

      5.000%      05/01/36      88        96,188  

Federal National Mortgage Assoc.

      5.500%      12/01/17      6        5,891  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A25

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal National Mortgage Assoc.

      5.500%      02/01/18      4     $ 3,932  

Federal National Mortgage Assoc.

      5.500%      05/01/20      36       37,485  

Federal National Mortgage Assoc.

      5.500%      05/01/21      92       96,505  

Federal National Mortgage Assoc.

      5.500%      09/01/33      415       464,992  

Federal National Mortgage Assoc.

      5.500%      10/01/33      117       131,754  

Federal National Mortgage Assoc.

      5.500%      12/01/33      71       79,984  

Federal National Mortgage Assoc.

      5.500%      01/01/34      2       2,123  

Federal National Mortgage Assoc.

      5.500%      12/01/34      275       306,663  

Federal National Mortgage Assoc.

      5.500%      10/01/35      1,031       1,147,442  

Federal National Mortgage Assoc.

      5.500%      03/01/36      175       194,309  

Federal National Mortgage Assoc.

      5.500%      05/01/36      171       191,469  

Federal National Mortgage Assoc.

      5.500%      04/01/37      158       175,924  

Federal National Mortgage Assoc.

      6.000%      09/01/17      — (r)      302  

Federal National Mortgage Assoc.

      6.000%      05/01/21      71       74,504  

Federal National Mortgage Assoc.

      6.000%      08/01/22      64       67,686  

Federal National Mortgage Assoc.

      6.000%      04/01/33      27       30,433  

Federal National Mortgage Assoc.

      6.000%      06/01/33      7       7,798  

Federal National Mortgage Assoc.

      6.000%      10/01/33      507       585,530  

Federal National Mortgage Assoc.

      6.000%      11/01/33      8       9,461  

Federal National Mortgage Assoc.

      6.000%      11/01/33      75       84,351  

Federal National Mortgage Assoc.

      6.000%      11/01/33      28       31,982  

Federal National Mortgage Assoc.

      6.000%      01/01/34      481       548,850  

Federal National Mortgage Assoc.

      6.000%      02/01/34      101       115,704  

Federal National Mortgage Assoc.

      6.000%      03/01/34      96       107,920  

Federal National Mortgage Assoc.

      6.000%      03/01/34      43       47,916  

Federal National Mortgage Assoc.

      6.000%      07/01/34      247       281,284  

Federal National Mortgage Assoc.

      6.000%      08/01/34      1       880  

Federal National Mortgage Assoc.

      6.000%      10/01/34      5       5,563  

Federal National Mortgage Assoc.

      6.000%      11/01/34      6       7,177  

Federal National Mortgage Assoc.

      6.000%      11/01/34      57       64,532  

Federal National Mortgage Assoc.

      6.000%      12/01/34      25       27,957  

Federal National Mortgage Assoc.

      6.000%      01/01/35      95       108,580  

Federal National Mortgage Assoc.

      6.000%      01/01/35      320       366,060  

Federal National Mortgage Assoc.

      6.000%      02/01/35      6       6,620  

Federal National Mortgage Assoc.

      6.000%      02/01/35      83       93,290  

Federal National Mortgage Assoc.

      6.000%      02/01/35      347       400,685  

Federal National Mortgage Assoc.

      6.000%      03/01/35      4       4,366  

Federal National Mortgage Assoc.

      6.000%      04/01/35      1       1,522  

Federal National Mortgage Assoc.

      6.000%      07/01/36      65       74,223  

Federal National Mortgage Assoc.

      6.000%      02/01/37      117       133,641  

Federal National Mortgage Assoc.

      6.000%      05/01/37      44       49,945  

Federal National Mortgage Assoc.

      6.000%      06/01/37      1       1,356  

Federal National Mortgage Assoc.

      6.000%      08/01/37      28       31,314  

Federal National Mortgage Assoc.

      6.000%      08/01/37      — (r)      342  

Federal National Mortgage Assoc.

      6.000%      09/01/37      1       942  

Federal National Mortgage Assoc.

      6.000%      10/01/37      48       54,079  

Federal National Mortgage Assoc.

      6.000%      05/01/38      109       123,697  

Federal National Mortgage Assoc.

      6.000%      06/01/38      3       3,474  

Federal National Mortgage Assoc.(k)

      6.250%      05/15/29      1,245       1,689,416  

Federal National Mortgage Assoc.

      6.500%      07/01/17      — (r)      82  

Federal National Mortgage Assoc.

      6.500%      09/01/17      1       1,016  

Federal National Mortgage Assoc.

      6.500%      07/01/32      61       67,673  

Federal National Mortgage Assoc.

      6.500%      07/01/32      2       2,674  

Federal National Mortgage Assoc.

      6.500%      09/01/32      11       12,356  

Federal National Mortgage Assoc.

      6.500%      09/01/32      77       84,751  

Federal National Mortgage Assoc.

      6.500%      09/01/32      15       16,634  

Federal National Mortgage Assoc.

      6.500%      09/01/32      101       112,865  

Federal National Mortgage Assoc.

      6.500%      09/01/32      72       80,290  

Federal National Mortgage Assoc.

      6.500%      04/01/33      137       153,935  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A26

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal National Mortgage Assoc.

      6.500%      11/01/33      74      $ 81,895  

Federal National Mortgage Assoc.

      6.500%      01/01/34      61        68,491  

Federal National Mortgage Assoc.

      6.500%      09/01/34      95        105,469  

Federal National Mortgage Assoc.

      6.500%      10/01/34      214        239,701  

Federal National Mortgage Assoc.

      6.500%      09/01/36      102        117,397  

Federal National Mortgage Assoc.

      6.500%      10/01/36      35        39,641  

Federal National Mortgage Assoc.

      6.500%      11/01/36      45        49,453  

Federal National Mortgage Assoc.

      6.500%      01/01/37      119        132,794  

Federal National Mortgage Assoc.

      6.500%      01/01/37      42        46,693  

Federal National Mortgage Assoc.(hh)

      6.625%      11/15/30      480        686,238  

Federal National Mortgage Assoc.

      7.000%      02/01/32      40        45,307  

Federal National Mortgage Assoc.

      7.000%      03/01/32      3        2,838  

Federal National Mortgage Assoc.

      7.000%      05/01/32      21        24,760  

Federal National Mortgage Assoc.

      7.000%      06/01/32      23        25,763  

Federal National Mortgage Assoc.

      7.000%      07/01/32      64        71,720  

Federal National Mortgage Assoc.(hh)(k)

      7.125%      01/15/30      3,195        4,663,780  

Federal National Mortgage Assoc.

      7.500%      05/01/32      18        17,787  

Government National Mortgage Assoc.

      3.000%      12/20/44      472        477,739  

Government National Mortgage Assoc.

      3.000%      03/15/45      1,477        1,494,278  

Government National Mortgage Assoc.

      3.000%      03/20/46      2,966        2,999,387  

Government National Mortgage Assoc.

      3.000%      07/20/46      992        1,002,867  

Government National Mortgage Assoc.

      3.000%      08/20/46      1,983        2,005,202  

Government National Mortgage Assoc.

      3.000%      11/20/46      992        1,003,321  

Government National Mortgage Assoc.

      3.000%      01/20/47      498        503,092  

Government National Mortgage Assoc.

      3.000%      04/20/47      4,984        5,039,269  

Government National Mortgage Assoc.

      3.500%      TBA      11,500        11,911,484  

Government National Mortgage Assoc.

      3.500%      12/20/42      1,911        1,987,743  

Government National Mortgage Assoc.

      3.500%      05/20/43      591        615,237  

Government National Mortgage Assoc.

      3.500%      04/20/45      2,829        2,933,152  

Government National Mortgage Assoc.

      4.000%      TBA      6,000        6,313,594  

Government National Mortgage Assoc.

      4.000%      06/15/40      133        140,100  

Government National Mortgage Assoc.

      4.000%      05/20/41      107        113,920  

Government National Mortgage Assoc.

      4.000%      12/20/42      951        1,005,725  

Government National Mortgage Assoc.

      4.000%      12/20/45      3,025        3,185,618  

Government National Mortgage Assoc.

      4.500%      TBA      1,000        1,071,445  

Government National Mortgage Assoc.

      4.500%      04/15/40      1,015        1,091,712  

Government National Mortgage Assoc.

      4.500%      01/20/41      766        822,969  

Government National Mortgage Assoc.

      4.500%      02/20/41      1,293        1,389,469  

Government National Mortgage Assoc.

      4.500%      03/20/41      652        701,047  

Government National Mortgage Assoc.

      4.500%      06/20/44      999        1,062,250  

Government National Mortgage Assoc.

      5.000%      10/20/37      182        200,420  

Government National Mortgage Assoc.

      5.000%      04/20/45      1,058        1,137,230  

Government National Mortgage Assoc.

      5.500%      08/15/33      269        299,305  

Government National Mortgage Assoc.

      5.500%      08/15/33      302        337,092  

Government National Mortgage Assoc.

      5.500%      09/15/33      87        96,474  

Government National Mortgage Assoc.

      5.500%      12/15/33      47        52,641  

Government National Mortgage Assoc.

      5.500%      03/15/34      202        226,247  

Government National Mortgage Assoc.

      5.500%      12/15/34      443        504,554  

Government National Mortgage Assoc.

      5.500%      07/15/35      102        115,365  

Government National Mortgage Assoc.

      5.500%      04/15/36      170        191,721  

Government National Mortgage Assoc.

      6.000%      11/15/23      1        649  

Government National Mortgage Assoc.

      6.000%      05/15/32      1        626  

Government National Mortgage Assoc.

      6.000%      04/15/33      13        15,314  

Government National Mortgage Assoc.

      6.000%      12/15/33      156        177,244  

Government National Mortgage Assoc.

      6.000%      01/15/34      64        71,727  

Government National Mortgage Assoc.

      6.000%      01/15/34      86        98,163  

Government National Mortgage Assoc.

      6.000%      01/15/34      42        47,042  

Government National Mortgage Assoc.

      6.000%      06/20/34      161        182,555  

Government National Mortgage Assoc.

      6.000%      07/15/34      116        132,319  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A27

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Government National Mortgage Assoc.

      6.500%     10/15/23      1     $ 1,466  

Government National Mortgage Assoc.

      6.500%     12/15/23      7       7,245  

Government National Mortgage Assoc.

      6.500%     01/15/24      24       25,786  

Government National Mortgage Assoc.

      6.500%     01/15/24      78       85,449  

Government National Mortgage Assoc.

      6.500%     01/15/24      22       23,541  

Government National Mortgage Assoc.

      6.500%     01/15/24      50       54,210  

Government National Mortgage Assoc.

      6.500%     01/15/24      — (r)      188  

Government National Mortgage Assoc.

      6.500%     01/15/24      2       2,196  

Government National Mortgage Assoc.

      6.500%     01/15/24      1       1,143  

Government National Mortgage Assoc.

      6.500%     01/15/24      4       4,764  

Government National Mortgage Assoc.

      6.500%     01/15/24      15       15,874  

Government National Mortgage Assoc.

      6.500%     01/15/24      2       2,229  

Government National Mortgage Assoc.

      6.500%     02/15/24      10       10,700  

Government National Mortgage Assoc.

      6.500%     02/15/24      23       25,654  

Government National Mortgage Assoc.

      6.500%     02/15/24      28       31,026  

Government National Mortgage Assoc.

      6.500%     02/15/24      7       8,154  

Government National Mortgage Assoc.

      6.500%     02/15/24      7       7,434  

Government National Mortgage Assoc.

      6.500%     02/15/24      4       4,222  

Government National Mortgage Assoc.

      6.500%     03/15/24      3       2,852  

Government National Mortgage Assoc.

      6.500%     03/15/24      5       5,334  

Government National Mortgage Assoc.

      6.500%     03/15/24      5       5,116  

Government National Mortgage Assoc.

      6.500%     04/15/24      2       1,979  

Government National Mortgage Assoc.

      6.500%     04/15/24      1       1,062  

Government National Mortgage Assoc.

      6.500%     04/15/24      6       6,492  

Government National Mortgage Assoc.

      6.500%     04/15/24      4       3,890  

Government National Mortgage Assoc.

      6.500%     04/15/24      9       9,651  

Government National Mortgage Assoc.

      6.500%     04/15/24      20       21,655  

Government National Mortgage Assoc.

      6.500%     04/15/24      5       4,989  

Government National Mortgage Assoc.

      6.500%     04/15/24      3       3,488  

Government National Mortgage Assoc.

      6.500%     05/15/24      5       5,573  

Government National Mortgage Assoc.

      6.500%     05/15/24      8       8,682  

Government National Mortgage Assoc.

      6.500%     05/15/24      35       38,167  

Government National Mortgage Assoc.

      6.500%     10/15/24      31       34,914  

Government National Mortgage Assoc.

      6.500%     11/15/28      7       8,388  

Government National Mortgage Assoc.

      6.500%     08/15/31      8       8,833  

Government National Mortgage Assoc.

      6.500%     12/15/31      14       15,919  

Government National Mortgage Assoc.

      6.500%     01/15/32      29       31,275  

Government National Mortgage Assoc.

      6.500%     02/15/32      55       62,291  

Government National Mortgage Assoc.

      6.500%     06/15/32      26       28,060  

Government National Mortgage Assoc.

      6.500%     07/15/32      51       56,300  

Government National Mortgage Assoc.

      6.500%     08/15/32      8       9,124  

Government National Mortgage Assoc.

      6.500%     08/15/32      10       10,758  

Government National Mortgage Assoc.

      6.500%     08/15/32      8       9,590  

Government National Mortgage Assoc.

      6.500%     08/15/32      36       39,268  

Government National Mortgage Assoc.

      6.500%     08/15/32      253       297,571  

Government National Mortgage Assoc.

      6.500%     08/15/34      28       31,705  

Government National Mortgage Assoc.

      6.500%     06/15/35      53       61,675  

Government National Mortgage Assoc.

      6.500%     09/15/36      63       73,926  

Government National Mortgage Assoc.

      8.000%     01/15/24      11       11,568  

Government National Mortgage Assoc.

      8.000%     07/15/24      1       840  

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

      2.578%     06/30/22      2,835       2,903,545  

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

      3.000%     06/30/25      915       956,916  

Iraq Government, USAID Bond, U.S. Gov’t. Gtd. Notes

      2.149%     01/18/22      1,000       999,148  

Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes

      5.500%     04/26/24      500       596,893  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

      2.804% (s)    01/15/30      870       598,732  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

      2.962% (s)    04/15/30      1,705       1,163,468  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      2.875%     02/01/27      300       307,033  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      7.125%     05/01/30      510       738,835  

Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes

      1.471%     09/29/21      600       586,646  
         

 

 

  

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $251,854,351)

 

     252,973,281  
         

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A28

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

U.S. TREASURY OBLIGATIONS — 4.2%

    Interest
Rate		     Maturity
Date		      Principal
Amount
(000)#		      Value  

U.S. Treasury Bonds

      3.000%       11/15/44        190      $ 196,056  

U.S. Treasury Bonds

      3.000%       02/15/47        4,295        4,430,559  

U.S. Treasury Bonds

      4.250%       11/15/40        9,110        11,448,000  

U.S. Treasury Inflation Indexed Bonds, TIPS

      0.125%       04/15/22        2,679        2,666,499  

U.S. Treasury Inflation Indexed Bonds, TIPS

      0.250%       01/15/25        35,500        34,869,627  

U.S. Treasury Notes

      2.125%       06/30/21        10,510        10,661,081  

U.S. Treasury Notes

      2.125%       09/30/21        24,530        24,864,418  

U.S. Treasury Notes

      2.125%       05/15/25        7,665        7,616,795  

U.S. Treasury Strips Coupon

      2.184% (s)      02/15/28        2,115        1,625,843  

U.S. Treasury Strips Coupon

      2.241% (s)      05/15/28        1,055        804,894  

U.S. Treasury Strips Coupon

      2.280% (s)      02/15/29        1,055        787,007  

U.S. Treasury Strips Coupon

      2.384% (s)      05/15/29        2,175        1,610,013  

U.S. Treasury Strips Coupon

      2.519% (s)      08/15/25        1,930        1,602,824  

U.S. Treasury Strips Coupon

      2.783% (s)      08/15/29        1,000        734,692  

U.S. Treasury Strips Coupon

      2.878% (s)      05/15/31        1,000        694,299  

U.S. Treasury Strips Coupon

      3.042% (s)      11/15/35        2,000        1,207,112  

U.S. Treasury Strips Coupon

      3.202% (s)      08/15/40        2,000        1,023,614  
          

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(cost $107,129,582)

 

      106,843,333  
          

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $1,450,474,336)

 

      2,251,482,594  
          

 

 

  
                  Shares         
SHORT-TERM INVESTMENTS — 16.5%  

AFFILIATED MUTUAL FUNDS — 16.4%

 

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)

 

      10,890,115        101,169,171  

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

 

      261,257,676        261,257,676  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund
(cost $51,946,540; includes $51,896,201 of cash collateral for securities on loan)(b)(w)

 

      51,946,289        51,951,483  
          

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $417,387,443)

 

      414,378,330  
          

 

 

  
                  Notional
Amount
(000)#		         
OPTIONS PURCHASED* — 0.0%           

Call Options

 

10 Year U.S. Treasury Notes Futures

           

expiring 07/21/17,
Strike Price $127.00

 

      294        22,969  

expiring 07/21/17,
Strike Price $130.00

 

      294        —  
          

 

 

  

TOTAL OPTIONS PURCHASED
(cost $115,973)

 

      22,969  
          

 

 

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

U.S. Treasury Bills(k)
(cost $1,591,511)

      0.979% (n)      09/21/17        1,595        1,591,550  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $419,094,927)

 

      415,992,849  
          

 

 

  

TOTAL INVESTMENTS, BEFORE OPTION WRITTEN — 105.7%
(cost $1,869,569,263)

 

      2,667,475,443  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A29

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

OPTION WRITTEN* — (0.0%)              Notional
Amount
(000)#		      Value  

Call Option

 

10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $128.50
(premiums received $44,809)

      588      $ (9,188 ) 
           

 

 

  

TOTAL INVESTMENTS, NET OF OPTION WRITTEN — 105.7%
(cost $1,869,524,454)

 

      2,667,466,255  

LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (5.7)%

 

      (143,678,856 ) 
           

 

 

  

NET ASSETS — 100.0%

 

    $ 2,523,787,399  
           

 

 

  

See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

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

 

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $13,419,694 and 0.5% of net assets.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $50,814,596; cash collateral of $51,896,201 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

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

 

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

 

(f) Indicates a restricted security; the aggregate original cost of such securities is $1,585,580. The aggregate value, $1,592,372, is 0.1% of net assets.

 

(g) Indicates a security that has been deemed illiquid; the aggregate value of $4,841,752 is 0.2% of net assets.

 

(hh) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(i) Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity.

 

(k) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(n) Rate shown reflects yield to maturity at purchase date.

 

(p) Interest rate not available as of June 30, 2017.

 

(r) Less than $500 par.

 

(s) Represents zero coupon or step bond. Rate quoted represents yield to maturity at purchase date.

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.

 

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

Futures contracts outstanding at June 30, 2017:

 

Number of
Contracts		   Type     Expiration
Date		     Value at
Trade Date		     Value at
June 30, 2017		     Unrealized
Appreciation
(Depreciation)		  
Long Positions:          
153     2 Year U.S. Treasury Notes       Sep. 2017     $   33,088,342     $   33,064,734     $ (23,608 ) 
1,007     5 Year U.S. Treasury Notes       Sep. 2017       118,981,816       118,660,789       (321,027 ) 
128     10 Year U.S. Treasury Notes       Sep. 2017       16,155,201       16,068,000       (87,201 ) 
35     10 Year U.S. Ultra Treasury Bonds       Sep. 2017       4,744,163       4,718,438       (25,725 ) 
399     30 Year U.S. Ultra Treasury Bonds       Sep. 2017       64,963,737       66,184,125       1,220,388  
14     Mini MSCI EAFE Index       Sep. 2017       1,318,520       1,322,720       4,200  
119     S&P 500 E-Mini Index       Sep. 2017       14,442,668       14,404,355       (38,313 ) 
25     S&P 500 Index       Sep. 2017       15,163,599       15,130,625       (32,974 ) 
         

 

 

  
            695,740  
         

 

 

  
Short Position:          
372     20 Year U.S. Treasury Bonds       Sep. 2017       56,884,776       57,171,750       (286,974 ) 
         

 

 

  
          $      408,766  
         

 

 

  

Securities with a combined market value of $1,930,358 and $1,591,550 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2017.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A30

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2017:

 

Notional
Amount
(000)#		        Termination
Date		        Fixed
Rate		     

Floating Rate

      Value at
Trade Date		        Value at
June 30, 2017		      Unrealized
Appreciation
(Depreciation)		  
 

Centrally cleared swap agreements:

  
  115,305          09/09/17          0.539%     

1 Day USOIS(1)

      $ 404        $ 274,937      $ 274,533  
  94,515          10/18/17          0.607%     

1 Day USOIS(1)

        235          237,432        237,197  
  52,530          11/09/17          0.626%     

1 Day USOIS(1)

        268          147,403        147,135  
  5,720          11/30/21          1.762%     

3 Month LIBOR(2)

        —          (37,613 )       (37,613 ) 
  2,080          05/31/23          1.203%     

3 Month LIBOR(1)

        162          95,710        95,548  
  1,785          05/31/23          1.399%     

3 Month LIBOR(1)

        (32,437 )         62,215        94,652  
  5,865          08/15/23          1.459%     

3 Month LIBOR(1)

        278,383          173,816        (104,567 ) 
  5,592          11/15/23          2.209%     

3 Month LIBOR(1)

        134          (58,145 )       (58,279 ) 
  3,280          02/15/24          2.115%     

3 Month LIBOR(1)

        8,180          (7,467 )       (15,647 ) 
  6,597          02/15/24          2.151%     

3 Month LIBOR(1)

        (6,804 )         (29,810 )       (23,006 ) 
  3,525          02/15/24          2.183%     

3 Month LIBOR(1)

        (7,019 )         (23,099 )       (16,080 ) 
  5,570          09/04/25          2.214%     

3 Month LIBOR(1)

        190          (51,097 )       (51,287 ) 
  22,150          01/08/26          2.210%     

3 Month LIBOR(1)

        238          (200,466 )       (200,704 ) 
  140          05/15/26          1.652%     

3 Month LIBOR(1)

        6          6,345        6,339  
  4,623          02/15/27          1.824%     

1 Day USOIS(1)

        42,083          64,946        22,863  
  5,885          02/15/36          2.338%     

3 Month LIBOR(2)

        (36,570 )         (149,235 )       (112,665 ) 
                 

 

 

       

 

 

     

 

 

  
                  $ 247,453        $ 505,872      $   258,419  
                 

 

 

       

 

 

     

 

 

  

Securities with a combined market value of $1,874,606 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

 

(1) The Portfolio pays the fixed rate and receives the floating rate.

 

(2) The Portfolio pays the floating rate and receives the fixed rate.

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

         

Common Stocks

    $ 1,189,352,783      $ 48,301,165      $ —  

Preferred Stocks

      1,342,500        466,821        —  

Rights

      548        —        —  

Unaffiliated Exchange Traded Funds

      491,217        —        —  

Asset-Backed Securities

         

Automobiles

      —        38,003,801        1,699,912  

Collateralized Loan Obligations

      —        42,910,752        —  

Consumer Loans

      —        10,128,479        —  

Credit Cards

      —        15,251,230        —  

Equipment

      —        2,505,525        —  

Home Equity Loans

      —        4,158,875        —  

Other

      —        1,345,156        —  

Residential Mortgage-Backed Securities

      —        7,702,783        2,125,000  

Bank Loans

      —        1,439,961        —  

Commercial Mortgage-Backed Securities

      —        139,540,955        —  

Corporate Bonds

      —        283,685,279        —  

Municipal Bonds

      —        16,360,482        —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A31

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

     Level 1     Level 2      Level 3  

Investments in Securities (continued)

        

Residential Mortgage-Backed Securities

    $ —     $ 48,084,419      $ 9,594,782  

Sovereign Bonds

      —       27,173,555        —  

U.S. Government Agency Obligations

      —       252,973,281        —  

U.S. Treasury Obligations

      —       108,434,883        —  

Affiliated Mutual Funds

      414,378,330       —        —  

Options Purchased

      22,969       —        —  

Option Written

      (9,188 )      —        —  

Other Financial Instruments*

        

Futures Contracts

      408,766       —        —  

Centrally Cleared Interest Rate Swap Agreements

      —       258,419        —  
  

 

 

    

 

 

     

 

 

  

Total

    $ 1,605,987,925     $ 1,048,725,821      $ 13,419,694  
  

 

 

    

 

 

     

 

 

  

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

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

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

Affiliated Mutual Funds (including 2.1% of collateral for securities on load)

      16.4 % 

U.S. Government Agency Obligations

      10.0  

Banks

      6.3  

Commercial Mortgage-Backed Securities

      5.5  

U.S. Treasury Obligations

      4.3  

Pharmaceuticals

      2.9  

Residential Mortgage-Backed Securities

      2.7  

Oil, Gas & Consumable Fuels

      2.5  

Software

      2.5  

Internet Software & Services

      2.2  

Insurance

      2.0  

Technology Hardware, Storage & Peripherals

      2.0  

Media

      1.9  

Automobiles

      1.9  

IT Services

      1.8  

Collateralized Loan Obligations

      1.7  

Semiconductors & Semiconductor Equipment

      1.6  

Biotechnology

      1.5  

Capital Markets

      1.5  

Equity Real Estate Investment Trusts (REITs)

      1.4  

Health Care Providers & Services

      1.4  

Health Care Equipment & Supplies

      1.4  

Chemicals

      1.3  

Internet & Direct Marketing Retail

      1.3  

Diversified Financial Services

      1.2  

Industrial Conglomerates

      1.1  

Aerospace & Defense

      1.1  

Beverages

      1.1  

Specialty Retail

      1.1  

Sovereign Bonds

      1.1  

Diversified Telecommunication Services

      1.1  

Electric Utilities

      1.0  

Food & Staples Retailing

      0.9  

Tobacco

      0.9  

Hotels, Restaurants & Leisure

      0.9  

Electric

      0.8  

Household Products

      0.8 % 

Machinery

      0.8  

Food Products

      0.7  

Oil & Gas

      0.7  

Municipal Bonds

      0.7  

Credit Cards

      0.6  

Airlines

      0.5  

Multi-Utilities

      0.5  

Communications Equipment

      0.5  

Road & Rail

      0.5  

Telecommunications

      0.4  

Energy Equipment & Services

      0.4  

Computers

      0.4  

Consumer Loans

      0.4  

Healthcare-Products

      0.4  

Textiles, Apparel & Luxury Goods

      0.4  

Auto Manufacturers

      0.4  

Consumer Finance

      0.3  

Life Sciences Tools & Services

      0.3  

Air Freight & Logistics

      0.3  

Healthcare-Services

      0.3  

Electrical Equipment

      0.3  

Household Durables

      0.3  

Retail

      0.3  

Electronic Equipment, Instruments & Components

      0.2  

Pipelines

      0.2  

Multiline Retail

      0.2  

Lodging

      0.2  

Agriculture

      0.2  

Professional Services

      0.2  

Building Products

      0.2  

Multi-National

      0.2  

Containers & Packaging

      0.2  

Commercial Services & Supplies

      0.2  

Home Equity Loans

      0.1  

Metals & Mining

      0.1  

Transportation

      0.1  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A32

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Industry classification (cont.)

       

Auto Components

      0.1 % 

Trading Companies & Distributors

      0.1  

Commercial Services

      0.1  

Semiconductors

      0.1  

Personal Products

      0.1  

Equipment

      0.1  

Gas

      0.1  

Oil & Gas Services

      0.1  

Forest Products & Paper

      0.1  

Housewares

      0.1  

Food

      0.1  

Construction & Engineering

      0.1  

Real Estate Management & Development

      0.1  

Construction Materials

      0.1  

Auto Parts & Equipment

      0.1  

Technology

      0.1  

Other

      0.1  

Mining

      0.1  

Distributors

      0.1  

Packaging & Containers

      0.0 * 

Savings & Loans

      0.0 * 

Building Materials

      0.0 * 

Machinery-Diversified

      0.0 * 

Health Care Technology

      0.0 *% 

Leisure Products

      0.0 * 

Miscellaneous Manufacturing

      0.0 * 

Wireless Telecommunication Services

      0.0 * 

Entertainment

      0.0 * 

Water Utilities

      0.0 * 

Real Estate Investment Trusts (REITs)

      0.0 * 

Independent Power & Renewable Electricity Producers

      0.0 * 

Paper & Forest Products

      0.0 * 

Unaffiliated Exchange Traded Funds

      0.0 * 

Home Builders

      0.0 * 

Diversified Consumer Services

      0.0 * 

Transportation Infrastructure

      0.0 * 

Real Estate

      0.0 * 

Gas Utilities

      0.0 * 

Options Purchased

      0.0 * 

Marine

      0.0 * 
  

 

 

  
     105.7  

Option Written

      (0.0 )* 

Liabilities in excess of other assets

      (5.7 ) 
  

 

 

  
     100.0 % 
  

 

 

  
 

 

* Less than +/- 0.05%

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, interest rate contracts risk and equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

 

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

   

Asset Derivatives

    

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value    

Balance Sheet Location

    Fair Value  

Equity contracts

    Due from/to broker — variation margin futures    $ 4,200 *    Due from/to broker — variation margin futures    $ 71,287 * 

Equity contracts

    Unaffiliated investments      548     —      —  

Interest rate contracts

    Due from/to broker — variation margin futures      1,220,388 *    Due from/to broker — variation margin futures      744,535 * 

Interest rate contracts

    Due from/to broker — variation margin swaps      878,267 *    Due from/to broker — variation margin swaps      619,848 * 

Interest rate contracts

    Unaffiliated investments      22,969     Options written outstanding, at value      9,188  
     

 

 

       

 

 

  

Total

       $ 2,126,372        $ 1,444,858  
     

 

 

       

 

 

  

 

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

  

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

     

Rights(1)

        Options
Purchased(1)		      Options
Written		        Futures        Forward Rate
Agreements		        Swaps      Total  

Credit contracts

      $ —        $ —      $ —        $ —        $ —        $ (275,876 )     $ (275,876 ) 

Equity contracts

        2,350          —        —          2,861,679          —          —        2,864,029  

Interest rate contracts

        —          (343,639 )       88,102          3,333,740          23,492          1,245,821        4,347,516  
    

 

 

       

 

 

     

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

Total

      $ 2,350        $ (343,639 )     $ 88,102        $ 6,195,419        $ 23,492        $ 969,945      $ 6,935,669  
    

 

 

       

 

 

     

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

 

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A33

   CONSERVATIVE BALANCED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

  

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

      Rights(2)      Options
Purchased(2)		      Options
Written		        Futures        Swaps      Total  

Credit contracts

      $ —      $ —      $ —        $ —        $ (111,279 )     $ (111,279 ) 

Equity contracts

        (36 )       —        —          355,051          —        355,015  

Interest rate contracts

        —        (93,004 )       35,621          1,030,215          (2,066,604 )       (1,093,772 ) 
    

 

 

     

 

 

     

 

 

       

 

 

       

 

 

     

 

 

  

Total

      $ (36 )     $ (93,004 )     $ 35,621        $ 1,385,266        $ (2,177,883 )     $ (850,036 ) 
    

 

 

     

 

 

     

 

 

       

 

 

       

 

 

     

 

 

  

 

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

For the six months ended June 30, 2017, the Portfolio’s average volume of derivative activities is as follows:

 

Options Purchased(1)

  

Options Written(3)

  

Futures
Contracts—
Long Positions(2)

  

Futures
Contracts—
Short Positions(2)

$119,832   $308,333   $338,481,517   $40,642,507

 

Credit Default
Swap Agreements—
Buy Protection(3)

  

Interest Rate Swap
Agreements(3)

$35,333,333   $346,655,667

 

(1) Cost.

 

(2) Value at Trade Date.

 

(3) Notional Amount in USD.

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

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

Securities on Loan

      $ 50,814,596        $ (50,814,596 )     $   —  
    

 

 

          

 

(1) Amount represents market value.

 

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A34

   CONSERVATIVE BALANCED PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS  

Investments at value, including securities on loan of $50,814,596:

  

Unaffiliated investments (cost $1,452,181,820)

   $ 2,253,097,113  

Affiliated investments (cost $417,387,443)

     414,378,330  

Foreign currency, at value (cost $471,746)

     476,489  

Receivable for investments sold

     27,346,344  

Dividends and interest receivable

     6,639,070  

Tax reclaim receivable

     595,233  

Due from broker—variation margin swaps

     160,187  

Due from broker—variation margin futures

     12,374  

Receivable from affiliate

     6,407  

Prepaid expenses

     2,799  
 

 

 

  

Total Assets

     2,702,714,346  
 

 

 

  
LIABILITIES  

Payable for investments purchased

     124,600,968  

Payable to broker for collateral for securities on loan

     51,896,201  

Management fee payable

     1,147,723  

Payable for Series shares repurchased

     499,079  

Accrued expenses

     356,623  

Due to broker—variation margin futures

     297,315  

Payable to custodian

     118,870  

Options written outstanding, at value (premiums received $44,809)

     9,188  

Affiliated transfer agent fee payable

     980  
 

 

 

  

Total Liabilities

     178,926,947  
 

 

 

  
NET ASSETS   $ 2,523,787,399  
 

 

 

  

Net assets were comprised of:

 

Paid-in capital

   $ 1,062,719,365  

Retained earnings

     1,461,068,034  
 

 

 

  

Net assets, June 30, 2017

   $ 2,523,787,399  
 

 

 

  

Net asset value and redemption price per share
$2,523,787,399 / 98,625,125 outstanding shares of beneficial interest

   $ 25.59  
 

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Interest income (net of foreign withholding taxes of $43)

   $ 13,515,971  

Unaffiliated dividend income (net) (foreign withholding tax of $122,373, of which $21,176 is reimbursable by an affiliate)

     13,119,386  

Affiliated dividend income

     2,279,731  

Income from securities lending, net (including affiliated income of $43,467)

     57,777  
 

 

 

  

Total income

     28,972,865  
 

 

 

  
EXPENSES  

Management fee

     6,850,421  

Custodian and accounting fees

     180,000  

Shareholders’ reports

     121,000  

Audit fee

     24,000  

Trustees’ fees

     16,000  

Legal fees and expenses

     8,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

     6,000  

Miscellaneous

     39,597  
 

 

 

  

Total expenses

     7,245,018  
 

 

 

  
NET INVESTMENT INCOME (LOSS)     21,727,847  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $8,885)

     66,148,128  

Futures transactions

     6,195,419  

Options written transactions

     88,102  

Swap agreement transactions

     969,945  

Forward rate agreement transactions

     23,492  

Foreign currency transactions

     (12,643 ) 
 

 

 

  
    73,412,443  
 

 

 

  

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $204,724)

     47,188,463  

Futures

     1,385,266  

Options written

     35,621  

Swap agreements

     (2,177,883 ) 

Foreign currencies

     54,979  
 

 

 

  
    46,486,446  
 

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     119,898,889  
 

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 141,626,736  
 

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS  
OPERATIONS  

Net investment income (loss)

    $ 21,727,847     $ 44,543,863  

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

      73,412,443       28,658,304  

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

      46,486,446       98,563,987  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      141,626,736       171,766,154  
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold [112,203 and 338,782 shares, respectively]

      2,819,355       7,843,814  

Series shares repurchased [3,758,050 and 11,378,786 shares, respectively]

      (93,885,693 )      (262,953,434 ) 
  

 

 

    

 

 

  

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

      (91,066,338 )      (255,109,620 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       2,299,220  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      50,560,398       (81,044,246 ) 
NET ASSETS:  

Beginning of period

      2,473,227,001       2,554,271,247  
  

 

 

    

 

 

  

End of period

    $ 2,523,787,399     $ 2,473,227,001  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A35

   DIVERSIFIED BOND PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 87.4%

ASSET-BACKED SECURITIES — 12.2%

    Interest
Rate		      Maturity
Date		     Principal
Amount
(000)#		      Value  

Automobiles — 0.4%

 

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

      2.730%        03/25/21          2,700      $ 2,684,689  

Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A

      2.950%        03/25/22          700        691,730  

OneMain Direct Auto Receivables Trust, Series 2016-1A, Class C, 144A

      4.580%        09/15/21          1,600        1,624,877  
             

 

 

  
                5,001,296  
             

 

 

  

Collateralized Loan Obligations — 4.4%

 

Arrowmark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A

      —% (c)(p)       07/15/29          250        250,000  

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

      2.618% (c)       07/17/26          1,000        1,001,357  

Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A

      2.293% (c)       10/22/25          1,000        1,000,307  

Battalion CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A1R, 144A

      2.328% (c)       04/17/26          1,100        1,100,116  

Benefit Street Partners CLO I Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A

      3.408% (c)       10/15/25          1,000        1,006,043  

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

      2.308% (c)       04/17/25          2,600        2,602,735  

ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A

      2.608% (c)       07/15/26          1,500        1,501,186  

ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A

      2.656% (c)       01/25/27          8,250        8,252,926  

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

      2.698% (c)       04/15/27          2,250        2,252,595  

KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class AR, 144A

      2.338% (c)       07/15/26          250        250,328  

KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A

      2.358% (c)       10/15/26          1,000        1,000,280  

Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A

      2.278% (c)       01/18/27          7,300        7,311,340  

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

      2.336% (c)       04/20/25          3,300        3,300,464  

OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A

      2.560% (c)       07/15/30          750        748,970  

Palmer Square CLO (Cayman Islands), Series 2015-2A, Class A1AR, 144A

      2.580% (c)       07/20/30          1,000        1,000,000  

Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A

      2.656% (c)       07/20/27          1,000        1,000,048  

Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A

      3.440%        04/15/25          700        702,090  

THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A

      2.608% (c)       01/18/26          3,300        3,300,780  

Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A

      2.856% (c)       10/25/28          3,250        3,263,609  

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

      2.278% (c)       07/15/25          300        300,236  

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

      2.298% (c)       04/15/24          4,200        4,201,575  

Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A

      2.431% (c)       04/20/29          1,750        1,750,053  

West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A

      2.339% (c)       11/07/25          2,500        2,500,885  

Zais CLO 6 Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A

      2.572% (c)       07/15/29          1,000        1,000,250  
             

 

 

  
                50,598,173  
             

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A36

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Consumer Loans — 2.2%

 

Lendmark Funding Trust, Series 2016-2A, Class A, 144A

      3.260%      04/20/25        700      $ 706,019  

Lendmark Funding Trust, Series 2017-1A, Class A, 144A^

      2.830%      01/22/24        1,000        999,795  

OneMain Financial Issuance Trust, Series 2015-1A, Class A, 144A

      3.190%      03/18/26        1,000        1,009,968  

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

      2.570%      07/18/25        3,598        3,601,572  

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

      4.320%      07/18/25        1,100        1,099,799  

OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A

      3.660%      02/18/29        2,500        2,558,489  

OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A

      4.100%      03/18/28        2,600        2,652,256  

Oportun Funding IV LLC, Series 2016-C, Class A, 144A

      3.280%      11/08/21        2,300        2,312,276  

Oportun Funding VI LLC, Series 2017-A, Class A, 144A

      3.230%      06/08/23        750        753,970  

SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A

      3.050%      04/25/29        3,664        3,685,739  

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

      3.160%      11/15/24        5,200        5,247,032  
             

 

 

  
                24,626,915  
             

 

 

  

Home Equity Loans — 2.9%

 

ABFC Trust, Series 2004-OPT1, Class M1

      2.266% (c)     08/25/33        994        979,771  

ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1

      2.116% (c)     09/25/33        1,003        982,946  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3

      4.967% (c)     01/25/33        1,863        1,841,652  

Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3

      4.141% (c)     10/25/31        312        320,037  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W2, Class M4

      3.856% (c)     09/25/33        2,400        2,246,156  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1

      2.041% (c)     05/25/34        771        748,493  

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1

      2.404% (c)     06/15/33        867        855,904  

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1

      2.209% (c)     01/15/34        880        860,955  

Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1

      2.116% (c)     08/25/34        1,221        1,181,311  

Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1

      2.116% (c)     03/25/34        2,899        2,797,235  

Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2

      2.941% (c)     04/25/34        1,935        1,930,102  

Centex Home Equity Loan Trust, Series 2004-B, Class AF6

      4.686%      03/25/34        661        677,463  

CIM Trust, Series 2017-3, Class A3, 144A

      3.051% (c)     01/25/57        2,307        2,341,134  

Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2

      3.466% (c)     08/25/32        37        34,291  

MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1

      1.996% (c)     02/25/34        1,372        1,335,176  

Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1

      2.416% (c)     08/25/35        367        365,179  

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

      2.416% (c)     05/25/33        769        762,035  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1

      2.236% (c)     10/25/33        545        539,154  

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

      2.266% (c)     12/25/33        514        501,474  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1

      2.086% (c)     11/25/34        3,688        3,470,238  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A37

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Home Equity Loans (continued)

              

New Century Home Equity Loan Trust, Series 2003-4, Class M1

      2.341% (c)       10/25/33          2,099      $ 2,052,624  

New Century Home Equity Loan Trust, Series 2004-4, Class M1

      1.981% (c)       02/25/35          2,361        2,234,233  

Residential Asset Securities Corp., Series 2004-KS1, Class AI5

      5.500%        02/25/34          788        806,309  

Securitized Asset-Backed Receivables LLC Trust,
Series 2004-NC1, Class M1

      1.996% (c)       02/25/34          2,212        2,172,991  

Specialty Underwriting & Residential Finance Trust,
Series 2004-BC1, Class M1

      1.981% (c)       02/25/35          1,038        995,497  
             

 

 

  
                33,032,360  
             

 

 

  

Other — 0.1%

 

Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A

      3.540%        10/20/32          925        930,157  
             

 

 

  

Residential Mortgage-Backed Securities — 2.1%

 

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1

      2.176% (c)       09/25/34          492        492,852  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2

      1.996% (c)       10/25/34          1,448        1,417,448  

Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 144A

      3.598%        09/28/31          594        596,972  

Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A

      4.145% (c)       12/25/46          4,584        4,603,035  

CSMC Trust, Series 2017-6R, 144A^

      —% (c)(p)       03/06/47          2,400        2,400,000  

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

      4.678%        07/25/34          410        407,016  

FBR Securitization Trust, Series 2005-2, Class M1

      1.936% (c)       09/25/35          1,261        1,260,211  

Fremont Home Loan Trust, Series 2003-B, Class M1

      2.266% (c)       12/25/33          149        146,062  

GSAMP Trust, Series 2004-FM1, Class M1

      2.191% (c)       11/25/33          1,294        1,277,765  

Long Beach Mortgage Loan Trust, Series 2004-1, Class M1

      1.966% (c)       02/25/34          2,459        2,450,139  

Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A

      1.736% (c)       06/25/35          1,132        1,097,278  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1

      2.146% (c)       06/25/34          1,409        1,374,260  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1

      2.131% (c)       07/25/34          1,170        1,144,228  

Structured Asset Investment Loan Trust, Series 2004-2, Class A4

      1.921% (c)       03/25/34          1,892        1,829,783  

Structured Asset Investment Loan Trust, Series 2004-7, Class A8

      2.416% (c)       08/25/34          1,400        1,320,658  

VOLT LI LLC, Series 2016-NP11, Class A1, 144A

      3.500%        10/25/46          1,236        1,236,957  

VOLT LX LLC, Series 2017-NPL7, Class A1, 144A

      3.250%        04/25/59          370        369,670  

VOLT VII LLC, Series 2017-NPL4, Class A1, 144A

      3.375%        04/25/47          556        555,511  
             

 

 

  
                23,979,845  
             

 

 

  

Student Loans — 0.1%

              

Earnest Student Loan Program LLC, Series 2016-D, Class A1, 144A

      2.616% (c)       01/25/41          562        571,362  
             

 

 

  

TOTAL ASSET-BACKED SECURITIES
(cost $132,187,382)

 

      138,740,108  
             

 

 

  
BANK LOANS(c) — 1.2%              

Diversified Manufacturing — 0.1%

              

CeramTec GmbH (Germany)^

      3.750%        08/30/20       EUR        900        1,036,932  
             

 

 

  

Electric — 0.1%

              

Lightstone Holdco LLC

      5.672%        01/30/24          1,097        1,068,749  
             

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A38

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

BANK LOANS
(continued)		    Interest
Rate		      Maturity
Date		     Principal
Amount
(000)#		      Value  

Health Care & Pharmaceutical — 0.1%

              

Valeant Pharmaceuticals International, Inc.

      5.830%        04/01/22          1,030      $ 1,044,003  
             

 

 

  

Retailers — 0.2%

              

Euro Garages Ltd. (United Kingdom)

      5.325%        01/30/23       GBP        1,000        1,312,428  

Rite Aid Corp.

      5.105%        06/21/21          1,375        1,378,152  
             

 

 

  
                2,690,580  
             

 

 

  

Supermarkets — 0.1%

              

Albertsons LLC

      4.200%        08/25/21          788        788,740  
             

 

 

  

Technology — 0.4%

              

Action Nederland BV

      3.500%        02/25/22       EUR        1,100        1,272,229  

BMC Software Finance, Inc.

      1.150%        09/12/22          423        423,330  

Dell International LLC

      3.299%        12/31/18          2,800        2,802,139  

Dell International LLC

      3.799%        09/07/23          796        798,706  
             

 

 

  
                5,296,404  
             

 

 

  

Transportation Services — 0.2%

              

Scandlines GmbH (Germany)

      4.250%        12/03/20       EUR        1,675        1,934,981  
             

 

 

  

TOTAL BANK LOANS
(cost $14,321,130)

 

      13,860,389  
             

 

 

  
COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.2%        

245 Park Avenue Trust, Series 2017-245P, Class A, 144A

      3.508%        06/05/37          2,575        2,643,462  

Banc of America Commercial Mortgage Trust,
Series 2016-UB10, Class A3

      2.903%        07/15/49          2,300        2,267,407  

BANK, Series 2017-BNK5, Class A4

      3.131%        06/15/60          4,400        4,391,363  

BBCMS Mortgage Trust, Series 2016-ETC, Class A, 144A

      2.937%        08/14/36          1,170        1,143,757  

BBCMS Mortgage Trust, Series 2016-ETC, Class B, 144A

      3.189%        08/14/36          510        497,701  

BBCMS Mortgage Trust, Series 2016-ETC, Class C, 144A

      3.391%        08/14/36          430        419,213  

BBCMS Mortgage Trust, Series 2016-ETC, Class D, 144A

      3.729% (c)       08/14/36          1,560        1,501,141  

CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A

      3.009% (c)       12/15/27          5,000        5,003,113  

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

      3.575%        05/10/47          3,200        3,324,284  

Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4

      3.209%        05/10/49          3,500        3,527,636  

CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class B, 144A

      2.871% (c)       11/10/31          2,400        2,355,060  

CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class C, 144A

      2.871% (c)       11/10/31          900        867,596  

Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4

      3.314%        04/10/49          5,100        5,158,067  

COMM Mortgage Trust, Series 2012-CR5, Class A3

      2.540%        12/10/45          2,000        1,989,840  

COMM Mortgage Trust, Series 2013-CR7, Class A3

      2.929%        03/10/46          3,687        3,732,682  

COMM Mortgage Trust, Series 2014-UBS4, Class A4

      3.420%        08/10/47          3,200        3,270,465  

COMM Mortgage Trust, Series 2014-UBS5, Class A4

      3.838%        09/10/47          3,600        3,778,780  

COMM Mortgage Trust, Series 2015-DC1, Class A4

      3.078%        02/10/48          5,000        5,002,573  

COMM Mortgage Trust, Series 2015-LC21, Class A4

      3.708%        07/10/48          2,600        2,710,831  

COMM Mortgage Trust, Series 2015-PC1, Class A5

      3.902%        07/10/50          2,100        2,207,267  

COMM Mortgage Trust, Series 2016-COR1, Class A3

      2.826%        10/10/49          2,500        2,442,091  

COMM Mortgage Trust, Series 2016-DC2, Class A5

      3.765%        02/10/49          300        313,704  

DBJPM Mortgage Trust, Series 2017-C6, Class A4

      3.071%        06/10/50          2,800        2,795,505  

DBWF Mortgage Trust, Series 2016-85T, Class D, 144A (original cost $1,317,944; purchased 12/09/16)(f)(g)

      3.935% (c)       12/10/36          1,400        1,387,469  

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

      3.673% (c)       09/10/35          3,000        3,025,160  

FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO

      1.718% (c)       06/25/20          7,815        300,349  

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

      1.570% (c)       05/25/22          27,505        1,583,122  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A39

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

      1.606% (c)      06/25/22          15,693      $ 947,369  

FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO

      1.001% (c)      10/25/22          10,812        413,002  

FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO

      0.932% (c)      01/25/23          135,328        4,969,073  

FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO

      0.879% (c)      01/25/25          83,387        3,902,257  

FHLMC Multifamily Structured Pass-Through Certificates, Series K053, Class X1, IO

      1.030% (c)      12/25/25          89,570        5,598,051  

FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO

      1.502% (c)      03/25/26          13,964        1,354,962  

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

      1.872% (c)      05/25/19          21,421        546,866  

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

      1.810% (c)      07/25/19          26,279        685,580  

GS Mortgage Securities Trust, Series 2013-GC12, Class A3

      2.860%       06/10/46          1,430        1,442,178  

GS Mortgage Securities Trust, Series 2017-GS6, Class A2

      3.164%       05/10/50          3,400        3,409,503  

IMT Trust, Series 2017-APTS, Class AFX, 144A ^

      3.478% (c)      06/15/34          1,050        1,081,440  

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4

      3.493%       08/15/47          3,200        3,310,822  

JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4

      3.414%       03/15/50          2,300        2,358,442  

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

      2.611%       12/15/47          2,000        2,003,722  

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

      2.875%       12/15/47          4,600        4,655,635  

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3

      2.559%       08/15/49          2,900        2,787,021  

LCCM, Series 2017-LC26, Class A4, 144A

      3.551%       07/12/50          4,300        4,370,772  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A

      1.673% (c)      08/15/45          40,733        2,375,609  

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

      2.863%       12/15/48          1,700        1,718,229  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3

      2.834%       05/15/46          2,300        2,316,451  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3

      4.104% (c)      07/15/46          4,800        5,130,655  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3

      3.766%       11/15/46          4,000        4,210,891  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A5

      2.860%       09/15/49          2,000        1,951,422  

Morgan Stanley Capital I Trust, Series 2017-H1, Class A4

      3.259%       06/15/50          2,750        2,766,539  

Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A

      3.126%       07/05/36          400        395,791  

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

      2.920%       03/10/46          4,600        4,648,129  

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

      2.971%       04/10/46          3,800        3,847,390  

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4

      3.548%       08/15/50          4,300        4,457,303  

Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A3

      2.674%       07/15/48          4,600        4,441,081  
            

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $150,563,064)

 

      149,735,823  
            

 

 

  
CORPORATE BONDS — 41.9%             

Agriculture — 0.3%

 

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

      2.050%       02/11/18          2,375        2,377,351  

Reynolds American, Inc., Gtd. Notes

      8.125%       06/23/19          895        998,207  
            

 

 

  
               3,375,558  
            

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A40

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Airlines — 0.7%

 

American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA

      3.575%     07/15/29        1,789     $ 1,829,728  

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

      6.703%     12/15/22        — (r)      454  

Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A

      5.983%     10/19/23        1,363       1,499,069  

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

      4.750%     07/12/22        364       385,337  

Delta Air Lines, Inc., Sr. Unsec’d. Notes

      2.875%     03/13/20        1,180       1,195,429  

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

      6.821%     02/10/24        933       1,070,290  

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

      4.950%     11/23/20        328       340,831  

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

      5.300%     10/15/20        410       430,778  

United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A

      6.636%     01/02/24        701       760,687  
           

 

 

  
              7,512,603  
           

 

 

  

Apparel — 0.1%

 

Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A

      3.500%     06/15/24     EUR        575       687,933  
           

 

 

  

Auto Manufacturers — 0.8%

 

Ford Motor Co., Sr. Unsec’d. Notes

      4.750%     01/15/43        1,755       1,694,049  

Ford Motor Co., Sr. Unsec’d. Notes(a)

      5.291%     12/08/46        525       538,818  

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

      2.375%     01/16/18        2,225       2,232,011  

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

      4.875%     10/02/23        1,350       1,446,760  

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

      6.250%     10/02/43        1,885       2,093,762  

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

      6.600%     04/01/36        210       243,310  

Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A

      2.200%     01/15/24     EUR        350       403,751  
           

 

 

  
              8,652,461  
           

 

 

  

Auto Parts & Equipment — 0.4%

 

Adient Global Holdings Ltd., Gtd. Notes, 144A

      3.500%     08/15/24     EUR        701       811,978  

IHO Verwaltungs GmbH (Germany), 1st Lien, 144A

      3.750%     09/15/26     EUR        1,050       1,250,228  

IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A

      3.250%     09/15/23     EUR        1,075       1,258,509  

LKQ Italia Bondco SpA, Gtd. Notes, 144A

      3.875%     04/01/24     EUR        1,275       1,573,472  
           

 

 

  
              4,894,187  
           

 

 

  

Banks — 10.4%

 

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

      8.000% (c)    12/29/49        3,500       3,596,250  

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

      3.300%     01/11/23        5,870       5,985,627  

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

      4.000%     04/01/24        1,150       1,205,048  

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

      4.125%     01/22/24        3,750       3,957,214  

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

      4.443% (c)    01/20/48        1,200       1,269,217  

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

      6.000%     09/01/17        4,590       4,621,575  

Bank of America Corp., Sub. Notes, MTN

      4.450%     03/03/26        1,735       1,805,691  

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

      3.684%     01/10/23        480       492,508  

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

      4.337%     01/10/28        520       534,567  

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

      4.375%     01/12/26        1,290       1,340,460  

BNP Paribas SA (France), Sr. Unsec’d. Notes, 144A, MTN

      2.950%     05/23/22        1,435       1,449,288  

BNP Paribas SA (France), Sub. Notes, 144A

      4.625%     03/13/27        230       242,538  

BPCE SA (France), Gtd. Notes, 144A, MTN

      3.000%     05/22/22        595       600,175  

Branch Banking & Trust Co., Sr. Unsec’d. Notes

      2.850%     04/01/21        3,700       3,779,487  

CITIC Ltd. (China), Sr. Unsec’d. Notes, EMTN

      6.875%     01/21/18        1,100       1,128,546  

Citigroup, Inc., Jr. Sub. Notes, Series Q

      5.950% (c)    12/31/49        1,355       1,425,758  

Citigroup, Inc., Jr. Sub. Notes, Series R

      6.125% (c)    12/31/49        1,085       1,166,375  

Citigroup, Inc., Sr. Unsec’d. Notes

      8.125%     07/15/39        2,995       4,598,328  

Citigroup, Inc., Sub. Notes

      4.450%     09/29/27        2,630       2,735,247  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A41

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Banks (continued)

             

Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN

      3.625%       09/09/24          1,050      $ 1,084,652  

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

      3.375%       05/12/21          900        911,542  

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

      3.700%       05/30/24          159        158,969  

Dexia Credit Local SA (France), Gov’t. Liquid Gtd. Notes

      1.875%       01/29/20          2,500        2,480,670  

Discover Bank, Sr. Unsec’d. Notes

      3.450%       07/27/26          280        270,814  

Discover Bank, Sr. Unsec’d. Notes

      4.250%       03/13/26          1,150        1,181,199  

Discover Bank, Sub. Notes

      7.000%       04/15/20          2,005        2,225,442  

Fifth Third Bank, Sr. Unsec’d. Notes

      2.375%       04/25/19          425        427,831  

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

      5.375% (c)      12/31/49          1,950        2,049,060  

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

      3.750%       02/25/26          125        127,282  

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

      3.850%       01/26/27          1,775        1,805,722  

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

      5.750%       01/24/22          4,200        4,728,671  

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

      6.150%       04/01/18          1,355        1,398,482  

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

      6.250%       02/01/41          2,195        2,867,309  

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

      6.000%       06/15/20          2,420        2,669,800  

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

      6.750%       10/01/37          440        571,138  

JPMorgan Chase & Co., Jr. Sub. Notes, Series 1

      7.900% (c)      04/29/49          6,130        6,372,135  

JPMorgan Chase & Co., Jr. Sub. Notes, Series X

      6.100% (c)      12/31/49          1,450        1,573,250  

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

      2.750%       06/23/20          5,400        5,490,229  

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

      2.950%       10/01/26          1,740        1,679,276  

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

      3.200%       06/15/26          3,020        2,984,557  

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

      3.250%       09/23/22          500        512,412  

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

      3.540% (c)      05/01/28          1,520        1,524,603  

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

      4.250%       10/15/20          600        637,130  

JPMorgan Chase & Co., Sub. Notes

      4.250%       10/01/27          420        438,102  

JPMorgan Chase & Co., Sub. Notes

      4.950%       06/01/45          715        797,628  

KeyCorp, Sr. Unsec’d. Notes, MTN

      5.100%       03/24/21          1,155        1,263,729  

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

      5.800%       01/13/20          2,650        2,882,951  

Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A

      1.850%       03/21/18          1,125        1,126,504  

Morgan Stanley, Jr. Sub. Notes, Series H

      5.450% (c)      12/31/49          975        1,009,612  

Morgan Stanley, Sr. Unsec’d. Notes

      4.375%       01/22/47          1,730        1,804,743  

Morgan Stanley, Sr. Unsec’d. Notes

      5.750%       01/25/21          1,920        2,124,353  

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

      3.750%       02/25/23          1,535        1,596,113  

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

      5.500%       07/28/21          2,080        2,306,418  

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

      3.125%       07/27/26          2,725        2,649,373  

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

      5.625%       09/23/19          2,635        2,830,823  

Morgan Stanley, Sub. Notes, GMTN

      4.350%       09/08/26          750        779,729  

People’s United Bank, Sub. Notes

      4.000%       07/15/24          550        554,866  

PNC Financial Services Group, Inc. (The), Sub. Notes

      3.900%       04/29/24          975        1,018,273  

Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes

      2.875%       10/16/20          1,550        1,572,137  

State Street Corp., Jr. Sub. Notes

      4.956% (c)      03/15/18          3,025        3,091,831  

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

      2.450%       01/10/19          625        630,393  

UBS Group Funding Switzerland AG (Switzerland), Gtd. Notes, 144A

      4.253%       03/23/28          1,485        1,551,424  
            

 

 

  
               117,695,076  
            

 

 

  

Beverages — 0.0%

 

Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A

      4.750%       10/01/18          375        383,375  
            

 

 

  

Biotechnology — 0.3%

 

Amgen, Inc., Sr. Unsec’d. Notes

      4.663%       06/15/51          2,948        3,122,383  
            

 

 

  

Building Materials — 0.5%

 

Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A

      9.375%       10/12/22          1,200        1,275,000  

Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A

      4.750%       01/11/22       EUR        900        1,071,624  

Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g)

      5.375%       11/15/24          3,000        3,161,250  

US Concrete, Inc., Gtd. Notes

      6.375%       06/01/24          600        633,000  
            

 

 

  
               6,140,874  
            

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A42

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Chemicals — 1.6%

 

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

      4.900%     06/01/43        870      $ 939,034  

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

      5.250%     01/15/45        420        476,807  

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

      6.125%     01/15/41        450        546,093  

Ashland, Inc., Gtd. Notes

      6.875%     05/15/43        3,000        3,255,000  

CF Industries, Inc., Gtd. Notes

      4.950%     06/01/43        675        578,812  

CF Industries, Inc., Gtd. Notes

      5.375%     03/15/44        700        624,750  

CF Industries, Inc., Gtd. Notes

      6.875%     05/01/18        380        394,725  

CF Industries, Inc., Gtd. Notes

      7.125%     05/01/20        300        331,500  

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

      4.625%     10/01/44        125        133,046  

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

      9.400%     05/15/39        1,002        1,684,105  

LyondellBasell Industries NV, Sr. Unsec’d. Notes

      6.000%     11/15/21        3,550        4,010,424  

Mosaic Co. (The), Sr. Unsec’d. Notes(a)

      5.450%     11/15/33        465        490,588  

Mosaic Co. (The), Sr. Unsec’d. Notes

      5.625%     11/15/43        155        158,248  

Sherwin-Williams Co. (The), Sr. Unsec’d. Notes

      3.450%     06/01/27        445        447,939  

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

      7.875%     04/01/23        3,058        3,764,502  
            

 

 

  
               17,835,573  
            

 

 

  

Commercial Services — 0.5%

 

Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A

      6.500%     07/15/22        1,375        1,424,844  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      6.700%     06/01/34        920        1,142,558  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      7.000%     10/15/37        770        999,542  

Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A

      5.000%     04/15/22        1,500        1,556,250  

United Rentals North America, Inc., Gtd. Notes

      5.500%     07/15/25        650        680,875  

United Rentals North America, Inc., Gtd. Notes

      5.500%     05/15/27        450        463,500  
            

 

 

  
               6,267,569  
            

 

 

  

Computers — 0.3%

             

Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A

      3.480%     06/01/19        905        926,155  

Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A

      4.420%     06/15/21        770        811,748  

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

      2.450% (c)    10/05/17        1,094        1,096,733  

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

      2.850% (c)    10/05/18        630        635,390  
            

 

 

  
               3,470,026  
            

 

 

  

Diversified Financial Services — 0.8%

             

Ally Financial, Inc., Sr. Unsec’d. Notes

      4.125%     02/13/22        3,000        3,075,000  

CIT Group, Inc., Sr. Unsec’d. Notes, 144A

      5.500%     02/15/19        1,337        1,403,850  

GE Capital International Funding Co. Unlimited Co., Gtd. Notes

      4.418%     11/15/35        354        385,289  

HSBC Finance Corp., Sub. Notes

      6.676%     01/15/21        295        332,454  

International Lease Finance Corp., Sr. Unsec’d. Notes

      6.250%     05/15/19        1,400        1,501,618  

Intrum Justitia AB (Sweden), Sr. Unsec’d. Notes, 144A

      3.125%     07/15/24     EUR        750        852,921  

Jefferies Group LLC, Sr. Unsec’d. Notes

      6.500%     01/20/43        650        734,566  

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

      6.875%     05/02/18        2,740        174,264  

Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(g)

      1.886% (c)    07/03/33        342        327,917  
            

 

 

  
               8,787,879  
            

 

 

  

Electric — 3.4%

             

AES Corp., Sr. Unsec’d. Notes

      5.500%     04/15/25        5,000        5,231,250  

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

      3.350%     07/01/23        550        566,080  

Calpine Corp., Sr. Unsec’d. Notes(a)

      5.375%     01/15/23        396        386,100  

Calpine Corp., Sr. Unsec’d. Notes

      5.750%     01/15/25        1,350        1,265,625  

Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes

      4.300%     12/01/56        235        244,957  

ContourGlobal Power Holdings SA, Sr. Sec’d. Notes, 144A

      5.125%     06/15/21     EUR        1,350        1,622,393  

Dominion Resources Inc., Jr. Sub. Notes

      4.104%     04/01/21        2,710        2,844,362  

Dynegy, Inc., Gtd. Notes(a)

      5.875%     06/01/23        2,400        2,244,000  

Dynegy, Inc., Gtd. Notes(a)

      7.375%     11/01/22        1,000        987,500  

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

      6.000%     05/15/35        2,325        2,756,687  

Emera US Finance LP (Canada), Gtd. Notes

      3.550%     06/15/26        820        821,898  

Enel Finance International NV (Italy), Gtd. Notes, 144A

      6.000%     10/07/39        1,450        1,724,394  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A43

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Electric (continued)

              

Enersis Americas SA (Chile), Sr. Unsec’d. Notes

      4.000%        10/25/26          235      $ 237,585  

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

      6.200%        10/01/17          1,930        1,949,974  

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

      6.250%        10/01/39          1,900        2,073,183  

FirstEnergy Corp., Sr. Unsec’d. Notes, Series A

      2.750%        03/15/18          1,800        1,811,475  

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

      5.450%        07/15/44          400        456,900  

Great Plains Energy, Inc., Sr. Unsec’d. Notes

      3.900%        04/01/27          625        632,266  

Iberdrola International BV (Spain), Gtd. Notes

      6.750%        09/15/33          1,150        1,392,728  

Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A

      4.750%        07/13/21          250        269,554  

Majapahit Holding BV (Indonesia), Gtd. Notes

      7.750%        01/20/20          1,500        1,676,250  

NRG Energy, Inc., Gtd. Notes

      6.625%        03/15/23          3,263        3,352,733  

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

      4.600%        06/15/43          1,950        2,172,347  

South Carolina Electric & Gas Co., First Mortgage

      4.600%        06/15/43          2,025        2,100,891  
             

 

 

  
                38,821,132  
             

 

 

  

Electronics — 0.1%

 

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

      0.650%        02/21/20       EUR        900        1,040,093  
             

 

 

  

Entertainment — 0.2%

 

Cinemark USA, Inc., Gtd. Notes

      4.875%        06/01/23          1,508        1,540,512  

CPUK Finance Ltd. (United Kingdom), Sec’d. Notes, 144A

      4.875%        02/28/47       GBP        125        165,096  

CPUK Finance Ltd. (United Kingdom), Sr. Sec’d. Notes, 144A

      4.250%        02/28/47       GBP        250        327,515  
             

 

 

  
                2,033,123  
             

 

 

  

Food — 0.8%

 

Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Gtd. Notes, 144A

      5.750%        03/15/25          225        209,250  

Ingles Markets, Inc., Sr. Unsec’d. Notes

      5.750%        06/15/23          1,925        1,893,719  

JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g)

      5.750%        06/15/25          2,025        1,903,500  

JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g)

      7.250%        06/01/21          1,080        1,079,460  

Kraft Heinz Foods Co., Gtd. Notes

      3.000%        06/01/26          1,360        1,301,589  

Kraft Heinz Foods Co., Gtd. Notes

      4.375%        06/01/46          400        391,734  

Kraft Heinz Foods Co., Gtd. Notes

      5.000%        07/15/35          725        783,999  

Kroger Co. (The), Sr. Unsec’d. Notes

      4.450%        02/01/47          275        265,074  

Post Holdings, Inc., Gtd. Notes, 144A

      6.000%        12/15/22          1,500        1,590,000  
             

 

 

  
                9,418,325  
             

 

 

  

Forest Products & Paper — 0.3%

 

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

      6.000%        11/15/41          675        823,161  

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

      7.300%        11/15/39          1,000        1,352,335  

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

      7.950%        06/15/18          922        974,820  
             

 

 

  
                3,150,316  
             

 

 

  

Gas — 0.3%

 

Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes,

      4.250%        11/02/20          1,750        1,837,150  

NiSource Finance Corp., Gtd. Notes

      4.800%        02/15/44          300        324,981  

Southern Co. Gas Capital Corp., Gtd. Notes

      4.400%        06/01/43          1,050        1,067,470  
             

 

 

  
                3,229,601  
             

 

 

  

Healthcare-Products — 1.0%

 

Abbott Laboratories, Sr. Unsec’d. Notes

      2.900%        11/30/21          2,780        2,811,053  

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

      3.363%        06/06/24          3,415        3,422,807  

Medtronic, Inc., Gtd. Notes(h)

      3.500%        03/15/25          3,435        3,573,300  

Medtronic, Inc., Gtd. Notes

      4.375%        03/15/35          1,358        1,483,297  
             

 

 

  
                11,290,457  
             

 

 

  

Healthcare-Services — 2.0%

 

Aetna, Inc., Sr. Unsec’d. Notes

      6.750%        12/15/37          1,900        2,628,080  

Anthem, Inc., Sr. Unsec’d. Notes

      4.650%        01/15/43          385        414,927  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A44

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Healthcare-Services (continued)

             

CHS/Community Health Systems, Inc., Gtd. Notes(a)

      7.125%       07/15/20          750      $ 730,312  

CHS/Community Health Systems, Inc., Gtd. Notes(a)

      8.000%       11/15/19          2,600        2,613,000  

Cigna Corp., Sr. Unsec’d. Notes

      4.375%       12/15/20          745        792,965  

Cigna Corp., Sr. Unsec’d. Notes

      5.875%       03/15/41          750        942,914  

DaVita, Inc., Gtd. Notes

      5.000%       05/01/25          500        501,250  

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

      4.125%       10/15/20          330        342,375  

HCA, Inc., Gtd. Notes

      5.375%       02/01/25          2,325        2,452,410  

HCA, Inc., Gtd. Notes

      5.875%       02/15/26          725        783,000  

HealthSouth Corp., Gtd. Notes

      5.125%       03/15/23          300        309,000  

Humana, Inc., Sr. Unsec’d. Notes

      3.950%       03/15/27          1,000        1,042,156  

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

      3.200%       02/01/22          240        244,935  

Select Medical Corp., Gtd. Notes(a)

      6.375%       06/01/21          2,100        2,157,750  

Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes,

      6.250%       07/01/22       EUR        1,100        1,359,892  

Tenet Healthcare Corp., Sr. Unsec’d. Notes

      6.750%       02/01/20          500        520,000  

Tenet Healthcare Corp., Sr. Unsec’d. Notes

      8.000%       08/01/20          1,570        1,589,625  

THC Escrow Corp. III, Sec’d. Notes, 144A(a)

      5.125%       05/01/25          550        552,063  

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

      3.950%       10/15/42          1,260        1,277,021  

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

      6.500%       06/15/37          760        1,025,957  

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

      6.625%       11/15/37          195        268,755  
            

 

 

  
               22,548,387  
            

 

 

  

Home Builders — 0.7%

             

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A

      6.125%       07/01/22          1,000        1,035,000  

CalAtlantic Group, Inc., Gtd. Notes

      6.250%       12/15/21          3,500        3,920,000  

PulteGroup, Inc., Gtd. Notes

      5.000%       01/15/27          975        1,000,594  

Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A

      5.250%       04/15/21          2,175        2,229,375  
            

 

 

  
               8,184,969  
            

 

 

  

Home Furnishings — 0.1%

             

Tempur Sealy International, Inc., Gtd. Notes

      5.500%       06/15/26          650        660,563  
            

 

 

  

Household Products/Wares — 0.1%

             

Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A

      3.000%       06/26/27          1,725        1,702,187  
            

 

 

  

Housewares — 0.1%

             

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

      4.200%       04/01/26          670        711,397  
            

 

 

  

Insurance — 2.0%

             

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

      5.500%       11/15/20          430        465,867  

American International Group, Inc., Sr. Unsec’d. Notes

      3.900%       04/01/26          2,120        2,168,813  

American International Group, Inc., Sr. Unsec’d. Notes

      4.500%       07/16/44          1,075        1,093,145  

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

      2.750%       03/15/23          4,760        4,823,070  

Chubb Corp. (The), Gtd. Notes

      3.408% (c)      03/29/67          1,775        1,761,687  

Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes

      7.000%       07/15/34          1,350        1,721,856  

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

      5.125%       04/15/22          500        555,028  

Liberty Mutual Finance Europe DAC, Gtd. Notes, 144A

      1.750%       03/27/24       EUR        800        927,786  

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

      6.500%       03/15/35          1,030        1,287,828  

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

      7.000%       06/15/40          405        543,904  

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

      8.750%       07/01/19          388        436,225  

Markel Corp., Sr. Unsec’d. Notes

      5.000%       03/30/43          350        375,846  

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

      6.063%       03/30/40          500        650,399  

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

      6.375%       04/30/20          850        929,862  

Principal Financial Group, Inc., Gtd. Notes

      4.625%       09/15/42          150        163,432  

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

      4.270%       05/15/47          2,310        2,364,768  

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

      6.850%       12/16/39          196        268,384  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A45

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Insurance (continued)

             

Unum Group, Sr. Unsec’d. Notes

      5.625%       09/15/20          500      $ 547,039  

XLIT Ltd. (Bermuda), Gtd. Notes, Series E

      3.616% (c)      12/31/49          1,880        1,753,100  
            

 

 

  
               22,838,039  
            

 

 

  

Internet — 0.2%

             

Netflix, Inc., Sr. Unsec’d. Notes, 144A

      3.625%       05/15/27       EUR        1,750        2,031,246  
            

 

 

  

Iron/Steel — 0.0%

             

Vale Overseas Ltd. (Brazil), Gtd. Notes

      6.250%       08/10/26          270        291,263  
            

 

 

  

Leisure Time — 0.1%

             

Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A

      8.500%       10/15/22          1,150        1,207,500  
            

 

 

  

Lodging — 0.3%

             

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

      3.250%       09/15/22          1,325        1,354,905  

MGM Resorts International, Gtd. Notes

      6.625%       12/15/21          1,325        1,487,313  

Studio City Co. Ltd. (Hong Kong), Sr. Sec’d. Notes,

      7.250%       11/30/21          300        325,875  
            

 

 

  
               3,168,093  
            

 

 

  

Machinery-Diversified — 0.4%

             

CNH Industrial Capital LLC, Gtd. Notes

      4.875%       04/01/21          1,050        1,115,625  

Rockwell Automation, Inc., Sr. Unsec’d. Notes

      5.200%       01/15/98          1,100        1,158,568  

Xylem, Inc., Sr. Unsec’d. Notes

      4.875%       10/01/21          1,960        2,120,265  
            

 

 

  
               4,394,458  
            

 

 

  

Media — 2.9%

             

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

      6.900%       08/15/39          65        85,805  

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

      7.625%       11/30/28          1,415        1,852,477  

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

      8.625%       09/15/17          842        852,525  

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

      5.500%       05/01/26          3,300        3,502,125  

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

      5.875%       04/01/24          800        854,000  

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

      5.875%       05/01/27          1,000        1,068,750  

Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A

      5.125%       12/15/21          1,425        1,451,263  

Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A

      6.375%       09/15/20          674        687,480  

Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A

      7.750%       07/15/25          1,500        1,657,500  

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

      6.384%       10/23/35          710        841,601  

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

      6.484%       10/23/45          855        1,026,182  

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

      6.834%       10/23/55          225        274,238  

Comcast Corp., Gtd. Notes

      3.150%       03/01/26          1,190        1,196,155  

DISH DBS Corp., Gtd. Notes

      4.250%       04/01/18          1,850        1,873,717  

Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes

      6.125%       01/31/46          495        550,049  

Liberty Interactive LLC, Sr. Unsec’d. Notes

      8.250%       02/01/30          2,250        2,418,750  

Myriad International Holdings BV (South Africa), Gtd. Notes, 144A

      6.375%       07/28/17          1,035        1,035,513  

NBCUniversal Media LLC, Gtd. Notes

      4.450%       01/15/43          290        307,883  

Sky PLC (United Kingdom), Gtd. Notes, 144A

      6.100%       02/15/18          210        215,436  

TCI Communications, Inc., Sr. Unsec’d. Notes

      7.875%       02/15/26          750        1,012,358  

TEGNA, Inc., Gtd. Notes, 144A

      4.875%       09/15/21          475        488,063  

Time Warner Cable, Inc., Sr. Sec’d. Notes

      6.750%       07/01/18          2,620        2,741,065  

Time Warner Cos., Inc., Gtd. Notes

      7.250%       10/15/17          1,440        1,462,298  

Time Warner, Inc., Gtd. Notes

      3.800%       02/15/27          690        694,664  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes,

      4.000%       01/15/25       EUR        1,100        1,323,960  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A46

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Media (continued)

             

Univision Communications, Inc., Sr. Sec’d. Notes, 144A(g)

      5.125%       02/15/25          1,175      $ 1,164,719  

UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A

      5.375%       01/15/25          1,140        1,192,725  

Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes,

      3.750%       01/15/25       EUR        1,000        1,192,704  
            

 

 

  
               33,024,005  
            

 

 

  

Mining — 0.2%

             

Barrick North America Finance LLC (Canada), Gtd. Notes

      5.750%       05/01/43          410        496,924  

Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes

      3.625%       06/09/21          825        855,194  

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

      5.875%       04/23/45          235        251,236  

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

      6.750%       04/16/40          990        1,140,267  
            

 

 

  
               2,743,621  
            

 

 

  

Miscellaneous Manufacturing — 0.6%

             

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

      0.875%       05/17/25       EUR        1,475        1,661,694  

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

      4.125%       10/09/42          500        526,200  

General Electric Co., Sub. Notes, MTN

      5.300%       02/11/21          340        376,004  

Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes

      5.750%       06/15/43          425        535,428  

Pentair Finance SA (United Kingdom), Gtd. Notes

      1.875%       09/15/17          625        625,245  

Textron, Inc., Sr. Unsec’d. Notes

      7.250%       10/01/19          2,350        2,598,816  
            

 

 

  
               6,323,387  
            

 

 

  

Multi-National — 0.4%

             

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

      2.000%       05/10/19          1,180        1,183,302  

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

      2.125%       09/27/21          3,095        3,076,987  
            

 

 

  
               4,260,289  
            

 

 

  

Office/Business Equipment — 0.1%

             

CDW LLC/CDW Finance Corp., Gtd. Notes

      5.000%       09/01/23          1,150        1,197,438  
            

 

 

  

Oil & Gas — 2.7%

             

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

      4.677% (s)      10/10/36          2,000        824,570  

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

      6.450%       09/15/36          945        1,112,352  

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

      6.600%       03/15/46          165        203,780  

Apache Corp., Sr. Unsec’d. Notes

      5.100%       09/01/40          650        664,066  

CNOOC Finance 2013 Ltd. (China), Gtd. Notes

      3.000%       05/09/23          750        741,872  

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

      5.600%       07/15/41          1,650        1,713,655  

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes

      4.950%       07/19/22          390        403,413  

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

      6.510%       03/07/22          1,665        1,836,748  

Helmerich & Payne International Drilling Co., Gtd. Notes

      4.650%       03/15/25          1,500        1,572,955  

KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A

      3.875%       04/19/22          560        554,176  

KazMunaygas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A

      4.750%       04/19/27          200        196,020  

KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN

      9.125%       07/02/18          1,610        1,703,187  

Lukoil International Finance BV (Russia), Gtd. Notes, 144A

      6.125%       11/09/20          600        653,100  

Nabors Industries, Inc., Gtd. Notes

      4.625%       09/15/21          1,650        1,567,170  

Noble Energy, Inc., Sr. Unsec’d. Notes

      6.000%       03/01/41          1,530        1,712,053  

Petrobras Global Finance BV (Brazil), Gtd. Notes

      6.125%       01/17/22          165        170,198  

Petrobras Global Finance BV (Brazil), Gtd. Notes

      7.375%       01/17/27          405        428,490  

Petrobras Global Finance BV (Brazil), Gtd. Notes

      8.375%       05/23/21          2,475        2,770,465  

Petroleos Mexicanos (Mexico), Gtd. Notes

      4.875%       01/24/22          1,100        1,133,231  

Petroleos Mexicanos (Mexico), Gtd. Notes

      6.375%       01/23/45          1,015        989,625  

Petroleos Mexicanos (Mexico), Gtd. Notes, 144A

      5.375%       03/13/22          405        426,364  

Petroleos Mexicanos (Mexico), Gtd. Notes, 144A

      6.500%       03/13/27          370        397,473  

Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN

      2.750%       04/21/27       EUR        700        719,556  

Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN

      3.750%       02/21/24       EUR        400        472,939  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A47

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Oil & Gas (continued)

             

Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN

      4.875%       02/21/28       EUR        400      $ 475,718  

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

      6.875%       05/01/18          1,750        1,820,094  

Sasol Financing International PLC (South Africa), Gtd. Notes

      4.500%       11/14/22          1,525        1,560,533  

Sinopec Group Overseas Development 2015 Ltd. (China), Gtd.
Notes, 144A

      2.500%       04/28/20          1,250        1,255,886  

Sunoco LP/Sunoco Finance Corp., Gtd. Notes

      6.250%       04/15/21          1,533        1,601,985  

YPF SA (Argentina), Sr. Unsec’d. Notes, 144A

      8.500%       03/23/21          1,000        1,112,290  
            

 

 

  
               30,793,964  
            

 

 

  

Oil & Gas Services — 0.1%

             

Cameron International Corp., Gtd. Notes

      7.000%       07/15/38          450        592,396  
            

 

 

  

Packaging & Containers — 0.6%

             

Ball Corp., Gtd. Notes

      4.375%       12/15/23       EUR        1,125        1,453,567  

Greif Nevada Holdings, Gtd. Notes, 144A, MTN

      7.375%       07/15/21       EUR        1,470        2,032,386  

Greif, Inc., Sr. Unsec’d. Notes

      7.750%       08/01/19          1,815        1,987,425  

WestRock RKT Co., Gtd. Notes

      4.450%       03/01/19          1,165        1,208,286  
            

 

 

  
               6,681,664  
            

 

 

  

Pharmaceuticals — 0.6%

             

AbbVie, Inc., Sr. Unsec’d. Notes

      3.600%       05/14/25          1,020        1,040,465  

AbbVie, Inc., Sr. Unsec’d. Notes

      4.500%       05/14/35          1,715        1,808,699  

Actavis Funding SCS, Gtd. Notes

      3.800%       03/15/25          415        429,255  

Actavis Funding SCS, Gtd. Notes

      4.550%       03/15/35          1,850        1,974,557  

Actavis Funding SCS, Gtd. Notes

      4.750%       03/15/45          156        168,397  

Endo DAC/Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A

      6.000%       07/15/23          625        525,312  

Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a)

      3.150%       10/01/26          505        479,587  

Teva Pharmaceutical Finance Netherlands Ill BV (Israel), Gtd. Notes

      4.100%       10/01/46          160        147,373  

Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(a)

      6.125%       04/15/25          450        380,813  
            

 

 

  
               6,954,458  
            

 

 

  

Pipelines — 0.7%

             

Enterprise Products Operating LLC, Gtd. Notes

      4.900%       05/15/46          2,110        2,268,946  

Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A(g)

      6.375%       03/30/38          410        436,924  

Magellan Midstream Partners LP, Sr. Unsec’d. Notes

      4.200%       03/15/45          1,000        928,566  

MPLX LP, Sr. Unsec’d. Notes

      5.200%       03/01/47          115        118,436  

ONEOK Partners LP, Gtd. Notes

      2.000%       10/01/17          750        750,296  

Oneok Partners LP, Gtd. Notes

      6.850%       10/15/37          1,250        1,527,961  

Western Gas Partners LP, Sr. Unsec’d. Notes

      5.450%       04/01/44          575        583,693  

Williams Partners LP, Sr. Unsec’d. Notes

      4.900%       01/15/45          1,200        1,201,576  
            

 

 

  
               7,816,398  
            

 

 

  

Real Estate — 0.0%

             

ProLogis LP, Gtd. Notes

      6.875%       03/15/20          8        8,875  
            

 

 

  

Real Estate Investment Trusts (REITs) — 0.3%

             

DuPont Fabros Technology LP, Gtd. Notes

      5.875%       09/15/21          2,000        2,082,500  

Simon Property Group LP, Sr. Unsec’d. Notes

      3.375%       03/15/22          325        335,841  

Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A

      5.250%       12/15/24          1,235        1,286,253  
            

 

 

  
               3,704,594  
            

 

 

  

Retail — 0.6%

             

CVS Health Corp., Sr. Unsec’d. Notes

      5.125%       07/20/45          765        876,992  

Dufry Finance SCA (Switzerland), Gtd. Notes, 144A

      4.500%       08/01/23       EUR        775        943,810  

Limited Brands, Inc., Gtd. Notes

      6.625%       04/01/21          551        610,233  

Limited Brands, Inc., Gtd. Notes

      5.625%       02/15/22          1,600        1,712,000  

PVH Corp., Sr. Unsec’d. Notes, 144A

      3.625%       07/15/24       EUR        1,250        1,521,117  

Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(g)

      8.000%       06/15/22          775        636,469  
            

 

 

  
               6,300,621  
            

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A48

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Savings & Loans — 0.1%

              

People’s United Financial, Inc., Sr. Unsec’d. Notes

      3.650%        12/06/22          1,675      $ 1,710,222  
             

 

 

  

Semiconductors — 0.6%

              

Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A

      3.875%        01/15/27          1,850        1,899,765  

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

      4.625%        06/01/23          2,975        3,209,281  

Sensata Technologies BV, Gtd. Notes, 144A

      5.000%        10/01/25          1,750        1,830,150  
             

 

 

  
                6,939,196  
             

 

 

  

Software — 1.0%

              

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

      3.000%        08/15/26          1,050        1,016,732  

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

      4.500%        10/15/22          2,355        2,558,879  

First Data Corp., Gtd. Notes, 144A

      7.000%        12/01/23          2,225        2,375,187  

Infor US, Inc., Gtd. Notes(g)

      6.500%        05/15/22          950        983,250  

Infor US, Inc., Sr. Sec’d. Notes, 144A(g)

      5.750%        08/15/20          1,350        1,393,875  

Microsoft Corp., Sr. Unsec’d. Notes

      4.000%        02/12/55          435        440,496  

Microsoft Corp., Sr. Unsec’d. Notes

      4.500%        02/06/57          1,430        1,574,427  

Oracle Corp., Sr. Unsec’d. Notes

      4.300%        07/08/34          1,070        1,160,962  
             

 

 

  
                11,503,808  
             

 

 

  

Telecommunications — 1.5%

              

AT&T Corp., Gtd. Notes

      8.250%        11/15/31          55        76,395  

AT&T, Inc., Sr. Unsec’d. Notes

      3.400%        05/15/25          2,320        2,280,769  

AT&T, Inc., Sr. Unsec’d. Notes

      4.500%        05/15/35          300        295,138  

AT&T, Inc., Sr. Unsec’d. Notes

      4.500%        03/09/48          74        69,240  

AT&T, Inc., Sr. Unsec’d. Notes

      4.550%        03/09/49          499        471,543  

AT&T, Inc., Sr. Unsec’d. Notes

      4.750%        05/15/46          850        833,513  

AT&T, Inc., Sr. Unsec’d. Notes

      4.800%        06/15/44          1,515        1,501,432  

AT&T, Inc., Sr. Unsec’d. Notes

      5.250%        03/01/37          680        724,456  

AT&T, Inc., Sr. Unsec’d. Notes

      5.350%        09/01/40          49        51,885  

AT&T, Inc., Sr. Unsec’d. Notes

      5.450%        03/01/47          315        339,105  

Bharti Airtel International Netherlands BV (India),
Gtd. Notes, 144A

      5.125%        03/11/23          1,305        1,373,500  

Sprint Capital Corp., Gtd. Notes

      6.900%        05/01/19          1,300        1,387,685  

Sprint Corp., Gtd. Notes(a)

      7.625%        02/15/25          500        575,625  

T-Mobile USA, Inc., Gtd. Notes

      6.500%        01/15/26          1,675        1,848,781  

Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN

      6.375%        06/24/19       GBP        950        1,350,859  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.672%        03/15/55          2,741        2,566,091  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.750%        11/01/41          745        741,001  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      5.250%        03/16/37          775        833,118  
             

 

 

  
                17,320,136  
             

 

 

  

Textiles — 0.0%

 

Mohawk Industries, Inc., Sr. Unsec’d. Notes

      3.850%        02/01/23          294        303,548  
             

 

 

  

Transportation — 0.1%

 

Silk Bidco AS (Norway), Sr. Sec’d. Notes,

      7.500%        02/01/22       EUR        1,300        1,581,310  
             

 

 

  

TOTAL CORPORATE BONDS
(cost $453,286,701)

 

      475,306,576  
             

 

 

  
MUNICIPAL BONDS — 1.8%  

California — 0.7%

 

Bay Area Toll Authority, Revenue Bonds, BABs

      6.907%        10/01/50          1,125        1,700,853  

State of California, General Obligation Unlimited, BABs

      7.300%        10/01/39          2,280        3,334,067  

State of California, General Obligation Unlimited, BABs

      7.625%        03/01/40          725        1,104,581  

University of California, Revenue Bonds, BABs

      5.770%        05/15/43          1,400        1,793,372  
             

 

 

  
                7,932,873  
             

 

 

  

Colorado — 0.1%

 

Regional Transportation District, Revenue Bonds, Series 2010-B, BABs

      5.844%        11/01/50          770        1,036,451  
             

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A49

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Illinois — 0.2%

        

Chicago O’Hare International Airport, Revenue Bonds, BABs

      6.395%     01/01/40        1,380      $ 1,864,449  
            

 

 

  

New Jersey — 0.4%

        

New Jersey State Turnpike Authority, Revenue Bonds,
Series A, BABs

      7.102%     01/01/41        1,175        1,712,798  

New Jersey State Turnpike Authority, Revenue Bonds,
Series F, BABs

      7.414%     01/01/40        2,050        3,079,120  
            

 

 

  
               4,791,918  
            

 

 

  

Ohio — 0.1%

        

Ohio State University (The), Revenue Bonds, BABs

      4.910%     06/01/40        695        836,245  

Ohio State Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, BABs

      4.879%     12/01/34        450        512,662  
            

 

 

  
               1,348,907  
            

 

 

  

Oregon — 0.1%

        

Oregon State Department of Transportation, Revenue Bonds,
Series A, BABs

      5.834%     11/15/34        615        792,065  
            

 

 

  

Pennsylvania — 0.1%

        

Pennsylvania Turnpike Commission, Revenue Bonds,
Series B, BABs

      5.511%     12/01/45        800        997,384  
            

 

 

  

Tennessee — 0.1%

          

Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs

      6.731%     07/01/43        1,375        1,841,029  
            

 

 

  

TOTAL MUNICIPAL BONDS
(cost $14,872,569)

 

      20,605,076  
            

 

 

  
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 6.0%  

Alternative Loan Trust, Series 2004-18CB, Class 3A1

      5.250%     09/25/19        164        164,925  

Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A

      2.972% (c)    10/27/27        531        531,373  

Bayview Opportunity Master Fund IVb Trust, Series 2017-CRT1, Class M, 144A

      3.372% (c)    10/25/28        1,241        1,242,240  

Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A

      3.174% (c)    09/25/47        1,034        936,828  

Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1

      2.666% (c)    01/25/29        1,392        1,409,341  

Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2

      4.766% (c)    07/25/29        700        739,234  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2

      4.216% (c)    10/25/29        990        1,016,677  

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2014-DN4, Class M3

      5.766% (c)    10/25/24        654        720,585  

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2015-DNA1, Class M3

      4.516% (c)    10/25/27        3,460        3,867,886  

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-HQA2, Class M2

      3.466% (c)    11/25/28        1,450        1,490,040  

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-HQA3, Class M2

      2.566% (c)    03/25/29        760        772,267  

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2016-HQA4, Class M2

      2.516% (c)    04/25/29        1,740        1,759,483  

Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2017-DNA1, Class M2

      4.466% (c)    07/25/29        1,130        1,178,767  

GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A

      1.164% (c)    01/26/37        2,796        2,740,328  

GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A

      1.164% (c)    01/26/37        1,400        1,266,569  

GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A

      1.164% (c)    03/26/37        2,473        2,399,502  

GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A

      1.164% (c)    03/26/37        700        597,597  

Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1

      1.429% (c)    07/19/47        2,126        1,811,659  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A

      3.050% (c)    09/01/21        1,345        1,345,255  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A50

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A

      3.050% (c)    05/01/22        11,956      $ 11,841,209  

LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A

      3.050% (c)    05/01/22        8,465        8,376,567  

LSTAR Securities Investment Trust (Cayman Islands), Series 2016-5, Class A1, 144A

      3.050% (c)    11/01/21        1,468        1,467,238  

LSTAR Securities Investment Trust (Cayman Islands), Series 2017-1, Class A, 144A^

      3.050% (c)    01/01/22        2,713        2,706,955  

MASTR Alternative Loan Trust, Series 2004-4, Class 4A1

      5.000%     04/25/19        21        21,219  

Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^

      2.317% (c)    05/10/19        6,310        6,310,000  

Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A

      2.287% (c)    06/10/19        1,100        1,098,161  

Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A

      1.967% (c)    07/10/19        2,210        2,210,929  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

      3.396% (c)    02/25/34        812        816,493  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1

      3.369% (c)    12/25/34        4,097        3,976,368  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3

      4.216% (c)    07/25/32        462        453,380  

Towd Point Mortgage Funding PLC (United Kingdom),
Series 2016-V1A, Class A1, 144A

      1.504% (c)    02/20/54     GBP        2,038        2,671,074  

Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-1, Class 3A

      5.000%     03/25/20        114        114,168  
            

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $67,005,451)

 

      68,054,317  
            

 

 

  
SOVEREIGN BONDS — 4.7%  

Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes

      6.875%     04/22/21        1,175        1,257,250  

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

      4.000%     02/26/24        250        259,500  

Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes

      7.500%     05/06/21        2,250        2,486,250  

Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes, 144A

      6.850%     01/27/45        600        639,000  

Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes, 144A

      7.450%     04/30/44        290        330,600  

Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes, 144A

      7.500%     05/06/21        600        663,000  

Hellenic Republic Government Bond (Greece), Bonds

      3.000% (c)    02/24/31     EUR        620        560,503  

Hellenic Republic Government Bond (Greece), Bonds

      3.000% (c)    02/24/34     EUR        640        554,213  

Hellenic Republic Government International Bond (Greece), Bonds

      3.000% (c)    02/24/32     EUR        1,280        1,143,073  

Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes, EMTN(g)

      3.800%     08/08/17     JPY        680,000        5,976,503  

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes

      4.125%     02/19/18        2,020        2,048,401  

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes

      5.375%     02/21/23        436        485,050  

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes

      5.375%     03/25/24        290        326,458  

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes

      5.750%     11/22/23        2,300        2,629,921  

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes

      6.000%     01/11/19     EUR        715        890,287  

Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes

      6.375%     03/29/21        2,776        3,121,612  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A51

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Indonesia Government International Bond (Indonesia), Sr. Unsec.d Notes

      3.375%     07/30/25     EUR        1,625      $ 2,024,281  

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, EMTN

      2.875%     07/08/21     EUR        825        1,010,214  

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN

      3.750%     06/14/28     EUR        500        625,505  

Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes

      1.750%     05/29/19        600        597,365  

Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes

      1.750%     07/31/18        2,000        1,999,598  

Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes

      2.125%     06/01/20        400        399,954  

Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes

      2.250%     02/24/20        800        803,459  

Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes

      2.500%     06/01/22        800        803,599  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, MTN

      2.500%     09/12/18        3,000        3,014,970  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.625%     04/20/22        1,000        1,001,349  

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes

      4.600%     01/23/46        700        683,270  

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN

      4.750%     03/08/44        462        462,462  

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

      3.750%     03/16/25        450        463,500  

Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A

      3.974% (s)    05/31/18        198        193,101  

Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes

      9.500%     02/02/30        450        721,182  

Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, MTN

      5.125%     10/15/24        2,100        2,142,000  

Province of Ontario Canada (Canada), Sr. Unsec’d. Notes

      2.400%     02/08/22        345        347,662  

Province of Ontario Canada (Canada), Sr. Unsec’d. Notes

      4.400%     04/14/20        350        373,277  

Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A

      9.950%     06/09/21        1,940        2,211,503  

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A, MTN

      3.875%     10/29/35     EUR        945        1,128,422  

Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN

      3.875%     10/29/35     EUR        1,000        1,194,097  

Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN

      3.250%     10/26/26        1,450        1,437,733  

Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes

      5.250%     02/18/24        600        686,339  

Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes

      5.500%     10/26/22        1,300        1,483,167  

Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes

      5.850%     05/10/23        200        232,987  

Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes

      2.125%     05/19/20        1,000        996,044  

Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A

      2.500%     06/08/22        600        601,181  

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

      5.625%     03/30/21        500        530,000  

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

      7.000%     06/05/20        1,510        1,651,079  
            

 

 

  

TOTAL SOVEREIGN BONDS
(cost $53,090,591)

 

      53,190,921  
            

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A52

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.3%    Interest
Rate		      Maturity
Date		   Principal
Amount
(000)#		      Value  

Federal Home Loan Mortgage Corp.

      5.500%      10/01/33        834      $ 950,969  

Federal Home Loan Mortgage Corp.

      5.500%      06/01/34        12        13,576  

Federal Home Loan Mortgage Corp.

      6.000%      11/01/33        238        269,269  

Federal Home Loan Mortgage Corp.

      6.000%      05/01/34        142        159,358  

Federal Home Loan Mortgage Corp.

      6.000%      06/01/34        161        181,414  

Federal Home Loan Mortgage Corp.(hh)

      6.250%      07/15/32        830        1,179,880  

Federal Home Loan Mortgage Corp.

      6.500%      07/01/32        30        32,617  

Federal Home Loan Mortgage Corp.

      6.500%      07/01/32        33        36,897  

Federal Home Loan Mortgage Corp.

      6.500%      08/01/32        68        75,140  

Federal Home Loan Mortgage Corp.

      6.500%      08/01/32        58        63,845  

Federal Home Loan Mortgage Corp.

      6.500%      08/01/32        63        73,297  

Federal Home Loan Mortgage Corp.

      6.500%      09/01/32        172        193,350  

Federal Home Loan Mortgage Corp.

      6.500%      09/01/32        53        58,876  

Federal Home Loan Mortgage Corp.(hh)

      6.750%      03/15/31        600        868,085  

Federal National Mortgage Assoc.

      5.500%      02/01/33        29        32,559  

Federal National Mortgage Assoc.

      5.500%      02/01/33        24        26,709  

Federal National Mortgage Assoc.

      5.500%      03/01/33        78        87,380  

Federal National Mortgage Assoc.

      5.500%      03/01/33        74        82,729  

Federal National Mortgage Assoc.

      5.500%      03/01/33        35        38,688  

Federal National Mortgage Assoc.

      5.500%      04/01/33        48        53,373  

Federal National Mortgage Assoc.

      5.500%      04/01/33        53        59,816  

Federal National Mortgage Assoc.

      5.500%      04/01/33        11        12,026  

Federal National Mortgage Assoc.

      5.500%      04/01/33        40        44,758  

Federal National Mortgage Assoc.

      5.500%      07/01/33        56        62,466  

Federal National Mortgage Assoc.

      5.500%      07/01/33        52        57,821  

Federal National Mortgage Assoc.

      5.500%      08/01/33        18        19,643  

Federal National Mortgage Assoc.

      5.500%      02/01/34        47        52,480  

Federal National Mortgage Assoc.

      5.500%      04/01/34        48        52,852  

Federal National Mortgage Assoc.

      5.500%      06/01/34        42        47,156  

Federal National Mortgage Assoc.

      6.000%      10/01/33        329        375,733  

Federal National Mortgage Assoc.

      6.000%      10/01/33        4        4,361  

Federal National Mortgage Assoc.

      6.000%      03/01/34        128        143,894  

Federal National Mortgage Assoc.

      6.000%      02/01/35        285        329,338  

Federal National Mortgage Assoc.

      6.000%      11/01/36        83        93,686  

Federal National Mortgage Assoc.(hh)

      6.250%      05/15/29        1,090        1,479,087  

Federal National Mortgage Assoc.

      6.500%      08/01/32        181        205,858  

Federal National Mortgage Assoc.

      6.500%      09/01/32        128        141,251  

Federal National Mortgage Assoc.

      6.500%      09/01/32        256        288,695  

Federal National Mortgage Assoc.

      6.500%      10/01/32        122        136,820  

Federal National Mortgage Assoc.

      6.500%      04/01/33        231        260,352  

Federal National Mortgage Assoc.

      6.500%      11/01/33        8        8,841  

Federal National Mortgage Assoc.(hh)

      6.625%      11/15/30        530        757,721  

Federal National Mortgage Assoc.

      7.000%      05/01/32        93        100,878  

Federal National Mortgage Assoc.

      7.000%      06/01/32        9        10,367  

Federal National Mortgage Assoc.(hh)

      7.125%      01/15/30        785        1,145,874  

Government National Mortgage Assoc.

      5.500%      01/15/33        99        111,261  

Government National Mortgage Assoc.

      5.500%      02/15/33        73        82,317  

Government National Mortgage Assoc.

      5.500%      05/15/33        203        225,280  

Government National Mortgage Assoc.

      5.500%      05/15/33        147        163,134  

Government National Mortgage Assoc.

      5.500%      06/15/33        228        258,520  

Government National Mortgage Assoc.

      5.500%      09/15/33        125        140,503  

Government National Mortgage Assoc.

      5.500%      07/15/35        102        115,365  

Government National Mortgage Assoc.

      6.000%      12/15/32        181        213,667  

Government National Mortgage Assoc.

      6.000%      11/15/33        90        103,960  

Government National Mortgage Assoc.

      6.000%      01/15/34        15        17,598  

Government National Mortgage Assoc.

      6.000%      06/20/34        482        547,666  

Government National Mortgage Assoc.

      6.000%      11/15/34        724        827,023  

Government National Mortgage Assoc.

      6.500%      09/15/32        242        269,445  

Government National Mortgage Assoc.

      6.500%      09/15/32        262        291,104  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A53

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Government National Mortgage Assoc.

      6.500%     09/15/32        93      $ 102,048  

Government National Mortgage Assoc.

      6.500%     11/15/33        217        243,283  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      2.875%     02/01/27        365        373,557  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      7.125%     05/01/30        510        738,835  
            

 

 

  

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $14,638,903)

 

      15,194,351  
            

 

 

  
U.S. TREASURY OBLIGATIONS — 4.9%  

U.S. Treasury Bonds(hh)(k)

      2.500%     05/15/46        2,105        1,958,391  

U.S. Treasury Bonds(k)

      2.875%     05/15/43        3,955        3,993,316  

U.S. Treasury Bonds

      3.000%     02/15/47        3,925        4,048,881  

U.S. Treasury Bonds(hh)(k)

      4.250%     11/15/40        2,350        2,953,106  

U.S. Treasury Notes

      1.250%     07/31/23        2,500        2,386,915  

U.S. Treasury Notes(hh)

      1.375%     04/30/21        285        281,360  

U.S. Treasury Notes(hh)(k)

      1.375%     05/31/21        9,960        9,821,885  

U.S. Treasury Notes

      1.625%     05/31/23        6,500        6,356,799  

U.S. Treasury Notes(a)

      1.750%     05/31/22        1,890        1,878,926  

U.S. Treasury Notes

      1.750%     06/30/22        4,605        4,575,141  

U.S. Treasury Notes

      2.000%     05/31/24        2,930        2,906,422  

U.S. Treasury Notes

      2.000%     06/30/24        615        609,571  

U.S. Treasury Notes

      2.000%     02/15/25        3,000        2,958,867  

U.S. Treasury Notes

      2.250%     04/30/21        2,490        2,538,341  

U.S. Treasury Notes(hh)

      2.250%     07/31/21        805        820,314  

U.S. Treasury Notes

      2.375%     05/15/27        3,800        3,824,046  

U.S. Treasury Strips Coupon, IO(k)

      2.783% (s)    08/15/29        1,200        881,630  

U.S. Treasury Strips Coupon, IO(k)

      2.878% (s)    05/15/31        1,200        833,159  

U.S. Treasury Strips Coupon, IO(hh)(k)

      3.042% (s)    11/15/35        2,400        1,448,534  

U.S. Treasury Strips Coupon, IO(hh)

      3.202% (s)    08/15/40        2,400        1,228,337  
            

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(cost $56,367,661)

 

      56,303,941  
            

 

 

  
PREFERRED STOCKS — 0.2%  

Banking

 

Citigroup Capital XIII, 7.542%, (Capital Security, fixed to floating preferred)(c)

 

      45,000        1,169,100  

State Street Corp., 5.35%(c)

 

      35,000        960,050  
            

 

 

  

TOTAL PREFERRED STOCKS
(cost $2,000,000)

 

      2,129,150  
            

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $958,333,452)

 

      993,120,652  
            

 

 

  
SHORT-TERM INVESTMENTS — 14.0%                     Shares         

AFFILIATED MUTUAL FUNDS — 13.8%

 

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)

 

      9,007,960        83,683,947  

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

 

      60,139,274        60,139,274  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund
(cost $12,437,257; includes $12,427,946 of cash collateral for securities on loan)(b)(w)

 

      12,436,473        12,437,717  
            

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $159,932,660)

 

      156,260,938  
            

 

 

  
           Counterparty   Notional
Amount
(000)#		         
OPTIONS PURCHASED* — 0.2%  

Call Options — 0.1%

 

Interest Rate Swaptions,

 

Receive fixed rate of 1.38% and pay a floating rate based on
3 Month LIBOR, expiring 10/30/17

 

   JPMorgan Chase        133,510        61,749  

Receive fixed rate of 1.45% and pay a floating rate based on
3 Month LIBOR, expiring 08/30/17

 

   Barclays Capital Group        16,725        1,771  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A54

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

OPTIONS PURCHASED* (continued)           Counterparty   Notional
Amount
(000)#		      Value  

Call Options (continued)

 

Receive fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 09/29/17

       JPMorgan Chase        121,290      $ 11,098  

Receive fixed rate of 1.95% and pay a floating rate based on 3 Month LIBOR, expiring 10/30/17

       JPMorgan Chase        133,510        690,295  

Receive fixed rate of 2.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/30/17

       Barclays Capital Group        16,725        68,052  

Receive fixed rate of 2.15% and pay a floating rate based on 3 Month LIBOR, expiring 09/29/17

       JPMorgan Chase        121,290        185,959  
             

 

 

  
                1,018,924  
             

 

 

  

Put Options — 0.1%

 

Interest Rate Swaptions,

 

Pay a fixed rate of 2.00% and receive a floating rate based on 6 Month EURIBOR, expiring 09/05/17

       Goldman Sachs & Co.     EUR        2,120        13,328  

Pay a fixed rate of 2.07% and receive a floating rate based on 6 Month EURIBOR, expiring 10/02/17

       Goldman Sachs & Co.     EUR        2,120        12,813  

Pay a fixed rate of 2.34% and receive a floating rate based on 6 Month EURIBOR, expiring 09/05/17

       Goldman Sachs & Co.     EUR        3,210        4,327  

Pay a fixed rate of 2.39% and receive a floating rate based on 6 Month EURIBOR, expiring 10/02/17

       Goldman Sachs & Co.     EUR        3,210        6,050  

Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/05/18

       Barclays Capital Group        8,250        261,820  

Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Citigroup Global Markets        710        23,646  

Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Barclays Capital Group        7,540        251,118  

Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 05/03/18

       Barclays Capital Group        8,250        285,979  

Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/05/18

       Barclays Capital Group        8,250        24,094  

Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Citigroup Global Markets        710        2,355  

Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Barclays Capital Group        7,540        25,014  

Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 05/03/18

       Barclays Capital Group        8,250        30,339  
             

 

 

  
                940,883  
             

 

 

  

TOTAL OPTIONS PURCHASED
(cost $2,678,554)

 

      1,959,807  
             

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $162,611,214)

 

      158,220,745  
             

 

 

  

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 101.4%
(cost $1,120,944,666)

 

      1,151,341,397  
             

 

 

  
OPTIONS WRITTEN* — (0.1)%  

Call Options — (0.1)%

 

Interest Rate Swaptions,

 

Pay a fixed rate of 1.63% and receive a floating rate based on 3 Month LIBOR, expiring 10/30/17

       JPMorgan Chase        133,510        (183,482 ) 

Pay a fixed rate of 1.70% and receive a floating rate based on 3 Month LIBOR, expiring 10/30/17

       JPMorgan Chase        133,510        (253,028 ) 

Pay a fixed rate of 1.80% and receive a floating rate based on 3 Month LIBOR, expiring 09/29/17

       JPMorgan Chase        121,290        (43,133 ) 

Pay a fixed rate of 1.75% and receive a floating rate based on 3 Month LIBOR, expiring 08/30/17

       Barclays Capital Group        33,450        (22,378 ) 

Pay a fixed rate of 1.85% and receive a floating rate based on 3 Month LIBOR, expiring 09/29/17

       JPMorgan Chase        121,290        (53,798 ) 
             

 

 

  
                (555,819 ) 
             

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A55

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

OPTIONS WRITTEN* (continued)           Counterparty   Notional
Amount
(000)#		      Value  

Put Options — (0.0)%

              

Interest Rate Swaptions,

              

Receive fixed rate of 2.14% and pay a floating rate based on 6 Month EURIBOR, expiring 09/05/17

       Goldman Sachs & Co.     EUR        3,210      $ (14,960 ) 

Receive fixed rate of 2.19% and pay a floating rate based on 6 Month EURIBOR, expiring 10/02/17

       Goldman Sachs & Co.     EUR        3,210        (16,412 ) 

Receive fixed rate of 2.20% and pay a floating rate based on 6 Month EURIBOR, expiring 09/05/17

       Goldman Sachs & Co.     EUR        2,120        (2,967 ) 

Receive fixed rate of 2.27% and pay a floating rate based on 6 Month EURIBOR, expiring 10/02/17

       Goldman Sachs & Co.     EUR        2,120        (3,635 ) 

Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/05/18

       Barclays Capital Group        8,250        (118,881 ) 

Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Citigroup Global Markets        710        (11,045 ) 

Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Barclays Capital Group        7,540        (117,293 ) 

Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 05/03/18

       Barclays Capital Group        8,250        (136,634 ) 

Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/05/18

       Barclays Capital Group        8,250        (50,261 ) 

Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Citigroup Global Markets        710        (4,807 ) 

Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18

       Barclays Capital Group        7,540        (51,054 ) 

Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 05/03/18

       Barclays Capital Group        8,250        (60,864 ) 
             

 

 

  
                (588,813 ) 
             

 

 

  

TOTAL OPTIONS WRITTEN
(premiums received $1,818,019)

 

      (1,144,632 ) 
             

 

 

  

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 101.3%
(cost $1,119,126,647)

 

      1,150,196,765  

LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (1.3)%

 

      (15,234,648 ) 
             

 

 

  

NET ASSETS — 100.0%

 

    $ 1,134,962,117  
             

 

 

  

See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

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

 

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,545,410 and 1.3% of net assets.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $12,183,783; cash collateral of $12,427,946 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

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

 

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

 

(d) Represents issuer in default on interest payments. Non-income producing security.

 

(f) Indicates a restricted security; the aggregate original cost of such securities is $1,317,944. The aggregate value, $1,387,469, is 0.1% of net assets.

 

(g) Indicates a security that has been deemed illiquid; the aggregate value of $20,593,890 is 1.8% of net assets.

 

(h) Represents security, or a portion thereof, segregated as collateral for OTC swap agreements.

 

(hh) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(k) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(p) Interest rate not available as of June 30, 2017.

 

(r) Less than $500 par.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A56

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

(s) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.

 

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

Futures contracts outstanding at June 30, 2017:

 

Number of
Contracts		   Type     Expiration
Date		     Value at
Trade Date		     Value at
June 30, 2017		     Unrealized
Appreciation
(Depreciation)		  
Long Positions:          
2,765     5 Year U.S. Treasury Notes       Sep. 2017     $ 326,677,915     $ 325,816,367     $ (861,548 ) 
1,691     10 Year U.S. Treasury Notes       Sep. 2017       213,342,306       212,273,344       (1,068,962 ) 
80     10 Year U.S. Ultra Treasury Bonds       Sep. 2017       10,841,326       10,785,000       (56,326 ) 
616     30 Year U.S. Ultra Treasury Bonds       Sep. 2017       100,204,872       102,179,000       1,974,128  
         

 

 

  
      (12,708 ) 
         

 

 

  
Short Positions:          
467     2 Year U.S. Treasury Notes       Sep. 2017       101,062,868       100,923,078       139,790  
23     5 Year Euro-Bobl       Sep. 2017       3,493,765       3,459,693       34,072  
4     10 Year Euro-Bund       Sep. 2017       753,105       739,521       13,584  
257     20 Year U.S. Treasury Bonds       Sep. 2017       39,603,947       39,497,688       106,259  
         

 

 

  
      293,705  
         

 

 

  
    $    280,997  
         

 

 

  

Securities with a combined market value of $6,540,767 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.

Forward foreign currency exchange contracts outstanding at June 30, 2017:

 

Purchase Contracts

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

OTC forward foreign currency exchange contracts:

 

               

Mexican Peso,

                       

Expiring 08/08/17

      Citigroup Global Markets        MXN    2,657        $ 142,983        $ 145,462        $ 2,479  

Expiring 08/08/17

      Goldman Sachs & Co.        MXN 2,698          146,190          147,666          1,476  

Expiring 08/08/17

      UBS AG        MXN 2,698          146,156          147,666          1,510  
            

 

 

       

 

 

       

 

 

  
             $ 435,329        $ 440,794        $ 5,465  
            

 

 

       

 

 

       

 

 

  

Sale Contracts

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

OTC forward foreign currency exchange contracts:

 

               

Australian Dollar,

                       

Expiring 07/12/17

      UBS AG        AUD    559        $ 418,379        $ 429,849        $ (11,470 ) 

British Pound,

 

Expiring 07/27/17

      Bank of America        GBP 5,683          7,304,232          7,409,371          (105,139 ) 

Euro,

 

Expiring 07/27/17

      Citigroup Global Markets        EUR 31,458          34,551,973          35,984,662          (1,432,689 ) 

Expiring 07/27/17

     
 Hong Kong & Shanghai
Bank		  
 		      EUR 977          1,070,233          1,117,583          (47,350 ) 

Expiring 07/27/17

      JPMorgan Chase        EUR 628          684,659          717,812          (33,153 ) 

Expiring 07/27/17

      JPMorgan Chase        EUR 1,406          1,548,025          1,608,342          (60,317 ) 

Hungarian Forint,

 

Expiring 07/21/17

      Citigroup Global Markets        HUF 219,665          754,837          813,096          (58,259 ) 

Israeli Shekel,

 

Expiring 07/21/17

      Citigroup Global Markets        ILS 400          109,504          114,896          (5,392 ) 

Japanese Yen,

 

Expiring 07/27/17

      Citigroup Global Markets        JPY 45,193          408,981          402,300          6,681  

Expiring 07/27/17

      JPMorgan Chase        JPY 533,825          4,698,506          4,752,054          (53,548 ) 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A57

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Forward foreign currency exchange contracts outstanding at June 30, 2017 (continued):

 

Sale Contracts

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

OTC forward foreign currency exchange contracts (continued):

 

               

Polish Zloty,

 

Expiring 07/21/17

        UBS AG        PLN 2,314        $ 585,323        $ 624,364        $ (39,041 ) 

South African Rand,

 

Expiring 07/07/17

        Citigroup Global Markets        ZAR       8,074          578,827          616,336          (37,509 ) 
              

 

 

       

 

 

       

 

 

  
               $ 52,713,479        $ 54,590,665          (1,877,186 ) 
              

 

 

       

 

 

       

 

 

  
                         $ (1,871,721 ) 
                        

 

 

  

Cross currency exchange contracts outstanding at June 30, 2017:

 

Settlement

    Type    Notional
Amount (000)		    In Exchange
For (000)		    Unrealized
Appreciation
(Depreciation)		    

Counterparty

07/27/17

    Buy    GBP   364    EUR   415    $ (626 )    JPMorgan Chase
                 

 

 

    

Credit default swap agreements outstanding at June 30, 2017:

 

Reference Entity/ Obligation

    Termination
Date		      Fixed
Rate		      Notional
Amount
(000)#(3)		      Fair
Value(4)		      Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		     

Counterparty

OTC credit default swaps on asset-backed securities—Sell Protection(2)^:

Ameriquest Home Equity

      07/28/17        1.500%        238      $      307      $     —      $      307     

Goldman Sachs & Co.

Ameriquest Home Equity

      07/28/17        1.500%        156        202        —        202     

Goldman Sachs & Co.

Ameriquest Home Equity

      07/28/17        1.500%        151        195        —        195     

Goldman Sachs & Co.

Ameriquest Home Equity

      07/28/17        1.500%        220        284        —        284     

Goldman Sachs & Co.

Banc of America Commercial Mortgage Trust

      07/31/17        1.500%        27        36        —        36     

Goldman Sachs & Co.

Banc of America Commercial Mortgage Trust

      07/31/17        1.500%        36        48        —        48     

Goldman Sachs & Co.

Bear Stearns Asset Backed Securities Trust

      07/28/17        1.500%        116        150        —        150     

Goldman Sachs & Co.

Bear Stearns Asset Backed Securities Trust

      07/28/17        1.500%        387        500        —        500     

Goldman Sachs & Co.

Chase Mortgage

      07/28/17        1.500%        159        206        —        206     

Goldman Sachs & Co.

Chase Mortgage

      07/28/17        1.500%        474        612        —        612     

Goldman Sachs & Co.

Chase Mortgage

      07/28/17        1.500%        435        562        —        562     

Goldman Sachs & Co.

Citigroup Commercial Mortgage Trust

      07/31/17        1.500%        83        110        —        110     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        73        97        —        97     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        269        358        —        358     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        29        39        —        39     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        62        82        —        82     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        37        49        —        49     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        42        56        —        56     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        249        332        —        332     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        99        132        —        132     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        47        63        —        63     

Goldman Sachs & Co.

COMM Mortgage Trust

      07/31/17        1.500%        278        370        —        370     

Goldman Sachs & Co.

Commercial Mortgage Pass Through Certificate

      07/31/17        1.500%        62        83        —        83     

Goldman Sachs & Co.

Countrywide Home Equity

      07/28/17        1.500%        152        197        —        197     

Goldman Sachs & Co.

Federal Home Loan Mortgage Corp.

      07/03/17        1.500%        222        305        —        305     

Goldman Sachs & Co.

Federal Home Loan Mortgage Corp.

      07/03/17        1.500%        218        299        —        299     

Goldman Sachs & Co.

Federal Home Loan Mortgage Corp.

      07/03/17        1.500%        90        124        —        124     

Goldman Sachs & Co.

GS Mortgage Securities Trust

      07/31/17        1.500%        38        51        —        51     

Goldman Sachs & Co.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A58

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Credit default swap agreements outstanding at June 30, 2017 (continued):

 

Reference Entity/ Obligation

    Termination
Date		      Fixed
Rate		      Notional
Amount
(000)#(3)		      Fair
Value(4)		      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		     

Counterparty

OTC credit default swaps on asset-backed securities—Sell Protection(2)^ (continued):

GS Mortgage Securities Trust

      07/31/17        1.500%        48      $ 64      $ —     $ 64     

Goldman Sachs & Co.

GS Mortgage Securities Trust

      07/31/17        1.500%        211        281        —       281     

Goldman Sachs & Co.

GS Mortgage Securities Trust

      07/31/17        1.500%        52        69        —       69     

Goldman Sachs & Co.

GS Mortgage Securities Trust

      07/31/17        1.500%        107        142        —       142     

Goldman Sachs & Co.

GS Mortgage Securities Trust

      07/31/17        1.500%        255        339        —       339     

Goldman Sachs & Co.

GSAMP Home Equity

      07/28/17        1.500%        142        184        —       184     

Goldman Sachs & Co.

JPMBB Commercial Mortgage Securities Trust

      07/31/17        1.500%        38        51        —       51     

Goldman Sachs & Co.

JPMBB Commercial Mortgage Securities Trust

      07/31/17        1.500%        17        23        —       23     

Goldman Sachs & Co.

JPMBB Commercial Mortgage Securities Trust

      07/31/17        1.500%        141        188        —       188     

Goldman Sachs & Co.

Lehman Home Equity

      07/28/17        1.500%        375        484        —       484     

Goldman Sachs & Co.

LNR CDO Ltd.

      07/11/17        1.500%        1,102        1,422        (46 )      1,468     

Goldman Sachs & Co.

Long Beach Home Equity

      07/28/17        1.500%        290        374        —       374     

Goldman Sachs & Co.

Morgan Stanley BAML Trust

      07/31/17        1.500%        64        85        —       85     

Goldman Sachs & Co.

Morgan Stanley BAML Trust

      07/31/17        1.500%        56        75        —       75     

Goldman Sachs & Co.

Morgan Stanley BAML Trust

      07/31/17        1.500%        46        61        —       61     

Goldman Sachs & Co.

Morgan Stanley BAML Trust

      07/31/17        1.500%        314        418        —       418     

Goldman Sachs & Co.

Morgan Stanley BAML Trust

      07/31/17        1.500%        25        33        —       33     

Goldman Sachs & Co.

UBS Barclays Commercial Mortgage Trust

      07/31/17        1.500%        32        43        —       43     

Goldman Sachs & Co.

WF-RBS Commercial Mortgage Trust

      07/31/17        1.500%        30        40        —       40     

Goldman Sachs & Co.

WF-RBS Commercial Mortgage Trust

      07/31/17        1.500%        47        63        —       63     

Goldman Sachs & Co.

           

 

 

     

 

 

    

 

 

     
            $ 10,288      $ (46 )    $ 10,334     
           

 

 

     

 

 

    

 

 

     

 

Reference Entity/ Obligation

    Termination
Date		      Fixed
Rate		      Notional
Amount
(000)#(3)		      Implied
Credit
Spread at
June 30,
2017(5)		     Value at
Trade
Date		      Value at
June 30,
2017		     
Unrealized
Appreciation
(Depreciation)		  

Centrally cleared credit default swaps on corporate and/or sovereign issues—Sell Protection(2):

 

CIT Group, Inc.

      06/20/18        5.000%        5,350        0.124 %    $ 341,964      $ 262,662      $ (79,302 ) 

General Motors Co.

      06/20/19        5.000%        1,925        0.275 %      216,698        180,848        (35,850 ) 
             

 

 

     

 

 

     

 

 

  
              $ 558,662      $ 443,510      $ (115,152 ) 
             

 

 

     

 

 

     

 

 

  

 

Reference Entity/ Obligation

    Termination
Date		      Fixed
Rate		      Notional
Amount
(000)#(3)		      Value at
Trade
Date		     Value at
June 30,
2017(4)		     Unrealized
Appreciation
(Depreciation)		  

Centrally cleared credit default swaps on credit indices—Buy Protection(1):

 

CDX.NA.HY.28.V1

      06/20/22        5.000%        13,900      $ (872,920 )    $ (979,558 )    $ (106,638 ) 
           

 

 

    

 

 

    

 

 

  

 

Reference Entity/ Obligation

    Termination
Date		      Fixed
Rate		      Notional
Amount
(000)#(3)		      Implied
Credit
Spread at
June 30,
2017(5)		     Fair
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		    

Counterparty

OTC credit default swaps on corporate and/or sovereign Issues—Sell Protection(2):

 

    

Petroleo Brasileriro SA

      06/20/18        1.000%        2,250        0.815 %    $ 4,728     $ (172,518 )    $ 177,246    

Morgan Stanley

Republic of Italy

      09/20/20        1.000%        9,680        1.154 %      (43,370 )      44,911       (88,281 )   

JPMorgan Chase

Republic of Italy

      09/20/20        1.000%        2,000        1.154 %      (8,961 )      5,761       (14,722 )   

JPMorgan Chase

             

 

 

    

 

 

    

 

 

    
              $ (47,603 )    $ (121,846 )    $ 74,243    
             

 

 

    

 

 

    

 

 

    

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A59

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

 

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(4) The fair value of credit default swap agreements on credit indices and asset-backed securities serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

 

(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency swap agreements outstanding at June 30, 2017:

 

Notional
Amount
(000)#		    

Fund
Receives

    Notional
Amount
(000)#		   Fund
Pays		   Counterparty     Termination
Date		     Fair
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
 

OTC currency swap agreements:

        
  1,157     3 Month LIBOR      EUR     

900

   3 Month EURIBOR
minus 31.75 bps		    
 Hong Kong &
Shanghai Bank		  
 		     09/28/17       $129,818       $  —       $129,818  
  1,003     3 Month LIBOR      EUR     

900

   (0.613)%     JPMorgan Chase       02/22/20       (16,843 )      —       (16,843 ) 
               

 

 

    

 

 

    

 

 

  
                $ 112,975     $   —     $ 112,975  
               

 

 

    

 

 

    

 

 

  

Forward rate agreements outstanding at June 30, 2017:

 

    Notional    
Amount
(000)#		      Termination
Date		      Fixed
Rate		     

Floating Rate

    Value at
Trade Date		      Value at
June 30, 2017		     Unrealized
Appreciation
(Depreciation)		  
 

Centrally cleared forward rate agreement:

    
  1,176,000        12/20/17        1.568%     

3 Month LIBOR(1)

    $   —      $ (279,149 )    $ (279,149 ) 
           

 

 

     

 

 

    

 

 

  

 

(1) The Portfolio pays the fixed rate and receives the floating rate.

 

(2) The Portfolio pays the floating rate and receives the fixed rate.

Interest rate swap agreements outstanding at June 30, 2017:

 

Notional
Amount
(000)#

        Termination
Date		        Fixed
Rate		  

Floating Rate

      Value at
Trade Date		        Value at
June 30, 2017		      Unrealized
Appreciation
(Depreciation)		  

Centrally cleared swap agreements:

 

BRL      25,346          01/04/21        0.000%   1 Day BROIS(2)      $       —        $     94,634      $     94,634  
BRL      12,351          01/04/21        0.000%   1 Day BROIS(2)        —          39,850        39,850  
BRL      12,798          01/04/21        0.000%   1 Day BROIS(2)        —          8,156        8,156  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A60

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2017 (continued):

 

Notional
Amount
(000)#

        Termination
Date		        Fixed
Rate		     

Floating Rate

      Value at
Trade Date		        Value at
June 30, 2017		      Unrealized
Appreciation
(Depreciation)		  

Centrally cleared swap agreements (continued):

             
BRL      8,070          01/04/21          0.000 %     1 Day BROIS(2)      $ —        $ 9,264      $ 9,264  
EUR      8,000          08/01/19          0.346 %     1 Day EUROIS(1)        (131,181 )         (173,834 )       (42,653 ) 
EUR      1,255          10/06/21          (0.385 %)     1 Day EONIA(1)        174          23,786        23,612  
EUR      1,150          06/20/24          (0.050 %)     1 Day EUROIS(1)        100          35,346        35,246  
EUR      1,380          09/13/24          (0.104 %)     1 Day EUROIS(1)        179          50,375        50,196  
EUR      2,000          07/28/25          0.780 %    

1 Day EUROIS(1)

        180          (80,735 )       (80,915 ) 
EUR      3,900          02/23/26          0.324 %    

1 Day EUROIS(1)

        (2,798 )         75,714        78,512  
EUR      1,640          05/11/30          0.850 %    

6 Month EURIBOR(1)

        60,675          67,014        6,339  
EUR      705          03/04/36          0.865 %    

1 Day EUROIS(1)

        (798 )         54,071        54,869  
EUR      550          04/11/36          0.962 %    

6 Month EURIBOR(1)

        180          48,164        47,984  
GBP      1,950          02/23/21          0.639 %    

1 Day GBP OIS(1)

        221          (4,260 )       (4,481 ) 
MXN      69,000          10/15/26          6.445 %    

28 Day Mexican Interbank Rate(2)

        37          (189,494 )       (189,531 ) 
MXN      85,925          12/09/26          7.780 %    

28 Day Mexican Interbank Rate(2)

        (53,845 )         215,751        269,596  
NZD      21,750          12/15/17          2.125 %    

3 Month New Zealand Bank Bill(2)

        122          10,840        10,718  
     57,350          08/19/17          0.524 %    

1 Day USOIS(1)

        202          119,839        119,637  
     231,530          09/09/17          0.539 %    

1 Day USOIS(1)

        31,678          552,068        520,390  
     56,750          10/21/17          0.590 %    

1 Day USOIS(1)

        201          158,501        158,300  
     55,860          11/01/17          0.639 %    

1 Day USOIS(1)

        275          139,914        139,639  
     110,140          11/14/17          0.675 %    

1 Day USOIS(1)

        (9,329 )         266,866        276,195  
     54,980          11/22/17          0.716 %    

1 Day USOIS(1)

        274          120,339        120,065  
     43,740          01/07/18          1.093 %    

1 Day USOIS(1)

        —          11,445        11,445  
     412,875          01/31/18          1.278 %    

1 Day USOIS(1)

        —          3,732        3,732  
     52,160          02/21/18          0.941 %    

1 Day USOIS(1)

        267          86,207        85,940  
     45,150          09/30/18          0.655 %    

1 Day USOIS(1)

        252          410,302        410,050  
     22,510          09/30/18          0.747 %    

1 Day USOIS(1)

        201          168,428        168,227  
     14,465          10/07/18          1.253 %    

1 Day USOIS(1)

        —          1,813        1,813  
     55,120          11/17/18          1.080 %    

1 Day USOIS(1)

        274          171,209        170,935  
     82,865          11/18/18          0.911 %    

1 Day USOIS(1)

        (4,269 )         406,985        411,254  
     14,825          03/31/19          1.431 %    

1 Day USOIS(1)

        —          (12,385 )       (12,385 ) 
     14,618          03/31/19          1.432 %    

1 Day USOIS(1)

        —          (12,401 )       (12,401 ) 
     1,575          03/11/20          1.824 %    

3 Month LIBOR(1)

        27          (12,644 )       (12,671 ) 
     13,970          04/04/20          — (3)    

—(3)

        —          (3,133 )       (3,133 ) 
     1,960          08/31/21          2.015 %    

3 Month LIBOR(1)

        (5,594 )         (12,005 )       (6,411 ) 
     7,255          04/04/22          — (4)    

—(4)

        —          (3,174 )       (3,174 ) 
     13,290          08/31/22          1.788 %    

3 Month LIBOR(1)

        159          46,647        46,488  
     5,800          12/31/22          1.405 %    

3 Month LIBOR(1)

        182          178,132        177,950  
     4,400          12/31/22          1.406 %    

3 Month LIBOR(1)

        174          134,795        134,621  
     2,400          12/31/22          1.412 %    

3 Month LIBOR(1)

        163          72,872        72,709  
     12,100          12/31/22          1.416 %    

3 Month LIBOR(1)

        216          364,601        364,385  
     4,850          12/31/22          1.495 %    

3 Month LIBOR(1)

        176          125,991        125,815  
     10,495          05/31/23          1.394 %    

3 Month LIBOR(1)

        207          368,512        368,305  
     10,495          05/31/23          1.395 %    

3 Month LIBOR(1)

        207          367,860        367,653  
     10,290          05/31/23          1.513 %    

3 Month LIBOR(1)

        206          291,464        291,258  
     8,910          05/31/23          1.578 %    

3 Month LIBOR(1)

        (16,959 )         219,142        236,101  
     3,950          05/31/23          1.584 %    

3 Month LIBOR(1)

        172          95,905        95,733  
     30,918          11/15/23          2.209 %    

3 Month LIBOR(1)

        297          (321,526 )       (321,823 ) 
     6,920          02/15/24          2.115 %    

3 Month LIBOR(1)

        16,360          (15,763 )       (32,123 ) 
     16,137          02/15/24          2.151 %    

3 Month LIBOR(1)

        (17,628 )         (72,940 )       (55,312 ) 
     19,590          02/15/24          2.183 %    

3 Month LIBOR(1)

        (27,671 )         (128,395 )       (100,724 ) 
     4,510          09/01/24          2.117 %    

3 Month LIBOR(1)

        —          —        —  
     10,564          02/15/27          1.824 %    

1 Day USOIS(1)

        98,754          148,408        49,654  
     5,020          05/08/27          2.309 %    

3 Month LIBOR(1)

        —          (28,213 )       (28,213 ) 
     9,930          05/03/32          2.434 %    

3 Month LIBOR(2)

        —          32,671        32,671  
     16,725          02/15/36          2.338 %    

3 Month LIBOR(2)

        (102,773 )         (424,121 )       (321,348 ) 
     7,865          05/03/37          2.508 %    

3 Month LIBOR(1)

        1          (28,682 )       (28,683 ) 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A61

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Interest rate swap agreements outstanding at June 30, 2017 (continued):

 

Notional
Amount
(000)#

        Termination
Date		        Fixed
Rate		     

Floating Rate

      Value at
Trade Date		        Value at
June 30, 2017		      Unrealized
Appreciation
(Depreciation)		  

Centrally cleared swap agreements (continued):

             
     2,905          02/15/42          1.369%     

1 Day USOIS(1)

      $ 202        $ 456,388      $ 456,186  
     1,835          09/27/46          1.380%     

1 Day USOIS(1)

        183          317,396        317,213  
                    

 

 

       

 

 

     

 

 

  
        $ (159,667 )       $ 5,047,692      $ 5,207,359  
                    

 

 

       

 

 

     

 

 

  

Securities with a combined market value of $14,043,226 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

 

(1) The Portfolio pays the fixed rate and receives the floating rate.

 

(2) The Portfolio pays the floating rate and receives the fixed rate.

 

(3) The Portfolio pays the floating rate of 3 Month LIBOR plus 12 bps and receives the floating rate of 6 Month LIBOR.

 

(4) The Portfolio pays the floating rate of 6 Month LIBOR and receives the floating rate of 3 Month LIBOR plus 11.75 bps.

Total return swap agreements outstanding at June 30, 2017:

 

Counterparty

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

Description

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

OTC total return swap agreement:

 

Credit Suisse First Boston Corp.      01/12/41        4,687     

Pay variable payments based on 1 Month LIBOR and receive fixed payments based on IOS.FN30.450.10 Index

    $ 20,950      $ (14,315 )    $ 35,265  
           

 

 

     

 

 

    

 

 

  

 

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

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

 

Asset-Backed Securities

 

Automobiles

    $ —      $ 5,001,296      $ —  

Collateralized Loan Obligations

      —        50,598,173        —  

Consumer Loans

      —        23,627,120        999,795  

Home Equity Loans

      —        33,032,360        —  

Other

      —        930,157        —  

Residential Mortgage-Backed Securities

      —        21,579,845        2,400,000  

Student Loans

      —        571,362        —  

Bank Loans

      —        12,823,457        1,036,932  

Commercial Mortgage-Backed Securities

      —        148,654,383        1,081,440  

Corporate Bonds

      —        475,306,576        —  

Municipal Bonds

      —        20,605,076        —  

Residential Mortgage-Backed Securities

      —        59,037,362        9,016,955  

Sovereign Bonds

      —        53,190,921        —  

U.S. Government Agency Obligations

      —        15,194,351        —  

U.S. Treasury Obligations

      —        56,303,941        —  

Preferred Stocks

      2,129,150        —        —  

Affiliated Mutual Funds

      156,260,938        —        —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A62

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

     Level 1      Level 2     Level 3  

Investments in Securities (continued)

 

Options Purchased

    $ —      $ 1,959,807     $ —  

Options Written

      —        (1,144,632 )      —  

Other Financial Instruments*

 

Futures Contracts

      280,997        —       —  

OTC Forward Foreign Currency Exchange Contracts

      —        (1,871,721 )      —  

OTC Cross Currency Exchange Contract

      —        (626 )      —  

OTC Credit Default Swap Agreements

      —        (47,603 )      10,288  

Centrally Cleared Credit Default Swap Agreements

      —        (221,790 )      —  

OTC Currency Swap Agreements

      —        112,975       —  

Centrally Cleared Forward Rate Agreement

      —        (279,149 )      —  

Centrally Cleared Interest Rate Swap Agreements

      —        5,207,359       —  

OTC Total Return Swap Agreement

      —        20,950       —  
  

 

 

     

 

 

    

 

 

  

Total

    $ 158,671,085      $ 980,191,950     $ 14,545,410  
  

 

 

     

 

 

    

 

 

  

The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:

 

     Asset-Backed
Securities
Consumer
Loans		      Asset-Backed
Securities
Residential
Mortgage-Backed
Securities 		    Bank
Loans		     Commercial
Mortgage-
Backed
Securities		      Residential
Mortgage-
Backed
Securities		     Credit
Default
Swaps		  

Balance as of 12/31/16

   $ —      $ 3,440,000     $ 1,509,078     $ —      $ 26,091,730     $ 18,991  

Realized gain (loss)

      —        —       26,147       —        156,749       — *** 

Change in unrealized appreciation (depreciation)**

      —        —       57,475       —        (3,482 )      (8,703 ) 

Purchases / Exchanges / Issuances

      999,795        2,400,000       —       1,081,440        2,936,657       —  

Sales/Paydowns

      —        (3,440,000 )      (1,509,078 )      —        (17,076,617 )      —  

Accrued discount/premium

      —        —       —       —        17,711       —  

Transfers into Level 3

      —        —       953,310       —        —       —  

Transfers out of Level 3

      —        —       —       —        (3,105,793 )      —  
  

 

 

     

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Balance as of 06/30/17

   $ 999,795      $ 2,400,000     $ 1,036,932     $ 1,081,440      $ 9,016,955     $ 10,288  
  

 

 

     

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

 

** Of which, $129,233 was relating to securities held at the reporting period end.

 

*** The realized loss incurred during the period for other financial instruments was $20,054.

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:

 

Level 3 Securities

    Fair Value as of
June 30, 2017		      Valuation
Methodology		     

Unobservable Inputs

Asset-Backed Securities Consumer Loans

    $ 999,795        Market Approach      Single Broker Indicative Quote

Asset-Backed Securities Residential Mortgage-Backed Securities

      2,400,000        Market Approach      Single Broker Indicative Quote

Bank Loans

      1,036,932        Market Approach      Single Broker Indicative Quote

Commercial Mortgage-Backed Securities

      1,081,440        Market Approach      Single Broker Indicative Quote

Residential Mortgage-Backed Securities

      9,016,955        Market Approach      Single Broker Indicative Quote

Credit Default Swap Agreements

      10,288        Market Approach      Single Broker Indicative Quote
  

 

 

        
   $ 14,545,410        
  

 

 

        

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A63

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:

 

Investments in Securities

    Amount
Transferred		      Level
Transfer		      Logic

Bank Loans

    $ 953,310        L2 to L3      Multiple Broker Quotes to Single Broker Indicative Quote

Residential Mortgage-Backed Securities

    $ 3,105,793        L3 to L2      Single Broker Indicative Quote to Evaluated Bid

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

Affiliated Mutual Funds (including 1.1% of collateral for securities on loan)

      13.8 % 

Commercial Mortgage-Backed Securities

      13.2  

Banks

      10.4  

Residential Mortgage-Backed Securities

      8.1  

U.S. Treasury Obligations

      4.9  

Sovereign Bonds

      4.7  

Collateralized Loan Obligations

      4.4  

Home Equity Loans

      2.9  

Electric

      3.5  

Media

      2.9  

Oil & Gas

      2.7  

Consumer Loans

      2.2  

Insurance

      2.0  

Healthcare-Services

      2.0  

Municipal Bonds

      1.8  

Chemicals

      1.6  

Telecommunications

      1.5  

U.S. Government Agency Obligations

      1.3  

Software

      1.0  

Healthcare-Products

      1.0  

Food

      0.8  

Diversified Financial Services

      0.8  

Auto Manufacturers

      0.8  

Home Builders

      0.7  

Pipelines

      0.7  

Airlines

      0.7  

Pharmaceuticals

      0.6  

Semiconductors

      0.6  

Packaging & Containers

      0.6  

Miscellaneous Manufacturing

      0.6  

Retail

      0.6  

Commercial Services

      0.5  

Building Materials

      0.5  

Technology

      0.4  

Automobiles

      0.4  

Auto Parts & Equipment

      0.4  

Machinery-Diversified

      0.4  

Multi-National

      0.4  

Real Estate Investment Trusts (REITs)

      0.3  

Computers

      0.3 % 

Agriculture

      0.3  

Gas

      0.3  

Lodging

      0.3  

Forest Products & Paper

      0.3  

Biotechnology

      0.3  

Mining

      0.2  

Retailers

      0.2  

Banking

      0.2  

Entertainment

      0.2  

Internet

      0.2  

Options Purchased

      0.2  

Transportation Services

      0.2  

Savings & Loans

      0.1  

Household Products/Wares

      0.1  

Transportation

      0.1  

Leisure Time

      0.1  

Office/Business Equipment

      0.1  

Health Care & Pharmaceutical

      0.1  

Electronics

      0.1  

Diversified Manufacturing

      0.1  

Other

      0.1  

Supermarkets

      0.1  

Housewares

      0.1  

Apparel

      0.1  

Home Furnishings

      0.1  

Oil & Gas Services

      0.1  

Student Loans

      0.1  

Beverages

      0.0 * 

Textiles

      0.0 * 

Iron/Steel

      0.0 * 

Real Estate

      0.0 * 
  

 

 

  
     101.4  

Options Written

      (0.1 ) 

Liabilities in excess of other assets

      (1.3 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

* Less than +/- 0.05%
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A64

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

 

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

   

Asset Derivatives

    

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value    

Balance Sheet Location

    Fair Value  

Credit contracts

    —    $ —     Due from/to broker — variation margin swaps and centrally cleared forward rate agreements    $ 221,790 * 

Credit contracts

    Premiums paid for OTC swap agreements      50,672     Premiums received for OTC swap agreements      172,564  

Credit contracts

    Unrealized appreciation on OTC swap agreements      187,580     Unrealized depreciation on OTC swap agreements      103,003  

Foreign exchange contracts

    —      —     Unrealized depreciation on OTC cross currency exchange contracts      626  

Foreign exchange contracts

    Unrealized appreciation on OTC forward foreign currency exchange contracts      12,146     Unrealized depreciation on OTC forward foreign currency exchange contracts      1,883,867  

Interest rate contracts

    Due from/to broker — variation margin futures      2,267,833 *    Due from/to broker — variation margin futures      1,986,836 * 

Interest rate contracts

    Due from/to broker — variation margin swaps and centrally cleared forward rate agreements      6,463,340 *    Due from/to broker — variation margin swaps and centrally cleared forward rate agreements      1,535,130 * 

Interest rate contracts

    —      —     Premiums received for OTC swap agreements      14,315  

Interest rate contracts

    Unaffiliated investments      1,959,807     Options written outstanding, at value      1,144,632  

Interest rate contracts

    Unrealized appreciation on OTC swap agreements      165,083     Unrealized depreciation on OTC swap agreements      16,843  
     

 

 

       

 

 

  

Total

       $ 11,106,461        $ 7,079,606  
     

 

 

       

 

 

  

 

* Includes cumulative appreciation (depreciation) as reported in schedule of open futures, centrally cleared swap contracts and centrally cleared forward rate agreements. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

  

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

   Options
Purchased(1)		     Options
Written		     Futures     Forward &
Cross
Currency
Contracts(2)		     Forward Rate
Agreements		     Swaps     Total  

Credit contracts

   $ —     $ —     $ —     $ —     $ —     $ (377,096 )    $ (377,096 ) 

Foreign exchange contracts

     —       —       —       400,077       —       —       400,077  

Interest rate contracts

     (174,848 )      76,794       10,480,355       —       69,694       556,745       11,008,740  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (174,848 )    $ 76,794     $ 10,480,355     $ 400,077     $ 69,694     $ 179,649     $ 11,031,721  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

(2) Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A65

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

  

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

   Options
Purchased(3)		     Options
Written		     Futures     Forward &
Cross
Currency
Contracts(4)		     Forward
Rate
Agreements		     Swaps     Total  

Credit contracts

   $ —     $ —     $ —     $ —     $ —     $ 319,248     $ 319,248  

Foreign exchange contracts

     —       —       —       (2,728,404 )      —       —       (2,728,404 ) 

Interest rate contracts

     (718,747 )      673,387       4,411,390       —       (279,149 )      (4,913,681 )      (826,800 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (718,747 )    $ 673,387     $ 4,411,390     $ (2,728,404 )    $ (279,149 )    $ (4,594,433 )    $ (3,235,956 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(3) Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations.

 

(4) Included in net unrealized appreciaiton (depreciation) on foreign currencies in the Statement of Operations.

For the six months ended June 30, 2017, the average volume of derivative activities is as follows:

 

Options Purchased(1)

  

Options Written(4)

  

Futures Contracts—

Long Positions(2)

  

Futures Contracts—

Short Positions(2)

  

Forward Foreign
Currency Exchange
Contracts—Purchased(3)

$912,913   $201,607,114   $760,409,258   $73,207,483   $684,735

 

Forward Foreign
Currency Exchange
Contracts—Sold(3)

  

Cross Currency
Exchange Contracts(2)

  

Credit Default Swap
Agreements—Buy
Protection(4)

  

Credit Default Swap
Agreements—Sell
Protection(4)

  

Currency Swap
Agreements(4)

$41,915,705   $252,012   $13,900,000   $32,935,667   $11,293,667

 

Forward Rate
Agreements(4)

   

Inflation Swap
Agreements(4)

   

Interest Rate Swap
Agreements(4)

   

Total Return Swap
Agreements(4)

$784,000,000    $8,727,360    $1,462,922,433    $4,948,000

 

(1) Cost.

 

(2) Value at Trade Date.

 

(3) Value at Settlement Date.

 

(4) Notional Amount in USD.

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

      Gross Amounts of
Recognized Assets(3)		      Collateral
Received(4)		      Net Amount  

Securities on Loan

      $ 12,183,783      $ (12,183,783 )     $   —  

Offsetting of OTC derivative assets and liabilities:

 

     

Counterparty

    Gross Amounts of
    Recognized Assets(1)    		      Gross Amounts
Available for Offset		      Collateral
Received(4)		      Net Amount  

Bank of America

    $ —      $ —      $ —      $ —  

Barclays Capital Group

      948,187        (557,365 )       (340,000 )       50,822  

Citigroup Global Markets

      35,161        (35,161 )       —        —  

Credit Suisse First Boston Corp.

      35,265        (14,315 )       —        20,950  

Goldman Sachs & Co.

      48,328        (38,020 )       —        10,308  

Hong Kong & Shanghai Bank

      129,818        (47,350 )       —        82,468  

JPMorgan Chase

      999,773        (800,931 )       —        198,842  

Morgan Stanley

      177,246        (172,518 )       —        4,728  

UBS AG

      1,510        (1,510 )       —        —  
  

 

 

           
   $ 2,375,288           
  

 

 

           

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A66

   DIVERSIFIED BOND PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Counterparty

    Gross Amounts of
Recognized Liabilities(2)		      Gross Amounts
Available for Offset		      Collateral
Pledged(4)		      Net Amount  

Bank of America

    $ (105,139 )     $ —      $ —      $ (105,139 ) 

Barclays Capital Group

      (557,365 )       557,365        —        —  

Citigroup Global Markets

      (1,549,701 )       35,161        1,514,540        —  

Credit Suisse First Boston Corp.

      (14,315 )       14,315        —        —  

Goldman Sachs & Co.

      (38,020 )       38,020        —        —  

Hong Kong & Shanghai Bank

      (47,350 )       47,350        —        —  

JPMorgan Chase

      (800,931 )       800,931        —        —  

Morgan Stanley

      (172,518 )       172,518        —        —  

UBS AG

      (50,511 )       1,510        —        (49,001 ) 
  

 

 

           
   $ (3,335,850 )          
  

 

 

           

 

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

 

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

 

(3) Amount represents market value.

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A67

   DIVERSIFIED BOND PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS  

Investments at value, including securities on loan of $12,183,783:

  

Unaffiliated investments (cost $961,012,006)

   $ 995,080,459  

Affiliated investments (cost $159,932,660)

     156,260,938  

Cash

     516,930  

Foreign currency, at value (cost $2,100,179)

     2,172,080  

Cash segregated for counterparty - OTC

     1,520,000  

Dividends and interest receivable

     8,448,727  

Receivable for investments sold

     5,875,261  

Due from broker—variation margin swaps and centrally cleared forward rate agreements

     524,539  

Unrealized appreciation on OTC swap agreements

     352,663  

Tax reclaim receivable

     51,717  

Premiums paid for OTC swap agreements

     50,672  

Receivable for Series shares sold

     16,636  

Unrealized appreciation on OTC forward foreign currency exchange contracts

     12,146  

Prepaid expenses

     1,286  
 

 

 

  

Total Assets

     1,170,884,054  
 

 

 

  
LIABILITIES  

Payable for investments purchased

     18,282,465  

Payable to broker for collateral for securities on loan

     12,427,946  

Unrealized depreciation on OTC forward foreign currency exchange contracts

     1,883,867  

Due to broker—variation margin futures

     1,190,743  

Options written outstanding, at value (premiums received $1,818,019)

     1,144,632  

Management fee payable

     371,361  

Premiums received for OTC swap agreements

     186,879  

Accrued expenses and other liabilities

     177,384  

Payable for Series shares repurchased

     134,686  

Unrealized depreciation on OTC swap agreements

     119,846  

Affiliated transfer agent fee payable

     980  

Unrealized depreciation on OTC cross currency exchange contracts

     626  

Deferred trustees’ fees

     522  
 

 

 

  

Total Liabilities

     35,921,937  
 

 

 

  
NET ASSETS   $ 1,134,962,117  
 

 

 

  

Net assets were comprised of:

 

Paid-in capital

   $ 929,212,907  

Retained earnings

     205,749,210  
 

 

 

  

Net assets, June 30, 2017

   $ 1,134,962,117  
 

 

 

  

Net asset value and redemption price per share
$1,134,962,117 / 88,529,780 outstanding shares of beneficial interest

   $ 12.82  
 

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)  

Income

 

Interest income

   $ 19,519,470  

Affiliated dividend income

     1,015,422  

Unaffiliated dividend income

     64,414  

Income from securities lending, net (including affiliated income of $23,060)

     29,946  
 

 

 

  

Total income

     20,629,252  
 

 

 

  
EXPENSES  

Management fee

     2,208,877  

Custodian and accounting fees

     96,000  

Shareholders’ reports

     53,000  

Audit fee

     27,000  

Trustees’ fees

     10,000  

Legal fees and expenses

     6,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

     6,000  

Miscellaneous

     13,909  
 

 

 

  

Total expenses

     2,420,786  
 

 

 

  
NET INVESTMENT INCOME (LOSS)     18,208,466  
 

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $300)

     3,496,215  

Futures transactions

     10,480,355  

Options written transactions

     76,794  

Forward rate agreement transactions

     69,694  

Swap agreement transactions

     179,649  

Foreign currency transactions

     390,696  
 

 

 

  
    14,693,403  
 

 

 

  

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $178,692)

     17,066,677  

Futures

     4,411,390  

Options written

     673,387  

Forward rate agreements

     (279,149 ) 

Swap agreements

     (4,594,433 ) 

Foreign currencies

     (2,398,689 ) 
 

 

 

  
    14,879,183  
 

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     29,572,586  
 

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 47,781,052  
 

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS  
OPERATIONS  

Net investment income (loss)

    $ 18,208,466     $ 39,465,698  

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

      14,693,403       (3,347,958 ) 

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

      14,879,183       23,594,004  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      47,781,052       59,711,744  
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold [1,532,948 and 2,764,375 shares, respectively]

      19,509,259       34,011,481  

Series shares repurchased [2,944,757 and 6,055,908 shares, respectively]

      (36,906,812 )      (74,059,176 ) 
  

 

 

    

 

 

  

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

      (17,397,553 )      (40,047,695 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       20,597  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      30,383,499       19,684,646  
NET ASSETS:  

Beginning of period

      1,104,578,618       1,084,893,972  
  

 

 

    

 

 

  

End of period

    $ 1,134,962,117     $ 1,104,578,618  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A68

   EQUITY PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 99.3%         
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 1.9%

 

Boeing Co. (The)

      167,444      $ 33,112,051  

United Technologies Corp.

      354,691        43,311,318  
     

 

 

  
        76,423,369  
     

 

 

  

Automobiles — 1.1%

 

Tesla, Inc.*(a)

      120,660        43,631,863  
     

 

 

  

Banks — 9.1%

 

Bank of America Corp.

      2,474,256        60,025,451  

BB&T Corp.

      806,736        36,633,882  

Citigroup, Inc.

      734,267        49,107,777  

JPMorgan Chase & Co.

      1,691,178        154,573,669  

PNC Financial Services Group, Inc. (The)

      314,667        39,292,468  

Wells Fargo & Co.

      491,747        27,247,701  
     

 

 

  
        366,880,948  
     

 

 

  

Beverages — 0.6%

 

Monster Beverage Corp.*

      447,039        22,208,898  
     

 

 

  

Biotechnology — 4.3%

 

BioMarin Pharmaceutical, Inc.*

      349,226        31,716,705  

Celgene Corp.*

      410,912        53,365,141  

Regeneron Pharmaceuticals, Inc.*

      60,978        29,948,735  

Shire PLC, ADR

      148,952        24,617,297  

Vertex Pharmaceuticals, Inc.*

      264,688        34,110,343  
     

 

 

  
        173,758,221  
     

 

 

  

Capital Markets — 1.1%

 

Goldman Sachs Group, Inc. (The)

      198,369        44,018,081  
     

 

 

  

Chemicals — 1.5%

 

Dow Chemical Co. (The)

      483,334        30,483,875  

FMC Corp.

      392,768        28,691,703  
     

 

 

  
        59,175,578  
     

 

 

  

Communications Equipment — 0.7%

 

Cisco Systems, Inc.

      887,887        27,790,863  
     

 

 

  

Consumer Finance — 1.7%

 

Capital One Financial Corp.

      441,465        36,473,838  

SLM Corp.*

      2,815,769        32,381,344  
     

 

 

  
        68,855,182  
     

 

 

  

Containers & Packaging — 0.4%

 

Sealed Air Corp.

      396,986        17,769,093  
     

 

 

  

Electric Utilities — 1.8%

 

Exelon Corp.

      792,844        28,597,883  

PG&E Corp.

      686,623        45,571,169  
     

 

 

  
        74,169,052  
     

 

 

  

Electrical Equipment — 0.9%

 

Eaton Corp. PLC

      450,412        35,055,566  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.0%

 

Flex Ltd.*

      2,489,691        40,606,860  
     

 

 

  

Energy Equipment & Services — 1.3%

 

Halliburton Co.

      1,269,809        54,233,542  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.5%

 

American Tower Corp.

      220,753        29,210,037  

Crown Castle International Corp.

      307,094        30,764,677  
     

 

 

  
        59,974,714  
     

 

 

  

COMMON STOCKS

(continued)

    Shares      Value  

Food & Staples Retailing — 0.8%

 

Wal-Mart Stores, Inc.

      426,628      $ 32,287,207  
     

 

 

  

Food Products — 1.2%

 

Conagra Brands, Inc.

      813,870        29,103,991  

Mondelez International, Inc. (Class A Stock)

      489,548        21,143,578  
     

 

 

  
        50,247,569  
     

 

 

  

Health Care Equipment & Supplies — 1.4%

 

Boston Scientific Corp.*

      740,751        20,533,618  

Zimmer Biomet Holdings, Inc.

      270,361        34,714,352  
     

 

 

  
        55,247,970  
     

 

 

  

Health Care Providers & Services — 1.7%

 

Cigna Corp.

      215,116        36,008,267  

Laboratory Corp. of America Holdings*

      219,616        33,851,610  
     

 

 

  
        69,859,877  
     

 

 

  

Hotels, Restaurants & Leisure — 2.9%

 

Carnival Corp.

      516,316        33,854,840  

Marriott International, Inc. (Class A Stock)

      503,624        50,518,523  

McDonald’s Corp.

      215,586        33,019,152  
     

 

 

  
        117,392,515  
     

 

 

  

Household Durables — 0.5%

 

Newell Brands, Inc.

      358,590        19,227,596  
     

 

 

  

Household Products — 1.1%

 

Procter & Gamble Co. (The)

      531,330        46,305,410  
     

 

 

  

Industrial Conglomerates — 0.5%

 

General Electric Co.

      705,847        19,064,927  
     

 

 

  

Insurance — 2.0%

 

Chubb Ltd.

      299,622        43,559,047  

MetLife, Inc.

      679,144        37,312,171  
     

 

 

  
        80,871,218  
     

 

 

  

Internet & Direct Marketing Retail — 6.1%

 

Amazon.com, Inc.*

      114,268        110,611,424  

Netflix, Inc.*

      479,964        71,711,421  

Priceline Group, Inc. (The)*

      33,662        62,965,444  
     

 

 

  
        245,288,289  
     

 

 

  

Internet Software & Services — 11.8%

 

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

      726,117        102,309,885  

Alphabet, Inc. (Class A Stock)*

      83,408        77,542,750  

Alphabet, Inc. (Class C Stock)*

      55,410        50,352,729  

eBay, Inc.*

      1,105,186        38,593,095  

Facebook, Inc. (Class A Stock)*

      682,476        103,040,227  

MercadoLibre, Inc. (Argentina)

      112,630        28,256,614  

Tencent Holdings Ltd. (China)

      2,163,894        77,629,612  
     

 

 

  
        477,724,912  
     

 

 

  

IT Services — 3.9%

 

DXC Technology Co.

      258,504        19,832,427  

Mastercard, Inc. (Class A Stock)

      522,192        63,420,218  

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

      768,760        72,094,313  
     

 

 

  
        155,346,958  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A69

   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Machinery — 0.9%

 

Parker-Hannifin Corp.

      235,169      $ 37,584,710  
     

 

 

  

Media — 3.7%

 

Charter Communications, Inc. (Class A Stock)*

      156,363        52,670,877  

Comcast Corp. (Class A Stock)

      1,135,486        44,193,115  

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

      440,280        13,727,931  

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

      692,754        19,632,648  

Viacom, Inc. (Class B Stock)

      524,283        17,600,180  
     

 

 

  
        147,824,751  
     

 

 

  

Oil, Gas & Consumable Fuels — 3.6%

 

Anadarko Petroleum Corp.

      277,508        12,582,213  

Chevron Corp.

      430,962        44,962,265  

Noble Energy, Inc.

      679,410        19,227,303  

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

      778,979        41,433,893  

Suncor Energy, Inc. (Canada)

      885,009        25,858,260  
     

 

 

  
        144,063,934  
     

 

 

  

Pharmaceuticals — 5.5%

 

Allergan PLC

      305,758        74,326,712  

Bristol-Myers Squibb Co.

      673,928        37,551,268  

Eli Lilly & Co.

      359,028        29,548,005  

Merck & Co., Inc.

      586,747        37,604,615  

Pfizer, Inc.

      1,316,280        44,213,845  
     

 

 

  
        223,244,445  
     

 

 

  

Road & Rail — 2.0%

 

CSX Corp.

      636,597        34,732,732  

Ryder System, Inc.

      237,420        17,089,492  

Union Pacific Corp.

      274,130        29,855,498  
     

 

 

  
        81,677,722  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.6%

 

Broadcom Ltd.

      246,715        57,496,931  

NVIDIA Corp.

      417,362        60,333,851  

Texas Instruments, Inc.

      375,338        28,874,752  
     

 

 

  
        146,705,534  
     

 

 

  

Software — 9.5%

 

Activision Blizzard, Inc.

      1,043,539        60,076,540  

Adobe Systems, Inc.*

      493,157        69,752,126  

Microsoft Corp.

      1,856,752        127,985,915  

PTC, Inc.*

      526,915        29,043,555  

salesforce.com, Inc.*

      703,243        60,900,844  

Workday, Inc. (Class A Stock)*(a)

      373,377        36,217,569  
     

 

 

  
        383,976,549  
     

 

 

  

Specialty Retail — 1.1%

 

Industria de Diseno Textil SA (Spain), ADR(a)

      2,332,223        44,895,293  
     

 

 

  

Technology Hardware, Storage & Peripherals — 3.9%

 

Apple, Inc.

      1,089,544        156,916,127  
     

 

 

  

COMMON STOCKS

(continued)

    Shares      Value  

Textiles, Apparel & Luxury Goods — 2.0%

 

adidas AG (Germany), ADR(a)

      424,445      $ 40,733,987  

Coach, Inc.

      808,644        38,281,207  
     

 

 

  
        79,015,194  
     

 

 

  

Wireless Telecommunication Services — 0.7%

 

Vodafone Group PLC (United Kingdom), ADR

      980,721        28,176,114  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $2,767,854,165)

 

      4,007,496,651  
     

 

 

  
SHORT-TERM INVESTMENTS — 6.1%  

AFFILIATED MUTUAL FUNDS

 

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

      58,490,313        58,490,313  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund
(cost $189,066,899; includes $188,843,452 of cash collateral for securities on loan)(b)(w)

      189,066,118        189,085,024  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $247,557,212)

 

      247,575,337  
     

 

 

  

TOTAL INVESTMENTS — 105.4%
(cost $3,015,411,377)

 

      4,255,071,988  

LIABILITIES IN EXCESS OF
OTHER ASSETS — (5.4)%

 

      (218,014,163 ) 
     

 

 

  

NET ASSETS — 100.0%

 

    $ 4,037,057,825  
     

 

 

  

See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $184,730,944; cash collateral of $188,843,452 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

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

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A70

   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

 

Common Stocks

 

Aerospace & Defense

    $ 76,423,369      $ —      $   —  

Automobiles

      43,631,863        —        —  

Banks

      366,880,948        —        —  

Beverages

      22,208,898        —        —  

Biotechnology

      173,758,221        —        —  

Capital Markets

      44,018,081        —        —  

Chemicals

      59,175,578        —        —  

Communications Equipment

      27,790,863        —        —  

Consumer Finance

      68,855,182        —        —  

Containers & Packaging

      17,769,093        —        —  

Electric Utilities

      74,169,052        —        —  

Electrical Equipment

      35,055,566        —        —  

Electronic Equipment, Instruments & Components

      40,606,860        —        —  

Energy Equipment & Services

      54,233,542        —        —  

Equity Real Estate Investment Trusts (REITs)

      59,974,714        —        —  

Food & Staples Retailing

      32,287,207        —        —  

Food Products

      50,247,569        —        —  

Health Care Equipment & Supplies

      55,247,970        —        —  

Health Care Providers & Services

      69,859,877        —        —  

Hotels, Restaurants & Leisure

      117,392,515        —        —  

Household Durables

      19,227,596        —        —  

Household Products

      46,305,410        —        —  

Industrial Conglomerates

      19,064,927        —        —  

Insurance

      80,871,218        —        —  

Internet & Direct Marketing Retail

      245,288,289        —        —  

Internet Software & Services

      400,095,300        77,629,612        —  

IT Services

      155,346,958        —        —  

Machinery

      37,584,710        —        —  

Media

      147,824,751        —        —  

Oil, Gas & Consumable Fuels

      144,063,934        —        —  

Pharmaceuticals

      223,244,445        —        —  

Road & Rail

      81,677,722        —        —  

Semiconductors & Semiconductor Equipment

      146,705,534        —        —  

Software

      383,976,549        —        —  

Specialty Retail

      44,895,293        —        —  

Technology Hardware, Storage & Peripherals

      156,916,127        —        —  

Textiles, Apparel & Luxury Goods

      79,015,194        —        —  

Wireless Telecommunication Services

      28,176,114        —        —  

Affiliated Mutual Funds

      247,575,337        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 4,177,442,376      $ 77,629,612      $ —  
  

 

 

     

 

 

     

 

 

  

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A71

   EQUITY PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

Internet Software & Services

      11.8 % 

Software

      9.5  

Banks

      9.1  

Affiliated Mutual Funds (including 4.7% of collateral for securities on loan)

      6.1  

Internet & Direct Marketing Retail

      6.1  

Pharmaceuticals

      5.5  

Biotechnology

      4.3  

Technology Hardware, Storage & Peripherals

      3.9  

IT Services

      3.9  

Media

      3.7  

Semiconductors & Semiconductor Equipment

      3.6  

Oil, Gas & Consumable Fuels

      3.6  

Hotels, Restaurants & Leisure

      2.9  

Road & Rail

      2.0  

Insurance

      2.0  

Textiles, Apparel & Luxury Goods

      2.0  

Aerospace & Defense

      1.9  

Electric Utilities

      1.8  

Health Care Providers & Services

      1.7  

Consumer Finance

      1.7  

Equity Real Estate Investment Trusts (REITs)

      1.5  

Chemicals

      1.5 % 

Health Care Equipment & Supplies

      1.4  

Energy Equipment & Services

      1.3  

Food Products

      1.2  

Household Products

      1.1  

Specialty Retail

      1.1  

Capital Markets

      1.1  

Automobiles

      1.1  

Electronic Equipment, Instruments & Components

      1.0  

Machinery

      0.9  

Electrical Equipment

      0.9  

Food & Staples Retailing

      0.8  

Wireless Telecommunication Services

      0.7  

Communications Equipment

      0.7  

Beverages

      0.6  

Household Durables

      0.5  

Industrial Conglomerates

      0.5  

Containers & Packaging

      0.4  
  

 

 

  
     105.4  

Liabilities in excess of other assets

      (5.4 ) 
  

 

 

  
     100.0 % 
  

 

 

  
 

 

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

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

Securities on Loan

        184,730,944        $ (184,730,944 )     $   —  

 

(1) Amount represents market value.

 

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A72

   EQUITY PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS  

Investments at value, including securities on loan of $184,730,944:

   

Unaffiliated investments (cost $2,767,854,165)

    $ 4,007,496,651  

Affiliated investments (cost $247,557,212)

      247,575,337  

Receivable for investments sold

      23,858,029  

Dividends receivable

      3,276,384  

Tax reclaim receivable

      1,276,223  

Receivable for Series shares sold

      2,892  

Prepaid expenses

      4,004  
  

 

 

  

Total assets

      4,283,489,520  
  

 

 

  
LIABILITIES  

Payable to broker for collateral for securities on loan

      188,843,452  

Payable for investments purchased

      54,635,541  

Management fee payable

      1,506,739  

Payable for Series shares repurchased

      974,389  

Accrued expenses and other liabilities

      469,718  

Affiliated transfer agent fee payable

      980  

Distribution fee payable

      412  

Administration fee payable

      324  

Deferred trustees’ fees

      140  
  

 

 

  

Total liabilities

      246,431,695  
  

 

 

  
NET ASSETS    $ 4,037,057,825  
  

 

 

  

Net assets were comprised of:

 

Paid-in capital

    $ 1,527,239,313  

Retained earnings

      2,509,818,512  
  

 

 

  

Net assets, June 30, 2017

    $ 4,037,057,825  
  

 

 

  
CLASS I:  

Net asset value and redemption price per share $4,035,181,111 / 88,406,030 outstanding shares of beneficial interest

    $ 45.64  
  

 

 

  
CLASS II:  

Net asset value and redemption price per share $1,876,714 / 41,417 outstanding shares of beneficial interest

    $ 45.31  
  

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net) (foreign withholding taxes of $676,555, of which $343,486 is reimbursable by an affiliate)

    $ 26,150,748  

Income from securities lending, net (including affiliated income of $248,206)

      353,668  

Affiliated dividend income

      274,026  
  

 

 

  

Total income

      26,778,442  
  

 

 

  
EXPENSES   

Management fee

      8,821,071  

Distribution fee—Class II

      2,248  

Administration fee—Class II

      1,349  

Custodian and accounting fees

      222,000  

Shareholders’ reports

      120,000  

Insurance expenses

      23,000  

Trustees’ fees

      22,000  

Audit fee

      13,000  

Legal fees and expenses

      10,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

      6,000  

Miscellaneous

      12,811  
  

 

 

  

Total expenses

      9,253,479  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      17,524,963  
  

 

 

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

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $10,357)

      126,185,931  

Foreign currency transactions

      (75,619 ) 
  

 

 

  
     126,110,312  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $(38,277))

      279,262,029  

Foreign currencies

      98,626  
  

 

 

  
     279,360,655  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      405,470,967  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 422,995,930  
  

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS  
OPERATIONS  

Net investment income (loss)

    $ 17,524,963     $ 36,343,383  

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

      126,110,312       217,876,396  

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

      279,360,655       (128,098,315 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      422,995,930       126,121,464  
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold

      3,729,728       9,112,648  

Series shares repurchased

      (133,058,804 )      (243,276,531 ) 
  

 

 

    

 

 

  

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

      (129,329,076 )      (234,163,883 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       3,315,979  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      293,666,854       (104,726,440 ) 
NET ASSETS:     

Beginning of period

      3,743,390,971       3,848,117,411  
  

 

 

    

 

 

  

End of period

    $ 4,037,057,825     $ 3,743,390,971  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A73

   FLEXIBLE MANAGED PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 94.7%  
COMMON STOCKS — 59.7%    Shares      Value  

Aerospace & Defense — 1.5%

 

Arconic, Inc.

      47,700      $ 1,080,405  

Boeing Co. (The)

      18,300        3,618,825  

Huntington Ingalls Industries, Inc.

      61,200        11,392,992  

Lockheed Martin Corp.

      79,300        22,014,473  

Northrop Grumman Corp.

      49,600        12,732,816  

Safran SA (France)

      511        46,862  

Singapore Technologies Engineering Ltd. (Singapore)

      4,800        12,823  

Spirit AeroSystems Holdings, Inc. (Class A Stock)

      88,500        5,127,690  

Thales SA (France)

      326        35,086  

United Technologies Corp.

      15,700        1,917,127  
     

 

 

  
        57,979,099  
     

 

 

  

Air Freight & Logistics — 0.5%

 

Deutsche Post AG (Germany)

      3,123        117,232  

FedEx Corp.

      82,700        17,973,191  
     

 

 

  
        18,090,423  
     

 

 

  

Airlines — 0.0%

 

Deutsche Lufthansa AG (Germany)

      15,603        355,586  

International Consolidated Airlines Group SA (United Kingdom)

      2,273        18,060  
     

 

 

  
        373,646  
     

 

 

  

Auto Components — 0.3%

 

Aisin Seiki Co. Ltd. (Japan)

      5,700        293,018  

Bridgestone Corp. (Japan)

      1,600        69,171  

Cie Generale des Etablissements Michelin (France)

      439        58,428  

Cooper-Standard Holdings, Inc.*

      18,600        1,876,182  

GKN PLC (United Kingdom)

      29,111        123,652  

Koito Manufacturing Co. Ltd. (Japan)

      300        15,513  

Lear Corp.

      65,200        9,263,616  

Sumitomo Electric Industries Ltd. (Japan)

      2,300        35,582  

Toyoda Gosei Co. Ltd. (Japan)

      2,200        52,715  
     

 

 

  
        11,787,877  
     

 

 

  

Automobiles — 0.7%

 

Bayerische Motoren Werke AG (Germany)

      1,027        95,519  

Daimler AG (Germany)

      2,990        216,861  

Ferrari NV (Italy)

      347        29,860  

Fiat Chrysler Automobiles NV (United Kingdom)*

      2,674        28,250  

Ford Motor Co.

      828,800        9,274,272  

General Motors Co.

      547,200        19,113,696  

Honda Motor Co. Ltd. (Japan)

      5,000        136,990  

Mitsubishi Motors Corp. (Japan)

      25,600        169,297  

Peugeot SA (France)

      1,508        30,054  

Suzuki Motor Corp. (Japan)

      7,700        366,812  

Toyota Motor Corp. (Japan)

      3,300        173,459  

Volkswagen AG (Germany)

      91        14,134  
     

 

 

  
        29,649,204  
     

 

 

  

COMMON STOCKS

(continued)

    Shares      Value  

Banks — 3.8%

 

ABN AMRO Group NV (Netherlands) CVA, 144A

      850      $ 22,518  

Aozora Bank Ltd. (Japan)

      4,000        15,272  

Banco Santander SA (Spain)

      4,418        29,335  

Bank Leumi Le-Israel BM (Israel)

      4,340        21,086  

Bank of America Corp.

      1,356,900        32,918,394  

BB&T Corp.

      175,500        7,969,455  

Bendigo & Adelaide Bank Ltd. (Australia)

      27,922        237,688  

BNP Paribas SA (France)

      2,760        198,700  

Citigroup, Inc.

      134,100        8,968,608  

Commonwealth Bank of Australia (Australia)

      5,419        344,736  

Credit Agricole SA (France)

      17,551        282,718  

Danske Bank A/S (Denmark)

      9,296        357,646  

DBS Group Holdings Ltd. (Singapore)

      5,500        82,779  

DNB ASA (Norway)

      3,054        51,994  

HSBC Holdings PLC (United Kingdom)

      69,349        643,698  

ING Groep NV (Netherlands)

      30,631        528,777  

Intesa Sanpaolo SpA (Italy) RSP

      2,701        8,036  

JPMorgan Chase & Co.

      559,094        51,101,192  

KBC Group NV (Belgium)

      4,257        322,762  

Lloyds Banking Group PLC (United Kingdom)

      477,136        411,187  

Mebuki Financial Group, Inc. (Japan)

      2,850        10,641  

Mitsubishi UFJ Financial Group, Inc. (Japan)

      2,800        18,886  

Mizuho Financial Group, Inc. (Japan)

      71,600        131,277  

Natixis SA (France)

      44,014        295,454  

Nordea Bank AB (Sweden)

      9,310        118,576  

Oversea-Chinese Banking Corp. Ltd. (Singapore)

      9,800        76,767  

PNC Financial Services Group, Inc. (The)

      164,200        20,503,654  

Resona Holdings, Inc. (Japan)

      6,800        37,562  

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

      4,690        56,780  

Societe Generale SA (France)

      1,141        61,529  

Sumitomo Mitsui Financial Group, Inc. (Japan)

      3,200        124,942  

SunTrust Banks, Inc.

      71,200        4,038,464  

Swedbank AB (Sweden) (Class A Stock)

      13,412        327,331  

United Overseas Bank Ltd. (Singapore)

      4,100        68,833  

Wells Fargo & Co.

      393,912        21,826,664  

Westpac Banking Corp. (Australia)

      10,625        248,773  
     

 

 

  
        152,462,714  
     

 

 

  

Beverages — 0.8%

 

Anheuser-Busch InBev SA/NV (Belgium)

      189        20,875  

Asahi Group Holdings Ltd. (Japan)

      1,100        41,426  

Coca-Cola Co. (The)

      379,100        17,002,635  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A74

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Beverages (continued)

 

Coca-Cola European Partners PLC (United Kingdom)

      644      $ 26,093  

Constellation Brands, Inc. (Class A Stock)

      20,200        3,913,346  

Diageo PLC (United Kingdom)

      9,288        274,478  

Heineken Holding NV (Netherlands)

      175        16,041  

Kirin Holdings Co. Ltd. (Japan)

      2,700        55,076  

PepsiCo, Inc.

      105,420        12,174,956  

Pernod Ricard SA (France)

      658        88,111  
     

 

 

  
        33,613,037  
     

 

 

  

Biotechnology — 2.2%

 

AbbVie, Inc.

      359,200        26,045,592  

Amgen, Inc.

      50,008        8,612,878  

Biogen, Inc.*

      49,000        13,296,640  

Celgene Corp.*

      203,500        26,428,545  

CSL Ltd. (Australia)

      1,418        150,491  

Gilead Sciences, Inc.

      175,400        12,414,812  
     

 

 

  
        86,948,958  
     

 

 

  

Building Products — 0.1%

 

Asahi Glass Co. Ltd. (Japan)

      7,600        320,970  

Continental Building Products, Inc.*

      71,500        1,665,950  

Daikin Industries Ltd. (Japan)

      700        71,814  

Universal Forest Products, Inc.

      19,000        1,658,890  
     

 

 

  
        3,717,624  
     

 

 

  

Capital Markets — 1.3%

 

Ameriprise Financial, Inc.

      6,100        776,469  

BGC Partners, Inc. (Class A Stock)

      99,800        1,261,472  

Goldman Sachs Group, Inc. (The)

      45,700        10,140,830  

Hargreaves Lansdown PLC (United Kingdom)

      4,965        84,194  

Julius Baer Group Ltd. (Switzerland)*

      299        15,798  

LPL Financial Holdings, Inc.

      36,000        1,528,560  

Macquarie Group Ltd. (Australia)

      4,917        334,374  

Morgan Stanley

      139,400        6,211,664  

Nomura Holdings, Inc. (Japan)

      33,700        203,226  

Partners Group Holding AG (Switzerland)

      480        298,037  

Raymond James Financial, Inc.

      178,000        14,279,160  

S&P Global, Inc.

      120,600        17,606,394  

Schroders PLC (United Kingdom)

      2,261        91,426  
     

 

 

  
        52,831,604  
     

 

 

  

Chemicals — 1.3%

 

AdvanSix, Inc.*

      7,116        222,304  

Arkema SA (France)

      201        21,465  

Asahi Kasei Corp. (Japan)

      3,000        32,365  

BASF SE (Germany)

      3,896        361,585  

Chemours Co. (The)

      382,900        14,519,568  

Covestro AG (Germany), 144A

      3,542        256,774  

Daicel Corp. (Japan)

      900        11,249  

EMS-Chemie Holding AG (Switzerland)

      245        180,910  

Evonik Industries AG (Germany)

      625        20,004  

COMMON STOCKS

(continued)

    Shares      Value  

Chemicals (continued)

 

Hitachi Chemical Co. Ltd. (Japan)

      300      $ 8,994  

JSR Corp. (Japan)

      600        10,387  

Kuraray Co. Ltd. (Japan)

      1,000        18,209  

LyondellBasell Industries NV (Class A Stock)

      200,100        16,886,439  

Mitsubishi Chemical Holdings Corp. (Japan)

      38,200        318,273  

Mitsubishi Gas Chemical Co., Inc. (Japan)

      600        12,744  

Mitsui Chemicals, Inc. (Japan)

      42,000        223,666  

Sherwin-Williams Co. (The)

      46,500        16,319,640  

Shin-Etsu Chemical Co. Ltd. (Japan)

      1,200        109,215  

Sika AG (Switzerland)

      7        44,941  

Sumitomo Chemical Co. Ltd. (Japan)

      5,000        28,899  

Teijin Ltd. (Japan)

      12,700        245,073  

Tosoh Corp. (Japan)

      2,000        20,612  

Trinseo SA

      11,800        810,660  
     

 

 

  
        50,683,976  
     

 

 

  

Commercial Services & Supplies — 0.1%

 

Herman Miller, Inc.

      32,800        997,120  

ISS A/S (Denmark)

      2,504        98,360  

Steelcase, Inc. (Class A Stock)

      101,600        1,422,400  

Toppan Printing Co. Ltd. (Japan)

      2,000        21,992  
     

 

 

  
        2,539,872  
     

 

 

  

Communications Equipment — 0.5%

 

Cisco Systems, Inc.

      400,700        12,541,910  

Juniper Networks, Inc.

      293,700        8,188,356  
     

 

 

  
        20,730,266  
     

 

 

  

Construction & Engineering — 0.3%

 

Argan, Inc.

      39,200        2,352,000  

Bouygues SA (France)

      648        27,300  

EMCOR Group, Inc.

      53,100        3,471,678  

HOCHTIEF AG (Germany)

      1,258        230,943  

Kajima Corp. (Japan)

      4,000        33,807  

MasTec, Inc.*

      135,000        6,095,250  

Obayashi Corp. (Japan)

      27,600        325,187  

Skanska AB (Sweden) (Class B Stock)

      725        17,216  

Taisei Corp. (Japan)

      21,000        192,077  

Vinci SA (France)

      432        36,850  
     

 

 

  
        12,782,308  
     

 

 

  

Consumer Finance — 0.6%

 

Capital One Financial Corp.

      209,700        17,325,414  

Navient Corp.

      407,600        6,786,540  
     

 

 

  
        24,111,954  
     

 

 

  

Containers & Packaging — 0.3%

 

Owens-Illinois, Inc.*

      120,400        2,879,968  

WestRock Co.

      187,200        10,606,752  
     

 

 

  
        13,486,720  
     

 

 

  

Distributors — 0.4%

 

Genuine Parts Co.

      82,400        7,643,424  

LKQ Corp.*

      247,500        8,155,125  
     

 

 

  
        15,798,549  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A75

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Diversified Financial Services — 0.5%

 

Berkshire Hathaway, Inc. (Class B Stock)*

      102,100      $ 17,292,677  

Investor AB (Sweden) (Class B Stock)

      1,419        68,462  

Leucadia National Corp.

      89,800        2,349,168  

ORIX Corp. (Japan)

      19,100        297,193  
     

 

 

  
        20,007,500  
     

 

 

  

Diversified Telecommunication Services — 1.6%

 

AT&T, Inc.

      841,720        31,758,096  

HKT Trust & HKT Ltd. (Hong Kong)

      12,000        15,739  

Nippon Telegraph & Telephone Corp. (Japan)

      7,700        363,472  

Orange SA (France)

      18,394        292,739  

Telecom Italia SpA (Italy)*

      321,970        297,878  

Telecom Italia SpA (Italy)

      18,981        14,046  

Telefonica SA (Spain)

      13,765        142,490  

Verizon Communications, Inc.

      728,988        32,556,604  
     

 

 

  
        65,441,064  
     

 

 

  

Electric Utilities — 0.8%

 

AusNet Services (Australia)

      5,286        7,048  

Chubu Electric Power Co., Inc. (Japan)

      1,900        25,267  

CK Infrastructure Holdings Ltd. (Hong Kong)

      1,000        8,400  

CLP Holdings Ltd. (Hong Kong)

      8,000        84,595  

EDP-Energias de Portugal SA (Portugal)

      46,235        151,245  

Endesa SA (Spain)

      7,667        176,867  

Enel SpA (Italy)

      81,879        439,159  

Exelon Corp.

      122,700        4,425,789  

FirstEnergy Corp.

      462,300        13,480,668  

Iberdrola SA (Spain)

      16,274        128,962  

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

      2,000        27,579  

PPL Corp.

      326,800        12,634,088  

Red Electrica Corp. SA (Spain)

      331        6,925  

SSE PLC (United Kingdom)

      2,935        55,534  

Terna Rete Elettrica Nazionale SpA (Italy)

      4,613        24,916  

Tohoku Electric Power Co., Inc. (Japan)

      1,300        18,017  
     

 

 

  
        31,695,059  
     

 

 

  

Electrical Equipment — 0.5%

 

Emerson Electric Co.

      293,900        17,522,318  

Gamesa Corp. Tecnologica SA (Spain)

      750        16,047  

Nidec Corp. (Japan)

      700        71,918  

Vestas Wind Systems A/S (Denmark)

      3,917        361,803  
     

 

 

  
        17,972,086  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.0%

 

Hirose Electric Co. Ltd. (Japan)

      100        14,310  

Hitachi High-Technologies Corp. (Japan)

      200        7,789  

COMMON STOCKS

(continued)

    Shares      Value  

Electronic Equipment, Instruments & Components (continued)

 

Hitachi Ltd. (Japan)

      59,000      $ 363,776  

Keyence Corp. (Japan)

      300        132,068  

Kyocera Corp. (Japan)

      2,900        168,550  

TDK Corp. (Japan)

      1,800        118,984  
     

 

 

  
        805,477  
     

 

 

  

Energy Equipment & Services — 0.1%

 

McDermott International, Inc.*

      610,100        4,374,417  

Unit Corp.*

      25,100        470,123  
     

 

 

  
        4,844,540  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.3%

 

American Tower Corp.

      140,500        18,590,960  

CoreCivic, Inc.

      124,600        3,436,468  

Crown Castle International Corp.

      22,500        2,254,050  

Franklin Street Properties Corp.

      64,700        716,876  

GEO Group, Inc. (The)

      253,350        7,491,560  

Goodman Group (Australia)

      14,397        87,012  

Hammerson PLC (United Kingdom)

      2,446        18,301  

Land Securities Group PLC (United Kingdom)

      20,497        270,616  

Nippon Building Fund, Inc. (Japan)

      4        20,410  

Outfront Media, Inc.

      58,600        1,354,832  

Prologis, Inc.

      92,900        5,447,656  

Spirit Realty Capital, Inc.(a)

      632,200        4,684,602  

Stockland (Australia)

      80,765        271,604  

VEREIT, Inc.

      642,300        5,228,322  

Weyerhaeuser Co.

      91,800        3,075,300  
     

 

 

  
        52,948,569  
     

 

 

  

Food & Staples Retailing — 1.5%

 

Carrefour SA (France)

      667        16,863  

Casino Guichard Perrachon SA (France)

      176        10,424  

CVS Health Corp.

      56,900        4,578,174  

Distribuidora Internacional de Alimentacion SA (Spain)

      1,879        11,726  

ICA Gruppen AB (Sweden)(a)

      8,166        304,199  

J Sainsbury PLC (United Kingdom)

      92,828        304,483  

Jeronimo Martins SGPS SA (Portugal)

      779        15,209  

Koninklijke Ahold Delhaize NV (Netherlands)

      3,962        75,624  

Kroger Co. (The)

      298,200        6,954,024  

METRO AG (Germany)

      545        18,411  

Wal-Mart Stores, Inc.

      356,600        26,987,488  

Walgreens Boots Alliance, Inc.

      262,300        20,540,713  

Wesfarmers Ltd. (Australia)

      1,818        56,058  

WM Morrison Supermarkets PLC (United Kingdom)

      31,898        100,187  
     

 

 

  
        59,973,583  
     

 

 

  

Food Products — 1.0%

 

Archer-Daniels-Midland Co.

      232,100        9,604,298  

Conagra Brands, Inc.

      358,400        12,816,384  

Golden Agri-Resources Ltd. (Singapore)

      715,300        194,831  

Marine Harvest ASA (Norway)

      16,965        290,258  

Nestle SA (Switzerland)

      6,464        563,775  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A76

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Food Products (continued)

 

NH Foods Ltd. (Japan)

      3,000      $ 91,260  

Orkla ASA (Norway)

      2,557        25,989  

Sanderson Farms, Inc.

      12,500        1,445,625  

Tate & Lyle PLC (United Kingdom)

      10,666        91,924  

Tyson Foods, Inc. (Class A Stock)

      246,300        15,425,769  

WH Group Ltd. (Hong Kong), 144A

      334,000        337,264  

Wilmar International Ltd. (Singapore)

      23,700        57,647  
     

 

 

  
        40,945,024  
     

 

 

  

Gas Utilities — 0.2%

 

Atmos Energy Corp.

      23,500        1,949,325  

Gas Natural SDG SA (Spain)

      1,102        25,796  

UGI Corp.

      117,000        5,663,970  
     

 

 

  
        7,639,091  
     

 

 

  

Health Care Equipment & Supplies — 2.1%

 

Abbott Laboratories

      499,600        24,285,556  

Baxter International, Inc.

      319,800        19,360,692  

Cochlear Ltd. (Australia)

      175        20,902  

Danaher Corp.

      216,600        18,278,874  

Hoya Corp. (Japan)

      1,000        52,061  

Medtronic PLC

      163,100        14,475,125  

Smith & Nephew PLC (United Kingdom)

      2,714        46,867  

Straumann Holding AG (Switzerland)

      20        11,389  

Stryker Corp.

      64,900        9,006,822  
     

 

 

  
        85,538,288  
     

 

 

  

Health Care Providers & Services — 2.0%

 

Alfresa Holdings Corp. (Japan)

      600        11,600  

Anthem, Inc.

      99,100        18,643,683  

Cigna Corp.

      57,500        9,624,925  

Express Scripts Holding Co.*

      257,400        16,432,416  

Fresenius Medical Care AG & Co. KGaA (Germany)

      671        64,749  

Fresenius SE & Co. KGaA (Germany)

      1,261        108,261  

HCA Holdings, Inc.*

      126,300        11,013,360  

Medipal Holdings Corp. (Japan)

      14,400        267,006  

Ramsay Health Care Ltd. (Australia)

      417        23,595  

Ryman Healthcare Ltd. (New Zealand)

      1,106        6,719  

Sonic Healthcare Ltd. (Australia)

      4,866        90,599  

UnitedHealth Group, Inc.

      119,500        22,157,690  
     

 

 

  
        78,444,603  
     

 

 

  

Health Care Technology — 0.0%

 

Cerner Corp.*

      18,300        1,216,401  
     

 

 

  

Hotels, Restaurants & Leisure — 1.5%

 

Aristocrat Leisure Ltd. (Australia)

      22,502        390,115  

Carnival Corp.

      16,200        1,062,234  

Carnival PLC

      585        38,682  

Extended Stay America, Inc.

      351,400        6,803,104  

Galaxy Entertainment Group Ltd. (Hong Kong)

      13,000        78,901  

COMMON STOCKS

(continued)

    Shares      Value  

Hotels, Restaurants & Leisure (continued)

 

Genting Singapore PLC (Singapore)

      18,400      $ 14,497  

Intercontinental Hotels Group PLC (United Kingdom)

      581        32,265  

McDonald’s Corp.

      203,400        31,152,744  

Sodexo SA (France)

      287        37,093  

Tui AG (Germany)

      1,434        20,905  

Yum China Holdings, Inc.*

      211,300        8,331,559  

Yum! Brands, Inc.

      162,000        11,949,120  
     

 

 

  
        59,911,219  
     

 

 

  

Household Durables — 0.5%

 

Barratt Developments PLC (United Kingdom)

      3,003        22,055  

D.R. Horton, Inc.

      457,600        15,819,232  

Husqvarna AB (Sweden) (Class B Stock)

      1,267        12,594  

NVR, Inc.*

      1,400        3,374,854  

Panasonic Corp. (Japan)

      6,700        91,289  

Persimmon PLC (United Kingdom)

      7,468        218,115  

Sekisui House Ltd. (Japan)

      1,700        30,045  

Sharp Corp. (Japan)*

      5,000        18,534  

Sony Corp. (Japan)

      3,900        148,761  

Taylor Morrison Home Corp. (Class A Stock)*

      51,400        1,234,114  

Taylor Wimpey PLC (United Kingdom)

      121,301        278,563  
     

 

 

  
        21,248,156  
     

 

 

  

Household Products — 0.8%

Essity AB (Sweden) (Class B Stock)*

      123        3,365  

Henkel AG & Co. KGaA (Germany)

      321        38,884  

Kimberly-Clark Corp.

      129,800        16,758,478  

Procter & Gamble Co. (The)

      191,105        16,654,801  

Reckitt Benckiser Group PLC (United Kingdom)

      213        21,593  
     

 

 

  
        33,477,121  
     

 

 

  

Independent Power & Renewable Electricity Producers — 0.3%

 

AES Corp.

      1,049,100        11,655,501  
     

 

 

  

Industrial Conglomerates — 1.0%

 

3M Co.

      86,400        17,987,616  

CK Hutchison Holdings Ltd. (Hong Kong)

      28,000        351,387  

General Electric Co.

      217,492        5,874,459  

Honeywell International, Inc.

      106,700        14,222,043  

Jardine Matheson Holdings Ltd. (Hong Kong)

      800        51,360  

Siemens AG (Germany)

      3,594        494,370  
     

 

 

  
        38,981,235  
     

 

 

  

Insurance — 2.0%

 

Aflac, Inc.

      88,900        6,905,752  

AIA Group Ltd. (Hong Kong)

      17,200        125,841  

Allianz SE (Germany)

      1,427        281,608  

Allstate Corp. (The)

      213,400        18,873,096  

American International Group, Inc.

      286,600        17,918,232  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A77

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Insurance (continued)

 

Assurant, Inc.

      43,300      $ 4,489,777  

Aviva PLC (United Kingdom)

      12,647        86,751  

AXA SA (France)

      5,157        141,216  

Baloise Holding AG (Switzerland)

      154        23,855  

Direct Line Insurance Group PLC (United Kingdom)

      4,278        19,810  

Gjensidige Forsikring ASA (Norway)

      16,563        282,729  

Hannover Rueck SE (Germany)

      1,014        121,795  

Legal & General Group PLC (United Kingdom)

      63,839        214,819  

Medibank Pvt Ltd. (Australia)

      8,453        18,200  

MetLife, Inc.

      331,300        18,201,622  

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

      8,700        293,440  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)

      207        41,887  

NN Group NV (Netherlands)

      991        35,164  

Prudential PLC
(United Kingdom)

      8,035        184,435  

QBE Insurance Group Ltd. (Australia)

      4,122        37,413  

Sampo OYJ (Finland) (Class A Stock)

      1,855        95,172  

SCOR SE (France)

      535        21,254  

Swiss Life Holding AG (Switzerland)

      971        328,462  

Swiss Re AG (Switzerland)

      1,017        93,201  

Unum Group

      278,200        12,972,466  
     

 

 

  
        81,807,997  
     

 

 

  

Internet & Direct Marketing Retail — 1.2%

 

Amazon.com, Inc.*

      34,500        33,396,000  

Liberty Interactive Corp. QVC Group (Class A Stock)*

      274,800        6,743,592  

Liberty TripAdvisor Holdings, Inc. (Class A Stock)*

      23,400        271,440  

Nutrisystem, Inc.(a)

      104,300        5,428,815  
     

 

 

  
        45,839,847  
     

 

 

  

Internet Software & Services — 3.1%

 

Alphabet, Inc. (Class A Stock)*

      33,600        31,237,248  

Alphabet, Inc. (Class C Stock)*

      51,182        46,510,619  

Facebook, Inc. (Class A Stock)*

      314,300        47,453,014  
     

 

 

  
        125,200,881  
     

 

 

  

IT Services — 1.9%

 

Accenture PLC (Class A Stock)

      168,600        20,852,448  

Amadeus IT Group SA (Spain)

      5,598        334,625  

Atos SE (France)

      2,113        296,477  

Booz Allen Hamilton Holding Corp.

      39,800        1,295,092  

CACI International, Inc. (Class A Stock)*

      25,800        3,226,290  

Cognizant Technology Solutions Corp. (Class A Stock)

      300,800        19,973,120  

CSRA, Inc.

      126,700        4,022,725  

DST Systems, Inc.

      17,400        1,073,580  

COMMON STOCKS

(continued)

    Shares      Value  

IT Services (continued)

 

Fidelity National Information Services, Inc.

      19,700      $ 1,682,380  

First Data Corp. (Class A Stock)*

      159,000        2,893,800  

Fiserv, Inc.*

      56,100        6,863,274  

Fujitsu Ltd. (Japan)

      14,000        103,548  

Leidos Holdings, Inc.

      45,600        2,357,064  

Total System Services, Inc.

      116,600        6,791,950  

Travelport Worldwide Ltd.

      184,100        2,533,216  

Worldpay Group PLC (United Kingdom), 144A

      2,690        11,030  
     

 

 

  
        74,310,619  
     

 

 

  

Leisure Products — 0.0%

 

Bandai Namco Holdings, Inc. (Japan)

      600        20,500  
     

 

 

  

Life Sciences Tools & Services — 0.2%

 

Lonza Group AG (Switzerland)

      232        50,255  

QIAGEN NV

      620        20,630  

Thermo Fisher Scientific, Inc.

      38,100        6,647,307  
     

 

 

  
        6,718,192  
     

 

 

  

Machinery — 0.9%

 

Alfa Laval AB (Sweden)

      914        18,707  

Amada Holdings Co. Ltd. (Japan)

      1,000        11,600  

Atlas Copco AB (Sweden) (Class A Stock)

      8,243        316,958  

Atlas Copco AB (Sweden) (Class B Stock)

      1,137        39,300  

Crane Co.

      50,000        3,969,000  

Deere & Co.

      9,200        1,137,028  

Fortive Corp.

      34,800        2,204,580  

IDEX Corp.

      4,400        497,244  

Illinois Tool Works, Inc.

      129,600        18,565,200  

IMI PLC (United Kingdom)

      840        13,083  

JTEKT Corp. (Japan)

      700        10,301  

Metso OYJ (Finland)

      360        12,491  

Oshkosh Corp.

      94,400        6,502,272  

Pentair PLC (United Kingdom)

      32,200        2,142,588  

Sandvik AB (Sweden)

      19,414        305,659  

Schindler Holding AG (Switzerland)

      64        13,303  

Volvo AB (Sweden) (Class B Stock)

      4,764        81,244  

Wartsila OYJ Abp (Finland)

      453        26,789  
     

 

 

  
        35,867,347  
     

 

 

  

Marine — 0.0%

 

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

      10        19,081  

Kuehne + Nagel International AG (Switzerland)

      166        27,752  
     

 

 

  
        46,833  
     

 

 

  

Media — 1.4%

 

Altice NV (Netherlands) (Class A Stock)*

      1,125        25,920  

Comcast Corp. (Class A Stock)

      837,146        32,581,722  

Eutelsat Communications SA (France)

      7,424        189,423  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A78

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Media (continued)

 

RTL Group SA (Luxembourg)

      111      $ 8,386  

TEGNA, Inc.(a)

      23,100        332,871  

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

      30,500        850,035  

Viacom, Inc. (Class B Stock)

      387,000        12,991,590  

Walt Disney Co. (The)

      65,200        6,927,500  
     

 

 

  
        53,907,447  
     

 

 

  

Metals & Mining — 0.6%

 

Alcoa Corp.

      119,900        3,914,735  

Anglo American PLC (United Kingdom)*

      4,642        62,016  

Arcelormittal (Luxembourg)*

      4,706        106,747  

Boliden AB (Sweden)

      847        23,153  

Fortescue Metals Group Ltd. (Australia)

      47,896        191,732  

Mitsubishi Materials Corp. (Japan)

      300        9,104  

Nippon Steel & Sumitomo Metal Corp. (Japan)

      2,400        54,386  

Norsk Hydro ASA (Norway)

      4,020        22,247  

Reliance Steel & Aluminum Co.

      18,300        1,332,423  

Rio Tinto Ltd. (United Kingdom)

      1,267        61,574  

Rio Tinto PLC (United Kingdom)

      3,885        164,538  

South32 Ltd. (Australia)

      16,257        33,481  

Southern Copper Corp. (Peru)(a)

      192,800        6,676,664  

Steel Dynamics, Inc.

      279,100        9,994,571  

voestalpine AG (Austria)

      365        17,012  
     

 

 

  
        22,664,383  
     

 

 

  

Multi-Utilities — 0.2%

 

CenterPoint Energy, Inc.

      267,700        7,329,626  

Innogy SE (Germany), 144A

      431        16,963  

National Grid PLC (United Kingdom)

      10,263        127,164  
     

 

 

  
        7,473,753  
     

 

 

  

Multiline Retail — 0.4%

 

Macy’s, Inc.

      10,900        253,316  

Takashimaya Co. Ltd. (Japan)

      6,000        57,240  

Target Corp.(a)

      290,900        15,211,161  
     

 

 

  
        15,521,717  
     

 

 

  

Oil, Gas & Consumable Fuels — 3.0%

 

Anadarko Petroleum Corp.

      313,700        14,223,158  

BP PLC (United Kingdom)

      75,643        436,627  

Chevron Corp.

      136,800        14,272,344  

Devon Energy Corp.

      361,800        11,566,746  

Exxon Mobil Corp.

      560,216        45,226,238  

Galp Energia SGPS SA (Portugal)

      1,534        23,246  

JXTG Holdings, Inc. (Japan)

      9,700        42,442  

Marathon Petroleum Corp.

      77,900        4,076,507  

Newfield Exploration Co.*

      337,100        9,593,866  

OMV AG (Austria)

      5,361        278,465  

ONEOK, Inc.(a)

      68,200        3,557,312  

Repsol SA (Spain)

      19,011        291,460  

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

      13,569        360,513  

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

      11,445        307,259  

COMMON STOCKS

(continued)

    Shares      Value  

Oil, Gas & Consumable Fuels (continued)

 

Total SA (France)

      7,151      $ 355,026  

Valero Energy Corp.

      246,100        16,601,906  
     

 

 

  
        121,213,115  
     

 

 

  

Paper & Forest Products — 0.0%

      

Mondi PLC (South Africa)

      5,470        143,434  

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

      123        931  

UPM-Kymmene OYJ (Finland)

      11,159        318,196  
     

 

 

  
        462,561  
     

 

 

  

Personal Products — 0.1%

      

Avon Products, Inc.*

      479,800        1,823,240  

Kao Corp. (Japan)

      1,500        89,188  

Unilever NV (United Kingdom) CVA

      7,460        411,806  

Unilever PLC (United Kingdom)

      5,983        323,789  
     

 

 

  
        2,648,023  
     

 

 

  

Pharmaceuticals — 2.6%

      

Allergan PLC

      107,900        26,229,411  

Astellas Pharma, Inc. (Japan)

      12,700        155,660  

AstraZeneca PLC (United Kingdom)

      3,648        244,357  

Bayer AG (Germany)

      4,923        638,072  

Bristol-Myers Squibb Co.

      105,400        5,872,888  

Daiichi Sankyo Co. Ltd. (Japan)

      1,800        42,485  

GlaxoSmithKline PLC (United Kingdom)

      12,461        265,262  

Johnson & Johnson

      343,498        45,441,351  

Mallinckrodt PLC*

      32,200        1,442,882  

Merck & Co., Inc.

      105,800        6,780,722  

Mitsubishi Tanabe Pharma Corp. (Japan)

      600        13,879  

Novartis AG (Switzerland)

      6,906        576,835  

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

      4,357        187,209  

Orion OYJ (Finland) (Class B Stock)

      4,827        308,353  

Pfizer, Inc.

      49,100        1,649,269  

Roche Holding AG (Switzerland)

      2,783        711,098  

Sanofi (France)

      6,452        618,232  

Shionogi & Co. Ltd. (Japan)

      800        44,606  

Zoetis, Inc.

      223,300        13,929,454  
     

 

 

  
        105,152,025  
     

 

 

  

Professional Services — 0.1%

      

Adecco Group AG (Switzerland)

      3,944        300,463  

Insperity, Inc.

      20,700        1,469,700  

Randstad Holding NV (Netherlands)

      4,182        243,816  

RELX PLC (United Kingdom)

      14,400        311,286  
     

 

 

  
        2,325,265  
     

 

 

  

Real Estate Management & Development — 0.4%

CBRE Group, Inc.
(Class A Stock)*

      372,200        13,548,080  

Daiwa House Industry Co. Ltd. (Japan)

      1,800        61,606  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A79

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Real Estate Management & Development (continued)

 

Henderson Land Development Co. Ltd. (Hong Kong)

      3,300      $ 18,400  

Kerry Properties Ltd. (Hong Kong)

      50,500        171,467  

Mitsubishi Estate Co. Ltd. (Japan)

      4,000        74,771  

Sun Hung Kai Properties Ltd. (Hong Kong)

      21,000        308,494  

Swiss Prime Site AG (Switzerland)

      219        19,912  

Wharf Holdings Ltd. (The) (Hong Kong)

      4,000        33,099  

Wheelock & Co. Ltd. (Hong Kong)

      33,000        248,906  
     

 

 

  
        14,484,735  
     

 

 

  

Road & Rail — 1.0%

      

CSX Corp.

      324,200        17,688,352  

Kyushu Railway Co. (Japan)

      500        16,217  

MTR Corp. Ltd. (Hong Kong)

      500        2,813  

Nippon Express Co. Ltd. (Japan)

      11,000        69,027  

Norfolk Southern Corp.

      56,600        6,888,220  

Tokyu Corp. (Japan)

      3,000        22,925  

Union Pacific Corp.

      151,100        16,456,301  

West Japan Railway Co. (Japan)

      500        35,378  
     

 

 

  
        41,179,233  
     

 

 

  

Semiconductors & Semiconductor Equipment — 2.3%

 

Applied Materials, Inc.

      504,300        20,832,633  

ASM Pacific Technology Ltd. (Hong Kong)

      4,900        66,114  

Broadcom Ltd.

      96,400        22,466,020  

Disco Corp. (Japan)

      100        16,039  

Intel Corp.

      659,800        22,261,652  

Lam Research Corp.

      31,400        4,440,902  

Rohm Co. Ltd. (Japan)

      300        23,130  

STMicroelectronics NV (Switzerland)

      2,004        28,817  

Texas Instruments, Inc.

      285,100        21,932,743  

Tokyo Electron Ltd. (Japan)

      500        67,597  
     

 

 

  
        92,135,647  
     

 

 

  

Software — 3.3%

      

Activision Blizzard, Inc.

      76,000        4,375,320  

Adobe Systems, Inc.*

      160,800        22,743,552  

Check Point Software Technologies Ltd. (Israel)*

      1,100        119,988  

Electronic Arts, Inc.*

      156,500        16,545,180  

Intuit, Inc.

      116,500        15,472,365  

Konami Holdings Corp. (Japan)

      300        16,700  

Microsoft Corp.

      571,700        39,407,281  

Nexon Co. Ltd. (Japan)*

      800        15,869  

Nice Ltd. (Israel)

      321        25,290  

Oracle Corp.

      666,300        33,408,282  

SAP SE (Germany)

      423        44,276  

Trend Micro, Inc. (Japan)

      300        15,505  
     

 

 

  
        132,189,608  
     

 

 

  

Specialty Retail — 0.9%

      

Asbury Automotive Group, Inc.*

      21,400        1,210,170  

Burlington Stores, Inc.*

      124,700        11,471,153  

Dixons Carphone PLC (United Kingdom)

      34,785        128,589  

COMMON STOCKS

(continued)

    Shares      Value  

Specialty Retail (continued)

      

Francesca’s Holdings Corp.*

      107,200      $ 1,172,768  

Gap, Inc. (The)(a)

      462,800        10,176,972  

Industria de Diseno Textil SA (Spain)

      709        27,229  

Nitori Holdings Co. Ltd. (Japan)

      200        26,773  

Ross Stores, Inc.

      116,600        6,731,318  

Ulta Beauty, Inc.*

      13,400        3,850,356  
     

 

 

  
        34,795,328  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.4%

 

Apple, Inc.

      483,700        69,662,474  

Brother Industries Ltd. (Japan)

      14,100        326,599  

Canon, Inc. (Japan)

      3,300        112,250  

FUJIFILM Holdings Corp. (Japan)

      1,300        46,875  

Hewlett Packard Enterprise Co.

      748,100        12,410,979  

HP, Inc.

      858,000        14,997,840  
     

 

 

  
        97,557,017  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.4%

 

adidas AG (Germany)

      564        108,147  

Hermes International (France)

      579        286,013  

Kering (France)

      57        19,409  

LVMH Moet Hennessy Louis Vuitton SE (France)

      1,654        413,592  

PVH Corp.

      109,700        12,560,650  

Swatch Group AG (The) (Switzerland)

      140        10,227  

Wolverine World Wide, Inc.

      47,100        1,319,271  
     

 

 

  
        14,717,309  
     

 

 

  

Tobacco — 0.7%

      

Altria Group, Inc.

      383,500        28,559,245  

British American Tobacco PLC (United Kingdom)

      9,872        672,710  

Japan Tobacco, Inc. (Japan)

      6,500        228,463  

Swedish Match AB (Sweden)

      734        25,859  
     

 

 

  
        29,486,277  
     

 

 

  

Trading Companies & Distributors — 0.1%

 

Applied Industrial Technologies, Inc.

      25,000        1,476,250  

BMC Stock Holdings, Inc.*

      38,600        843,410  

ITOCHU Corp. (Japan)

      22,600        336,490  

Marubeni Corp. (Japan)

      11,700        75,800  

Mitsubishi Corp. (Japan)

      6,200        130,330  

Mitsui & Co. Ltd. (Japan)

      20,100        287,749  

Sumitomo Corp. (Japan)

      13,400        174,738  

Toyota Tsusho Corp. (Japan)

      700        21,046  

United Rentals, Inc.*

      19,500        2,197,845  
     

 

 

  
        5,543,658  
     

 

 

  

Transportation Infrastructure — 0.0%

 

Abertis Infraestructuras SA (Spain)

      1,866        34,589  

Aena SA (Spain), 144A

      196        38,274  

Aeroports de Paris (France)

      93        14,991  

Atlantia SpA (Italy)

      2,300        64,698  

Auckland International Airport Ltd. (New Zealand)

      2,752        14,380  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A80

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Transportation Infrastructure (continued)

 

Fraport AG Frankfurt Airport Services Worldwide (Germany)

      130      $ 11,504  

Sydney Airport (Australia)

      3,425        18,657  
     

 

 

  
        197,093  
     

 

 

  

Wireless Telecommunication Services — 0.1%

 

KDDI Corp. (Japan)

      5,600        148,107  

SoftBank Group Corp. (Japan)

      4,900        398,321  

T-Mobile U.S., Inc.*

      60,900        3,691,758  

Vodafone Group PLC (United Kingdom)

      82,153        233,312  
     

 

 

  
        4,471,498  
     

 

 

  

TOTAL COMMON STOCKS
(cost $1,856,521,578)

 

      2,388,270,256  
     

 

 

  
UNAFFILIATED EXCHANGE TRADED FUND — 0.0%  

iShares MSCI EAFE Index Fund
(cost $209,820)

      3,552        231,591  
     

 

 

  
    
PREFERRED STOCKS — 0.0%		   Shares      Value  

Automobiles — 0.0%

     

Bayerische Motoren Werke AG (Germany) (PRFC)

     155      $ 12,791  

Volkswagen AG (Germany) (PRFC)

     2,408        367,837  
    

 

 

  
       380,628  
    

 

 

  

Banks — 0.0%

     

Citigroup Capital XIII, 7.409%, (Capital Security, fixed to floating preferred)

     22,000        571,560  

Household Products — 0.0%

     

Henkel AG & Co. KGaA (Germany) (PRFC)

     541        74,601  
    

 

 

  

TOTAL PREFERRED STOCKS
(cost $908,689)

 

      1,026,789  
    

 

 

  
 

 

ASSET-BACKED SECURITIES — 4.2%    Interest
Rate		     Maturity
Date		      Principal
Amount
(000)#		         

Automobiles — 1.3%

           

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

      1.839% (c)      04/08/19        385        384,871  

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

      1.789% (c)      10/08/19        1,645        1,647,250  

AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B

      1.649% (c)      11/08/19        632        633,333  

AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C

      2.410%       07/08/22        1,000        996,690  

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

      1.920%       09/20/19        1,700        1,699,194  

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

      2.500%       07/20/21        5,000        4,977,553  

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

      2.630%       12/20/21        4,000        3,977,436  

Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A

      1.740%       02/22/22        2,525        2,522,543  

Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 144A

      2.130%       07/20/22        3,500        3,505,815  

Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 144A^

      1.970%       01/20/23        2,400        2,399,875  

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

      2.310%       08/15/27        5,590        5,619,753  

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

      2.030%       12/15/27        3,435        3,409,911  

Ford Credit Auto Owner Trust, Series 2017-1, Class A, 144A

      2.620%       08/15/28        6,200        6,274,236  

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

      1.659% (c)      05/15/20        1,800        1,804,686  

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

      2.009% (c)      05/17/21        2,300        2,320,470  

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

      2.320%       03/25/20        3,000        2,989,596  

OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A

      2.040%       01/15/21        648        648,773  

OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 144A

      2.160%       10/15/20        7,700        7,697,919  
          

 

 

  
             53,509,904  
          

 

 

  

Collateralized Loan Obligations — 1.5%

           

AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A

      2.858% (c)      01/15/28        2,500        2,502,182  

ALM XII Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A

      2.208% (c)      04/16/27        1,500        1,499,250  

Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A

      2.602% (c)      04/28/26        1,500        1,503,387  

ArrowMark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A

      —% (c)(p)      07/15/29        500        500,000  

Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A

      2.293% (c)      10/22/25        250        250,077  

Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1R, 144A

      2.551% (c)      07/18/30        1,500        1,500,000  

Benefit Street Partners CLO (Cayman Islands), Series 2017-11A, Class X, 144A

      1.883% (c)      04/15/29        1,875        1,874,465  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A81

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Collateralized Loan Obligations (continued)

           

Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1R, 144A

      —% (c)(p)      07/15/29        1,500      $ 1,500,000  

Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A

      2.688% (c)      07/18/27        750        753,568  

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

      2.308% (c)      04/17/25        2,100        2,102,209  

Canyon Capital CLO Ltd. (Cayman Islands), Series 2015-1A, Class AS, 144A

      2.408% (c)      04/15/29        3,000        2,999,977  

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A

      2.320% (c)      07/27/26        1,250        1,251,292  

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

      2.706% (c)      04/20/26        2,200        2,202,813  

Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A

      2.956% (c)      04/20/26        450        450,310  

Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1R, 144A

      2.558% (c)      10/18/26        500        499,718  

Eaton Vance CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A

      2.358% (c)      07/15/26        1,000        999,714  

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

      2.708% (c)      04/18/27        1,000        1,001,931  

Flagship CLO Ltd. (Cayman Islands), Series 2014-8A, Class AR, 144A

      2.408% (c)      01/16/26        750        750,215  

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

      2.621% (c)      05/05/27        250        250,388  

ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A

      2.656% (c)      01/25/27        3,250        3,251,152  

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

      2.698% (c)      04/15/27        500        500,577  

KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A

      2.482% (c)      05/15/26        2,750        2,750,724  

KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A

      2.358% (c)      10/15/26        3,250        3,250,909  

Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A

      2.278% (c)      01/18/27        2,750        2,754,272  

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

      2.336% (c)      04/20/25        2,550        2,550,359  

OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A

      —% (c)(p)      07/15/30        1,250        1,248,283  

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

      2.303% (c)      07/22/25        1,200        1,200,608  

Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A

      2.472% (c)      05/21/29        1,750        1,749,997  

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

      2.566% (c)      07/25/26        1,000        1,000,009  

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

      3.856% (c)      10/20/23        1,100        1,100,739  

TICP CLO Ltd. (Cayman Islands), Series 2017-7A, Class AS, 144A

      —% (c)(p)      07/15/29        1,250        1,248,125  

Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A

      2.856% (c)      10/25/28        3,250        3,263,609  

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

      2.278% (c)      07/15/25        2,700        2,702,127  

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

      2.298% (c)      04/15/24        1,850        1,850,694  

Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A

      2.431% (c)      04/20/29        2,000        2,000,061  

West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A

      2.339% (c)      11/07/25        2,000        2,000,708  

Zais CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A

      2.572% (c)      07/15/29        1,750        1,750,438  
          

 

 

  
             60,564,887  
          

 

 

  

Consumer Loans — 0.3%

 

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

      2.570%       07/18/25        4,124        4,128,631  

SpringCastle America Funding LLC, Series 2016-AA. Class A, 144A

      3.050%       04/25/29        2,629        2,644,117  

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

      3.160%       11/15/24        5,795        5,847,414  
          

 

 

  
             12,620,162  
          

 

 

  

Credit Cards — 0.5%

 

American Express Credit Account Master Trust, Series 2017-2, Class A

      1.439% (c)      09/16/24        6,900        6,944,138  

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

      1.959% (c)      05/15/20        3,900        3,904,640  

Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5

      1.836% (c)      04/22/26        3,800        3,819,739  

Discover Card Execution Note Trust, Series 2017-A4, Class A4

      2.530%       10/15/26        4,000        3,987,528  

Discover Card Execution Note Trust, Series 2017-A5, Class A5

      1.816% (c)      12/15/26        2,600        2,613,820  
          

 

 

  
             21,269,865  
          

 

 

  

Equipment — 0.1%

 

MMAF Equipment Finance LLC, Series 2017-AA, Class A4, 144A

      2.410%       08/16/24        3,500        3,507,735  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A82

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Home Equity Loans — 0.2%

 

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

      2.866% (c)    03/25/33      144      $ 143,241  

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

      3.721% (c)    07/25/35      283        281,611  

CSMC Trust, Series 2017-6R, Class A1, 144A^

      2.722% (c)    03/06/47      2,950        2,950,000  

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

      4.678% (c)    07/25/34      250        248,086  

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

      2.011% (c)    06/25/34      366        355,838  

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

      2.416% (c)    05/25/33      258        255,716  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1

      2.161% (c)    06/25/34      604        588,952  

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

      2.266% (c)    12/27/33      514        501,475  

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

      2.116% (c)    07/25/32      191        191,595  

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

      2.491% (c)    09/25/32      3,071        3,054,962  

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

      1.981% (c)    02/25/34      565        542,979  
          

 

 

  
             9,114,455  
          

 

 

  

Other — 0.1%

           

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

      2.200%     10/20/30      1,148        1,147,153  

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

      2.000%     09/20/29      542        537,258  
          

 

 

  
             1,684,411  
          

 

 

  

Residential Mortgage-Backed Securities — 0.2%

           

Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A

      4.145% (c)    12/26/46      5,078        5,098,469  

VOLT LVII LLC, Series 2017-NPL4, Class A1, 144A

      3.375% (c)    04/25/47      678        677,030  

VOLT LX LLC, Series 2017-NPL7, Class A1, 144A

      3.250% (c)    04/25/59      800        799,286  
          

 

 

  
             6,574,785  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(cost $168,078,832)

 

      168,846,204  
          

 

 

  
BANK LOANS(c) — 0.1%           

Technology

           

Dell International LLC

      3.299%     12/31/18      600        600,458  

Dell International LLC

      3.799%     09/07/23      811        813,682  

First Data Corp.

      3.656%     04/26/24      1,020        1,018,913  
          

 

 

  

TOTAL BANK LOANS
(cost $2,397,435)

 

      2,433,053  
          

 

 

  
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%           

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

      3.172%     05/15/49      4,000        3,976,044  

BANK, Series 2017-BNK4, Class A3

      3.362%     05/15/50      6,500        6,608,920  

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

      2.815%     04/10/46      1,100        1,108,315  

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

      3.575%     05/10/47      2,750        2,856,807  

Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3

      3.356%     07/10/47      2,800        2,871,338  

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

      2.944%     05/10/49      5,000        4,951,159  

Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3

      3.050%     04/10/49      6,500        6,458,380  

Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3

      3.442%     04/14/50      5,500        5,621,317  

Commercial Mortgage Trust, Series 2012-CR5, Class A3

      2.540%     12/10/45      1,000        994,920  

Commercial Mortgage Trust, Series 2013-CR7, Class A3

      2.929%     03/10/46      1,607        1,627,066  

Commercial Mortgage Trust, Series 2014-CR15, Class A2

      2.928%     02/10/47      2,700        2,737,918  

Commercial Mortgage Trust, Series 2014-CR18, Class A4

      3.550%     07/15/47      2,800        2,892,901  

Commercial Mortgage Trust, Series 2014-CR20, Class A3

      3.326%     11/10/47      5,000        5,100,942  

Commercial Mortgage Trust, Series 2014-UBS3, Class A2

      2.844%     06/10/47      2,300        2,340,491  

Commercial Mortgage Trust, Series 2015-CR27, Class A3

      3.349%     10/10/48      6,100        6,211,248  

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

      3.544%     11/15/48      3,000        3,081,119  

CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3

      3.127%     06/15/50      5,300        5,286,978  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A83

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

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

      3.513% (c)    12/25/23      2,515      $ 2,659,395  

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

      3.038% (c)    11/25/25      3,900        3,966,017  

Fannie Mae-Aces, Series 2016-M7, Class AB2

      2.385%     09/25/26      2,400        2,312,157  

Fannie Mae-Aces, Series 2017-M1, Class A2

      2.497% (c)    10/25/26      2,200        2,122,476  

Fannie Mae-Aces, Series 2017-M4, Class A2

      2.684% (c)    12/25/26      11,800        11,524,678  

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

      1.570% (c)    05/25/22      24,242        1,395,294  

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

      1.606% (c)    06/25/22      6,860        414,119  

FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO

      1.502% (c)    03/25/26      13,962        1,354,721  

FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class AM

      2.624%     08/25/26      7,230        7,062,092  

FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM

      3.327% (c)    03/25/27      5,900        6,072,714  

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

      1.872% (c)    05/25/19      18,231        465,418  

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

      1.810% (c)    07/25/19      19,709        514,185  

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

      3.161% (c)    05/25/25      2,500        2,583,954  

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

      3.136%     02/10/48      4,000        4,021,222  

GS Mortgage Securities Trust, Series 2015-GC32, Class A3

      3.498%     07/10/48      5,800        5,986,753  

GS Mortgage Securities Trust, Series 2016-GS4, Class A3

      3.178%     11/10/49      5,500        5,520,699  

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

      3.408%     11/15/47      1,400        1,437,563  

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

      2.920%     02/15/48      6,000        5,958,773  

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

      3.139%     06/15/45      849        858,887  

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

      2.611%     12/15/47      1,700        1,703,164  

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

      2.875%     12/15/47      3,900        3,947,169  

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

      3.070%     12/15/46      1,851        1,877,138  

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

      2.694%     04/15/46      1,400        1,413,267  

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

      2.863%     12/15/48      1,500        1,516,084  

Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3

      2.531%     08/15/49      10,400        9,910,366  

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

      2.792%     12/10/45      1,700        1,712,614  

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

      2.920%     03/10/46      3,900        3,940,805  

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

      2.971%     04/10/46      1,800        1,822,448  

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

      5.608% (c)    05/15/46      793        792,784  

Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3

      2.642%     11/15/49      8,000        7,707,986  

Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4

      3.190%     07/15/50      4,600        4,615,272  
          

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $173,230,809)

 

      171,916,077  
          

 

 

  
CORPORATE BONDS — 9.9%           

Aerospace/Defense — 0.0%

           

Embraer Netherlands Finance BV (Brazil), Gtd. Notes

      5.050%     06/15/25      1,000        1,042,500  
          

 

 

  

Agriculture — 0.1%

           

Altria Group, Inc., Gtd. Notes

      4.000%     01/31/24      1,500        1,600,347  

Bunge Ltd. Finance Corp., Gtd. Notes

      8.500%     06/15/19      930        1,040,134  

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

      2.050%     02/11/18      2,050        2,052,030  

Reynolds American, Inc., Gtd. Notes

      8.125%     06/23/19      325        362,477  
          

 

 

  
             5,054,988  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A84

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Airlines — 0.2%

           

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

      3.375%       11/01/28        2,947      $ 2,961,529  

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

      6.648%       03/15/19        9        9,546  

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

      7.250%       05/10/21        514        569,455  

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

      4.750%       07/12/22        556        588,327  

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

      4.000%       04/29/26        580        610,894  

Delta Air Lines, Inc., Sr. Unsec’d. Notes

      2.875%       03/13/20        2,000        2,026,151  

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

      6.821%       02/10/24        261        300,027  

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

      4.950%       11/23/20        312        323,896  

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

      5.300%       10/15/20        717        752,594  
          

 

 

  
             8,142,419  
          

 

 

  

Auto Manufacturers — 0.4%

           

Ford Motor Co., Sr. Unsec’d. Notes

      4.750%       01/15/43        1,430        1,380,336  

Ford Motor Co., Sr. Unsec’d. Notes(a)

      5.291%       12/08/46        2,400        2,463,168  

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

      4.134%       08/04/25        390        396,729  

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

      6.600%       04/01/36        760        880,552  

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

      6.250%       10/02/43        1,395        1,549,495  

General Motors Financial Co, Inc, Gtd. Notes

      3.950%       04/13/24        2,800        2,839,766  

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

      2.850%       01/15/21        4,705        4,760,199  

Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A

      4.250%       11/15/19        715        732,875  
          

 

 

  
             15,003,120  
          

 

 

  

Auto Parts & Equipment — 0.1%

           

Magna International, Inc. (Canada), Sr. Unsec’d. Notes

      3.625%       06/15/24        2,350        2,412,916  
          

 

 

  

Banks — 2.6%

           

Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A

      2.625%       04/28/21        2,570        2,626,861  

Bank of America Corp., Jr. Sub. Notes

      6.300% (c)      12/31/49        445        498,956  

Bank of America Corp., Jr. Sub. Notes

      8.000% (c)      12/29/49        2,200        2,260,500  

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

      6.000%       09/01/17        1,075        1,082,395  

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

      3.300%       01/11/23        2,875        2,931,632  

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

      6.400%       08/28/17        20        20,142  

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

      4.000%       04/01/24        975        1,021,671  

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

      4.125%       01/22/24        3,820        4,031,082  

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

      4.443% (c)      01/20/48        670        708,646  

Bank of America Corp., Sub. Notes, MTN

      4.450%       03/03/26        3,880        4,038,087  

Bank of America Corp., Sub. Notes, MTN

      4.000%       01/22/25        2,000        2,034,830  

Bank of America NA, Sub. Notes

      6.000%       10/15/36        410        517,565  

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

      3.684%       01/10/23        585        600,244  

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

      4.337%       01/10/28        630        647,649  

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

      4.375%       01/12/26        1,590        1,652,194  

Citigroup, Inc., Jr. Sub. Notes

      6.125% (c)      12/31/49        1,375        1,478,125  

Citigroup, Inc., Jr. Sub. Notes

      6.250% (c)      12/31/49        625        693,359  

Citigroup, Inc., Jr. Sub. Notes

      5.950% (c)      12/31/49        2,205        2,320,145  

Citigroup, Inc., Sr. Unsec’d. Notes

      2.750%       04/25/22        2,435        2,431,145  

Citigroup, Inc., Sr. Unsec’d. Notes

      3.700%       01/12/26        2,440        2,467,789  

Citigroup, Inc., Sr. Unsec’d. Notes

      4.281% (c)      04/24/48        1,150        1,176,595  

Citigroup, Inc., Sr. Unsec’d. Notes

      8.125%       07/15/39        710        1,090,088  

Citigroup, Inc., Sub. Notes

      4.450%       09/29/27        1,965        2,043,635  

Citigroup, Inc., Sub. Notes

      4.750%       05/18/46        820        860,751  

Compass Bank, Sr. Unsec’d. Notes

      1.850%       09/29/17        1,270        1,270,307  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A85

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Banks (continued)

           

Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes, 144A

      4.282%     01/09/28      1,370      $ 1,416,143  

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

      3.375%     05/12/21      1,640        1,661,033  

Dexia Credit Local SA (France), Govt. Liquid Gtd. Notes, 144A

      1.875%     09/15/21      1,250        1,219,790  

Discover Bank, Sr. Unsec’d. Notes

      4.250%     03/13/26      970        996,316  

Discover Bank, Sub. Notes

      7.000%     04/15/20      570        632,669  

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

      3.750%     02/25/26      1,010        1,028,435  

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

      5.300% (c)    12/31/49      740        777,000  

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

      5.375% (c)    12/31/49      2,215        2,327,522  

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

      3.500%     01/23/25      4,100        4,144,542  

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

      3.850%     01/26/27      2,910        2,960,366  

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

      5.250%     07/27/21      2,055        2,252,383  

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

      5.750%     01/24/22      3,620        4,075,664  

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

      6.250%     02/01/41      270        352,699  

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

      6.750%     10/01/37      104        134,996  

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

      4.875%     01/14/22      1,910        2,080,151  

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

      5.100%     04/05/21      1,025        1,114,383  

JPMorgan Chase & Co., Jr. Sub. Notes(a)

      6.100% (c)    12/31/49      1,275        1,383,375  

JPMorgan Chase & Co., Jr. Sub. Notes

      7.900% (c)    04/29/49      2,000        2,079,000  

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

      4.250%     10/15/20      2,930        3,111,317  

JPMorgan Chase & Co., Sub. Notes

      4.950%     06/01/45      515        574,516  

JPMorgan Chase & Co., Sub. Notes

      3.875%     09/10/24      3,775        3,894,830  

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

      5.800%     01/13/20      1,870        2,034,384  

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

      2.900%     02/06/25      3,080        3,052,145  

Morgan Stanley, Jr. Sub. Notes

      5.450% (c)    12/31/49      840        869,820  

Morgan Stanley, Sr. Unsec’d. Notes

      4.375%     01/22/47      2,020        2,107,272  

Morgan Stanley, Sr. Unsec’d. Notes

      5.750%     01/25/21      1,400        1,549,008  

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

      3.750%     02/25/23      940        977,424  

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

      5.500%     07/28/21      1,290        1,430,423  

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

      6.625%     04/01/18      105        108,729  

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

      5.625%     09/23/19      1,415        1,520,157  

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

      6.375%     07/24/42      780        1,036,855  

Morgan Stanley, Sub. Notes, GMTN

      4.350%     09/08/26      3,825        3,976,615  

National City Corp., Sub. Notes

      6.875%     05/15/19      3,370        3,666,907  

Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN
(original cost $2,104,134; purchased 09/17/2015)(f)(g)

      1.875%     09/17/18      2,110        2,113,148  

People’s United Bank NA, Sub. Notes

      4.000%     07/15/24      465        469,114  

PNC Bank NA, Sr. Unsec’d. Notes

      1.950%     03/04/19      515        515,935  

PNC Bank NA, Sub. Notes

      3.800%     07/25/23      270        283,606  

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

      2.450%     01/10/19      1,210        1,220,441  
          

 

 

  
             105,653,506  
          

 

 

  

Beverages — 0.1%

 

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

      4.700%     02/01/36      855        941,050  

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

      4.900%     02/01/46      225        253,944  

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

      8.000%     11/15/39      1,285        1,970,551  

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

      8.200%     01/15/39      250        387,344  

Constellation Brands, Inc., Gtd. Notes

      4.250%     05/01/23      1,400        1,490,433  
          

 

 

  
             5,043,322  
          

 

 

  

Biotechnology — 0.1%

 

Amgen, Inc., Sr. Unsec’d. Notes

      4.663%     06/15/51      1,834        1,942,487  

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

      3.500%     02/01/25      1,460        1,498,315  

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

      4.150%     03/01/47      40        40,186  

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

      5.650%     12/01/41      145        175,767  
          

 

 

  
             3,656,755  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A86

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Building Materials — 0.1%

 

Owens Corning, Inc., Gtd. Notes

      4.200%       12/15/22        775      $ 817,686  

Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g)

      5.375%       11/15/24        1,400        1,475,250  
          

 

 

  
             2,292,936  
          

 

 

  

Chemicals — 0.3%

 

Agrium, Inc. (Canada), Sr. Unsec’d. Notes

      3.150%       10/01/22        780        795,766  

Celanese US Holdings LLC, Gtd. Notes

      5.875%       06/15/21        1,500        1,682,621  

CF Industries, Inc., Gtd. Notes

      5.375%       03/15/44        585        522,113  

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

      4.625%       10/01/44        45        47,897  

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

      9.400%       05/15/39        347        583,218  

LyondellBasell Industries NV, Sr. Unsec’d. Notes

      4.625%       02/26/55        1,185        1,160,775  

LyondellBasell Industries NV, Sr. Unsec’d. Notes

      5.000%       04/15/19        600        627,265  

Mexichem SAB de CV (Mexico), Gtd. Notes, 144A

      4.875%       09/19/22        2,000        2,127,500  

Mosaic Co. (The), Sr. Unsec’d. Notes(a)

      5.450%       11/15/33        345        363,984  

Mosaic Co. (The), Sr. Unsec’d. Notes

      5.625%       11/15/43        430        439,010  

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

      7.500%       06/01/25        460        562,787  

Westlake Chemical Corp., Gtd. Notes

      4.625%       02/15/21        950        983,250  
          

 

 

  
             9,896,186  
          

 

 

  

Commercial Services — 0.1%

 

ERAC USA Finance LLC, Gtd. Notes, 144A

      4.200%       11/01/46        975        917,766  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      6.375%       10/15/17        1,302        1,318,843  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      6.700%       06/01/34        420        521,603  

ERAC USA Finance LLC, Gtd. Notes, 144A(g)

      7.000%       10/15/37        380        493,280  

United Rentals North America, Inc., Gtd. Notes

      5.875%       09/15/26        485        516,525  
          

 

 

  
             3,768,017  
          

 

 

  

Computers — 0.3%

 

Apple, Inc., Sr. Unsec’d. Notes

      2.850%       05/11/24        6,145        6,174,773  

Apple, Inc., Sr. Unsec’d. Notes

      3.200%       05/13/25        1,350        1,378,764  

Apple, Inc., Sr. Unsec’d. Notes

      3.450%       02/09/45        890        836,296  

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

      3.480%       06/01/19        1,085        1,110,363  

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

      4.420%       06/15/21        920        969,881  

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

      2.450% (c)      10/05/17        1,295        1,298,235  

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

      2.850% (c)      10/05/18        735        741,289  

Seagate HDD Cayman, Gtd. Notes

      3.750%       11/15/18        605        619,520  
          

 

 

  
             13,129,121  
          

 

 

  

Diversified Financial Services — 0.3%

 

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

      3.750%       05/15/19        775        796,026  

Bear Stearns Cos. LLC, Gtd. Notes

      6.400%       10/02/17        330        333,804  

Bear Stearns Cos. LLC, Gtd. Notes

      7.250%       02/01/18        1,175        1,211,855  

Capital One Bank USA NA, Sub. Notes

      3.375%       02/15/23        860        867,343  

CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A

      3.150%       07/24/24        800        819,670  

Discover Financial Services, Sr. Unsec’d. Notes

      3.850%       11/21/22        900        921,703  

GE Capital International Funding Co., Gtd. Notes

      2.342%       11/15/20        766        772,124  

GE Capital International Funding Co., Gtd. Notes

      4.418%       11/15/35        760        827,175  

Jefferies Group LLC, Sr. Unsec’d. Notes

      6.500%       01/20/43        560        632,856  

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes

      6.875% (d)      02/06/12        1,715        107,187  

Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes

      6.875% (d)      05/02/18        700        44,520  

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

      8.450%       06/15/18        240        252,720  

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

      2.450%       07/15/24        475        476,654  

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

      3.250%       06/15/25        700        729,055  

Synchrony Financial, Sr. Unsec’d. Notes

      2.700%       02/03/20        2,700        2,713,692  
          

 

 

  
             11,506,384  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A87

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Electric — 0.7%

 

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

      6.350%     10/01/36      550      $ 718,603  

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

      6.125%     04/01/36      310        398,261  

Black Hills Corp., Sr. Unsec’d. Notes

      2.500%     01/11/19      1,245        1,251,657  

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

      6.950%     03/15/33      590        813,094  

Comision Federal De Electricidad (Mexico), Sr. Unsec’d. Notes, 144A

      4.750%     02/23/27      480        493,800  

Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A

      4.875%     01/15/24      645        681,281  

Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes

      5.500%     12/01/39      220        269,904  

Dominion Resources, Inc., Jr. Sub. Notes

      4.104% (c)    04/01/21      3,210        3,369,152  

Duke Energy Carolinas LLC, First Mortgage

      6.050%     04/15/38      550        720,393  

Duke Energy Carolinas LLC, First Ref. Mortgage

      4.000%     09/30/42      570        588,083  

Dynegy, Inc., Gtd. Notes

      6.750%     11/01/19      455        469,219  

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

      6.000%     05/15/35      670        794,400  

Eversource Energy, Sr. Unsec’d. Notes

      4.500%     11/15/19      615        648,669  

Exelon Corp., Jr. Sub. Notes

      3.497% (c)    06/01/22      3,470        3,545,094  

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

      6.250%     10/01/39      1,425        1,554,887  

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

      5.450%     07/15/44      355        405,499  

Florida Power & Light Co., First Mortgage

      5.950%     10/01/33      295        374,121  

Iberdrola International BV (Spain), Gtd. Notes

      6.750%     09/15/33      145        175,605  

Monongahela Power Co., First Mortgage, 144A

      4.100%     04/15/24      2,170        2,305,393  

Nevada Power Co., Gen. Ref. Mtge.

      6.500%     05/15/18      1,260        1,312,437  

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

      4.881%     08/15/19      610        645,501  

NRG Energy, Inc., Gtd. Notes

      7.250%     05/15/26      895        926,325  

PSEG Power LLC, Gtd. Notes

      3.000%     06/15/21      1,760        1,787,046  

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

      7.950%     05/15/18      140        147,318  

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

      3.000%     05/15/27      1,130        1,132,284  

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

      5.800%     05/01/37      535        683,397  

Southern California Edison Co., First Ref. Mortgage

      3.600%     02/01/45      860        836,554  

State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A

      2.750%     05/07/19      665        671,119  

Xcel Energy, Inc., Sr. Unsec’d. Notes

      4.800%     09/15/41      480        512,551  
          

 

 

  
             28,231,647  
          

 

 

  

Food — 0.1%

 

Kraft Heinz Foods Co., Gtd. Notes

      3.000%     06/01/26      1,630        1,559,993  

Kraft Heinz Foods Co., Gtd. Notes

      4.375%     06/01/46      475        465,184  

Kraft Heinz Foods Co., Gtd. Notes

      5.000%     07/15/35      815        881,323  

Kroger Co. (The), Sr. Unsec’d. Notes

      4.450%     02/01/47      335        322,909  
          

 

 

  
             3,229,409  
          

 

 

  

Forest Products & Paper — 0.1%

 

Georgia-Pacific LLC, Gtd. Notes, 144A(g)

      5.400%     11/01/20      290        317,251  

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

      6.000%     11/15/41      1,595        1,945,098  

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

      7.950%     06/15/18      286        302,384  
          

 

 

  
             2,564,733  
          

 

 

  

Gas — 0.1%

 

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

      4.800%     11/01/43      65        68,680  

Nisource Finance Corp., Gtd. Notes

      3.490%     05/15/27      3,285        3,307,604  
          

 

 

  
             3,376,284  
          

 

 

  

Healthcare-Products — 0.3%

 

Abbott Laboratories, Sr. Unsec’d. Notes

      2.000%     09/15/18      4,910        4,919,604  

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

      3.700%     06/06/27      4,695        4,709,841  

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

      3.734%     12/15/24      474        481,767  

Medtronic, Inc., Gtd. Notes

      3.500%     03/15/25      1,830        1,903,679  

Medtronic, Inc., Gtd. Notes

      4.375%     03/15/35      1,269        1,386,086  
          

 

 

  
             13,400,977  
          

 

 

  

Healthcare-Services — 0.4%

 

Aetna, Inc., Sr. Unsec’d. Notes

      6.625%     06/15/36      515        694,822  

Aetna, Inc., Sr. Unsec’d. Notes

      6.750%     12/15/37      1,380        1,908,816  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A88

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Healthcare-Services (continued)

 

Anthem, Inc., Sr. Unsec’d. Notes

      4.625%     05/15/42      390      $ 421,037  

Anthem, Inc., Sr. Unsec’d. Notes

      4.650%     01/15/43      360        387,984  

Cigna Corp., Sr. Unsec’d. Notes

      5.875%     03/15/41      650        817,192  

Cigna Corp., Sr. Unsec’d. Notes

      6.150%     11/15/36      670        849,026  

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

      4.125%     10/15/20      640        664,000  

HCA, Inc., Sr. Sec’d. Notes

      4.250%     10/15/19      555        575,813  

HCA, Inc., Sr. Sec’d. Notes

      5.250%     04/15/25      400        430,000  

Kaiser Foundation Hospitals, Gtd. Notes

      4.150%     05/01/47      940        973,978  

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

      3.200%     02/01/22      190        193,907  

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

      4.024%     08/01/45      445        453,306  

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

      2.875%     09/29/21      5,305        5,425,312  

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

      3.950%     10/15/42      720        729,727  

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

      6.625%     11/15/37      420        578,857  
          

 

 

  
             15,103,777  
          

 

 

  

Home Builders — 0.0%

 

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

      3.625%     02/15/18      450        452,795  
          

 

 

  

Housewares — 0.1%

 

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

      4.200%     04/01/26      1,695        1,799,729  

Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A

      3.000%     06/26/27      4,045        3,991,505  
          

 

 

  
             5,791,234  
          

 

 

  

Insurance — 0.6%

 

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

      5.500%     11/15/20      525        568,791  

American International Group, Inc., Sr. Unsec’d. Notes

      4.500%     07/16/44      1,980        2,013,420  

AXIS Specialty Finance LLC, Gtd. Notes

      5.875%     06/01/20      1,030        1,124,261  

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

      3.125%     03/15/26      2,455        2,482,619  

Chubb Corp. (The), Gtd. Notes

      3.408% (c)    04/15/37      1,300        1,290,250  

Chubb INA Holdings, Inc., Gtd. Notes

      4.350%     11/03/45      130        142,546  

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

      5.125%     04/15/22      755        838,093  

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

      6.500%     05/01/42      365        472,561  

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

      7.000%     03/15/34      850        1,084,948  

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

      6.300%     10/09/37      772        948,156  

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

      8.750%     07/01/19      186        209,118  

Markel Corp., Sr. Unsec’d. Notes

      5.000%     03/30/43      200        214,769  

New York Life Global Funding, Sec’d. Notes, 144A

      1.950%     02/11/20      3,030        3,023,622  

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

      6.750%     11/15/39      660        927,054  

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

      6.063%     03/30/40      370        481,296  

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

      6.375%     04/30/20      680        743,889  

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

      9.250%     06/15/39      910        1,483,325  

Principal Financial Group, Inc., Gtd. Notes

      4.625%     09/15/42      130        141,641  

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

      3.700%     01/26/45      710        690,635  

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

      4.270%     05/15/47      1,450        1,484,378  

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

      6.850%     12/16/39      124        169,794  

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

      4.000%     05/30/47      890        910,445  

Unum Group, Sr. Unsec’d. Notes

      5.625%     09/15/20      350        382,928  

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

      6.150%     08/15/19      460        496,441  
          

 

 

  
             22,324,980  
          

 

 

  

Lodging — 0.1%

 

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

      3.000%     03/01/19      580        588,868  

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

      3.250%     09/15/22      980        1,002,119  

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

      6.750%     05/15/18      2,800        2,918,023  

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

      2.500%     03/01/18      490        492,145  
          

 

 

  
             5,001,155  
          

 

 

  

Machinery-Diversified — 0.0%

 

Xylem, Inc., Sr. Unsec’d. Notes

      4.875%     10/01/21      1,260        1,363,028  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A89

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Media — 0.4%

 

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

      6.150%     03/01/37      515      $ 643,417  

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

      6.900%     08/15/39      90        118,808  

AMC Networks, Inc., Gtd. Notes

      5.000%     04/01/24      1,520        1,556,100  

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

      8.625%     09/15/17      432        437,400  

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

      5.375%     05/01/25      880        937,200  

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

      6.384%     10/23/35      875        1,037,184  

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

      6.484%     10/23/45      1,386        1,663,495  

Comcast Cable Communications Holdings, Inc., Gtd. Notes

      9.455%     11/15/22      255        341,506  

Comcast Corp., Gtd. Notes

      6.400%     05/15/38      530        704,851  

Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes

      5.000%     05/13/45      600        577,187  

Historic TW, Inc., Gtd. Notes

      9.150%     02/01/23      505        647,773  

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

      6.375%     07/28/17      1,300        1,300,645  

Time Warner Cable, Inc., Sr. Sec’d. Notes

      5.500%     09/01/41      360        386,879  

Time Warner, Inc., Gtd. Notes

      3.800%     02/15/27      385        387,603  

Time Warner, Inc., Gtd. Notes

      6.200%     03/15/40      210        250,811  

Time Warner, Inc., Gtd. Notes

      6.250%     03/29/41      1,465        1,789,751  

Viacom, Inc., Sr. Unsec’d. Notes

      5.250%     04/01/44      450        450,639  

Videotron Ltd. (Canada), Gtd. Notes

      5.000%     07/15/22      1,040        1,099,800  
          

 

 

  
             14,331,049  
          

 

 

  

Mining — 0.1%

 

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

      5.000%     09/30/43      255        295,083  

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

      6.250% (c)    10/19/75      425        463,250  

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

      5.875%     04/23/45      530        566,618  

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

      6.750%     04/16/40      425        489,509  
          

 

 

  
             1,814,460  
          

 

 

  

Miscellaneous Manufacturing — 0.0%

 

Actuant Corp., Gtd. Notes

      5.625%     06/15/22      1,205        1,244,163  

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

      6.000%     08/07/19      264        286,916  

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

      4.125%     10/09/42      190        199,956  
          

 

 

  
             1,731,035  
          

 

 

  

Multi-National — 0.1%

 

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

      2.000%     05/10/19      1,410        1,413,945  

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

      2.125%     09/27/21      2,270        2,256,788  

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

      2.400%     10/26/22      1,095        1,071,103  

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

      4.375%     02/11/20      1,000        1,056,954  
          

 

 

  
             5,798,790  
          

 

 

  

Oil & Gas — 0.5%

 

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

      4.677% (s)    10/10/36      2,000        824,570  

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

      6.600%     03/15/46      225        277,882  

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

      6.450%     09/15/36      1,155        1,359,541  

Apache Corp., Sr. Unsec’d. Notes

      5.100%     09/01/40      325        332,033  

ConocoPhillips Co., Gtd. Notes

      4.950%     03/15/26      1,700        1,893,322  

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

      5.000%     06/15/45      110        111,127  

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

      5.600%     07/15/41      300        311,574  

Devon Financing Corp. LLC, Gtd. Notes

      7.875%     09/30/31      1,700        2,206,041  

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

      3.900%     04/01/35      1,020        989,210  

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

      4.950%     07/19/22      350        362,037  

Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A

      6.510%     03/07/22      580        639,828  

Helmerich & Payne International Drilling Co., Gtd. Notes

      4.650%     03/15/25      1,995        2,092,031  

KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A

      3.875%     04/19/22      550        544,280  

Nabors Industries, Inc., Gtd. Notes

      4.625%     09/15/21      1,070        1,016,286  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A90

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Oil & Gas (continued)

 

Noble Energy, Inc., Sr. Unsec’d. Notes

      5.050%     11/15/44      1,200      $ 1,232,423  

Petroleos Mexicanos (Mexico), Gtd. Notes

      5.500%     01/21/21      1,110        1,164,390  

Petroleos Mexicanos (Mexico), Gtd. Notes

      6.500%     06/02/41      1,255        1,246,215  

Petroleos Mexicanos (Mexico), Gtd. Notes

      8.625% (c)    12/01/23      350        411,250  

Petroleos Mexicanos (Mexico), Gtd. Notes, MTN

      6.875%     08/04/26      1,000        1,108,000  

Petroleos Mexicanos (Mexico), Gtd. Notes, 144A

      5.375%     03/13/22      450        473,737  

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

      6.875%     05/01/18      1,500        1,560,081  

Raizen Fuels Finance SA (Brazil), Gtd. Notes, 144A

      5.300%     01/20/27      320        324,400  

Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A

      2.500%     04/28/20      1,250        1,255,886  
          

 

 

  
             21,736,144  
          

 

 

  

Oil & Gas Services — 0.1%

 

Cameron International Corp., Gtd. Notes

      4.500%     06/01/21      2,200        2,315,315  

Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A

      4.000%     12/21/25      2,845        2,982,394  
          

 

 

  
             5,297,709  
          

 

 

  

Packaging & Containers — 0.0%

 

Ball Corp., Gtd. Notes

      4.375%     12/15/20      630        661,500  

WestRock RKT Co., Gtd. Notes

      4.900%     03/01/22      800        871,859  
          

 

 

  
             1,533,359  
          

 

 

  

Pharmaceuticals — 0.2%

 

AbbVie, Inc., Sr. Unsec’d. Notes

      3.600%     05/14/25      1,175        1,198,575  

AbbVie, Inc., Sr. Unsec’d. Notes

      4.500%     05/14/35      1,910        2,014,353  

Actavis Funding SCS, Gtd. Notes

      3.800%     03/15/25      475        491,316  

Actavis Funding SCS, Gtd. Notes

      4.550%     03/15/35      2,010        2,145,329  

Actavis Funding SCS, Gtd. Notes

      4.750%     03/15/45      178        192,145  

Actavis, Inc., Gtd. Notes

      6.125%     08/15/19      445        480,552  

Eli Lilly & Co., Sr. Unsec’d. Notes

      3.100%     05/15/27      1,140        1,151,206  

Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a)

      3.150%     10/01/26      610        579,304  

Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes

      4.100%     10/01/46      195        179,611  

Wyeth LLC, Gtd. Notes

      6.450%     02/01/24      60        72,928  
          

 

 

  
             8,505,319  
          

 

 

  

Pipelines — 0.2%

 

DCP Midstream LLC, Gtd. Notes, 144A

      5.350%     03/15/20      717        745,680  

Energy Transfer Partners LP, Sr. Unsec’d. Notes

      4.650%     06/01/21      675        712,041  

Energy Transfer Partners LP, Sr. Unsec’d. Notes

      4.900%     03/15/35      250        243,100  

Enterprise Products Operating LLC, Gtd. Notes

      3.700%     02/15/26      270        274,996  

Enterprise Products Operating LLC, Gtd. Notes

      3.750%     02/15/25      1,345        1,385,084  

Kinder Morgan Energy Partners LP, Gtd. Notes

      5.950%     02/15/18      510        522,599  

MPLX LP, Sr. Unsec’d. Notes

      4.000%     02/15/25      1,430        1,439,733  

MPLX LP, Sr. Unsec’d. Notes

      5.200%     03/01/47      40        41,195  

ONEOK Partners LP, Gtd. Notes

      6.650%     10/01/36      145        174,505  

Williams Partners LP, Sr. Unsec’d. Notes

      4.900%     01/15/45      1,000        1,001,313  

Williams Partners LP, Sr. Unsec’d. Notes

      5.100%     09/15/45      500        518,001  
          

 

 

  
             7,058,247  
          

 

 

  

Real Estate — 0.0%

 

ProLogis LP, Gtd. Notes

      6.875%     03/15/20      72        79,878  
          

 

 

  

Real Estate Investment Trusts (REITs) — 0.0%

 

Select Income REIT, Sr. Unsec’d. Notes

      2.850%     02/01/18      715        717,971  

Simon Property Group LP, Sr. Unsec’d. Notes

      3.375%     03/15/22      230        237,672  
          

 

 

  
             955,643  
          

 

 

  

Retail — 0.2%

 

CVS Health Corp., Sr. Unsec’d. Notes

      5.125%     07/20/45      820        940,044  

CVS Health Corp., Sr. Unsec’d. Notes

      5.300%     12/05/43      225        259,295  

Home Depot, Inc. (The), Sr. Unsec’d. Notes

      4.400%     03/15/45      755        826,890  

L Brands, Inc., Gtd. Notes

      5.625%     02/15/22      1,450        1,551,500  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A91

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Retail (continued)

 

Lowe’s Cos., Inc., Sr. Unsec’d. Notes

      6.500%       03/15/29        129      $ 168,181  

Macy’s Retail Holdings, Inc., Gtd. Notes(a)

      3.875%       01/15/22        360        357,068  

McDonald’s Corp., Sr. Unsec’d. Notes, MTN

      3.700%       01/30/26        2,620        2,713,327  

Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)

      5.625%       12/01/25        1,375        1,407,656  

Target Corp., Sr. Unsec’d. Notes

      3.500%       07/01/24        345        357,342  
          

 

 

  
             8,581,303  
          

 

 

  

Savings & Loans — 0.0%

 

People’s United Financial, Inc., Sr. Unsec’d. Notes

      3.650%       12/06/22        1,455        1,485,596  
          

 

 

  

Semiconductors — 0.1%

 

Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A

      3.875%       01/15/27        2,125        2,182,162  

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A

      5.750%       03/15/23        1,500        1,578,750  
          

 

 

  
             3,760,912  
          

 

 

  

Software — 0.3%

 

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

      3.625%       10/15/20        2,210        2,315,070  

Fidelity National Information Services, Inc., Sr. Unsec’d. Notes

      2.850%       10/15/18        1,650        1,669,465  

Microsoft Corp., Sr. Unsec’d. Notes

      3.125%       11/03/25        1,380        1,408,065  

Microsoft Corp., Sr. Unsec’d. Notes

      2.375%       02/12/22        3,085        3,107,644  

Microsoft Corp., Sr. Unsec’d. Notes

      4.500%       02/06/57        1,125        1,238,623  

Oracle Corp., Sr. Unsec’d. Notes

      4.300%       07/08/34        920        998,210  
          

 

 

  
             10,737,077  
          

 

 

  

Telecommunications — 0.4%

 

Anixter, Inc., Gtd. Notes

      5.625%       05/01/19        782        823,055  

AT&T Corp., Gtd. Notes

      8.250% (c)      11/15/31        4        5,556  

AT&T, Inc., Sr. Unsec’d. Notes

      3.400%       05/15/25        3,460        3,401,491  

AT&T, Inc., Sr. Unsec’d. Notes

      4.500%       05/15/35        430        423,031  

AT&T, Inc., Sr. Unsec’d. Notes

      4.500%       03/09/48        4        3,743  

AT&T, Inc., Sr. Unsec’d. Notes

      4.550%       03/09/49        844        797,560  

AT&T, Inc., Sr. Unsec’d. Notes

      4.750%       05/15/46        875        858,028  

AT&T, Inc., Sr. Unsec’d. Notes

      4.800%       06/15/44        1,000        991,044  

AT&T, Inc., Sr. Unsec’d. Notes

      5.150%       03/15/42        860        878,226  

AT&T, Inc., Sr. Unsec’d. Notes

      5.250%       03/01/37        65        69,250  

AT&T, Inc., Sr. Unsec’d. Notes

      5.350%       09/01/40        82        86,828  

AT&T, Inc., Sr. Unsec’d. Notes

      5.450%       03/01/47        65        69,974  

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

      9.125% (c)      12/15/30        400        608,192  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, First Lien, 144A

      3.360% (c)      03/20/23        2,000        2,017,500  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.522%       09/15/48        2,120        2,005,715  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.672%       03/15/55        1,991        1,863,950  

Verizon Communications, Inc., Sr. Unsec’d. Notes

      4.862%       08/21/46        216        216,037  
          

 

 

  
             15,119,180  
          

 

 

  

Transportation — 0.1%

 

Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes

      6.700%       08/01/28        670        876,747  

CSX Corp., Sr. Unsec’d. Notes

      6.150%       05/01/37        715        919,092  

Norfolk Southern Corp., Sr. Unsec’d. Notes

      5.590%       05/17/25        100        113,850  
          

 

 

  
             1,909,689  
          

 

 

  

TOTAL CORPORATE BONDS
(cost $383,195,452)

 

      397,877,579  
          

 

 

  
MUNICIPAL BONDS — 0.5%  

Alabama — 0.0%

 

Alabama Economic Settlement Authority

      4.263%       09/15/32        240        252,353  
          

 

 

  

California — 0.2%

           

Bay Area Toll Authority, Revenue Bonds, BABs

      6.263%       04/01/49        1,325        1,894,246  

California Educational Facilities Authority

      5.000%       06/01/46        750        1,001,693  

State of California, GO, BABs

      7.300%       10/01/39        1,270        1,857,134  

State of California, GO, BABs

      7.500%       04/01/34        475        689,795  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A92

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

California (continued)

           

State of California, GO, BABs

      7.550%       04/01/39        245      $ 373,865  

State of California, GO, BABs

      7.625%       03/01/40        215        327,565  
          

 

 

  
             6,144,298  
          

 

 

  

Colorado — 0.0%

 

Regional Transportation District, Revenue Bonds, Series 2010-B, BABs

      5.844%       11/01/50        680        915,307  
          

 

 

  

Illinois — 0.0%

 

Chicago O’Hare International Airport, Revenue Bonds, BABs

      6.395%       01/01/40        1,030        1,391,581  
          

 

 

  

New Jersey — 0.1%

 

New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs

      7.414%       01/01/40        1,070        1,607,151  
          

 

 

  

New York — 0.1%

 

New York City Transitional Finance Authority, Revenue Bonds, BABs

      5.767%       08/01/36        1,130        1,396,940  
          

 

 

  

Ohio — 0.0%

 

Ohio State University (The), Revenue Bonds, BABs

      4.910%       06/01/40        455        547,470  

Ohio State Water Development Authority, Revenue Bonds, BABs

      4.879%       12/01/34        300        341,775  
          

 

 

  
             889,245  
          

 

 

  

Oregon — 0.0%

 

Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs

      5.834%       11/15/34        445        573,120  
          

 

 

  

Pennsylvania — 0.0%

 

Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs

      5.511%       12/01/45        550        685,702  
          

 

 

  

Tennessee — 0.0%

 

Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs

      6.731%       07/01/43        1,000        1,338,930  
          

 

 

  

Texas — 0.1%

 

University of Texas System (The), Revenue Bonds, BABs

      5.000%       08/15/47        1,490        1,954,701  
          

 

 

  

Washington — 0.0%

 

Central Puget Sound Regional Transit Authority, Revenue Bonds, Series S-1

      5.000%       11/01/46        950        1,245,573  
          

 

 

  

TOTAL MUNICIPAL BONDS
(cost $14,640,391)

 

      18,394,901  
          

 

 

  
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 2.0%  

Alternative Loan Trust, Series 2004-18CB, Class 3A1

      5.250%       09/25/19        105        105,271  

Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1

      6.000%       01/25/36        1,088        1,013,568  

Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A

      3.500% (c)      07/26/36        1,502        1,499,887  

Bank of America Mortgage Trust, Series 2005-A, Class 2A1

      3.475% (c)      02/25/35        539        537,492  

Bank of America Mortgage Trust, Series 2005-B, Class 2A1

      3.601% (c)      03/25/35        186        180,191  

Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A

      2.972% (c)      10/27/27        640        639,449  

Bayview Opportunity Master Fund Trust, Series 2017-CRT1, Class M, 144A

      3.372% (c)      10/25/28        1,377        1,378,110  

Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5

      3.445% (c)      02/25/37        463        465,408  

CIM Trust, Series 2017-2, Class A1, 144A

      3.051% (c)      12/25/57        2,294        2,292,787  

CIM Trust, Series 2017-3, Class A, 144A

      3.051% (c)      01/25/57        4,872        4,943,468  

Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1

      3.366% (c)      09/25/28        1,027        1,041,589  

Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1

      3.416% (c)      10/25/28        1,461        1,482,502  

Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1

      2.666% (c)      01/25/29        1,667        1,687,374  

Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2

      4.766% (c)      07/25/29        780        823,718  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2

      4.216% (c)      10/25/29        1,220        1,252,875  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1

      2.116% (c)      10/25/27        3,363        3,367,401  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1

      2.666% (c)      07/25/28        1,618        1,624,949  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2

      2.516% (c)      03/25/29        1,430        1,446,135  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2

      3.466% (c)      11/25/28        1,600        1,644,181  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2

      2.516% (c)      04/25/29        2,050        2,072,953  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A93

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1

      2.416% (c)    07/25/29      3,048      $ 3,088,279  

JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1

      3.454% (c)    07/25/35      240        240,054  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3,
Class A, 144A

      3.050% (c)    09/01/21      1,537        1,537,434  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-1,
Class A, 144A^

      3.000% (c)    01/01/22      2,996        2,989,500  

LSTAR Securities Investment Ltd., Series 2017-3, Class A1, 144A

      3.000% (c)    04/01/22      3,189        3,222,359  

LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4,
Class A, 144A

      3.020% (c)    05/01/22      14,696        14,554,207  

LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A

      3.020% (c)    05/01/22      10,400        10,292,328  

MASTR Alternative Loan Trust, Series 2004-4, Class 4A1

      5.000%     04/25/19      21        21,219  

Mortgage Repurchase Agreement Financing Trust, Series 2016-4,
Class A1, 144A^

      2.317% (c)    05/10/19      9,990        9,990,000  

Mortgage Repurchase Agreement Financing Trust, Series 2016-5,
Class A, 144A

      2.287% (c)    06/10/19      1,700        1,697,158  

Mortgage Repurchase Agreement Financing Trust, Series 2017-1,
Class A2, 144A

      1.967% (c)    07/10/19      2,710        2,711,139  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

      3.396% (c)    02/25/34      232        233,284  

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A

      5.000%     03/25/20      38        38,056  
          

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $79,712,023)

 

      80,114,325  
          

 

 

  
SOVEREIGN BONDS — 0.9%  

Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, EMTN

      1.125%     08/03/19      1,600        1,582,592  

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

      4.000%     02/26/24      175        181,650  

Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes

      4.375%     07/12/21      500        532,000  

Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes

      5.125%     06/29/20      400        430,517  

Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN

      2.375%     06/04/25      400        388,728  

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

      4.000%     03/25/19      580        598,776  

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

      6.375%     03/29/21      2,280        2,563,860  

Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes

      7.625%     03/29/41      880        1,311,200  

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes

      4.875%     05/05/21      1,120        1,202,889  

Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN

      5.875%     01/15/24      950        1,082,840  

Japan Bank For International Cooperation (Japan), Gov’t. Gtd. Notes

      1.500%     07/21/21      600        580,177  

Japan Bank For International Cooperation (Japan), Gov’t. Gtd. Notes

      2.250%     02/24/20      800        803,459  

Japan Bank For International Cooperation/japan (Japan), Gov’t. Gtd. Notes

      2.125%     06/01/20      1,400        1,399,841  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.125%     04/13/21      800        788,183  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.125%     10/25/23      1,400        1,355,088  

Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN

      2.625%     04/20/22      2,000        2,002,698  

Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A

      1.125%     05/23/18      3,158        3,148,542  

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes

      4.000%     10/02/23      566        591,979  

Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN

      4.750%     03/08/44      1,006        1,007,006  

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

      3.750%     03/16/25      600        618,000  

Panama Government International Bond (Panama), Sr. Unsec’d. Notes

      4.000%     09/22/24      515        540,750  

Province of Manitoba (Canada), Sr. Unsec’d. Notes

      2.125%     06/22/26      200        189,750  

Province of Ontario (Canada), Sr. Unsec’d. Notes

      2.250%     05/18/22      795        794,553  

Province of Ontario (Canada), Sr. Unsec’d. Notes

      2.400%     02/08/22      385        387,971  

Province of Ontario (Canada), Sr. Unsec’d. Notes

      4.400%     04/14/20      385        410,605  

Province of Quebec (Canada), Sr. Unsec’d. Notes

      2.750%     04/12/27      2,950        2,937,005  

Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN

      2.375%     10/26/21      1,325        1,303,800  

Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN

      1.750%     03/10/21      3,100        3,081,716  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A94

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A

      2.500%        06/08/22        1,800      $ 1,803,544  

Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes

      7.000%        06/05/20        1,710        1,869,765  

Uruguay Government International Bond (Uruguay), Sr. Unsec’d. Notes

      5.100%        06/18/50        680        692,240  
           

 

 

  

TOTAL SOVEREIGN BONDS
(cost $35,906,807)

 

      36,181,724  
           

 

 

  
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7%            

Federal Home Loan Banks(k)

      5.500%        07/15/36        1,080        1,461,779  

Federal Home Loan Mortgage Corp., MTN

      1.500%        01/17/20        1,705        1,703,568  

Federal Home Loan Mortgage Corp.

      2.500%        03/01/30        744        749,469  

Federal Home Loan Mortgage Corp.

      3.000%        TBA        3,000        2,993,438  

Federal Home Loan Mortgage Corp.

      3.000%        10/01/28        646        665,219  

Federal Home Loan Mortgage Corp.

      3.000%        06/01/29        1,488        1,530,237  

Federal Home Loan Mortgage Corp.

      3.000%        01/01/43        1,377        1,382,180  

Federal Home Loan Mortgage Corp.

      3.000%        07/01/43        2,710        2,715,991  

Federal Home Loan Mortgage Corp.

      3.000%        06/01/45        1,337        1,342,491  

Federal Home Loan Mortgage Corp.

      3.000%        06/01/45        5,310        5,326,969  

Federal Home Loan Mortgage Corp.

      3.500%        TBA        12,500        12,841,462  

Federal Home Loan Mortgage Corp.

      3.500%        12/01/25        608        636,112  

Federal Home Loan Mortgage Corp.

      3.500%        08/01/26        1,132        1,185,074  

Federal Home Loan Mortgage Corp.

      3.500%        03/01/42        845        871,714  

Federal Home Loan Mortgage Corp.

      3.500%        06/01/42        497        513,264  

Federal Home Loan Mortgage Corp.

      4.000%        TBA        11,000        11,568,604  

Federal Home Loan Mortgage Corp.

      4.000%        06/01/26        956        1,003,873  

Federal Home Loan Mortgage Corp.

      4.000%        09/01/26        502        527,477  

Federal Home Loan Mortgage Corp.

      4.000%        10/01/39        1,104        1,165,081  

Federal Home Loan Mortgage Corp.

      4.000%        12/01/40        572        604,256  

Federal Home Loan Mortgage Corp.

      4.000%        10/01/41        697        739,249  

Federal Home Loan Mortgage Corp.

      4.000%        01/01/42        231        243,745  

Federal Home Loan Mortgage Corp.

      4.000%        10/01/45        1,017        1,070,467  

Federal Home Loan Mortgage Corp.

      4.500%        02/01/19        3        2,808  

Federal Home Loan Mortgage Corp.

      4.500%        07/01/19        108        110,175  

Federal Home Loan Mortgage Corp.

      4.500%        07/01/20        75        77,073  

Federal Home Loan Mortgage Corp.

      4.500%        09/01/39        440        473,144  

Federal Home Loan Mortgage Corp.

      4.500%        10/01/39        2,542        2,733,394  

Federal Home Loan Mortgage Corp.

      4.500%        12/01/39        775        833,324  

Federal Home Loan Mortgage Corp.

      4.500%        07/01/41        335        360,223  

Federal Home Loan Mortgage Corp.

      4.500%        07/01/41        2,535        2,725,858  

Federal Home Loan Mortgage Corp.

      4.500%        08/01/41        832        894,840  

Federal Home Loan Mortgage Corp.

      4.500%        08/01/41        252        270,813  

Federal Home Loan Mortgage Corp.

      4.500%        08/01/41        180        193,468  

Federal Home Loan Mortgage Corp.

      4.500%        10/01/41        303        324,797  

Federal Home Loan Mortgage Corp.

      5.000%        07/01/18        47        48,636  

Federal Home Loan Mortgage Corp.

      5.000%        12/01/18        26        26,446  

Federal Home Loan Mortgage Corp.

      5.000%        07/01/19        47        48,553  

Federal Home Loan Mortgage Corp.

      5.000%        07/01/19        88        90,504  

Federal Home Loan Mortgage Corp.

      5.000%        12/01/19        17        17,943  

Federal Home Loan Mortgage Corp.

      5.000%        05/01/34        36        38,938  

Federal Home Loan Mortgage Corp.

      5.000%        05/01/34        357        389,801  

Federal Home Loan Mortgage Corp.

      5.000%        08/01/35        37        40,803  

Federal Home Loan Mortgage Corp.

      5.000%        09/01/35        62        67,286  

Federal Home Loan Mortgage Corp.

      5.000%        10/01/36        57        62,250  

Federal Home Loan Mortgage Corp.

      5.000%        05/01/37        38        41,515  

Federal Home Loan Mortgage Corp.

      5.000%        07/01/37        754        825,973  

Federal Home Loan Mortgage Corp.

      5.000%        09/01/38        105        114,753  

Federal Home Loan Mortgage Corp.

      5.000%        09/01/38        87        95,802  

Federal Home Loan Mortgage Corp.

      5.000%        09/01/38        91        100,143  

Federal Home Loan Mortgage Corp.

      5.000%        02/01/39        35        38,569  

Federal Home Loan Mortgage Corp.

      5.000%        06/01/39        92        100,175  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A95

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal Home Loan Mortgage Corp.

      5.500%      02/01/34      37      $ 41,308  

Federal Home Loan Mortgage Corp.

      5.500%      04/01/34      341        376,974  

Federal Home Loan Mortgage Corp.

      5.500%      06/01/34      214        239,357  

Federal Home Loan Mortgage Corp.

      5.500%      06/01/34      200        223,317  

Federal Home Loan Mortgage Corp.

      5.500%      05/01/37      84        94,238  

Federal Home Loan Mortgage Corp.

      5.500%      02/01/38      649        719,733  

Federal Home Loan Mortgage Corp.

      5.500%      05/01/38      118        131,695  

Federal Home Loan Mortgage Corp.

      5.500%      07/01/38      565        628,282  

Federal Home Loan Mortgage Corp.

      6.000%      03/01/32      326        373,107  

Federal Home Loan Mortgage Corp.

      6.000%      12/01/33      108        120,941  

Federal Home Loan Mortgage Corp.

      6.000%      07/01/36      6        6,663  

Federal Home Loan Mortgage Corp.

      6.000%      12/01/36      14        15,511  

Federal Home Loan Mortgage Corp.

      6.000%      05/01/37      22        24,343  

Federal Home Loan Mortgage Corp.

      6.000%      12/01/37      53        60,269  

Federal Home Loan Mortgage Corp.

      6.000%      01/01/38      9        10,348  

Federal Home Loan Mortgage Corp.

      6.000%      01/01/38      449        505,072  

Federal Home Loan Mortgage Corp.

      6.000%      01/01/38      24        26,449  

Federal Home Loan Mortgage Corp.

      6.000%      10/01/38      104        118,596  

Federal Home Loan Mortgage Corp.

      6.000%      08/01/39      59        66,252  

Federal Home Loan Mortgage Corp.

      6.750%      03/15/31      700        1,012,766  

Federal Home Loan Mortgage Corp.

      7.000%      01/01/31      33        37,187  

Federal Home Loan Mortgage Corp.

      7.000%      06/01/31      33        37,102  

Federal Home Loan Mortgage Corp.

      7.000%      09/01/31      5        5,812  

Federal Home Loan Mortgage Corp.

      7.000%      10/01/31      65        74,423  

Federal Home Loan Mortgage Corp.

      7.000%      10/01/32      33        35,187  

Federal National Mortgage Assoc.

      1.875%      09/24/26      225        213,332  

Federal National Mortgage Assoc.

      2.000%      08/01/31      1,876        1,836,916  

Federal National Mortgage Assoc.

      2.500%      TBA      3,000        3,011,550  

Federal National Mortgage Assoc.

      2.500%      01/01/28      1,712        1,731,907  

Federal National Mortgage Assoc.

      2.500%      10/01/43      1,254        1,214,941  

Federal National Mortgage Assoc.

      3.000%      TBA      2,500        2,563,086  

Federal National Mortgage Assoc.

      3.000%      02/01/27      2,814        2,895,742  

Federal National Mortgage Assoc.

      3.000%      08/01/30      1,618        1,661,286  

Federal National Mortgage Assoc.

      3.000%      02/01/31      4,709        4,835,979  

Federal National Mortgage Assoc.

      3.000%      05/01/31      3,287        3,376,236  

Federal National Mortgage Assoc.

      3.000%      11/01/36      3,806        3,865,698  

Federal National Mortgage Assoc.

      3.000%      12/01/42      1,654        1,661,310  

Federal National Mortgage Assoc.

      3.000%      12/01/42      2,719        2,730,174  

Federal National Mortgage Assoc.

      3.000%      04/01/43      9,069        9,106,987  

Federal National Mortgage Assoc.

      3.000%      07/01/43      4,197        4,213,653  

Federal National Mortgage Assoc.

      3.000%      08/01/43      5,458        5,479,668  

Federal National Mortgage Assoc.

      3.500%      TBA      6,500        6,664,727  

Federal National Mortgage Assoc.

      3.500%      TBA      20,000        20,541,406  

Federal National Mortgage Assoc.

      3.500%      07/01/27      2,181        2,273,192  

Federal National Mortgage Assoc.

      3.500%      06/01/39      914        944,120  

Federal National Mortgage Assoc.

      3.500%      01/01/42      8,586        8,859,571  

Federal National Mortgage Assoc.

      3.500%      05/01/42      4,429        4,570,112  

Federal National Mortgage Assoc.

      3.500%      07/01/42      1,161        1,198,401  

Federal National Mortgage Assoc.

      3.500%      08/01/42      1,433        1,477,908  

Federal National Mortgage Assoc.

      3.500%      08/01/42      473        487,356  

Federal National Mortgage Assoc.

      3.500%      09/01/42      1,167        1,202,734  

Federal National Mortgage Assoc.

      3.500%      09/01/42      2,154        2,221,138  

Federal National Mortgage Assoc.

      3.500%      11/01/42      852        878,991  

Federal National Mortgage Assoc.

      3.500%      03/01/43      4,456        4,602,012  

Federal National Mortgage Assoc.

      3.500%      04/01/43      813        838,685  

Federal National Mortgage Assoc.

      3.500%      04/01/43      2,074        2,136,871  

Federal National Mortgage Assoc.

      3.500%      07/01/43      389        401,071  

Federal National Mortgage Assoc.

      4.000%      TBA      13,750        14,454,150  

Federal National Mortgage Assoc.

      4.000%      TBA      19,500        20,464,716  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A96

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal National Mortgage Assoc.

      4.000%      10/01/41      4,177     $ 4,407,635  

Federal National Mortgage Assoc.

      4.000%      09/01/44      4,326       4,549,888  

Federal National Mortgage Assoc.

      4.500%      TBA      4,500       4,827,129  

Federal National Mortgage Assoc.

      4.500%      11/01/18      52       52,768  

Federal National Mortgage Assoc.

      4.500%      01/01/19      78       79,773  

Federal National Mortgage Assoc.

      4.500%      01/01/19      22       22,386  

Federal National Mortgage Assoc.

      4.500%      02/01/19      47       48,348  

Federal National Mortgage Assoc.

      4.500%      05/01/19      41       42,183  

Federal National Mortgage Assoc.

      4.500%      07/01/33      78       84,276  

Federal National Mortgage Assoc.

      4.500%      08/01/33      21       22,962  

Federal National Mortgage Assoc.

      4.500%      09/01/33      70       75,179  

Federal National Mortgage Assoc.

      4.500%      10/01/33      185       198,788  

Federal National Mortgage Assoc.

      4.500%      03/01/34      54       58,717  

Federal National Mortgage Assoc.

      4.500%      01/01/35      4       4,042  

Federal National Mortgage Assoc.

      4.500%      07/01/39      1,262       1,369,635  

Federal National Mortgage Assoc.

      4.500%      08/01/39      990       1,074,334  

Federal National Mortgage Assoc.

      4.500%      09/01/39      735       790,939  

Federal National Mortgage Assoc.

      4.500%      12/01/39      8       8,553  

Federal National Mortgage Assoc.

      4.500%      03/01/41      2,434       2,643,150  

Federal National Mortgage Assoc.

      4.500%      07/01/42      201       217,458  

Federal National Mortgage Assoc.

      5.000%      TBA      7,000       7,646,407  

Federal National Mortgage Assoc.

      5.000%      10/01/18      19       19,837  

Federal National Mortgage Assoc.

      5.000%      01/01/19      45       46,545  

Federal National Mortgage Assoc.

      5.000%      03/01/34      365       399,213  

Federal National Mortgage Assoc.

      5.000%      04/01/35      873       958,040  

Federal National Mortgage Assoc.

      5.000%      06/01/35      216       237,004  

Federal National Mortgage Assoc.

      5.000%      07/01/35      219       240,062  

Federal National Mortgage Assoc.

      5.000%      07/01/35      156       171,202  

Federal National Mortgage Assoc.

      5.000%      09/01/35      136       149,757  

Federal National Mortgage Assoc.

      5.000%      11/01/35      132       145,439  

Federal National Mortgage Assoc.

      5.000%      02/01/36      124       136,119  

Federal National Mortgage Assoc.

      5.500%      12/01/17      6       5,891  

Federal National Mortgage Assoc.

      5.500%      02/01/18      4       3,932  

Federal National Mortgage Assoc.

      5.500%      05/01/20      36       37,485  

Federal National Mortgage Assoc.

      5.500%      01/01/21      129       134,855  

Federal National Mortgage Assoc.

      5.500%      02/01/33      243       272,128  

Federal National Mortgage Assoc.

      5.500%      08/01/33      271       304,760  

Federal National Mortgage Assoc.

      5.500%      10/01/33      78       87,836  

Federal National Mortgage Assoc.

      5.500%      12/01/33      71       79,984  

Federal National Mortgage Assoc.

      5.500%      12/01/34      220       245,330  

Federal National Mortgage Assoc.

      5.500%      10/01/35      928       1,032,698  

Federal National Mortgage Assoc.

      5.500%      03/01/36      158       176,487  

Federal National Mortgage Assoc.

      5.500%      04/01/36      168       188,049  

Federal National Mortgage Assoc.

      5.500%      01/01/37      106       118,151  

Federal National Mortgage Assoc.

      5.500%      04/01/37      60       66,938  

Federal National Mortgage Assoc.

      5.500%      05/01/37      360       402,714  

Federal National Mortgage Assoc.

      5.500%      08/01/37      426       477,178  

Federal National Mortgage Assoc.

      6.000%      09/01/17      — (r)      302  

Federal National Mortgage Assoc.

      6.000%      05/01/21      116       121,882  

Federal National Mortgage Assoc.

      6.000%      10/01/33      435       501,882  

Federal National Mortgage Assoc.

      6.000%      11/01/33      48       53,422  

Federal National Mortgage Assoc.

      6.000%      11/01/33      46       51,436  

Federal National Mortgage Assoc.

      6.000%      01/01/34      421       480,244  

Federal National Mortgage Assoc.

      6.000%      02/01/34      162       185,446  

Federal National Mortgage Assoc.

      6.000%      03/01/34      3       3,614  

Federal National Mortgage Assoc.

      6.000%      03/01/34      64       71,947  

Federal National Mortgage Assoc.

      6.000%      03/01/34      18       20,345  

Federal National Mortgage Assoc.

      6.000%      11/01/34      74       83,172  

Federal National Mortgage Assoc.

      6.000%      01/01/35      240       274,545  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A97

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal National Mortgage Assoc.

      6.000%      01/01/35      88     $ 101,766  

Federal National Mortgage Assoc.

      6.000%      02/01/35      5       5,324  

Federal National Mortgage Assoc.

      6.000%      02/01/35      300       346,450  

Federal National Mortgage Assoc.

      6.000%      02/01/35      243       273,029  

Federal National Mortgage Assoc.

      6.000%      04/01/35      27       31,408  

Federal National Mortgage Assoc.

      6.000%      12/01/35      312       352,716  

Federal National Mortgage Assoc.

      6.000%      05/01/36      68       77,643  

Federal National Mortgage Assoc.

      6.000%      06/01/36      36       41,314  

Federal National Mortgage Assoc.

      6.000%      02/01/37      117       133,641  

Federal National Mortgage Assoc.

      6.000%      06/01/37      42       47,793  

Federal National Mortgage Assoc.

      6.000%      05/01/38      318       358,996  

Federal National Mortgage Assoc.(k)(hh)

      6.250%      05/15/29      1,935       2,625,720  

Federal National Mortgage Assoc.

      6.500%      07/01/17      — (r)      62  

Federal National Mortgage Assoc.

      6.500%      09/01/17      1       762  

Federal National Mortgage Assoc.

      6.500%      09/01/32      51       56,501  

Federal National Mortgage Assoc.

      6.500%      09/01/32      15       16,397  

Federal National Mortgage Assoc.

      6.500%      09/01/32      10       11,090  

Federal National Mortgage Assoc.

      6.500%      09/01/32      51       56,717  

Federal National Mortgage Assoc.

      6.500%      09/01/32      7       8,237  

Federal National Mortgage Assoc.

      6.500%      10/01/32      60       66,924  

Federal National Mortgage Assoc.

      6.500%      04/01/33      90       101,233  

Federal National Mortgage Assoc.

      6.500%      11/01/33      74       81,895  

Federal National Mortgage Assoc.

      6.500%      01/01/34      61       68,491  

Federal National Mortgage Assoc.

      6.500%      09/01/34      79       87,447  

Federal National Mortgage Assoc.

      6.500%      10/01/34      143       159,800  

Federal National Mortgage Assoc.

      6.500%      09/01/36      226       259,213  

Federal National Mortgage Assoc.

      6.500%      10/01/36      50       56,886  

Federal National Mortgage Assoc.

      6.500%      11/01/36      79       87,750  

Federal National Mortgage Assoc.

      6.500%      01/01/37      42       46,693  

Federal National Mortgage Assoc.

      6.500%      01/01/37      119       132,794  

Federal National Mortgage Assoc.

      6.500%      09/01/37      26       29,274  

Federal National Mortgage Assoc.(hh)

      6.625%      11/15/30      630       900,687  

Federal National Mortgage Assoc.

      7.000%      02/01/32      40       45,307  

Federal National Mortgage Assoc.

      7.000%      03/01/32      2       2,027  

Federal National Mortgage Assoc.

      7.000%      05/01/32      21       24,760  

Federal National Mortgage Assoc.

      7.000%      06/01/32      16       18,402  

Federal National Mortgage Assoc.

      7.000%      07/01/32      64       71,720  

Federal National Mortgage Assoc.(k)(hh)

      7.125%      01/15/30      4,210       6,145,388  

Federal National Mortgage Assoc.

      7.500%      05/01/32      18       17,787  

Government National Mortgage Assoc.

      3.000%      03/15/45      1,847       1,867,847  

Government National Mortgage Assoc.

      3.000%      03/20/46      12,854       12,997,342  

Government National Mortgage Assoc.

      3.000%      02/20/47      6,960       7,037,661  

Government National Mortgage Assoc.

      3.500%      TBA      12,000       12,429,374  

Government National Mortgage Assoc.

      3.500%      12/20/42      2,866       2,981,615  

Government National Mortgage Assoc.

      3.500%      05/20/43      591       615,237  

Government National Mortgage Assoc.

      3.500%      03/20/45      2,853       2,958,211  

Government National Mortgage Assoc.

      3.500%      04/20/45      4,041       4,190,218  

Government National Mortgage Assoc.

      4.000%      TBA      9,500       9,996,523  

Government National Mortgage Assoc.

      4.000%      06/15/40      271       285,584  

Government National Mortgage Assoc.

      4.000%      05/20/41      482       510,951  

Government National Mortgage Assoc.

      4.000%      12/20/42      951       1,005,725  

Government National Mortgage Assoc.

      4.000%      12/20/45      3,025       3,185,618  

Government National Mortgage Assoc.

      4.500%      TBA      2,000       2,142,891  

Government National Mortgage Assoc.

      4.500%      04/15/40      1,268       1,364,640  

Government National Mortgage Assoc.

      4.500%      01/20/41      2,084       2,239,696  

Government National Mortgage Assoc.

      4.500%      02/20/41      1,342       1,442,205  

Government National Mortgage Assoc.

      4.500%      06/20/44      1,500       1,595,357  

Government National Mortgage Assoc.

      5.000%      10/20/37      239       264,075  

Government National Mortgage Assoc.

      5.000%      04/20/45      1,397       1,502,387  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A98

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Government National Mortgage Assoc.

      5.500%      11/15/32      114     $ 128,781  

Government National Mortgage Assoc.

      5.500%      02/15/33      95       107,291  

Government National Mortgage Assoc.

      5.500%      08/15/33      178       197,590  

Government National Mortgage Assoc.

      5.500%      08/15/33      158       177,680  

Government National Mortgage Assoc.

      5.500%      09/15/33      109       123,580  

Government National Mortgage Assoc.

      5.500%      09/15/33      84       93,024  

Government National Mortgage Assoc.

      5.500%      10/15/33      130       148,193  

Government National Mortgage Assoc.

      5.500%      12/15/33      23       26,321  

Government National Mortgage Assoc.

      5.500%      02/15/34      47       52,085  

Government National Mortgage Assoc.

      5.500%      04/15/34      474       535,742  

Government National Mortgage Assoc.

      5.500%      07/15/35      102       115,365  

Government National Mortgage Assoc.

      5.500%      02/15/36      143       162,347  

Government National Mortgage Assoc.

      6.000%      02/15/33      3       3,855  

Government National Mortgage Assoc.

      6.000%      04/15/33      24       27,582  

Government National Mortgage Assoc.

      6.000%      09/15/33      28       31,933  

Government National Mortgage Assoc.

      6.000%      12/15/33      156       177,244  

Government National Mortgage Assoc.

      6.000%      12/15/33      52       58,856  

Government National Mortgage Assoc.

      6.000%      01/15/34      27       31,196  

Government National Mortgage Assoc.

      6.000%      01/15/34      42       47,042  

Government National Mortgage Assoc.

      6.000%      06/20/34      107       121,704  

Government National Mortgage Assoc.

      6.000%      07/15/34      233       264,637  

Government National Mortgage Assoc.

      6.000%      10/15/34      214       244,383  

Government National Mortgage Assoc.

      6.500%      10/15/23      1       1,466  

Government National Mortgage Assoc.

      6.500%      12/15/23      7       7,245  

Government National Mortgage Assoc.

      6.500%      01/15/24      24       25,786  

Government National Mortgage Assoc.

      6.500%      01/15/24      78       85,449  

Government National Mortgage Assoc.

      6.500%      01/15/24      6       6,452  

Government National Mortgage Assoc.

      6.500%      01/15/24      28       30,171  

Government National Mortgage Assoc.

      6.500%      01/15/24      2       2,335  

Government National Mortgage Assoc.

      6.500%      01/15/24      3       3,164  

Government National Mortgage Assoc.

      6.500%      01/15/24      2       2,546  

Government National Mortgage Assoc.

      6.500%      02/15/24      6       6,807  

Government National Mortgage Assoc.

      6.500%      02/15/24      23       25,654  

Government National Mortgage Assoc.

      6.500%      02/15/24      38       41,440  

Government National Mortgage Assoc.

      6.500%      02/15/24      28       31,026  

Government National Mortgage Assoc.

      6.500%      02/15/24      5       5,788  

Government National Mortgage Assoc.

      6.500%      02/15/24      5       5,521  

Government National Mortgage Assoc.

      6.500%      02/15/24      1       866  

Government National Mortgage Assoc.

      6.500%      02/15/24      — (r)      527  

Government National Mortgage Assoc.

      6.500%      02/15/24      11       11,956  

Government National Mortgage Assoc.

      6.500%      02/15/24      25       26,947  

Government National Mortgage Assoc.

      6.500%      02/15/24      7       8,156  

Government National Mortgage Assoc.

      6.500%      03/15/24      11       11,690  

Government National Mortgage Assoc.

      6.500%      04/15/24      3       3,334  

Government National Mortgage Assoc.

      6.500%      04/15/24      6       6,992  

Government National Mortgage Assoc.

      6.500%      04/15/24      12       13,205  

Government National Mortgage Assoc.

      6.500%      04/15/24      1       1,409  

Government National Mortgage Assoc.

      6.500%      04/15/24      6       6,940  

Government National Mortgage Assoc.

      6.500%      04/15/24      20       21,655  

Government National Mortgage Assoc.

      6.500%      04/15/24      3       3,488  

Government National Mortgage Assoc.

      6.500%      04/15/24      3       3,444  

Government National Mortgage Assoc.

      6.500%      05/15/24      — (r)      284  

Government National Mortgage Assoc.

      6.500%      05/15/24      20       21,570  

Government National Mortgage Assoc.

      6.500%      05/15/24      20       21,802  

Government National Mortgage Assoc.

      6.500%      10/15/24      31       34,914  

Government National Mortgage Assoc.

      6.500%      12/15/30      12       12,936  

Government National Mortgage Assoc.

      6.500%      01/15/32      25       28,063  

Government National Mortgage Assoc.

      6.500%      02/15/32      25       28,498  

Government National Mortgage Assoc.

      6.500%      07/15/32      55       60,198  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A99

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Government National Mortgage Assoc.

      6.500%       08/15/32        9      $ 9,640  

Government National Mortgage Assoc.

      6.500%       08/15/32        10        11,425  

Government National Mortgage Assoc.

      6.500%       08/15/32        38        41,701  

Government National Mortgage Assoc.

      6.500%       08/15/32        269        316,063  

Government National Mortgage Assoc.

      6.500%       06/15/35        52        60,411  

Government National Mortgage Assoc.

      6.500%       06/15/35        6        6,158  

Government National Mortgage Assoc.

      6.500%       07/15/35        8        8,294  

Government National Mortgage Assoc.

      8.000%       01/15/24        11        11,568  

Government National Mortgage Assoc.

      8.000%       04/15/25        10        10,889  

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

      2.578%       06/30/22        3,948        4,043,455  

Iraq Government AID Bond, U.S. Gov’t. Gtd. Notes

      2.149%       01/18/22        1,400        1,398,807  

Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes

      5.500%       04/26/24        1,090        1,301,228  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

      2.804% (s)      01/15/30        950        653,788  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

      2.967% (s)      04/15/30        2,100        1,433,011  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      2.875%       02/01/27        410        419,612  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      7.125%       05/01/30        705        1,021,331  

Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes

      1.471%       09/29/21        800        782,194  
          

 

 

  

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $347,118,143)

 

      348,379,636  
          

 

 

  
U.S. TREASURY OBLIGATIONS — 4.4%           

U.S. Treasury Bonds

      2.500%       02/15/45        110        102,657  

U.S. Treasury Bonds

      3.000%       02/15/47        6,700        6,911,465  

U.S. Treasury Bonds

      4.250%       11/15/40        10,755        13,515,174  

U.S. Treasury Inflation Indexed Bonds, TIPS

      0.125%       04/15/22        3,735        3,717,089  

U.S. Treasury Inflation Indexed Bonds, TIPS

      0.250%       01/15/25        26,777        26,301,777  

U.S. Treasury Notes(a)

      1.750%       05/31/22        2,330        2,316,348  

U.S. Treasury Notes

      1.750%       06/30/22        630        625,915  

U.S. Treasury Notes

      1.875%       04/30/22        2,735        2,734,467  

U.S. Treasury Notes

      2.000%       05/31/24        3,605        3,575,990  

U.S. Treasury Notes

      2.000%       06/30/24        16,585        16,438,588  

U.S. Treasury Notes

      2.125%       06/30/21        23,810        24,152,269  

U.S. Treasury Notes

      2.125%       09/30/21        42,715        43,297,333  

U.S. Treasury Notes

      2.125%       05/15/25        15,885        15,785,099  

U.S. Treasury Strips Coupon

      2.184% (s)      02/15/28        5,465        4,201,055  

U.S. Treasury Strips Coupon(k)

      2.241% (s)      05/15/28        2,735        2,086,622  

U.S. Treasury Strips Coupon

      2.280% (s)      02/15/29        2,735        2,040,250  

U.S. Treasury Strips Coupon

      2.384% (s)      05/15/29        5,640        4,174,931  

U.S. Treasury Strips Coupon

      2.783% (s)      08/15/29        1,400        1,028,569  

U.S. Treasury Strips Coupon

      2.878% (s)      05/15/31        1,400        972,019  

U.S. Treasury Strips Coupon

      3.042% (s)      11/15/35        2,800        1,689,957  

U.S. Treasury Strips Coupon

      3.202% (s)      08/15/40        2,800        1,433,060  
          

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(cost $177,385,362)

 

      177,100,634  
          

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $3,239,305,341)

 

      3,790,772,769  
          

 

 

  
SHORT-TERM INVESTMENTS — 9.8%                 Shares         

AFFILIATED MUTUAL FUNDS — 9.8%

           

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)

 

      14,174,120        131,677,575  

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

 

      219,882,511        219,882,511  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund
(cost $41,596,724; includes $41,566,070 of cash collateral for securities on loan)(b)(w)

 

      41,595,327        41,599,486  
          

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $400,539,838)

 

      393,159,572  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A100

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

OPTIONS PURCHASED* — 0.0%    Interest
Rate		     Maturity
Date		      Notional
Amount
(000)#		      Value  

Call Options

           

10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $127.00

           410      $ 32,031  

10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $130.00

           410        —  
          

 

 

  

TOTAL OPTIONS PURCHASED
(cost $161,731)

 

      32,031  
          

 

 

  
                  Principal
Amount
(000)#		         
U.S. TREASURY OBLIGATION — 0.0%           

U.S. Treasury Bill
(cost $149,672)(k)

      0.979% (n)      09/21/17        150        149,676  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $400,851,241)

 

      393,341,279  
          

 

 

  

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.5%
(cost $3,640,156,582)

 

      4,184,114,048  
          

 

 

  
                  Notional
Amount
(000)#		         
OPTION WRITTEN* — (0.0)%           

Call Option

           

10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $128.50
(premiums received $62,488)

           820        (12,813 ) 
          

 

 

  

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.5%
(cost $3,640,094,094)

 

      4,184,101,235  

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

 

      (180,131,808 ) 
          

 

 

  

NET ASSETS — 100.0%

 

    $ 4,003,969,427  
          

 

 

  

See Glossary for abbreviations used in the semiannual report.

 

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

 

* Non-income producing security.

 

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $18,329,375 and 0.5% of net assets.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $40,467,970; cash collateral of $41,566,070 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

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

 

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

 

(d) Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity.

 

(f) Indicates a restricted security; the aggregate original cost of such securities is $2,104,134. The aggregate value, $2,113,148, is approximately 0.1% of net assets.

 

(g) Indicates a security that has been deemed illiquid; the aggregate value of $6,248,921 is 0.2% of net assets.

 

(k) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(n) Rate quoted represents yield to maturity as of purchase date.

 

(p) Interest rate not available as of June 30, 2017.

 

(r) Less than $500 par.

 

(s) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A101

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

 

(hh) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

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

Futures contracts outstanding at June 30, 2017:

 

Number of
Contracts		   Type     Expiration
Date		     Value at
Trade Date		     Value at
June 30, 2017		     Unrealized
Appreciation
(Depreciation)		  
Long Positions:          
49     10 Year U.S. Ultra Treasury Bonds       Sep. 2017     $ 6,640,918     $ 6,605,812     $ (35,106 ) 
330     2 Year U.S. Treasury Notes       Sep. 2017       71,387,469       71,316,094       (71,375 ) 
569     30 Year U.S. Ultra Treasury Bonds       Sep. 2017       92,522,770       94,382,875       1,860,105  
1,335     5 Year U.S. Treasury Notes       Sep. 2017       157,709,322       157,310,977       (398,345 ) 
13     Mini MSCI EAFE Index       Sep. 2017       1,224,316       1,228,240       3,924  
         

 

 

  
      1,359,203  
         

 

 

  
Short Positions:          
85     10 Year U.S. Treasury Notes       Sep. 2017       10,685,960       10,670,156       15,804  
473     20 Year U.S. Treasury Bonds       Sep. 2017       72,348,146       72,694,188       (346,042 ) 
         

 

 

  
      (330,238 ) 
         

 

 

  
    $ 1,028,965  
         

 

 

  

Securities with a combined market value of $2,628,137 have been segregated with Citigroup Global Markets and a security with a market value of $149,676 has been segregated with Goldman Sachs & Co. to cover requirements for open futures contracts at June 30, 2017.

Interest rate swap agreements outstanding at June 30, 2017:

 

Notional
Amount
(000)#		        Termination
Date		        Fixed
Rate		     

Floating Rate

      Value at
Trade Date		        Value at
June 30, 2017		        Unrealized
Appreciation
(Depreciation)		  
 

Centrally cleared swap agreements:

       
  152,125          09/09/17          0.539%     

1 Day USOIS(1)

      $ 437        $ 362,732        $ 362,295  
  127,920          10/18/17          0.607%     

1 Day USOIS(1)

        265          321,349          321,084  
  71,095          11/09/17          0.626%     

1 Day USOIS(1)

        310          199,498          199,188  
  5,860          11/30/21          1.762%     

3 Month LIBOR(2)

        —          (38,533 )         (38,533 ) 
  2,730          05/31/23          1.203%     

3 Month LIBOR(1)

        165          125,619          125,454  
  2,470          05/31/23          1.399%     

3 Month LIBOR(1)

        (44,913 )         86,090          131,003  
  10,615          08/15/23          1.459%     

3 Month LIBOR(1)

        503,843          314,574          (189,269 ) 
  6,926          11/15/23          2.209%     

3 Month LIBOR(1)

        132          (72,016 )         (72,148 ) 
  4,500          02/15/24          2.115%     

3 Month LIBOR(1)

        11,293          (10,245 )         (21,538 ) 
  9,164          02/15/24          2.151%     

3 Month LIBOR(1)

        (9,366 )         (41,410 )         (32,044 ) 
  545          02/15/24          2.167%     

3 Month LIBOR(1)

        (4,994 )         (3,008 )         1,986  
  4,980          02/15/24          2.183%     

3 Month LIBOR(1)

        (9,862 )         (32,633 )         (22,771 ) 
  7,420          09/04/25          2.214%     

3 Month LIBOR(1)

        203          (68,068 )         (68,271 ) 
  28,775          01/08/26          2.210%     

3 Month LIBOR(1)

        292          (260,424 )         (260,716 ) 
  330          05/15/26          1.652%     

3 Month LIBOR(1)

        12          14,957          14,945  
  6,468          02/15/27          1.824%     

1 Day USOIS(1)

        59,900          90,865          30,965  
  8,300          02/15/36          2.338%     

3 Month LIBOR(2)

        (51,426 )         (210,476 )         (159,050 ) 
                 

 

 

       

 

 

       

 

 

  
                  $ 456,291        $ 778,871        $ 322,580  
                 

 

 

       

 

 

       

 

 

  

Securities with a combined market value of $2,720,021 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

 

(1) The Portfolio pays the fixed rate and receives the floating rate.

 

(2) The Portfolio pays the floating rate and receives the fixed rate.

Fair value measurements:

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

 

Level 1— unadjusted quoted prices generally in active markets for identical securities.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A102

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     Level 1     Level 2      Level 3  

Investments in Securities

        

Common Stocks

    $ 2,346,306,645     $ 41,963,611      $ —  

Unaffiliated Exchange Traded Fund

      231,591       —        —  

Preferred Stocks

      571,560       455,229        —  

Asset-Backed Securities

        

Automobiles

      —       51,110,029        2,399,875  

Collateralized Loan Obligations

      —       60,564,887        —  

Consumer Loans

      —       12,620,162        —  

Credit Cards

      —       21,269,865        —  

Equipment

      —       3,507,735        —  

Home Equity Loans

      —       6,164,455        2,950,000  

Other

      —       1,684,411        —  

Residential Mortgage-Backed Securities

      —       6,574,785        —  

Bank Loans

      —       2,433,053        —  

Commercial Mortgage-Backed Securities

      —       171,916,077        —  

Corporate Bonds

      —       397,877,579        —  

Municipal Bonds

      —       18,394,901        —  

Residential Mortgage-Backed Securities

      —       67,134,825        12,979,500  

Sovereign Bonds

      —       36,181,724        —  

U.S. Government Agency Obligations

      —       348,379,636        —  

U.S. Treasury Obligations

      —       177,250,310        —  

Affiliated Mutual Funds

      393,159,572       —        —  

Options Purchased

      32,031       —        —  

Option Written

      (12,813 )      —        —  

Other Financial Instruments*

        

Futures Contracts

      1,028,965       —        —  

Centrally Cleared Interest Rate Swap Agreements

      —       322,580        —  
  

 

 

    

 

 

     

 

 

  

Total

    $ 2,741,317,551     $ 1,425,805,854      $ 18,329,375  
  

 

 

    

 

 

     

 

 

  

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

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

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

Affiliated Mutual Funds (including 1.0% of collateral for securities on loan)

      9.8 % 

U.S. Government Agency Obligations

      8.7  

Banks

      6.4  

U.S. Treasury Obligations

      4.4  

Commercial Mortgage-Backed Securities

      4.3  

Software

      3.6  

Internet Software & Services

      3.1  

Oil, Gas & Consumable Fuels

      3.0  

Pharmaceuticals

      2.8  

Insurance

      2.6  

Technology Hardware, Storage & Peripherals

      2.4  

Semiconductors & Semiconductor Equipment

      2.3  

Biotechnology

      2.3  

Residential Mortgage-Backed Securities

      2.2 % 

Health Care Equipment & Supplies

      2.1  

Health Care Providers & Services

      2.0  

Automobiles

      2.0  

IT Services

      1.9  

Media

      1.8  

Diversified Telecommunication Services

      1.6  

Chemicals

      1.6  

Collateralized Loan Obligations

      1.5  

Food & Staples Retailing

      1.5  

Hotels, Restaurants & Leisure

      1.5  

Aerospace & Defense

      1.5  

Equity Real Estate Investment Trusts (REITs)

      1.3  

Capital Markets

      1.3  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A103

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

 

Industry classification (cont.)

 

Internet & Direct Marketing Retail

      1.2 % 

Road & Rail

      1.0  

Food Products

      1.0  

Industrial Conglomerates

      1.0  

Beverages

      0.9  

Sovereign Bonds

      0.9  

Machinery

      0.9  

Specialty Retail

      0.9  

Household Products

      0.8  

Electric Utilities

      0.8  

Diversified Financial Services

      0.8  

Tobacco

      0.7  

Electric

      0.7  

Consumer Finance

      0.6  

Metals & Mining

      0.6  

Oil & Gas

      0.5  

Credit Cards

      0.5  

Household Durables

      0.5  

Communications Equipment

      0.5  

Municipal Bonds

      0.5  

Air Freight & Logistics

      0.5  

Electrical Equipment

      0.5  

Distributors

      0.4  

Multiline Retail

      0.4  

Telecommunications

      0.4  

Healthcare-Services

      0.4  

Auto Manufacturers

      0.4  

Textiles, Apparel & Luxury Goods

      0.4  

Real Estate Management & Development

      0.4  

Containers & Packaging

      0.3  

Healthcare-Products

      0.3  

Computers

      0.3  

Construction & Engineering

      0.3  

Consumer Loans

      0.3  

Auto Components

      0.3  

Independent Power & Renewable Electricity Producers

      0.3  

Home Equity Loans

      0.2  

Retail

      0.2  

Airlines

      0.2  

Gas Utilities

      0.2  

Multi-Utilities

      0.2  

Pipelines

      0.2  

Life Sciences Tools & Services

      0.2  

Multi-National

      0.1  

Housewares

      0.1 % 

Trading Companies & Distributors

      0.1  

Oil & Gas Services

      0.1  

Agriculture

      0.1  

Lodging

      0.1  

Energy Equipment & Services

      0.1  

Wireless Telecommunication Services

      0.1  

Commercial Services

      0.1  

Semiconductors

      0.1  

Building Products

      0.1  

Equipment

      0.1  

Gas

      0.1  

Food

      0.1  

Personal Products

      0.1  

Forest Products & Paper

      0.1  

Commercial Services & Supplies

      0.1  

Technology

      0.1  

Auto Parts & Equipment

      0.1  

Professional Services

      0.1  

Building Materials

      0.1  

Transportation

      0.1  

Mining

      0.1  

Other

      0.1  

Miscellaneous Manufacturing

      0.0 * 

Packaging & Containers

      0.0 * 

Savings & Loans

      0.0 * 

Machinery-Diversified

      0.0 * 

Health Care Technology

      0.0 * 

Aerospace/Defense

      0.0 * 

Real Estate Investment Trusts (REITs)

      0.0 * 

Electronic Equipment, Instruments & Components

      0.0 * 

Paper & Forest Products

      0.0 * 

Home Builders

      0.0 * 

Unaffiliated Exchange Traded Funds

      0.0 * 

Transportation Infrastructure

      0.0 * 

Real Estate

      0.0 * 

Marine

      0.0 * 

Options Purchased

      0.0 * 

Leisure Products

      0.0 * 
  

 

 

  
     104.5  

Option Written

      (0.0 )* 

Liabilities in excess of other assets

      (4.5 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

* Less than +/- 0.05%
 

 

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk and interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

 

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

   

Asset Derivatives

    

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value    

Balance Sheet Location

    Fair Value  

Equity contracts

    Due from/to broker — variation margin futures    $ 3,924 *    —    $ —  

Interest rate contracts

    Due from/to broker —variation margin futures      1,875,909 *    Due from/to broker —variation margin futures      850,868 * 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A104

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

   

Asset Derivatives

    

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value    

Balance Sheet Location

    Fair Value  

Interest rate contracts

    Due from/to broker — variation margin swaps    $ 1,186,920 *    Due from/to broker — variation margin swaps    $ 864,340 * 

Interest rate contracts

    Unaffiliated investments      32,031     Options written outstanding, at value      12,813  
     

 

 

       

 

 

  

Total

       $ 3,098,784        $ 1,728,021  
     

 

 

       

 

 

  

 

* Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

  

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

      Options
Purchased(1)		      Options
Written		        Futures        Forward
Rate
Agreements		        Swaps      Total  

Credit contracts

      $ —      $ —        $ —        $ —        $ (268,098 )     $ (268,098 ) 

Equity contracts

        —        —          129,587          —          —        129,587  

Interest rate contracts

        (467,779 )       119,368          4,091,918          32,034          1,570,400        5,345,941  
    

 

 

     

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

Total

      $ (467,779 )     $ 119,368        $ 4,221,505        $ 32,034        $ 1,302,302      $ 5,207,430  
    

 

 

     

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

 

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

  

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

      Options
Purchased(2)		      Options
Written		        Futures        Swaps      Total  

Credit contracts

      $ —      $ —        $ —        $ (108,099 )     $ (108,099 ) 

Equity contracts

        —        —          9,949          —        9,949  

Interest rate contracts

        (129,700 )       49,675          1,737,510          (2,724,151 )       (1,066,666 ) 
    

 

 

     

 

 

       

 

 

       

 

 

     

 

 

  

Total

      $ (129,700 )     $ 49,675        $ 1,747,459        $ (2,832,250 )     $ (1,164,816 ) 
    

 

 

     

 

 

       

 

 

       

 

 

     

 

 

  

 

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

For the six months ended June 30, 2017, the average volume of derivative activities is as follows:

 

Options Purchased(1)

  

Options Written(3)

  

Futures
Contracts—
Long Positions(2)

  

Futures
Contracts—
Short Positions(2)

$163,994   $425,667   $417,712,715   $53,466,448

 

Credit Default
Swap Agreements—
Buy Protection(3)

  

Interest Rate Swap
Agreements(3)

$34,333,333   $465,551,333

 

(1) Cost.

 

(2) Value at Trade Date.

 

(3) Notional Amount in USD.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A105

   FLEXIBLE MANAGED PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

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

Securities on Loan

      $ 40,467,970        $ (40,467,970 )     $   —  
    

 

 

          

 

(1) Amount represents market value.

 

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A106

   FLEXIBLE MANAGED PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS  

Investments at value, including securities on loan of $40,467,970:

  

Unaffiliated investments (cost $3,239,616,744)

   $ 3,790,954,476  

Affiliated investments (cost $400,539,838)

     393,159,572  

Cash

     143,247  

Foreign currency, at value (cost $206,662)

     209,785  

Receivable for investments sold

     130,296,374  

Dividends and interest receivable

     9,544,161  

Due from broker—variation margin futures

     975  

Tax reclaim receivable

     659,862  

Due from broker—variation margin swaps

     223,831  

Receivable for Series shares sold

     902  

Prepaid expenses

     4,307  

Receivable from affiliate

     5,425  
 

 

 

  

Total Assets

     4,325,202,917  
 

 

 

  
LIABILITIES  

Payable for investments purchased

     275,958,051  

Payable to broker for collateral for securities on loan

     41,566,070  

Management fee payable

     1,986,174  

Payable for Series shares repurchased

     933,501  

Due to broker—variation margin futures

     371,300  

Options written outstanding, at value (premiums received $62,488)

     12,813  

Affiliated transfer agent fee payable

     980  

Accrued expenses and other liabilities

     404,601  
 

 

 

  

Total Liabilities

     321,233,490  
 

 

 

  
NET ASSETS   $ 4,003,969,427  
 

 

 

  

Net assets were comprised of:

  

Paid-in capital

   $ 1,933,819,763  

Retained earnings

     2,070,149,664  
 

 

 

  

Net assets, June 30, 2017

   $ 4,003,969,427  
 

 

 

  

Net asset value and redemption price per share
$4,003,969,427 / 145,425,046 outstanding shares of beneficial interest

   $ 27.53  
 

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Unaffiliated dividend income (net) (foreign withholding tax $92,164, of which $17,954 is reimbursable by an affiliate)

   $ 24,506,878  

Interest income (net) (foreign withholding taxes of $1,510)

     17,573,197  

Affiliated dividend income

     2,362,068  

Income from securities lending, net (including affiliated income of $55,981)

     67,401  
 

 

 

  

Total income

     44,509,544  
 

 

 

  
EXPENSES  

Management fee

     11,840,540  

Custodian and accounting fees

     257,000  

Shareholders’ reports

     118,000  

Audit fee

     22,000  

Trustees’ fees

     22,000  

Legal fees and expenses

     9,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

     6,000  

Miscellaneous

     54,201  
 

 

 

  

Total expenses

     12,328,741  
 

 

 

  
NET INVESTMENT INCOME (LOSS)     32,180,803  
 

 

 

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

Net realized gain (loss) on:

  

Investment transactions (including affiliated of: $8,659)

     156,434,790  

Futures transactions

     4,221,505  

Forward rate agreement transactions

     32,034  

Options written transactions

     119,368  

Short sales transactions

     (225,630 ) 

Swap agreement transactions

     1,302,302  

Foreign currency transactions

     (4,784 ) 
 

 

 

  
    161,879,585  
 

 

 

  

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of: $276,932)

     35,556,597  

Futures

     1,747,459  

Options written

     49,675  

Swap agreements

     (2,832,250 ) 

Foreign currencies

     59,188  
 

 

 

  
    34,580,669  
 

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     196,460,254  
 

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 228,641,057  
 

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

    $ 32,180,803     $ 67,711,730  

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

      161,879,585       129,427,295  

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

      34,580,669       111,497,510  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      228,641,057       308,636,535  
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS     

Series shares sold [109,356 and 950,649 shares, respectively]

      2,951,309       23,434,776  

Series shares repurchased [4,352,986 and 8,662,738 shares, respectively]

      (117,456,163 )      (214,255,950 ) 
  

 

 

    

 

 

  

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

      (114,504,854 )      (190,821,174 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       3,201,924  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      114,136,203       121,017,285  
NET ASSETS:     

Beginning of period

      3,889,833,224       3,768,815,939  
  

 

 

    

 

 

  

End of period

    $ 4,003,969,427     $ 3,889,833,224  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A107

   GLOBAL PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 96.3%         
COMMON STOCKS — 96.0%    Shares      Value  

Australia — 2.2%

 

Arrium Ltd.*^(g)

      894,400      $ 69  

Asaleo Care Ltd.

      733,400        827,909  

Ausdrill Ltd.

      123,200        173,813  

Bendigo & Adelaide Bank Ltd.

      158,500        1,349,242  

BHP Billiton PLC

      202,794        3,106,964  

Caltex Australia Ltd.

      26,000        631,364  

CSL Ltd.

      39,297        4,170,571  

CSR Ltd.

      334,900        1,088,424  

Downer EDI Ltd.

      182,200        897,497  

Fortescue Metals Group Ltd.

      129,900        520,001  

Harvey Norman Holdings Ltd.(a)

      168,800        495,678  

LendLease Group

      124,300        1,590,862  

Macquarie Group Ltd.

      51,282        3,487,366  

Metcash Ltd.*

      412,500        760,960  

Mineral Resources Ltd.

      64,000        533,334  

Myer Holdings Ltd.(a)

      567,600        364,310  

National Australia Bank Ltd.

      33,588        764,073  

Qantas Airways Ltd.

      387,619        1,703,793  

Wesfarmers Ltd.

      32,100        989,801  
     

 

 

  
        23,456,031  
     

 

 

  

Austria — 0.3%

 

OMV AG

      36,200        1,880,328  

Voestalpine AG

      28,800        1,342,365  
     

 

 

  
        3,222,693  
     

 

 

  

Belgium — 0.3%

 

AGFA-Gevaert NV*

      86,100        418,843  

Bekaert SA

      13,500        686,810  

KBC Group NV

      21,519        1,631,554  

Ontex Group NV

      21,400        760,255  
     

 

 

  
        3,497,462  
     

 

 

  

Bermuda — 0.3%

 

XL Group Ltd.

      78,402        3,434,008  
     

 

 

  

Brazil — 0.2%

 

Cielo SA

      263,000        1,960,850  
     

 

 

  

Canada — 2.6%

 

Brookfield Asset Management, Inc. (Class A Stock)

      112,409        4,407,557  

Canadian National Railway Co.

      62,507        5,071,704  

Canadian Natural Resources Ltd.

      79,700        2,298,548  

Canadian Pacific Railway Ltd.

      13,323        2,142,472  

Constellation Software, Inc.

      6,837        3,576,719  

Suncor Energy, Inc.

      105,302        3,076,722  

Toronto-Dominion Bank (The)

      73,986        3,728,397  

TransCanada Corp.(a)

      50,852        2,424,115  
     

 

 

  
        26,726,234  
     

 

 

  

China — 2.1%

 

Alibaba Group Holding Ltd., ADR*(a)

      73,998        10,426,318  

China Merchants Bank Co. Ltd. (Class H Stock)

      1,103,000        3,323,760  

China Resources Cement Holdings Ltd.

      886,000        440,194  

NetEase, Inc., ADR

      10,421        3,132,865  

Tencent Holdings Ltd.

      113,600        4,075,396  
     

 

 

  
        21,398,533  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Denmark — 0.6%

 

Danske Bank A/S

      61,200      $ 2,354,553  

Dfds A/S

      11,300        602,414  

Novo Nordisk A/S (Class B Stock)

      76,777        3,298,899  
     

 

 

  
        6,255,866  
     

 

 

  

Finland — 0.5%

 

Sampo OYJ (Class A Stock)

      65,912        3,381,663  

Tieto OYJ

      18,100        559,951  

UPM-Kymmene OYJ

      57,300        1,633,897  
     

 

 

  
        5,575,511  
     

 

 

  

France — 4.8%

 

Arkema SA

      33,507        3,578,278  

Atos SE

      15,600        2,188,850  

AXA SA

      46,300        1,267,852  

BNP Paribas SA

      85,753        6,173,605  

Carrefour SA

      47,800        1,208,479  

Cie Generale des Etablissements Michelin

      12,000        1,597,132  

CNP Assurances

      46,700        1,048,240  

Credit Agricole SA

      78,500        1,264,509  

Electricite de France SA

      61,800        669,602  

Engie SA

      35,200        531,301  

LVMH Moet Hennessy Louis Vuitton SE

      18,720        4,681,047  

Orange SA

      79,700        1,268,421  

Renault SA

      12,300        1,112,849  

Sanofi

      39,200        3,756,151  

SCOR SE

      22,000        874,013  

Societe Generale SA

      28,600        1,542,278  

TOTAL SA

      114,875        5,703,213  

TOTAL SA, ADR(a)

      125,450        6,221,065  

Valeo SA

      84,650        5,695,173  
     

 

 

  
        50,382,058  
     

 

 

  

Germany — 3.1%

 

Allianz SE

      9,800        1,933,957  

Aurubis AG

      14,200        1,117,064  

BASF SE

      16,400        1,522,072  

Bayer AG

      14,100        1,827,508  

Bayerische Motoren Werke AG

      12,200        1,134,691  

Daimler AG

      27,600        2,001,795  

Deutsche Bank AG

      40,650        722,750  

Deutsche Lufthansa AG

      54,200        1,235,196  

Deutsche Post AG

      34,500        1,295,072  

Evonik Industries AG

      36,500        1,168,213  

Hannover Rueck SE

      4,500        540,512  

Infineon Technologies AG

      195,151        4,145,128  

METRO AG

      46,000        1,553,982  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

      5,300        1,072,473  

Rational AG

      2,475        1,319,769  

Rheinmetall AG

      13,300        1,265,945  

Siemens AG

      46,353        6,376,052  

STADA Arzneimittel AG

      8,100        575,352  

Uniper SE

      38,700        727,186  

Volkswagen AG

      7,400        1,149,338  
     

 

 

  
        32,684,055  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A108

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Hong Kong — 1.5%

 

AIA Group Ltd.

      737,600      $ 5,396,548  

Kingboard Chemical Holdings Ltd.

      216,000        859,842  

Lee & Man Paper Manufacturing Ltd.

      1,244,000        1,154,184  

PCCW Ltd.

      870,000        494,433  

Sands China Ltd.

      660,000        3,021,176  

Singamas Container Holdings Ltd.*

      2,676,000        414,650  

Skyworth Digital Holdings Ltd.

      1,072,000        665,592  

WH Group Ltd., 144A

      1,914,500        1,933,208  

Wheelock & Co. Ltd.

      97,000        731,632  

Yue Yuen Industrial Holdings Ltd.

      220,500        914,522  
     

 

 

  
        15,585,787  
     

 

 

  

India — 0.7%

 

HDFC Bank Ltd., ADR

      67,205        5,844,819  

Tata Motors Ltd., ADR(a)

      31,807        1,049,949  
     

 

 

  
        6,894,768  
     

 

 

  

Ireland — 0.9%

 

Kingspan Group PLC

      103,361        3,549,512  

Ryanair Holdings PLC, ADR*

      40,671        4,376,606  

Smurfit Kappa Group PLC

      35,200        1,094,482  
     

 

 

  
        9,020,600  
     

 

 

  

Israel — 0.1%

 

Bank Hapoalim BM

      125,500        846,268  

Teva Pharmaceutical Industries Ltd.

      16,300        537,426  
     

 

 

  
        1,383,694  
     

 

 

  

Italy — 0.5%

 

A2A SpA

      782,400        1,300,938  

Astaldi SpA(a)

      62,200        387,165  

Enel SpA

      483,600        2,593,792  

Leonardo SpA

      21,400        356,306  

Mediobanca SpA

      87,600        866,632  
     

 

 

  
        5,504,833  
     

 

 

  

Japan — 7.6%

 

Aisan Industry Co. Ltd.

      68,400        542,402  

Aoyama Trading Co. Ltd.

      9,900        353,382  

Asahi Kasei Corp.

      103,000        1,111,196  

Astellas Pharma, Inc.

      75,600        926,607  

cocokara fine, Inc.

      17,000        840,977  

Concordia Financial Group Ltd.

      121,000        613,275  

Daikin Industries Ltd.

      41,400        4,247,311  

Dowa Holdings Co. Ltd.

      75,000        568,875  

Enplas Corp.

      18,500        570,824  

FANUC Corp.

      20,000        3,870,915  

Fujikura Ltd.

      200,200        1,684,188  

Fujitec Co. Ltd.

      63,600        834,089  

Hazama Ando Corp.

      85,900        542,138  

Heiwa Corp.

      34,800        776,895  

Hoya Corp.

      52,900        2,754,047  

Isuzu Motors Ltd.

      78,200        971,038  

ITOCHU Corp.

      37,100        552,379  

Japan Airlines Co. Ltd.

      28,000        867,319  

Kaneka Corp.

      74,000        566,355  
COMMON STOCKS
(continued)		    Shares      Value  

Japan (continued)

      

KDDI Corp.

      88,400      $ 2,337,970  

Keihin Corp.

      54,300        743,940  

Keyence Corp.

      9,800        4,314,233  

Komori Corp.

      40,000        515,600  

Konica Minolta, Inc.

      129,600        1,081,234  

Kureha Corp.

      25,500        1,263,918  

KYORIN Holdings, Inc.

      37,400        830,926  

Kyowa Exeo Corp.

      66,900        1,127,994  

Lintec Corp.

      30,000        718,850  

Marubeni Corp.

      109,700        710,709  

Matsumotokiyoshi Holdings Co. Ltd.

      15,400        877,250  

Mazda Motor Corp.

      56,700        796,572  

Mitsubishi Gas Chemical Co., Inc.

      46,900        996,128  

Mitsubishi UFJ Financial Group, Inc.

      783,200        5,282,722  

Mixi, Inc.

      17,800        990,557  

Mizuho Financial Group, Inc.

      597,700        1,095,867  

NEC Corp.

      213,000        566,240  

Nippon Prologis REIT, Inc.

      949        2,019,975  

Nippon Telegraph & Telephone Corp.

      73,700        3,478,943  

Nishi-Nippon Financial Holdings, Inc.

      48,600        506,713  

Nissan Motor Co. Ltd.

      161,600        1,613,565  

Nisshinbo Holdings, Inc.

      81,000        824,163  

Nitori Holdings Co. Ltd.

      23,800        3,185,946  

NTT DOCOMO, Inc.

      39,300        929,472  

ORIX Corp.

      194,900        3,032,617  

Park24 Co. Ltd.

      31,900        811,739  

Resona Holdings, Inc.

      355,300        1,962,610  

Sankyu, Inc.

      126,000        824,318  

Sawai Pharmaceutical Co. Ltd.

      9,200        516,693  

Seino Holdings Co. Ltd.

      52,600        701,234  

Shimachu Co. Ltd.

      30,700        732,464  

SKY Perfect JSAT Holdings, Inc.

      151,000        650,401  

Sumitomo Heavy Industries Ltd.

      84,000        557,393  

Sumitomo Mitsui Financial Group, Inc.

      33,900        1,323,607  

Sumitomo Osaka Cement Co. Ltd.

      184,500        877,439  

T-Gaia Corp.

      39,300        746,636  

Toagosei Co. Ltd.

      73,500        958,727  

Toho Holdings Co. Ltd.

      36,900        727,824  

Towa Pharmaceutical Co. Ltd.

      9,400        439,345  

Toyo Tire & Rubber Co. Ltd.

      35,200        721,128  

Toyoda Gosei Co. Ltd.

      33,200        795,520  

Toyota Motor Corp.

      15,730        826,824  

Tsubakimoto Chain Co.

      85,000        736,100  

Ube Industries Ltd.

      301,000        776,973  

Yokohama Rubber Co. Ltd. (The)

      45,000        907,163  
     

 

 

  
        79,630,454  
     

 

 

  

Liechtenstein — 0.0%

 

VP Bank AG

      1,765        219,260  
     

 

 

  

Luxembourg — 0.2%

 

Tenaris SA

      114,056        1,780,844  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A109

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Netherlands — 2.5%

 

ABN AMRO Group NV, CVA, 144A

      28,800      $ 762,967  

Aegon NV

      95,000        486,202  

ING Groep NV, CVA

      75,400        1,301,616  

Koninklijke Ahold Delhaize NV

      41,800        797,848  

Koninklijke Philips NV

      151,859        5,405,992  

NN Group NV

      38,700        1,373,197  

NXP Semiconductors NV*

      89,626        9,809,566  

Royal Dutch Shell PLC (Class A Stock)

      145,531        3,869,665  

Royal Dutch Shell PLC (Class A Stock), ADR

      29,350        1,561,126  

Royal Dutch Shell PLC (Class B Stock)

      36,900        990,638  
     

 

 

  
        26,358,817  
     

 

 

  

New Zealand — 0.2%

 

Air New Zealand Ltd.

      606,600        1,449,412  

Fletcher Building Ltd.

      88,500        518,248  
     

 

 

  
        1,967,660  
     

 

 

  

Norway — 0.3%

 

DNB ASA

      68,200        1,161,091  

Salmar ASA

      31,900        790,712  

Statoil ASA

      37,300        618,514  

Yara International ASA

      23,200        872,373  
     

 

 

  
        3,442,690  
     

 

 

  

Portugal — 0.0%

 

EDP – Energias de Portugal SA

      99,500        325,487  
     

 

 

  

Singapore — 0.1%

 

DBS Group Holdings Ltd.

      81,200        1,222,123  
     

 

 

  

South Africa — 0.3%

 

Bid Corp. Ltd.

      93,746        2,141,469  

Mondi PLC

      37,200        975,455  
     

 

 

  
        3,116,924  
     

 

 

  

Spain — 0.9%

 

Amadeus IT Group SA (Class A Stock)

      47,137        2,817,654  

Banco Santander SA

      137,900        915,641  

Distribuidora Internacional de Alimentacion SA

      175,100        1,092,693  

Gas Natural SDG SA

      47,300        1,107,223  

Iberdrola SA

      150,200        1,190,251  

Mapfre SA

      219,300        767,598  

Repsol SA

      73,100        1,120,704  
     

 

 

  
        9,011,764  
     

 

 

  

Sweden — 1.1%

 

Atlas Copco AB (Class A Stock)

      104,447        4,016,174  

Boliden AB

      21,500        587,701  

Electrolux AB (Class B Stock)

      22,600        741,082  

Hexagon AB (Class B Stock)

      64,954        3,085,942  

JM AB

      25,700        910,540  

Nordea Bank AB

      83,600        1,064,766  

Swedbank AB (Class A Stock)

      29,700        724,854  

Telia Co. AB

      138,400        637,829  
     

 

 

  
        11,768,888  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Switzerland — 3.0%

 

ALSO Holding AG*

      1,335      $ 171,448  

Aryzta AG

      18,700        616,731  

Baloise Holding AG

      10,300        1,595,467  

Bucher Industries AG

      1,070        336,631  

Cembra Money Bank AG

      5,400        511,773  

Credit Suisse Group AG

      113,100        1,645,717  

Geberit AG

      7,297        3,407,409  

Georg Fischer AG

      1,100        1,066,977  

Helvetia Holding AG

      1,800        1,032,310  

Lonza Group AG

      18,176        3,937,216  

Partners Group Holding AG

      5,313        3,298,898  

Roche Holding AG

      10,800        2,759,561  

Swiss Life Holding AG

      7,200        2,435,559  

Swiss Re AG

      22,700        2,080,291  

UBS Group AG

      66,800        1,135,993  

Wolseley PLC

      64,939        3,985,829  

Zurich Insurance Group AG

      5,700        1,663,539  
     

 

 

  
        31,681,349  
     

 

 

  

Taiwan — 0.4%

 

Taiwan Semiconductor Manufacturing Co. Ltd.

      648,000        4,427,274  
     

 

 

  

United Kingdom — 6.4%

 

3i Group PLC

      120,600        1,417,967  

Ashtead Group PLC

      35,000        724,246  

AstraZeneca PLC

      11,300        756,918  

Aviva PLC

      164,200        1,126,314  

BAE Systems PLC

      802,386        6,623,955  

Barclays PLC

      266,300        704,307  

Barratt Developments PLC

      109,300        802,733  

Beazley PLC

      129,500        823,665  

Bellway PLC

      25,400        985,653  

Berkeley Group Holdings PLC

      25,300        1,063,859  

Bovis Homes Group PLC

      66,300        825,499  

BP PLC

      355,000        2,049,132  

BT Group PLC

      365,300        1,404,675  

Carillion PLC(a)

      145,900        354,834  

Centrica PLC

      289,000        753,500  

Compass Group PLC

      218,027        4,602,040  

Crest Nicholson Holdings PLC

      143,814        981,482  

Debenhams PLC

      301,400        170,107  

easyJet PLC

      25,500        451,737  

Experian PLC

      188,665        3,871,962  

GKN PLC

      188,200        799,398  

GlaxoSmithKline PLC

      130,000        2,767,358  

Go-Ahead Group PLC

      34,500        790,648  

Inchcape Plc

      66,600        654,672  

Intermediate Capital Group PLC

      53,155        576,436  

International Consolidated Airlines Group SA

      150,000        1,192,475  

J Sainsbury PLC

      536,900        1,761,076  

Keller Group PLC

      48,200        552,450  

Kingfisher PLC

      160,800        629,843  

Legal & General Group PLC

      260,000        874,905  

Lloyds Banking Group PLC

      1,133,000        976,398  

Man Group PLC

      308,300        622,113  

Marks & Spencer Group PLC

      142,500        618,471  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A110

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

United Kingdom (continued)

      

Meggitt PLC

      108,000      $ 671,089  

Micro Focus International PLC

      66,489        1,966,035  

Mitie Group PLC(a)

      247,100        890,724  

National Express Group PLC

      154,700        738,811  

Old Mutual PLC

      274,800        693,291  

Paragon Group of Cos. PLC (The)

      105,900        589,071  

Premier Foods PLC*

      357,756        188,916  

QinetiQ Group PLC

      214,000        753,882  

RELX PLC

      167,753        3,626,335  

Rio Tinto Ltd.

      18,800        913,652  

Royal Mail PLC

      120,900        663,221  

SSE PLC

      51,500        974,451  

St. James’s Place PLC

      161,171        2,484,227  

Unilever NV, CVA

      73,062        4,033,162  

Vesuvius PLC

      81,100        560,445  

WPP PLC

      192,077        4,044,525  
     

 

 

  
        67,102,665  
     

 

 

  

United States — 52.2%

 

A.O. Smith Corp.

      118,718        6,687,385  

Adobe Systems, Inc.*

      82,983        11,737,116  

Aetna, Inc.

      34,450        5,230,543  

Alphabet, Inc. (Class A Stock)*

      3,269        3,039,124  

Alphabet, Inc. (Class C Stock)*

      11,194        10,172,324  

Amazon.com, Inc.*

      12,914        12,500,752  

American Express Co.

      35,650        3,003,156  

American International Group, Inc.

      23,900        1,494,228  

Ameriprise Financial, Inc.

      26,100        3,322,269  

Amphenol Corp. (Class A Stock)

      145,544        10,744,058  

ANSYS, Inc.*

      49,921        6,074,387  

Apache Corp.(a)

      49,000        2,348,570  

Apple, Inc.

      22,050        3,175,641  

Applied Materials, Inc.

      67,350        2,782,229  

Bank of New York Mellon Corp. (The)

      106,250        5,420,875  

Becton, Dickinson & Co.

      8,444        1,647,509  

Boeing Co. (The)

      24,450        4,834,987  

Bristol-Myers Squibb Co.

      12,400        690,928  

Bunge Ltd.

      39,900        2,976,540  

Carnival Corp.

      36,350        2,383,470  

CF Industries Holdings, Inc.(a)

      76,650        2,143,134  

Cisco Systems, Inc.

      154,850        4,846,805  

Citigroup, Inc.

      89,650        5,995,792  

Comcast Corp. (Class A Stock)

      131,000        5,098,520  

Costco Wholesale Corp.

      52,854        8,452,940  

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

      54,880        1,029,549  

Cummins, Inc.

      11,485        1,863,097  

Danaher Corp.

      135,392        11,425,731  

DexCom, Inc.*(a)

      63,906        4,674,724  

E.I. du Pont de Nemours & Co.

      50,600        4,083,926  

Ecolab, Inc.

      81,143        10,771,733  

Edwards Lifesciences Corp.*

      54,283        6,418,422  

EQT Corp.

      27,767        1,626,869  

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

      96,161        9,229,533  

Exelon Corp.

      119,300        4,303,151  

Exxon Mobil Corp.

      66,750        5,388,727  
COMMON STOCKS
(continued)		    Shares      Value  

United States (continued)

      

Facebook, Inc. (Class A Stock)*

      88,042      $ 13,292,581  

Fifth Third Bancorp

      216,500        5,620,340  

FleetCor Technologies, Inc.*

      49,333        7,114,312  

Fortive Corp.

      140,518        8,901,815  

General Electric Co.

      152,450        4,117,675  

General Motors Co.

      35,750        1,248,748  

Genpact Ltd.

      242,907        6,760,102  

Gilead Sciences, Inc.

      31,600        2,236,648  

Hess Corp.(a)

      54,650        2,397,496  

Hologic, Inc.*

      63,650        2,888,437  

Illinois Tool Works, Inc.

      25,300        3,624,225  

International Paper Co.

      46,950        2,657,840  

Intuit, Inc.

      62,847        8,346,710  

Intuitive Surgical, Inc.*

      11,464        10,723,082  

Invesco Ltd.

      50,900        1,791,171  

Johnson & Johnson

      47,200        6,244,088  

Johnson Controls International PLC

      106,798        4,630,761  

JPMorgan Chase & Co.

      137,350        12,553,790  

Kohl’s Corp.(a)

      39,550        1,529,399  

Las Vegas Sands Corp.

      31,900        2,038,091  

Loews Corp.

      73,900        3,459,259  

Lowe’s Cos., Inc.

      37,200        2,884,116  

Marsh & McLennan Cos., Inc.

      50,680        3,951,013  

Mattel, Inc.(a)

      88,850        1,912,941  

Medtronic PLC

      65,721        5,832,739  

Merck & Co., Inc.

      91,500        5,864,235  

MetLife, Inc.

      97,550        5,359,397  

Microsoft Corp.

      117,431        8,094,519  

Morgan Stanley

      161,200        7,183,072  

News Corp. (Class A Stock)

      142,900        1,957,730  

Occidental Petroleum Corp.

      58,600        3,508,382  

PayPal Holdings, Inc.*

      207,147        11,117,579  

PepsiCo, Inc.

      39,950        4,613,826  

Perrigo Co. PLC(a)

      31,450        2,375,104  

Pfizer, Inc.

      174,950        5,876,570  

PG&E Corp.

      125,900        8,355,983  

Philip Morris International, Inc.

      59,050        6,935,422  

Priceline Group, Inc. (The)*

      2,395        4,479,895  

Procter & Gamble Co. (The)

      31,896        2,779,736  

QUALCOMM, Inc.

      74,450        4,111,129  

Raytheon Co.

      12,535        2,024,152  

Roper Technologies, Inc.

      45,710        10,583,236  

salesforce.com, Inc.*

      104,784        9,074,294  

SBA Communications Corp.*

      70,654        9,531,225  

Shire PLC

      9,131        503,476  

Southern Co. (The)

      78,650        3,765,762  

Southwest Airlines Co.

      51,500        3,200,210  

Starbucks Corp.

      115,785        6,751,423  

Stericycle, Inc.*

      23,070        1,760,702  

TE Connectivity Ltd.

      35,750        2,812,810  

Texas Instruments, Inc.

      25,500        1,961,715  

Thermo Fisher Scientific, Inc.

      61,078        10,656,279  

TJX Cos., Inc. (The)

      94,177        6,796,754  

TripAdvisor, Inc.*(a)

      148,452        5,670,866  

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

      172,150        4,797,821  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A111

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

United States (continued)

      

Tyson Foods, Inc. (Class A Stock)

      81,550      $ 5,107,476  

U.S. Bancorp

      87,950        4,566,364  

United Technologies Corp.

      27,500        3,358,025  

VEREIT, Inc.

      231,845        1,887,218  

Verizon Communications, Inc.

      82,300        3,675,518  

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

      142,325        13,347,238  

Vulcan Materials Co.

      15,350        1,944,538  

Wabtec Corp.(a)

      78,705        7,201,507  

Wal-Mart Stores, Inc.

      43,300        3,276,944  

Wells Fargo & Co.

      147,050        8,148,040  

Westar Energy, Inc.

      20,700        1,097,514  

Weyerhaeuser Co.

      59,250        1,984,875  

Yum China Holdings, Inc.*

      90,570        3,571,175  

Zoetis, Inc.

      179,715        11,210,622  
     

 

 

  
        547,256,481  
     

 

 

  

Zambia — 0.1%

 

First Quantum Minerals Ltd.

      120,679        1,020,858  
     

 

 

  

TOTAL COMMON STOCKS
(cost $769,522,555)

 

      1,007,316,521  
     

 

 

  
PREFERRED STOCKS — 0.3%     

United States — 0.3%

 

Becton, Dickinson & Co.*

      11,615        636,270  

NextEra Energy, Inc.*(a)

      46,848        2,530,260  
     

 

 

  

TOTAL PREFERRED STOCKS
(cost $2,880,789)

 

      3,166,530  
     

 

 

  
     Units         
RIGHTS* — 0.0%      

Spain

      

Repsol SA, expiring 07/03/2017(a)
(cost $34,891)

      73,100        33,397  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $772,438,235)

 

      1,010,516,448  
     

 

 

  
     Shares         
SHORT-TERM INVESTMENTS — 9.7%  

AFFILIATED MUTUAL FUNDS

      

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

      41,132,252        41,132,252  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund
(cost $59,916,342; includes $59,858,177 of cash collateral for securities on loan)(b)(w)

      59,914,457        59,920,449  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $101,048,594)

 

      101,052,701  
     

 

 

  

TOTAL INVESTMENTS — 106.0%
(cost $873,486,829)

 

      1,111,569,149  

LIABILITIES IN EXCESS OF
OTHER ASSETS — (6.0)%

 

      (62,526,584 ) 
     

 

 

  

NET ASSETS — 100.0%

 

    $ 1,049,042,565  
     

 

 

  

See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $69 and 0.0% of net assets.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $58,575,784; cash collateral of $59,858,177 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

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

 

(g) Indicates a security that has been deemed illiquid; the aggregate value of $69 is 0.0% of net assets.

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.

Fair value measurements:

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

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A112

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     

Level 1

     

Level 2

     

Level 3

  

Investments in Securities

         

Common Stocks

         

Australia

    $ —      $ 23,455,962      $ 69  

Austria

      —        3,222,693        —  

Belgium

      —        3,497,462        —  

Bermuda

      3,434,008        —        —  

Brazil

      1,960,850        —        —  

Canada

      26,726,234        —        —  

China

      13,559,183        7,839,350        —  

Denmark

      —        6,255,866        —  

Finland

      —        5,575,511        —  

France

      6,221,065        44,160,993        —  

Germany

      —        32,684,055        —  

Hong Kong

      —        15,585,787        —  

India

      6,894,768        —        —  

Ireland

      4,376,606        4,643,994        —  

Israel

      —        1,383,694        —  

Italy

      —        5,504,833        —  

Japan

      —        79,630,454        —  

Liechtenstein

      —        219,260        —  

Luxembourg

      —        1,780,844        —  

Netherlands

      11,370,692        14,988,125        —  

New Zealand

      —        1,967,660        —  

Norway

      —        3,442,690        —  

Portugal

      —        325,487        —  

Singapore

      —        1,222,123        —  

South Africa

      —        3,116,924        —  

Spain

      —        9,011,764        —  

Sweden

      —        11,768,888        —  

Switzerland

      —        31,681,349        —  

Taiwan

      —        4,427,274        —  

United Kingdom

      —        67,102,665        —  

United States

      546,753,005        503,476        —  

Zambia

      1,020,858        —        —  

Preferred Stocks

         

United States

      3,166,530        —        —  

Rights

         

Spain

      33,397        —        —  

Affiliated Mutual Funds

      101,052,701        —          —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 726,569,897      $ 384,999,183      $ 69  
  

 

 

     

 

 

     

 

 

  

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

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

Affiliated Mutual Funds (including 5.7% of collateral for securities on loan)

      9.7 % 

Banks

      8.2  

Pharmaceuticals

      4.9  

Insurance

      4.8  

Software

      4.6  

Oil, Gas & Consumable Fuels

      4.5  

Health Care Equipment & Supplies

      4.5  

IT Services

      4.4  

Internet Software & Services

      4.3  

Capital Markets

      3.4 % 

Machinery

      3.4  

Chemicals

      2.9  

Industrial Conglomerates

      2.7  

Semiconductors & Semiconductor Equipment

      2.6  

Electric Utilities

      2.4  

Food & Staples Retailing

      2.3  

Internet & Direct Marketing Retail

      2.2  

Electronic Equipment, Instruments & Components

      2.2  

Building Products

      2.1  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A113

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Industry classification (cont.)

 

Hotels, Restaurants & Leisure

      2.1 % 

Aerospace & Defense

      1.8  

Media

      1.5  

Personal Products

      1.5  

Equity Real Estate Investment Trusts (REITs)

      1.5  

Specialty Retail

      1.5  

Life Sciences Tools & Services

      1.4  

Airlines

      1.4  

Auto Components

      1.1  

Food Products

      1.1  

Automobiles

      1.1  

Metals & Mining

      1.0  

Road & Rail

      1.0  

Diversified Telecommunication Services

      1.0  

Professional Services

      0.7  

Household Durables

      0.7  

Tobacco

      0.6  

Biotechnology

      0.6  

Health Care Providers & Services

      0.6  

Trading Companies & Distributors

      0.5  

Construction Materials

      0.5  

Textiles, Apparel & Luxury Goods

      0.5  

Communications Equipment

      0.5  

Technology Hardware, Storage & Peripherals

      0.5  

Commercial Services & Supplies

      0.4  

Beverages

      0.4 % 

Paper & Forest Products

      0.4  

Containers & Packaging

      0.4  

Consumer Finance

      0.3  

Wireless Telecommunication Services

      0.3  

Construction & Engineering

      0.3  

Household Products

      0.3  

Leisure Products

      0.3  

Multi-Utilities

      0.3  

Multiline Retail

      0.3  

Diversified Financial Services

      0.3  

Real Estate Management & Development

      0.2  

Air Freight & Logistics

      0.2  

Energy Equipment & Services

      0.2  

Electrical Equipment

      0.1  

Gas Utilities

      0.1  

Independent Power & Renewable Electricity Producers

      0.1  

Distributors

      0.1  

Marine

      0.1  

Thrifts & Mortgage Finance

      0.1  

Health Care Technology

      0.0 * 
  

 

 

  
     106.0  

Liabilities in excess of other assets

      (6.0 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

* Less than +/- 0.05%
 

 

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

 

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

   

Asset Derivatives

     

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value     

Balance Sheet Location

    Fair Value  

Equity contracts

    Unaffiliated investments    $ 33,397      —    $   —  
     

 

 

        

 

 

  

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

  

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

      Rigts(1)  

Equity contracts

      $ 79,032  
    

 

 

  

 

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

  

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

      Rights(2)  

Equity contracts

      $ (3,110 ) 
    

 

 

  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A114

   GLOBAL PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

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

Securities on Loan

      $ 58,575,784        $ (58,575,784 )     $   —  

 

(1) Amount represents market value.
(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A115

   GLOBAL PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES (unaudited)

as of June 30, 2017

 

ASSETS  

Investments at value, including securities on loan of $58,575,784:

   

Unaffiliated investments (cost $772,438,235)

    $ 1,010,516,448  

Affiliated investments (cost $101,048,594)

      101,052,701  

Cash

      13,168  

Foreign currency, at value (cost $3,962,661)

      4,046,484  

Receivable for investments sold

      5,340,027  

Tax reclaim receivable

      1,683,434  

Dividends and interest receivable

      1,672,117  

Receivable from affiliate

      44,247  

Receivable for Series shares sold

      1,514  

Prepaid expenses

      1,057  
  

 

 

  

Total Assets

      1,124,371,197  
  

 

 

  
LIABILITIES  

Payable to broker for collateral for securities on loan

      59,858,177  

Payable for investments purchased

      14,314,230  

Management fee payable

      628,110  

Accrued expenses and other liabilities

      289,302  

Payable for Series shares repurchased

      237,833  

Affiliated transfer agent fee payable

      980  
  

 

 

  

Total Liabilities

      75,328,632  
  

 

 

  
NET ASSETS    $ 1,049,042,565  
  

 

 

  

Net assets were comprised of:

 

Paid-in capital

    $ 682,123,204  

Retained earnings

      366,919,361  
  

 

 

  

Net assets, June 30, 2017

    $ 1,049,042,565  
  

 

 

  

Net asset value and redemption price per share $1,049,042,565 / 33,901,440 outstanding shares of beneficial interest

    $ 30.94  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Unaffiliated dividend income (net) (foreign withholding tax $921,221, of which $65,287 is reimbursable by an affiliate)

    $ 13,339,800  

Income from securities lending, net (including affiliated income of $73,622)

      256,185  

Affiliated dividend income

      140,085  
  

 

 

  

Total income

      13,736,070  
  

 

 

  
EXPENSES  

Management fee

      3,762,379  

Custodian and accounting fees

      185,000  

Shareholders’ reports

      50,000  

Audit fee

      14,000  

Trustees’ fees

      9,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

      6,000  

Legal fees and expenses

      6,000  

Miscellaneous

      29,674  
  

 

 

  

Total expenses

      4,062,053  

Less: Management fee waiver

      (112,086 ) 
  

 

 

  
     3,949,967  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      9,786,103  
  

 

 

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

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $(2,954))

      16,699,306  

Foreign currency transactions

      37,154  
  

 

 

  
     16,736,460  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $(4,171))

      91,566,464  

Foreign currencies

      287,009  
  

 

 

  
     91,853,473  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      108,589,933  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 118,376,036  
  

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS  
OPERATIONS  

Net investment income (loss)

    $ 9,786,103     $ 12,128,554  

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

      16,736,460       6,968,304  

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

      91,853,473       20,952,242  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      118,376,036       40,049,100  
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold [119,909 and 177,123 shares, respectively]

      3,580,092       4,692,671  

Series shares repurchased [959,965 and 2,096,896 shares, respectively]

      (28,275,171 )      (55,475,254 ) 
  

 

 

    

 

 

  

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

      (24,695,079 )      (50,782,583 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       808,056  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      93,680,957       (9,925,427 ) 
NET ASSETS:  

Beginning of period

      955,361,608       965,287,035  
  

 

 

    

 

 

  

End of period

    $ 1,049,042,565     $ 955,361,608  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A116

   GOVERNMENT INCOME PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 100.2%

ASSET-BACKED SECURITIES — 6.3%

    Interest
Rate		     Maturity
Date		    Principal
Amount
(000)#		      Value  

Collateralized Loan Obligations — 6.3%

 

Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2017-8A, Class A, 144A

      2.307% (c)    01/15/30      250      $ 250,000  

Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1R, 144A

      2.348% (c)    10/17/26      500        500,134  

BlueMountain CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A

      2.485% (c)    04/13/27      1,750        1,750,544  

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-2A, Class AR, 144A

      2.432% (c)    05/15/25      500        499,885  

Eaton Vance CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A

      2.358% (c)    07/15/26      2,500        2,499,284  

Flagship CLO Ltd. (Cayman Islands), Series 2014-8A, Class AR, 144A

      2.408% (c)    01/16/26      2,500        2,500,715  

KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A

      2.482% (c)    05/15/26      2,500        2,500,658  

Limerock CLO LLC (Cayman Islands), Series 2014-3A, Class A1R, 144A

      2.356% (c)    10/20/26      1,300        1,300,356  

OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A

      2.561% (c)    07/15/30      250        249,656  

OZLM Funding Ltd. (Cayman Islands), Series 2012-1A, Class A1R, 144A

      2.673% (c)    07/22/27      500        502,567  

Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A

      2.472% (c)    05/21/29      500        499,999  

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

      2.566% (c)    07/25/26      250        250,002  

Silver Spring CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A

      2.608% (c)    10/15/26      1,489        1,488,600  

Sound Point CLO Ltd. (Cayman Islands), Series 2015-2A, Class A, 144A

      2.676% (c)    07/20/27      750        752,074  

Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A

      2.856% (c)    10/25/28      500        502,094  
          

 

 

  
             16,046,568  
          

 

 

  

Small Business Loan — 0.0%

 

Small Business Administration Participation Certificates, Series 1997-20G, Class 1

      6.850%     07/01/17      11        11,387  

Small Business Administration Participation Certificates, Series 1998-20I, Class 1

      6.000%     09/01/18      83        83,779  
          

 

 

  
             95,166  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(cost $16,119,994)

 

      16,141,734  
          

 

 

  
COMMERCIAL MORTGAGE-BACKED SECURITIES — 20.9%           

Bank, Series 2017-BNK5, Class A3

      3.020%     06/15/60      2,800        2,801,461  

Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3

      3.515%     09/10/58      700        720,824  

Commercial Mortgage Trust, Series 2012-CR5, Class A3

      2.540%     12/10/45      1,000        994,920  

Commercial Mortgage Trust, Series 2015-CR24, Class A3

      3.214%     08/10/48      1,600        1,628,246  

Commercial Mortgage Trust, Series 2015-CR25, Class A3

      3.505%     08/10/48      1,000        1,029,833  

Deutsche Bank Commercial Mortgage Trust, Series 2017-C6, Class A3

      3.269%     06/10/50      2,800        2,851,961  

Fannie Mae-Aces, Series 2012-M2, Class A2

      2.717%     02/25/22      200        204,595  

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

      3.513% (c)    12/25/23      2,650        2,802,146  

Fannie Mae-Aces, Series 2015-M1, Class AB2

      2.465%     09/25/24      518        505,306  

Fannie Mae-Aces, Series 2015-M3, Class AB2

      2.625%     10/25/24      2,457        2,431,235  

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

      2.829% (c)    01/25/25      1,600        1,622,314  

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

      3.092% (c)    04/25/27      1,600        1,624,276  

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

      3.038% (c)    11/25/25      1,500        1,525,391  

Fannie Mae-Aces, Series 2016-M11, Class A2

      2.369% (c)    07/25/26      1,200        1,153,140  

Fannie Mae-Aces, Series 2016-M13, Class A2

      2.560% (c)    09/25/26      2,100        2,039,860  

FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5

      5.085%     03/25/19      250        261,386  

FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO

      1.718% (c)    06/25/20      15,629        600,697  

FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO

      1.824% (c)    03/25/22      17,351        1,132,729  

FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO

      1.570% (c)    05/25/22      8,858        509,819  

FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO

      1.606% (c)    06/25/22      9,397        567,287  

FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO

      1.001% (c)    10/25/22      26,694        1,019,712  

FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2

      3.389%     03/25/24      3,200        3,370,192  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A117

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

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

      3.171%     10/25/24      4,000     $ 4,155,464  

FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2

      2.811%     01/25/25      3,200       3,240,763  

FHLMC Multifamily Structured Pass-Through Certificates, Series K060, Class AM

      3.300% (c)    10/25/26      1,930       1,978,452  

FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM

      3.327% (c)    03/25/27      1,100       1,132,201  

FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3

      3.511%     04/25/30      400       415,433  

FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO

      1.872% (c)    05/25/19      7,748       197,802  

FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO

      1.810% (c)    07/25/19      7,508       195,880  

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

      3.161% (c)    05/25/25      2,600       2,687,312  

JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2

      3.003%     01/15/47      1,700       1,724,637  

JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3

      3.322%     07/15/48      1,600       1,661,582  

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

      2.694%     04/15/46      1,700       1,716,110  

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

      3.451%     07/15/50      1,600       1,646,835  

Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class A4

      3.525%     12/15/49      1,100       1,132,729  
         

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $52,989,513)

 

     53,282,530  
         

 

 

  
CORPORATE BONDS — 1.3%  

Diversified Financial Services

 

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

      4.300%     12/15/21      2,160       2,367,043  

CDP Financial, Inc. (Canada),Sr. Unsec’d. Notes, 144A

      3.150%     07/24/24      820       840,161  
         

 

 

  

TOTAL CORPORATE BONDS
(cost $3,206,547)

 

     3,207,204  
         

 

 

  
MUNICIPAL BONDS — 0.5%  

California — 0.1%

 

California Educational Facilities Authority, Revenue Bonds, Stanford Univ., Ser. U-7, BABs

      5.000%     06/01/46      125       166,949  
         

 

 

  

Pennsylvania — 0.2%

 

Pennsylvania Turnpike Commission, Revenue Bonds, Ser. A-1, BABs

      5.000%     12/01/46      500       559,460  
         

 

 

  

Texas — 0.1%

 

University of Texas System (The), Revenue Bonds, Ser. F, Rfdg.

      5.000%     08/15/47      275       360,767  
         

 

 

  

Washington — 0.1%

 

Central Puget Sound Regional Transit Authority, Revenue Bonds, Green Bonds, Ser. S-1, BABs

      5.000%     11/01/46      180       236,003  
         

 

 

  

TOTAL MUNICIPAL BONDS
(cost $1,275,891)

 

     1,323,179  
         

 

 

  
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%  

Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM

      5.500%     09/15/17      12       11,582  

Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC

      5.500%     09/15/17      — (r)      6  

Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC

      5.000%     10/15/17      30       30,508  

Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND

      5.500%     09/25/17      — (r)      143  

Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1

      1.836% (c)    10/25/28      27       26,700  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3

      3.396% (c)    02/25/34      133       134,138  
         

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $202,901)

 

     203,077  
         

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A118

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.5%    Interest
Rate		      Maturity
Date		    Principal
Amount
(000)#		      Value  

Federal Home Loan Mortgage Corp.

      2.500%      03/01/30      744      $ 749,469  

Federal Home Loan Mortgage Corp.

      3.000%      TBA      3,500        3,492,344  

Federal Home Loan Mortgage Corp.

      3.000%      06/01/29      595        612,095  

Federal Home Loan Mortgage Corp.

      3.000%      06/01/45      794        795,351  

Federal Home Loan Mortgage Corp.

      3.500%      08/01/26      283        296,269  

Federal Home Loan Mortgage Corp.

      3.500%      01/01/27      300        313,919  

Federal Home Loan Mortgage Corp.

      3.500%      07/01/42      821        846,564  

Federal Home Loan Mortgage Corp.

      3.500%      10/01/42      1,419        1,463,736  

Federal Home Loan Mortgage Corp.

      3.500%      08/01/43      1,074        1,107,698  

Federal Home Loan Mortgage Corp.

      4.000%      TBA      2,750        2,892,151  

Federal Home Loan Mortgage Corp.

      4.000%      06/01/26      100        104,948  

Federal Home Loan Mortgage Corp.

      4.000%      09/01/26      335        351,652  

Federal Home Loan Mortgage Corp.

      4.000%      09/01/40      517        545,386  

Federal Home Loan Mortgage Corp.

      4.000%      12/01/40      534        564,362  

Federal Home Loan Mortgage Corp.

      4.000%      12/01/40      572        604,256  

Federal Home Loan Mortgage Corp.

      4.500%      09/01/39      1,981        2,129,148  

Federal Home Loan Mortgage Corp.

      5.000%      06/01/33      399        436,752  

Federal Home Loan Mortgage Corp.

      5.000%      05/01/34      407        443,687  

Federal Home Loan Mortgage Corp.

      5.500%      05/01/37      84        94,238  

Federal Home Loan Mortgage Corp.

      5.500%      02/01/38      278        308,457  

Federal Home Loan Mortgage Corp.

      5.500%      05/01/38      118        131,695  

Federal Home Loan Mortgage Corp.

      6.000%      09/01/34      77        86,336  

Federal Home Loan Mortgage Corp.

      6.000%      01/01/37      130        146,428  

Federal Home Loan Mortgage Corp.

      6.000%      09/01/38      81        91,569  

Federal Home Loan Mortgage Corp.

      6.000%      08/01/39      85        95,120  

Federal Home Loan Mortgage Corp.

      6.500%      09/01/32      57        62,902  

Federal National Mortgage Assoc.

      1.000%      10/24/19      2,300        2,274,518  

Federal National Mortgage Assoc.

      2.000%      08/01/31      375        367,383  

Federal National Mortgage Assoc.

      2.500%      06/01/28      2,585        2,615,082  

Federal National Mortgage Assoc.

      3.000%      TBA      1,000        998,652  

Federal National Mortgage Assoc.

      3.000%      TBA      1,500        1,537,852  

Federal National Mortgage Assoc.

      3.000%      08/01/28      1,338        1,373,913  

Federal National Mortgage Assoc.

      3.000%      02/01/31      1,712        1,758,538  

Federal National Mortgage Assoc.

      3.000%      11/01/36      952        966,424  

Federal National Mortgage Assoc.

      3.000%      03/01/43      1,186        1,190,551  

Federal National Mortgage Assoc.

      3.000%      03/01/43      913        917,082  

Federal National Mortgage Assoc.

      3.000%      07/01/43      1,141        1,146,680  

Federal National Mortgage Assoc.

      3.000%      07/01/43      1,392        1,397,683  

Federal National Mortgage Assoc.

      3.500%      TBA      8,000        8,216,562  

Federal National Mortgage Assoc.

      3.500%      03/01/27      576        600,184  

Federal National Mortgage Assoc.

      3.500%      06/01/39      366        377,648  

Federal National Mortgage Assoc.

      3.500%      04/01/42      603        622,667  

Federal National Mortgage Assoc.

      3.500%      06/01/42      1,041        1,074,585  

Federal National Mortgage Assoc.

      3.500%      07/01/42      1,161        1,198,401  

Federal National Mortgage Assoc.

      4.000%      TBA      6,250        6,570,068  

Federal National Mortgage Assoc.

      4.000%      TBA      6,000        6,296,836  

Federal National Mortgage Assoc.

      4.000%      09/01/40      1,985        2,096,874  

Federal National Mortgage Assoc.

      4.000%      06/01/42      1,494        1,575,762  

Federal National Mortgage Assoc.

      4.000%      09/01/44      1,082        1,137,472  

Federal National Mortgage Assoc.

      4.500%      05/01/40      2,743        2,978,124  

Federal National Mortgage Assoc.

      5.000%      TBA      500        546,172  

Federal National Mortgage Assoc.

      5.000%      07/01/18      4        4,291  

Federal National Mortgage Assoc.

      5.000%      08/01/18      22        22,313  

Federal National Mortgage Assoc.

      5.000%      01/01/19      80        81,454  

Federal National Mortgage Assoc.

      5.000%      02/01/19      66        67,257  

Federal National Mortgage Assoc.

      5.000%      11/01/19      49        50,107  

Federal National Mortgage Assoc.

      5.000%      12/01/31      29        32,179  

Federal National Mortgage Assoc.

      5.000%      03/01/34      486        532,285  

Federal National Mortgage Assoc.

      5.000%      06/01/35      216        237,004  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A119

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Federal National Mortgage Assoc.

      5.000%      07/01/35      110     $ 120,031  

Federal National Mortgage Assoc.

      5.000%      05/01/36      151       165,333  

Federal National Mortgage Assoc.

      5.500%      10/01/18      15       15,243  

Federal National Mortgage Assoc.

      5.500%      10/01/18      15       15,416  

Federal National Mortgage Assoc.

      5.500%      11/01/18      16       15,809  

Federal National Mortgage Assoc.

      5.500%      02/01/34      291       325,468  

Federal National Mortgage Assoc.

      5.500%      09/01/34      325       365,482  

Federal National Mortgage Assoc.

      5.500%      02/01/35      381       429,057  

Federal National Mortgage Assoc.

      5.500%      06/01/35      108       119,800  

Federal National Mortgage Assoc.

      5.500%      06/01/35      168       186,653  

Federal National Mortgage Assoc.

      5.500%      09/01/35      224       248,917  

Federal National Mortgage Assoc.

      5.500%      09/01/35      45       49,332  

Federal National Mortgage Assoc.

      5.500%      10/01/35      368       412,077  

Federal National Mortgage Assoc.

      5.500%      11/01/35      661       744,368  

Federal National Mortgage Assoc.

      5.500%      11/01/35      372       413,451  

Federal National Mortgage Assoc.

      5.500%      11/01/35      539       603,467  

Federal National Mortgage Assoc.

      6.000%      05/01/21      39       40,627  

Federal National Mortgage Assoc.

      6.000%      12/01/33      12       13,012  

Federal National Mortgage Assoc.

      6.000%      02/01/34      162       185,449  

Federal National Mortgage Assoc.

      6.000%      08/01/34      1       746  

Federal National Mortgage Assoc.

      6.000%      11/01/34      1       872  

Federal National Mortgage Assoc.

      6.000%      11/01/34      1       1,209  

Federal National Mortgage Assoc.

      6.000%      12/01/34      1       1,140  

Federal National Mortgage Assoc.

      6.000%      01/01/35      37       41,965  

Federal National Mortgage Assoc.

      6.000%      01/01/36      116       130,322  

Federal National Mortgage Assoc.

      6.000%      05/01/38      69       78,433  

Federal National Mortgage Assoc.

      6.500%      07/01/32      328       373,636  

Federal National Mortgage Assoc.

      6.500%      08/01/32      113       125,894  

Federal National Mortgage Assoc.

      6.500%      10/01/32      332       379,106  

Federal National Mortgage Assoc.

      6.500%      10/01/37      238       272,856  

Federal National Mortgage Assoc.

      7.000%      12/01/31      98       112,164  

Federal National Mortgage Assoc.

      7.000%      12/01/31      1       600  

Federal National Mortgage Assoc.

      7.000%      11/01/33      11       11,665  

Federal National Mortgage Assoc.

      7.000%      01/01/36      34       37,945  

Federal National Mortgage Assoc.

      8.000%      10/01/23      — (r)      304  

Federal National Mortgage Assoc.

      8.000%      09/01/24      1       1,261  

Federal National Mortgage Assoc.

      8.000%      11/01/24      1       1,393  

Federal National Mortgage Assoc.

      8.000%      01/01/26      1       596  

Federal National Mortgage Assoc.

      8.000%      02/01/26      1       1,354  

Federal National Mortgage Assoc.

      9.000%      02/01/25      13       14,136  

Federal National Mortgage Assoc.

      9.000%      04/01/25      7       8,012  

Government National Mortgage Assoc.

      3.000%      03/15/45      2,216       2,241,417  

Government National Mortgage Assoc.

      3.000%      09/20/46      1,984       2,005,721  

Government National Mortgage Assoc.

      3.000%      10/20/46      496       501,034  

Government National Mortgage Assoc.

      3.000%      04/20/47      3,987       4,031,415  

Government National Mortgage Assoc.

      3.500%      01/20/43      1,495       1,554,754  

Government National Mortgage Assoc.

      3.500%      03/20/45      1,427       1,479,105  

Government National Mortgage Assoc.

      3.500%      04/20/45      1,211       1,255,389  

Government National Mortgage Assoc.

      4.000%      TBA      4,000       4,209,062  

Government National Mortgage Assoc.

      4.000%      06/15/40      276       290,967  

Government National Mortgage Assoc.

      4.500%      02/20/41      776       833,682  

Government National Mortgage Assoc.

      4.500%      03/20/41      663       712,198  

Government National Mortgage Assoc.

      4.500%      06/20/44      519       552,132  

Government National Mortgage Assoc.

      5.000%      07/15/33      207       229,511  

Government National Mortgage Assoc.

      5.000%      09/15/33      277       304,777  

Government National Mortgage Assoc.

      5.000%      04/15/34      87       94,907  

Government National Mortgage Assoc.

      5.500%      03/15/34      383       430,066  

Government National Mortgage Assoc.

      5.500%      03/15/36      83       93,352  

Government National Mortgage Assoc.

      6.500%      07/15/32      22       24,685  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A120

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

Government National Mortgage Assoc.

      6.500%     08/15/32      4     $ 3,959  

Government National Mortgage Assoc.

      6.500%     08/15/32      4       4,712  

Government National Mortgage Assoc.

      6.500%     08/15/32      16       17,375  

Government National Mortgage Assoc.

      6.500%     08/15/32      110       130,010  

Government National Mortgage Assoc.

      7.000%     03/15/23      1       1,232  

Government National Mortgage Assoc.

      7.000%     05/15/23      7       7,709  

Government National Mortgage Assoc.

      7.000%     06/15/23      1       1,443  

Government National Mortgage Assoc.

      7.000%     06/15/23      5       5,398  

Government National Mortgage Assoc.

      7.000%     06/15/23      1       1,433  

Government National Mortgage Assoc.

      7.000%     06/15/23      20       21,612  

Government National Mortgage Assoc.

      7.000%     07/15/23      15       15,119  

Government National Mortgage Assoc.

      7.000%     07/15/23      1       988  

Government National Mortgage Assoc.

      7.000%     08/15/23      11       11,192  

Government National Mortgage Assoc.

      7.000%     08/15/23      6       6,424  

Government National Mortgage Assoc.

      7.000%     08/15/23      1       1,257  

Government National Mortgage Assoc.

      7.000%     09/15/23      2       1,567  

Government National Mortgage Assoc.

      7.000%     10/15/23      5       5,605  

Government National Mortgage Assoc.

      7.000%     10/15/23      — (r)      65  

Government National Mortgage Assoc.

      7.000%     10/15/23      5       5,665  

Government National Mortgage Assoc.

      7.000%     11/15/23      6       5,933  

Government National Mortgage Assoc.

      7.000%     11/15/23      11       11,906  

Government National Mortgage Assoc.

      7.000%     11/15/23      1       515  

Government National Mortgage Assoc.

      7.000%     01/15/24      75       80,212  

Government National Mortgage Assoc.

      7.000%     05/15/24      72       77,495  

Government National Mortgage Assoc.

      7.000%     08/15/28      58       67,568  

Government National Mortgage Assoc.

      7.500%     12/15/25      39       42,478  

Government National Mortgage Assoc.

      7.500%     12/15/25      5       5,221  

Government National Mortgage Assoc.

      7.500%     02/15/26      6       6,849  

Government National Mortgage Assoc.

      8.500%     09/15/24      79       86,518  

Government National Mortgage Assoc.

      8.500%     04/15/25      9       10,541  

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

      2.578%     06/30/22      1,520       1,556,751  

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

      3.000%     06/30/25      1,380       1,443,218  

Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes

      5.500%     09/18/23      1,300       1,547,725  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

      2.194% (s)    01/15/21      643       601,137  

Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO

      3.184% (s)    04/15/30      3,035       2,071,042  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      2.875%     02/01/27      175       179,103  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      6.750%     11/01/25      510       668,268  

Tennessee Valley Authority, Sr. Unsec’d. Notes

      7.125%     05/01/30      530       767,809  

Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes

      1.471%     09/29/21      2,200       2,151,035  
         

 

 

  

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $107,289,501)

 

     108,161,999  
         

 

 

  
U.S. TREASURY OBLIGATIONS — 28.6%          

U.S. Treasury Bonds

      2.500%     05/15/46      570       530,301  

U.S. Treasury Bonds

      3.000%     05/15/45      950       978,908  

U.S. Treasury Bonds

      3.000%     02/15/47      750       773,671  

U.S. Treasury Bonds

      4.250%     11/15/40      3,840       4,825,501  

U.S. Treasury Bonds

      4.750%     02/15/41      710       956,004  

U.S. Treasury Bonds

      8.125%     08/15/21      455       569,585  

U.S. Treasury Inflation Indexed Bonds, TIPS

      0.125%     04/15/22      1,382       1,375,773  

U.S. Treasury Notes

      0.750%     02/28/18      570       568,263  

U.S. Treasury Notes

      1.000%     03/15/18      100       99,832  

U.S. Treasury Notes

      1.375%     04/30/21      14,100       13,919,901  

U.S. Treasury Notes

      1.500%     06/15/20      905       903,728  

U.S. Treasury Notes

      1.625%     04/30/23      3,125       3,058,350  

U.S. Treasury Notes

      1.750%     05/31/22      430       427,481  

U.S. Treasury Notes

      1.750%     06/30/22      1,175       1,167,381  

U.S. Treasury Notes

      1.750%     05/15/23      115       113,293  

U.S. Treasury Notes

      1.875%     04/30/22      765       764,851  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A121

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

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

U.S. Treasury Notes

      2.125%       06/30/21        4,170      $ 4,229,944  

U.S. Treasury Notes

      2.125%       09/30/21        13,350        13,532,001  

U.S. Treasury Notes

      2.125%       06/30/22        250        252,715  

U.S. Treasury Notes

      2.125%       12/31/22        505        509,024  

U.S. Treasury Notes

      2.125%       02/29/24        9,715        9,726,765  

U.S. Treasury Notes

      2.125%       05/15/25        845        839,686  

U.S. Treasury Notes

      2.250%       02/15/27        2,410        2,398,798  

U.S. Treasury Notes

      2.375%       05/15/27        875        880,537  

U.S. Treasury Strips Coupon

      2.037% (s)      02/15/22        1,690        1,547,246  

U.S. Treasury Strips Coupon

      2.184% (s)      02/15/28        550        422,796  

U.S. Treasury Strips Coupon

      2.384% (s)      05/15/29        565        418,233  

U.S. Treasury Strips Coupon(k)(hh)

      2.404% (s)      08/15/21        2,525        2,343,213  

U.S. Treasury Strips Coupon

      2.783% (s)      08/15/29        500        367,346  

U.S. Treasury Strips Coupon

      2.878% (s)      05/15/31        500        347,149  

U.S. Treasury Strips Coupon

      3.042% (s)      11/15/35        1,000        603,556  

U.S. Treasury Strips Coupon

      3.202% (s)      08/15/40        1,000        511,807  

U.S. Treasury Strips Coupon

      4.138% (s)      02/15/42        3,725        1,813,200  

U.S. Treasury Strips Principal, PO

      2.351% (s)      05/15/43        595        281,246  

U.S. Treasury Strips Principal, PO

      2.543% (s)      02/15/45        515        229,837  

U.S. Treasury Strips Principal, PO

      2.952% (s)      05/15/45        800        354,667  

U.S. Treasury Strips Principal, PO

      3.005% (s)      11/15/44        715        322,723  
          

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(cost $73,104,683)

 

      72,965,312  
          

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $254,189,030)

 

      255,285,035  
          

 

 

  
                  Shares         
SHORT-TERM INVESTMENTS — 14.1%           

AFFILIATED MUTUAL FUNDS — 14.1%

           

Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)

 

      2,833,852        26,326,484  

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

 

      9,632,774        9,632,774  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund(w)

 

      81        81  
          

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $36,961,919)

 

      35,959,339  
          

 

 

  
                  Notional
Amount
(000)#		         
OPTIONS PURCHASED* — 0.0%           

Call Options

           

10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $127.00

 

      151        11,797  

10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $130.00

 

      151        —  
          

 

 

  

TOTAL OPTIONS PURCHASED
(cost $59,563)

 

      11,797  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $37,021,482)

 

      35,971,136  
          

 

 

  

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 114.3%
(cost $291,210,512)

 

      291,256,171  
          

 

 

  
OPTION WRITTEN* — (0.0)%           

Call Option

           

10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $128.50
(premiums received $23,014)

 

      302        (4,719 ) 
          

 

 

  

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 114.3%
(cost $291,187,498)

 

      291,251,452  

LIABILITIES IN EXCESS OF OTHER ASSETS(Z) — (14.3)%

 

      (36,381,903 ) 
          

 

 

  

NET ASSETS — 100.0%

 

    $ 254,869,549  
          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A122

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

See the Glossary for abbreviations used in the semiannual report.

 

* Non-income producing security.

 

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

 

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

 

(hh) Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements.

 

(k) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(r) Less than $500 par.

 

(s) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.

 

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

Futures contracts outstanding at June 30, 2017:

 

Number of
Contracts		   Type     Expiration
Date		     Value at
Trade Date		     Value at
June 30, 2017		     Unrealized
Appreciation
(Depreciation)		  
Long Positions:          
66     2 Year U.S. Treasury Notes       Sep. 2017     $ 14,271,562     $ 14,263,218     $ (8,344 ) 
81     5 Year U.S. Treasury Notes       Sep. 2017       9,570,689       9,544,711       (25,978 ) 
63     10 Year U.S. Treasury Notes       Sep. 2017       7,949,865       7,908,469       (41,396 ) 
12     10 Year U.S. Ultra Treasury Bonds       Sep. 2017       1,621,706       1,617,750       (3,956 ) 
122     30 Year U.S. Ultra Treasury Bonds       Sep. 2017       19,899,829       20,236,750       336,921  
         

 

 

  
      257,247  
         

 

 

  
Short Position:          
143     20 Year U.S. Treasury Bonds       Sep. 2017       21,898,856       21,977,312       (78,456 ) 
         

 

 

  
    $ 178,791  
         

 

 

  

A security with a market value of $551,235 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.

Interest rate swap agreements outstanding at June 30, 2017:

 

Notional
Amount
(000)#		        Termination
Date		        Fixed
Rate		     

Floating Rate

      Value at
Trade Date		        Value at
June 30, 2017		        Unrealized
Appreciation
(Depreciation)		  
 

Centrally cleared swap agreements:

  
  52,560          09/09/17          0.539%     

1 Day USOIS(1)

      $ 347        $ 125,326        $ 124,979  
  45,065          10/18/17          0.607%     

1 Day USOIS(1)

        190          113,208          113,018  
  24,905          11/09/17          0.626%     

1 Day USOIS(1)

        206          69,885          69,679  
  3,860          08/31/21          2.015%     

3 Month LIBOR(2)

        31,702          23,643          (8,059 ) 
  760          11/30/21          1.762%     

3 Month LIBOR(2)

        1          (4,997 )         (4,998 ) 
  6,910          08/15/23          1.459%     

3 Month LIBOR(1)

        343,038          204,766          (138,272 ) 
  277          11/15/23          2.209%     

3 Month LIBOR(1)

        12          (2,886 )         (2,898 ) 
  8,720          12/20/23          2.932%     

3 Month LIBOR(1)

        220          (457,808 )         (458,028 ) 
  1,460          02/15/24          2.115%     

3 Month LIBOR(1)

        3,510          (3,324 )         (6,834 ) 
  2,935          02/15/24          2.151%     

3 Month LIBOR(1)

        (2,985 )         (13,262 )         (10,277 ) 
  1,580          02/15/24          2.183%     

3 Month LIBOR(1)

        (3,170 )         (10,353 )         (7,183 ) 
  5,290          09/17/24          2.732%     

3 Month LIBOR(1)

        110          (252,594 )         (252,704 ) 
  1,860          09/04/25          2.214%     

3 Month LIBOR(1)

        163          (17,063 )         (17,226 ) 
  130          01/08/26          2.210%     

3 Month LIBOR(1)

        1          (1,177 )         (1,178 ) 
  1,582          02/15/27          1.824%     

1 Day USOIS(1)

        19,425          22,225          2,800  
  2,675          02/15/36          2.338%     

3 Month LIBOR(2)

        (16,893 )         (67,834 )         (50,941 ) 
                 

 

 

       

 

 

       

 

 

  
                  $ 375,877        $ (272,245 )       $ (648,122 ) 
                 

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A123

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

A security with a market value of $779,524 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

 

(1) The Portfolio pays the fixed rate and receives the floating rate.

 

(2) The Portfolio pays the floating rate and receives the fixed rate.

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     Level 1     Level 2     Level 3  

Investments in Securities

       

Asset-Backed Securities

       

Collateralized Loan Obligations

    $ —     $ 16,046,568     $ —  

Small Business Loan

      —       95,166       —  

Commercial Mortgage-Backed Securities

      —       53,282,530       —  

Corporate Bonds

      —       3,207,204       —  

Municipal Bonds

      —       1,323,179       —  

Residential Mortgage-Backed Securities

      —       203,077       —  

U.S. Government Agency Obligations

      —       108,161,999       —  

U.S. Treasury Obligations

      —       72,965,312       —  

Affiliated Mutual Funds

      35,959,339       —       —  

Options Purchased

      11,797       —       —  

Option Written

      (4,719 )      —       —  

Other Financial Instruments*

       

Futures Contracts

      178,791       —       —  

Centrally Cleared Interest Rate Swap Agreements

      —       (648,122 )      —  
  

 

 

    

 

 

    

 

 

  

Total

    $ 36,145,208     $ 254,636,913     $   —  
  

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

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

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

U.S. Government Agency Obligations

      42.5 % 

U.S. Treasury Obligations

      28.6  

Commercial Mortgage-Backed Securities

      20.9  

Affiliated Mutual Funds

      14.1  

Collateralized Loan Obligations

      6.3  

Diversified Financial Services

      1.3  

Municipal Bonds

      0.5  

Residential Mortgage-Backed Securities

      0.1  

Small Business Loan

      0.0 *% 

Options Purchased

      0.0 * 
  

 

 

  
     114.3  

Option Written

      (0.0 )* 

Liabilities in excess of other assets

      (14.3 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

* Less than +/- 0.05%
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A124

   GOVERNMENT INCOME PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging

instruments, carried at fair value

   

Asset Derivatives

    

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value    

Balance Sheet Location

    Fair Value  

Interest rate contracts

    Due from/to broker — variation margin futures    $ 336,921 *    Due from/to broker — variation margin futures    $ 158,130 * 

Interest rate contracts

    Due from/to broker — variation margin swaps      310,476 *    Due from/to broker — variation margin swaps      958,598 * 

Interest rate contracts

    Unaffiliated investments      11,797     Options written outstanding, at value      4,719  
     

 

 

       

 

 

  

Total

       $ 659,194        $ 1,121,447  
     

 

 

       

 

 

  

 

* Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

  

Derivatives not accounted for as hedging

instruments, carried at fair value

      Options
Purchased(1)		      Options
Written		        Futures        Forward Rate
Agreements		        Swaps        Total  

Interest rate contracts

      $ (107,883 )     $ 46,915        $ 1,006,633        $ 4,729        $ 350,512        $ 1,300,906  
    

 

 

     

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

  

Derivatives not accounted for as hedging

instruments, carried at fair value

      Options
Purchased(2)		      Options
Written		        Futures        Swaps      Total  

Interest rate contracts

      $ (47,766 )     $ 18,295        $ 111,279        $ (707,415 )     $ (625,607 ) 
    

 

 

     

 

 

       

 

 

       

 

 

     

 

 

  

 

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

For the six months ended June 30, 2017, the average volume of derivative activities is as follows:

 

Options Purchased(1)

  

Options Written(3)

  

Futures

Contracts—

Long Positions(2)

  

Futures

Contracts—

Short Positions(2)

  

Interest Rate
Swap Agreements(3)

$66,102   $164,667   $83,196,598   $12,809,942   $162,859,667

 

(1) Cost.

 

(2) Value at Trade Date.

 

(3) Notional Amount in USD.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A125

   GOVERNMENT INCOME PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS  

Investments at value:

 

Unaffiliated investments (cost $254,248,593)

    $ 255,296,832  

Affiliated investments (cost $36,961,919)

      35,959,339  

Cash

      55,687  

Receivable for investments sold

      14,597,957  

Dividends and interest receivable

      889,508  

Receivable for Series shares sold

      30,187  

Due from broker—variation margin swaps

      88,490  

Prepaid expenses

      271  
  

 

 

  

Total Assets

      306,918,271  
  

 

 

  
LIABILITIES  

Payable for investments purchased

      51,745,394  

Accrued expenses and other liabilities

      98,375  

Management fee payable

      84,611  

Payable for Series shares repurchased

      68,474  

Due to broker—variation margin futures

      45,945  

Option written outstanding, at value
(premiums received $23,014)

      4,719  

Affiliated transfer agent fee payable

      980  

Deferred trustees’ fees

      224  
  

 

 

  

Total Liabilities

      52,048,722  
  

 

 

  
NET ASSETS    $ 254,869,549  
  

 

 

  

Net assets were comprised of:

 

Paid-in capital

    $ 229,022,931  

Retained earnings

      25,846,618  
  

 

 

  

Net assets, June 30, 2017

    $ 254,869,549  
  

 

 

  

Net asset value and redemption price per share $254,869,549 / 20,358,650 outstanding shares of beneficial interest

    $ 12.52  
  

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)  
INCOME  

Interest income

    $ 2,523,305  

Affiliated dividend income

      358,515  

Income from securities lending, net (including affiliated income of $4,568)

      4,816  
  

 

 

  

Total income

      2,886,636  
  

 

 

  
EXPENSES  

Management fee

      505,351  

Shareholders’ reports

      50,000  

Custodian and accounting fees

      38,000  

Audit fee

      17,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

      6,000  

Trustees’ fees

      6,000  

Legal fees and expenses

      5,000  

Miscellaneous

      6,601  
  

 

 

  

Total expenses

      633,952  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      2,252,684  
  

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS   

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $(913,784))

      91,406  

Futures transactions

      1,006,633  

Options written transactions

      46,915  

Forward rate agreement transactions

      4,729  

Swap agreement transactions

      350,512  
  

 

 

  
     1,500,195  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

 

Investments (including affiliated of $983,268)

      2,185,650  

Futures

      111,279  

Option written

      18,295  

Swap agreements

      (707,415 ) 
  

 

 

  
     1,607,809  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      3,108,004  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 5,360,688  
  

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS  
OPERATIONS  

Net investment income (loss)

    $ 2,252,684     $ 3,782,397  

Net realized gain (loss) on investment transactions

      1,500,195       2,228,812  

Net change in unrealized appreciation (depreciation) on investments

      1,607,809       (1,008,606 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      5,360,688       5,002,603  
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold [3,008,248 and 942,340 shares, respectively]

      37,013,160       11,729,036  

Series shares repurchased [1,115,127 and 1,792,349 shares, respectively]

      (13,822,364 )      (22,240,242 ) 
  

 

 

    

 

 

  

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

      23,190,796       (10,511,206 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       28,977  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      28,551,484       (5,479,626 ) 
NET ASSETS:  

Beginning of period

      226,318,065       231,797,691  
  

 

 

    

 

 

  

End of period

    $ 254,869,549     $ 226,318,065  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A126

   GOVERNMENT MONEY MARKET PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 94.2%    Interest
Rate		     Maturity
Date		    Principal
Amount
(000)#		     Value  

Federal Farm Credit Bank

      1.009% (n)    08/02/17      7,000     $ 6,993,840  

Federal Farm Credit Bank

      1.186% (c)    10/25/17      11,000       11,000,000  

Federal Farm Credit Bank

      1.192% (c)    04/20/18      6,500       6,499,724  

Federal Farm Credit Bank

      1.230% (c)    11/27/17      3,000       3,002,322  

Federal Farm Credit Bank

      1.241% (c)    07/26/17      5,000       5,000,739  

Federal Farm Credit Bank

      1.264% (c)    08/29/17      2,000       1,999,676  

Federal Farm Credit Bank

      1.292% (c)    09/28/17      12,000       11,999,701  

Federal Home Loan Bank

      0.651% (n)    07/21/17      11,000       10,996,095  

Federal Home Loan Bank

      0.662% (n)    08/01/17      8,000       7,995,522  

Federal Home Loan Bank

      0.815% (n)    07/05/17      10,000       9,999,111  

Federal Home Loan Bank

      0.831% (n)    07/07/17      12,000       11,998,370  

Federal Home Loan Bank

      0.844% (n)    07/12/17      43,000       42,989,120  

Federal Home Loan Bank

      0.881% (c)    02/01/18      11,000       11,000,000  

Federal Home Loan Bank

      0.890% (c)    01/02/18      12,000       12,000,000  

Federal Home Loan Bank

      0.914% (c)    11/08/17      16,000       16,000,000  

Federal Home Loan Bank

      0.933% (n)    07/26/17      37,000       36,976,484  

Federal Home Loan Bank

      1.020% (n)    07/17/17      6,000       5,997,331  

Federal Home Loan Bank

      1.032% (c)    02/15/18      4,000       4,000,000  

Federal Home Loan Bank

      1.039% (c)    02/08/18      6,000       6,000,000  

Federal Home Loan Bank

      1.040% (n)    08/03/17      11,000       10,989,715  

Federal Home Loan Bank

      1.040% (n)    08/08/17      16,000       15,982,773  

Federal Home Loan Bank

      1.040% (n)    08/17/17      4,000       3,994,673  

Federal Home Loan Bank

      1.041% (c)    01/25/18      13,300       13,299,976  

Federal Home Loan Bank

      1.044% (n)    08/23/17      20,000       19,969,864  

Federal Home Loan Bank

      1.045% (n)    08/04/17      16,000       15,984,511  

Federal Home Loan Bank

      1.047% (n)    08/02/17      24,000       23,978,098  

Federal Home Loan Bank

      1.048% (n)    08/18/17      22,000       21,969,875  

Federal Home Loan Bank

      1.050% (n)    08/07/17      15,000       14,984,121  

Federal Home Loan Bank

      1.051% (n)    08/09/17      19,000       18,978,799  

Federal Home Loan Bank

      1.054% (n)    08/16/17      33,000       32,956,448  

Federal Home Loan Bank

      1.060% (n)    09/27/17      15,000       14,961,903  

Federal Home Loan Bank

      1.061% (n)    08/10/17      10,000       9,988,445  

Federal Home Loan Bank

      1.061% (n)    09/01/17      11,250       11,229,850  

Federal Home Loan Bank

      1.061% (n)    08/31/17      27,000       26,952,420  

Federal Home Loan Bank

      1.065% (n)    09/22/17      18,000       17,956,709  

Federal Home Loan Bank

      1.067% (n)    09/20/17      15,000       14,964,731  

Federal Home Loan Bank

      1.072% (n)    09/26/17      12,000       11,969,550  

Federal Home Loan Bank

      1.075% (c)    03/29/18      6,000       6,000,000  

Federal Home Loan Bank

      1.086% (c)    10/25/17      3,000       3,000,000  

Federal Home Loan Bank

      1.089% (c)    11/06/17      1,800       1,799,847  

Federal Home Loan Bank

      1.104% (c)    12/08/17      4,000       3,999,912  

Federal Home Loan Bank

      1.116% (c)    12/21/18      15,000       15,000,000  

Federal Home Loan Bank

      1.140% (c)    08/01/17      2,000       2,000,000  

Federal Home Loan Bank

      1.142% (c)    08/21/17      1,000       999,986  

Federal Home Loan Bank

      1.155% (c)    12/07/17      3,500       3,500,000  

Federal Home Loan Bank

      1.207% (c)    08/28/17      3,000       3,000,000  

Federal Home Loan Bank

      1.213% (c)    09/11/17      2,000       1,999,980  

Federal Home Loan Bank

      1.247% (c)    12/22/17      3,500       3,500,000  

Federal Home Loan Mortgage Corp.

      0.776% (c)    10/12/17      8,000       8,000,000  

Federal Home Loan Mortgage Corp.

      0.968% (n)    07/03/17      11,900       11,899,372  

Federal Home Loan Mortgage Corp.

      0.982% (c)    11/16/17      14,000       14,000,000  

Federal Home Loan Mortgage Corp.

      1.020% (n)    08/11/17      8,000       7,990,889  

Federal Home Loan Mortgage Corp.

      1.041% (n)    09/11/17      15,000       14,969,400  

Federal Home Loan Mortgage Corp.

      1.044% (c)    05/18/18      11,500       11,500,000  

Federal Home Loan Mortgage Corp.

      1.125% (c)    01/08/18      5,000       5,000,000  

Federal National Mortgage Assoc.

      0.968% (n)    07/03/17      10,000       9,999,472  

Federal National Mortgage Assoc.

      1.034% (n)    09/20/17      7,000       6,984,045  

Federal National Mortgage Assoc.

      1.128% (c)    01/11/18      8,000       8,000,000  
         

 

 

  

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

 

     666,703,399  
         

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A127

   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

REPURCHASE AGREEMENTS(m) — 5.8%    Principal
Amount
(000)#		     Value  

HSBC Securities (USA), Inc., 1.09%, dated 06/30/17, due 07/03/17 in the amount of $32,002,907

      32,000     $ 32,000,000  

RBC Capital Markets LLC, 1.07%, dated 06/30/17, due 07/03/17 in the amount of $8,747,780

      8,747       8,747,000  
    

 

 

  

TOTAL REPURCHASE AGREEMENTS

 

     40,747,000  
    

 

 

  

TOTAL INVESTMENTS — 100.0%
(amortized cost $707,450,399)

 

     707,450,399  

LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%

 

     (76,372 ) 
    

 

 

  

NET ASSETS — 100.0%

 

   $ 707,374,027  
 

 

 

  

See the Glossary for abbreviations used in the semiannual report.

 

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

 

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

 

(m) Repurchase Agreements are collateralized by a FHLMC (coupon rate 3.500%, maturity date 08/01/42) and a U.S. Treasury Obligation (coupon rate 1.375%, maturity date 02/15/44), with the aggregate value, including accrued interest, of $41,562,433.

 

(n) Rate quoted represents yield to maturity as of purchase date.

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

 

U.S. Government Agency Obligations

    $ —      $ 666,703,399      $ —  

Repurchase Agreements

      —        40,747,000        —  
  

 

 

     

 

 

     

 

 

  

Total

    $   —      $ 707,450,399      $   —  
  

 

 

     

 

 

     

 

 

  

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

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

 

U.S. Government Agency Obligations

      94.2 % 

Repurchase Agreements

      5.8  
  

 

 

  
     100.0  

Liabilities in excess of other assets

      (0.0 )* 
  

 

 

  
     100.0 % 
  

 

 

  

    

 

 

* Less than +/- 0.05%

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A128

   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

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

Repurchase Agreements

      $ 40,747,000        $ (40,747,000 )     $   —  
    

 

 

          

 

(1) Amount represents market value.

 

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A129

   GOVERNMENT MONEY MARKET PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS  

Investments, at amortized cost which approximates fair value:

    $ 707,450,399  

Cash

      5,997  

Receivable for Series shares sold

      208,797  

Interest receivable

      135,785  

Prepaid expenses

      854  
  

 

 

  

Total Assets

      707,801,832  
  

 

 

  
LIABILITIES  

Management fee payable

      177,647  

Payable for Series shares repurchased

      142,319  

Shareholders’ reports payable

      49,674  

Custodian and accounting fees payable

      49,295  

Accrued expenses

      7,890  

Affiliated transfer agent fee payable

      980  
  

 

 

  

Total Liabilities

      427,805  
  

 

 

  
NET ASSETS    $ 707,374,027  
  

 

 

  

Net assets were comprised of:

 

Paid-in capital

    $ 707,374,027  
  

 

 

  

Net assets, June 30, 2017

    $ 707,374,027  
  

 

 

  

Net asset value and redemption price per share $707,374,027 / 70,734,419 outstanding shares of beneficial interest

    $ 10.00  
  

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)  

Interest income

    $ 2,469,942  
  

 

 

  
EXPENSES  

Management fee

      1,045,151  

Shareholders’ reports

      52,000  

Custodian and accounting fees

      49,000  

Audit fee

      12,000  

Trustees’ fees

      8,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

      6,000  

Legal fees and expenses

      5,000  

Miscellaneous

      9,947  
  

 

 

  

Total expenses

      1,187,098  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      1,282,844  
  

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS   

Net realized gain (loss) on investment transactions

      4,354  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 1,287,198  
  

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS  
OPERATIONS  

Net investment income (loss)

    $ 1,282,844     $ 657,253  

Net realized gain (loss) on investment transactions

      4,354       29,234  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      1,287,198       686,487  
  

 

 

    

 

 

  
DISTRIBUTIONS      (1,287,198 )      (686,487 ) 
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold [16,327,343 and 44,748,619 shares, respectively]

      163,273,433       447,486,185  

Series shares issued in reinvestment of distributions [128,720 and 68,649 shares, respectively]

      1,287,198       686,487  

Series shares repurchased [18,143,120 and 37,473,140 shares, respectively]

      (181,431,198 )      (374,731,396 ) 
  

 

 

    

 

 

  

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

      (16,870,567 )      73,441,276  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      (16,870,567 )      73,441,276  
NET ASSETS:  

Beginning of period

      724,244,594       650,803,318  
  

 

 

    

 

 

  

End of period

    $ 707,374,027     $ 724,244,594  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A130

   STOCK INDEX PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

LONG-TERM INVESTMENTS — 97.9%      Value  
COMMON STOCKS — 97.8%    Shares     

Aerospace & Defense — 2.3%

      

Arconic, Inc.

      74,992      $ 1,698,569  

Boeing Co. (The)

      96,936        19,169,094  

General Dynamics Corp.

      48,500        9,607,850  

L3 Technologies, Inc.

      13,300        2,222,164  

Lockheed Martin Corp.

      42,398        11,770,109  

Northrop Grumman Corp.

      29,926        7,682,303  

Raytheon Co.

      50,018        8,076,907  

Rockwell Collins, Inc.

      26,800        2,816,144  

Textron, Inc.

      46,500        2,190,150  

TransDigm Group, Inc.(a)

      8,500        2,285,395  

United Technologies Corp.

      127,500        15,569,025  
     

 

 

  
        83,087,710  
     

 

 

  

Air Freight & Logistics — 0.7%

      

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

      24,100        1,655,188  

Expeditors International of Washington, Inc.

      31,200        1,762,176  

FedEx Corp.

      41,740        9,071,354  

United Parcel Service, Inc. (Class B Stock)

      117,400        12,983,266  
     

 

 

  
        25,471,984  
     

 

 

  

Airlines — 0.6%

      

Alaska Air Group, Inc.

      21,200        1,902,912  

American Airlines Group, Inc.(a)

      85,800        4,317,456  

Delta Air Lines, Inc.

      124,700        6,701,378  

Southwest Airlines Co.

      104,837        6,514,571  

United Continental Holdings, Inc.*

      48,900        3,679,725  
     

 

 

  
        23,116,042  
     

 

 

  

Auto Components — 0.2%

      

BorgWarner, Inc.

      34,400        1,457,184  

Delphi Automotive PLC

      46,200        4,049,430  

Goodyear Tire & Rubber Co. (The)

      42,900        1,499,784  
     

 

 

  
        7,006,398  
     

 

 

  

Automobiles — 0.5%

      

Ford Motor Co.

      662,559        7,414,035  

General Motors Co.

      231,500        8,086,295  

Harley-Davidson, Inc.(a)

      29,900        1,615,198  
     

 

 

  
        17,115,528  
     

 

 

  

Banks — 6.4%

      

Bank of America Corp.

      1,703,082        41,316,769  

BB&T Corp.

      137,900        6,262,039  

Citigroup, Inc.

      470,922        31,495,263  

Citizens Financial Group, Inc.

      87,200        3,111,296  

Comerica, Inc.

      29,950        2,193,538  

Fifth Third Bancorp

      128,249        3,329,344  

Huntington Bancshares, Inc.

      183,075        2,475,174  

JPMorgan Chase & Co.

      606,745        55,456,493  

KeyCorp

      182,400        3,418,176  

M&T Bank Corp.

      26,400        4,275,480  

People’s United Financial, Inc.

      54,800        967,768  

PNC Financial Services Group, Inc. (The)

      82,493        10,300,901  

Regions Financial Corp.

      204,112        2,988,200  

SunTrust Banks, Inc.

      83,900        4,758,808  

U.S. Bancorp

      270,581        14,048,566  
COMMON STOCKS
(continued)		    Shares      Value  

Banks (continued)

      

Wells Fargo & Co.

      765,136      $ 42,396,186  

Zions Bancorporation

      35,000        1,536,850  
     

 

 

  
        230,330,851  
     

 

 

  

Beverages — 2.0%

      

Brown-Forman Corp. (Class B Stock)(a)

      30,000        1,458,000  

Coca-Cola Co. (The)

      655,750        29,410,388  

Constellation Brands, Inc. (Class A Stock)

      29,400        5,695,662  

Dr. Pepper Snapple Group, Inc.

      31,400        2,860,854  

Molson Coors Brewing Co. (Class B Stock)

      31,500        2,719,710  

Monster Beverage Corp.*

      68,900        3,422,952  

PepsiCo, Inc.

      242,364        27,990,618  
     

 

 

  
        73,558,184  
     

 

 

  

Biotechnology — 2.9%

      

AbbVie, Inc.

      271,700        19,700,967  

Alexion Pharmaceuticals, Inc.*

      38,300        4,659,961  

Amgen, Inc.

      125,194        21,562,163  

Biogen, Inc.*

      36,775        9,979,264  

Celgene Corp.*

      132,600        17,220,762  

Gilead Sciences, Inc.

      222,800        15,769,784  

Incyte Corp.*

      28,800        3,626,208  

Regeneron Pharmaceuticals, Inc.*

      12,930        6,350,440  

Vertex Pharmaceuticals, Inc.*

      42,500        5,476,975  
     

 

 

  
        104,346,524  
     

 

 

  

Building Products — 0.3%

      

Allegion PLC

      16,533        1,341,157  

Fortune Brands Home & Security, Inc.

      26,100        1,702,764  

Johnson Controls International PLC

      159,615        6,920,906  

Masco Corp.

      55,000        2,101,550  
     

 

 

  
        12,066,377  
     

 

 

  

Capital Markets — 2.9%

      

Affiliated Managers Group, Inc.

      9,700        1,608,842  

Ameriprise Financial, Inc.

      26,500        3,373,185  

Bank of New York Mellon Corp. (The)

      176,389        8,999,367  

BlackRock, Inc.

      20,830        8,798,800  

CBOE Holdings, Inc.

      15,300        1,398,420  

Charles Schwab Corp. (The)

      206,600        8,875,536  

CME Group, Inc.

      57,800        7,238,872  

E*TRADE Financial Corp.*

      47,310        1,799,199  

Franklin Resources, Inc.

      59,100        2,647,089  

Goldman Sachs Group, Inc. (The)

      62,900        13,957,510  

Intercontinental Exchange, Inc.

      101,490        6,690,221  

Invesco Ltd.

      69,900        2,459,781  

Moody’s Corp.

      28,520        3,470,314  

Morgan Stanley

      244,510        10,895,366  

Nasdaq, Inc.

      19,600        1,401,204  

Northern Trust Corp.

      36,300        3,528,723  

Raymond James Financial, Inc.

      21,900        1,756,818  

S&P Global, Inc.

      44,100        6,438,159  

State Street Corp.

      61,325        5,502,692  

T. Rowe Price Group, Inc.(a)

      41,500        3,079,715  
     

 

 

  
        103,919,813  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A131

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Chemicals — 2.1%

      

Air Products & Chemicals, Inc.

      37,100      $ 5,307,526  

Albemarle Corp.

      19,500        2,058,030  

CF Industries Holdings, Inc.(a)

      39,800        1,112,808  

Dow Chemical Co. (The)

      189,911        11,977,687  

E.I. du Pont de Nemours & Co.

      146,691        11,839,431  

Eastman Chemical Co.

      25,400        2,133,346  

Ecolab, Inc.

      44,700        5,933,925  

FMC Corp.

      23,150        1,691,107  

International Flavors & Fragrances, Inc.

      13,700        1,849,500  

LyondellBasell Industries NV (Class A Stock)

      56,600        4,776,474  

Monsanto Co.

      74,796        8,852,855  

Mosaic Co. (The)

      59,100        1,349,253  

PPG Industries, Inc.

      43,800        4,816,248  

Praxair, Inc.

      48,600        6,441,930  

Sherwin-Williams Co. (The)

      13,900        4,878,344  
     

 

 

  
        75,018,464  
     

 

 

  

Commercial Services & Supplies — 0.3%

 

   

Cintas Corp.

      14,800        1,865,392  

Republic Services, Inc.

      39,635        2,525,939  

Stericycle, Inc.*

      14,500        1,106,640  

Waste Management, Inc.

      69,230        5,078,020  
     

 

 

  
        10,575,991  
     

 

 

  

Communications Equipment — 1.0%

      

Cisco Systems, Inc.

      851,475        26,651,168  

F5 Networks, Inc.*(a)

      11,300        1,435,778  

Harris Corp.

      21,400        2,334,312  

Juniper Networks, Inc.

      66,000        1,840,080  

Motorola Solutions, Inc.

      28,027        2,431,062  
     

 

 

  
        34,692,400  
     

 

 

  

Construction & Engineering — 0.1%

      

Fluor Corp.

      23,700        1,084,986  

Jacobs Engineering Group, Inc.

      20,900        1,136,751  

Quanta Services, Inc.*

      26,200        862,504  
     

 

 

  
        3,084,241  
     

 

 

  

Construction Materials — 0.1%

      

Martin Marietta Materials, Inc.

      10,800        2,403,864  

Vulcan Materials Co.

      22,700        2,875,636  
     

 

 

  
        5,279,500  
     

 

 

  

Consumer Finance — 0.7%

      

American Express Co.

      129,000        10,866,960  

Capital One Financial Corp.

      81,869        6,764,017  

Discover Financial Services

      65,905        4,098,632  

Navient Corp.

      53,000        882,450  

Synchrony Financial

      130,830        3,901,350  
     

 

 

  
        26,513,409  
     

 

 

  

Containers & Packaging — 0.3%

      

Avery Dennison Corp.

      15,400        1,360,898  

Ball Corp.

      59,700        2,519,937  

International Paper Co.

      70,167        3,972,154  

Sealed Air Corp.

      33,420        1,495,879  

WestRock Co.

      42,761        2,422,838  
     

 

 

  
        11,771,706  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Distributors — 0.1%

      

Genuine Parts Co.

      25,625      $ 2,376,975  

LKQ Corp.*

      51,900        1,710,105  
     

 

 

  
        4,087,080  
     

 

 

  

Diversified Consumer Services — 0.0%

 

H&R Block, Inc.

      35,900        1,109,669  
     

 

 

  

Diversified Financial Services — 1.6%

 

   

Berkshire Hathaway, Inc. (Class B Stock)*

      322,600        54,638,762  

Leucadia National Corp.

      54,500        1,425,720  
     

 

 

  
        56,064,482  
     

 

 

  

Diversified Telecommunication Services — 2.1%

 

AT&T, Inc.

      1,043,935        39,387,667  

CenturyLink, Inc.(a)

      93,185        2,225,258  

Level 3 Communications, Inc.*

      50,200        2,976,860  

Verizon Communications, Inc.

      692,638        30,933,213  
     

 

 

  
        75,522,998  
     

 

 

  

Electric Utilities — 1.9%

      

Alliant Energy Corp.

      38,400        1,542,528  

American Electric Power Co., Inc.

      83,940        5,831,312  

Duke Energy Corp.

      118,048        9,867,632  

Edison International

      55,400        4,331,726  

Entergy Corp.

      30,900        2,372,193  

Eversource Energy

      54,100        3,284,411  

Exelon Corp.

      157,573        5,683,658  

FirstEnergy Corp.

      75,280        2,195,165  

NextEra Energy, Inc.

      79,575        11,150,845  

PG&E Corp.

      86,200        5,721,094  

Pinnacle West Capital Corp.

      19,000        1,618,040  

PPL Corp.

      116,100        4,488,426  

Southern Co. (The)

      167,500        8,019,900  

Xcel Energy, Inc.

      86,295        3,959,214  
     

 

 

  
        70,066,144  
     

 

 

  

Electrical Equipment — 0.6%

      

Acuity Brands, Inc.(a)

      7,500        1,524,600  

AMETEK, Inc.

      39,500        2,392,515  

Eaton Corp. PLC

      76,761        5,974,309  

Emerson Electric Co.

      110,400        6,582,048  

Rockwell Automation, Inc.

      21,900        3,546,924  
     

 

 

  
        20,020,396  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.4%

 

Amphenol Corp. (Class A Stock)

      52,600        3,882,932  

Corning, Inc.

      158,000        4,747,900  

FLIR Systems, Inc.

      23,000        797,180  

TE Connectivity Ltd.

      60,600        4,768,008  
     

 

 

  
        14,196,020  
     

 

 

  

Energy Equipment & Services — 0.9%

 

Baker Hughes, Inc.

      72,248        3,938,239  

Halliburton Co.

      147,900        6,316,809  

Helmerich & Payne, Inc.(a)

      18,900        1,027,026  

National Oilwell Varco, Inc.(a)

      64,400        2,121,336  

Schlumberger Ltd.

      236,298        15,557,860  

TechnipFMC PLC (United Kingdom)*

      79,400        2,159,680  

Transocean Ltd.*(a)

      65,700        540,711  
     

 

 

  
        31,661,661  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A132

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Equity Real Estate Investment Trusts (REITs) — 2.8%

 

Alexandria Real Estate Equities, Inc.(a)

      14,400      $ 1,734,768  

American Tower Corp.

      72,900        9,646,128  

Apartment Investment & Management Co. (Class A Stock)

      27,374        1,176,261  

AvalonBay Communities, Inc.(a)

      23,318        4,481,020  

Boston Properties, Inc.

      26,200        3,223,124  

Crown Castle International Corp.

      61,500        6,161,070  

Digital Realty Trust, Inc.(a)

      27,400        3,094,830  

Equinix, Inc.

      13,055        5,602,684  

Equity Residential(a)

      62,500        4,114,375  

Essex Property Trust, Inc.(a)

      11,200        2,881,424  

Extra Space Storage, Inc.(a)

      21,400        1,669,200  

Federal Realty Investment Trust(a)

      12,400        1,567,236  

GGP, Inc.(a)

      99,700        2,348,932  

HCP, Inc.

      79,600        2,544,016  

Host Hotels & Resorts, Inc.(a)

      124,626        2,276,917  

Iron Mountain, Inc.(a)

      41,430        1,423,535  

Kimco Realty Corp.

      71,800        1,317,530  

Macerich Co. (The)(a)

      20,800        1,207,648  

Mid-America Apartment Communities, Inc.

      19,500        2,054,910  

Prologis, Inc.

      90,228        5,290,970  

Public Storage

      25,600        5,338,368  

Realty Income Corp.(a)

      44,900        2,477,582  

Regency Centers Corp.(a)

      24,400        1,528,416  

Simon Property Group, Inc.

      53,961        8,728,731  

SL Green Realty Corp.

      17,100        1,809,180  

UDR, Inc.

      45,100        1,757,547  

Ventas, Inc.

      60,704        4,217,714  

Vornado Realty Trust

      29,457        2,766,012  

Welltower, Inc.

      62,000        4,640,700  

Weyerhaeuser Co.

      127,830        4,282,305  
     

 

 

  
        101,363,133  
     

 

 

  

Food & Staples Retailing — 1.9%

      

Costco Wholesale Corp.

      74,422        11,902,310  

CVS Health Corp.

      174,738        14,059,420  

Kroger Co. (The)

      157,300        3,668,236  

Sysco Corp.

      84,600        4,257,918  

Wal-Mart Stores, Inc.

      256,100        19,381,648  

Walgreens Boots Alliance, Inc.

      145,000        11,354,950  

Whole Foods Market, Inc.

      54,400        2,290,784  
     

 

 

  
        66,915,266  
     

 

 

  

Food Products — 1.3%

      

Archer-Daniels-Midland Co.

      97,238        4,023,708  

Campbell Soup Co.

      33,200        1,731,380  

Conagra Brands, Inc.

      71,300        2,549,688  

General Mills, Inc.

      98,800        5,473,520  

Hershey Co. (The)

      23,900        2,566,143  

Hormel Foods Corp.(a)

      46,300        1,579,293  

J.M. Smucker Co. (The)

      19,900        2,354,767  

Kellogg Co.(a)

      43,000        2,986,780  

Kraft Heinz Co. (The)

      101,637        8,704,193  

McCormick & Co., Inc. (Non-Voting Shares)

      19,500        1,901,445  
COMMON STOCKS
(continued)		    Shares      Value  

Food Products (continued)

      

Mondelez International, Inc. (Class A Stock)

      259,811      $ 11,221,237  

Tyson Foods, Inc. (Class A Stock)

      49,600        3,106,448  
     

 

 

  
        48,198,602  
     

 

 

  

Health Care Equipment & Supplies — 2.8%

 

Abbott Laboratories

      293,825        14,282,833  

Baxter International, Inc.

      83,200        5,036,928  

Becton, Dickinson & Co.

      37,754        7,366,183  

Boston Scientific Corp.*

      231,899        6,428,240  

C.R. Bard, Inc.

      12,400        3,919,764  

Align Technology, Inc.*

      8,900        1,336,068  

Cooper Cos., Inc. (The)

      8,530        2,042,253  

Danaher Corp.

      104,000        8,776,560  

DENTSPLY SIRONA, Inc.

      39,300        2,548,212  

Edwards Lifesciences Corp.*

      36,400        4,303,936  

Hologic, Inc.*

      47,400        2,151,012  

IDEXX Laboratories, Inc.*

      15,200        2,453,584  

Intuitive Surgical, Inc.*

      6,290        5,883,477  

Medtronic PLC

      233,128        20,690,110  

Stryker Corp.(a)

      52,600        7,299,828  

Varian Medical Systems, Inc.*

      16,100        1,661,359  

Zimmer Biomet Holdings, Inc.

      34,386        4,415,163  
     

 

 

  
        100,595,510  
     

 

 

  

Health Care Providers & Services — 2.8%

 

Aetna, Inc.

      56,457        8,571,866  

AmerisourceBergen Corp.(a)

      28,500        2,694,105  

Anthem, Inc.

      45,200        8,503,476  

Cardinal Health, Inc.

      53,775        4,190,148  

Centene Corp.*

      29,400        2,348,472  

Cigna Corp.

      43,800        7,331,682  

DaVita, Inc.*

      27,000        1,748,520  

Envision Healthcare Corp.*

      20,200        1,265,934  

Express Scripts Holding Co.*

      103,726        6,621,868  

HCA Healthcare, Inc.*

      49,100        4,281,520  

Henry Schein, Inc.*(a)

      13,500        2,470,770  

Humana, Inc.

      25,500        6,135,810  

Laboratory Corp. of America Holdings*

      17,400        2,682,036  

McKesson Corp.

      36,307        5,973,954  

Patterson Cos., Inc.(a)

      14,200        666,690  

Quest Diagnostics, Inc.

      23,300        2,590,028  

UnitedHealth Group, Inc.

      163,300        30,279,086  

Universal Health Services, Inc. (Class B Stock)

      15,600        1,904,448  
     

 

 

  
        100,260,413  
     

 

 

  

Health Care Technology — 0.1%

 

Cerner Corp.*

      50,400        3,350,088  
     

 

 

  

Hotels, Restaurants & Leisure — 1.7%

 

Carnival Corp.

      71,100        4,662,027  

Chipotle Mexican Grill, Inc.*(a)

      4,920        2,047,212  

Darden Restaurants, Inc.

      21,550        1,948,982  

Hilton Worldwide Holdings, Inc.

      24,900        1,540,065  

Marriott International, Inc. (Class A Stock)

      53,523        5,368,892  

McDonald’s Corp.

      139,320        21,338,251  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A133

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Hotels, Restaurants & Leisure (continued)

 

Royal Caribbean Cruises Ltd.

      28,800      $ 3,145,824  

Starbucks Corp.

      247,800        14,449,218  

Wyndham Worldwide Corp.

      18,063        1,813,706  

Wynn Resorts Ltd.

      13,600        1,824,032  

Yum! Brands, Inc.

      57,200        4,219,072  
     

 

 

  
        62,357,281  
     

 

 

  

Household Durables — 0.5%

 

D.R. Horton, Inc.

      58,900        2,036,173  

Garmin Ltd.(a)

      19,800        1,010,394  

Leggett & Platt, Inc.

      22,700        1,192,431  

Lennar Corp. (Class A Stock)

      34,600        1,844,872  

Mohawk Industries, Inc.*

      10,900        2,634,421  

Newell Brands, Inc.

      82,549        4,426,278  

PulteGroup, Inc.

      49,185        1,206,508  

Whirlpool Corp.

      12,807        2,454,077  
     

 

 

  
        16,805,154  
     

 

 

  

Household Products — 1.7%

 

Church & Dwight Co., Inc.

      43,700        2,267,156  

Clorox Co. (The)

      22,100        2,944,604  

Colgate-Palmolive Co.

      150,400        11,149,152  

Kimberly-Clark Corp.

      60,588        7,822,517  

Procter & Gamble Co. (The)

      434,306        37,849,768  
     

 

 

  
        62,033,197  
     

 

 

  

Independent Power & Renewable Electricity Producers — 0.1%

 

AES Corp.

      110,400        1,226,544  

NRG Energy, Inc.

      53,700        924,714  
     

 

 

  
        2,151,258  
     

 

 

  

Industrial Conglomerates — 2.3%

 

3M Co.

      101,200        21,068,828  

General Electric Co.

      1,480,647        39,992,275  

Honeywell International, Inc.

      129,450        17,254,390  

Roper Technologies, Inc.

      17,300        4,005,469  
     

 

 

  
        82,320,962  
     

 

 

  

Insurance — 2.5%

 

Aflac, Inc.

      68,300        5,305,544  

Allstate Corp. (The)

      62,188        5,499,907  

American International Group, Inc.

      150,429        9,404,821  

Aon PLC

      44,825        5,959,484  

Arthur J. Gallagher & Co.

      30,700        1,757,575  

Assurant, Inc.

      9,800        1,016,162  

Chubb Ltd.

      79,390        11,541,718  

Cincinnati Financial Corp.

      25,928        1,878,484  

Everest Re Group Ltd.

      4,000        1,018,360  

Hartford Financial Services Group, Inc. (The)

      63,800        3,353,966  

Lincoln National Corp.

      38,363        2,592,572  

Loews Corp.

      47,326        2,215,330  

Marsh & McLennan Cos., Inc.

      87,900        6,852,684  

MetLife, Inc.

      185,100        10,169,394  

Principal Financial Group, Inc.

      45,700        2,927,999  

Progressive Corp. (The)

      99,300        4,378,137  

Torchmark Corp.

      18,875        1,443,937  

Travelers Cos., Inc. (The)

      47,798        6,047,881  

Unum Group

      39,056        1,821,181  
COMMON STOCKS
(continued)		    Shares      Value  

Insurance (continued)

 

Willis Towers Watson PLC

      21,800      $ 3,171,028  

XL Group Ltd. (Bermuda)

      45,600        1,997,280  
     

 

 

  
        90,353,444  
     

 

 

  

Internet & Direct Marketing Retail — 2.6%

 

Amazon.com, Inc.*

      67,290        65,136,720  

Expedia, Inc.

      20,800        3,098,160  

Netflix, Inc.*

      73,290        10,950,259  

Priceline Group, Inc. (The)*

      8,370        15,656,252  

TripAdvisor, Inc.*(a)

      19,400        741,080  
     

 

 

  
        95,582,471  
     

 

 

  

Internet Software & Services — 4.5%

 

Akamai Technologies, Inc.*

      29,400        1,464,414  

Alphabet, Inc. (Class A Stock)*

      50,515        46,962,785  

Alphabet, Inc. (Class C Stock)*

      50,490        45,881,778  

eBay, Inc.*

      172,400        6,020,208  

Facebook, Inc. (Class A Stock)*

      400,100        60,407,098  

VeriSign, Inc.*(a)

      15,500        1,440,880  
     

 

 

  
        162,177,163  
     

 

 

  

IT Services — 3.8%

 

Accenture PLC (Class A Stock)

      105,900        13,097,712  

Alliance Data Systems Corp.

      9,600        2,464,224  

Automatic Data Processing, Inc.

      76,500        7,838,190  

Cognizant Technology Solutions Corp. (Class A Stock)

      103,800        6,892,320  

CSRA, Inc.

      24,600        781,050  

DXC Technology Co.

      47,350        3,632,692  

Fidelity National Information Services, Inc.

      56,100        4,790,940  

Fiserv, Inc.*

      36,500        4,465,410  

Gartner, Inc.*

      14,400        1,778,544  

Global Payments, Inc.

      26,000        2,348,320  

International Business Machines Corp.

      145,725        22,416,877  

Mastercard, Inc. (Class A Stock)

      159,900        19,419,855  

Paychex, Inc.

      54,750        3,117,465  

PayPal Holdings, Inc.*

      191,000        10,250,970  

Total System Services, Inc.

      28,293        1,648,067  

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

      315,400        29,578,212  

Western Union Co. (The)(a)

      81,204        1,546,936  
     

 

 

  
        136,067,784  
     

 

 

  

Leisure Products — 0.1%

 

Hasbro, Inc.

      19,150        2,135,416  

Mattel, Inc.(a)

      57,281        1,233,260  
     

 

 

  
        3,368,676  
     

 

 

  

Life Sciences Tools & Services — 0.7%

 

Agilent Technologies, Inc.

      54,782        3,249,120  

Illumina, Inc.*

      25,000        4,338,000  

Mettler-Toledo International, Inc.*

      4,450        2,619,003  

PerkinElmer, Inc.

      18,600        1,267,404  

Thermo Fisher Scientific, Inc.

      66,600        11,619,702  

Waters Corp.*

      13,700        2,518,608  
     

 

 

  
        25,611,837  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A134

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Machinery — 1.5%

 

Caterpillar, Inc.

      99,400      $ 10,681,524  

Cummins, Inc.

      26,500        4,298,830  

Deere & Co.

      49,850        6,160,961  

Dover Corp.

      26,400        2,117,808  

Flowserve Corp.(a)

      22,500        1,044,675  

Fortive Corp.

      51,400        3,256,190  

Illinois Tool Works, Inc.

      53,175        7,617,319  

Ingersoll-Rand PLC

      44,500        4,066,855  

PACCAR, Inc.

      60,128        3,970,853  

Parker-Hannifin Corp.

      22,787        3,641,818  

Pentair PLC (United Kingdom)

      28,807        1,916,818  

Snap-on, Inc.

      10,000        1,580,000  

Stanley Black & Decker, Inc.

      25,935        3,649,833  

Xylem, Inc.

      30,400        1,685,072  
     

 

 

  
        55,688,556  
     

 

 

  

Media — 3.0%

 

CBS Corp. (Class B Non-Voting Stock)

      63,368        4,041,611  

Charter Communications, Inc. (Class A Stock)*

      36,600        12,328,710  

Comcast Corp. (Class A Stock)

      803,692        31,279,693  

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

      26,300        679,329  

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

      37,500        945,375  

DISH Network Corp. (Class A
Stock)*

      38,600        2,422,536  

Interpublic Group of Cos., Inc. (The)

      67,762        1,666,945  

News Corp. (Class A Stock)

      63,625        871,662  

News Corp. (Class B Stock)

      19,300        273,095  

Omnicom Group, Inc.(a)

      40,100        3,324,290  

Scripps Networks Interactive, Inc. (Class A Stock)(a)

      16,400        1,120,284  

Time Warner, Inc.

      131,315        13,185,339  

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

      178,700        5,064,358  

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

      82,200        2,290,914  

Viacom, Inc. (Class B Stock)

      59,043        1,982,074  

Walt Disney Co. (The)

      247,276        26,273,075  
     

 

 

  
        107,749,290  
     

 

 

  

Metals & Mining — 0.2%

 

Freeport-McMoRan, Inc.*

      223,512        2,684,379  

Newmont Mining Corp.

      90,803        2,941,109  

Nucor Corp.

      54,600        3,159,702  
     

 

 

  
        8,785,190  
     

 

 

  

Multi-Utilities — 1.0%

 

Ameren Corp.

      41,500        2,268,805  

CenterPoint Energy, Inc.

      72,810        1,993,538  

CMS Energy Corp.

      47,800        2,210,750  

Consolidated Edison, Inc.

      52,200        4,218,804  

Dominion Energy, Inc.

      106,784        8,182,858  

DTE Energy Co.

      30,600        3,237,174  

NiSource, Inc.

      55,500        1,407,480  

Public Service Enterprise Group, Inc.

      86,000        3,698,860  
COMMON STOCKS
(continued)		    Shares      Value  

Multi-Utilities (continued)

 

SCANA Corp.

      24,300      $ 1,628,343  

Sempra Energy

      42,754        4,820,513  

WEC Energy Group, Inc.(a)

      53,876        3,306,909  
     

 

 

  
        36,974,034  
     

 

 

  

Multiline Retail — 0.4%

 

Dollar General Corp.

      43,400        3,128,706  

Dollar Tree, Inc.*

      40,147        2,807,078  

Kohl’s Corp.(a)

      30,800        1,191,036  

Macy’s, Inc.

      51,620        1,199,649  

Nordstrom, Inc.(a)

      19,800        947,034  

Target Corp.

      94,868        4,960,648  
     

 

 

  
        14,234,151  
     

 

 

  

Oil, Gas & Consumable Fuels — 5.0%

 

Anadarko Petroleum Corp.

      95,226        4,317,547  

Apache Corp.(a)

      64,350        3,084,296  

Cabot Oil & Gas Corp.

      81,300        2,039,004  

Chesapeake Energy Corp.*(a)

      125,800        625,226  

Chevron Corp.

      321,742        33,567,343  

Cimarex Energy Co.

      16,500        1,551,165  

Concho Resources, Inc.*

      25,200        3,062,556  

ConocoPhillips

      210,229        9,241,667  

Devon Energy Corp.

      89,700        2,867,709  

EOG Resources, Inc.

      97,900        8,861,908  

EQT Corp.

      29,700        1,740,123  

Exxon Mobil Corp.

      715,404        57,754,565  

Hess Corp.

      46,175        2,025,697  

Kinder Morgan, Inc.

      326,443        6,254,648  

Marathon Oil Corp.

      142,994        1,694,479  

Marathon Petroleum Corp.

      89,694        4,693,687  

Murphy Oil Corp.(a)

      27,700        709,951  

Newfield Exploration Co.*

      35,000        996,100  

Noble Energy, Inc.

      74,400        2,105,520  

Occidental Petroleum Corp.

      130,200        7,795,074  

ONEOK, Inc.

      36,340        1,895,494  

Phillips 66

      74,764        6,182,235  

Pioneer Natural Resources Co.

      29,000        4,627,820  

Range Resources Corp.(a)

      31,700        734,489  

Tesoro Corp.

      24,100        2,255,760  

Valero Energy Corp.

      76,600        5,167,436  

Williams Cos., Inc. (The)

      140,400        4,251,312  
     

 

 

  
        180,102,811  
     

 

 

  

Personal Products — 0.1%

 

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

      79,400        1,489,544  

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

      38,100        3,656,838  
     

 

 

  
        5,146,382  
     

 

 

  

Pharmaceuticals — 5.0%

 

Allergan PLC

      57,256        13,918,361  

Bristol-Myers Squibb Co.

      284,440        15,848,997  

Eli Lilly & Co.

      165,200        13,595,960  

Johnson & Johnson

      460,696        60,945,474  

Mallinckrodt PLC*

      17,200        770,732  

Merck & Co., Inc.

      466,803        29,917,404  

Mylan NV*

      78,900        3,062,898  

Perrigo Co. PLC(a)

      24,300        1,835,136  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A135

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Pharmaceuticals (continued)

 

Pfizer, Inc.

      1,011,223      $ 33,966,981  

Zoetis, Inc.

      83,900        5,233,682  
     

 

 

  
        179,095,625  
     

 

 

  

Professional Services — 0.3%

 

Equifax, Inc.

      20,500        2,817,110  

IHS Markit Ltd.*

      51,300        2,259,252  

Nielsen Holdings PLC(a)

      57,100        2,207,486  

Robert Half International, Inc.

      22,000        1,054,460  

Verisk Analytics, Inc.*

      26,300        2,218,931  
     

 

 

  
        10,557,239  
     

 

 

  

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc. (Class A Stock)*

      52,200        1,900,080  
     

 

 

  

Road & Rail — 0.9%

 

CSX Corp.

      157,672        8,602,584  

J.B. Hunt Transport Services, Inc.

      14,900        1,361,562  

Kansas City Southern

      18,500        1,936,025  

Norfolk Southern Corp.

      49,700        6,048,490  

Union Pacific Corp.

      138,500        15,084,035  
     

 

 

  
        33,032,696  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.3%

 

Advanced Micro Devices, Inc.*(a)

      126,100        1,573,728  

Analog Devices, Inc.

      62,223        4,840,949  

Applied Materials, Inc.

      183,900        7,596,909  

Broadcom Ltd.

      68,260        15,907,993  

Intel Corp.

      803,900        27,123,586  

KLA-Tencor Corp.

      26,900        2,461,619  

Lam Research Corp.

      27,850        3,938,825  

Microchip Technology, Inc.(a)

      37,800        2,917,404  

Micron Technology, Inc.*

      176,200        5,261,332  

NVIDIA Corp.

      99,450        14,376,492  

Qorvo, Inc.*

      21,886        1,385,822  

QUALCOMM, Inc.

      251,150        13,868,503  

Skyworks Solutions, Inc.

      31,800        3,051,210  

Texas Instruments, Inc.

      170,100        13,085,793  

Xilinx, Inc.

      42,300        2,720,736  
     

 

 

  
        120,110,901  
     

 

 

  

Software — 4.8%

      

Activision Blizzard, Inc.

      117,600        6,770,232  

Adobe Systems, Inc.*

      84,475        11,948,144  

ANSYS, Inc.*

      10,600        1,289,808  

Autodesk, Inc.*

      33,400        3,367,388  

CA, Inc.

      52,873        1,822,532  

Citrix Systems, Inc.*

      27,000        2,148,660  

Electronic Arts, Inc.*

      52,400        5,539,728  

Intuit, Inc.

      41,300        5,485,053  

Microsoft Corp.

      1,312,600        90,477,518  

Oracle Corp.

      509,595        25,551,093  

Red Hat, Inc.*

      30,600        2,929,950  

salesforce.com, Inc.*

      110,200        9,543,320  

Symantec Corp.

      105,511        2,980,686  

Synopsys, Inc.*

      25,600        1,867,008  
     

 

 

  
        171,721,120  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Specialty Retail — 2.2%

      

Advance Auto Parts, Inc.

      12,800      $ 1,492,352  

AutoNation, Inc.*(a)

      11,289        475,944  

AutoZone, Inc.*

      4,910        2,800,959  

Bed Bath & Beyond, Inc.(a)

      25,800        784,320  

Best Buy Co., Inc.(a)

      46,025        2,638,613  

CarMax, Inc.*(a)

      31,900        2,011,614  

Foot Locker, Inc.

      22,900        1,128,512  

Gap, Inc. (The)(a)

      37,187        817,742  

Home Depot, Inc. (The)

      205,969        31,595,645  

L Brands, Inc.(a)

      41,196        2,220,053  

Lowe’s Cos., Inc.

      147,525        11,437,613  

O’Reilly Automotive, Inc.*(a)

      15,600        3,412,344  

Ross Stores, Inc.

      67,100        3,873,683  

Signet Jewelers Ltd.(a)

      12,100        765,204  

Staples, Inc.

      108,700        1,094,609  

Tiffany & Co.

      18,500        1,736,595  

TJX Cos., Inc. (The)

      111,200        8,025,304  

Tractor Supply Co.

      22,700        1,230,567  

Ulta Beauty, Inc.*

      10,000        2,873,400  
     

 

 

  
        80,415,073  
     

 

 

  

Technology Hardware, Storage & Peripherals — 4.1%

 

Apple, Inc.

      889,455        128,099,309  

Hewlett Packard Enterprise Co.

      283,466        4,702,701  

HP, Inc.

      286,966        5,016,166  

NetApp, Inc.

      46,700        1,870,335  

Seagate Technology PLC(a)

      50,400        1,953,000  

Western Digital Corp.

      49,568        4,391,725  

Xerox Corp.

      36,002        1,034,337  
     

 

 

  
        147,067,573  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.7%

 

Coach, Inc.

      48,200        2,281,788  

Hanesbrands, Inc.(a)

      63,800        1,477,608  

Michael Kors Holdings Ltd.*

      27,700        1,004,125  

NIKE, Inc. (Class B Stock)

      225,400        13,298,600  

PVH Corp.

      13,900        1,591,550  

Ralph Lauren Corp.(a)

      9,800        723,240  

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

      31,200        678,912  

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

      30,603        616,957  

VF Corp.(a)

      56,444        3,251,174  
     

 

 

  
        24,923,954  
     

 

 

  

Tobacco — 1.8%

      

Altria Group, Inc.

      329,500        24,537,865  

Philip Morris International, Inc.

      263,300        30,924,585  

Reynolds American, Inc.

      140,484        9,137,079  
     

 

 

  
        64,599,529  
     

 

 

  

Trading Companies & Distributors — 0.1%

 

Fastenal Co.(a)

      49,600        2,159,088  

United Rentals, Inc.*

      14,500        1,634,295  

W.W. Grainger, Inc.(a)

      9,400        1,696,982  
     

 

 

  
        5,490,365  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A136

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Water Utilities — 0.1%

      

American Water Works Co., Inc.

      30,800      $ 2,400,860  
     

 

 

  

TOTAL COMMON STOCKS
(cost $1,179,109,622)

 

      3,529,191,240  
     

 

 

  
EXCHANGE TRADED FUND — 0.1%  

iShares Core S&P 500 ETF
(cost $3,339,972)

      14,000        3,407,740  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $1,182,449,594)

 

      3,532,598,980  
     

 

 

  
SHORT-TERM INVESTMENTS — 5.9%  

AFFILIATED MUTUAL FUNDS — 5.8%

 

   

Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)

      68,780,634        68,780,634  

Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund
(cost $139,351,441; includes $139,226,790 of cash collateral for securities on loan)(b)(w)

      139,349,015        139,362,950  
     

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $208,132,075)

 

      208,143,584  
     

 

 

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

U.S. Treasury Bill, 0.995%, 09/21/17
(cost $2,993,336)(k)(n)

      3,000      $ 2,993,511  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $211,125,411)

 

      211,137,095  
     

 

 

  

TOTAL INVESTMENTS — 103.8%
(cost $1,393,575,005)

 

    $ 3,743,736,075  

LIABILITIES IN EXCESS OF OTHER
ASSETS(z) — (3.8)%

 

      (137,650,932 ) 
     

 

 

  

NET ASSETS — 100.0%

 

    $ 3,606,085,143  
     

 

 

  

 

 

 

See the Glossary for abbreviations used in the semiannual report.

 

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

 

* Non-income producing security.

 

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $136,190,555; cash collateral of $139,226,790 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

 

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

 

(k) Represents security, or a portion thereof, segregated as collateral for futures contracts.

 

(n) Rate quoted represents yield to maturity as of purchase date.

 

(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund.

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

Futures contracts outstanding at June 30, 2017:

 

Number of
Contracts		   Type     Expiration
Date		     Value at
Trade Date		     Value at
June 30, 2017		     Unrealized
Appreciation
(Depreciation)		  
Long Positions:          
40     S&P 500 E-mini       Sep. 2017     $ 4,853,010     $ 4,841,800     $ (11,210 ) 
112     S&P 500 Index       Sep. 2017       67,962,321       67,785,200       (177,121 ) 
         

 

 

  
    $ (188,331 ) 
         

 

 

  

A security with a market value of $2,993,511 has been segregated with UBS to cover requirements for open future contracts at June 30, 2017.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A137

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Fair value measurements:

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

 

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

 

      

Level 1

       

Level 2

       

Level 3

  

Investments in Securities

               

Common Stocks

               

Aerospace & Defense

      $ 83,087,710        $   —        $   —  

Air Freight & Logistics

        25,471,984          —          —  

Airlines

        23,116,042          —          —  

Auto Components

        7,006,398          —          —  

Automobiles

        17,115,528          —          —  

Banks

        230,330,851          —          —  

Beverages

        73,558,184          —          —  

Biotechnology

        104,346,524          —          —  

Building Products

        12,066,377          —          —  

Capital Markets

        103,919,813          —          —  

Chemicals

        75,018,464          —          —  

Commercial Services & Supplies

        10,575,991          —          —  

Communications Equipment

        34,692,400          —          —  

Construction & Engineering

        3,084,241          —          —  

Construction Materials

        5,279,500          —          —  

Consumer Finance

        26,513,409          —          —  

Containers & Packaging

        11,771,706          —          —  

Distributors

        4,087,080          —          —  

Diversified Consumer Services

        1,109,669          —          —  

Diversified Financial Services

        56,064,482          —          —  

Diversified Telecommunication Services

        75,522,998          —          —  

Electric Utilities

        70,066,144          —          —  

Electrical Equipment

        20,020,396          —          —  

Electronic Equipment, Instruments & Components

        14,196,020          —          —  

Energy Equipment & Services

        31,661,661          —          —  

Equity Real Estate Investment Trusts (REITs)

        101,363,133          —          —  

Food & Staples Retailing

        66,915,266          —          —  

Food Products

        48,198,602          —          —  

Health Care Equipment & Supplies

        100,595,510          —          —  

Health Care Providers & Services

        100,260,413          —          —  

Health Care Technology

        3,350,088          —          —  

Hotels, Restaurants & Leisure

        62,357,281          —          —  

Household Durables

        16,805,154          —          —  

Household Products

        62,033,197            —            —  

Independent Power & Renewable Electricity Producers

        2,151,258          —          —  

Industrial Conglomerates

        82,320,962          —          —  

Insurance

        90,353,444          —          —  

Internet & Direct Marketing Retail

        95,582,471          —          —  

Internet Software & Services

        162,177,163          —          —  

IT Services

        136,067,784          —          —  

Leisure Products

        3,368,676          —          —  

Life Sciences Tools & Services

        25,611,837          —          —  

Machinery

        55,688,556          —          —  

Media

        107,749,290          —          —  

Metals & Mining

        8,785,190          —          —  

Multi-Utilities

        36,974,034          —          —  

Multiline Retail

        14,234,151          —          —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A138

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

      

Level 1

     

Level 2

       

Level 3

  

Investments in Securities (continued)

             

Common Stocks (continued)

             

Oil, Gas & Consumable Fuels

      $ 180,102,811      $   —        $   —  

Personal Products

        5,146,382        —          —  

Pharmaceuticals

        179,095,625        —          —  

Professional Services

        10,557,239        —          —  

Real Estate Management & Development

        1,900,080        —          —  

Road & Rail

        33,032,696        —          —  

Semiconductors & Semiconductor Equipment

        120,110,901        —          —  

Software

        171,721,120        —          —  

Specialty Retail

        80,415,073        —          —  

Technology Hardware, Storage & Peripherals

        147,067,573        —          —  

Textiles, Apparel & Luxury Goods

        24,923,954        —          —  

Tobacco

        64,599,529        —          —  

Trading Companies & Distributors

        5,490,365        —          —  

Water Utilities

        2,400,860        —          —  

Exchange Traded Fund

        3,407,740        —          —  

Affiliated Mutual Funds

        208,143,584        —          —  

U.S. Treasury Obligation

        —        2,993,511          —  

Other Financial Instruments*

 

Futures Contracts

        (188,331 )       —          —  
    

 

 

     

 

 

       

 

 

  

Total

      $ 3,740,554,233      $ 2,993,511        $ —  
    

 

 

     

 

 

       

 

 

  

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

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

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Banks

      6.4 % 

Affiliated Mutual Funds (including 3.9% of collateral for securities on loan)

      5.8  

Oil, Gas & Consumable Fuels

      5.0  

Pharmaceuticals

      5.0  

Software

      4.8  

Internet Software & Services

      4.5  

Technology Hardware, Storage & Peripherals

      4.1  

IT Services

      3.8  

Semiconductors & Semiconductor Equipment

      3.3  

Media

      3.0  

Biotechnology

      2.9  

Capital Markets

      2.9  

Equity Real Estate Investment Trusts (REITs)

      2.8  

Health Care Equipment & Supplies

      2.8  

Health Care Providers & Services

      2.8  

Internet & Direct Marketing Retail

      2.6  

Insurance

      2.5  

Aerospace & Defense

      2.3  

Industrial Conglomerates

      2.3  

Specialty Retail

      2.2  

Diversified Telecommunication Services

      2.1  

Chemicals

      2.1  

Beverages

      2.0  

Electric Utilities

      1.9  

Food & Staples Retailing

      1.9  

Tobacco

      1.8  

Hotels, Restaurants & Leisure

      1.7 % 

Household Products

      1.7  

Diversified Financial Services

      1.6  

Machinery

      1.5  

Food Products

      1.3  

Multi-Utilities

      1.0  

Communications Equipment

      1.0  

Road & Rail

      0.9  

Energy Equipment & Services

      0.9  

Consumer Finance

      0.7  

Life Sciences Tools & Services

      0.7  

Air Freight & Logistics

      0.7  

Textiles, Apparel & Luxury Goods

      0.7  

Airlines

      0.6  

Electrical Equipment

      0.6  

Automobiles

      0.5  

Household Durables

      0.5  

Multiline Retail

      0.4  

Electronic Equipment, Instruments & Components

      0.4  

Building Products

      0.3  

Containers & Packaging

      0.3  

Commercial Services & Supplies

      0.3  

Professional Services

      0.3  

Metals & Mining

      0.2  

Auto Components

      0.2  

Trading Companies & Distributors

      0.1  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A139

   STOCK INDEX PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2017 (unaudited)

 

Industry classification (cont.)

   

  

  

Construction Materials

      0.1 % 

Personal Products

      0.1  

Distributors

      0.1  

Exchange Traded Fund

      0.1  

Leisure Products

      0.1  

Health Care Technology

      0.1  

Construction & Engineering

      0.1  

U.S. Treasury Obligation

      0.1  

Water Utilities

      0.1  

Independent Power & Renewable Electricity Producers

      0.1 % 

Real Estate Management & Development

      0.1  

Diversified Consumer Services

      0.0 * 
  

 

 

  
     103.8  

Liabilities in excess of other assets

      (3.8 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

* Less than +/- 0.05%

 

 

 

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

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

 

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

   

Asset Derivatives

     

Liability Derivatives

  
  

Balance Sheet Location

    Fair Value     

Balance Sheet Location

    Fair Value  

Equity contracts

    —    $   —      Due from/to broker — variation margin futures    $ 188,331 * 
     

 

 

        

 

 

  

 

* Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

  

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

      Futures  

Equity contracts

      $ 6,303,819  
    

 

 

  

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

  

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

      Futures  

Equity contracts

      $ 607,219  
    

 

 

  

For the six months ended June 30, 2017, the Portfolio’s average value at trade date for futures long positions was $86,549,300.

Financial instruments/transactions — summary of offsetting and netting arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

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

Securities on Loan

      $ 136,190,555        $ (136,190,555 )     $   —  

 

(1) Amount represents market value.

 

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A140

   STOCK INDEX PORTFOLIO (continued)  

 

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

 

ASSETS   

Investments at value, including securities on loan of $136,190,555:

   

Unaffiliated investments (cost $1,185,442,930)

    $ 3,535,592,491  

Affiliated investments (cost $208,132,075)

      208,143,584  

Dividends and interest receivable

      3,522,207  

Receivable for Series shares sold

      162,650  

Due from broker—variation margin futures

      27,000  

Tax reclaim receivable

      494  

Prepaid expenses

      3,555  
  

 

 

  

Total Assets

      3,747,451,981  
  

 

 

  
LIABILITIES  

Payable to broker for collateral for securities on loan

      139,226,790  

Management fee payable

      891,198  

Payable to custodian

      531,555  

Payable for Series shares repurchased

      461,098  

Accrued expenses and other liabilities

      255,217  

Affiliated transfer agent fee payable

      980  
  

 

 

  

Total Liabilities

      141,366,838  
  

 

 

  
NET ASSETS    $ 3,606,085,143  
  

 

 

  

Net assets were comprised of:

 

Paid-in capital

    $ 1,255,108,876  

Retained earnings

      2,350,976,267  
  

 

 

  

Net assets, June 30, 2017

    $ 3,606,085,143  
  

 

 

  

Net asset value and redemption price per share
$3,606,085,143 / 67,559,023 outstanding shares of beneficial interest

    $ 53.38  
  

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income

    $ 34,260,093  

Affiliated dividend income

      395,838  

Income from securities lending, net (including affiliated income of $99,613)

      114,174  

Interest income

      15,711  
  

 

 

  

Total income

      34,785,816  
  

 

 

  
EXPENSES  

Management fee

      5,223,338  

Custodian and accounting fees

      161,000  

Shareholders’ reports

      52,000  

Trustees’ fees

      20,000  

Audit fee

      12,000  

Legal fees and expenses

      9,000  

Transfer agent’s fees and expenses (including affiliated expense of $2,900)

      6,000  

Miscellaneous

      32,905  
  

 

 

  

Total expenses

      5,516,243  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      29,269,573  
  

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS   

Net realized gain (loss) on:

 

Investment transactions (including affiliated of $8,968)

      15,151,976  

Futures transactions

      6,303,819  
  

 

 

  
     21,455,795  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $(18,031))

      251,575,435  

Futures

      607,219  
  

 

 

  
     252,182,654  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      273,638,449  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 302,908,022  
  

 

 

  
 

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended
June 30, 2017		     Year Ended
December 31, 2016		  
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

    $ 29,269,573     $ 57,570,334  

Net realized gain (loss) on investment transactions

      21,455,795       72,046,263  

Net change in unrealized appreciation (depreciation) on investments

      252,182,654       228,987,837  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      302,908,022       358,604,434  
  

 

 

    

 

 

  
DISTRIBUTIONS      (129,595,196 )      (210,338,581 ) 
  

 

 

    

 

 

  
SERIES SHARE TRANSACTIONS  

Series shares sold [2,097,507 and 2,976,732 shares, respectively]

      113,172,738       136,335,898  

Series shares issued in reinvestment of distributions [2,421,435 and 4,481,009 shares, respectively]

      129,595,196       210,338,581  

Series shares repurchased [2,147,739 and 4,217,650 shares, respectively]

      (115,120,891 )      (204,352,773 ) 
  

 

 

    

 

 

  

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

      127,647,043       142,321,706  
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       4,458,724  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      300,959,869       295,046,283  
NET ASSETS:     

Beginning of period

      3,305,125,274       3,010,078,991  
  

 

 

    

 

 

  

End of period

    $ 3,606,085,143     $ 3,305,125,274  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A141

   GLOSSARY  
SCHEDULE OF INVESTMENTS    as of June 30, 2017

 

The following abbreviations are used in the preceding Portfolios’ descriptions:

Currency

 

AUD   Australian Dollar
BRL   Brazilian Real
EUR   Euro
GBP   British Pound
HUF   Hungarian Forint
ILS   Israeli Shekel
JPY   Japanese Yen
MXN   Mexican Peso
NZD   New Zealand Dollar
PLN   Polish Zloty
ZAR   South African Rand

Index

 

CDX   Credit Derivative Index

Other

 

144A   Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS   Asset-Backed Security
Aces   Alternative Credit Enhancements Securities
ADR   American Depositary Receipt
BABs   Build America Bonds
bps   Basis Points
BROIS   Brazil Interbank Offered Rate
CDO   Collateralized Debt Obligation
CLO   Collateralized Loan Obligation
CVA   Certificate Van Aandelen (Bearer)
EAFE   Europe, Australasia and Far East
ETF   Exchange Traded Fund
EMTN   Euro Medium Term Note
EONIA   Euro Overnight Index Average
EURIBOR   Euro Interbank Offered Rate
EUROIS   Euro Overnight Index Swap
FHLMC   Federal Home Loan Mortgage Corp.
GMTN   Global Medium Term Note
GO   General Obligation
IO   Interest Only (Principal amount represents notional)
L1   Level 1
L2   Level 2
L3   Level 3
LIBOR   London Interbank Offered Rate
MSCI   Morgan Stanley Capital International
MTN   Medium Term Note
OIS   Overnight Index Swap
OTC   Over-the-counter
PIK   Payment-in-Kind
PO   Principal Only
PRFC   Preference Shares
REIT   Real Estate Investment Trust
REMICS   Real Estate Mortgage Investmemt Conduit Security
RSP   Non-Voting Shares
STRIPS   Separate Trading of Registered Interest and Principle of Securities
TBA   To Be Announced
TIPS   Treasury Inflation-Protected Securities
USAID   United States Agency for International Development
USOIS   United Stated Overnight Index Swap

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A142

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

 

        1.   General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the eight Portfolios listed below together with their investment objectives.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:     High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

 

        2.   Accounting Policies

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

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

Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

 

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Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

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

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing recent transaction prices for identical or comparable securities. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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

 

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

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of its net assets (the Government Money Market Portfolio may invest up to 5%) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

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

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

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

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

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

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios, as defined in the prospectus,

 

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entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

Cross Currency Exchange Contracts:    A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

 

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Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since future contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Short Sales:    Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on open short positions are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

Bank Loans:    Each Portfolio may invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.

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

Forward Rate Agreements:    Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. The Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements:    Certain Portfolios may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

 

B5

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.

Inflation Swaps:    Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

Credit Default Swaps (“CDS”):    CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency Swaps:    Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.

Total Return Swaps:    In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into

 

B6

total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2017, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights:    Certain Portfolios may hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights

 

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entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind:    Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions:    Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending:    The Portfolios may lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Dollar Rolls:    Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Concentration of Risk:    The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of the governmental supervision and regulation of foreign securities markets.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and

 

B8

accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Equity Real Estate Investment Trusts (REITs):    Certain Portfolios invest in Equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from Equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material these estimates are adjusted periodically when the actual source of distributions is disclosed by the Equity REITs.

Concentration of Risk for REITs:    Real estate securities are subject to the same risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of prepayments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. REITs may be more volatile and/or more illiquid than other types of equity securities. REITs (especially mortgage REITs) are subject to interest rate risks. REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each REIT in which it invests, in addition to the expenses of the Portfolio.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.

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

 

        3.   Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadvisers’ performance of such services. PGIM Investments has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”), Jennison Associates LLC (“Jennison”), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc.

 

B9

(“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PGIM Investments pays for the services of the Subadvisers, cost of compensation of officers, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to PGIM Investments is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.

 

Portfolio

    Management Fee    Effective
Management Fee		  

Conservative Balanced Portfolio

       0.55%      0.55 % 

Diversified Bond Portfolio

    0.40      0.40  

Equity Portfolio

    0.45      0.45  

Flexible Managed Portfolio

    0.60      0.60  

Global Portfolio

    0.75      0.73 * 

Government Income Portfolio

    0.40      0.40  

Government Money Market Portfolio

    0.30      0.30  

Stock Index Portfolio

    0.30% up to $4 billion
0.25% over $4 billion		      0.30  

 

  * Effective June 1, 2017, PGIM Investments has contractually agreed, through June 30, 2018, to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio. Prior to June 1, 2017, PGIM Investments had contractually agreed to waive a portion of its management fee equal to an annual rate of 0.022% of the average daily net assets of the Portfolio.

At June 30, 2017, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:

 

Portfolio

    Subadviser(s)

Conservative Balanced Portfolio

    PFI, QMA

Diversified Bond Portfolio

    PFI

Equity Portfolio

    Jennison

Flexible Income Portfolio

    PFI, QMA

Global Portfolio

    Brown, LSV, QMA, T. Rowe & William Blair

Government Income Portfolio

    PFI

Government Money Market Portfolio

    PFI

Stock Index Portfolio

    QMA

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PGIM Investments, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to PGIM Investments is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

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

Certain Portfolios have entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on

 

B10

investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was as follows:

 

Portfolio

    Amount  

Equity Portfolio

    $ 155,479  

Global Portfolio

      29,618  

 

        4.   Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

The Portfolios may invest their overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of the Prudential Investment Portfolios 2 (together with Prudential Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

For the reporting period ended June 30, 2017, PGIM, Inc. was compensated by PGIM Investments for managing the Portfolios’ securities lending cash collateral as subadviser to the Money Market Fund:

 

Portfolio

    Amount  

Conservative Balanced Portfolio

    $ 25,713  

Diversified Bond Portfolio

      6,859  

Equity Portfolio

      91,919  

Flexible Managed Portfolio

      30,712  

Global Portfolio

      23,177  

Government Income Portfolio

      2,228  

Stock Index Portfolio

      56,371  

In February 2016, Prudential, the parent company of the Investment Manager (PGIM Investments) self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to each of the Portfolios is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.

The SEC Staff and other regulators continue to review the matter.

Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2017 no such transactions were entered into by the Portfolios.

 

B11

The following Portfolios were reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.

 

Portfolio

    2016 Withholding Tax      2017 Withholding Tax  

Conservative Balanced Portfolio

    $ 24,389      $ 21,176  

Equity Portfolio

      —        343,486  

Flexible Managed Portfolio

      35,507        17,954  

Global Portfolio

      99,518        65,287  

 

        5.   Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as follows:

 

      Cost of Purchases      Proceeds from Sales  

Conservative Balanced Portfolio

    $ 1,411,699,667      $ 1,485,882,101  

Diversified Bond Portfolio

      189,587,846        237,879,243  

Equity Portfolio

      1,200,100,488        1,265,057,921  

Flexible Managed Portfolio

      3,238,043,061        3,374,865,523  

Global Portfolio

      191,411,532        217,237,125  

Government Income Portfolio

      707,461,238        713,740,781  

Stock Index Portfolio

      110,176,892        61,583,881  

Options written transactions, during the six months ended June 30, 2017, were as follows:

 

      Conservative Balanced Portfolio     Diversified Bond Portfolio  
      Notional Amount     Premium     Notional Amount     Premium  

Balance at beginning of period

      —     $ —       —     $ —  

Written options

      1,513,000       214,719       604,212,000       1,943,139  

Expired options

      (337,000 )      (48,306 )      (96,000 )      (114,804 ) 

Closed options

      (588,000 )      (121,604 )      (906,000 )      (10,316 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Balance at end of period

      588,000     $ 44,809       603,210,000     $ 1,818,019  
  

 

 

    

 

 

    

 

 

    

 

 

  
     Flexible Managed Portfolio     Government Income Portfolio  
     Notional Amount     Premium     Notional Amount     Premium  

Balance at beginning of period

      —     $ —       —     $ —  

Written options

      2,075,000       292,669       804,000       116,531  

Expired options

      (457,000 )      (65,513 )      (123,000 )      (18,983 ) 

Closed options

      (798,000 )      (164,668 )      (379,000 )      (74,534 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Balance at end of period

      820,000     $ 62,488       302,000     $ 23,014  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

        6.   Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

 

B12

        7.   Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.

The Portfolios did not utilize the SCA during the six months ended June 30, 2017.

 

        8.   Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2017, the Equity Portfolio has Class II shares outstanding.

Transactions in shares of beneficial interest were as follows:

Equity Portfolio:

 

Class I

    Shares     Amount  

Six months ended June 30, 2017:

     

Series shares sold

      85,297     $ 3,726,379  

Series shares repurchased

      (3,025,770 )      (133,037,674 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (2,940,473 )    $ (129,311,295 ) 
  

 

 

    

 

 

  

Year ended December 31, 2016:

     

Series shares sold

      239,387     $ 9,099,174  

Series shares repurchased

      (6,334,813 )      (242,961,824 ) 

Capital contributions

      —       3,314,283  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (6,095,426 )    $ (230,548,367 ) 
  

 

 

    

 

 

  

Class II

             

Six months ended June 30, 2017:

     

Series shares sold

      73     $ 3,349  

Series shares repurchased

      (494 )      (21,130 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (421 )    $ (17,781 ) 
  

 

 

    

 

 

  

Year ended December 31, 2016:

     

Series shares sold

      398     $ 13,474  

Series shares repurchased

      (8,058 )      (314,707 ) 

Capital contributions

      —       1,696  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (7,660 )    $ (299,537 ) 
  

 

 

    

 

 

  

 

        9.   Ownership & Affiliates

As of June 30, 2017, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

 

B13

        10.   Purchase In-Kind

As of the close of business on April 28, 2017, the Government Money Market Portfolio issued shares in exchange for portfolio securities, accrued interest and cash in a tax-free exchange with an affiliate. The value of the tax-free exchange was $23,004,509, which includes a cash portion of $9,096,772. Shares issued in this transaction were 2,300,450.

 

        11.   Recent Accounting Pronouncements and Reporting Updates

On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.

 

B14

Financial Highlights

(unaudited)

 

    Conservative Balanced Portfolio  
    Six Months Ended
June 30, 2017(a)		     Year Ended December 31,  
      2016(a)     2015(a)     2014(a)     2013(a)     2012  

Per Share Operating Performance:

            

Net Asset Value, beginning of period

   $ 24.18     $ 22.54     $ 22.45     $ 20.63     $ 17.77     $ 16.32  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

            

Net investment income (loss)

     .22       .42       .39       .36       .35       .38  

Net realized and unrealized gain (loss) on investments

     1.19       1.20       (.30 )      1.46       2.51       1.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     1.41       1.62       .09       1.82       2.86       1.81  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions:

     —       —       —       —       —       (.36 ) 

Capital Contributions(f)

     —       .02       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

   $ 25.59     $ 24.18     $ 22.54     $ 22.45     $ 20.63     $ 17.77  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(b)

     5.83 %      7.28 %(g)      .40 %      8.82 %      16.09 %      11.23 % 

Ratios/Supplemental Data:

            

Net assets, end of period (in millions)

   $ 2,523.8     $ 2,473.2     $ 2,554.3     $ 2,574.4     $ 2,504.4     $ 2,287.0  

Ratios to average net assets(c):

            

Expenses after waivers and/or expense reimbursement

     .58 %(i)      .58 %      .58 %      .58 %      .58 %      .58 % 

Expenses before waivers and/or expense reimbursement

     .58 %(i)      .58 %      .58 %      .58 %      .58 %      .58 % 

Net investment income (loss)

     1.74 %(i)      1.79 %      1.70 %      1.66 %      1.84 %      2.11 % 

Portfolio turnover rate(d)

     75 %(j)      185 %      208 %      134 %      196 %      188 % 
    Diversified Bond Portfolio  
    Six Months Ended
June 30, 2017(a)		     Year Ended December 31,  
      2016(a)     2015(a)     2014(a)     2013     2012(a)  

Per Share Operating Performance:

            

Net Asset Value, beginning of period

   $ 12.28     $ 11.64     $ 11.66     $ 11.01     $ 11.88     $ 11.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

            

Net investment income (loss)

     .21       .43       .41       .43       .48       .54  

Net realized and unrealized gain (loss) on investments

     .33       .21       (.43 )      .34       (.56 )      .66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     .54       .64       (.02 )      .77       (.08 )      1.20  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions:

     —       —       —       (.12 )      (.79 )      (1.06 ) 

Capital Contributions(f)

     —       — (e)      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

   $ 12.82     $ 12.28     $ 11.64     $ 11.66     $ 11.01     $ 11.88  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(b)

     4.40 %      5.50 %(h)      (.17 )%      7.09 %      (.71 )%      10.68 % 

Ratios/Supplemental Data:

            

Net assets, end of period (in millions)

   $ 1,135.0     $ 1,104.6     $ 1,084.9     $ 1,067.9     $ 1,197.5     $ 1,305.9  

Ratios to average net assets(c):

            

Expenses after waivers and/or expense reimbursement

     .44 %(i)      .44 %      .46 %      .44 %      .44 %      .44 % 

Expenses before waivers and/or expense reimbursement

     .44 %(i)      .44 %      .46 %      .44 %      .44 %      .44 % 

Net investment income (loss)

     3.30 %(i)      3.52 %      3.48 %      3.73 %      4.10 %      4.57 % 

Portfolio turnover rate

     31 %(j)      49 %      81 %      50 %      111 %      144 % 

 

(a) Calculated based on average shares outstanding during the period.

 

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(d) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover.

 

(e) Less than $.005 per share.

 

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%.

 

(h) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

 

(i) Annualized.

 

(j) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1

Financial Highlights

(unaudited)

 

    Equity Portfolio  
    Class I  
    Six Months Ended
June 30, 2017(c)		     Year Ended December 31,  
      2016(c)     2015(c)     2014(c)      2013     2012(c)  

Per Share Operating Performance:

             

Net Asset Value, beginning of period

   $ 40.96     $ 39.47     $ 38.56     $ 35.81      $ 26.81     $ 23.73  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Income (Loss) From Investment Operations:

             

Net investment income (loss)

     .19       .38       .34       .19        .27       .27  

Net realized and unrealized gain (loss) on investments

     4.49       1.07       .57       2.56        8.73       2.96  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from investment operations

     4.68       1.45       .91       2.75        9.00       3.23  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Less Distributions:

     —       —       —       —        —       (.15 ) 

Capital Contributions(d)

     —       .04       —       —        —       —  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net Asset Value, end of period

   $ 45.64     $ 40.96     $ 39.47     $ 38.56      $ 35.81     $ 26.81  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(a)

     11.43 %      3.78 %(e)      2.36 %      7.68 %       33.57 %      13.69 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

   $ 4,035.2     $ 3,741.7     $ 3,846.2     $ 4,017.6      $ 3,970.9     $ 3,167.0  

Ratios to average net assets(b):

             

Expenses after waivers and/or expense reimbursement

     .47 %(f)      .47 %      .47 %      .47 %       .47 %      .47 % 

Expenses before waivers and/or expense reimbursement

     .47 %(f)      .47 %      .47 %      .47 %       .47 %      .47 % 

Net investment income (loss)

     .89 %(f)      1.01 %      .86 %      .52 %       .86 %      1.04 % 

Portfolio turnover rate

     31 %(g)      39 %      37 %      51 %       45 %      48 % 
    Equity Portfolio  
    Class II  
    Six Months Ended
June 30, 2017(c)		     Year Ended December 31,  
      2016(c)     2015(c)     2014(c)      2013     2012(c)  

Per Share Operating Performance:

             

Net Asset Value, beginning of period

   $ 40.74     $ 39.42     $ 38.66     $ 36.05      $ 27.10     $ 23.99  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Income (Loss) From Investment Operations:

             

Net investment income (loss)

     .11       .23       .18       .04        .13       .17  

Net realized and unrealized gain (loss) on investments

     4.46       1.05       .58       2.57        8.82       3.00  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from investment operations

     4.57       1.28       .76       2.61        8.95       3.17  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Less Distributions:

     —       —       —       —        —       (.06 ) 

Capital Contributions(d)

     —       .04       —       —        —       —  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net Asset Value, end of period

   $ 45.31     $ 40.74     $ 39.42     $ 38.66      $ 36.05     $ 27.10  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(a)

     11.22 %      3.35 %(e)      1.97 %      7.24 %       33.03 %      13.23 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

   $ 1.9     $ 1.7     $ 2.0     $ 2.2      $ 2.3     $ 1.8  

Ratios to average net assets(b):

             

Expenses after waivers and/or expense reimbursement

     .87 %(f)      .87 %      .87 %      .87 %       .87 %      .87 % 

Expenses before waivers and/or expense reimbursement

     .87 %(f)      .87 %      .87 %      .87 %       .87 %      .87 % 

Net investment income (loss)

     .50 %(f)      .61 %      .46 %      .11 %       .47 %      .63 % 

Portfolio turnover rate

     31 %(g)      39 %      37 %      51 %       45 %      48 % 

 

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

 

(c) Calculated based on average shares outstanding during the period.

 

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(e) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 3.68% and 3.25%, respectively.

 

(f) Annualized.

 

(g) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2

Financial Highlights

(unaudited)

 

    Flexible Managed Portfolio  
    For Six Months Ended
June 30, 2017(a)		     Year Ended December 31,  
      2016(a)     2015(a)     2014(a)     2013(a)     2012  

Per Share Operating Performance:

            

Net Asset Value, beginning of period

   $ 25.99     $ 23.95     $ 23.71     $ 21.35     $ 17.77     $ 15.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

            

Net investment income (loss)

     .22       .44       .42       .37       .36       .37  

Net realized and unrealized gain (loss) on investments

     1.32       1.58       (.18 )      1.99       3.22       1.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     1.54       2.02       .24       2.36       3.58       2.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions:

     —       —       —       —       —       (.33 ) 

Capital Contributions(e)

     —       .02       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

   $ 27.53     $ 25.99     $ 23.95     $ 23.71     $ 21.35     $ 17.77  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(b)

     5.93 %      8.52 %(f)      1.01 %      11.05 %      20.15 %      13.37 % 

Ratios/Supplemental Data:

            

Net assets, end of period (in millions)

   $ 4,004.0     $ 3,889.8     $ 3,768.8     $ 3,943.8     $ 3,730.6     $ 3,265.8  

Ratios to average net assets(c):

            

Expenses after waivers and/or expense reimbursement

     .62 %(h)      .63 %      .63 %      .63 %      .63 %      .63 % 

Expenses before waivers and/or expense reimbursement

     .62 %(h)      .63 %      .63 %      .63 %      .63 %      .63 % 

Net investment income (loss)

     1.63 %(h)      1.78 %      1.74 %      1.66 %      1.86 %      2.05 % 

Portfolio turnover rate(d)

     99 %(i)      203 %      213 %      161 %      210 %      214 % 
    Global Portfolio  
    Six Months Ended
June 30, 2017(a)		     Year Ended December 31,  
      2016(a)     2015(a)     2014(a)     2013     2012  

Per Share Operating Performance:

            

Net Asset Value, beginning of period

   $ 27.50     $ 26.33     $ 25.72     $ 24.91     $ 19.57     $ 16.94  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

            

Net investment income (loss)

     .29       .34       .34       .37       .31       .36  

Net realized and unrealized gain (loss) on investments

     3.15       .81       .27       .44       5.03       2.57  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     3.44       1.15       .61       .81       5.34       2.93  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions:

     —       —       —       —       —       (.30 ) 

Capital Contributions(e)

     —       .02       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

   $ 30.94     $ 27.50     $ 26.33     $ 25.72     $ 24.91     $ 19.57  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(b)

     12.51 %      4.44 %(g)      2.37 %      3.25 %      27.29 %      17.52 % 

Ratios/Supplemental Data:

            

Net assets, end of period (in millions)

   $ 1,049.0     $ 955.4     $ 965.3     $ 719.2     $ 744.5     $ 611.2  

Ratios to average net assets(c):

            

Expenses after waivers and/or expense reimbursements

     .79 %(h)      .80 %      .81 %      .81 %      .84 %      .84 % 

Expenses before waivers and/or expense reimbursements

     .81 %(h)      .81 %      .82 %      .82 %      .84 %      .84 % 

Net investment income (loss)

     1.95 %(h)      1.29 %      1.28 %      1.45 %      1.29 %      1.82 % 

Portfolio turnover rate

     20 %(i)      40 %      33 %      37 %      70 %      57 % 

 

(a) Calculated based on average shares outstanding during the period.

 

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(d) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(f) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

 

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

 

(h) Annualized.

 

(i) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C3

Financial Highlights

(unaudited)

 

     Government Income Portfolio  
     Six Months Ended
June 30, 2017(d)		     Year Ended December 31,  
       2016(d)     2015(d)     2014     2013     2012  

Per Share Operating Performance:

             

Net Asset Value, beginning of period

    $ 12.26     $ 12.00     $ 11.92     $ 11.30     $ 12.15     $ 12.37  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

             

Net investment income (loss)

      .11       .20       .18       .21       .21       .25  

Net realized and unrealized gain (loss) on investments

      .15       .06       (.10 )      .45       (.49 )      .19  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      .26       .26       .08       .66       (.28 )      .44  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions:

      —       —       —       (.04 )      (.57 )      (.66 ) 

Capital Contributions(e)

      —       — (f)      —       —       —       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $ 12.52     $ 12.26     $ 12.00     $ 11.92     $ 11.30     $ 12.15  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(a)

      2.12 %      2.17 %(h)      .67 %      5.86 %      (2.34 )%      3.63 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

    $ 254.9     $ 226.3     $ 231.8     $ 339.2     $ 341.1     $ 382.9  

Ratios to average net assets(b):

             

Expenses after waivers and/or expense reimbursements

      .50 %(i)      .51 %      .48 %      .47 %      .49 %      .48 % 

Expenses before waivers and/or expense reimbursement

      .50 %(i)      .51 %      .48 %      .47 %      .49 %      .48 % 

Net investment income (loss)

      1.78 %(i)      1.60 %      1.48 %      1.73 %      1.78 %      1.96 % 

Portfolio turnover rate(c)

      294 %(j)      705 %      746 %      830 %      1135 %      1154 % 
     Government Money Market Portfolio  
     Six Months Ended
June 30, 2017(d)		     Year Ended December 31,  
       2016(d)     2015(d)     2014     2013     2012  

Per Share Operating Performance:

             

Net Asset Value, beginning of period

    $ 10.00     $ 10.00     $ 10.00     $ 10.00     $ 10.00     $ 10.00  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income From Investment Operations:

             

Net investment income (loss) and realized gains (losses)

      .02       .01       — (f)      — (f)      — (f)      — (f) 

Distributions

      (.02 )      (.01 )      — (f)      — (f)      — (f)      — (f) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $ 10.00     $ 10.00     $ 10.00     $ 10.00     $ 10.00     $ 10.00  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(a)

      .18 %      .10 %      — %(g)      — %(g)      — %(g)      .01 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

    $ 707.4     $ 724.2     $ 650.8     $ 823.6     $ 866.0     $ 903.5  

Ratios to average net assets:

             

Expenses after waivers and/or expense reimbursement

      .34 %(i)      .35 %      .19 %      .16 %      .17 %      .21 % 

Expenses before waivers and/or expense reimbursement

      .34 %(i)      .35 %      .44 %      .44 %      .44 %      .44 % 

Net investment income (loss)

      .37 %(i)      .09 %      .00 %      .00 %(g)      .00 %(g)      .01 % 

 

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(c) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

 

(d) Calculated based on average shares outstanding during the period.

 

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(f) Less than $.005 per share.

 

(g) Less than .005%.

 

(h) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

 

(i) Annualized.

 

(j) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C4

Financial Highlights

(unaudited)

 

    Stock Index Portfolio  
    Six Months Ended
June 30, 2017(c)		     Year Ended December 31,  
      2016(c)     2015(c)     2014(c)     2013(c)     2012  

Per Share Operating Performance:

            

Net Asset Value, beginning of period

   $ 50.70     $ 48.59     $ 49.33     $ 47.02     $ 35.65     $ 31.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

            

Net investment income (loss)

     .45       .89       .86       .79       .73       .68  

Net realized and unrealized gain (loss) on investments

     4.22       4.52       (.26 )      5.20       10.64       4.19  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     4.67       5.41       .60       5.99       11.37       4.87  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less Distributions:

     (1.99 )      (3.37 )      (1.34 )      (3.68 )      —       (.69 ) 

Capital Contributions(d)

     —       .07       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

   $ 53.38     $ 50.70     $ 48.59     $ 49.33     $ 47.02     $ 35.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(a)

     9.19 %      11.83 %(e)      1.18 %      13.31 %      31.89 %      15.68 % 

Ratios/Supplemental Data:

            

Net assets, end of period (in millions)

   $ 3,606.1     $ 3,305.1     $ 3,010.1     $ 3,312.7     $ 2,890.5     $ 2,340.3  

Ratios to average net assets(b):

            

Expenses after waivers and/or expense reimbursement

     .32 %(f)      .32 %      .32 %      .32 %      .32 %      .32 % 

Expenses before waivers and/or expense reimbursement

     .32 %(f)       .34 %      .37 %      .37 %      .37 %      .37 % 

Net investment income (loss)

     1.68 %(f)      1.84 %      1.74 %      1.67 %      1.77 %      1.97 % 

Portfolio turnover rate

     2 %(g)      5 %      9 %      5 %      3 %      2 % 

 

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(b) Does not include expenses of the underlying portfolios in which the Portfolio invests.

 

(c) Calculated based on average shares outstanding during the period.

 

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(e) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

 

(f) Annualized.

 

(g) Not annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C5

The Prudential Variable Contract Account — 10

Approval of Advisory Agreements

The VCA-10 Committee

The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of nine individuals, seven of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established four standing committees: the Audit Committee, the Nominating and Governance Committee, and two Investment Committees. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with PGIM Investments LLC (“PGIM Investments”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 6-8, 2017 and approved the renewal of the agreements through July 31, 2018, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PGIM Investments and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PGIM Investments and the subadviser, the performance of VCA-10, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PGIM Investments throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 6-8, 2017.

The Committee determined that the overall arrangements between VCA-10 and PGIM Investments, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PGIM Investments and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PGIM Investments and Jennison. The Committee considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PGIM Investments’ oversight of the subadviser, the Committee noted that PGIM Investments’ Strategic Investment Research Group (“SIRG”), which is a business unit of PGIM Investments, is responsible for monitoring and reporting to PGIM Investments’ senior management on the performance and operations of the subadviser. The Committee also considered that PGIM Investments pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee considered the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of VCA-10 and Jennison, and also considered the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PGIM Investments’ and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PGIM Investments and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PGIM Investments and Jennison. The Committee noted that Jennison is affiliated with PGIM Investments.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PGIM Investments and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Committee was provided with information on the profitability of PGIM Investments and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PGIM Investments, as its profitability was reflected in the profitability report for PGIM Investments.

Economies of Scale

The Committee received and discussed information concerning economies of scale that PGIM Investments may realize as VCA-10’s assets grow beyond current levels. The Committee considered information provided by PGIM Investments regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PGIM Investments’ investment in VCA-10 over time. The Committee noted that economies of scale, if any, may be shared with VCA-10 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PGIM Investments’ assertion that it continually evaluates the management fee schedule of VCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PGIM Investments and Jennison

The Committee considered potential ancillary benefits that might be received by PGIM Investments and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PGIM Investments included benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PGIM Investments and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-10 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2016. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2016. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PGIM Investments to other funds and the fee charged

by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.

The mutual funds included in the Peer Universe (the Lipper VA Large-Cap Core Funds Performance Universe)1, which was used to consider performance, and the Peer Group, which was used to consider fees and expenses, were objectively determined by Broadridge, an independent provider of mutual fund data. To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Committee, PGIM Investments may have provided supplemental data compiled by Broadridge for the Committee’s consideration. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

 

Performance

   

1 Year

    3 Years    5 Years    10 Years
   4th Quartile    4th Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 4th Quartile

 

  •   The Committee noted that VCA-10 underperformed its benchmark index over all periods.

 

  •   The Committee noted PGIM Investments’ explanation that the underperformance was primarily attributable to VCA-10’s value investment style, which had not been in favor in the market during the past several years.

 

  •   In this regard, the Committee noted PGIM Investments’ assertion that value investing had gained favor in the market during the second half of 2016 and continuing into 2017, and considered information provided by PGIM Investments indicating that VCA -10 outperformed its benchmark index and ranked in the first quartile of its Peer Universe for the second half of 2016. The Board also considered that the Fund had continued to outperform its benchmark and ranked in the second quartile of its Peer Universe during first quarter of 2017.

 

  •   The Board also considered that VCA-10’s portfolio manager had changed in September 2014, and prior performance was not attributable to the current portfolio manager.

 

  •   The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its investors to renew the agreements.

 

  •   The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

***

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.

 

 

1  Although VCA-10 is classified in the Lipper VA Multi-Cap Core Funds Performance Universe, the Lipper VA Large-Cap Core Funds Performance Universe was utilized because PGIM Investments believes that the funds included in this Universe are more consistent with VCA-10’s investment approach, and therefore, provide a more appropriate basis for VCA-10 performance comparisons.

The Prudential Series Fund

Approval of Advisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel such as portfolio managers.

The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., PGIM Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM Fixed Income, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced.

Other Benefits to PGIM Investments and the Subadvisers

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

 

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2016, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2016. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.

The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.

 

Conservative Balanced Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 1st Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Diversified Bond Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   1st Quartile    2nd Quartile    2nd Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Equity Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   4th Quartile    4th Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

  •   The Board noted that the Portfolio underperformed its benchmark index over all periods.

 

  •   The Board considered that the Portfolio’s portfolio manager team responsible for the management of the value segment of the Portfolio had changed during 2014, and that as a result, performance prior to that time was not attributable to the entire current portfolio manager team.

 

  •   The Board considered information provided by PGIM Investments, which indicated that the performance of the value component had improved beginning in the second half of 2016, with the improved performance continuing through the first quarter of 2017.

 

  •   The Board considered information provided by PGIM Investments indicating that much of the Portfolio’s recent underperformance was attributable to the Portfolio’s growth component, rather than the value component.

 

  •   In this regard, the Board considered that the underperformance of the Portfolio’s growth component was recent, and that the strong performance of that component in 2015 had resulted in the Portfolio outperforming its benchmark index and ranking in the first quartile of its Peer Universe for the 2015 calendar year.

 

  •   The Board considered that the Portfolio’s performance had shown recent improvement, with the Portfolio outperforming its benchmark index and Peer Universe median for the one-year period ending March 31, 2017.

 

  •   The Board also noted that it would continue to closely monitor the Portfolio’s performance.

 

  •   The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Flexible Managed Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   2nd Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 2nd Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Global Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   4th Quartile    2nd Quartile    1st Quartile    2nd Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 2nd Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over the five- and ten-year periods, though it underperformed its benchmark index over the one- and three-year period.

 

  •   The Board noted that PGIM Investments had contractually agreed to waive 0.022% of its management fee through June 30, 2018.

 

  •   The Board accepted PGIM Investments’ recommendation to contractually waive an additional 0.002% of its management fee through June 30, 2018.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Government Income Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Government Money Market Portfolio (formerly, Money Market Portfolio)

Performance

   

1 Year

    3 Years    5 Years    10 Years
   2nd Quartile    3rd Quartile    3rd Quartile    2nd Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 1st Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

  •   The Board noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Stock Index Portfolio

Performance

   

1 Year

    3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

 

  •   The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

  •   The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.

This report does not include separate account financials for the VCA-11 and VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

A description of VCA-10’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (800) 458-6333 to obtain a description of VCA-10’s proxy voting policies and procedures. Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on VCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling (800) 458-6333.

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Newark, NJ 07102-3714

 

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©2017 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

MD.RS.011

Item 2 –   Code of Ethics – Not required, as this is not an annual filing.
Item 3 –   Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 –   Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 –   Audit Committee of Listed Registrants – Not applicable.
Item 6 –   Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 –   Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 –   Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 –   Controls and Procedures
  (a)   It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
  (b)   There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Exhibits
  (a)   (1)    Code of Ethics – Not required, as this is not an annual filing.
    (2)    Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
    (3)    Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
  (b)   Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:         The Prudential Variable Contract Account-10

 

By:   /s/ Deborah A. Docs
  Deborah A. Docs
  Secretary
Date:       August 24, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ Stuart S. Parker
  Stuart S. Parker
  President and Principal Executive Officer
Date:       August 24, 2017
By:   /s/ M. Sadiq Peshimam
  M. Sadiq Peshimam
  Treasurer and Principal Financial and Accounting Officer
Date:   August 24, 2017