The Prudential Variable Contract Account-10
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.
20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
|
|
|
| Investment Company Act file number: |
|
811-03421 |
|
|
| Exact name of registrant as specified in charter: |
|
The Prudential Variable Contract Account - 10 |
|
|
| Address of principal executive offices: |
|
655 Broad Street, 17th Floor
Newark, New Jersey 07102 |
|
|
| Name and address of agent for service: |
|
Andrew R. French 655 Broad Street, 17th Floor Newark, New Jersey 07102 |
|
|
| Registrant’s telephone number, including area code: |
|
800-225-1852 |
|
|
| Date of fiscal year end: |
|
12/31/2020 |
|
|
| Date of reporting period: |
|
6/30/2020 |
Item 1 – Reports to Stockholders
The MEDLEY Program
|
|
|
| SEMIANNUAL REPORT |
|
June 30, 2020 |
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 and each is solely responsible for its financial condition and contractual obligations.
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, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report may include prospectus supplements that are separate from and not a part of this report.
The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being
allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.
(800) 458-6333
Investors should consider the contract and the
underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read
the prospectuses carefully before investing.
This report includes the financial statements of VCA-10, and the portfolios
of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.
This report does not include separate account financials for the VCA-11 and VCA-24
Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.
Annuity contracts
contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying
ability of the issuing company.
Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on
VCA-10’s website.
The MEDLEY Program Statement of Additional Information contains additional information
about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.
VCA-10 will file with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on
Form N-PORT. Form N-PORT will be available on the Commission’s website at www.sec.gov or call
(800) 732-0330. MEDLEY participants may obtain copies of Form N-PORT filings by calling (800) 458-6333.
|
|
|
|
|
| The Prudential MEDLEY Program
Table of Contents |
|
Semiannual Report |
|
June 30, 2020 |
| |
∎ |
|
PRESENTATION OF PORTFOLIO HOLDINGS |
Financial Statements
| |
∎ |
|
VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS |
|
|
|
| Glossary |
|
A1 |
| Conservative Balanced Portfolio |
|
A2 |
| Diversified Bond Portfolio |
|
A38 |
| Equity Portfolio |
|
A68 |
| Flexible Managed Portfolio |
|
A73 |
| Global Portfolio |
|
A107 |
| Government Income Portfolio |
|
A116 |
| Government Money Market Portfolio |
|
A126 |
| Stock Index Portfolio |
|
A130 |
| |
∎ |
|
APPROVAL OF ADVISORY AGREEMENTS |
|
|
|
| The Prudential MEDLEY Program
Letter to Participants |
|
June 30, 2020 |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and
ready to serve and support you. This 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 145 years. You can count on our history of financial stability. We are diversified for endurance.
Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio
that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has
been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust
and appreciate the opportunity to help you achieve financial security.
Sincerely,
|
|
|
|
|
|
| Stuart Parker President,
The Prudential Variable Contract Account 10 |
|
Timothy S. Cronin President,
The Prudential Series Fund |
|
|
|
| The Prudential Variable Contract Account-10 (VCA-10)
Presentation of Portfolio Holdings — unaudited |
|
June 30, 2020 |
|
|
|
|
|
|
|
| VCA-10 |
|
| Ten Largest Holdings |
|
Line of Business |
|
|
(% of Net Assets |
) |
| Microsoft Corp. |
|
Software |
|
|
3.9% |
|
| Apple, Inc. |
|
Technology Hardware, Storage & Peripherals |
|
|
3.8% |
|
| Alphabet, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
3.1% |
|
| AstraZeneca PLC, ADR |
|
Pharmaceuticals |
|
|
2.9% |
|
| Amazon.com, Inc. |
|
Internet & Direct Marketing Retail |
|
|
2.7% |
|
| JPMorgan Chase & Co. |
|
Banks |
|
|
2.4% |
|
| Tesla, Inc. |
|
Automobiles |
|
|
2.1% |
|
| Adobe, Inc. |
|
Software |
|
|
1.9% |
|
| Facebook, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
1.8% |
|
| Linde PLC |
|
Chemicals |
|
|
1.7% |
|
For a complete listing of holdings, refer to the Statement of
Net Assets section of this report. Holdings reflect only long-term investments.
FINANCIAL STATEMENTS OF VCA-10
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF NET ASSETS (Unaudited) |
|
|
June 30, 2020
|
|
|
|
|
|
|
|
|
| LONG-TERM INVESTMENTS — 98.5% |
|
| COMMON STOCKS |
|
Shares |
|
|
Value |
|
| Aerospace & Defense — 1.8% |
|
|
|
|
|
|
|
|
| Northrop Grumman Corp. |
|
|
4,025 |
|
|
$ |
1,237,446 |
|
| Raytheon Technologies Corp. |
|
|
20,589 |
|
|
|
1,268,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,506,140 |
|
|
|
|
|
|
|
|
|
|
| Automobiles — 2.9% |
|
|
|
|
|
|
|
|
| General Motors Co. |
|
|
45,938 |
|
|
|
1,162,232 |
|
| Tesla, Inc.* |
|
|
2,747 |
|
|
|
2,966,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,128,470 |
|
|
|
|
|
|
|
|
|
|
| Banks — 7.4% |
|
|
|
|
|
|
|
|
| Bank of America Corp. |
|
|
72,981 |
|
|
|
1,733,299 |
|
| Citigroup, Inc. |
|
|
40,015 |
|
|
|
2,044,766 |
|
| JPMorgan Chase & Co. |
|
|
36,880 |
|
|
|
3,468,933 |
|
| PNC Financial Services Group, Inc. (The) |
|
|
12,865 |
|
|
|
1,353,527 |
|
| Truist Financial Corp. |
|
|
41,933 |
|
|
|
1,574,584 |
|
| Wells Fargo & Co. |
|
|
15,080 |
|
|
|
386,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,561,157 |
|
|
|
|
|
|
|
|
|
|
| Beverages — 1.1% |
|
|
|
|
|
|
|
|
| PepsiCo, Inc. |
|
|
11,827 |
|
|
|
1,564,239 |
|
|
|
|
|
|
|
|
|
|
| Biotechnology — 0.9% |
|
|
|
|
|
|
|
|
| AbbVie, Inc. |
|
|
12,700 |
|
|
|
1,246,886 |
|
|
|
|
|
|
|
|
|
|
| Building Products — 1.2% |
|
|
|
|
|
|
|
|
| Johnson Controls International PLC |
|
|
48,936 |
|
|
|
1,670,675 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 1.3% |
|
|
|
|
|
|
|
|
| Goldman Sachs Group, Inc. (The) |
|
|
9,539 |
|
|
|
1,885,097 |
|
|
|
|
|
|
|
|
|
|
| Chemicals — 3.9% |
|
|
|
|
|
|
|
|
| Dow, Inc. |
|
|
35,211 |
|
|
|
1,435,200 |
|
| FMC Corp. |
|
|
16,356 |
|
|
|
1,629,385 |
|
| Linde PLC (United Kingdom) |
|
|
11,661 |
|
|
|
2,473,415 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,538,000 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment — 0.7% |
|
| Cisco Systems, Inc. |
|
|
20,985 |
|
|
|
978,740 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance — 1.4% |
|
|
|
|
|
|
|
|
| Capital One Financial Corp. |
|
|
17,762 |
|
|
|
1,111,724 |
|
| SLM Corp. |
|
|
120,914 |
|
|
|
850,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,961,749 |
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging — 0.7% |
|
|
|
|
|
|
|
|
| Crown Holdings, Inc.* |
|
|
14,486 |
|
|
|
943,473 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services — 2.4% |
|
| AT&T, Inc. |
|
|
44,791 |
|
|
|
1,354,032 |
|
| Verizon Communications, Inc. |
|
|
38,458 |
|
|
|
2,120,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,474,222 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 1.2% |
|
|
|
|
|
|
|
|
| American Electric Power Co., Inc. |
|
|
21,379 |
|
|
|
1,702,624 |
|
|
|
|
|
|
|
|
|
|
| Electrical Equipment — 0.8% |
|
|
|
|
|
|
|
|
| Emerson Electric Co. |
|
|
18,627 |
|
|
|
1,155,433 |
|
|
|
|
|
|
|
|
|
|
| Entertainment — 2.7% |
|
|
|
|
|
|
|
|
| Netflix, Inc.* |
|
|
5,314 |
|
|
|
2,418,083 |
|
| Walt Disney Co. (The) |
|
|
12,881 |
|
|
|
1,436,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,854,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS
(continued) |
|
Shares |
|
|
Value |
|
| Equity Real Estate Investment Trusts (REITs) — 2.1% |
|
| Alexandria Real Estate Equities, Inc. |
|
|
4,775 |
|
|
$ |
774,744 |
|
| American Campus Communities, Inc. |
|
|
25,241 |
|
|
|
882,425 |
|
| American Tower Corp. |
|
|
5,013 |
|
|
|
1,296,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,953,230 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing — 1.5% |
|
|
|
|
|
|
|
|
| Walmart, Inc. |
|
|
17,896 |
|
|
|
2,143,583 |
|
|
|
|
|
|
|
|
|
|
| Food Products — 1.1% |
|
|
|
|
|
|
|
|
| Mondelez International, Inc. (Class A Stock) |
|
|
31,299 |
|
|
|
1,600,318 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 1.0% |
|
| Zimmer Biomet Holdings, Inc. |
|
|
11,438 |
|
|
|
1,365,240 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 2.0% |
|
| Cigna Corp. |
|
|
7,033 |
|
|
|
1,319,742 |
|
| Laboratory Corp. of America Holdings* |
|
|
9,478 |
|
|
|
1,574,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,894,133 |
|
|
|
|
|
|
|
|
|
|
| Health Care Technology — 0.8% |
|
|
|
|
|
|
|
|
| Teladoc Health, Inc.* |
|
|
5,726 |
|
|
|
1,092,750 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.8% |
|
| McDonald’s Corp. |
|
|
6,244 |
|
|
|
1,151,831 |
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.9% |
|
|
|
|
|
|
|
|
| DR Horton, Inc. |
|
|
23,837 |
|
|
|
1,321,762 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 1.8% |
|
|
|
|
|
|
|
|
| Procter & Gamble Co. (The) |
|
|
12,011 |
|
|
|
1,436,155 |
|
| Reckitt Benckiser Group PLC (United Kingdom) |
|
|
11,951 |
|
|
|
1,097,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,533,613 |
|
|
|
|
|
|
|
|
|
|
| Insurance — 3.6% |
|
|
|
|
|
|
|
|
| Chubb Ltd. (Switzerland) |
|
|
16,238 |
|
|
|
2,056,055 |
|
| Marsh & McLennan Cos., Inc. |
|
|
9,016 |
|
|
|
968,048 |
|
| MetLife, Inc. |
|
|
38,486 |
|
|
|
1,405,509 |
|
| RenaissanceRe Holdings. Ltd. (Bermuda) |
|
|
4,174 |
|
|
|
713,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,143,491 |
|
|
|
|
|
|
|
|
|
|
| Interactive Media & Services — 6.3% |
|
|
|
|
|
|
|
|
| Alphabet, Inc. (Class A Stock)* |
|
|
3,122 |
|
|
|
4,427,152 |
|
| Facebook, Inc. (Class A Stock)* |
|
|
11,026 |
|
|
|
2,503,674 |
|
| Tencent Holdings Ltd. (China), ADR |
|
|
31,476 |
|
|
|
2,014,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,945,290 |
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail — 3.4% |
|
| Alibaba Group Holding Ltd. (China), ADR* |
|
|
4,324 |
|
|
|
932,687 |
|
| Amazon.com, Inc.* |
|
|
1,388 |
|
|
|
3,829,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,761,929 |
|
|
|
|
|
|
|
|
|
|
| IT Services — 6.0% |
|
|
|
|
|
|
|
|
| Adyen NV (Netherlands), 144A* |
|
|
1,531 |
|
|
|
2,229,969 |
|
| Mastercard, Inc. (Class A Stock) |
|
|
6,269 |
|
|
|
1,853,743 |
|
| PayPal Holdings, Inc.* |
|
|
13,033 |
|
|
|
2,270,740 |
|
| Shopify, Inc. (Canada) (Class A Stock)* |
|
|
2,345 |
|
|
|
2,225,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,580,326 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF NET ASSETS (Unaudited) |
|
|
June 30, 2020
|
|
|
|
|
|
|
|
|
COMMON STOCKS
(continued) |
|
Shares |
|
|
Value |
|
| Machinery — 0.8% |
|
|
|
|
|
|
|
|
| Otis Worldwide Corp. |
|
|
20,254 |
|
|
$ |
1,151,642 |
|
|
|
|
|
|
|
|
|
|
| Media — 0.7% |
|
|
|
|
|
|
|
|
| Comcast Corp. (Class A Stock) |
|
|
23,986 |
|
|
|
934,974 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 2.3% |
|
|
|
|
|
|
|
|
| Ameren Corp. |
|
|
21,890 |
|
|
|
1,540,180 |
|
| Dominion Energy, Inc. |
|
|
21,678 |
|
|
|
1,759,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,300,000 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 3.7% |
|
| Chevron Corp. |
|
|
26,808 |
|
|
|
2,392,078 |
|
| ConocoPhillips |
|
|
26,428 |
|
|
|
1,110,504 |
|
| Suncor Energy, Inc. (Canada) |
|
|
46,995 |
|
|
|
792,336 |
|
| Williams Cos., Inc. (The) |
|
|
51,288 |
|
|
|
975,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,270,416 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 5.2% |
|
|
|
|
|
|
|
|
| AstraZeneca PLC (United Kingdom), ADR |
|
|
76,532 |
|
|
|
4,047,778 |
|
| Bristol-Myers Squibb Co. |
|
|
27,710 |
|
|
|
1,629,348 |
|
| Eli Lilly & Co. |
|
|
10,558 |
|
|
|
1,733,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,410,538 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail — 2.5% |
|
|
|
|
|
|
|
|
| Uber Technologies* |
|
|
42,940 |
|
|
|
1,334,575 |
|
| Union Pacific Corp. |
|
|
13,044 |
|
|
|
2,205,349 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,539,924 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 4.8% |
|
| Broadcom, Inc. |
|
|
5,528 |
|
|
|
1,744,692 |
|
| NVIDIA Corp. |
|
|
6,154 |
|
|
|
2,337,966 |
|
| QUALCOMM, Inc. |
|
|
14,018 |
|
|
|
1,278,582 |
|
| Texas Instruments, Inc. |
|
|
11,361 |
|
|
|
1,442,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,803,746 |
|
|
|
|
|
|
|
|
|
|
| Software — 7.9% |
|
|
|
|
|
|
|
|
| Adobe, Inc.* |
|
|
6,165 |
|
|
|
2,683,686 |
|
| Microsoft Corp. |
|
|
27,263 |
|
|
|
5,548,293 |
|
| salesforce.com, Inc.* |
|
|
9,952 |
|
|
|
1,864,308 |
|
| SAP SE (Germany), ADR |
|
|
8,230 |
|
|
|
1,152,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,248,487 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 2.5% |
|
|
|
|
|
|
|
|
| Advance Auto Parts, Inc. |
|
|
5,581 |
|
|
|
795,013 |
|
| Lowe’s Cos., Inc. |
|
|
12,963 |
|
|
|
1,751,561 |
|
| Ross Stores, Inc. |
|
|
12,184 |
|
|
|
1,038,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,585,138 |
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals — 3.8% |
|
| Apple, Inc. |
|
|
14,804 |
|
|
|
5,400,499 |
|
|
|
|
|
|
|
|
|
|
| Textiles,Apparel & Luxury Goods — 1.7% |
|
| Lululemon Athletica, Inc. (Canada)* |
|
|
7,520 |
|
|
|
2,346,315 |
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 0.9% |
|
| United Rentals, Inc.* |
|
|
8,903 |
|
|
|
1,326,903 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $96,060,958) |
|
|
|
|
|
|
139,977,426 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| SHORT-TERM INVESTMENT — 1.3% |
|
| AFFILIATED MUTUAL FUND |
|
| PGIM Core Ultra Short Bond Fund
(cost $1,836,179)(a) |
|
|
1,836,179 |
|
|
$ |
1,836,179 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS — 99.8%
(cost $97,897,137) |
|
|
|
141,813,605 |
|
|
|
|
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% |
|
| Receivable for Securities Sold |
|
|
|
829,914 |
|
| Dividends and Interests Receivable |
|
|
|
61,724 |
|
| Tax Reclaim Receivable |
|
|
|
9,611 |
|
| Payable for Pending Capital Transactions |
|
|
|
(4,836 |
) |
| Payable for Securities Purchased |
|
|
|
(669,943 |
) |
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES |
|
|
|
226,470 |
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
142,040,075 |
|
|
|
|
|
|
|
| NET ASSETS, representing: |
|
|
|
|
|
| Equity of Participants |
|
|
$ |
142,040,091 |
|
| Equity of The Prudential Insurance Company of America |
|
|
|
(16 |
) |
|
|
|
|
|
|
|
|
|
$ |
142,040,075 |
|
|
|
|
|
|
|
|
|
|
The following abbreviations are used in the semiannual report:
|
|
|
| 144A |
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. |
| ADR |
|
American Depositary Receipt |
| * |
Non-income producing security. |
| (a) |
PGIM Investments LLC, the manager of the Account, also serves as manager of the PGIM Core Ultra Short Bond Fund.
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF NET ASSETS (Unaudited) |
|
|
June 30, 2020
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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments In Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense |
|
$ |
2,506,140 |
|
|
$ |
— |
|
|
$ |
— |
|
| Automobiles |
|
|
4,128,470 |
|
|
|
— |
|
|
|
— |
|
| Banks |
|
|
10,561,157 |
|
|
|
— |
|
|
|
— |
|
| Beverages |
|
|
1,564,239 |
|
|
|
— |
|
|
|
— |
|
| Biotechnology |
|
|
1,246,886 |
|
|
|
— |
|
|
|
— |
|
| Building Products |
|
|
1,670,675 |
|
|
|
— |
|
|
|
— |
|
| Capital Markets |
|
|
1,885,097 |
|
|
|
— |
|
|
|
— |
|
| Chemicals |
|
|
5,538,000 |
|
|
|
— |
|
|
|
— |
|
| Communications Equipment |
|
|
978,740 |
|
|
|
— |
|
|
|
— |
|
| Consumer Finance |
|
|
1,961,749 |
|
|
|
— |
|
|
|
— |
|
| Containers & Packaging |
|
|
943,473 |
|
|
|
— |
|
|
|
— |
|
| Diversified Telecommunication Services |
|
|
3,474,222 |
|
|
|
— |
|
|
|
— |
|
| Electric Utilities |
|
|
1,702,624 |
|
|
|
— |
|
|
|
— |
|
| Electrical Equipment |
|
|
1,155,433 |
|
|
|
— |
|
|
|
— |
|
| Entertainment |
|
|
3,854,443 |
|
|
|
— |
|
|
|
— |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
2,953,230 |
|
|
|
— |
|
|
|
— |
|
| Food & Staples Retailing |
|
|
2,143,583 |
|
|
|
— |
|
|
|
— |
|
| Food Products |
|
|
1,600,318 |
|
|
|
— |
|
|
|
— |
|
| Health Care Equipment & Supplies |
|
|
1,365,240 |
|
|
|
— |
|
|
|
— |
|
| Health Care Providers & Services |
|
|
2,894,133 |
|
|
|
— |
|
|
|
— |
|
| Health Care Technology |
|
|
1,092,750 |
|
|
|
— |
|
|
|
— |
|
| Hotels, Restaurants & Leisure |
|
|
1,151,831 |
|
|
|
— |
|
|
|
— |
|
| Household Durables |
|
|
1,321,762 |
|
|
|
— |
|
|
|
— |
|
| Household Products |
|
|
2,533,613 |
|
|
|
— |
|
|
|
— |
|
| Insurance |
|
|
5,143,491 |
|
|
|
— |
|
|
|
— |
|
| Interactive Media & Services |
|
|
8,945,290 |
|
|
|
— |
|
|
|
— |
|
| Internet & Direct Marketing Retail |
|
|
4,761,929 |
|
|
|
— |
|
|
|
— |
|
| IT Services |
|
|
6,350,357 |
|
|
|
2,229,969 |
|
|
|
— |
|
| Machinery |
|
|
1,151,642 |
|
|
|
— |
|
|
|
— |
|
| Media |
|
|
934,974 |
|
|
|
— |
|
|
|
— |
|
| Multi-Utilities |
|
|
3,300,000 |
|
|
|
— |
|
|
|
— |
|
| Oil, Gas & Consumable Fuels |
|
|
5,270,416 |
|
|
|
— |
|
|
|
— |
|
| Pharmaceuticals |
|
|
7,410,538 |
|
|
|
— |
|
|
|
— |
|
| Road & Rail |
|
|
3,539,924 |
|
|
|
— |
|
|
|
— |
|
| Semiconductors & Semiconductor Equipment |
|
|
6,803,746 |
|
|
|
— |
|
|
|
— |
|
| Software |
|
|
11,248,487 |
|
|
|
— |
|
|
|
— |
|
| Specialty Retail |
|
|
3,585,138 |
|
|
|
— |
|
|
|
— |
|
| Technology Hardware, Storage & Peripherals |
|
|
5,400,499 |
|
|
|
— |
|
|
|
— |
|
| Textiles, Apparel & Luxury Goods |
|
|
2,346,315 |
|
|
|
— |
|
|
|
— |
|
| Trading Companies & Distributors |
|
|
1,326,903 |
|
|
|
— |
|
|
|
— |
|
| Affiliated Mutual Fund |
|
|
1,836,179 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
139,583,636 |
|
|
$ |
2,229,969 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF NET ASSETS (Unaudited) |
|
|
June 30, 2020
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, 2020 were as follows:
|
|
|
|
|
| Software |
|
|
7.9 |
% |
| Banks |
|
|
7.4 |
|
| Interactive Media & Services |
|
|
6.3 |
|
| IT Services |
|
|
6.0 |
|
| Pharmaceuticals |
|
|
5.2 |
|
| Semiconductors & Semiconductor Equipment |
|
|
4.8 |
|
| Chemicals |
|
|
3.9 |
|
| Technology Hardware, Storage & Peripherals |
|
|
3.8 |
|
| Oil, Gas & Consumable Fuels |
|
|
3.7 |
|
| Insurance |
|
|
3.6 |
|
| Internet & Direct Marketing Retail |
|
|
3.4 |
|
| Automobiles |
|
|
2.9 |
|
| Entertainment |
|
|
2.7 |
|
| Specialty Retail |
|
|
2.5 |
|
| Road & Rail |
|
|
2.5 |
|
| Diversified Telecommunication Services |
|
|
2.4 |
|
| Multi-Utilities |
|
|
2.3 |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
2.1 |
|
| Health Care Providers & Services |
|
|
2.0 |
|
| Household Products |
|
|
1.8 |
|
| Aerospace & Defense |
|
|
1.8 |
|
| Textiles, Apparel & Luxury Goods |
|
|
1.7 |
|
| Food & Staples Retailing |
|
|
1.5 |
|
|
|
|
|
|
| Consumer Finance |
|
|
1.4 |
% |
| Capital Markets |
|
|
1.3 |
|
| Affiliated Mutual Fund |
|
|
1.3 |
|
| Electric Utilities |
|
|
1.2 |
|
| Building Products |
|
|
1.2 |
|
| Food Products |
|
|
1.1 |
|
| Beverages |
|
|
1.1 |
|
| Health Care Equipment & Supplies |
|
|
1.0 |
|
| Trading Companies & Distributors |
|
|
0.9 |
|
| Household Durables |
|
|
0.9 |
|
| Biotechnology |
|
|
0.9 |
|
| Electrical Equipment |
|
|
0.8 |
|
| Hotels, Restaurants & Leisure |
|
|
0.8 |
|
| Machinery |
|
|
0.8 |
|
| Health Care Technology |
|
|
0.8 |
|
| Communications Equipment |
|
|
0.7 |
|
| Containers & Packaging |
|
|
0.7 |
|
| Media |
|
|
0.7 |
|
|
|
|
|
|
|
|
|
99.8 |
|
| Other assets in excess of liabilities |
|
|
0.2 |
|
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF OPERATIONS (Unaudited) |
|
|
Six Months Ended June 30, 2020
|
|
|
|
|
| |
|
|
|
| INVESTMENT INCOME |
|
|
|
|
| Unaffiliated Dividend Income (net of $7,230 foreign withholding tax) |
|
$ |
1,446,107 |
|
| Affiliated Dividend Income |
|
|
23,634 |
|
| Total Income |
|
|
1,469,741 |
|
| EXPENSES |
|
|
|
|
| Fees Charged to Participants for Investment Management Services |
|
|
(176,740 |
) |
| Fees Charged to Participants for Administrative Expenses: |
|
|
|
|
| Standard Contract |
|
|
(472,730 |
) |
| 0.50% Contract |
|
|
(5,164 |
) |
| 0.45% Contract |
|
|
(9,005 |
) |
| Total Expenses |
|
|
(663,639 |
) |
| NET INVESTMENT INCOME |
|
|
806,102 |
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN
CURRENCY TRANSACTIONS |
|
|
|
|
| Net Realized Gain (Loss) on: |
|
|
|
|
| Investment Transactions |
|
|
(489,518 |
) |
| Foreign Currency Transactions |
|
|
2,861 |
|
| |
|
|
(486,657 |
) |
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
| Investments |
|
|
(10,057,500 |
) |
| Foreign Currencies |
|
|
44 |
|
| |
|
|
(10,057,456 |
) |
| NET LOSS ON INVESTMENT AND FOREIGN CURRENCY
TRANSACTIONS |
|
|
(10,544,113 |
) |
| NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS |
|
$ |
(9,738,011 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
STATEMENT OF CHANGES IN NET ASSETS (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended
December 31, 2019 |
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net Investment Income |
|
$ |
806,102 |
|
|
$ |
1,594,290 |
|
| Net Realized Gain (Loss) on Investment and Foreign Currency Transactions |
|
|
(486,657 |
) |
|
|
13,739,644 |
|
| Net Change in Unrealized Appreciation (Depreciation) on Investments
and Foreign Currencies |
|
|
(10,057,456 |
) |
|
|
20,621,491 |
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS |
|
|
(9,738,011 |
) |
|
|
35,955,425 |
|
| CAPITAL TRANSACTIONS |
|
|
|
|
|
|
|
|
| Purchase Payments and Transfers In |
|
|
773,042 |
|
|
|
851,274 |
|
| Withdrawals and Transfers Out |
|
|
(8,370,773 |
) |
|
|
(16,770,545 |
) |
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS |
|
|
(7,597,731 |
) |
|
|
(15,919,271 |
) |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS
TRANSFERS |
|
|
(2,342 |
) |
|
|
31,493 |
|
| TOTAL INCREASE (DECREASE) IN NET ASSETS |
|
|
(17,338,084 |
) |
|
|
20,067,647 |
|
| NET ASSETS |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
159,378,159 |
|
|
|
139,310,512 |
|
| End of period |
|
$ |
142,040,075 |
|
|
$ |
159,378,159 |
|
Accumulation Unit Values and
Equity of Participants as of June 30, 2020
|
|
|
|
|
| Standard Contract: |
|
|
|
|
| Accumulation Unit Value and Equity of Participants, $ 128,594,181/ 6,007,941 Accumulation Units |
|
$ |
21.4040 |
|
|
|
|
|
|
|
|
| 0.50% Contract: |
|
|
|
|
| Accumulation Unit Value and Equity of Participants, $ 4,292,547/ 177,924 Accumulation Units |
|
$ |
24.1257 |
|
|
|
|
|
|
|
|
| 0.45% Contract: |
|
|
|
|
| Accumulation Unit Value and Equity of Participants, $ 9,153,363/ 377,628 Accumulation Units |
|
$ |
24.2391 |
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
|
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INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) |
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(For an Accumulation Unit outstanding throughout the period)
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Six Months Ended June 30, 2020 |
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Year Ended December 31, 2019 |
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| |
|
Standard
Contract |
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|
0.50%
Contract |
|
|
0.45%
Contract |
|
|
Standard
Contract |
|
|
0.50%
Contract |
|
|
0.45%
Contract |
|
| Investment Income |
|
$ |
0.2167 |
|
|
$ |
0.2436 |
|
|
$ |
0.2448 |
|
|
$ |
0.4116 |
|
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$ |
0.4617 |
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|
$ |
0.4633 |
|
| Expenses |
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| Investment management fee |
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|
(0.0259 |
) |
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|
(0.0291 |
) |
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|
(0.0293 |
) |
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|
(0.0516 |
) |
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|
(0.0579 |
) |
|
|
(0.0581 |
) |
| Administrative expenses |
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|
(0.0774 |
) |
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|
(0.0291 |
) |
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|
(0.0234 |
) |
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|
(0.1544 |
) |
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|
(0.0579 |
) |
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|
(0.0465 |
) |
| Net Investment Income |
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|
0.1134 |
|
|
|
0.1854 |
|
|
|
0.1921 |
|
|
|
0.2056 |
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|
0.3459 |
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|
|
0.3587 |
|
| Capital Changes |
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|
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|
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| Net realized and unrealized gain (loss) on investment and foreign
currency transactions |
|
|
(1.4874 |
) |
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|
(1.6708 |
) |
|
|
(1.6781 |
) |
|
|
4.6253 |
|
|
|
5.1859 |
|
|
|
5.2076 |
|
| Net Increase (Decrease) in Accumulation Unit Value |
|
|
(1.3740 |
) |
|
|
(1.4854 |
) |
|
|
(1.4860 |
) |
|
|
4.8309 |
|
|
|
5.5318 |
|
|
|
5.5663 |
|
| Accumulation Unit Value |
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| Beginning of period |
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|
22.7780 |
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|
25.6111 |
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|
25.7251 |
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|
|
17.9471 |
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|
|
20.0793 |
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|
|
20.1588 |
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| End of period |
|
$ |
21.4040 |
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|
$ |
24.1257 |
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|
$ |
24.2391 |
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|
$ |
22.7780 |
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|
$ |
25.6111 |
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|
$ |
25.7251 |
|
| Total Return** |
|
|
(6.03 |
)% |
|
|
(5.80 |
)% |
|
|
(5.78 |
)% |
|
|
26.89 |
% |
|
|
27.52 |
% |
|
|
27.58 |
% |
| Ratio of Expenses To Average Net Assets*** |
|
|
1.00 |
%† |
|
|
0.50 |
%† |
|
|
0.45 |
%† |
|
|
1.00 |
% |
|
|
0.50 |
% |
|
|
0.45 |
% |
| Ratio of Net Investment Income To Average Net
Assets*** |
|
|
1.09 |
%† |
|
|
1.59 |
%† |
|
|
1.64 |
%† |
|
|
1.00 |
% |
|
|
1.50 |
% |
|
|
1.55 |
% |
| Portfolio Turnover Rate |
|
|
33 |
%†† |
|
|
33 |
%†† |
|
|
33 |
%†† |
|
|
48 |
% |
|
|
48 |
% |
|
|
48 |
% |
| Number of Accumulation Units Outstanding
For
Participants at end of period (000’s omitted) |
|
|
6,008 |
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|
|
178 |
|
|
|
378 |
|
|
|
6,347 |
|
|
|
179 |
|
|
|
398 |
|
| * |
Calculated by accumulating the actual per unit amounts daily. |
| ** |
Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on
the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| *** |
These calculations exclude PICA’s equity in VCA-10. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’
Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
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INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) |
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|
(For an Accumulation Unit outstanding throughout the year)
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Year Ended December 31, 2018 |
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|
Year Ended December 31, 2017 |
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| |
|
Standard
Contract |
|
|
0.50%
Contract |
|
|
0.45%
Contract |
|
|
Standard
Contract |
|
|
0.50%
Contract |
|
|
0.45%
Contract |
|
| Investment Income |
|
$ |
0.3666 |
|
|
$ |
0.4087 |
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$ |
0.4102 |
|
|
$ |
0.2909 |
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$ |
0.3229 |
|
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$ |
0.3239 |
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| Expenses |
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| Investment management fee |
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|
(0.0500 |
) |
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|
(0.0558 |
) |
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|
(0.0560 |
) |
|
|
(0.0440 |
) |
|
|
(0.0489 |
) |
|
|
(0.0491 |
) |
| Administrative expenses |
|
|
(0.1497 |
) |
|
|
(0.0558 |
) |
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|
(0.0448 |
) |
|
|
(0.1318 |
) |
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|
(0.0489 |
) |
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|
(0.0392 |
) |
| Net Investment Income |
|
|
0.1669 |
|
|
|
0.2971 |
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|
|
0.3094 |
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|
|
0.1151 |
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|
0.2251 |
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|
0.2356 |
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| Capital Changes |
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| Net realized and unrealized gain (loss) on investment and foreign
currency transactions |
|
|
(1.7016 |
) |
|
|
(1.9064 |
) |
|
|
(1.9142 |
) |
|
|
3.4389 |
|
|
|
3.8193 |
|
|
|
3.8316 |
|
| Net Increase (Decrease) in Accumulation Unit Value |
|
|
(1.5347 |
) |
|
|
(1.6093 |
) |
|
|
(1.6048 |
) |
|
|
3.5540 |
|
|
|
4.0444 |
|
|
|
4.0672 |
|
| Accumulation Unit Value |
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|
| Beginning of year |
|
|
19.4818 |
|
|
|
21.6886 |
|
|
|
21.7635 |
|
|
|
15.9278 |
|
|
|
17.6442 |
|
|
|
17.6963 |
|
| End of year |
|
$ |
17.9471 |
|
|
$ |
20.0793 |
|
|
$ |
20.1588 |
|
|
$ |
19.4818 |
|
|
$ |
21.6886 |
|
|
$ |
21.7635 |
|
| Total Return** |
|
|
(7.88 |
)% |
|
|
(7.42 |
)% |
|
|
(7.37 |
)% |
|
|
22.31 |
% |
|
|
22.92 |
% |
|
|
22.98 |
% |
| Ratio of Expenses To Average Net Assets*** |
|
|
1.00 |
% |
|
|
0.50 |
% |
|
|
0.45 |
% |
|
|
1.00 |
% |
|
|
0.50 |
% |
|
|
0.45 |
% |
| Ratio of Net Investment Income To Average Net
Assets*** |
|
|
0.84 |
% |
|
|
1.34 |
% |
|
|
1.39 |
% |
|
|
0.65 |
% |
|
|
1.15 |
% |
|
|
1.20 |
% |
| Portfolio Turnover Rate |
|
|
36 |
% |
|
|
36 |
% |
|
|
36 |
% |
|
|
49 |
% |
|
|
49 |
% |
|
|
49 |
% |
| Number of Accumulation Units Outstanding
For
Participants at end of year (000’s omitted) |
|
|
7,081 |
|
|
|
181 |
|
|
|
427 |
|
|
|
7,755 |
|
|
|
190 |
|
|
|
474 |
|
| * |
Calculated by accumulating the actual per unit amounts daily. |
| ** |
Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on
the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| *** |
These calculations exclude PICA’s equity in VCA-10. |
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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
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| |
|
Year Ended December 31, 2016 |
|
|
Year Ended December 31, 2015 |
|
| |
|
Standard
Contract |
|
|
0.50%
Contract |
|
|
0.45%
Contract |
|
|
Standard
Contract |
|
|
0.50%
Contract |
|
|
0.45%
Contract |
|
| Investment Income |
|
$ |
0.2736 |
|
|
$ |
0.3019 |
|
|
$ |
0.3027 |
|
|
$ |
0.2397 |
|
|
$ |
0.2631 |
|
|
$ |
0.2637 |
|
| Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment management fee |
|
|
(0.0369 |
) |
|
|
(0.0407 |
) |
|
|
(0.0408 |
) |
|
|
(0.0384 |
) |
|
|
(0.0422 |
) |
|
|
(0.0423 |
) |
| Administrative expenses |
|
|
(0.1103 |
) |
|
|
(0.0407 |
) |
|
|
(0.0327 |
) |
|
|
(0.1149 |
) |
|
|
(0.0422 |
) |
|
|
(0.0339 |
) |
| Net Investment Income |
|
|
0.1264 |
|
|
|
0.2205 |
|
|
|
0.2292 |
|
|
|
0.0864 |
|
|
|
0.1787 |
|
|
|
0.1875 |
|
| Capital Changes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized and unrealized gain (loss) on investment and foreign
currency transactions |
|
|
0.8068 |
|
|
|
0.8955 |
|
|
|
0.8983 |
|
|
|
(0.3479 |
) |
|
|
(0.3837 |
) |
|
|
(0.3847 |
) |
| Net Increase (Decrease) in Accumulation Unit Value |
|
|
0.9332 |
|
|
|
1.1160 |
|
|
|
1.1275 |
|
|
|
(0.2615 |
) |
|
|
(0.2050 |
) |
|
|
(0.1972 |
) |
| Accumulation Unit Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of year |
|
|
14.9946 |
|
|
|
16.5282 |
|
|
|
16.5688 |
|
|
|
15.2561 |
|
|
|
16.7332 |
|
|
|
16.7660 |
|
| End of year |
|
$ |
15.9278 |
|
|
$ |
17.6442 |
|
|
$ |
17.6963 |
|
|
$ |
14.9946 |
|
|
$ |
16.5282 |
|
|
$ |
16.5688 |
|
| Total Return** |
|
|
6.22 |
% |
|
|
6.75 |
% |
|
|
6.80 |
% |
|
|
(1.71 |
)% |
|
|
(1.23 |
)% |
|
|
(1.18 |
)% |
| Ratio of Expenses To Average Net Assets*** |
|
|
1.00 |
% |
|
|
0.50 |
% |
|
|
0.45 |
% |
|
|
1.00 |
% |
|
|
0.50 |
% |
|
|
0.45 |
% |
| Ratio of Net Investment Income To Average Net
Assets*** |
|
|
0.85 |
% |
|
|
1.34 |
% |
|
|
1.39 |
% |
|
|
0.57 |
% |
|
|
1.06 |
% |
|
|
1.11 |
% |
| Portfolio Turnover Rate |
|
|
42 |
% |
|
|
42 |
% |
|
|
42 |
% |
|
|
47 |
% |
|
|
47 |
% |
|
|
47 |
% |
| Number of Accumulation Units Outstanding
For
Participants at end of year (000’s omitted) |
|
|
8,606 |
|
|
|
212 |
|
|
|
522 |
|
|
|
9,595 |
|
|
|
219 |
|
|
|
609 |
|
| * |
Calculated by accumulating the actual per unit amounts daily. |
| ** |
Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on
the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| *** |
These calculations exclude PICA’s equity in VCA-10. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’
Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO FINANCIAL STATEMENTS OF VCA-10 (Unaudited)
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 (“Contractholders”) in making retirement arrangements on behalf of their employees (“Participants”). The
investment objective of the Account is long-term growth of capital.
PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a
percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% Contracts”), and contracts with annual expenses of 0.45%, as a percentage of net assets,
(the “0.45% Contracts”). The financial statements show separate Accumulation Unit Values for each type of contract.
| Note 2: |
|
Accounting Policies |
The Account follows investment company accounting and reporting guidance of
the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting
principles. The Account consistently follows such policies in the preparation of its financial statements.
Securities
Valuation: The Account holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading.
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have
adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Committee’s delegation, the
Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Account to utilize independent pricing vendor services,
quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the
Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
For the fiscal reporting period-end,
securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade
in markets that are open on weekends and U.S. holidays, the values of some of the Account’s foreign investments may change on days when investors cannot purchase or redeem Account shares.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or
3) detailed in the table following the Account’s Statement of Net Assets and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities
exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are
valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the
mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment
factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair
value hierarchy. The models generate an
evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post-closing market movements up to the time the Account is valued. Utilizing that
evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies
discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the
date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the
Committee. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of
the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the
prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it
operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Account has adopted a Committee approved Liquidity Risk
Management Program (“LRMP”) that requires, among other things, that the Account limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily
available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the
market value of the investment. The Account may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were
freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing
company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above.
Restricted securities that would otherwise be considered illiquid investments pursuant to the Account’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the
Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP
(i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Account’s investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Account are maintained in U.S. dollars. Foreign currency amounts
are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities —
at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange
prevailing on the respective dates of such transactions.
Although the net assets of the Account are presented at the foreign exchange rates and
market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices
of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio
securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency
gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign
withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency
denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains
(losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-date or for certain foreign securities, when the Account becomes aware of such dividends. Interest income,
including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ
from actual. Net investment income and realized and unrealized gain (losses) (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income
Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10
to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.
| Note 3: |
|
Investment Management Agreement and Charges |
The Account has a management agreement with PGIM
Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with
Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with management of the Account. PGIM Investments pays for the services of Jennison.
VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced administrative fee where warranted by
economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a contract.
Standard Contracts
have an effective annual rate of up to 1.00% of the current value of the Participant’s account of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge (explained below), and 0.25% is paid to PGIM
Investments, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s account of which 0.25% is paid to PICA for administrative expenses not provided by the
annual account charge, and 0.25% is paid to PGIM Investments, for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s account of which 0.20% is paid to PICA
for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services.
An
annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s account or on the last business day of each calendar year. Such
amounts are reflected as withdrawals on the Statements of Changes in Net Assets.
PICA, PGIM Investments and Jennison are indirect, wholly-owned
subsidiaries of Prudential Financial, Inc.
| Note 4: |
|
Other Transactions with Affiliates |
The Account may enter into certain securities purchase or sale
transactions under Committee approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is
affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Committee. For the six months ended June 30, 2020, no such
transactions were entered into by the Account.
During the six months ended June 30, 2020, the Account invested in the PGIM Core Ultra Short
Bond Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2, registered under the 1940 Act, and
managed by PGIM Investments. Through the Account’s investment in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their
services. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated Dividend Income”.
| Note 5: |
|
Portfolio Securities |
For the six months ended June 30, 2020, the aggregate cost of purchases
and the proceeds from sales of securities, excluding short-term investments, were $45,170,275 and $51,729,214, respectively.
A summary of the cost
of purchases and proceeds from sales of shares of an affiliated mutual fund for the six months ended June 30, 2020, is presented as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain(Loss) |
|
|
Realized
Gain(Loss) |
|
|
Value, End
of Period |
|
|
Shares,
End of Period |
|
|
Income |
|
| PGIM Core Ultra Short Bond Fund* |
|
| $2,330,053 |
|
$ |
21,637,190 |
|
|
$ |
22,131,064 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,836,179 |
|
|
|
1,836,179 |
|
|
$ |
23,634 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
* |
The Account did not have any capital gain distributions during reporting period. |
| Note 6: |
|
Unit Transactions |
The number of Accumulation Units issued and redeemed for the six months ended
June 30, 2020 and the year ended December 31, 2019, respectively, are as follows:
|
|
|
|
|
|
|
|
|
| Standard Contracts |
|
Units |
|
|
Amount |
|
| Six months ended June 30, 2020: |
|
|
|
|
|
|
|
|
| Account units issued |
|
|
38,774 |
|
|
$ |
773,042 |
|
| Account units redeemed |
|
|
(378,103 |
) |
|
|
(7,909,647 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in units outstanding |
|
|
(339,329 |
) |
|
$ |
(7,136,605 |
) |
|
|
|
|
|
|
|
|
|
| Year ended December 31, 2019: |
|
|
|
|
|
|
|
|
| Account units issued |
|
|
40,120 |
|
|
$ |
830,102 |
|
| Account units redeemed |
|
|
(774,161 |
) |
|
|
(16,004,104 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in units outstanding |
|
|
(734,041 |
) |
|
$ |
(15,174,002 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.50% Contracts |
|
Units |
|
|
Amount |
|
| Six months ended June 30, 2020: |
|
|
|
|
|
|
|
|
| Account units issued |
|
|
— |
|
|
$ |
— |
|
| Account units redeemed |
|
|
(668 |
) |
|
|
(15,943 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in units outstanding |
|
|
(668 |
) |
|
$ |
(15,943 |
) |
|
|
|
|
|
|
|
|
|
| Year ended December 31, 2019: |
|
|
|
|
|
|
|
|
| Account units issued |
|
|
1,004 |
|
|
$ |
21,172 |
|
| Account units redeemed |
|
|
(3,754 |
) |
|
|
(84,307 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in units outstanding |
|
|
(2,750 |
) |
|
$ |
(63,135 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.45% Contracts |
|
Units |
|
|
Amount |
|
| Six months ended June 30, 2020: |
|
|
|
|
|
|
|
|
| Account units issued |
|
|
— |
|
|
$ |
— |
|
| Account units redeemed |
|
|
(19,887 |
) |
|
|
(445,183 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in units outstanding |
|
|
(19,887 |
) |
|
$ |
(445,183 |
) |
|
|
|
|
|
|
|
|
|
| Year ended December 31, 2019: |
|
|
|
|
|
|
|
|
| Account units issued |
|
|
— |
|
|
$ |
— |
|
| Account units redeemed |
|
|
(29,387 |
) |
|
|
(682,134 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in units outstanding |
|
|
(29,387 |
) |
|
$ |
(682,134 |
) |
|
|
|
|
|
|
|
|
|
| Note 7: |
|
Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in
net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account.
| Note 8: |
|
Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan
amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account
have been withdrawn, transferred or borrowed.
For the six months ended June 30, 2020, $41,133 in participant loans were withdrawn from VCA-10
and $40,724 of principal and interest was repaid to VCA-10. For the year ended December 31, 2019, $114,485 in participant loans were withdrawn from VCA-10 and $54,004 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,
2020, PICA has advised the Account that it received $352 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers within the Statement of Changes in Net Assets.
| Note 9: |
|
Risks of Investing in the Account |
The Account’s risks include, but are not limited to, some
or all of the risks discussed below. For further information on the Account’s risk, please refer to the Account’s Prospectus and Statement of Additional Information.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In
addition to an individual security losing value, the value of the equity markets or a sector in which the Account invests could go down. The Account’s holdings can vary significantly from broad market indexes and the performance of the Account
can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign
countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent
outbreak of coronavirus globally or the 2014 -2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets and may cause further long-term economic uncertainties in the
United States and worldwide generally.
Foreign Securities Risk: The Account’s investments in securities of
foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Account may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of
the Account’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Market and Credit Risks: Securities markets may be volatile and the market prices of the Account’s securities may
decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Account fall, the value of an investment in the Account
will decline. Additionally, the Account may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Account has unsettled or open transactions defaults.
ACCOUNT LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Consistent with Rule 22e-4 under the 1940 Act
(the “Liquidity Rule”), the Account has adopted and implemented a liquidity risk management program (the “LRMP”). The Account’s LRMP seeks to assess and manage the Account’s liquidity risk, which is defined as the risk
that the Account is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Account. The Account’s Committee Members (the “Committee”) has approved PGIM Investments LLC
(“PGIM Investments”), the Account’s investment manager, to serve as the administrator of the Account’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain
functions, including providing market data and liquidity classification model information.
The Account’s LRMP includes a number of processes designed to
support the assessment and management of its liquidity risk. In particular, the Account’s LRMP includes no less than annual assessments of factors that influence the Account’s liquidity risk; no less than monthly classifications of the
Account’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a
minimum percentage of the Account’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Account does not invest primarily in highly liquid investments; and regular reporting
to the Account’s Committee.
At a meeting of the Committee on March 3-5, 2020, PGIM Investments provided a written report (“LRMP Report”) to the
Committee addressing the operation, adequacy, and effectiveness of the Account’s LRMP, including any material changes to the LRMP for the period from the inception of the LRMP on December 1, 2018 through December 31, 2019
(“Reporting Period”). The LRMP Report concluded that the Account’s LRMP was reasonably designed to assess and manage the Account’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There
were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Account’s investment strategies continue to be appropriate given the Account’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Account, including
liquidity risks presented by the Account’s investment portfolio, is found in the Account’s Prospectus and Statement of Additional Information.
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 invests 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 invests in the Flexible Managed Portfolio, the Global Subaccount invests in the Global Portfolio, the Government Income Subaccount invests in the Government Income
Portfolio, the Government Money Market Subaccount invests in the Government Money Market Portfolio, and the Stock Index Subaccount invests in the Stock Index Portfolio.
There is no assurance that the investment objective of the Portfolios will be attained, nor is there any guarantee that the amount available to a Participant
will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of
investments necessary to meet the Subaccounts’ or Portfolios’ objectives.
Important Note
This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the
investment performance of the eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 24. The rates of return quoted on the following pages reflect deduction of investment management fees and
portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.
Contract unit values increase or decrease based on the performance of each corresponding Portfolio and when redeemed, may be worth more or less than original
cost. Changes in contract values depend not only on the investment performance of each Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the
dollar amount of any net gains and increase the dollar amount of any net losses.
|
|
|
| The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited |
|
June 30, 2020 |
|
|
|
|
|
|
|
| Conservative Balanced Portfolio |
|
| Ten Largest Holdings |
|
Line of Business |
|
|
(% of Net Assets |
) |
| Microsoft Corp. |
|
Software |
|
|
2.8% |
|
| Apple, Inc. |
|
Technology Hardware, Storage & Peripherals |
|
|
2.7% |
|
| Amazon.com, Inc. |
|
Internet & Direct Marketing Retail |
|
|
2.1% |
|
| Facebook, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
1.0% |
|
| Federal National Mortgage Assoc., 3.000%, TBA |
|
U.S. Government Agency Obligations |
|
|
0.9% |
|
| Alphabet, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
0.8% |
|
| Alphabet, Inc. (Class C Stock) |
|
Interactive Media & Services |
|
|
0.8% |
|
| Johnson & Johnson |
|
Pharmaceuticals |
|
|
0.7% |
|
| Berkshire Hathaway, Inc. (Class B Stock) |
|
Diversified Financial Services |
|
|
0.6% |
|
| Visa, Inc. (Class A Stock) |
|
IT Services |
|
|
0.6% |
|
|
|
|
|
|
| Diversified Bond Portfolio |
|
| Credit Quality |
|
|
(% of Net Assets |
) |
| AAA |
|
|
40.2% |
|
| AA |
|
|
2.9% |
|
| A |
|
|
11.4% |
|
| BBB |
|
|
21.7% |
|
| BB |
|
|
8.8% |
|
| B |
|
|
4.4% |
|
| CCC and Below |
|
|
1.7% |
|
| NR |
|
|
9.4% |
|
| Cash & Equivalents |
|
|
(0.5)% |
|
| Total |
|
|
100.0% |
|
|
|
|
|
|
|
|
| Equity Portfolio |
|
| Ten Largest Holdings |
|
Line of Business |
|
|
(% of Net Assets |
) |
| Apple, Inc. |
|
Technology Hardware, Storage & Peripherals |
|
|
5.0% |
|
| Microsoft Corp. |
|
Software |
|
|
4.5% |
|
| Amazon.com, Inc. |
|
Internet & Direct Marketing Retail |
|
|
4.5% |
|
| AstraZeneca PLC (United Kingdom), ADR |
|
Pharmaceuticals |
|
|
3.1% |
|
| Tesla, Inc. |
|
Automobiles |
|
|
2.6% |
|
| Netflix, Inc. |
|
Entertainment |
|
|
2.4% |
|
| Alphabet, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
2.3% |
|
| Eli Lilly & Co. |
|
Pharmaceuticals |
|
|
2.2% |
|
| Adobe, Inc. |
|
Software |
|
|
2.1% |
|
| Facebook, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
2.1% |
|
Credit ratings reflect the middle rating assigned by a
nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P
and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a
NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of
holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
|
|
|
| The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited (continued) |
|
June 30, 2020 |
|
|
|
|
|
|
|
| Flexible Managed Portfolio |
|
| Ten Largest Holdings |
|
Line of Business |
|
|
(% of Net Assets |
) |
| Microsoft Corp. |
|
Software |
|
|
3.9% |
|
| Apple, Inc. |
|
Technology Hardware, Storage & Peripherals |
|
|
3.8% |
|
| Amazon.com, Inc. |
|
Internet & Direct Marketing Retail |
|
|
2.3% |
|
| Facebook, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
1.7% |
|
| Procter & Gamble Co. (The) |
|
Household Products |
|
|
1.0% |
|
| Intel Corp. |
|
Semiconductors & Semiconductor Equipment |
|
|
1.0% |
|
| NVIDIA Corp. |
|
Semiconductors & Semiconductor Equipment |
|
|
1.0% |
|
| Johnson & Johnson |
|
Pharmaceuticals |
|
|
0.8% |
|
| Cisco Systems, Inc. |
|
Communications Equipment |
|
|
0.8% |
|
| AT&T, Inc. |
|
Diversified Telecommunication Services |
|
|
0.8% |
|
|
|
|
|
|
|
|
|
|
| Global Portfolio |
|
| Ten Largest Holdings |
|
Line of Business |
|
Country |
|
|
(% of Net Assets |
) |
| Microsoft Corp. |
|
Software |
|
United States |
|
|
2.5% |
|
| Amazon.com, Inc. |
|
Internet & Direct Marketing Retail |
|
United States |
|
|
1.7% |
|
| Thermo Fisher Scientific, Inc. |
|
Life Sciences Tools & Services |
|
United States |
|
|
1.6% |
|
| PayPal Holdings, Inc. |
|
IT Services |
|
United States |
|
|
1.6% |
|
| Electronic Arts, Inc. |
|
Entertainment |
|
United States |
|
|
1.5% |
|
| SBA Communications Corp. |
|
Equity Real Estate Investment Trusts (REITs) |
|
United States |
|
|
1.4% |
|
| Alphabet, Inc. (Class C Stock) |
|
Interactive Media & Services |
|
United States |
|
|
1.4% |
|
| Zoetis, Inc. |
|
Pharmaceuticals |
|
United States |
|
|
1.4% |
|
| Mastercard, Inc. (Class A Stock) |
|
IT Services |
|
United States |
|
|
1.4% |
|
| Autodesk, Inc. |
|
Software |
|
United States |
|
|
1.3% |
|
|
|
|
|
|
| Government Income Portfolio |
|
| Credit Quality |
|
|
(% of Net Assets |
) |
| AAA |
|
|
98.9% |
|
| AA |
|
|
2.4% |
|
| NR |
|
|
0.6% |
|
| Cash & Equivalents |
|
|
(1.9)% |
|
| Total |
|
|
100.0% |
|
Credit ratings reflect the middle rating assigned by a
nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P
and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a
NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of
holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
|
|
|
| The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited (continued) |
|
June 30, 2020 |
|
|
|
|
|
|
|
|
|
| Government Money Market Portfolio |
|
| Ten Largest Holdings |
|
Interest Rate |
|
Maturity Date |
|
|
(% of Net Assets |
) |
| U.S. Treasury Bills |
|
0.148% |
|
09/03/2020 |
|
|
3.6% |
|
| U.S. Treasury Bills |
|
0.114% |
|
07/07/2020 |
|
|
3.2% |
|
| U.S. Treasury Bills |
|
0.159% |
|
09/24/2020 |
|
|
3.1% |
|
| U.S. Treasury Bills |
|
0.132% |
|
08/27/2020 |
|
|
2.7% |
|
| U.S. Treasury Bills |
|
0.053% |
|
10/01/2020 |
|
|
2.5% |
|
| Federal Home Loan Bank |
|
0.303% |
|
09/01/2020 |
|
|
2.5% |
|
| U.S. Treasury Bills |
|
0.118% |
|
08/04/2020 |
|
|
2.2% |
|
| Federal Home Loan Bank |
|
0.160% |
|
03/04/2021 |
|
|
2.2% |
|
| Federal Home Loan Bank |
|
0.165% |
|
09/11/2020 |
|
|
1.9% |
|
| Federal Home Loan Mortgage Corp. |
|
0.100% |
|
07/10/2020 |
|
|
1.9% |
|
Holdings reflect only short-term investments.
|
|
|
|
|
|
|
| Stock Index Portfolio |
|
| Ten Largest Holdings |
|
Line of Business |
|
|
(% of Net Assets |
) |
| Microsoft Corp. |
|
Software |
|
|
5.9% |
|
| Apple, Inc. |
|
Technology Hardware, Storage & Peripherals |
|
|
5.7% |
|
| Amazon.com, Inc. |
|
Internet & Direct Marketing Retail |
|
|
4.4% |
|
| Facebook, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
2.1% |
|
| Alphabet, Inc. (Class A Stock) |
|
Interactive Media & Services |
|
|
1.6% |
|
| Alphabet, Inc. (Class C Stock) |
|
Interactive Media & Services |
|
|
1.6% |
|
| Johnson & Johnson |
|
Pharmaceuticals |
|
|
1.4% |
|
| Berkshire Hathaway, Inc. (Class B Stock) |
|
Diversified Financial Services |
|
|
1.3% |
|
| Visa, Inc. (Class A Stock) |
|
IT Services |
|
|
1.2% |
|
| Procter & Gamble Co. (The) |
|
Household Products |
|
|
1.1% |
|
For a complete list of holdings, please refer to the Schedule of
Investments section of this report. Holdings reflect only long-term investments.
|
|
|
| The Prudential Series Fund
Fees and Expenses — unaudited |
|
June 30, 2020 |
As a
contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract
charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual
account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account
value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this
period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and
an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of
the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any
contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative
total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| The Prudential Series Fund Portfolios |
|
Beginning
Account Value
January 1, 2020 |
|
|
Ending
Account Value
June 30, 2020 |
|
|
Annualized Expense
Ratio based on the
Six-Month period |
|
|
Expenses Paid
During the
Six-Month period* |
|
|
|
|
|
|
|
| Conservative Balanced (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
997.50 |
|
|
|
0.58 |
% |
|
$ |
2.88 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,021.98 |
|
|
|
0.58 |
% |
|
$ |
2.92 |
|
|
|
|
|
|
|
| Diversified Bond (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
1,036.40 |
|
|
|
0.44 |
% |
|
$ |
2.23 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,022.68 |
|
|
|
0.44 |
% |
|
$ |
2.21 |
|
|
|
|
|
|
|
| Equity (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
1,018.00 |
|
|
|
0.47 |
% |
|
$ |
2.36 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,022.53 |
|
|
|
0.47 |
% |
|
$ |
2.36 |
|
|
|
|
|
|
|
| Equity (Class II) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
1,015.90 |
|
|
|
0.87 |
% |
|
$ |
4.36 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,020.54 |
|
|
|
0.87 |
% |
|
$ |
4.37 |
|
|
|
|
|
|
|
| Flexible Managed (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
977.90 |
|
|
|
0.62 |
% |
|
$ |
3.05 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,021.78 |
|
|
|
0.62 |
% |
|
$ |
3.12 |
|
|
|
|
|
|
|
| Global (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
941.20 |
|
|
|
0.76 |
% |
|
$ |
3.67 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,021.08 |
|
|
|
0.76 |
% |
|
$ |
3.82 |
|
|
|
|
|
|
|
| Government Income (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
1,063.50 |
|
|
|
0.51 |
% |
|
$ |
2.62 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,022.33 |
|
|
|
0.51 |
% |
|
$ |
2.56 |
|
|
|
|
|
|
|
| Government Money Market (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
1,003.00 |
|
|
|
0.30 |
% |
|
$ |
1.49 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,023.37 |
|
|
|
0.30 |
% |
|
$ |
1.51 |
|
|
|
|
|
|
|
| Government Money Market (Class III) |
|
Actual** |
|
$ |
1,000.00 |
|
|
$ |
1,000.00 |
|
|
|
0.19 |
% |
|
$ |
0.23 |
|
| |
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,023.92 |
|
|
|
0.19 |
% |
|
$ |
0.96 |
|
|
|
|
|
|
|
| Stock Index (Class I) |
|
Actual |
|
$ |
1,000.00 |
|
|
$ |
968.10 |
|
|
|
0.31 |
% |
|
$ |
1.52 |
|
| |
|
Hypothetical |
|
$ |
1,000.00 |
|
|
$ |
1,023.32 |
|
|
|
0.31 |
% |
|
$ |
1.56 |
|
* Portfolio expenses (net of
fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month
period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the
Portfolio may invest.
** “Actual” expenses are calculated using the 44-day period ended June 30, 2020 due to the inception date of May 18, 2020.
The following
abbreviations are used in the Portfolios’ descriptions:
|
| AUD Australian Dollar |
|
| BRL Brazilian Real |
|
| CAD Canadian Dollar |
|
| CNH Chinese Renminbi |
|
| COP Colombian Peso |
|
| EUR Euro |
|
| GBP British Pound |
|
| HUF Hungarian Forint |
|
| JPY Japanese Yen |
|
| NZD New Zealand Dollar |
|
| USD US Dollar |
|
| ZAR South African Rand |
|
| 144A — Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. |
|
| A — Annual payment frequency for swaps |
|
| ABS — Asset-Backed Security |
|
| Aces — Alternative Credit Enhancements Securities |
|
| ADR — American Depositary Receipt |
|
| BABs — Build America Bonds |
|
| BBR — New Zealand Bank Bill Rate |
|
| BBSW — Australian Bank Bill Swap Reference Rate |
|
| BROIS — Brazil Overnight Index Swap |
|
| BUBOR — Budapest Interbank Offered Rate |
|
| CDX — Credit Derivative Index |
|
| CLO — Collateralized Loan Obligation |
|
| CMBS — Collateralized Mortgage-Backed Security |
|
| CMBX — Commercial Mortgage-Backed Index |
|
| CMS — Constant Maturity Swap |
|
| COOIS — Colombia Overnight Interbank Reference Rate |
|
| CVA — Certificate Van Aandelen (Bearer) |
|
| CVT — Convertible Security |
|
| EAFE — Europe, Australasia, Far East |
|
| EMTN — Euro Medium Term Note |
|
| EONIA — Euro Overnight Index Average |
|
|
| ETF — Exchange-Traded Fund |
|
| EURIBOR — Euro Interbank Offered Rate |
|
| FHLB — Federal Home Loan Bank |
|
| FHLMC — Federal Home Loan Mortgage Corporation |
|
| GDR — Global Depositary Receipt |
|
| GMTN — Global Medium Term Note |
|
| IO — Interest Only (Principal amount represents notional) |
|
| JIBAR — Johannesburg Interbank Agreed Rate |
|
| L2 — Level 2 |
|
| L3 — Level 3 |
|
| LIBOR — London Interbank Offered Rate |
|
| LP — Limited Partnership |
|
| M — Monthly payment frequency for swaps |
|
| MSCI — Morgan Stanley Capital International |
|
| MTN — Medium Term Note |
|
| OTC —
Over-the-counter |
|
| PJSC — Public Joint-Stock Company |
|
| PO — Principal Only |
|
| PRFC — Preference Shares |
|
| Q — Quarterly payment frequency for swaps |
|
| REITs — Real Estate Investment Trust |
|
| REMICS — Real Estate Mortgage Investment Conduit Security |
|
| RSP — Savings Shares |
|
| S — Semiannual payment frequency for swaps |
|
| S&P — Standard & Poor’s |
|
| SONIA — Sterling Overnight Index Average |
|
| SPDR — Standard & Poor’s Depositary Receipts |
|
| Strips — Separate Trading of Registered Interest and Principal of Securities |
|
| T — Swap payment upon termination |
|
| TBA — To Be Announced |
|
| USAID — United States Agency for International Development |
|
| USOIS — United States Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS
A1
|
|
|
|
|
|
|
| |
|
|
| |
|
CONSERVATIVE BALANCED PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| LONG-TERM INVESTMENTS — 88.1% |
|
|
|
|
| COMMON STOCKS — 48.2% |
|
|
|
|
|
|
| Aerospace & Defense — 0.8% |
|
|
|
|
|
|
|
|
| BAE Systems PLC (United Kingdom) |
|
|
21,840 |
|
|
$ |
131,284 |
|
| Boeing Co. (The) |
|
|
24,250 |
|
|
|
4,445,025 |
|
| General Dynamics Corp. |
|
|
10,500 |
|
|
|
1,569,330 |
|
| Howmet Aerospace, Inc. |
|
|
17,280 |
|
|
|
273,888 |
|
| Huntington Ingalls Industries, Inc. |
|
|
1,900 |
|
|
|
331,531 |
|
| L3Harris Technologies, Inc. |
|
|
9,770 |
|
|
|
1,657,676 |
|
| Leonardo SpA (Italy) |
|
|
1,411 |
|
|
|
9,437 |
|
| Lockheed Martin Corp. |
|
|
11,220 |
|
|
|
4,094,402 |
|
| Northrop Grumman Corp. |
|
|
7,062 |
|
|
|
2,171,141 |
|
| Raytheon Technologies Corp. |
|
|
66,555 |
|
|
|
4,101,119 |
|
| Teledyne Technologies, Inc.* |
|
|
1,600 |
|
|
|
497,520 |
|
| Textron, Inc. |
|
|
10,400 |
|
|
|
342,264 |
|
| TransDigm Group, Inc.(a) |
|
|
2,400 |
|
|
|
1,060,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,685,537 |
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics — 0.3% |
|
|
|
|
|
|
|
|
| C.H. Robinson Worldwide, Inc.(a) |
|
|
5,900 |
|
|
|
466,454 |
|
| Deutsche Post AG (Germany)* |
|
|
10,434 |
|
|
|
384,624 |
|
| Expeditors International of Washington, Inc. |
|
|
7,900 |
|
|
|
600,716 |
|
| FedEx Corp. |
|
|
10,880 |
|
|
|
1,525,593 |
|
| SG Holdings Co. Ltd. (Japan) |
|
|
7,500 |
|
|
|
244,800 |
|
| United Parcel Service, Inc. (Class B Stock) |
|
|
31,900 |
|
|
|
3,546,642 |
|
| Yamato Holdings Co. Ltd. (Japan) |
|
|
1,100 |
|
|
|
23,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,792,616 |
|
|
|
|
|
|
|
|
|
|
| Airlines — 0.1% |
|
|
|
|
|
|
|
|
| Alaska Air Group, Inc. |
|
|
5,700 |
|
|
|
206,682 |
|
| American Airlines Group, Inc.(a) |
|
|
14,400 |
|
|
|
188,208 |
|
| Delta Air Lines, Inc.(a) |
|
|
25,800 |
|
|
|
723,690 |
|
| easyJet PLC (United Kingdom) |
|
|
550 |
|
|
|
4,659 |
|
| Qantas Airways Ltd. (Australia) |
|
|
2,613 |
|
|
|
6,907 |
|
| Southwest Airlines Co. |
|
|
24,100 |
|
|
|
823,738 |
|
| United Airlines Holdings, Inc.*(a) |
|
|
9,700 |
|
|
|
335,717 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,289,601 |
|
|
|
|
|
|
|
|
|
|
| Auto Components — 0.1% |
|
|
|
|
|
|
|
|
| Aptiv PLC |
|
|
11,900 |
|
|
|
927,248 |
|
| BorgWarner, Inc.(a) |
|
|
9,600 |
|
|
|
338,880 |
|
| Cie Generale des Etablissements Michelin SCA (France)* |
|
|
2,728 |
|
|
|
282,226 |
|
| Faurecia SE (France)* |
|
|
266 |
|
|
|
10,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,558,814 |
|
|
|
|
|
|
|
|
|
|
| Automobiles — 0.1% |
|
|
|
|
|
|
|
|
| Ferrari NV (Italy) |
|
|
1,049 |
|
|
|
179,758 |
|
| Fiat Chrysler Automobiles NV (United Kingdom)* |
|
|
19,584 |
|
|
|
199,648 |
|
| Ford Motor Co.(a) |
|
|
175,785 |
|
|
|
1,068,773 |
|
| General Motors Co. |
|
|
56,200 |
|
|
|
1,421,860 |
|
| Peugeot SA (France)* |
|
|
14,533 |
|
|
|
238,503 |
|
| Subaru Corp. (Japan) |
|
|
2,200 |
|
|
|
45,754 |
|
| Toyota Motor Corp. (Japan) |
|
|
7,500 |
|
|
|
470,273 |
|
| Volkswagen AG (Germany)* |
|
|
111 |
|
|
|
17,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,642,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
| Banks — 1.8% |
|
|
|
|
|
|
|
|
| ABN AMRO Bank NV (Netherlands), 144A, CVA |
|
|
1,508 |
|
|
$ |
13,123 |
|
| Bank of America Corp. |
|
|
353,141 |
|
|
|
8,387,099 |
|
| Bankia SA (Spain) |
|
|
268,478 |
|
|
|
287,365 |
|
| Bankinter SA (Spain) |
|
|
2,327 |
|
|
|
11,165 |
|
| Banque Cantonale Vaudoise (Switzerland) |
|
|
108 |
|
|
|
10,532 |
|
| Barclays PLC (United Kingdom) |
|
|
60,309 |
|
|
|
85,758 |
|
| BNP Paribas SA (France)* |
|
|
4,633 |
|
|
|
185,233 |
|
| BOC Hong Kong Holdings Ltd. (China) |
|
|
106,500 |
|
|
|
340,438 |
|
| Citigroup, Inc. |
|
|
94,135 |
|
|
|
4,810,298 |
|
| Citizens Financial Group, Inc. |
|
|
17,800 |
|
|
|
449,272 |
|
| Comerica, Inc. |
|
|
5,600 |
|
|
|
213,360 |
|
| Commonwealth Bank of Australia (Australia) |
|
|
7,856 |
|
|
|
379,244 |
|
| Danske Bank A/S (Denmark)* |
|
|
2,232 |
|
|
|
29,892 |
|
| DBS Group Holdings Ltd. (Singapore) |
|
|
2,800 |
|
|
|
41,982 |
|
| DNB ASA (Norway)* |
|
|
3,340 |
|
|
|
44,333 |
|
| Erste Group Bank AG (Austria)* |
|
|
1,000 |
|
|
|
23,669 |
|
| Fifth Third Bancorp |
|
|
30,521 |
|
|
|
588,445 |
|
| FinecoBank Banca Fineco SpA (Italy)* |
|
|
2,088 |
|
|
|
28,296 |
|
| First Republic Bank |
|
|
7,700 |
|
|
|
816,123 |
|
| HSBC Holdings PLC (United Kingdom) |
|
|
12,757 |
|
|
|
59,820 |
|
| Huntington Bancshares, Inc. |
|
|
42,136 |
|
|
|
380,699 |
|
| Intesa Sanpaolo SpA (Italy)* |
|
|
51,392 |
|
|
|
98,972 |
|
| Japan Post Bank Co. Ltd. (Japan) |
|
|
1,400 |
|
|
|
10,400 |
|
| JPMorgan Chase & Co. |
|
|
137,845 |
|
|
|
12,965,701 |
|
| KeyCorp. |
|
|
41,800 |
|
|
|
509,124 |
|
| M&T Bank Corp. |
|
|
5,800 |
|
|
|
603,026 |
|
| Mebuki Financial Group, Inc. (Japan) |
|
|
118,400 |
|
|
|
274,583 |
|
| Mediobanca Banca di Credito Finanziario SpA (Italy) |
|
|
2,220 |
|
|
|
16,053 |
|
| Mitsubishi UFJ Financial Group, Inc. (Japan) |
|
|
9,000 |
|
|
|
35,290 |
|
| Mizrahi Tefahot Bank Ltd. (Israel) |
|
|
14,214 |
|
|
|
266,151 |
|
| Mizuho Financial Group, Inc. (Japan) |
|
|
81,900 |
|
|
|
100,356 |
|
| Oversea-Chinese Banking Corp. Ltd. (Singapore) |
|
|
1,700 |
|
|
|
11,042 |
|
| People’s United Financial, Inc.(a) |
|
|
18,300 |
|
|
|
211,731 |
|
| PNC Financial Services Group, Inc. (The) |
|
|
19,233 |
|
|
|
2,023,504 |
|
| Raiffeisen Bank International AG (Austria)* |
|
|
5,276 |
|
|
|
94,382 |
|
| Regions Financial Corp. |
|
|
40,203 |
|
|
|
447,057 |
|
| Resona Holdings, Inc. (Japan) |
|
|
7,400 |
|
|
|
25,277 |
|
| Seven Bank Ltd. (Japan) |
|
|
38,700 |
|
|
|
105,791 |
|
| Shinsei Bank Ltd. (Japan) |
|
|
700 |
|
|
|
8,454 |
|
| Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)* |
|
|
40,055 |
|
|
|
348,971 |
|
| Sumitomo Mitsui Financial Group, Inc. (Japan) |
|
|
9,000 |
|
|
|
253,133 |
|
| Sumitomo Mitsui Trust Holdings, Inc. (Japan) |
|
|
2,000 |
|
|
|
56,108 |
|
| SVB Financial Group* |
|
|
2,400 |
|
|
|
517,272 |
|
| Svenska Handelsbanken AB (Sweden) (Class A Stock)* |
|
|
5,353 |
|
|
|
51,034 |
|
| Swedbank AB (Sweden) (Class A Stock)* |
|
|
1,470 |
|
|
|
18,875 |
|
| Truist Financial Corp. |
|
|
60,901 |
|
|
|
2,286,833 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Banks (cont’d.) |
|
|
|
|
|
|
|
|
| U.S. Bancorp |
|
|
61,985 |
|
|
$ |
2,282,288 |
|
| Wells Fargo & Co. |
|
|
168,764 |
|
|
|
4,320,358 |
|
| Zions Bancorp NA |
|
|
6,350 |
|
|
|
215,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,343,812 |
|
|
|
|
|
|
|
|
|
|
| Beverages — 0.8% |
|
|
|
|
|
|
|
|
| Asahi Group Holdings Ltd. (Japan) |
|
|
3,100 |
|
|
|
108,809 |
|
| Brown-Forman Corp. (Class B Stock)(a) |
|
|
8,475 |
|
|
|
539,518 |
|
| Carlsberg A/S (Denmark) (Class B Stock) |
|
|
372 |
|
|
|
49,389 |
|
| Coca-Cola Amatil Ltd. (Australia) |
|
|
1,677 |
|
|
|
10,110 |
|
| Coca-Cola Co. (The) |
|
|
174,901 |
|
|
|
7,814,577 |
|
| Coca-Cola European Partners PLC (United Kingdom) |
|
|
6,600 |
|
|
|
249,216 |
|
| Coca-Cola HBC AG (Switzerland) |
|
|
720 |
|
|
|
18,148 |
|
| Constellation Brands, Inc. (Class A Stock) |
|
|
7,600 |
|
|
|
1,329,620 |
|
| Diageo PLC (United Kingdom) |
|
|
770 |
|
|
|
25,620 |
|
| Kirin Holdings Co. Ltd. (Japan) |
|
|
2,900 |
|
|
|
61,157 |
|
| Molson Coors Beverage Co. (Class B Stock) |
|
|
8,800 |
|
|
|
302,368 |
|
| Monster Beverage Corp.* |
|
|
16,900 |
|
|
|
1,171,508 |
|
| PepsiCo, Inc. |
|
|
62,807 |
|
|
|
8,306,854 |
|
| Pernod Ricard SA (France) |
|
|
285 |
|
|
|
44,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,031,879 |
|
|
|
|
|
|
|
|
|
|
| Biotechnology — 1.2% |
|
|
|
|
|
|
|
|
| AbbVie, Inc. |
|
|
79,701 |
|
|
|
7,825,044 |
|
| Alexion Pharmaceuticals, Inc.* |
|
|
10,300 |
|
|
|
1,156,072 |
|
| Amgen, Inc. |
|
|
26,637 |
|
|
|
6,282,603 |
|
| Biogen, Inc.* |
|
|
7,460 |
|
|
|
1,995,923 |
|
| CSL Ltd. (Australia) |
|
|
110 |
|
|
|
21,977 |
|
| Gilead Sciences, Inc. |
|
|
56,700 |
|
|
|
4,362,498 |
|
| Incyte Corp.* |
|
|
8,200 |
|
|
|
852,554 |
|
| Regeneron Pharmaceuticals, Inc.* |
|
|
4,640 |
|
|
|
2,893,736 |
|
| Vertex Pharmaceuticals, Inc.* |
|
|
11,800 |
|
|
|
3,425,658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,816,065 |
|
|
|
|
|
|
|
|
|
|
| Building Products — 0.2% |
|
|
|
|
|
|
|
|
| A.O. Smith Corp. |
|
|
5,600 |
|
|
|
263,872 |
|
| Allegion PLC(a) |
|
|
4,033 |
|
|
|
412,253 |
|
| Carrier Global Corp. |
|
|
35,702 |
|
|
|
793,299 |
|
| Cie de Saint-Gobain (France)* |
|
|
1,700 |
|
|
|
61,686 |
|
| Fortune Brands Home & Security, Inc. |
|
|
6,600 |
|
|
|
421,938 |
|
| Geberit AG (Switzerland) |
|
|
128 |
|
|
|
64,352 |
|
| Johnson Controls International PLC |
|
|
33,622 |
|
|
|
1,147,855 |
|
| Kingspan Group PLC (Ireland) |
|
|
527 |
|
|
|
34,122 |
|
| Masco Corp. |
|
|
11,900 |
|
|
|
597,499 |
|
| Trane Technologies PLC |
|
|
10,700 |
|
|
|
952,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,748,962 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 1.3% |
|
|
|
|
|
|
|
|
| Ameriprise Financial, Inc. |
|
|
5,520 |
|
|
|
828,221 |
|
| Bank of New York Mellon Corp. (The) |
|
|
36,458 |
|
|
|
1,409,102 |
|
| BlackRock, Inc. |
|
|
7,000 |
|
|
|
3,808,630 |
|
| Cboe Global Markets, Inc. |
|
|
5,100 |
|
|
|
475,728 |
|
| Charles Schwab Corp. (The) |
|
|
51,850 |
|
|
|
1,749,419 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Capital Markets (cont’d.) |
|
|
|
|
|
|
|
|
| CME Group, Inc. |
|
|
16,300 |
|
|
$ |
2,649,402 |
|
| Credit Suisse Group AG (Switzerland) |
|
|
8,463 |
|
|
|
88,597 |
|
| Deutsche Boerse AG (Germany) |
|
|
655 |
|
|
|
119,021 |
|
| E*TRADE Financial Corp. |
|
|
9,720 |
|
|
|
483,376 |
|
| Franklin Resources, Inc.(a) |
|
|
11,900 |
|
|
|
249,543 |
|
| Goldman Sachs Group, Inc. (The) |
|
|
14,000 |
|
|
|
2,766,680 |
|
| Hargreaves Lansdown PLC (United Kingdom) |
|
|
1,170 |
|
|
|
23,703 |
|
| Hong Kong Exchanges & Clearing Ltd. (Hong Kong) |
|
|
4,200 |
|
|
|
179,672 |
|
| Intercontinental Exchange, Inc. |
|
|
24,755 |
|
|
|
2,267,558 |
|
| Invesco Ltd.(a) |
|
|
16,000 |
|
|
|
172,160 |
|
| Magellan Financial Group Ltd. (Australia) |
|
|
8,343 |
|
|
|
341,117 |
|
| MarketAxess Holdings, Inc. |
|
|
1,720 |
|
|
|
861,582 |
|
| Moody’s Corp. |
|
|
7,350 |
|
|
|
2,019,265 |
|
| Morgan Stanley |
|
|
54,580 |
|
|
|
2,636,214 |
|
| MSCI, Inc. |
|
|
4,000 |
|
|
|
1,335,280 |
|
| Nasdaq, Inc. |
|
|
5,100 |
|
|
|
609,297 |
|
| Nomura Holdings, Inc. (Japan) |
|
|
75,100 |
|
|
|
335,851 |
|
| Northern Trust Corp. |
|
|
9,200 |
|
|
|
729,928 |
|
| Raymond James Financial, Inc. |
|
|
5,900 |
|
|
|
406,097 |
|
| S&P Global, Inc. |
|
|
10,900 |
|
|
|
3,591,332 |
|
| Singapore Exchange Ltd. (Singapore) |
|
|
11,700 |
|
|
|
70,368 |
|
| Standard Life Aberdeen PLC (United Kingdom) |
|
|
8,750 |
|
|
|
29,155 |
|
| State Street Corp. |
|
|
15,900 |
|
|
|
1,010,445 |
|
| T. Rowe Price Group, Inc. |
|
|
10,300 |
|
|
|
1,272,050 |
|
| UBS Group AG (Switzerland) |
|
|
29,884 |
|
|
|
348,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,866,839 |
|
|
|
|
|
|
|
|
|
|
| Chemicals — 0.9% |
|
|
|
|
|
|
|
|
| Air Products & Chemicals, Inc. |
|
|
10,000 |
|
|
|
2,414,600 |
|
| Albemarle Corp.(a) |
|
|
5,100 |
|
|
|
393,771 |
|
| Arkema SA (France) |
|
|
275 |
|
|
|
26,426 |
|
| Asahi Kasei Corp. (Japan) |
|
|
4,300 |
|
|
|
35,297 |
|
| BASF SE (Germany) |
|
|
3,190 |
|
|
|
179,595 |
|
| Celanese Corp. |
|
|
5,600 |
|
|
|
483,504 |
|
| CF Industries Holdings, Inc. |
|
|
8,900 |
|
|
|
250,446 |
|
| Corteva, Inc. |
|
|
32,947 |
|
|
|
882,650 |
|
| Dow, Inc.(a) |
|
|
32,947 |
|
|
|
1,342,920 |
|
| DuPont de Nemours, Inc. |
|
|
33,247 |
|
|
|
1,766,413 |
|
| Eastman Chemical Co. |
|
|
6,400 |
|
|
|
445,696 |
|
| Ecolab, Inc. |
|
|
11,200 |
|
|
|
2,228,240 |
|
| Evonik Industries AG (Germany) |
|
|
756 |
|
|
|
19,332 |
|
| FMC Corp. |
|
|
6,200 |
|
|
|
617,644 |
|
| Givaudan SA (Switzerland) |
|
|
32 |
|
|
|
119,754 |
|
| International Flavors & Fragrances, Inc.(a) |
|
|
5,000 |
|
|
|
612,300 |
|
| Linde PLC (United Kingdom) |
|
|
23,800 |
|
|
|
5,048,218 |
|
| LyondellBasell Industries NV (Class A Stock) |
|
|
11,700 |
|
|
|
768,924 |
|
| Mosaic Co. (The) |
|
|
15,600 |
|
|
|
195,156 |
|
| Nissan Chemical Corp. (Japan) |
|
|
500 |
|
|
|
25,659 |
|
| Orica Ltd. (Australia) |
|
|
1,990 |
|
|
|
23,078 |
|
| PPG Industries, Inc. |
|
|
11,000 |
|
|
|
1,166,660 |
|
| Sherwin-Williams Co. (The) |
|
|
3,750 |
|
|
|
2,166,938 |
|
| Shin-Etsu Chemical Co. Ltd. (Japan) |
|
|
1,200 |
|
|
|
140,447 |
|
| Showa Denko KK (Japan) |
|
|
200 |
|
|
|
4,477 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A3
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Chemicals (cont’d.) |
|
|
|
|
|
|
|
|
| Symrise AG (Germany) |
|
|
104 |
|
|
$ |
12,117 |
|
| Tosoh Corp. (Japan) |
|
|
5,600 |
|
|
|
76,374 |
|
| Yara International ASA (Norway) |
|
|
1,334 |
|
|
|
46,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,493,147 |
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies — 0.2% |
|
|
|
|
|
| Cintas Corp. |
|
|
3,900 |
|
|
|
1,038,804 |
|
| Copart, Inc.* |
|
|
9,800 |
|
|
|
816,046 |
|
| Dai Nippon Printing Co. Ltd. (Japan) |
|
|
900 |
|
|
|
20,626 |
|
| Republic Services, Inc. |
|
|
9,565 |
|
|
|
784,808 |
|
| Rollins, Inc. |
|
|
6,600 |
|
|
|
279,774 |
|
| Secom Co. Ltd. (Japan) |
|
|
800 |
|
|
|
69,919 |
|
| Toppan Printing Co. Ltd. (Japan) |
|
|
5,000 |
|
|
|
83,486 |
|
| Waste Management, Inc. |
|
|
17,542 |
|
|
|
1,857,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,951,336 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment — 0.5% |
|
|
|
|
|
|
|
|
| Arista Networks, Inc.*(a) |
|
|
2,600 |
|
|
|
546,078 |
|
| Cisco Systems, Inc. |
|
|
191,800 |
|
|
|
8,945,552 |
|
| F5 Networks, Inc.* |
|
|
2,900 |
|
|
|
404,492 |
|
| Juniper Networks, Inc. |
|
|
14,200 |
|
|
|
324,612 |
|
| Motorola Solutions, Inc. |
|
|
7,689 |
|
|
|
1,077,459 |
|
| Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) |
|
|
10,677 |
|
|
|
99,016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,397,209 |
|
|
|
|
|
|
|
|
|
|
| Construction & Engineering — 0.1% |
|
|
|
|
|
|
|
|
| ACS Actividades de Construccion y Servicios SA (Spain) |
|
|
5,655 |
|
|
|
143,731 |
|
| Eiffage SA (France)* |
|
|
271 |
|
|
|
24,873 |
|
| HOCHTIEF AG (Germany) |
|
|
88 |
|
|
|
7,873 |
|
| Jacobs Engineering Group, Inc. |
|
|
6,300 |
|
|
|
534,240 |
|
| Obayashi Corp. (Japan) |
|
|
31,100 |
|
|
|
290,670 |
|
| Quanta Services, Inc. |
|
|
6,100 |
|
|
|
239,303 |
|
| Shimizu Corp. (Japan) |
|
|
33,600 |
|
|
|
275,957 |
|
| Skanska AB (Sweden) (Class B Stock)* |
|
|
1,152 |
|
|
|
23,542 |
|
| Taisei Corp. (Japan) |
|
|
700 |
|
|
|
25,458 |
|
| Vinci SA (France) |
|
|
920 |
|
|
|
84,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,650,603 |
|
|
|
|
|
|
|
|
|
|
| Construction Materials — 0.1% |
|
|
|
|
|
|
|
|
| CRH PLC (Ireland) |
|
|
2,786 |
|
|
|
96,052 |
|
| HeidelbergCement AG (Germany) |
|
|
3,565 |
|
|
|
191,975 |
|
| LafargeHolcim Ltd. (Switzerland)* |
|
|
6,970 |
|
|
|
309,333 |
|
| Martin Marietta Materials, Inc. |
|
|
2,800 |
|
|
|
578,396 |
|
| Vulcan Materials Co. |
|
|
6,000 |
|
|
|
695,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,870,856 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance — 0.2% |
|
|
|
|
|
|
|
|
| American Express Co. |
|
|
29,900 |
|
|
|
2,846,480 |
|
| Capital One Financial Corp. |
|
|
20,561 |
|
|
|
1,286,913 |
|
| Discover Financial Services |
|
|
13,940 |
|
|
|
698,255 |
|
| Synchrony Financial |
|
|
22,872 |
|
|
|
506,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,338,491 |
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging — 0.2% |
|
|
|
|
|
|
|
|
| Amcor PLC(a) |
|
|
70,650 |
|
|
|
721,337 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Containers & Packaging (cont’d.) |
|
|
|
|
|
|
|
|
| Avery Dennison Corp. |
|
|
3,800 |
|
|
$ |
433,542 |
|
| Ball Corp. |
|
|
14,800 |
|
|
|
1,028,452 |
|
| International Paper Co. |
|
|
16,673 |
|
|
|
587,056 |
|
| Packaging Corp. of America |
|
|
4,200 |
|
|
|
419,160 |
|
| Sealed Air Corp. |
|
|
6,700 |
|
|
|
220,095 |
|
| Westrock Co. |
|
|
10,444 |
|
|
|
295,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,704,789 |
|
|
|
|
|
|
|
|
|
|
| Distributors — 0.0% |
|
|
|
|
|
|
|
|
| Genuine Parts Co. |
|
|
6,500 |
|
|
|
565,240 |
|
| LKQ Corp.* |
|
|
12,200 |
|
|
|
319,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
884,880 |
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services — 0.0% |
|
|
|
|
|
| H&R Block, Inc. |
|
|
8,600 |
|
|
|
122,808 |
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.6% |
|
|
|
|
|
| Berkshire Hathaway, Inc. (Class B Stock)* |
|
|
88,000 |
|
|
|
15,708,880 |
|
| EXOR NV (Netherlands) |
|
|
377 |
|
|
|
21,735 |
|
| M&G PLC (United Kingdom) |
|
|
35,259 |
|
|
|
73,455 |
|
| ORIX Corp. (Japan) |
|
|
4,500 |
|
|
|
55,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,859,520 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services — 0.9% |
|
|
|
|
|
| AT&T, Inc. |
|
|
322,336 |
|
|
|
9,744,217 |
|
| CenturyLink, Inc.(a) |
|
|
41,379 |
|
|
|
415,031 |
|
| Deutsche Telekom AG (Germany) |
|
|
14,249 |
|
|
|
241,050 |
|
| Elisa OYJ (Finland) |
|
|
504 |
|
|
|
30,658 |
|
| Nippon Telegraph & Telephone Corp. (Japan) |
|
|
16,400 |
|
|
|
382,206 |
|
| Orange SA (France) |
|
|
5,325 |
|
|
|
63,813 |
|
| Proximus SADP (Belgium) |
|
|
560 |
|
|
|
11,432 |
|
| Telecom Italia SpA (Italy), RSP |
|
|
22,010 |
|
|
|
8,575 |
|
| Telefonica Deutschland Holding AG (Germany) |
|
|
52,242 |
|
|
|
155,093 |
|
| Telenor ASA (Norway) |
|
|
1,512 |
|
|
|
22,054 |
|
| United Internet AG (Germany) |
|
|
357 |
|
|
|
15,217 |
|
| Verizon Communications, Inc. |
|
|
187,176 |
|
|
|
10,319,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,408,359 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.9% |
|
|
|
|
|
|
|
|
| Alliant Energy Corp. |
|
|
11,200 |
|
|
|
535,808 |
|
| American Electric Power Co., Inc. |
|
|
22,460 |
|
|
|
1,788,714 |
|
| Chubu Electric Power Co., Inc. (Japan) |
|
|
22,900 |
|
|
|
286,938 |
|
| CK Infrastructure Holdings Ltd. (Hong Kong) |
|
|
2,500 |
|
|
|
12,892 |
|
| Duke Energy Corp.(a) |
|
|
33,261 |
|
|
|
2,657,221 |
|
| Edison International |
|
|
16,700 |
|
|
|
906,977 |
|
| Endesa SA (Spain) |
|
|
1,140 |
|
|
|
28,161 |
|
| Enel SpA (Italy) |
|
|
46,695 |
|
|
|
404,443 |
|
| Entergy Corp. |
|
|
8,900 |
|
|
|
834,909 |
|
| Evergy, Inc. |
|
|
10,600 |
|
|
|
628,474 |
|
| Eversource Energy |
|
|
15,200 |
|
|
|
1,265,704 |
|
| Exelon Corp. |
|
|
43,413 |
|
|
|
1,575,458 |
|
| FirstEnergy Corp. |
|
|
24,406 |
|
|
|
946,465 |
|
| Fortum OYJ (Finland) |
|
|
1,519 |
|
|
|
29,057 |
|
| Iberdrola SA (Spain) |
|
|
50,227 |
|
|
|
583,816 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A4
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Electric Utilities (cont’d.) |
|
|
|
|
|
|
|
|
| Kansai Electric Power Co., Inc. (The) (Japan) |
|
|
11,700 |
|
|
$ |
111,816 |
|
| NextEra Energy, Inc. |
|
|
22,200 |
|
|
|
5,331,774 |
|
| NRG Energy, Inc. |
|
|
10,400 |
|
|
|
338,624 |
|
| Pinnacle West Capital Corp.(a) |
|
|
5,300 |
|
|
|
388,437 |
|
| PPL Corp. |
|
|
34,200 |
|
|
|
883,728 |
|
| Southern Co. (The) |
|
|
47,800 |
|
|
|
2,478,430 |
|
| Terna Rete Elettrica Nazionale SpA (Italy) |
|
|
4,836 |
|
|
|
33,359 |
|
| Tohoku Electric Power Co., Inc. (Japan) |
|
|
1,500 |
|
|
|
14,273 |
|
| Xcel Energy, Inc. |
|
|
23,810 |
|
|
|
1,488,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,553,603 |
|
|
|
|
|
|
|
|
|
|
| Electrical Equipment — 0.2% |
|
|
|
|
|
|
|
|
| ABB Ltd. (Switzerland) |
|
|
6,374 |
|
|
|
144,565 |
|
| AMETEK, Inc. |
|
|
10,300 |
|
|
|
920,511 |
|
| Eaton Corp. PLC |
|
|
18,137 |
|
|
|
1,586,625 |
|
| Emerson Electric Co. |
|
|
27,000 |
|
|
|
1,674,810 |
|
| Fuji Electric Co. Ltd. (Japan) |
|
|
500 |
|
|
|
13,670 |
|
| Legrand SA (France) |
|
|
910 |
|
|
|
69,579 |
|
| Rockwell Automation, Inc. |
|
|
5,500 |
|
|
|
1,171,500 |
|
| Schneider Electric SE (France) |
|
|
4,417 |
|
|
|
494,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,075,611 |
|
|
|
|
|
|
|
|
|
|
| Electronic Equipment, Instruments & Components — 0.3% |
|
| Amphenol Corp. (Class A Stock) |
|
|
13,300 |
|
|
|
1,274,273 |
|
| CDW Corp. |
|
|
6,500 |
|
|
|
755,170 |
|
| Corning, Inc. |
|
|
34,200 |
|
|
|
885,780 |
|
| FLIR Systems, Inc. |
|
|
6,100 |
|
|
|
247,477 |
|
| Hexagon AB (Sweden) (Class B Stock)* |
|
|
3,791 |
|
|
|
223,033 |
|
| Hitachi Ltd. (Japan) |
|
|
3,300 |
|
|
|
104,832 |
|
| IPG Photonics Corp.* |
|
|
1,700 |
|
|
|
272,663 |
|
| Keysight Technologies, Inc.* |
|
|
8,400 |
|
|
|
846,552 |
|
| Murata Manufacturing Co. Ltd. (Japan) |
|
|
2,100 |
|
|
|
123,125 |
|
| TDK Corp. (Japan) |
|
|
500 |
|
|
|
49,653 |
|
| TE Connectivity Ltd. |
|
|
14,900 |
|
|
|
1,215,095 |
|
| Venture Corp. Ltd. (Singapore) |
|
|
1,000 |
|
|
|
11,671 |
|
| Zebra Technologies Corp. (Class A Stock)* |
|
|
2,430 |
|
|
|
621,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,631,283 |
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services — 0.1% |
|
|
|
|
|
|
|
|
| Baker Hughes Co. |
|
|
28,798 |
|
|
|
443,201 |
|
| Halliburton Co. |
|
|
37,100 |
|
|
|
481,558 |
|
| National Oilwell Varco, Inc. |
|
|
14,100 |
|
|
|
172,725 |
|
| Schlumberger Ltd. |
|
|
60,324 |
|
|
|
1,109,359 |
|
| TechnipFMC PLC (United Kingdom) |
|
|
18,400 |
|
|
|
125,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,332,699 |
|
|
|
|
|
|
|
|
|
|
| Entertainment — 1.0% |
|
|
|
|
|
|
|
|
| Activision Blizzard, Inc. |
|
|
34,900 |
|
|
|
2,648,910 |
|
| Electronic Arts, Inc.* |
|
|
13,100 |
|
|
|
1,729,855 |
|
| Live Nation Entertainment, Inc.* |
|
|
6,000 |
|
|
|
265,980 |
|
| Netflix, Inc.* |
|
|
19,970 |
|
|
|
9,087,149 |
|
| Nexon Co. Ltd. (Japan) |
|
|
1,800 |
|
|
|
40,654 |
|
| Nintendo Co. Ltd. (Japan) |
|
|
700 |
|
|
|
312,863 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Entertainment (cont’d.) |
|
|
|
|
|
|
|
|
| Take-Two Interactive Software, Inc.* |
|
|
5,300 |
|
|
$ |
739,721 |
|
| Walt Disney Co. (The) |
|
|
81,782 |
|
|
|
9,119,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,944,643 |
|
|
|
|
|
|
|
|
|
|
| Equity Real Estate Investment Trusts (REITs) — 1.3% |
|
| Alexandria Real Estate Equities, Inc. |
|
|
5,600 |
|
|
|
908,600 |
|
| American Tower Corp. |
|
|
20,060 |
|
|
|
5,186,312 |
|
| Apartment Investment & Management Co. (Class A Stock) |
|
|
6,936 |
|
|
|
261,071 |
|
| AvalonBay Communities, Inc. |
|
|
6,575 |
|
|
|
1,016,758 |
|
| Boston Properties, Inc. |
|
|
6,500 |
|
|
|
587,470 |
|
| British Land Co. PLC (The) (United Kingdom) |
|
|
3,024 |
|
|
|
14,531 |
|
| CapitaLand Commercial Trust (Singapore) |
|
|
9,800 |
|
|
|
11,964 |
|
| Crown Castle International Corp. |
|
|
18,900 |
|
|
|
3,162,915 |
|
| Daiwa House REIT Investment Corp. (Japan) |
|
|
7 |
|
|
|
16,477 |
|
| Digital Realty Trust, Inc.(a) |
|
|
12,100 |
|
|
|
1,719,531 |
|
| Duke Realty Corp. |
|
|
16,500 |
|
|
|
583,935 |
|
| Equinix, Inc. |
|
|
4,054 |
|
|
|
2,847,124 |
|
| Equity Residential |
|
|
16,300 |
|
|
|
958,766 |
|
| Essex Property Trust, Inc. |
|
|
3,150 |
|
|
|
721,886 |
|
| Extra Space Storage, Inc. |
|
|
5,800 |
|
|
|
535,746 |
|
| Federal Realty Investment Trust |
|
|
3,300 |
|
|
|
281,193 |
|
| GLP J-REIT (Japan) |
|
|
13 |
|
|
|
18,860 |
|
| Goodman Group (Australia) |
|
|
10,066 |
|
|
|
104,033 |
|
| Healthpeak Properties, Inc. |
|
|
23,400 |
|
|
|
644,904 |
|
| Host Hotels & Resorts, Inc.(a) |
|
|
29,682 |
|
|
|
320,269 |
|
| Iron Mountain, Inc.(a) |
|
|
11,002 |
|
|
|
287,152 |
|
| Japan Prime Realty Investment Corp. (Japan) |
|
|
9 |
|
|
|
26,444 |
|
| Japan Real Estate Investment Corp. (Japan) |
|
|
5 |
|
|
|
25,724 |
|
| Japan Retail Fund Investment Corp. (Japan) |
|
|
9 |
|
|
|
11,284 |
|
| Kimco Realty Corp.(a) |
|
|
18,700 |
|
|
|
240,108 |
|
| Klepierre SA (France) |
|
|
14,863 |
|
|
|
297,441 |
|
| Land Securities Group PLC (United Kingdom) |
|
|
2,508 |
|
|
|
17,205 |
|
| Mid-America Apartment Communities, Inc. |
|
|
5,300 |
|
|
|
607,751 |
|
| Prologis, Inc. |
|
|
33,477 |
|
|
|
3,124,408 |
|
| Public Storage(a) |
|
|
6,800 |
|
|
|
1,304,852 |
|
| Realty Income Corp. |
|
|
15,700 |
|
|
|
934,150 |
|
| Regency Centers Corp. |
|
|
7,900 |
|
|
|
362,531 |
|
| SBA Communications Corp. |
|
|
5,100 |
|
|
|
1,519,392 |
|
| Scentre Group (Australia) |
|
|
19,018 |
|
|
|
28,682 |
|
| Simon Property Group, Inc. |
|
|
14,193 |
|
|
|
970,517 |
|
| SL Green Realty Corp. |
|
|
3,300 |
|
|
|
162,657 |
|
| Stockland (Australia) |
|
|
122,505 |
|
|
|
283,621 |
|
| UDR, Inc. |
|
|
13,000 |
|
|
|
485,940 |
|
| United Urban Investment Corp. (Japan) |
|
|
11 |
|
|
|
11,918 |
|
| Ventas, Inc.(a) |
|
|
16,318 |
|
|
|
597,565 |
|
| Vornado Realty Trust(a) |
|
|
6,325 |
|
|
|
241,678 |
|
| Welltower, Inc. |
|
|
18,800 |
|
|
|
972,900 |
|
| Weyerhaeuser Co. |
|
|
33,318 |
|
|
|
748,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,164,587 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A5
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Food & Staples Retailing — 0.7% |
|
|
|
|
|
|
|
|
| Coles Group Ltd. (Australia) |
|
|
3,854 |
|
|
$ |
46,048 |
|
| Colruyt SA (Belgium) |
|
|
200 |
|
|
|
11,024 |
|
| Costco Wholesale Corp. |
|
|
20,000 |
|
|
|
6,064,200 |
|
| J Sainsbury PLC (United Kingdom) |
|
|
6,112 |
|
|
|
15,786 |
|
| Koninklijke Ahold Delhaize NV (Netherlands) |
|
|
13,656 |
|
|
|
373,745 |
|
| Kroger Co. (The) |
|
|
35,492 |
|
|
|
1,201,404 |
|
| Seven & i Holdings Co. Ltd. (Japan) |
|
|
2,000 |
|
|
|
65,290 |
|
| Sysco Corp. |
|
|
22,600 |
|
|
|
1,235,316 |
|
| Walgreens Boots Alliance, Inc. |
|
|
33,300 |
|
|
|
1,411,587 |
|
| Walmart, Inc. |
|
|
64,100 |
|
|
|
7,677,898 |
|
| Wm Morrison Supermarkets PLC (United Kingdom) |
|
|
8,409 |
|
|
|
19,944 |
|
| Woolworths Group Ltd. (Australia) |
|
|
11,871 |
|
|
|
306,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,428,650 |
|
|
|
|
|
|
|
|
|
|
| Food Products — 0.6% |
|
|
|
|
|
|
|
|
| Archer-Daniels-Midland Co. |
|
|
24,326 |
|
|
|
970,607 |
|
| Campbell Soup Co.(a) |
|
|
7,900 |
|
|
|
392,077 |
|
| Conagra Brands, Inc. |
|
|
21,500 |
|
|
|
756,155 |
|
| General Mills, Inc.(a) |
|
|
27,400 |
|
|
|
1,689,210 |
|
| Hershey Co. (The) |
|
|
6,700 |
|
|
|
868,454 |
|
| Hormel Foods Corp.(a) |
|
|
12,200 |
|
|
|
588,894 |
|
| J.M. Smucker Co. (The)(a) |
|
|
5,100 |
|
|
|
539,631 |
|
| Kellogg Co. |
|
|
11,800 |
|
|
|
779,508 |
|
| Kraft Heinz Co. (The) |
|
|
27,917 |
|
|
|
890,273 |
|
| Lamb Weston Holdings, Inc.(a) |
|
|
6,600 |
|
|
|
421,938 |
|
| McCormick & Co., Inc.(a) |
|
|
5,820 |
|
|
|
1,044,166 |
|
| MEIJI Holdings Co. Ltd. (Japan) |
|
|
400 |
|
|
|
31,827 |
|
| Mondelez International, Inc. (Class A Stock) |
|
|
64,553 |
|
|
|
3,300,595 |
|
| Nestle SA (Switzerland) |
|
|
7,758 |
|
|
|
860,385 |
|
| Orkla ASA (Norway) |
|
|
2,598 |
|
|
|
22,826 |
|
| Tate & Lyle PLC (United Kingdom) |
|
|
7,241 |
|
|
|
60,001 |
|
| Toyo Suisan Kaisha Ltd. (Japan) |
|
|
300 |
|
|
|
16,783 |
|
| Tyson Foods, Inc. (Class A Stock) |
|
|
13,300 |
|
|
|
794,143 |
|
| WH Group Ltd. (Hong Kong), 144A |
|
|
350,000 |
|
|
|
302,027 |
|
| Wilmar International Ltd. (China) |
|
|
3,900 |
|
|
|
11,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,340,977 |
|
|
|
|
|
|
|
|
|
|
| Gas Utilities — 0.0% |
|
|
|
|
|
|
|
|
| Atmos Energy Corp. |
|
|
5,900 |
|
|
|
587,522 |
|
| Enagas SA (Spain) |
|
|
1,262 |
|
|
|
30,926 |
|
| Naturgy Energy Group SA (Spain) |
|
|
9,092 |
|
|
|
169,226 |
|
| Snam SpA (Italy) |
|
|
6,780 |
|
|
|
33,121 |
|
| Tokyo Gas Co. Ltd. (Japan) |
|
|
900 |
|
|
|
21,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
842,318 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 1.8% |
|
|
|
|
|
| Abbott Laboratories |
|
|
80,000 |
|
|
|
7,314,400 |
|
| ABIOMED, Inc.* |
|
|
2,060 |
|
|
|
497,614 |
|
| Align Technology, Inc.* |
|
|
3,300 |
|
|
|
905,652 |
|
| Baxter International, Inc. |
|
|
23,000 |
|
|
|
1,980,300 |
|
| Becton, Dickinson & Co. |
|
|
13,410 |
|
|
|
3,208,611 |
|
| Boston Scientific Corp.* |
|
|
63,767 |
|
|
|
2,238,859 |
|
| Cooper Cos., Inc. (The) |
|
|
2,240 |
|
|
|
635,353 |
|
| Danaher Corp. |
|
|
28,500 |
|
|
|
5,039,655 |
|
| DENTSPLY SIRONA, Inc. |
|
|
9,600 |
|
|
|
422,976 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Health Care Equipment & Supplies (cont’d.) |
|
|
|
|
|
| DexCom, Inc.* |
|
|
4,200 |
|
|
$ |
1,702,680 |
|
| DiaSorin SpA (Italy) |
|
|
210 |
|
|
|
40,363 |
|
| Edwards Lifesciences Corp.* |
|
|
28,000 |
|
|
|
1,935,080 |
|
| Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) |
|
|
2,001 |
|
|
|
45,833 |
|
| Hologic, Inc.* |
|
|
11,500 |
|
|
|
655,500 |
|
| IDEXX Laboratories, Inc.* |
|
|
3,900 |
|
|
|
1,287,624 |
|
| Intuitive Surgical, Inc.* |
|
|
5,280 |
|
|
|
3,008,702 |
|
| Medtronic PLC |
|
|
60,690 |
|
|
|
5,565,273 |
|
| ResMed, Inc. |
|
|
6,700 |
|
|
|
1,286,400 |
|
| Siemens Healthineers AG (Germany), 144A |
|
|
515 |
|
|
|
24,793 |
|
| STERIS PLC |
|
|
3,850 |
|
|
|
590,744 |
|
| Stryker Corp. |
|
|
14,600 |
|
|
|
2,630,774 |
|
| Teleflex, Inc. |
|
|
2,200 |
|
|
|
800,756 |
|
| Varian Medical Systems, Inc.*(a) |
|
|
4,100 |
|
|
|
502,332 |
|
| West Pharmaceutical Services, Inc. |
|
|
3,500 |
|
|
|
795,095 |
|
| Zimmer Biomet Holdings, Inc. |
|
|
9,600 |
|
|
|
1,145,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,261,225 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 1.4% |
|
| Alfresa Holdings Corp. (Japan) |
|
|
3,500 |
|
|
|
73,060 |
|
| AmerisourceBergen Corp. |
|
|
6,900 |
|
|
|
695,313 |
|
| Anthem, Inc. |
|
|
11,400 |
|
|
|
2,997,972 |
|
| Cardinal Health, Inc. |
|
|
13,150 |
|
|
|
686,298 |
|
| Centene Corp.* |
|
|
26,250 |
|
|
|
1,668,187 |
|
| Cigna Corp. |
|
|
16,700 |
|
|
|
3,133,755 |
|
| CVS Health Corp. |
|
|
59,183 |
|
|
|
3,845,120 |
|
| DaVita, Inc.*(a) |
|
|
4,000 |
|
|
|
316,560 |
|
| Fresenius Medical Care AG & Co. KGaA (Germany)* |
|
|
1,450 |
|
|
|
125,102 |
|
| Fresenius SE & Co. KGaA (Germany)* |
|
|
5,716 |
|
|
|
285,627 |
|
| HCA Healthcare, Inc. |
|
|
11,800 |
|
|
|
1,145,308 |
|
| Henry Schein, Inc.*(a) |
|
|
6,800 |
|
|
|
397,052 |
|
| Humana, Inc. |
|
|
6,050 |
|
|
|
2,345,887 |
|
| Laboratory Corp. of America Holdings* |
|
|
4,600 |
|
|
|
764,106 |
|
| McKesson Corp. |
|
|
7,630 |
|
|
|
1,170,595 |
|
| Medipal Holdings Corp. (Japan) |
|
|
15,200 |
|
|
|
292,827 |
|
| Quest Diagnostics, Inc. |
|
|
6,200 |
|
|
|
706,552 |
|
| Suzuken Co. Ltd. (Japan) |
|
|
8,200 |
|
|
|
306,109 |
|
| UnitedHealth Group, Inc. |
|
|
42,960 |
|
|
|
12,671,052 |
|
| Universal Health Services, Inc. (Class B Stock) |
|
|
3,900 |
|
|
|
362,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,988,753 |
|
|
|
|
|
|
|
|
|
|
| Health Care Technology — 0.0% |
|
|
|
|
|
|
|
|
| Cerner Corp.(a) |
|
|
13,800 |
|
|
|
945,990 |
|
| M3, Inc. (Japan) |
|
|
1,000 |
|
|
|
42,522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
988,512 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.7% |
|
| Carnival Corp.(a) |
|
|
19,300 |
|
|
|
316,906 |
|
| Chipotle Mexican Grill, Inc.* |
|
|
1,170 |
|
|
|
1,231,261 |
|
| Darden Restaurants, Inc. |
|
|
5,950 |
|
|
|
450,832 |
|
| Domino’s Pizza, Inc. |
|
|
1,800 |
|
|
|
664,992 |
|
| Evolution Gaming Group AB (Sweden), 144A |
|
|
4,369 |
|
|
|
263,583 |
|
| Flutter Entertainment PLC (Ireland) |
|
|
468 |
|
|
|
61,726 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A6
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Hotels, Restaurants & Leisure (cont’d.) |
|
|
|
|
|
|
|
|
| Galaxy Entertainment Group Ltd. (Macau) |
|
|
8,000 |
|
|
$ |
54,497 |
|
| Hilton Worldwide Holdings, Inc. |
|
|
12,400 |
|
|
|
910,780 |
|
| Las Vegas Sands Corp. |
|
|
15,600 |
|
|
|
710,424 |
|
| Marriott International, Inc. (Class A Stock) |
|
|
12,128 |
|
|
|
1,039,733 |
|
| McDonald’s Corp. |
|
|
33,700 |
|
|
|
6,216,639 |
|
| McDonald’s Holdings Co. Japan Ltd. (Japan) |
|
|
1,600 |
|
|
|
86,304 |
|
| MGM Resorts International(a) |
|
|
20,800 |
|
|
|
349,440 |
|
| Norwegian Cruise Line Holdings Ltd.*(a) |
|
|
9,900 |
|
|
|
162,657 |
|
| Royal Caribbean Cruises Ltd.(a) |
|
|
7,300 |
|
|
|
367,190 |
|
| Starbucks Corp. |
|
|
52,900 |
|
|
|
3,892,911 |
|
| Wynn Resorts Ltd. |
|
|
4,700 |
|
|
|
350,103 |
|
| Yum! Brands, Inc. |
|
|
13,600 |
|
|
|
1,181,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,311,954 |
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.2% |
|
|
|
|
|
|
|
|
| Barratt Developments PLC (United Kingdom) |
|
|
3,530 |
|
|
|
21,847 |
|
| Berkeley Group Holdings PLC (United Kingdom) |
|
|
5,598 |
|
|
|
289,615 |
|
| Casio Computer Co. Ltd. (Japan) |
|
|
700 |
|
|
|
12,271 |
|
| D.R. Horton, Inc. |
|
|
15,000 |
|
|
|
831,750 |
|
| Garmin Ltd. |
|
|
6,500 |
|
|
|
633,750 |
|
| Husqvarna AB (Sweden) (Class B Stock) |
|
|
1,380 |
|
|
|
11,381 |
|
| Leggett & Platt, Inc. |
|
|
5,400 |
|
|
|
189,810 |
|
| Lennar Corp. (Class A Stock) |
|
|
12,400 |
|
|
|
764,088 |
|
| Mohawk Industries, Inc.* |
|
|
2,940 |
|
|
|
299,174 |
|
| Newell Brands, Inc. |
|
|
15,914 |
|
|
|
252,714 |
|
| NVR, Inc.* |
|
|
160 |
|
|
|
521,400 |
|
| Persimmon PLC (United Kingdom)* |
|
|
988 |
|
|
|
28,108 |
|
| PulteGroup, Inc. |
|
|
10,322 |
|
|
|
351,258 |
|
| Sekisui House Ltd. (Japan) |
|
|
2,200 |
|
|
|
41,869 |
|
| Sony Corp. (Japan) |
|
|
9,200 |
|
|
|
633,016 |
|
| Taylor Wimpey PLC (United Kingdom) |
|
|
10,680 |
|
|
|
18,995 |
|
| Whirlpool Corp.(a) |
|
|
3,026 |
|
|
|
391,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,293,004 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 0.8% |
|
|
|
|
|
|
|
|
| Church & Dwight Co., Inc. |
|
|
11,100 |
|
|
|
858,030 |
|
| Clorox Co. (The) |
|
|
5,700 |
|
|
|
1,250,409 |
|
| Colgate-Palmolive Co. |
|
|
38,800 |
|
|
|
2,842,488 |
|
| Essity AB (Sweden) (Class B Stock)* |
|
|
10,847 |
|
|
|
351,028 |
|
| Henkel AG & Co. KGaA (Germany) |
|
|
363 |
|
|
|
30,293 |
|
| Kimberly-Clark Corp. |
|
|
15,400 |
|
|
|
2,176,790 |
|
| Lion Corp. (Japan) |
|
|
800 |
|
|
|
19,216 |
|
| Procter & Gamble Co. (The) |
|
|
112,025 |
|
|
|
13,394,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,923,083 |
|
|
|
|
|
|
|
|
|
|
| Independent Power & Renewable Electricity Producers — 0.0% |
|
| AES Corp. (The) |
|
|
27,000 |
|
|
|
391,230 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates — 0.6% |
|
|
|
|
|
|
|
|
| 3M Co. |
|
|
26,100 |
|
|
|
4,071,339 |
|
| CK Hutchison Holdings Ltd. (United Kingdom) |
|
|
43,000 |
|
|
|
276,507 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Industrial Conglomerates (cont’d.) |
|
|
|
|
|
|
|
|
| General Electric Co. |
|
|
395,630 |
|
|
$ |
2,702,153 |
|
| Honeywell International, Inc. |
|
|
31,812 |
|
|
|
4,599,697 |
|
| Roper Technologies, Inc. |
|
|
4,720 |
|
|
|
1,832,587 |
|
| Siemens AG (Germany) |
|
|
2,653 |
|
|
|
314,798 |
|
| Toshiba Corp. (Japan) |
|
|
1,700 |
|
|
|
54,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,851,605 |
|
|
|
|
|
|
|
|
|
|
| Insurance — 0.9% |
|
|
|
|
|
| Admiral Group PLC (United Kingdom) |
|
|
672 |
|
|
|
19,118 |
|
| Aegon NV (Netherlands) |
|
|
96,981 |
|
|
|
291,013 |
|
| Aflac, Inc. |
|
|
32,400 |
|
|
|
1,167,372 |
|
| Ageas SA/NV (Belgium) |
|
|
624 |
|
|
|
22,197 |
|
| AIA Group Ltd. (Hong Kong) |
|
|
11,800 |
|
|
|
110,307 |
|
| Allianz SE (Germany) |
|
|
1,467 |
|
|
|
301,379 |
|
| Allstate Corp. (The) |
|
|
14,200 |
|
|
|
1,377,258 |
|
| American International Group, Inc. |
|
|
38,239 |
|
|
|
1,192,292 |
|
| Aon PLC (Class A Stock) |
|
|
10,500 |
|
|
|
2,022,300 |
|
| Arthur J Gallagher & Co. |
|
|
9,000 |
|
|
|
877,410 |
|
| Assurant, Inc. |
|
|
3,000 |
|
|
|
309,870 |
|
| Aviva PLC (United Kingdom) |
|
|
13,083 |
|
|
|
44,646 |
|
| Chubb Ltd. |
|
|
20,486 |
|
|
|
2,593,937 |
|
| Cincinnati Financial Corp. |
|
|
7,237 |
|
|
|
463,385 |
|
| Everest Re Group Ltd. |
|
|
1,840 |
|
|
|
379,408 |
|
| Globe Life, Inc.(a) |
|
|
4,325 |
|
|
|
321,045 |
|
| Hannover Rueck SE (Germany) |
|
|
135 |
|
|
|
23,390 |
|
| Hartford Financial Services Group, Inc. (The) |
|
|
16,400 |
|
|
|
632,220 |
|
| Japan Post Holdings Co. Ltd. (Japan) |
|
|
5,500 |
|
|
|
39,188 |
|
| Japan Post Insurance Co. Ltd. (Japan) |
|
|
8,300 |
|
|
|
109,347 |
|
| Legal & General Group PLC (United |
|
|
|
|
|
|
|
|
| Kingdom) |
|
|
120,873 |
|
|
|
330,666 |
|
| Lincoln National Corp. |
|
|
8,318 |
|
|
|
306,019 |
|
| Loews Corp. |
|
|
11,275 |
|
|
|
386,620 |
|
| Marsh & McLennan Cos., Inc. |
|
|
23,100 |
|
|
|
2,480,247 |
|
| Medibank Private Ltd. (Australia) |
|
|
9,681 |
|
|
|
20,033 |
|
| MetLife, Inc. |
|
|
34,850 |
|
|
|
1,272,722 |
|
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) |
|
|
506 |
|
|
|
131,967 |
|
| NN Group NV (Netherlands) |
|
|
10,176 |
|
|
|
342,530 |
|
| Principal Financial Group, Inc. |
|
|
10,900 |
|
|
|
452,786 |
|
| Progressive Corp. (The) |
|
|
26,500 |
|
|
|
2,122,915 |
|
| Sompo Holdings, Inc. (Japan) |
|
|
1,200 |
|
|
|
41,249 |
|
| Sony Financial Holdings, Inc. (Japan) |
|
|
600 |
|
|
|
14,435 |
|
| Swiss Life Holding AG (Switzerland)* |
|
|
719 |
|
|
|
267,821 |
|
| T&D Holdings, Inc. (Japan) |
|
|
2,000 |
|
|
|
17,074 |
|
| Travelers Cos., Inc. (The) |
|
|
11,435 |
|
|
|
1,304,162 |
|
| Unum Group |
|
|
6,610 |
|
|
|
109,660 |
|
| W.R. Berkley Corp. |
|
|
6,500 |
|
|
|
372,385 |
|
| Willis Towers Watson PLC |
|
|
6,040 |
|
|
|
1,189,578 |
|
| Zurich Insurance Group AG (Switzerland) |
|
|
505 |
|
|
|
178,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,638,819 |
|
|
|
|
|
|
|
|
|
|
| Interactive Media & Services — 2.6% |
|
|
|
|
|
| Alphabet, Inc. (Class A Stock)* |
|
|
13,580 |
|
|
|
19,257,119 |
|
| Alphabet, Inc. (Class C Stock)* |
|
|
13,283 |
|
|
|
18,776,981 |
|
| Facebook, Inc. (Class A Stock)* |
|
|
108,830 |
|
|
|
24,712,028 |
|
| Twitter, Inc.* |
|
|
34,900 |
|
|
|
1,039,671 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A7
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
| Interactive Media & Services (cont’d.) |
|
|
|
|
|
|
|
|
| Z Holdings Corp. (Japan) |
|
|
3,600 |
|
|
$ |
17,578 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
63,803,377 |
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail — 2.3% |
|
|
|
|
|
| Amazon.com, Inc.* |
|
|
19,010 |
|
|
|
52,445,168 |
|
| Booking Holdings, Inc.* |
|
|
1,920 |
|
|
|
3,057,293 |
|
| eBay, Inc. |
|
|
29,900 |
|
|
|
1,568,255 |
|
| Expedia Group, Inc. |
|
|
6,150 |
|
|
|
505,530 |
|
| Ocado Group PLC (United Kingdom)* |
|
|
1,485 |
|
|
|
37,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,613,696 |
|
|
|
|
|
|
|
|
|
|
| IT Services — 2.7% |
|
|
|
|
|
|
|
|
| Accenture PLC (Class A Stock) |
|
|
28,900 |
|
|
|
6,205,408 |
|
| Akamai Technologies, Inc.*(a) |
|
|
7,500 |
|
|
|
803,175 |
|
| Atos SE (France)* |
|
|
335 |
|
|
|
28,748 |
|
| Automatic Data Processing, Inc. |
|
|
19,500 |
|
|
|
2,903,355 |
|
| Broadridge Financial Solutions, Inc. |
|
|
5,100 |
|
|
|
643,569 |
|
| Capgemini SE (France) |
|
|
1,571 |
|
|
|
181,304 |
|
| Cognizant Technology Solutions Corp. (Class A Stock) |
|
|
24,500 |
|
|
|
1,392,090 |
|
| DXC Technology Co. |
|
|
11,328 |
|
|
|
186,912 |
|
| Fidelity National Information Services, Inc. |
|
|
28,000 |
|
|
|
3,754,520 |
|
| Fiserv, Inc.* |
|
|
25,500 |
|
|
|
2,489,310 |
|
| FleetCor Technologies, Inc.* |
|
|
3,800 |
|
|
|
955,814 |
|
| Fujitsu Ltd. (Japan) |
|
|
2,100 |
|
|
|
246,034 |
|
| Gartner, Inc.* |
|
|
4,400 |
|
|
|
533,852 |
|
| Global Payments, Inc. |
|
|
13,577 |
|
|
|
2,302,931 |
|
| International Business Machines Corp. |
|
|
40,200 |
|
|
|
4,854,954 |
|
| Jack Henry & Associates, Inc. |
|
|
3,500 |
|
|
|
644,105 |
|
| Leidos Holdings, Inc. |
|
|
6,400 |
|
|
|
599,488 |
|
| Mastercard, Inc. (Class A Stock) |
|
|
40,000 |
|
|
|
11,828,000 |
|
| NEC Corp. (Japan) |
|
|
400 |
|
|
|
19,169 |
|
| Nomura Research Institute Ltd. (Japan) |
|
|
9,700 |
|
|
|
264,849 |
|
| Otsuka Corp. (Japan) |
|
|
4,100 |
|
|
|
216,113 |
|
| Paychex, Inc. |
|
|
14,800 |
|
|
|
1,121,100 |
|
| PayPal Holdings, Inc.* |
|
|
53,200 |
|
|
|
9,269,036 |
|
| VeriSign, Inc.* |
|
|
4,600 |
|
|
|
951,418 |
|
| Visa, Inc. (Class A Stock)(a) |
|
|
76,400 |
|
|
|
14,758,188 |
|
| Western Union Co. (The)(a) |
|
|
17,610 |
|
|
|
380,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,534,170 |
|
|
|
|
|
|
|
|
|
|
| Leisure Products — 0.0% |
|
|
|
|
|
|
|
|
| Bandai Namco Holdings, Inc. (Japan) |
|
|
700 |
|
|
|
36,783 |
|
| Hasbro, Inc. |
|
|
5,700 |
|
|
|
427,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
463,998 |
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services — 0.6% |
|
|
|
|
|
|
|
|
| Agilent Technologies, Inc. |
|
|
13,814 |
|
|
|
1,220,743 |
|
| Bio-Rad Laboratories, Inc. (Class A Stock)* |
|
|
1,100 |
|
|
|
496,639 |
|
| Illumina, Inc.* |
|
|
6,700 |
|
|
|
2,481,345 |
|
| IQVIA Holdings, Inc.* |
|
|
8,000 |
|
|
|
1,135,040 |
|
| Mettler-Toledo International, Inc.* |
|
|
1,100 |
|
|
|
886,105 |
|
| PerkinElmer, Inc. |
|
|
5,300 |
|
|
|
519,877 |
|
| QIAGEN NV* |
|
|
786 |
|
|
|
33,792 |
|
| Sartorius Stedim Biotech (France) |
|
|
96 |
|
|
|
24,416 |
|
| Thermo Fisher Scientific, Inc. |
|
|
17,880 |
|
|
|
6,478,639 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
| Life Sciences Tools & Services (cont’d.) |
|
| Waters Corp.*(a) |
|
|
2,800 |
|
|
$ |
505,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,781,716 |
|
|
|
|
|
|
|
|
|
|
| Machinery — 0.7% |
|
|
|
|
|
|
|
|
| Alfa Laval AB (Sweden)* |
|
|
1,071 |
|
|
|
23,715 |
|
| Amada Co. Ltd. (Japan) |
|
|
27,900 |
|
|
|
228,089 |
|
| Atlas Copco AB (Sweden) (Class A Stock) |
|
|
10,643 |
|
|
|
453,396 |
|
| Atlas Copco AB (Sweden) (Class B Stock) |
|
|
1,378 |
|
|
|
50,972 |
|
| Caterpillar, Inc. |
|
|
24,500 |
|
|
|
3,099,250 |
|
| Cummins, Inc. |
|
|
6,700 |
|
|
|
1,160,842 |
|
| Deere & Co. |
|
|
14,180 |
|
|
|
2,228,387 |
|
| Dover Corp. |
|
|
6,400 |
|
|
|
617,984 |
|
| Epiroc AB (Sweden) (Class A Stock) |
|
|
7,936 |
|
|
|
99,407 |
|
| Epiroc AB (Sweden) (Class B Stock) |
|
|
1,360 |
|
|
|
16,695 |
|
| Flowserve Corp. |
|
|
4,200 |
|
|
|
119,784 |
|
| Fortive Corp. |
|
|
13,650 |
|
|
|
923,559 |
|
| GEA Group AG (Germany) |
|
|
561 |
|
|
|
17,848 |
|
| IDEX Corp. |
|
|
3,510 |
|
|
|
554,720 |
|
| Illinois Tool Works, Inc. |
|
|
13,000 |
|
|
|
2,273,050 |
|
| Ingersoll Rand, Inc.* |
|
|
14,600 |
|
|
|
410,552 |
|
| Kone OYJ (Finland) (Class B Stock) |
|
|
1,346 |
|
|
|
92,665 |
|
| MINEBEA MITSUMI, Inc. (Japan) |
|
|
1,300 |
|
|
|
23,594 |
|
| Nabtesco Corp. (Japan) |
|
|
400 |
(r) |
|
|
12,345 |
|
| Otis Worldwide Corp. |
|
|
18,601 |
|
|
|
1,057,653 |
|
| PACCAR, Inc. |
|
|
16,043 |
|
|
|
1,200,819 |
|
| Parker-Hannifin Corp. |
|
|
5,965 |
|
|
|
1,093,206 |
|
| Pentair PLC |
|
|
7,677 |
|
|
|
291,649 |
|
| Sandvik AB (Sweden)* |
|
|
997 |
|
|
|
18,868 |
|
| Schindler Holding AG (Switzerland) |
|
|
71 |
|
|
|
16,880 |
|
| SKF AB (Sweden) (Class B Stock) |
|
|
1,326 |
|
|
|
24,876 |
|
| Snap-on, Inc.(a) |
|
|
2,400 |
|
|
|
332,424 |
|
| Stanley Black & Decker, Inc. |
|
|
7,297 |
|
|
|
1,017,056 |
|
| Volvo AB (Sweden) (Class B Stock)* |
|
|
5,107 |
|
|
|
80,412 |
|
| Westinghouse Air Brake Technologies Corp. |
|
|
7,951 |
|
|
|
457,739 |
|
| Xylem, Inc. |
|
|
8,500 |
|
|
|
552,160 |
|
| Yangzijiang Shipbuilding Holdings Ltd. (China) |
|
|
13,600 |
|
|
|
9,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,559,719 |
|
|
|
|
|
|
|
|
|
|
| Marine — 0.0% |
|
|
|
|
|
|
|
|
| AP Moller - Maersk A/S (Denmark) (Class A Stock) |
|
|
12 |
|
|
|
13,085 |
|
|
|
|
|
|
|
|
|
|
| Media — 0.6% |
|
|
|
|
|
|
|
|
| Charter Communications, Inc. (Class A Stock)* |
|
|
6,840 |
|
|
|
3,488,673 |
|
| Comcast Corp. (Class A Stock) |
|
|
206,080 |
|
|
|
8,032,998 |
|
| Discovery, Inc. (Class A Stock)*(a) |
|
|
6,000 |
|
|
|
126,600 |
|
| Discovery, Inc. (Class C Stock)* |
|
|
14,100 |
|
|
|
271,566 |
|
| DISH Network Corp. (Class A Stock)* |
|
|
9,717 |
|
|
|
335,334 |
|
| Fox Corp. (Class A Stock)(a) |
|
|
14,200 |
|
|
|
380,844 |
|
| Fox Corp. (Class B Stock) |
|
|
6,633 |
|
|
|
178,030 |
|
| Interpublic Group of Cos., Inc. (The) |
|
|
16,431 |
|
|
|
281,956 |
|
| News Corp. (Class A Stock) |
|
|
16,175 |
|
|
|
191,835 |
|
| News Corp. (Class B Stock) |
|
|
4,800 |
|
|
|
57,360 |
|
| Omnicom Group, Inc.(a) |
|
|
9,300 |
|
|
|
507,780 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A8
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
| Media (cont’d.) |
|
|
|
|
|
|
|
|
| Publicis Groupe SA (France) |
|
|
6,462 |
|
|
$ |
210,120 |
|
| Telenet Group Holding NV (Belgium) |
|
|
6,020 |
|
|
|
248,698 |
|
| ViacomCBS, Inc. (Class B Stock)(a) |
|
|
22,530 |
|
|
|
525,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,837,194 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.2% |
|
|
|
|
|
|
|
|
| Alumina Ltd. (Australia) |
|
|
8,448 |
|
|
|
9,585 |
|
| Anglo American PLC (South Africa) |
|
|
15,280 |
|
|
|
357,798 |
|
| ArcelorMittal SA (Luxembourg)* |
|
|
2,502 |
|
|
|
26,842 |
|
| BHP Group Ltd. (Australia) |
|
|
10,236 |
|
|
|
255,067 |
|
| BHP Group PLC (Australia) |
|
|
13,769 |
|
|
|
284,392 |
|
| BlueScope Steel Ltd. (Australia) |
|
|
821 |
|
|
|
6,673 |
|
| Boliden AB (Sweden) |
|
|
945 |
|
|
|
21,663 |
|
| Evolution Mining Ltd. (Australia) |
|
|
5,566 |
|
|
|
22,043 |
|
| Fortescue Metals Group Ltd. (Australia). |
|
|
39,262 |
|
|
|
379,030 |
|
| Freeport-McMoRan, Inc. |
|
|
63,788 |
|
|
|
738,027 |
|
| Newcrest Mining Ltd. (Australia) |
|
|
2,607 |
|
|
|
57,617 |
|
| Newmont Corp. |
|
|
36,300 |
|
|
|
2,241,162 |
|
| Northern Star Resources Ltd. (Australia) |
|
|
2,472 |
|
|
|
23,243 |
|
| Nucor Corp. |
|
|
14,000 |
|
|
|
579,740 |
|
| Rio Tinto Ltd. (Australia) |
|
|
1,286 |
|
|
|
87,316 |
|
| Rio Tinto PLC (Australia) |
|
|
10,066 |
|
|
|
571,332 |
|
| Sumitomo Metal Mining Co. Ltd. (Japan) |
|
|
900 |
|
|
|
25,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,686,755 |
|
|
|
|
|
|
|
|
|
|
| Multiline Retail — 0.3% |
|
|
|
|
|
|
|
|
| Dollar General Corp. |
|
|
11,400 |
|
|
|
2,171,814 |
|
| Dollar Tree, Inc.* |
|
|
10,965 |
|
|
|
1,016,236 |
|
| Kohl’s Corp. |
|
|
4,700 |
|
|
|
97,619 |
|
| Pan Pacific International Holdings Corp. (Japan) |
|
|
1,500 |
|
|
|
32,946 |
|
| Target Corp. |
|
|
22,600 |
|
|
|
2,710,418 |
|
| Wesfarmers Ltd. (Australia) |
|
|
3,921 |
|
|
|
122,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,151,279 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 0.5% |
|
|
|
|
|
|
|
|
| AGL Energy Ltd. (Australia) |
|
|
2,317 |
|
|
|
27,442 |
|
| Ameren Corp.(a) |
|
|
11,500 |
|
|
|
809,140 |
|
| CenterPoint Energy, Inc. |
|
|
20,900 |
|
|
|
390,203 |
|
| CMS Energy Corp.(a) |
|
|
13,100 |
|
|
|
765,302 |
|
| Consolidated Edison, Inc. |
|
|
15,000 |
|
|
|
1,078,950 |
|
| Dominion Energy, Inc. |
|
|
37,915 |
|
|
|
3,077,940 |
|
| DTE Energy Co. |
|
|
8,600 |
|
|
|
924,500 |
|
| National Grid PLC (United Kingdom) |
|
|
11,934 |
|
|
|
146,693 |
|
| NiSource, Inc. |
|
|
17,300 |
|
|
|
393,402 |
|
| Public Service Enterprise Group, Inc. |
|
|
22,400 |
|
|
|
1,101,184 |
|
| Sempra Energy(a) |
|
|
13,219 |
|
|
|
1,549,663 |
|
| WEC Energy Group, Inc. |
|
|
14,213 |
|
|
|
1,245,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,510,188 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 1.3% |
|
|
|
|
|
|
|
|
| Apache Corp. |
|
|
13,914 |
|
|
|
187,839 |
|
| Cabot Oil & Gas Corp. |
|
|
17,000 |
|
|
|
292,060 |
|
| Chevron Corp. |
|
|
84,522 |
|
|
|
7,541,898 |
|
| Concho Resources, Inc. |
|
|
8,900 |
|
|
|
458,350 |
|
| ConocoPhillips |
|
|
48,477 |
|
|
|
2,037,004 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Oil, Gas & Consumable Fuels (cont’d.) |
|
|
|
|
|
| Devon Energy Corp. |
|
|
13,500 |
|
|
$ |
153,090 |
|
| Diamondback Energy, Inc. |
|
|
7,200 |
|
|
|
301,104 |
|
| EOG Resources, Inc. |
|
|
26,300 |
|
|
|
1,332,358 |
|
| Exxon Mobil Corp. |
|
|
191,299 |
|
|
|
8,554,891 |
|
| Hess Corp. |
|
|
11,300 |
|
|
|
585,453 |
|
| HollyFrontier Corp. |
|
|
5,400 |
|
|
|
157,680 |
|
| Inpex Corp. (Japan) |
|
|
42,300 |
|
|
|
263,657 |
|
| Kinder Morgan, Inc. |
|
|
86,098 |
|
|
|
1,306,107 |
|
| Koninklijke Vopak NV (Netherlands) |
|
|
256 |
|
|
|
13,574 |
|
| Lundin Energy AB (Sweden) |
|
|
2,491 |
|
|
|
61,098 |
|
| Marathon Oil Corp.(a) |
|
|
28,782 |
|
|
|
176,146 |
|
| Marathon Petroleum Corp. |
|
|
29,419 |
|
|
|
1,099,682 |
|
| Neste OYJ (Finland) |
|
|
1,469 |
|
|
|
57,684 |
|
| Noble Energy, Inc. |
|
|
16,800 |
|
|
|
150,528 |
|
| Occidental Petroleum Corp.(a) |
|
|
39,104 |
|
|
|
715,603 |
|
| OMV AG (Austria)* |
|
|
6,338 |
|
|
|
214,501 |
|
| ONEOK, Inc. |
|
|
18,100 |
|
|
|
601,282 |
|
| Origin Energy Ltd. (Australia) |
|
|
60,060 |
|
|
|
244,947 |
|
| Phillips 66 |
|
|
19,738 |
|
|
|
1,419,162 |
|
| Pioneer Natural Resources Co. |
|
|
7,450 |
|
|
|
727,865 |
|
| Royal Dutch Shell PLC (Netherlands) (Class A Stock) |
|
|
14,702 |
|
|
|
235,889 |
|
| Royal Dutch Shell PLC (Netherlands) (Class B Stock) |
|
|
3,301 |
|
|
|
50,412 |
|
| Santos Ltd. (Australia) |
|
|
60,705 |
|
|
|
224,294 |
|
| TOTAL SA (France) |
|
|
8,086 |
|
|
|
312,481 |
|
| Valero Energy Corp. |
|
|
18,900 |
|
|
|
1,111,698 |
|
| Williams Cos., Inc. (The) |
|
|
52,900 |
|
|
|
1,006,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,594,495 |
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products — 0.0% |
|
|
|
|
|
|
|
|
| Oji Holdings Corp. (Japan) |
|
|
1,400 |
|
|
|
6,427 |
|
|
|
|
|
|
|
|
|
|
| Personal Products — 0.1% |
|
|
|
|
|
|
|
|
| Coty, Inc. (Class A Stock)(a) |
|
|
11,100 |
|
|
|
49,617 |
|
| Estee Lauder Cos., Inc. (The) (Class A Stock) |
|
|
10,400 |
|
|
|
1,962,272 |
|
| Kao Corp. (Japan) |
|
|
700 |
|
|
|
55,448 |
|
| L’Oreal SA (France)* |
|
|
351 |
|
|
|
112,883 |
|
| Unilever NV (United Kingdom) |
|
|
10,141 |
|
|
|
541,173 |
|
| Unilever PLC (United Kingdom) |
|
|
3,891 |
|
|
|
209,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,931,352 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 2.2% |
|
|
|
|
|
|
|
|
| Astellas Pharma, Inc. (Japan) |
|
|
24,600 |
|
|
|
410,499 |
|
| AstraZeneca PLC (United Kingdom) |
|
|
1,570 |
|
|
|
164,754 |
|
| Bayer AG (Germany) |
|
|
2,160 |
|
|
|
160,875 |
|
| Bristol-Myers Squibb Co. |
|
|
102,370 |
|
|
|
6,019,356 |
|
| Chugai Pharmaceutical Co. Ltd. (Japan) |
|
|
5,700 |
|
|
|
305,102 |
|
| Eisai Co. Ltd. (Japan) |
|
|
800 |
|
|
|
63,411 |
|
| Eli Lilly & Co. |
|
|
38,100 |
|
|
|
6,255,258 |
|
| GlaxoSmithKline PLC (United Kingdom) |
|
|
30,207 |
|
|
|
614,697 |
|
| Hikma Pharmaceuticals PLC (Jordan) |
|
|
512 |
|
|
|
14,109 |
|
| Johnson & Johnson |
|
|
119,258 |
|
|
|
16,771,253 |
|
| Kyowa Kirin Co. Ltd. (Japan) |
|
|
800 |
|
|
|
21,002 |
|
| Merck & Co., Inc. |
|
|
114,233 |
|
|
|
8,833,638 |
|
| Mylan NV* |
|
|
23,300 |
|
|
|
374,664 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A9
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Pharmaceuticals (cont’d.) |
|
|
|
|
|
|
|
|
| Novartis AG (Switzerland) |
|
|
10,988 |
|
|
$ |
961,885 |
|
| Novo Nordisk A/S (Denmark) (Class B Stock) |
|
|
6,084 |
|
|
|
396,607 |
|
| Ono Pharmaceutical Co. Ltd. (Japan) |
|
|
1,400 |
|
|
|
40,796 |
|
| Orion OYJ (Finland) (Class B Stock) |
|
|
2,255 |
|
|
|
108,906 |
|
| Otsuka Holdings Co. Ltd. (Japan) |
|
|
1,400 |
|
|
|
61,019 |
|
| Perrigo Co. PLC |
|
|
6,200 |
|
|
|
342,674 |
|
| Pfizer, Inc. |
|
|
251,270 |
|
|
|
8,216,529 |
|
| Recordati SpA (Italy) |
|
|
354 |
|
|
|
17,729 |
|
| Roche Holding AG (Switzerland) |
|
|
3,274 |
|
|
|
1,140,402 |
|
| Sanofi (France) |
|
|
4,491 |
|
|
|
460,364 |
|
| Shionogi & Co. Ltd. (Japan) |
|
|
2,700 |
|
|
|
169,031 |
|
| UCB SA (Belgium) |
|
|
440 |
|
|
|
51,142 |
|
| Zoetis, Inc. |
|
|
21,500 |
|
|
|
2,946,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,922,062 |
|
|
|
|
|
|
|
|
|
|
| Professional Services — 0.2% |
|
|
|
|
|
|
|
|
| Adecco Group AG (Switzerland) |
|
|
513 |
|
|
|
24,273 |
|
| Equifax, Inc. |
|
|
5,500 |
|
|
|
945,340 |
|
| IHS Markit Ltd. |
|
|
18,000 |
|
|
|
1,359,000 |
|
| Nielsen Holdings PLC |
|
|
13,200 |
|
|
|
196,152 |
|
| Nihon M&A Center, Inc. (Japan) |
|
|
400 |
|
|
|
18,258 |
|
| Recruit Holdings Co. Ltd. (Japan) |
|
|
9,300 |
|
|
|
320,521 |
|
| RELX PLC (United Kingdom) |
|
|
5,920 |
|
|
|
137,873 |
|
| Robert Half International, Inc.(a) |
|
|
4,700 |
|
|
|
248,301 |
|
| Teleperformance (France)* |
|
|
124 |
|
|
|
31,620 |
|
| Verisk Analytics, Inc. |
|
|
7,400 |
|
|
|
1,259,480 |
|
| Wolters Kluwer NV (Netherlands) |
|
|
4,522 |
|
|
|
354,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,895,632 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development — 0.0% |
|
| Aroundtown SA (Germany)* |
|
|
3,861 |
|
|
|
22,249 |
|
| CBRE Group, Inc. (Class A Stock)*(a) |
|
|
14,500 |
|
|
|
655,690 |
|
| CK Asset Holdings Ltd. (Hong Kong) |
|
|
11,500 |
|
|
|
68,632 |
|
| Daito Trust Construction Co. Ltd. (Japan) |
|
|
300 |
|
|
|
27,561 |
|
| Deutsche Wohnen SE (Germany) |
|
|
1,255 |
|
|
|
56,554 |
|
| Hulic Co. Ltd. (Japan) |
|
|
1,100 |
|
|
|
10,332 |
|
| Lendlease Group (Australia) |
|
|
2,334 |
|
|
|
20,166 |
|
| Mitsubishi Estate Co. Ltd. (Japan) |
|
|
4,100 |
|
|
|
60,879 |
|
| Nomura Real Estate Holdings, Inc. (Japan) |
|
|
8,700 |
|
|
|
161,345 |
|
| Sino Land Co. Ltd. (Hong Kong) |
|
|
10,000 |
|
|
|
12,590 |
|
| Wharf Real Estate Investment Co. Ltd. (Hong Kong) |
|
|
2,000 |
|
|
|
9,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,105,575 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail — 0.5% |
|
|
|
|
|
|
|
|
| Aurizon Holdings Ltd. (Australia) |
|
|
92,424 |
|
|
|
315,424 |
|
| CSX Corp. |
|
|
34,600 |
|
|
|
2,413,004 |
|
| J.B. Hunt Transport Services, Inc. |
|
|
4,100 |
|
|
|
493,394 |
|
| Kansas City Southern |
|
|
4,300 |
|
|
|
641,947 |
|
| Norfolk Southern Corp. |
|
|
11,600 |
|
|
|
2,036,612 |
|
| Old Dominion Freight Line, Inc. |
|
|
4,265 |
|
|
|
723,302 |
|
| Union Pacific Corp. |
|
|
30,700 |
|
|
|
5,190,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,814,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 2.3% |
|
| Advanced Micro Devices, Inc.* |
|
|
53,000 |
|
|
$ |
2,788,330 |
|
| Advantest Corp. (Japan) |
|
|
6,800 |
|
|
|
388,789 |
|
| Analog Devices, Inc. |
|
|
16,658 |
|
|
|
2,042,937 |
|
| Applied Materials, Inc. |
|
|
41,500 |
|
|
|
2,508,675 |
|
| ASML Holding NV (Netherlands) |
|
|
545 |
|
|
|
201,375 |
|
| Broadcom, Inc. |
|
|
18,080 |
|
|
|
5,706,229 |
|
| Infineon Technologies AG (Germany) |
|
|
4,264 |
|
|
|
101,219 |
|
| Intel Corp. |
|
|
191,500 |
|
|
|
11,457,445 |
|
| KLA Corp. |
|
|
7,050 |
|
|
|
1,371,084 |
|
| Lam Research Corp. |
|
|
6,570 |
|
|
|
2,125,132 |
|
| Lasertec Corp. (Japan) |
|
|
300 |
|
|
|
28,590 |
|
| Maxim Integrated Products, Inc. |
|
|
12,400 |
|
|
|
751,564 |
|
| Microchip Technology, Inc.(a) |
|
|
11,100 |
|
|
|
1,168,941 |
|
| Micron Technology, Inc.* |
|
|
50,300 |
|
|
|
2,591,456 |
|
| NVIDIA Corp. |
|
|
27,850 |
|
|
|
10,580,494 |
|
| Qorvo, Inc.* |
|
|
5,407 |
|
|
|
597,636 |
|
| QUALCOMM, Inc. |
|
|
50,900 |
|
|
|
4,642,589 |
|
| Skyworks Solutions, Inc. |
|
|
7,600 |
|
|
|
971,736 |
|
| STMicroelectronics NV (Switzerland) |
|
|
2,333 |
|
|
|
63,891 |
|
| SUMCO Corp. (Japan) |
|
|
3,200 |
|
|
|
49,446 |
|
| Texas Instruments, Inc.(a) |
|
|
41,500 |
|
|
|
5,269,255 |
|
| Tokyo Electron Ltd. (Japan) |
|
|
700 |
|
|
|
172,776 |
|
| Xilinx, Inc. |
|
|
11,000 |
|
|
|
1,082,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,661,879 |
|
|
|
|
|
|
|
|
|
|
| Software — 4.4% |
|
|
|
|
|
|
|
|
| Adobe, Inc.* |
|
|
21,800 |
|
|
|
9,489,758 |
|
| ANSYS, Inc.* |
|
|
4,000 |
|
|
|
1,166,920 |
|
| Autodesk, Inc.* |
|
|
10,000 |
|
|
|
2,391,900 |
|
| Cadence Design Systems, Inc.* |
|
|
12,700 |
|
|
|
1,218,692 |
|
| Check Point Software Technologies Ltd. (Israel)*(a) |
|
|
2,800 |
|
|
|
300,804 |
|
| Citrix Systems, Inc. |
|
|
5,400 |
|
|
|
798,714 |
|
| Fortinet, Inc.* |
|
|
6,100 |
|
|
|
837,347 |
|
| Intuit, Inc. |
|
|
11,800 |
|
|
|
3,495,042 |
|
| Microsoft Corp. |
|
|
343,090 |
|
|
|
69,822,246 |
|
| NortonLifeLock, Inc. |
|
|
22,978 |
|
|
|
455,654 |
|
| Oracle Corp. |
|
|
94,200 |
|
|
|
5,206,434 |
|
| Oracle Corp. (Japan) |
|
|
200 |
|
|
|
23,738 |
|
| Paycom Software, Inc.*(a) |
|
|
2,220 |
|
|
|
687,601 |
|
| salesforce.com, Inc.* |
|
|
40,750 |
|
|
|
7,633,697 |
|
| SAP SE (Germany) |
|
|
1,580 |
|
|
|
222,052 |
|
| ServiceNow, Inc.* |
|
|
8,670 |
|
|
|
3,511,870 |
|
| Synopsys, Inc.* |
|
|
7,000 |
|
|
|
1,365,000 |
|
| TeamViewer AG (Germany), 144A* |
|
|
450 |
|
|
|
24,769 |
|
| Trend Micro, Inc. (Japan) |
|
|
500 |
|
|
|
28,116 |
|
| Tyler Technologies, Inc.* |
|
|
1,600 |
|
|
|
555,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,235,362 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 1.1% |
|
|
|
|
|
|
|
|
| Advance Auto Parts, Inc. |
|
|
3,100 |
|
|
|
441,595 |
|
| AutoZone, Inc.* |
|
|
1,100 |
|
|
|
1,240,932 |
|
| Best Buy Co., Inc. |
|
|
10,625 |
|
|
|
927,244 |
|
| CarMax, Inc.*(a) |
|
|
7,500 |
|
|
|
671,625 |
|
| Gap, Inc. (The) |
|
|
9,500 |
|
|
|
119,890 |
|
| Hennes & Mauritz AB (Sweden) (Class B Stock) |
|
|
1,836 |
|
|
|
26,835 |
|
| Hikari Tsushin, Inc. (Japan) |
|
|
1,100 |
|
|
|
250,846 |
|
| Home Depot, Inc. (The) |
|
|
48,670 |
|
|
|
12,192,322 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A10
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Specialty Retail (cont’d.) |
|
|
|
|
|
|
|
|
| Industria de Diseno Textil SA (Spain) |
|
|
11,778 |
|
|
$ |
313,322 |
|
| JD Sports Fashion PLC (United Kingdom) |
|
|
27,482 |
|
|
|
212,798 |
|
| Kingfisher PLC (United Kingdom) |
|
|
7,480 |
|
|
|
20,463 |
|
| L Brands, Inc. |
|
|
7,206 |
|
|
|
107,874 |
|
| Lowe’s Cos., Inc. |
|
|
34,200 |
|
|
|
4,621,104 |
|
| Nitori Holdings Co. Ltd. (Japan) |
|
|
300 |
|
|
|
58,790 |
|
| O’Reilly Automotive, Inc.* |
|
|
3,400 |
|
|
|
1,433,678 |
|
| Ross Stores, Inc. |
|
|
16,100 |
|
|
|
1,372,364 |
|
| Tiffany & Co. |
|
|
5,220 |
|
|
|
636,527 |
|
| TJX Cos., Inc. (The) |
|
|
54,200 |
|
|
|
2,740,352 |
|
| Tractor Supply Co. |
|
|
5,300 |
|
|
|
698,487 |
|
| Ulta Beauty, Inc.* |
|
|
2,600 |
|
|
|
528,892 |
|
| Yamada Denki Co. Ltd. (Japan) |
|
|
2,300 |
|
|
|
11,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,627,345 |
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals — 2.8% |
|
| Apple, Inc. |
|
|
184,360 |
|
|
|
67,254,528 |
|
| Brother Industries Ltd. (Japan) |
|
|
5,300 |
|
|
|
95,650 |
|
| FUJIFILM Holdings Corp. (Japan) |
|
|
2,500 |
|
|
|
106,916 |
|
| Hewlett Packard Enterprise Co. |
|
|
55,348 |
|
|
|
538,536 |
|
| HP, Inc. |
|
|
64,448 |
|
|
|
1,123,329 |
|
| Logitech International SA (Switzerland) |
|
|
4,871 |
|
|
|
318,474 |
|
| NetApp, Inc. |
|
|
9,900 |
|
|
|
439,263 |
|
| Seagate Technology PLC(a) |
|
|
10,000 |
|
|
|
484,100 |
|
| Western Digital Corp. |
|
|
13,403 |
|
|
|
591,742 |
|
| Xerox Holdings Corp. |
|
|
8,190 |
|
|
|
125,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,077,763 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods — 0.3% |
|
|
|
|
|
| EssilorLuxottica SA (France)* |
|
|
702 |
|
|
|
90,437 |
|
| Hanesbrands, Inc. |
|
|
15,400 |
|
|
|
173,866 |
|
| Hermes International (France) |
|
|
380 |
|
|
|
319,312 |
|
| LVMH Moet Hennessy Louis Vuitton SE (France) |
|
|
955 |
|
|
|
424,682 |
|
| NIKE, Inc. (Class B Stock) |
|
|
56,100 |
|
|
|
5,500,605 |
|
| Pandora A/S (Denmark) |
|
|
342 |
|
|
|
18,702 |
|
| PVH Corp.(a) |
|
|
3,700 |
|
|
|
177,785 |
|
| Ralph Lauren Corp. |
|
|
2,500 |
|
|
|
181,300 |
|
| Swatch Group AG (The) (Switzerland) |
|
|
77 |
|
|
|
3,028 |
|
| Tapestry, Inc.(a) |
|
|
10,100 |
|
|
|
134,128 |
|
| Under Armour, Inc. (Class A Stock)* |
|
|
7,500 |
|
|
|
73,050 |
|
| Under Armour, Inc. (Class C Stock)* |
|
|
7,374 |
|
|
|
65,186 |
|
| VF Corp. |
|
|
14,100 |
|
|
|
859,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,021,335 |
|
|
|
|
|
|
|
|
|
|
| Tobacco — 0.4% |
|
|
|
|
|
|
|
|
| Altria Group, Inc. |
|
|
84,100 |
|
|
|
3,300,925 |
|
| British American Tobacco PLC (United Kingdom) |
|
|
15,271 |
|
|
|
589,330 |
|
| Imperial Brands PLC (United Kingdom) |
|
|
13,705 |
|
|
|
262,122 |
|
| Japan Tobacco, Inc. (Japan) |
|
|
18,000 |
|
|
|
333,955 |
|
| Philip Morris International, Inc. |
|
|
70,500 |
|
|
|
4,939,230 |
|
| Swedish Match AB (Sweden) |
|
|
567 |
|
|
|
40,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,465,575 |
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 0.1% |
|
|
|
|
|
| AerCap Holdings NV (Ireland)* |
|
|
4,100 |
|
|
|
126,280 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| COMMON STOCKS (continued) |
|
|
|
|
|
| Trading Companies & Distributors (cont’d.) |
|
|
|
|
|
| Ashtead Group PLC (United Kingdom) |
|
|
1,560 |
|
|
$ |
52,828 |
|
| Brenntag AG (Germany) |
|
|
513 |
|
|
|
27,059 |
|
| Bunzl PLC (United Kingdom) |
|
|
1,184 |
|
|
|
31,923 |
|
| Fastenal Co. |
|
|
26,000 |
|
|
|
1,113,840 |
|
| Ferguson PLC |
|
|
4,211 |
|
|
|
344,701 |
|
| ITOCHU Corp. (Japan) |
|
|
4,700 |
|
|
|
101,217 |
|
| Marubeni Corp. (Japan) |
|
|
5,400 |
|
|
|
24,430 |
|
| Mitsui & Co. Ltd. (Japan) |
|
|
5,600 |
|
|
|
82,785 |
|
| MonotaRO Co. Ltd. (Japan) |
|
|
500 |
|
|
|
20,025 |
|
| Toyota Tsusho Corp. (Japan) |
|
|
700 |
|
|
|
17,785 |
|
| United Rentals, Inc.* |
|
|
3,300 |
|
|
|
491,832 |
|
| W.W. Grainger, Inc. |
|
|
2,040 |
|
|
|
640,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,075,591 |
|
|
|
|
|
|
|
|
|
|
| Transportation Infrastructure — 0.0% |
|
|
|
|
|
| Aena SME SA (Spain), 144A* |
|
|
231 |
|
|
|
30,954 |
|
|
|
|
|
|
|
|
|
|
| Water Utilities — 0.0% |
|
|
|
|
|
|
|
|
| American Water Works Co., Inc. |
|
|
8,100 |
|
|
|
1,042,146 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 0.1% |
|
|
|
|
|
| KDDI Corp. (Japan) |
|
|
16,400 |
|
|
|
491,755 |
|
| NTT DOCOMO, Inc. (Japan) |
|
|
8,500 |
|
|
|
226,222 |
|
| Softbank Corp. (Japan) |
|
|
9,900 |
|
|
|
126,142 |
|
| T-Mobile US, Inc.* |
|
|
22,800 |
|
|
|
2,374,620 |
|
| Vodafone Group PLC (United Kingdom) |
|
|
5,190 |
|
|
|
8,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,227,020 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $373,390,752) |
|
|
|
|
|
|
1,204,111,031 |
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS — 0.4% |
|
|
|
|
|
| iShares Core S&P 500 ETF |
|
|
32,950 |
|
|
|
10,204,286 |
|
| iShares MSCI EAFE ETF |
|
|
3,059 |
|
|
|
186,201 |
|
|
|
|
|
|
|
|
|
|
| TOTAL EXCHANGE-TRADED FUNDS
(cost $8,447,220) |
|
|
|
10,390,487 |
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS — 0.1% |
|
|
|
|
|
| Automobiles — 0.0% |
|
|
|
|
|
|
|
|
| Bayerische Motoren Werke AG (Germany) (PRFC) |
|
|
75 |
|
|
|
3,641 |
|
| Porsche Automobil Holding SE (Germany) (PRFC)* |
|
|
540 |
|
|
|
31,281 |
|
| Volkswagen AG (Germany) (PRFC)* |
|
|
629 |
|
|
|
96,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131,092 |
|
|
|
|
|
|
|
|
|
|
| Banks — 0.0% |
|
|
|
|
|
|
|
|
| Citigroup Capital XIII, 7.130%, (Capital Security, fixed to floating preferred) |
|
|
20,000 |
|
|
|
530,000 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 0.1% |
|
|
|
|
|
|
|
|
| State Street Corp., 5.350%, (Capital Security, fixed to floating preferred)(rr) |
|
|
30,000 |
|
|
|
786,000 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 0.0% |
|
|
|
|
|
|
|
|
| Henkel AG & Co. KGaA (Germany) (PRFC) |
|
|
612 |
|
|
|
57,049 |
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCKS
(cost $1,457,449) |
|
|
|
|
|
|
1,504,141 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A11
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES — 7.8% |
|
| Automobiles — 2.3% |
|
| AmeriCredit Automobile Receivables Trust, |
|
| Series 2018-01, Class C |
|
| 3.500% |
|
|
01/18/24 |
|
|
|
|
|
|
|
1,200 |
|
|
$ |
1,248,546 |
|
| Series 2019-01, Class B |
|
| 3.130% |
|
|
02/18/25 |
|
|
|
|
|
|
|
600 |
|
|
|
623,046 |
|
| Series 2019-01, Class C |
|
| 3.360% |
|
|
02/18/25 |
|
|
|
|
|
|
|
700 |
|
|
|
727,448 |
|
| Series 2019-02, Class C |
|
| 2.740% |
|
|
04/18/25 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,441,205 |
|
| Series 2019-03, Class C |
|
| 2.320% |
|
|
07/18/25 |
|
|
|
|
|
|
|
2,300 |
|
|
|
2,345,905 |
|
| Avis Budget Rental Car Funding AESOP LLC, |
|
| Series 2018-02A, Class A, 144A |
|
| 4.000% |
|
|
03/20/25 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,110,130 |
|
| Series 2019-02A, Class A, 144A |
|
| 3.350% |
|
|
09/22/25 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,026,573 |
|
| Series 2019-03A, Class A, 144A |
|
| 2.360% |
|
|
03/20/26 |
|
|
|
|
|
|
|
2,700 |
|
|
|
2,662,192 |
|
| Series 2020-01A, Class A, 144A |
|
| 2.330% |
|
|
08/20/26 |
|
|
|
|
|
|
|
1,300 |
|
|
|
1,242,315 |
|
| Drive Auto Receivables Trust, |
|
| Series 2019-03, Class B |
|
| 2.650% |
|
|
02/15/24 |
|
|
|
|
|
|
|
900 |
|
|
|
907,970 |
|
| Ford Auto Securitization Trust (Canada), |
|
| Series 2019-BA, Class A2, 144A |
|
| 2.321% |
|
|
10/15/23 |
|
|
|
|
|
|
|
CAD 1,700 |
|
|
|
1,258,596 |
|
| Ford Credit Auto Owner Trust, |
|
| Series 2017-02, Class A, 144A |
|
| 2.360% |
|
|
03/15/29 |
|
|
|
|
|
|
|
4,200 |
|
|
|
4,321,835 |
|
| Series 2018-01, Class A, 144A |
|
| 3.190% |
|
|
07/15/31 |
|
|
|
|
|
|
|
2,700 |
|
|
|
2,891,203 |
|
| Series 2018-02, Class A, 144A |
|
| 3.470% |
|
|
01/15/30 |
|
|
|
|
|
|
|
2,200 |
|
|
|
2,328,223 |
|
| Series 2019-01, Class A, 144A |
|
| 3.520% |
|
|
07/15/30 |
|
|
|
|
|
|
|
3,900 |
|
|
|
4,172,092 |
|
| Series 2020-01, Class A, 144A |
|
| 2.040% |
|
|
08/15/31 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,540,307 |
|
| Ford Credit Floorplan Master Owner Trust, |
|
| Series 2017-03, Class A |
|
| 2.480% |
|
|
09/15/24 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,415,907 |
|
| Series 2018-02, Class A |
|
| 3.170% |
|
|
03/15/25 |
|
|
|
|
|
|
|
9,700 |
|
|
|
9,981,120 |
|
| Series 2019-02, Class A |
|
| 3.060% |
|
|
04/15/26 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,046,124 |
|
| GM Financial Consumer Automobile Receivables Trust, |
|
| Series 2018-04, Class C |
|
| 3.620% |
|
|
06/17/24 |
|
|
|
|
|
|
|
300 |
|
|
|
316,560 |
|
| OneMain Direct Auto Receivables Trust, |
|
| Series 2017-02A, Class B, 144A |
|
| 2.550% |
|
|
11/14/23 |
|
|
|
|
|
|
|
556 |
|
|
|
556,282 |
|
| Series 2018-01A, Class A, 144A |
|
| 3.430% |
|
|
12/16/24 |
|
|
|
|
|
|
|
3,800 |
|
|
|
3,854,159 |
|
| Series 2019-01A, Class A, 144A |
|
| 3.630% |
|
|
09/14/27 |
|
|
|
|
|
|
|
3,600 |
|
|
|
3,870,463 |
|
| Santander Drive Auto Receivables Trust, |
|
| Series 2019-03, Class C |
|
| 2.490% |
|
|
10/15/25 |
|
|
|
|
|
|
|
1,300 |
|
|
|
1,313,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Automobiles (cont’d.) |
|
| Toyota Auto Loan Extended Note Trust, |
|
| Series 2019-01A, Class A, 144A |
|
| 2.560% |
|
|
11/25/31 |
|
|
|
|
|
|
|
1,700 |
|
|
$ |
1,809,389 |
|
| Series 2020-01A, Class A, 144A |
|
| 1.350% |
|
|
05/25/33 |
|
|
|
|
|
|
|
400 |
|
|
|
405,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,417,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Collateralized Loan Obligations — 3.5% |
|
| Anchorage Capital CLO Ltd. (Cayman Islands), |
|
| Series 2019-11A, Class A, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 1.390%) |
|
| 2.488%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,444,354 |
|
| ArrowMark Colorado Holdings (Cayman Islands), |
|
| Series 2017-06A, Class A1, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 0.000%) |
|
| 2.499%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
500 |
|
|
|
491,507 |
|
| Benefit Street Partners CLO Ltd. (Cayman Islands), |
|
| Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.469%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
1,000 |
|
|
|
984,794 |
|
| Brookside Mill CLO Ltd. (Cayman Islands), |
|
| Series 2013-01A, Class AR, 144A, 3 Month LIBOR
+ 0.820% (Cap N/A, Floor 0.000%) |
|
| 1.955%(c) |
|
|
01/17/28 |
|
|
|
|
|
|
|
970 |
|
|
|
958,798 |
|
| Canyon Capital CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class AS, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.469%(c) |
|
|
04/15/29 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,462,704 |
|
| CBAM Ltd. (Cayman Islands), |
|
| Series 2019-11A, Class A1, 144A, 3 Month LIBOR
+ 1.360% (Cap N/A, Floor 1.360%) |
|
| 2.495%(c) |
|
|
10/20/32 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,925,237 |
|
| CIFC Funding Ltd. (Cayman Islands), |
|
| Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR
+ 1.200% (Cap N/A, Floor 1.200%) |
|
| 2.335%(c) |
|
|
10/17/31 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,849,744 |
|
| Galaxy CLO Ltd. (Cayman Islands), |
|
| Series 2018-29A, Class A, 144A, 3 Month LIBOR
+ 0.790% (Cap N/A, Floor 0.000%) |
|
| 1.182%(c) |
|
|
11/15/26 |
|
|
|
|
|
|
|
757 |
|
|
|
743,509 |
|
| Greenwood Park CLO Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A2, 144A, 3 Month LIBOR
+ 1.010% (Cap N/A, Floor 0.000%) |
|
| 2.229%(c) |
|
|
04/15/31 |
|
|
|
|
|
|
|
1,000 |
|
|
|
971,686 |
|
| Highbridge Loan Management Ltd. (Cayman Islands), |
|
| Series 2015-06A, Class A1R, 144A, 3 Month LIBOR
+ 1.000% (Cap N/A, Floor 0.000%) |
|
| 1.541%(c) |
|
|
02/05/31 |
|
|
|
|
|
|
|
248 |
|
|
|
241,680 |
|
| HPS Loan Management Ltd. (Cayman Islands), |
|
| Series 15A-19, Class A1, 144A, 3 Month LIBOR +
1.320% (Cap N/A, Floor 1.320%) |
|
| 3.122%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,453,274 |
|
| ICG US CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class A1R, 144A, 3 Month LIBOR
+ 1.140% (Cap N/A, Floor 1.140%) |
|
| 2.275%(c) |
|
|
10/19/28 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,894,337 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A12
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Series 2017-02A, Class A1, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 0.000%) |
|
| 2.323%(c) |
|
|
10/23/29 |
|
|
|
|
|
|
|
1,250 |
|
|
$ |
1,228,524 |
|
| Jamestown CLO Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.470% (Cap N/A, Floor 1.470%) |
|
| 2.605%(c) |
|
|
04/20/32 |
|
|
|
|
|
|
|
4,750 |
|
|
|
4,665,232 |
|
| Jefferson Mill CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class AR, 144A, 3 Month LIBOR
+ 1.175% (Cap N/A, Floor 0.000%) |
|
| 2.310%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
4,250 |
|
|
|
4,138,637 |
|
| MidOcean Credit CLO (Cayman Islands), |
|
| Series 2014-03A, Class A1R, 144A, 3 Month LIBOR
+ 1.120% (Cap N/A, Floor 1.120%) |
|
| 2.229%(c) |
|
|
04/21/31 |
|
|
|
|
|
|
|
3,488 |
|
|
|
3,393,431 |
|
| Mountain View CLO Ltd. (Cayman Islands), |
|
| Series 2015-09A, Class A1R, 144A, 3 Month LIBOR
+ 1.120% (Cap N/A, Floor 0.000%) |
|
| 2.339%(c) |
|
|
07/15/31 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,425,204 |
|
| Ocean Trails CLO Ltd. (Cayman Islands), |
|
| Series 2019-07A, Class A1, 144A, 3 Month LIBOR
+ 1.400% (Cap N/A, Floor 1.400%) |
|
| 2.535%(c) |
|
|
04/17/30 |
|
|
|
|
|
|
|
1,750 |
|
|
|
1,706,972 |
|
| OCP CLO Ltd. (Cayman Islands), |
|
| Series 2019-17A, Class A1, 144A, 3 Month LIBOR
+ 1.330% (Cap N/A, Floor 1.330%) |
|
| 2.465%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,882,233 |
|
| OZLM Ltd. (Cayman Islands), |
|
| Series 2014-06A, Class A1S, 144A, 3 Month LIBOR
+ 1.080% (Cap N/A, Floor 0.000%) |
|
| 2.215%(c) |
|
|
04/17/31 |
|
|
|
|
|
|
|
2,989 |
|
|
|
2,898,463 |
|
| Series 2015-11A, Class A1R, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.010%(c) |
|
|
10/30/30 |
|
|
|
|
|
|
|
746 |
|
|
|
724,695 |
|
| Series 2019-24A, Class A1A, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 0.000%) |
|
| 2.525%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,431,274 |
|
| Palmer Square CLO Ltd. (Cayman Islands), |
|
| Series 2015-02A, Class A1R2, 144A, 3 Month LIBOR
+ 1.100% (Cap N/A, Floor 0.000%) |
|
| 2.235%(c) |
|
|
07/20/30 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,881,568 |
|
| Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
|
| Series 2017-01A, Class A1, 144A, 3 Month LIBOR
+ 1.220% (Cap N/A, Floor 0.000%) |
|
| 1.644%(c) |
|
|
11/14/29 |
|
|
|
|
|
|
|
500 |
|
|
|
491,916 |
|
| Telos CLO Ltd. (Cayman Islands), |
|
| Series 2013-03A, Class AR, 144A, 3 Month LIBOR
+ 1.300% (Cap N/A, Floor 1.300%) |
|
| 2.435%(c) |
|
|
07/17/26 |
|
|
|
|
|
|
|
1,313 |
|
|
|
1,309,914 |
|
| TIAA CLO Ltd. (Cayman Islands), |
|
| Series 2016-01A, Class AR, 144A, 3 Month LIBOR
+ 1.200% (Cap N/A, Floor 0.000%) |
|
| 2.335%(c) |
|
|
07/20/31 |
|
|
|
|
|
|
|
1,750 |
|
|
|
1,697,253 |
|
| Trimaran Cavu Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.460% (Cap N/A, Floor 1.460%) |
|
| 2.595%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
7,500 |
|
|
|
7,415,239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Trinitas CLO Ltd. (Cayman Islands), |
|
| Series 2017-07A, Class A, 144A, 3 Month LIBOR
+ 1.210% (Cap N/A, Floor 0.000%) |
|
| 2.201%(c) |
|
|
01/25/31 |
|
|
|
|
|
|
|
1,750 |
|
|
$ |
1,706,287 |
|
| Venture CLO Ltd. (Cayman Islands), |
|
| Series 2015-21A, Class AR, 144A, 3 Month LIBOR
+ 0.880% (Cap N/A, Floor 0.000%) |
|
| 2.099%(c) |
|
|
07/15/27 |
|
|
|
|
|
|
|
874 |
|
|
|
866,419 |
|
| Wellfleet CLO Ltd. (Cayman Islands), |
|
| Series 2017-03A, Class A1, 144A, 3 Month LIBOR
+ 1.150% (Cap N/A, Floor 1.150%) |
|
| 2.285%(c) |
|
|
01/17/31 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,946,337 |
|
| Series 2018-02A, Class A1, 144A, 3 Month LIBOR
+ 1.200% (Cap N/A, Floor 1.200%) |
|
| 2.335%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
3,750 |
|
|
|
3,620,183 |
|
| York CLO Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.350% (Cap N/A, Floor 0.000%) |
|
| 2.448%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,960,503 |
|
| Zais CLO Ltd. (Cayman Islands), |
|
| Series 2017-01A, Class A1, 144A, 3 Month LIBOR
+ 1.370% (Cap N/A, Floor 0.000%) |
|
| 2.589%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
1,238 |
|
|
|
1,217,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87,029,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Loans — 0.1% |
|
| OneMain Financial Issuance Trust, |
|
| Series 2017-01A, Class A2, 144A, 1 Month LIBOR
+ 0.800% (Cap N/A, Floor 0.000%) |
|
| 0.985%(c) |
|
|
09/14/32 |
|
|
|
|
|
|
|
1,199 |
|
|
|
1,195,137 |
|
| Oportun Funding LLC, |
|
| Series 2018-C, Class A, 144A |
|
| 4.100% |
|
|
10/08/24 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,104,260 |
|
| Series 2018-D, Class A, 144A |
|
| 4.150% |
|
|
12/09/24 |
|
|
|
|
|
|
|
800 |
|
|
|
799,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,098,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equipment — 0.2% |
|
| MMAF Equipment Finance LLC, |
|
| Series 2017-B, Class A5, 144A |
|
| 2.720% |
|
|
06/15/40 |
|
|
|
|
|
|
|
2,100 |
|
|
|
2,214,727 |
|
| Series 2018-A, Class A5, 144A |
|
| 3.610% |
|
|
03/10/42 |
|
|
|
|
|
|
|
500 |
|
|
|
538,832 |
|
| Series 2019-A, Class A5, 144A |
|
| 3.080% |
|
|
11/12/41 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,722,925 |
|
| Series 2019-B, Class A5, 144A |
|
| 2.290% |
|
|
11/12/41 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,694,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,170,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Equity Loans — 0.1% |
|
| CDC Mortgage Capital Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.100%) |
|
| 1.835%(c) |
|
|
03/25/33 |
|
|
|
|
|
|
|
67 |
|
|
|
67,214 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A13
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Home Equity Loans (cont’d.) |
|
| Morgan Stanley Dean Witter Capital I, Inc. Trust, |
|
| Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
|
| 1.085%(c) |
|
|
07/25/32 |
|
|
|
|
|
|
|
22 |
|
|
$ |
21,963 |
|
| Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 0.850%) |
|
| 1.460%(c) |
|
|
09/25/32 |
|
|
|
|
|
|
|
1,370 |
|
|
|
1,340,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,429,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other — 0.2% |
|
| Sierra Timeshare Receivables Funding LLC, |
|
| Series 2018-02A, Class A, 144A |
|
| 3.500% |
|
|
06/20/35 |
|
|
|
|
|
|
|
821 |
|
|
|
834,112 |
|
| Series 2019-02A, Class A, 144A |
|
| 2.590% |
|
|
05/20/36 |
|
|
|
|
|
|
|
1,303 |
|
|
|
1,303,050 |
|
| TH MSR Issuer Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor
2.800%) |
|
| 2.985%(c) |
|
|
06/25/24 |
|
|
|
|
|
|
|
2,240 |
|
|
|
2,100,989 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,238,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities — 0.4% |
|
| Credit Suisse Mortgage Trust, |
|
| Series 2018-RPL08, Class A1, 144A |
|
| 4.125%(cc) |
|
|
07/25/58 |
|
|
|
|
|
|
|
1,075 |
|
|
|
1,100,342 |
|
| CWABS, Inc., Asset-Backed Certificates, |
|
| Series 2004-01, Class M1, 1 Month LIBOR +
0.750% (Cap N/A, Floor 0.500%) |
|
| 0.935%(c) |
|
|
03/25/34 |
|
|
|
|
|
|
|
494 |
|
|
|
489,555 |
|
| Legacy Mortgage Asset Trust, |
|
| Series 2019-GS02, Class A1, 144A |
|
| 3.750% |
|
|
01/25/59 |
|
|
|
|
|
|
|
165 |
|
|
|
167,504 |
|
| Series 2019-GS04, Class A1, 144A |
|
| 3.438% |
|
|
05/25/59 |
|
|
|
|
|
|
|
981 |
|
|
|
979,111 |
|
| Series 2019-SL01, Class A, 144A |
|
| 4.000%(cc) |
|
|
12/28/54 |
|
|
|
|
|
|
|
123 |
|
|
|
123,883 |
|
| Long Beach Mortgage Loan Trust, |
|
| Series 2004-02, Class M1, 1 Month LIBOR +
0.795% (Cap N/A, Floor 0.530%) |
|
| 0.980%(c) |
|
|
06/25/34 |
|
|
|
|
|
|
|
159 |
|
|
|
151,284 |
|
| Mill City Mortgage Loan Trust, |
|
| Series 2017-03, Class A1, 144A |
|
| 2.750%(cc) |
|
|
01/25/61 |
|
|
|
|
|
|
|
1,098 |
|
|
|
1,123,509 |
|
| TFS (Spain), |
|
| Series 2018-03, Class A1, 1 Month EURIBOR +
2.900% |
|
| 2.900%(c) |
|
|
04/16/23 |
|
|
|
|
|
|
|
EUR 1,867 |
|
|
|
1,944,769 |
|
| Towd Point Mortgage Trust, |
|
| Series 2017-04, Class A1, 144A |
|
| 2.750%(cc) |
|
|
06/25/57 |
|
|
|
|
|
|
|
722 |
|
|
|
743,688 |
|
| Series 2017-05, Class A1, 144A, 1 Month LIBOR
+ 0.600% (Cap N/A, Floor 0.000%) |
|
| 0.785%(c) |
|
|
02/25/57 |
|
|
|
|
|
|
|
1,774 |
|
|
|
1,758,344 |
|
| Series 2017-06, Class A1, 144A |
|
| 2.750%(cc) |
|
|
10/25/57 |
|
|
|
|
|
|
|
1,820 |
|
|
|
1,885,396 |
|
| Series 2018-02, Class A1, 144A |
|
| 3.250%(cc) |
|
|
03/25/58 |
|
|
|
|
|
|
|
106 |
|
|
|
110,852 |
|
| Series 2018-03, Class A1, 144A |
|
| 3.750%(cc) |
|
|
05/25/58 |
|
|
|
|
|
|
|
80 |
|
|
|
85,732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Residential Mortgage-Backed Securities (cont’d.) |
|
| Series 2018-05, Class A1, 144A |
|
| 3.250%(cc) |
|
|
07/25/58 |
|
|
|
|
|
|
|
631 |
|
|
$ |
670,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,334,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Student Loans — 1.0% |
|
| Commonbond Student Loan Trust, |
|
| Series 2017-BGS, Class A1, 144A |
|
| 2.680% |
|
|
09/25/42 |
|
|
|
|
|
|
|
1,275 |
|
|
|
1,295,757 |
|
| Series 2018-AGS, Class A1, 144A |
|
| 3.210% |
|
|
02/25/44 |
|
|
|
|
|
|
|
966 |
|
|
|
993,411 |
|
| Series 2018-CGS, Class A1, 144A |
|
| 3.870% |
|
|
02/25/46 |
|
|
|
|
|
|
|
341 |
|
|
|
354,153 |
|
| Laurel Road Prime Student Loan Trust, |
|
| Series 2017-C, Class A2B, 144A |
|
| 2.810% |
|
|
11/25/42 |
|
|
|
|
|
|
|
896 |
|
|
|
917,539 |
|
| Series 2018-B, Class A2FX, 144A |
|
| 3.540% |
|
|
05/26/43 |
|
|
|
|
|
|
|
1,574 |
|
|
|
1,592,985 |
|
| Series 2019-A, Class A2FX, 144A |
|
| 2.730% |
|
|
10/25/48 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,030,109 |
|
| Navient Private Education Refi Loan Trust, |
|
| Series 2018-A, Class A2, 144A |
|
| 3.190% |
|
|
02/18/42 |
|
|
|
|
|
|
|
3,247 |
|
|
|
3,323,587 |
|
| Series 2018-CA, Class A2, 144A |
|
| 3.520% |
|
|
06/16/42 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,238,302 |
|
| Series 2019-CA, Class A2, 144A |
|
| 3.130% |
|
|
02/15/68 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,444,377 |
|
| Series 2019-EA, Class A2A, 144A |
|
| 2.640% |
|
|
05/15/68 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,532,735 |
|
| Series 2020-BA, Class A2, 144A |
|
| 2.120% |
|
|
01/15/69 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,117,357 |
|
| SoFi Professional Loan Program LLC, |
|
| Series 2019-A, Class A2FX, 144A |
|
| 3.690% |
|
|
06/15/48 |
|
|
|
|
|
|
|
2,600 |
|
|
|
2,725,568 |
|
| Series 2019-B, Class A2FX, 144A |
|
| 3.090% |
|
|
08/17/48 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,454,509 |
|
| Series 2019-C, Class A2FX, 144A |
|
| 2.370% |
|
|
11/16/48 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,735,438 |
|
| SoFi Professional Loan Program Trust, |
|
| Series 2018-B, Class A2FX, 144A |
|
| 3.340% |
|
|
08/25/47 |
|
|
|
|
|
|
|
2,200 |
|
|
|
2,274,814 |
|
| Series 2020-A, Class A2FX, 144A |
|
| 2.540% |
|
|
05/15/46 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,761,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,792,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL ASSET-BACKED SECURITIES (cost $193,614,013) |
|
|
|
194,510,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.6% |
|
| Assurant Commercial Mortgage Trust, |
|
| Series 2016-01A, Class AS, 144A |
|
| 3.172% |
|
|
05/15/49 |
|
|
|
|
|
|
|
3,100 |
|
|
|
3,179,335 |
|
| Barclays Commercial Mortgage Securities Trust, |
|
| Series 2018-C02, Class A4 |
|
| 4.047% |
|
|
12/15/51 |
|
|
|
|
|
|
|
3,850 |
|
|
|
4,462,569 |
|
| Benchmark Mortgage Trust, |
|
| Series 2018-B03, Class A4 |
|
| 3.761% |
|
|
04/10/51 |
|
|
|
|
|
|
|
3,600 |
|
|
|
4,111,826 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A14
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| CFCRE Commercial Mortgage Trust, |
|
| Series 2016-C04, Class A3 |
|
| 3.014% |
|
|
05/10/58 |
|
|
|
|
|
|
|
2,500 |
|
|
$ |
2,655,331 |
|
| Citigroup Commercial Mortgage Trust, |
|
| Series 2014-GC21, Class A4 |
|
| 3.575% |
|
|
05/10/47 |
|
|
|
|
|
|
|
974 |
|
|
|
1,038,114 |
|
| Series 2016-C01, Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2.944% |
|
|
05/10/49 |
|
|
|
|
|
|
|
2,700 |
|
|
|
2,883,879 |
|
| Series 2017-P07, Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.442% |
|
|
04/14/50 |
|
|
|
|
|
|
|
4,000 |
|
|
|
4,408,067 |
|
| Commercial Mortgage Trust, |
|
| Series 2014-CR15, Class A2 |
|
| 2.928% |
|
|
02/10/47 |
|
|
|
|
|
|
|
590 |
|
|
|
591,777 |
|
| Series 2014-CR18, Class A4 |
|
| 3.550% |
|
|
07/15/47 |
|
|
|
|
|
|
|
2,088 |
|
|
|
2,233,739 |
|
| Series 2014-LC17, Class A4 |
|
| 3.648% |
|
|
10/10/47 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,412,894 |
|
| CSAIL Commercial Mortgage Trust, |
|
| Series 2015-C04, Class A3 |
|
| 3.544% |
|
|
11/15/48 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,716,371 |
|
| Series 2017-C08, Class A3 |
|
| 3.127% |
|
|
06/15/50 |
|
|
|
|
|
|
|
3,800 |
|
|
|
4,107,249 |
|
| Fannie Mae-Aces, |
|
| Series 2015-M08, Class AB2 |
|
| 2.829%(cc) |
|
|
01/25/25 |
|
|
|
|
|
|
|
738 |
|
|
|
791,639 |
|
| Series 2015-M17, Class A2 |
|
| 3.015%(cc) |
|
|
11/25/25 |
|
|
|
|
|
|
|
2,917 |
|
|
|
3,188,394 |
|
| Series 2017-M01, Class A2 |
|
| 2.497%(cc) |
|
|
10/25/26 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,725,625 |
|
| Series 2017-M04, Class A2 |
|
| 2.670%(cc) |
|
|
12/25/26 |
|
|
|
|
|
|
|
8,600 |
|
|
|
9,387,394 |
|
| Series 2017-M08, Class A2 |
|
| 3.061%(cc) |
|
|
05/25/27 |
|
|
|
|
|
|
|
5,900 |
|
|
|
6,594,676 |
|
| Series 2018-M04, Class A2 |
|
| 3.147%(cc) |
|
|
03/25/28 |
|
|
|
|
|
|
|
3,075 |
|
|
|
3,469,196 |
|
| FHLMC Multifamily Structured Pass-Through Certificates, |
|
| Series K0055, Class X1, IO |
|
| 1.498%(cc) |
|
|
03/25/26 |
|
|
|
|
|
|
|
4,558 |
|
|
|
301,220 |
|
| Series K0069, Class A2 |
|
| 3.187%(cc) |
|
|
09/25/27 |
|
|
|
|
|
|
|
3,500 |
|
|
|
4,002,500 |
|
| Series K0072, Class A2 |
|
| 3.444% |
|
|
12/25/27 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,629,411 |
|
| Series K020, Class X1, IO |
|
| 1.498%(cc) |
|
|
05/25/22 |
|
|
|
|
|
|
|
18,211 |
|
|
|
385,412 |
|
| Series K021, Class X1, IO |
|
| 1.548%(cc) |
|
|
06/25/22 |
|
|
|
|
|
|
|
5,135 |
|
|
|
113,094 |
|
| Series K064, Class AM |
|
| 3.327%(cc) |
|
|
03/25/27 |
|
|
|
|
|
|
|
4,200 |
|
|
|
4,774,028 |
|
| Series K068, Class AM |
|
| 3.315% |
|
|
08/25/27 |
|
|
|
|
|
|
|
4,100 |
|
|
|
4,700,331 |
|
| Series K069, Class AM |
|
| 3.248%(cc) |
|
|
09/25/27 |
|
|
|
|
|
|
|
750 |
|
|
|
853,396 |
|
| Series K070, Class A2 |
|
| 3.303%(cc) |
|
|
11/25/27 |
|
|
|
|
|
|
|
5,200 |
|
|
|
5,994,278 |
|
| Series K070, Class AM |
|
| 3.364% |
|
|
12/25/27 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,270,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Series K075, Class AM |
|
| 3.650%(cc) |
|
|
02/25/28 |
|
|
|
|
|
|
|
2,550 |
|
|
$ |
2,985,773 |
|
| Series K076, Class A2 |
|
| 3.900% |
|
|
04/25/28 |
|
|
|
|
|
|
|
6,200 |
|
|
|
7,424,203 |
|
| Series K076, Class AM |
|
| 3.900% |
|
|
04/25/28 |
|
|
|
|
|
|
|
1,825 |
|
|
|
2,175,505 |
|
| Series K077, Class A2 |
|
| 3.850%(cc) |
|
|
05/25/28 |
|
|
|
|
|
|
|
3,470 |
|
|
|
4,137,091 |
|
| Series K077, Class AM |
|
| 3.850%(cc) |
|
|
05/25/28 |
|
|
|
|
|
|
|
690 |
|
|
|
822,169 |
|
| Series K080, Class AM |
|
| 3.986%(cc) |
|
|
07/25/28 |
|
|
|
|
|
|
|
5,150 |
|
|
|
6,161,348 |
|
| Series K081, Class AM |
|
| 3.900%(cc) |
|
|
08/25/28 |
|
|
|
|
|
|
|
2,600 |
|
|
|
3,099,691 |
|
| Series K086, Class AM |
|
| 3.919%(cc) |
|
|
12/25/28 |
|
|
|
|
|
|
|
800 |
|
|
|
965,435 |
|
| Series K157, Class A2 |
|
| 3.990%(cc) |
|
|
05/25/33 |
|
|
|
|
|
|
|
3,100 |
|
|
|
3,835,135 |
|
| Series W5FX, Class AFX |
|
| 3.336%(cc) |
|
|
04/25/28 |
|
|
|
|
|
|
|
1,630 |
|
|
|
1,851,656 |
|
| GS Mortgage Securities Trust, |
|
| Series 2015-GC28, Class A4 |
|
| 3.136% |
|
|
02/10/48 |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,188,684 |
|
| Series 2015-GC34, Class A3 |
|
| 3.244% |
|
|
10/10/48 |
|
|
|
|
|
|
|
4,800 |
|
|
|
5,160,037 |
|
| Series 2016-GS03, Class A3 |
|
| 2.592% |
|
|
10/10/49 |
|
|
|
|
|
|
|
4,200 |
|
|
|
4,381,411 |
|
| Series 2016-GS04, Class A3 |
|
| 3.178% |
|
|
11/10/49 |
|
|
|
|
|
|
|
4,000 |
|
|
|
4,346,437 |
|
| JPMBB Commercial Mortgage Securities Trust, |
|
| Series 2014-C25, Class A4A1 |
|
| 3.408% |
|
|
11/15/47 |
|
|
|
|
|
|
|
700 |
|
|
|
749,399 |
|
| Series 2015-C27, Class A3A1 |
|
| 2.920% |
|
|
02/15/48 |
|
|
|
|
|
|
|
4,841 |
|
|
|
5,109,357 |
|
| JPMCC Commercial Mortgage Securities Trust, |
|
| Series 2017-JP06, Class A3 |
|
| 3.109% |
|
|
07/15/50 |
|
|
|
|
|
|
|
5,581 |
|
|
|
5,853,275 |
|
| JPMDB Commercial Mortgage Securities Trust, |
|
| Series 2016-C02, Class A3A |
|
| 2.881% |
|
|
06/15/49 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,657,239 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust, |
|
| Series 2013-LC11, Class A4 |
|
| 2.694% |
|
|
04/15/46 |
|
|
|
|
|
|
|
498 |
|
|
|
512,509 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust, |
|
| Series 2013-C08, Class A3 |
|
| 2.863% |
|
|
12/15/48 |
|
|
|
|
|
|
|
1,081 |
|
|
|
1,109,457 |
|
| Morgan Stanley Capital I Trust, |
|
| Series 2015-UBS08, Class A3 |
|
| 3.540% |
|
|
12/15/48 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,448,868 |
|
| Series 2016-UB11, Class A3 |
|
| 2.531% |
|
|
08/15/49 |
|
|
|
|
|
|
|
6,300 |
|
|
|
6,628,255 |
|
| Series 2019-H06, Class A3 |
|
| 3.158% |
|
|
06/15/52 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,530,493 |
|
| Series 2019-H07, Class A2 |
|
| 2.492% |
|
|
07/15/52 |
|
|
|
|
|
|
|
9,400 |
|
|
|
9,769,530 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A15
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| UBS Commercial Mortgage Trust, |
|
| Series 2017-C02, Class ASB |
|
| 3.264% |
|
|
08/15/50 |
|
|
|
|
|
|
|
2,500 |
|
|
$ |
2,685,423 |
|
| Series 2017-C05, Class A4 |
|
| 3.212% |
|
|
11/15/50 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,418,712 |
|
| Series 2018-C09, Class A3 |
|
| 3.854% |
|
|
03/15/51 |
|
|
|
|
|
|
|
1,800 |
|
|
|
2,017,554 |
|
| Series 2018-C14, Class A3 |
|
| 4.180% |
|
|
12/15/51 |
|
|
|
|
|
|
|
2,900 |
|
|
|
3,335,831 |
|
| UBS-Barclays Commercial Mortgage Trust, |
|
| Series 2012-C04, Class A4 |
|
| 2.792% |
|
|
12/10/45 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,426,508 |
|
| Series 2013-C05, Class A3 |
|
| 2.920% |
|
|
03/10/46 |
|
|
|
|
|
|
|
967 |
|
|
|
988,677 |
|
| Series 2013-C06, Class A3 |
|
| 2.971% |
|
|
04/10/46 |
|
|
|
|
|
|
|
1,498 |
|
|
|
1,542,417 |
|
| Wells Fargo Commercial Mortgage Trust, |
|
| Series 2016-NXS06, Class A3 |
|
| 2.642% |
|
|
11/15/49 |
|
|
|
|
|
|
|
4,500 |
|
|
|
4,716,262 |
|
| Series 2017-C38, Class A4 |
|
| 3.190% |
|
|
07/15/50 |
|
|
|
|
|
|
|
3,300 |
|
|
|
3,623,897 |
|
| Series 2019-C49, Class A3 |
|
| 3.749% |
|
|
03/15/52 |
|
|
|
|
|
|
|
7,300 |
|
|
|
8,089,707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $196,165,371) |
|
|
|
214,729,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE BONDS — 10.9% |
|
| Aerospace & Defense — 0.2% |
|
| Boeing Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 3.750% |
|
|
02/01/50 |
(a) |
|
|
|
|
|
|
1,470 |
|
|
|
1,333,894 |
|
| Embraer Netherlands Finance BV (Brazil), |
|
| Gtd. Notes |
|
| 5.050% |
|
|
06/15/25 |
|
|
|
|
|
|
|
551 |
|
|
|
489,089 |
|
| Embraer Overseas Ltd. (Brazil), |
|
| Gtd. Notes, 144A |
|
| 5.696% |
|
|
09/16/23 |
|
|
|
|
|
|
|
765 |
|
|
|
729,724 |
|
| Raytheon Technologies Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.125% |
|
|
11/16/28 |
|
|
|
|
|
|
|
910 |
|
|
|
1,071,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,624,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agriculture — 0.2% |
|
| BAT Capital Corp. (United Kingdom), |
|
| Gtd. Notes |
|
| 3.222% |
|
|
08/15/24 |
|
|
|
|
|
|
|
2,685 |
|
|
|
2,869,607 |
|
| Vector Group Ltd., |
|
| Sr. Sec’d. Notes, 144A |
|
| 6.125% |
|
|
02/01/25 |
|
|
|
|
|
|
|
1,000 |
|
|
|
960,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,829,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Airlines — 0.2% |
|
| American Airlines 2015-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 3.375% |
|
|
11/01/28 |
|
|
|
|
|
|
|
1,983 |
|
|
|
1,658,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Airlines (cont’d.) |
|
| Continental Airlines 2001-1 Class A-1 Pass-Through Trust, |
|
| Pass-Through Certificates |
|
| 6.703% |
|
|
12/15/22 |
|
|
|
|
|
|
|
13 |
|
|
$ |
13,068 |
|
| Continental Airlines 2010-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 4.750% |
|
|
07/12/22 |
|
|
|
|
|
|
|
300 |
|
|
|
295,261 |
|
| Continental Airlines 2012-2 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 4.000% |
|
|
04/29/26 |
|
|
|
|
|
|
|
273 |
|
|
|
249,215 |
|
| Delta Air Lines 2007-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 6.821% |
|
|
02/10/24 |
|
|
|
|
|
|
|
198 |
|
|
|
194,348 |
|
| Southwest Airlines Co., |
|
| Sr. Unsec’d. Notes |
|
| 2.625% |
|
|
02/10/30 |
|
|
|
|
|
|
|
1,765 |
|
|
|
1,588,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,999,697 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Auto Manufacturers — 0.5% |
|
| BMW US Capital LLC (Germany), |
|
| Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
|
| 1.721%(c) |
|
|
04/12/21 |
|
|
|
|
|
|
|
355 |
|
|
|
353,610 |
|
| Daimler Finance North America LLC (Germany), |
|
| Gtd. Notes, 144A |
|
| 3.350% |
|
|
05/04/21 |
|
|
|
|
|
|
|
1,455 |
|
|
|
1,481,459 |
|
| Ford Motor Co., |
|
| Sr. Unsec’d. Notes |
|
| 5.291% |
|
|
12/08/46 |
|
|
|
|
|
|
|
665 |
|
|
|
547,962 |
|
| Ford Motor Credit Co. LLC, |
|
| Sr. Unsec’d. Notes |
|
| 3.336% |
|
|
03/18/21 |
|
|
|
|
|
|
|
515 |
|
|
|
509,850 |
|
| 3.350% |
|
|
11/01/22 |
|
|
|
|
|
|
|
2,845 |
|
|
|
2,733,034 |
|
| General Motors Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.250% |
|
|
10/02/43 |
|
|
|
|
|
|
|
740 |
|
|
|
778,441 |
|
| 6.600% |
|
|
04/01/36 |
|
|
|
|
|
|
|
585 |
|
|
|
629,881 |
|
| General Motors Financial Co., Inc., |
|
| Gtd. Notes, 3 Month LIBOR + 0.850% |
|
| 2.170%(c) |
|
|
04/09/21 |
|
|
|
|
|
|
|
820 |
|
|
|
812,906 |
|
| Gtd. Notes |
|
| 3.550% |
|
|
04/09/21 |
|
|
|
|
|
|
|
620 |
|
|
|
627,412 |
|
| 3.950% |
|
|
04/13/24 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,755,805 |
|
| Harley-Davidson Financial Services, Inc., |
|
| Gtd. Notes, 144A, MTN |
|
| 2.850% |
|
|
01/15/21 |
|
|
|
|
|
|
|
2,300 |
|
|
|
2,311,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,542,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 2.7% |
|
| Banco Santander SA (Spain), |
|
| Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
|
| 2.431%(c) |
|
|
04/12/23 |
|
|
|
|
|
|
|
400 |
|
|
|
394,505 |
|
| Sr. Unsec’d. Notes |
|
| 3.848% |
|
|
04/12/23 |
|
|
|
|
|
|
|
800 |
|
|
|
850,661 |
|
| Bank of America Corp., |
|
| Jr. Sub. Notes, Series DD |
|
| 6.300%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
275 |
|
|
|
304,343 |
|
| Jr. Sub. Notes, Series JJ |
|
| 5.125%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,145 |
|
|
|
1,131,286 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A16
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Banks (cont’d.) |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.194%(ff) |
|
|
07/23/30 |
|
|
|
|
|
|
|
1,050 |
|
|
$ |
1,158,186 |
|
| 3.824%(ff) |
|
|
01/20/28 |
|
|
|
|
|
|
|
615 |
|
|
|
694,736 |
|
| Sub. Notes, MTN |
|
| 4.000% |
|
|
01/22/25 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,879,941 |
|
| 4.200% |
|
|
08/26/24 |
|
|
|
|
|
|
|
745 |
|
|
|
826,560 |
|
| 4.450% |
|
|
03/03/26 |
|
|
|
|
|
|
|
4,790 |
|
|
|
5,502,246 |
|
| Bank of America NA, |
|
| Sub. Notes |
|
| 6.000% |
|
|
10/15/36 |
(a) |
|
|
|
|
|
|
805 |
|
|
|
1,141,691 |
|
| Barclays PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 3.650% |
|
|
03/16/25 |
|
|
|
|
|
|
|
610 |
|
|
|
660,729 |
|
| 3.684% |
|
|
01/10/23 |
|
|
|
|
|
|
|
320 |
|
|
|
331,867 |
|
| 4.375% |
|
|
01/12/26 |
|
|
|
|
|
|
|
323 |
|
|
|
364,622 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 4.972%(ff) |
|
|
05/16/29 |
(a) |
|
|
|
|
|
|
705 |
|
|
|
826,096 |
|
| BNP Paribas SA (France), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.219%(ff) |
|
|
06/09/26 |
|
|
|
|
|
|
|
1,650 |
|
|
|
1,686,370 |
|
| Citigroup, Inc., |
|
| Jr. Sub. Notes, Series Q |
|
| 5.950%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,590 |
|
|
|
1,501,033 |
|
| Jr. Sub. Notes, Series R |
|
| 6.125%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
945 |
|
|
|
923,858 |
|
| Jr. Sub. Notes, Series T |
|
| 6.250%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
640 |
|
|
|
679,328 |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
10/21/26 |
|
|
|
|
|
|
|
670 |
|
|
|
734,687 |
|
| 3.700% |
|
|
01/12/26 |
|
|
|
|
|
|
|
1,610 |
|
|
|
1,798,989 |
|
| 3.887%(ff) |
|
|
01/10/28 |
|
|
|
|
|
|
|
560 |
|
|
|
630,317 |
|
| 8.125% |
|
|
07/15/39 |
(a) |
|
|
|
|
|
|
365 |
|
|
|
631,843 |
|
| Sub. Notes |
|
| 4.450% |
|
|
09/29/27 |
|
|
|
|
|
|
|
1,485 |
|
|
|
1,690,000 |
|
| 4.750% |
|
|
05/18/46 |
(a) |
|
|
|
|
|
|
440 |
|
|
|
556,525 |
|
| Credit Suisse Group AG (Switzerland), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.193%(ff) |
|
|
06/05/26 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,114,342 |
|
| 4.282% |
|
|
01/09/28 |
|
|
|
|
|
|
|
980 |
|
|
|
1,096,161 |
|
| Deutsche Bank AG (Germany), |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.375% |
|
|
05/12/21 |
|
|
|
|
|
|
|
1,240 |
|
|
|
1,256,294 |
|
| Sr. Unsec’d. Notes, Series D |
|
| 5.000% |
|
|
02/14/22 |
|
|
|
|
|
|
|
1,350 |
|
|
|
1,413,744 |
|
| Discover Bank, |
|
| Sr. Unsec’d. Notes |
|
| 4.250% |
|
|
03/13/26 |
|
|
|
|
|
|
|
595 |
|
|
|
670,121 |
|
| Goldman Sachs Group, Inc. (The), |
|
| Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
|
| 4.370%(c) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,800 |
|
|
|
1,646,642 |
|
| Jr. Sub. Notes, Series O |
|
| 5.300%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
560 |
|
|
|
566,140 |
|
| Sr. Unsec’d. Notes |
|
| 3.750% |
|
|
02/25/26 |
|
|
|
|
|
|
|
1,165 |
|
|
|
1,303,549 |
|
| 3.814%(ff) |
|
|
04/23/29 |
|
|
|
|
|
|
|
440 |
|
|
|
497,021 |
|
| 3.850% |
|
|
01/26/27 |
|
|
|
|
|
|
|
2,625 |
|
|
|
2,951,504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Banks (cont’d.) |
|
| Sub. Notes |
|
| 6.750% |
|
|
10/01/37 |
|
|
|
|
|
|
|
225 |
|
|
$ |
325,632 |
|
| HSBC Holdings PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240% |
|
| 2.558%(c) |
|
|
03/08/21 |
|
|
|
|
|
|
|
920 |
|
|
|
931,785 |
|
| ING Groep NV (Netherlands), |
|
| Sr. Unsec’d. Notes |
|
| 3.550% |
|
|
04/09/24 |
|
|
|
|
|
|
|
400 |
|
|
|
435,854 |
|
| JPMorgan Chase & Co., |
|
| Jr. Sub. Notes, Series FF |
|
| 5.000%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
540 |
|
|
|
518,111 |
|
| Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
|
| 4.230%(c) |
|
|
— |
(rr) |
|
|
|
|
|
|
979 |
|
|
|
895,522 |
|
| Jr. Sub. Notes, Series II |
|
| 4.000%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
230 |
|
|
|
200,971 |
|
| Jr. Sub. Notes, Series X |
|
| 6.100%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,175 |
|
|
|
1,204,238 |
|
| Sr. Unsec’d. Notes |
|
| 3.782%(ff) |
|
|
02/01/28 |
|
|
|
|
|
|
|
270 |
|
|
|
305,314 |
|
| 3.964%(ff) |
|
|
11/15/48 |
|
|
|
|
|
|
|
2,240 |
|
|
|
2,699,823 |
|
| 4.005%(ff) |
|
|
04/23/29 |
|
|
|
|
|
|
|
1,360 |
|
|
|
1,571,149 |
|
| Sub. Notes |
|
| 3.875% |
|
|
09/10/24 |
|
|
|
|
|
|
|
3,525 |
|
|
|
3,902,823 |
|
| Morgan Stanley, |
|
| Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
|
| 4.829%(c) |
|
|
— |
(a)(rr) |
|
|
|
|
|
|
640 |
|
|
|
568,067 |
|
| Sr. Unsec’d. Notes |
|
| 4.375% |
|
|
01/22/47 |
(a) |
|
|
|
|
|
|
930 |
|
|
|
1,200,800 |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.750% |
|
|
02/25/23 |
|
|
|
|
|
|
|
610 |
|
|
|
658,069 |
|
| 3.772%(ff) |
|
|
01/24/29 |
|
|
|
|
|
|
|
1,295 |
|
|
|
1,473,740 |
|
| 3.875% |
|
|
01/27/26 |
|
|
|
|
|
|
|
550 |
|
|
|
624,526 |
|
| 4.431%(ff) |
|
|
01/23/30 |
|
|
|
|
|
|
|
455 |
|
|
|
541,938 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.591%(ff) |
|
|
07/22/28 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,157,837 |
|
| Sub. Notes, GMTN |
|
| 4.350% |
|
|
09/08/26 |
|
|
|
|
|
|
|
3,050 |
|
|
|
3,511,927 |
|
| Royal Bank of Scotland Group PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 4.445%(ff) |
|
|
05/08/30 |
|
|
|
|
|
|
|
1,570 |
|
|
|
1,819,412 |
|
| State Bank of India (India), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.375% |
|
|
01/24/24 |
|
|
|
|
|
|
|
1,255 |
|
|
|
1,331,661 |
|
| Wells Fargo & Co., |
|
| Sr. Unsec’d. Notes, MTN |
|
| 2.572%(ff) |
|
|
02/11/31 |
|
|
|
|
|
|
|
2,895 |
|
|
|
3,026,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,321,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beverages — 0.1% |
|
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
|
| Gtd. Notes |
|
| 4.700% |
|
|
02/01/36 |
|
|
|
|
|
|
|
1,220 |
|
|
|
1,427,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Materials — 0.0% |
|
| Standard Industries, Inc., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.750% |
|
|
01/15/28 |
|
|
|
|
|
|
|
300 |
|
|
|
304,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A17
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Chemicals — 0.3% |
|
| Braskem Netherlands Finance BV (Brazil), |
|
| Gtd. Notes, 144A |
|
| 5.875% |
|
|
01/31/50 |
|
|
|
|
|
|
|
335 |
|
|
$ |
290,805 |
|
| Celanese US Holdings LLC, |
|
| Gtd. Notes |
|
| 5.875% |
|
|
06/15/21 |
|
|
|
|
|
|
|
1,160 |
|
|
|
1,210,198 |
|
| CF Industries, Inc., |
|
| Gtd. Notes |
|
| 5.375% |
|
|
03/15/44 |
|
|
|
|
|
|
|
740 |
|
|
|
801,028 |
|
| CNAC HK Finbridge Co. Ltd. (China), |
|
| Gtd. Notes |
|
| 3.500% |
|
|
07/19/22 |
|
|
|
|
|
|
|
2,675 |
|
|
|
2,743,003 |
|
| Dow Chemical Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 5.250% |
|
|
11/15/41 |
|
|
|
|
|
|
|
350 |
|
|
|
420,113 |
|
| 9.400% |
|
|
05/15/39 |
|
|
|
|
|
|
|
30 |
|
|
|
49,805 |
|
| LYB International Finance BV, |
|
| Gtd. Notes |
|
| 4.875% |
|
|
03/15/44 |
|
|
|
|
|
|
|
620 |
|
|
|
727,249 |
|
| NOVA Chemicals Corp. (Canada), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.875% |
|
|
06/01/24 |
(a) |
|
|
|
|
|
|
875 |
|
|
|
814,184 |
|
| Sasol Financing USA LLC (South Africa), |
|
| Gtd. Notes |
|
| 5.875% |
|
|
03/27/24 |
|
|
|
|
|
|
|
600 |
|
|
|
540,683 |
|
| 6.500% |
|
|
09/27/28 |
|
|
|
|
|
|
|
405 |
|
|
|
357,979 |
|
| Union Carbide Corp., |
|
| Sr. Unsec’d. Notes |
|
| 7.500% |
|
|
06/01/25 |
|
|
|
|
|
|
|
500 |
|
|
|
600,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,555,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Services — 0.1% |
|
| ERAC USA Finance LLC, |
|
| Gtd. Notes, 144A |
|
| 4.200% |
|
|
11/01/46 |
|
|
|
|
|
|
|
875 |
|
|
|
845,053 |
|
| 7.000% |
|
|
10/15/37 |
(a) |
|
|
|
|
|
|
390 |
|
|
|
499,988 |
|
| United Rentals North America, Inc., |
|
| Gtd. Notes |
|
| 4.875% |
|
|
01/15/28 |
|
|
|
|
|
|
|
735 |
|
|
|
753,130 |
|
| 5.250% |
|
|
01/15/30 |
|
|
|
|
|
|
|
265 |
|
|
|
273,940 |
|
| 5.875% |
|
|
09/15/26 |
|
|
|
|
|
|
|
150 |
|
|
|
157,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,529,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.1% |
|
| CDP Financial, Inc. (Canada), |
|
| Gtd. Notes, 144A |
|
| 3.150% |
|
|
07/24/24 |
|
|
|
|
|
|
|
445 |
|
|
|
490,079 |
|
| Discover Financial Services, |
|
| Sr. Unsec’d. Notes |
|
| 3.850% |
|
|
11/21/22 |
|
|
|
|
|
|
|
900 |
|
|
|
953,804 |
|
| Jefferies Group LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.500% |
|
|
01/20/43 |
|
|
|
|
|
|
|
465 |
|
|
|
532,950 |
|
| Lehman Brothers Holdings, Inc., |
|
| Sr. Unsec’d. Notes, MTN |
|
| 5.250% |
|
|
02/06/12 |
(d) |
|
|
|
|
|
|
1,850 |
|
|
|
20,720 |
|
| 6.875% |
|
|
05/02/18 |
(d) |
|
|
|
|
|
|
700 |
|
|
|
8,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Diversified Financial Services (cont’d.) |
|
| Private Export Funding Corp., |
|
| U.S. Gov’t. Gtd. Notes, Series GG |
|
| 2.450% |
|
|
07/15/24 |
|
|
|
|
|
|
|
285 |
|
|
$ |
305,510 |
|
| U.S. Gov’t. Gtd. Notes, Series NN |
|
| 3.250% |
|
|
06/15/25 |
|
|
|
|
|
|
|
255 |
|
|
|
286,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,597,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric — 1.4% |
|
| Avista Corp., |
|
| First Mortgage |
|
| 4.350% |
|
|
06/01/48 |
|
|
|
|
|
|
|
845 |
|
|
|
1,049,476 |
|
| Baltimore Gas & Electric Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.350% |
|
|
10/01/36 |
|
|
|
|
|
|
|
530 |
|
|
|
747,127 |
|
| Berkshire Hathaway Energy Co., |
|
| Sr. Unsec’d. Notes |
|
| 5.950% |
|
|
05/15/37 |
(a) |
|
|
|
|
|
|
335 |
|
|
|
473,977 |
|
| CenterPoint Energy Houston Electric LLC, |
|
| General Ref. Mortgage, Series K2 |
|
| 6.950% |
|
|
03/15/33 |
|
|
|
|
|
|
|
300 |
|
|
|
449,258 |
|
| Consolidated Edison Co. of New York, Inc., |
|
| Sr. Unsec’d. Notes, Series 09-C |
|
| 5.500% |
|
|
12/01/39 |
|
|
|
|
|
|
|
145 |
|
|
|
196,257 |
|
| Dominion Energy, Inc., |
|
| Jr. Sub. Notes |
|
| 4.104% |
|
|
04/01/21 |
|
|
|
|
|
|
|
2,470 |
|
|
|
2,527,497 |
|
| DTE Electric Co., |
|
| General Ref. Mortgage, Series A |
|
| 4.050% |
|
|
05/15/48 |
|
|
|
|
|
|
|
1,075 |
|
|
|
1,331,935 |
|
| Duke Energy Carolinas LLC, |
|
| First Mortgage |
|
| 6.050% |
|
|
04/15/38 |
|
|
|
|
|
|
|
530 |
|
|
|
776,460 |
|
| El Paso Electric Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.000% |
|
|
05/15/35 |
|
|
|
|
|
|
|
845 |
|
|
|
1,100,913 |
|
| Enel Finance International NV (Italy), |
|
| Gtd. Notes, 144A |
|
| 4.625% |
|
|
09/14/25 |
|
|
|
|
|
|
|
1,545 |
|
|
|
1,760,620 |
|
| Engie Energia Chile SA (Chile), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.400% |
|
|
01/28/30 |
|
|
|
|
|
|
|
400 |
|
|
|
416,511 |
|
| Exelon Corp., |
|
| Jr. Sub. Notes |
|
| 3.497% |
|
|
06/01/22 |
|
|
|
|
|
|
|
2,397 |
|
|
|
2,502,115 |
|
| Exelon Generation Co. LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.250% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,375 |
|
|
|
1,643,209 |
|
| FirstEnergy Transmission LLC, |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.450% |
|
|
07/15/44 |
|
|
|
|
|
|
|
265 |
|
|
|
339,287 |
|
| Florida Power & Light Co., |
|
| First Mortgage |
|
| 5.950% |
|
|
10/01/33 |
|
|
|
|
|
|
|
380 |
|
|
|
541,914 |
|
| Iberdrola International BV (Spain), |
|
| Gtd. Notes |
|
| 6.750% |
|
|
09/15/33 |
|
|
|
|
|
|
|
140 |
|
|
|
192,438 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A18
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Electric (cont’d.) |
|
| Indiana Michigan Power Co., |
|
| Sr. Unsec’d. Notes |
|
| 3.850% |
|
|
05/15/28 |
|
|
|
|
|
|
|
2,105 |
|
|
$ |
2,383,055 |
|
| Israel Electric Corp. Ltd. (Israel), |
|
| Sr. Sec’d. Notes, 144A, GMTN |
|
| 4.250% |
|
|
08/14/28 |
|
|
|
|
|
|
|
575 |
|
|
|
650,410 |
|
| Monongahela Power Co., |
|
| First Mortgage, 144A |
|
| 4.100% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1,560 |
|
|
|
1,724,502 |
|
| Northern States Power Co., |
|
| First Mortgage |
|
| 3.600% |
|
|
09/15/47 |
|
|
|
|
|
|
|
1,035 |
|
|
|
1,216,362 |
|
| Ohio Power Co., |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
06/01/49 |
|
|
|
|
|
|
|
465 |
|
|
|
565,888 |
|
| PECO Energy Co., |
|
| First Mortgage |
|
| 2.800% |
|
|
06/15/50 |
|
|
|
|
|
|
|
785 |
|
|
|
808,875 |
|
| PPL Capital Funding, Inc., |
|
| Gtd. Notes |
|
| 4.000% |
|
|
09/15/47 |
|
|
|
|
|
|
|
980 |
|
|
|
1,055,006 |
|
| 5.000% |
|
|
03/15/44 |
|
|
|
|
|
|
|
495 |
|
|
|
593,203 |
|
| PSEG Power LLC, |
|
| Gtd. Notes |
|
| 3.000% |
|
|
06/15/21 |
|
|
|
|
|
|
|
1,260 |
|
|
|
1,285,863 |
|
| Public Service Electric & Gas Co., |
|
| First Mortgage, MTN |
|
| 3.000% |
|
|
05/15/27 |
|
|
|
|
|
|
|
675 |
|
|
|
741,024 |
|
| 3.700% |
|
|
05/01/28 |
|
|
|
|
|
|
|
850 |
|
|
|
983,412 |
|
| Sr. Sec’d. Notes, MTN |
|
| 5.800% |
|
|
05/01/37 |
(a) |
|
|
|
|
|
|
515 |
|
|
|
732,123 |
|
| San Diego Gas & Electric Co., |
|
| First Mortgage |
|
| 4.150% |
|
|
05/15/48 |
|
|
|
|
|
|
|
1,010 |
|
|
|
1,234,394 |
|
| Southern California Edison Co., |
|
| First Ref. Mortgage |
|
| 4.000% |
|
|
04/01/47 |
|
|
|
|
|
|
|
350 |
|
|
|
399,679 |
|
| First Ref. Mortgage, Series C |
|
| 3.600% |
|
|
02/01/45 |
|
|
|
|
|
|
|
690 |
|
|
|
747,419 |
|
| Vistra Operations Co. LLC, |
|
| Gtd. Notes, 144A |
|
| 5.000% |
|
|
07/31/27 |
|
|
|
|
|
|
|
495 |
|
|
|
502,040 |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.550% |
|
|
07/15/24 |
|
|
|
|
|
|
|
1,475 |
|
|
|
1,525,642 |
|
| Xcel Energy, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.800% |
|
|
09/15/41 |
|
|
|
|
|
|
|
480 |
|
|
|
582,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,780,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electronics — 0.0% |
|
| FLIR Systems, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.125% |
|
|
06/15/21 |
|
|
|
|
|
|
|
650 |
|
|
|
660,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Engineering & Construction — 0.1% |
|
| AECOM, |
|
| Gtd. Notes |
|
| 5.125% |
|
|
03/15/27 |
(a) |
|
|
|
|
|
|
1,000 |
|
|
|
1,074,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Engineering & Construction (cont’d.) |
|
| Mexico City Airport Trust (Mexico), |
|
| Sr. Sec’d. Notes, 144A |
|
| 5.500% |
|
|
07/31/47 |
|
|
|
|
|
|
|
1,350 |
|
|
$ |
1,190,761 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,264,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foods — 0.1% |
|
| Kraft Heinz Foods Co., |
|
| Gtd. Notes, 144A |
|
| 4.875% |
|
|
10/01/49 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,066,375 |
|
| Mars, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.950% |
|
|
04/01/49 |
|
|
|
|
|
|
|
1,120 |
|
|
|
1,396,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,463,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forest Products & Paper — 0.1% |
|
| International Paper Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.000% |
|
|
11/15/41 |
|
|
|
|
|
|
|
1,270 |
|
|
|
1,655,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gas — 0.2% |
|
| Dominion Energy Gas Holdings LLC, |
|
| Sr. Unsec’d. Notes |
|
| 4.600% |
|
|
12/15/44 |
|
|
|
|
|
|
|
45 |
|
|
|
51,837 |
|
| NiSource, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.490% |
|
|
05/15/27 |
|
|
|
|
|
|
|
2,355 |
|
|
|
2,658,021 |
|
| Piedmont Natural Gas Co., Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.500% |
|
|
06/01/29 |
|
|
|
|
|
|
|
2,090 |
|
|
|
2,384,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,094,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare-Products — 0.1% |
|
| Abbott Laboratories, |
|
| Sr. Unsec’d. Notes |
|
| 4.900% |
|
|
11/30/46 |
|
|
|
|
|
|
|
720 |
|
|
|
1,028,878 |
|
| DH Europe Finance II Sarl, |
|
| Gtd. Notes |
|
| 1.350% |
|
|
09/18/39 |
|
|
|
|
|
|
|
EUR 1,125 |
|
|
|
1,201,679 |
|
| Medtronic Global Holdings SCA, |
|
| Gtd. Notes |
|
| 1.625% |
|
|
03/07/31 |
|
|
|
|
|
|
|
EUR 200 |
|
|
|
244,611 |
|
| 2.250% |
|
|
03/07/39 |
|
|
|
|
|
|
|
EUR 300 |
|
|
|
378,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,853,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare-Services — 0.2% |
|
| Aetna, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 6.625% |
|
|
06/15/36 |
|
|
|
|
|
|
|
480 |
|
|
|
676,404 |
|
| Anthem, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.625% |
|
|
05/15/42 |
|
|
|
|
|
|
|
330 |
|
|
|
412,413 |
|
| Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
|
| Gtd. Notes, 144A |
|
| 4.125% |
|
|
10/15/20 |
|
|
|
|
|
|
|
435 |
|
|
|
435,195 |
|
| HCA, Inc., |
|
| Gtd. Notes |
|
| 5.875% |
|
|
02/01/29 |
|
|
|
|
|
|
|
575 |
|
|
|
650,055 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A19
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Healthcare-Services (cont’d.) |
|
| Sr. Sec’d. Notes |
|
| 5.125% |
|
|
06/15/39 |
|
|
|
|
|
|
|
665 |
|
|
$ |
773,864 |
|
| Kaiser Foundation Hospitals, |
|
| Gtd. Notes |
|
| 4.150% |
|
|
05/01/47 |
|
|
|
|
|
|
|
670 |
|
|
|
875,217 |
|
| Laboratory Corp. of America Holdings, |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
02/01/22 |
|
|
|
|
|
|
|
160 |
|
|
|
165,955 |
|
| MEDNAX, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.250% |
|
|
12/01/23 |
|
|
|
|
|
|
|
725 |
|
|
|
720,985 |
|
| New York and Presbyterian Hospital (The), |
|
| Unsec’d. Notes |
|
| 4.024% |
|
|
08/01/45 |
|
|
|
|
|
|
|
340 |
|
|
|
417,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,127,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Builders — 0.0% |
|
| Taylor Morrison Communities, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.875% |
|
|
06/15/27 |
|
|
|
|
|
|
|
405 |
|
|
|
420,584 |
|
| Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.625% |
|
|
03/01/24 |
|
|
|
|
|
|
|
600 |
|
|
|
619,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,040,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Housewares — 0.1% |
|
| Newell Brands, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.700% |
|
|
04/01/26 |
(a) |
|
|
|
|
|
|
2,010 |
|
|
|
2,108,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance — 0.2% |
|
| Liberty Mutual Group, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.951% |
|
|
10/15/50 |
|
|
|
|
|
|
|
1,125 |
|
|
|
1,187,057 |
|
| Lincoln National Corp., |
|
| Sr. Unsec’d. Notes |
|
| 6.300% |
|
|
10/09/37 |
|
|
|
|
|
|
|
701 |
|
|
|
930,834 |
|
| Markel Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.000% |
|
|
03/30/43 |
|
|
|
|
|
|
|
165 |
|
|
|
190,015 |
|
| New York Life Insurance Co., |
|
| Sub. Notes, 144A |
|
| 6.750% |
|
|
11/15/39 |
|
|
|
|
|
|
|
650 |
|
|
|
985,698 |
|
| Principal Financial Group, Inc., |
|
| Gtd. Notes |
|
| 4.625% |
|
|
09/15/42 |
|
|
|
|
|
|
|
105 |
|
|
|
128,951 |
|
| Teachers Insurance & Annuity Association of America, |
|
| Sub. Notes, 144A |
|
| 4.270% |
|
|
05/15/47 |
|
|
|
|
|
|
|
1,430 |
|
|
|
1,707,237 |
|
| 6.850% |
|
|
12/16/39 |
|
|
|
|
|
|
|
122 |
|
|
|
185,907 |
|
| Unum Group, |
|
| Sr. Unsec’d. Notes |
|
| 5.625% |
|
|
09/15/20 |
|
|
|
|
|
|
|
315 |
|
|
|
317,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,633,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Lodging — 0.0% |
|
| Marriott International, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.250% |
|
|
09/15/22 |
|
|
|
|
|
|
|
805 |
|
|
$ |
808,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Machinery-Diversified — 0.0% |
|
| Xylem, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.875% |
|
|
10/01/21 |
|
|
|
|
|
|
|
1,060 |
|
|
|
1,115,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media — 0.6% |
|
| AMC Networks, Inc., |
|
| Gtd. Notes |
|
| 5.000% |
|
|
04/01/24 |
|
|
|
|
|
|
|
400 |
|
|
|
396,896 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital, |
|
| Sr. Sec’d. Notes |
|
| 4.800% |
|
|
03/01/50 |
|
|
|
|
|
|
|
870 |
|
|
|
989,952 |
|
| 6.384% |
|
|
10/23/35 |
|
|
|
|
|
|
|
1,695 |
|
|
|
2,236,626 |
|
| 6.484% |
|
|
10/23/45 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,335,420 |
|
| Comcast Cable Holdings LLC, |
|
| Gtd. Notes |
|
| 9.875% |
|
|
06/15/22 |
|
|
|
|
|
|
|
1,440 |
|
|
|
1,664,152 |
|
| Comcast Corp., |
|
| Gtd. Notes |
|
| 4.150% |
|
|
10/15/28 |
(a) |
|
|
|
|
|
|
1,455 |
|
|
|
1,742,341 |
|
| Discovery Communications LLC, |
|
| Gtd. Notes |
|
| 5.000% |
|
|
09/20/37 |
|
|
|
|
|
|
|
677 |
|
|
|
797,247 |
|
| Time Warner Cable LLC, |
|
| Sr. Sec’d. Notes |
|
| 5.500% |
|
|
09/01/41 |
|
|
|
|
|
|
|
270 |
|
|
|
326,126 |
|
| ViacomCBS, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.250% |
|
|
04/01/44 |
|
|
|
|
|
|
|
1,340 |
|
|
|
1,497,179 |
|
| Videotron Ltd. (Canada), |
|
| Gtd. Notes |
|
| 5.000% |
|
|
07/15/22 |
|
|
|
|
|
|
|
850 |
|
|
|
878,501 |
|
| Walt Disney Co. (The), |
|
| Gtd. Notes |
|
| 7.625% |
|
|
11/30/28 |
|
|
|
|
|
|
|
1,265 |
|
|
|
1,813,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,678,054 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mining — 0.0% |
|
| BHP Billiton Finance USA Ltd. (Australia), |
|
| Gtd. Notes, 144A |
|
| 6.250%(ff) |
|
|
10/19/75 |
|
|
|
|
|
|
|
315 |
|
|
|
317,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Miscellaneous Manufacturing — 0.1% |
|
| Amsted Industries, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.625% |
|
|
07/01/27 |
|
|
|
|
|
|
|
800 |
|
|
|
825,566 |
|
| Pentair Finance Sarl, |
|
| Gtd. Notes |
|
| 4.500% |
|
|
07/01/29 |
|
|
|
|
|
|
|
2,415 |
|
|
|
2,651,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,476,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A20
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Multi-National — 0.1% |
|
| Corp. Andina de Fomento (Supranational Bank), |
|
| Sr. Unsec’d. Notes |
|
| 2.125% |
|
|
09/27/21 |
|
|
|
|
|
|
|
480 |
|
|
$ |
483,209 |
|
| 2.750% |
|
|
01/06/23 |
|
|
|
|
|
|
|
385 |
|
|
|
402,920 |
|
| North American Development Bank (Supranational Bank), |
|
| Sr. Unsec’d. Notes |
|
| 2.400% |
|
|
10/26/22 |
|
|
|
|
|
|
|
226 |
|
|
|
233,631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,119,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas — 0.8% |
|
| Antero Resources Corp., |
|
| Gtd. Notes |
|
| 5.000% |
|
|
03/01/25 |
|
|
|
|
|
|
|
950 |
|
|
|
564,004 |
|
| Cenovus Energy, Inc. (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 5.400% |
|
|
06/15/47 |
|
|
|
|
|
|
|
850 |
|
|
|
731,267 |
|
| CNOOC Finance 2013 Ltd. (China), |
|
| Gtd. Notes |
|
| 2.875% |
|
|
09/30/29 |
(a) |
|
|
|
|
|
|
1,350 |
|
|
|
1,435,060 |
|
| Concho Resources, Inc., |
|
| Gtd. Notes |
|
| 4.875% |
|
|
10/01/47 |
|
|
|
|
|
|
|
150 |
|
|
|
168,741 |
|
| Continental Resources, Inc., |
|
| Gtd. Notes |
|
| 4.500% |
|
|
04/15/23 |
(a) |
|
|
|
|
|
|
2,141 |
|
|
|
2,045,244 |
|
| Devon Energy Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.600% |
|
|
07/15/41 |
|
|
|
|
|
|
|
225 |
|
|
|
219,813 |
|
| Gazprom PJSC Via Gaz Capital SA (Russia), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.950% |
|
|
07/19/22 |
|
|
|
|
|
|
|
255 |
|
|
|
269,035 |
|
| 6.510% |
|
|
03/07/22 |
|
|
|
|
|
|
|
440 |
|
|
|
471,861 |
|
| Helmerich & Payne, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.650% |
|
|
03/15/25 |
|
|
|
|
|
|
|
1,555 |
|
|
|
1,672,047 |
|
| KazMunayGas National Co. JSC (Kazakhstan), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.750% |
|
|
04/24/25 |
|
|
|
|
|
|
|
400 |
|
|
|
430,241 |
|
| Newfield Exploration Co., |
|
| Gtd. Notes |
|
| 5.750% |
|
|
01/30/22 |
|
|
|
|
|
|
|
80 |
|
|
|
80,063 |
|
| Noble Energy, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.050% |
|
|
11/15/44 |
|
|
|
|
|
|
|
595 |
|
|
|
540,956 |
|
| Occidental Petroleum Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.264%(s) |
|
|
10/10/36 |
|
|
|
|
|
|
|
1,000 |
|
|
|
424,074 |
|
| 4.850% |
|
|
03/15/21 |
|
|
|
|
|
|
|
287 |
|
|
|
287,115 |
|
| 6.450% |
|
|
09/15/36 |
|
|
|
|
|
|
|
1,040 |
|
|
|
895,999 |
|
| Ovintiv, Inc., |
|
| Gtd. Notes |
|
| 6.500% |
|
|
02/01/38 |
|
|
|
|
|
|
|
240 |
|
|
|
203,397 |
|
| Petrobras Global Finance BV (Brazil), |
|
| Gtd. Notes |
|
| 5.750% |
|
|
02/01/29 |
|
|
|
|
|
|
|
610 |
|
|
|
626,698 |
|
| 6.900% |
|
|
03/19/49 |
|
|
|
|
|
|
|
600 |
|
|
|
631,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Oil & Gas (cont’d.) |
|
| Gtd. Notes, 144A |
|
| 5.093% |
|
|
01/15/30 |
|
|
|
|
|
|
|
577 |
|
|
$ |
574,505 |
|
| Petroleos Mexicanos (Mexico), |
|
| Gtd. Notes |
|
| 5.500% |
|
|
01/21/21 |
|
|
|
|
|
|
|
205 |
|
|
|
205,505 |
|
| 6.350% |
|
|
02/12/48 |
|
|
|
|
|
|
|
458 |
|
|
|
340,008 |
|
| 6.500% |
|
|
03/13/27 |
|
|
|
|
|
|
|
230 |
|
|
|
209,815 |
|
| Gtd. Notes, 144A |
|
| 6.490% |
|
|
01/23/27 |
|
|
|
|
|
|
|
346 |
|
|
|
315,679 |
|
| 7.690% |
|
|
01/23/50 |
|
|
|
|
|
|
|
1,682 |
|
|
|
1,393,587 |
|
| Gtd. Notes, MTN |
|
| 6.750% |
|
|
09/21/47 |
|
|
|
|
|
|
|
1,805 |
|
|
|
1,389,067 |
|
| 6.875% |
|
|
08/04/26 |
|
|
|
|
|
|
|
770 |
|
|
|
727,695 |
|
| Sinopec Group Overseas Development 2018 Ltd. (China), |
|
| Gtd. Notes, 144A |
|
| 3.680% |
|
|
08/08/49 |
|
|
|
|
|
|
|
990 |
|
|
|
1,120,516 |
|
| Valero Energy Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
04/01/29 |
(a) |
|
|
|
|
|
|
580 |
|
|
|
646,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,620,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Services — 0.0% |
|
| Schlumberger Holdings Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.000% |
|
|
12/21/25 |
|
|
|
|
|
|
|
139 |
|
|
|
152,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Packaging & Containers — 0.0% |
|
| WestRock RKT LLC, |
|
| Gtd. Notes |
|
| 4.900% |
|
|
03/01/22 |
|
|
|
|
|
|
|
675 |
|
|
|
716,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 0.7% |
|
| AbbVie, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.600% |
|
|
05/14/25 |
|
|
|
|
|
|
|
950 |
|
|
|
1,050,320 |
|
| 4.500% |
|
|
05/14/35 |
|
|
|
|
|
|
|
1,595 |
|
|
|
1,925,345 |
|
| 4.700% |
|
|
05/14/45 |
|
|
|
|
|
|
|
855 |
|
|
|
1,065,490 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.250% |
|
|
11/21/49 |
|
|
|
|
|
|
|
1,480 |
|
|
|
1,789,223 |
|
| 4.550% |
|
|
03/15/35 |
|
|
|
|
|
|
|
1,770 |
|
|
|
2,143,320 |
|
| Bayer US Finance II LLC (Germany), |
|
| Gtd. Notes, 144A, 3 Month LIBOR + 0.630% |
|
| 0.927%(c) |
|
|
06/25/21 |
(a) |
|
|
|
|
|
|
805 |
|
|
|
805,205 |
|
| Gtd. Notes, 144A |
|
| 3.500% |
|
|
06/25/21 |
|
|
|
|
|
|
|
350 |
|
|
|
358,717 |
|
| Becton, Dickinson & Co., |
|
| Sr. Unsec’d. Notes |
|
| 3.734% |
|
|
12/15/24 |
|
|
|
|
|
|
|
372 |
|
|
|
409,244 |
|
| Bristol-Myers Squibb Co., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.125% |
|
|
06/15/39 |
(a) |
|
|
|
|
|
|
280 |
|
|
|
355,875 |
|
| 4.250% |
|
|
10/26/49 |
|
|
|
|
|
|
|
1,285 |
|
|
|
1,692,280 |
|
| 5.000% |
|
|
08/15/45 |
|
|
|
|
|
|
|
745 |
|
|
|
1,037,367 |
|
| Cigna Corp., |
|
| Gtd. Notes |
|
| 4.375% |
|
|
10/15/28 |
|
|
|
|
|
|
|
1,870 |
|
|
|
2,212,316 |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
03/15/40 |
|
|
|
|
|
|
|
530 |
|
|
|
563,486 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A21
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Pharmaceuticals (cont’d.) |
|
| CVS Health Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.780% |
|
|
03/25/38 |
|
|
|
|
|
|
|
210 |
|
|
$ |
259,624 |
|
| 5.125% |
|
|
07/20/45 |
|
|
|
|
|
|
|
991 |
|
|
|
1,278,605 |
|
| 5.300% |
|
|
12/05/43 |
|
|
|
|
|
|
|
185 |
|
|
|
240,949 |
|
| Upjohn, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.850% |
|
|
06/22/40 |
|
|
|
|
|
|
|
1,230 |
|
|
|
1,319,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,506,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pipelines — 0.6% |
|
| Energy Transfer Operating LP, |
|
| Gtd. Notes |
|
| 4.650% |
|
|
06/01/21 |
|
|
|
|
|
|
|
610 |
|
|
|
622,736 |
|
| 4.950% |
|
|
06/15/28 |
|
|
|
|
|
|
|
795 |
|
|
|
855,664 |
|
| 5.000% |
|
|
05/15/50 |
|
|
|
|
|
|
|
990 |
|
|
|
938,818 |
|
| 6.125% |
|
|
12/15/45 |
|
|
|
|
|
|
|
120 |
|
|
|
126,122 |
|
| Enterprise Products Operating LLC, |
|
| Gtd. Notes |
|
| 3.750% |
|
|
02/15/25 |
(a) |
|
|
|
|
|
|
1,055 |
|
|
|
1,169,425 |
|
| MPLX LP, |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
02/15/25 |
|
|
|
|
|
|
|
1,140 |
|
|
|
1,222,685 |
|
| 4.700% |
|
|
04/15/48 |
|
|
|
|
|
|
|
750 |
|
|
|
751,843 |
|
| 4.875% |
|
|
06/01/25 |
|
|
|
|
|
|
|
2,275 |
|
|
|
2,538,856 |
|
| 5.200% |
|
|
03/01/47 |
|
|
|
|
|
|
|
25 |
|
|
|
26,684 |
|
| ONEOK Partners LP, |
|
| Gtd. Notes |
|
| 6.650% |
|
|
10/01/36 |
|
|
|
|
|
|
|
130 |
|
|
|
145,541 |
|
| ONEOK, Inc., |
|
| Gtd. Notes |
|
| 3.100% |
|
|
03/15/30 |
|
|
|
|
|
|
|
3,495 |
|
|
|
3,344,775 |
|
| 4.500% |
|
|
03/15/50 |
|
|
|
|
|
|
|
245 |
|
|
|
228,049 |
|
| 4.950% |
|
|
07/13/47 |
|
|
|
|
|
|
|
640 |
|
|
|
617,630 |
|
| Western Midstream Operating LP, |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
07/01/22 |
|
|
|
|
|
|
|
1,315 |
|
|
|
1,311,483 |
|
| 5.300% |
|
|
03/01/48 |
|
|
|
|
|
|
|
80 |
|
|
|
64,939 |
|
| Williams Cos., Inc. (The), |
|
| Sr. Unsec’d. Notes |
|
| 4.850% |
|
|
03/01/48 |
|
|
|
|
|
|
|
230 |
|
|
|
251,096 |
|
| 4.900% |
|
|
01/15/45 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,171,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,387,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) — 0.0% |
|
| GLP Capital LP/GLP Financing II, Inc., |
|
| Gtd. Notes |
|
| 5.375% |
|
|
04/15/26 |
|
|
|
|
|
|
|
725 |
|
|
|
792,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail — 0.3% |
|
| AutoZone, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.750% |
|
|
04/18/29 |
|
|
|
|
|
|
|
1,820 |
|
|
|
2,060,158 |
|
| Dollar Tree, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
05/15/25 |
|
|
|
|
|
|
|
3,395 |
|
|
|
3,818,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Retail (cont’d.) |
|
| L Brands, Inc., |
|
| Gtd. Notes |
|
| 5.625% |
|
|
10/15/23 |
(a) |
|
|
|
|
|
|
500 |
|
|
$ |
472,887 |
|
| Macy’s Retail Holdings, Inc., |
|
| Gtd. Notes |
|
| 3.875% |
|
|
01/15/22 |
|
|
|
|
|
|
|
168 |
|
|
|
150,529 |
|
| Sally Holdings LLC/Sally Capital, Inc., |
|
| Gtd. Notes |
|
| 5.625% |
|
|
12/01/25 |
(a) |
|
|
|
|
|
|
1,020 |
|
|
|
990,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,492,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Savings & Loans — 0.1% |
|
| People’s United Financial, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.650% |
|
|
12/06/22 |
(a) |
|
|
|
|
|
|
1,195 |
|
|
|
1,243,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors — 0.0% |
|
| Broadcom, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.459% |
|
|
09/15/26 |
|
|
|
|
|
|
|
667 |
|
|
|
716,001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.0% |
|
| Microsoft Corp., |
|
| Sr. Unsec’d. Notes |
|
| 2.675% |
|
|
06/01/60 |
|
|
|
|
|
|
|
360 |
|
|
|
375,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunications — 0.6% |
|
| AT&T, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.400% |
|
|
05/15/25 |
|
|
|
|
|
|
|
1,665 |
|
|
|
1,827,254 |
|
| 3.600% |
|
|
07/15/25 |
|
|
|
|
|
|
|
250 |
|
|
|
277,364 |
|
| 3.800% |
|
|
02/15/27 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,347,161 |
|
| 4.300% |
|
|
02/15/30 |
|
|
|
|
|
|
|
490 |
|
|
|
572,891 |
|
| 4.500% |
|
|
05/15/35 |
|
|
|
|
|
|
|
225 |
|
|
|
265,235 |
|
| 4.550% |
|
|
03/09/49 |
|
|
|
|
|
|
|
4 |
|
|
|
4,715 |
|
| 4.850% |
|
|
03/01/39 |
|
|
|
|
|
|
|
3,615 |
|
|
|
4,386,879 |
|
| 5.350% |
|
|
09/01/40 |
|
|
|
|
|
|
|
113 |
|
|
|
142,053 |
|
| British Telecommunications PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 9.625% |
|
|
12/15/30 |
|
|
|
|
|
|
|
350 |
|
|
|
572,132 |
|
| CenturyLink, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 4.000% |
|
|
02/15/27 |
(a) |
|
|
|
|
|
|
785 |
|
|
|
760,858 |
|
| Level 3 Financing, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.400% |
|
|
03/01/27 |
|
|
|
|
|
|
|
250 |
|
|
|
264,468 |
|
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.360% |
|
|
03/20/23 |
|
|
|
|
|
|
|
438 |
|
|
|
443,471 |
|
| Verizon Communications, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.016% |
|
|
12/03/29 |
|
|
|
|
|
|
|
1,365 |
|
|
|
1,629,750 |
|
| 4.125% |
|
|
08/15/46 |
|
|
|
|
|
|
|
520 |
|
|
|
644,562 |
|
| 4.500% |
|
|
08/10/33 |
|
|
|
|
|
|
|
865 |
|
|
|
1,083,697 |
|
| 4.862% |
|
|
08/21/46 |
|
|
|
|
|
|
|
615 |
|
|
|
833,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,056,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A22
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Transportation — 0.1% |
|
| Burlington Northern Santa Fe LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.700% |
|
|
08/01/28 |
|
|
|
|
|
|
|
735 |
|
|
$ |
1,015,919 |
|
| CSX Corp., |
|
| Sr. Unsec’d. Notes |
|
| 6.150% |
|
|
05/01/37 |
|
|
|
|
|
|
|
690 |
|
|
|
966,155 |
|
| Norfolk Southern Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.590% |
|
|
05/17/25 |
|
|
|
|
|
|
|
120 |
|
|
|
142,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,124,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(cost $254,546,557) |
|
|
|
272,112,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 0.7% |
|
| Alabama — 0.0% |
|
| Alabama Economic Settlement Authority, |
|
| Revenue Bonds, BABs, Series B |
|
| 4.263% |
|
|
09/15/32 |
|
|
|
|
|
|
|
180 |
|
|
|
214,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California — 0.2% |
|
| Bay Area Toll Authority, |
|
| Revenue Bonds, BABs |
|
| 2.574% |
|
|
04/01/31 |
|
|
|
|
|
|
|
415 |
|
|
|
446,777 |
|
| 6.263% |
|
|
04/01/49 |
|
|
|
|
|
|
|
1,305 |
|
|
|
2,250,916 |
|
| State of California, |
|
| General Obligation, BABs |
|
| 7.300% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,250 |
|
|
|
2,073,963 |
|
| 7.500% |
|
|
04/01/34 |
|
|
|
|
|
|
|
350 |
|
|
|
568,438 |
|
| 7.625% |
|
|
03/01/40 |
|
|
|
|
|
|
|
205 |
|
|
|
356,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,696,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colorado — 0.1% |
|
| Regional Transportation District Sales Tax Revenue, |
|
| Revenue Bonds, Series B, BABs |
|
| 5.844% |
|
|
11/01/50 |
|
|
|
|
|
|
|
565 |
|
|
|
939,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois — 0.2% |
|
| Chicago O’Hare International Airport, |
|
| Revenue Bonds, BABs |
|
| 6.395% |
|
|
01/01/40 |
|
|
|
|
|
|
|
970 |
|
|
|
1,444,505 |
|
| State of Illinois, |
|
| General Obligation |
|
| 5.100% |
|
|
06/01/33 |
|
|
|
|
|
|
|
200 |
|
|
|
202,950 |
|
| General Obligation, Series D, BABs |
|
| 5.000% |
|
|
11/01/22 |
|
|
|
|
|
|
|
2,305 |
|
|
|
2,417,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,064,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Jersey — 0.1% |
|
| New Jersey Turnpike Authority, |
|
| Revenue Bonds, BABs |
|
| 7.414% |
|
|
01/01/40 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,699,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New York — 0.1% |
|
| New York City Transitional Finance Authority Future Tax Secured Revenue, |
|
| Revenue Bonds, BABs |
|
| 5.767% |
|
|
08/01/36 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,440,934 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| MUNICIPAL BONDS (continued) |
|
| Ohio — 0.0% |
|
| Ohio State University (The), |
|
| Revenue Bonds, BABs |
|
| 4.910% |
|
|
06/01/40 |
|
|
|
|
|
|
|
415 |
|
|
$ |
592,906 |
|
| Ohio Water Development Authority Water Pollution Control Loan Fund, |
|
| Revenue Bonds, BABs |
|
| 4.879% |
|
|
12/01/34 |
|
|
|
|
|
|
|
275 |
|
|
|
321,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
914,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oregon — 0.0% |
|
| State of Oregon Department of Transportation, |
|
| Revenue Bonds, BABs |
|
| 5.834% |
|
|
11/15/34 |
|
|
|
|
|
|
|
425 |
|
|
|
617,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pennsylvania — 0.0% |
|
| Pennsylvania Turnpike Commission, |
|
| Revenue Bonds, Series B, BABs |
|
| 5.511% |
|
|
12/01/45 |
|
|
|
|
|
|
|
505 |
|
|
|
779,503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Virginia — 0.0% |
|
| University of Virginia, |
|
| Revenue Bonds, Taxable, Series C |
|
| 4.179% |
|
|
09/01/2117 |
|
|
|
|
|
|
|
355 |
|
|
|
480,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL MUNICIPAL BONDS
(cost $12,056,172) |
|
|
|
16,846,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.9% |
|
| Alternative Loan Trust, |
|
| Series 2004-18CB, Class 3A1 |
|
| 5.250% |
|
|
09/25/20 |
|
|
|
|
|
|
|
20 |
|
|
|
19,901 |
|
| Banc of America Funding Trust, |
|
| Series 2015-R04, Class 4A1, 144A |
|
| 3.500%(cc) |
|
|
01/27/30 |
|
|
|
|
|
|
|
104 |
|
|
|
102,357 |
|
| Banc of America Mortgage Trust, |
|
| Series 2005-A, Class 2A1 |
|
| 3.709%(cc) |
|
|
02/25/35 |
|
|
|
|
|
|
|
92 |
|
|
|
89,225 |
|
| Bellemeade Re Ltd. (Bermuda), |
|
| Series 2018-01A, Class M1B, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 1.785%(c) |
|
|
04/25/28 |
|
|
|
|
|
|
|
87 |
|
|
|
86,114 |
|
| Series 2018-02A, Class M1B, 144A, 1 Month LIBOR
+ 1.350% (Cap N/A, Floor 0.000%) |
|
| 1.535%(c) |
|
|
08/25/28 |
|
|
|
|
|
|
|
148 |
|
|
|
147,167 |
|
| Series 2018-02A, Class M1C, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 1.770%(c) |
|
|
08/25/28 |
|
|
|
|
|
|
|
300 |
|
|
|
272,129 |
|
| Series 2020-01A, Class M1A, 144A, 1 Month LIBOR
+ 2.650% (Cap N/A, Floor 0.000%) |
|
| 2.845%(c) |
|
|
06/25/30 |
|
|
|
|
|
|
|
620 |
|
|
|
620,109 |
|
| Series 2020-01A, Class M1B, 144A, 1 Month LIBOR
+ 3.400% (Cap N/A, Floor 0.000%) |
|
| 3.595%(c) |
|
|
06/25/30 |
|
|
|
|
|
|
|
160 |
|
|
|
160,000 |
|
| BVRT Financing Trust, |
|
| Series 2019-01, Class F, 144A |
|
| 2.327% |
|
|
09/15/21^ |
|
|
|
|
|
|
|
4,536 |
|
|
|
4,500,229 |
|
| Central Park Funding Trust, |
|
| Series 2018-01, Class A, 144A, 1 Month LIBOR +
1.500% (Cap N/A, Floor 1.500%) |
|
| 1.673%(c) |
|
|
11/01/23 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,443,174 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A23
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Chase Mortgage Finance Trust, |
|
| Series 2007-A01, Class 1A5 |
|
| 3.988%(cc) |
|
|
02/25/37 |
|
|
|
|
|
|
|
180 |
|
|
$ |
174,735 |
|
| CIM Trust, |
|
| Series 2017-03, Class A1, 144A, 1 Month LIBOR
+ 2.000% (Cap N/A, Floor 0.000%) |
|
| 2.173%(c) |
|
|
01/25/57 |
|
|
|
|
|
|
|
1,831 |
|
|
|
1,830,094 |
|
| Series 2017-06, Class A1, 144A |
|
| 3.015%(cc) |
|
|
06/25/57 |
|
|
|
|
|
|
|
1,854 |
|
|
|
1,863,800 |
|
| Series 2017-08, Class A1, 144A |
|
| 3.000%(cc) |
|
|
12/25/65 |
|
|
|
|
|
|
|
1,664 |
|
|
|
1,657,971 |
|
| Credit Suisse Mortgage Trust, |
|
| Series 2018-RPL09, Class A, 144A |
|
| 3.850%(cc) |
|
|
09/25/57 |
|
|
|
|
|
|
|
1,526 |
|
|
|
1,618,966 |
|
| Freddie Mac REMICS, |
|
| Series 4535, Class PA |
|
| 3.000% |
|
|
03/15/44 |
|
|
|
|
|
|
|
810 |
|
|
|
847,017 |
|
| Freddie Mac Structured Agency Credit Risk Debt Notes, |
|
| Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
|
| 1.485%(c) |
|
|
03/25/29 |
|
|
|
|
|
|
|
63 |
|
|
|
62,595 |
|
| Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
|
| 1.385%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
139 |
|
|
|
138,925 |
|
| Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
|
| 0.935%(c) |
|
|
03/25/30 |
|
|
|
|
|
|
|
589 |
|
|
|
588,621 |
|
| Freddie Mac Structured Agency Credit Risk Trust, |
|
| Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor
0.000%) |
|
| 0.935%(c) |
|
|
09/25/48 |
|
|
|
|
|
|
|
2 |
|
|
|
2,360 |
|
| Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor
0.000%) |
|
| 0.935%(c) |
|
|
02/25/49 |
|
|
|
|
|
|
|
93 |
|
|
|
93,140 |
|
| Home Re Ltd. (Bermuda), |
|
| Series 2019-01, Class M1, 144A, 1 Month LIBOR
+ 1.650% (Cap N/A, Floor 0.000%) |
|
| 1.835%(c) |
|
|
05/25/29 |
|
|
|
|
|
|
|
116 |
|
|
|
114,134 |
|
| JPMorgan Mortgage Trust, |
|
| Series 2007-A01, Class 4A1 |
|
| 3.995%(cc) |
|
|
07/25/35 |
|
|
|
|
|
|
|
73 |
|
|
|
69,811 |
|
| LSTAR Securities Investment Trust, |
|
| Series 2019-02, Class A1, 144A, 1 Month LIBOR
+ 1.500% (Cap N/A, Floor 0.000%) |
|
| 1.673%(c) |
|
|
04/01/24 |
|
|
|
|
|
|
|
118 |
|
|
|
117,781 |
|
| MetLife Securitization Trust, |
|
| Series 2018-01A, Class A, 144A |
|
| 3.750%(cc) |
|
|
03/25/57 |
|
|
|
|
|
|
|
298 |
|
|
|
317,631 |
|
| Mill City Mortgage Loan Trust, |
|
| Series 2019-01, Class A1, 144A |
|
| 3.250%(cc) |
|
|
10/25/69 |
|
|
|
|
|
|
|
662 |
|
|
|
697,083 |
|
| New Residential Mortgage Loan Trust, |
|
| Series 2018-01A, Class A1A, 144A |
|
| 4.000%(cc) |
|
|
12/25/57 |
|
|
|
|
|
|
|
1,071 |
|
|
|
1,135,201 |
|
| Series 2018-04A, Class A1S, 144A, 1 Month LIBOR
+ 0.750% (Cap N/A, Floor 0.750%) |
|
| 0.935%(c) |
|
|
01/25/48 |
|
|
|
|
|
|
|
388 |
|
|
|
384,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Oaktown Re Ltd. (Bermuda), |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-01A, Class M1, 144A, 1 Month LIBOR
+ 1.550% (Cap N/A, Floor 0.000%) |
|
| 1.735%(c) |
|
|
07/25/28 |
|
|
|
|
|
|
|
42 |
|
|
$ |
41,828 |
|
| Series 2019-01A, Class M1A, 144A, 1 Month LIBOR
+ 1.400% |
|
| 1.585%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
29 |
|
|
|
28,697 |
|
| Seasoned Credit Risk Transfer Trust, |
|
| Series 2019-02, Class MA |
|
| 3.500% |
|
|
08/25/58 |
|
|
|
|
|
|
|
1,401 |
|
|
|
1,526,890 |
|
| Structured Adjustable Rate Mortgage Loan Trust, |
|
| Series 2004-01, Class 4A3 |
|
| 3.765%(cc) |
|
|
02/25/34 |
|
|
|
|
|
|
|
123 |
|
|
|
118,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $22,706,720) |
|
|
|
22,870,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN BONDS — 1.0% |
|
| Abu Dhabi Government International Bond (United Arab Emirates), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.125% |
|
|
10/11/27 |
|
|
|
|
|
|
|
2,420 |
|
|
|
2,646,019 |
|
| Colombia Government International Bond (Colombia), |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
02/26/24 |
|
|
|
|
|
|
|
220 |
|
|
|
231,624 |
|
| 4.375% |
|
|
07/12/21 |
|
|
|
|
|
|
|
400 |
|
|
|
411,131 |
|
| 5.000% |
|
|
06/15/45 |
|
|
|
|
|
|
|
430 |
|
|
|
484,982 |
|
| 7.375% |
|
|
09/18/37 |
|
|
|
|
|
|
|
450 |
|
|
|
616,394 |
|
| Export-Import Bank of India (India), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.875% |
|
|
02/01/28 |
|
|
|
|
|
|
|
745 |
|
|
|
775,248 |
|
| Finnvera OYJ (Finland), |
|
| Gov’t. Gtd. Notes, 144A, MTN |
|
| 2.375% |
|
|
06/04/25 |
|
|
|
|
|
|
|
400 |
|
|
|
434,188 |
|
| Hungary Government International Bond (Hungary), |
|
| Sr. Unsec’d. Notes |
|
| 6.375% |
|
|
03/29/21 |
|
|
|
|
|
|
|
714 |
|
|
|
742,596 |
|
| Indonesia Government International Bond (Indonesia), |
|
| Sr. Unsec’d. Notes |
|
| 3.375% |
|
|
07/30/25 |
|
|
|
|
|
|
|
EUR 1,200 |
|
|
|
1,462,797 |
|
| 4.450% |
|
|
02/11/24 |
|
|
|
|
|
|
|
355 |
|
|
|
385,257 |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 5.875% |
|
|
01/15/24 |
|
|
|
|
|
|
|
750 |
|
|
|
849,473 |
|
| Sr. Unsec’d. Notes, EMTN |
|
| 2.150% |
|
|
07/18/24 |
|
|
|
|
|
|
|
EUR 1,510 |
|
|
|
1,747,380 |
|
| 4.750% |
|
|
01/08/26 |
|
|
|
|
|
|
|
350 |
|
|
|
394,620 |
|
| Japan Bank for International Cooperation (Japan), |
|
| Gov’t. Gtd. Notes |
|
| 3.375% |
|
|
10/31/23 |
|
|
|
|
|
|
|
200 |
|
|
|
218,551 |
|
| Japan Finance Organization for Municipalities (Japan), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 2.125% |
|
|
10/25/23 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,047,530 |
|
| 2.625% |
|
|
04/20/22 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,451,196 |
|
| 3.000% |
|
|
03/12/24 |
|
|
|
|
|
|
|
200 |
|
|
|
216,652 |
|
| Panama Government International Bond (Panama), |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
09/22/24 |
|
|
|
|
|
|
|
395 |
|
|
|
429,872 |
|
| 4.500% |
|
|
04/16/50 |
|
|
|
|
|
|
|
340 |
|
|
|
415,587 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A24
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| SOVEREIGN BONDS (continued) |
|
| Province of Manitoba (Canada), |
|
| Sr. Unsec’d. Notes, Series GX |
|
| 2.600% |
|
|
04/16/24 |
|
|
|
|
|
|
|
225 |
|
|
$ |
241,816 |
|
| Province of Ontario (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 3.400% |
|
|
10/17/23 |
|
|
|
|
|
|
|
240 |
|
|
|
262,612 |
|
| Qatar Government International Bond (Qatar), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.875% |
|
|
04/23/23 |
|
|
|
|
|
|
|
800 |
|
|
|
858,597 |
|
| 4.817% |
|
|
03/14/49 |
|
|
|
|
|
|
|
200 |
|
|
|
264,288 |
|
| 5.103% |
|
|
04/23/48 |
|
|
|
|
|
|
|
665 |
|
|
|
908,051 |
|
| Romanian Government International Bond (Romania), |
|
| Sr. Unsec’d. Notes, EMTN |
|
| 4.125% |
|
|
03/11/39 |
|
|
|
|
|
|
|
EUR 960 |
|
|
|
1,188,298 |
|
| Saudi Government International Bond (Saudi Arabia), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 2.375% |
|
|
10/26/21 |
|
|
|
|
|
|
|
980 |
|
|
|
994,221 |
|
| 2.875% |
|
|
03/04/23 |
|
|
|
|
|
|
|
1,285 |
|
|
|
1,340,177 |
|
| 4.000% |
|
|
04/17/25 |
|
|
|
|
|
|
|
750 |
|
|
|
832,666 |
|
| Tokyo Metropolitan Government (Japan), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.500% |
|
|
06/08/22 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,243,038 |
|
| 3.250% |
|
|
06/01/23 |
|
|
|
|
|
|
|
600 |
|
|
|
644,686 |
|
| Uruguay Government International Bond (Uruguay), |
|
| Sr. Unsec’d. Notes |
|
| 4.975% |
|
|
04/20/55 |
(a) |
|
|
|
|
|
|
405 |
|
|
|
518,740 |
|
| 5.100% |
|
|
06/18/50 |
(a) |
|
|
|
|
|
|
395 |
|
|
|
510,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SOVEREIGN BONDS
(cost $23,170,581) |
|
|
|
24,768,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.5% |
|
| Federal Home Loan Bank |
|
| 5.500% |
|
|
07/15/36 |
(k) |
|
|
|
|
|
|
850 |
|
|
|
1,328,449 |
|
| Federal Home Loan Mortgage Corp. |
|
| 2.000% |
|
|
01/01/32 |
|
|
|
|
|
|
|
792 |
|
|
|
823,713 |
|
| 2.500% |
|
|
03/01/30 |
|
|
|
|
|
|
|
451 |
|
|
|
479,346 |
|
| 3.000% |
|
|
10/01/28 |
|
|
|
|
|
|
|
321 |
|
|
|
341,616 |
|
| 3.000% |
|
|
06/01/29 |
|
|
|
|
|
|
|
634 |
|
|
|
674,841 |
|
| 3.000% |
|
|
01/01/37 |
|
|
|
|
|
|
|
205 |
|
|
|
217,373 |
|
| 3.000% |
|
|
06/01/42 |
|
|
|
|
|
|
|
327 |
|
|
|
349,520 |
|
| 3.000% |
|
|
10/01/42 |
|
|
|
|
|
|
|
784 |
|
|
|
840,444 |
|
| 3.000% |
|
|
01/01/43 |
|
|
|
|
|
|
|
705 |
|
|
|
755,490 |
|
| 3.000% |
|
|
07/01/43 |
|
|
|
|
|
|
|
1,859 |
|
|
|
1,992,205 |
|
| 3.500% |
|
|
06/01/42 |
|
|
|
|
|
|
|
329 |
|
|
|
356,497 |
|
| 3.500% |
|
|
01/01/47 |
|
|
|
|
|
|
|
689 |
|
|
|
732,657 |
|
| 3.500% |
|
|
02/01/47 |
|
|
|
|
|
|
|
958 |
|
|
|
1,016,525 |
|
| 4.000% |
|
|
06/01/26 |
|
|
|
|
|
|
|
359 |
|
|
|
381,250 |
|
| 4.000% |
|
|
09/01/26 |
|
|
|
|
|
|
|
131 |
|
|
|
139,280 |
|
| 4.000% |
|
|
03/01/38 |
|
|
|
|
|
|
|
388 |
|
|
|
417,816 |
|
| 4.000% |
|
|
10/01/39 |
|
|
|
|
|
|
|
584 |
|
|
|
640,606 |
|
| 4.000% |
|
|
09/01/40 |
|
|
|
|
|
|
|
873 |
|
|
|
957,079 |
|
| 4.000% |
|
|
12/01/40 |
|
|
|
|
|
|
|
343 |
|
|
|
375,981 |
|
| 4.000% |
|
|
10/01/41 |
|
|
|
|
|
|
|
365 |
|
|
|
400,201 |
|
| 4.000% |
|
|
01/01/42 |
|
|
|
|
|
|
|
128 |
|
|
|
140,376 |
|
| 4.500% |
|
|
07/01/20 |
|
|
|
|
|
|
|
1 |
|
|
|
589 |
|
| 4.500% |
|
|
02/01/39 |
|
|
|
|
|
|
|
75 |
|
|
|
83,178 |
|
| 4.500% |
|
|
09/01/39 |
|
|
|
|
|
|
|
124 |
|
|
|
138,332 |
|
| 4.500% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,113 |
|
|
|
1,238,306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 4.500% |
|
|
12/01/39 |
|
|
|
|
|
|
|
109 |
|
|
$ |
121,592 |
|
| 4.500% |
|
|
07/01/41 |
|
|
|
|
|
|
|
179 |
|
|
|
193,377 |
|
| 4.500% |
|
|
07/01/41 |
|
|
|
|
|
|
|
1,635 |
|
|
|
1,820,495 |
|
| 4.500% |
|
|
08/01/41 |
|
|
|
|
|
|
|
123 |
|
|
|
133,039 |
|
| 4.500% |
|
|
08/01/41 |
|
|
|
|
|
|
|
186 |
|
|
|
203,351 |
|
| 4.500% |
|
|
08/01/41 |
|
|
|
|
|
|
|
271 |
|
|
|
295,427 |
|
| 4.500% |
|
|
10/01/41 |
|
|
|
|
|
|
|
146 |
|
|
|
157,766 |
|
| 4.500% |
|
|
12/01/47 |
|
|
|
|
|
|
|
304 |
|
|
|
327,671 |
|
| 4.500% |
|
|
08/01/48 |
|
|
|
|
|
|
|
788 |
|
|
|
847,820 |
|
| 5.000% |
|
|
05/01/34 |
|
|
|
|
|
|
|
16 |
|
|
|
18,268 |
|
| 5.000% |
|
|
05/01/34 |
|
|
|
|
|
|
|
233 |
|
|
|
266,846 |
|
| 5.000% |
|
|
10/01/35 |
|
|
|
|
|
|
|
6 |
|
|
|
6,881 |
|
| 5.000% |
|
|
07/01/37 |
|
|
|
|
|
|
|
386 |
|
|
|
442,442 |
|
| 5.000% |
|
|
05/01/39 |
|
|
|
|
|
|
|
51 |
|
|
|
58,738 |
|
| 5.500% |
|
|
12/01/33 |
|
|
|
|
|
|
|
42 |
|
|
|
46,598 |
|
| 5.500% |
|
|
01/01/34 |
|
|
|
|
|
|
|
40 |
|
|
|
44,810 |
|
| 5.500% |
|
|
06/01/34 |
|
|
|
|
|
|
|
75 |
|
|
|
86,105 |
|
| 5.500% |
|
|
07/01/34 |
|
|
|
|
|
|
|
171 |
|
|
|
195,412 |
|
| 5.500% |
|
|
05/01/37 |
|
|
|
|
|
|
|
45 |
|
|
|
51,985 |
|
| 5.500% |
|
|
02/01/38 |
|
|
|
|
|
|
|
353 |
|
|
|
405,273 |
|
| 5.500% |
|
|
05/01/38 |
|
|
|
|
|
|
|
38 |
|
|
|
43,709 |
|
| 5.500% |
|
|
07/01/38 |
|
|
|
|
|
|
|
96 |
|
|
|
110,443 |
|
| 6.000% |
|
|
03/01/32 |
|
|
|
|
|
|
|
138 |
|
|
|
154,874 |
|
| 6.000% |
|
|
12/01/33 |
|
|
|
|
|
|
|
49 |
|
|
|
54,975 |
|
| 6.000% |
|
|
11/01/36 |
|
|
|
|
|
|
|
46 |
|
|
|
52,343 |
|
| 6.000% |
|
|
01/01/37 |
|
|
|
|
|
|
|
38 |
|
|
|
43,623 |
|
| 6.000% |
|
|
05/01/37 |
|
|
|
|
|
|
|
20 |
|
|
|
23,613 |
|
| 6.000% |
|
|
02/01/38 |
|
|
|
|
|
|
|
3 |
|
|
|
4,029 |
|
| 6.000% |
|
|
08/01/39 |
|
|
|
|
|
|
|
51 |
|
|
|
59,141 |
|
| 6.750% |
|
|
09/15/29 |
|
|
|
|
|
|
|
605 |
|
|
|
910,503 |
|
| 6.750% |
|
|
03/15/31 |
(k) |
|
|
|
|
|
|
550 |
|
|
|
864,845 |
|
| 7.000% |
|
|
05/01/31 |
|
|
|
|
|
|
|
6 |
|
|
|
6,488 |
|
| 7.000% |
|
|
06/01/31 |
|
|
|
|
|
|
|
13 |
|
|
|
13,755 |
|
| 7.000% |
|
|
08/01/31 |
|
|
|
|
|
|
|
106 |
|
|
|
122,538 |
|
| 7.000% |
|
|
10/01/31 |
|
|
|
|
|
|
|
6 |
|
|
|
6,713 |
|
| Federal National Mortgage Assoc. |
|
| 2.000% |
|
|
TBA |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,572,224 |
|
| 2.000% |
|
|
TBA |
|
|
|
|
|
|
|
9,000 |
|
|
|
9,293,906 |
|
| 2.000% |
|
|
08/01/31 |
|
|
|
|
|
|
|
731 |
|
|
|
759,651 |
|
| 2.500% |
|
|
01/01/28 |
|
|
|
|
|
|
|
635 |
|
|
|
666,689 |
|
| 2.500% |
|
|
10/01/43 |
|
|
|
|
|
|
|
623 |
|
|
|
659,806 |
|
| 2.500% |
|
|
12/01/46 |
|
|
|
|
|
|
|
1,316 |
|
|
|
1,393,256 |
|
| 2.500% |
|
|
09/01/49 |
|
|
|
|
|
|
|
3,125 |
|
|
|
3,257,677 |
|
| 2.500% |
|
|
11/01/49 |
|
|
|
|
|
|
|
3,271 |
|
|
|
3,408,088 |
|
| 2.500% |
|
|
12/01/49 |
|
|
|
|
|
|
|
571 |
|
|
|
594,663 |
|
| 3.000% |
|
|
TBA |
|
|
|
|
|
|
|
21,000 |
|
|
|
22,079,624 |
|
| 3.000% |
|
|
02/01/27 |
|
|
|
|
|
|
|
1,248 |
|
|
|
1,320,040 |
|
| 3.000% |
|
|
08/01/30 |
|
|
|
|
|
|
|
846 |
|
|
|
891,002 |
|
| 3.000% |
|
|
11/01/36 |
|
|
|
|
|
|
|
1,841 |
|
|
|
1,939,939 |
|
| 3.000% |
|
|
12/01/42 |
|
|
|
|
|
|
|
1,419 |
|
|
|
1,519,872 |
|
| 3.000% |
|
|
03/01/43 |
|
|
|
|
|
|
|
295 |
|
|
|
315,573 |
|
| 3.000% |
|
|
11/01/46 |
|
|
|
|
|
|
|
1,132 |
|
|
|
1,195,642 |
|
| 3.000% |
|
|
01/01/47 |
|
|
|
|
|
|
|
1,601 |
|
|
|
1,693,406 |
|
| 3.000% |
|
|
02/01/47 |
|
|
|
|
|
|
|
1,601 |
|
|
|
1,693,693 |
|
| 3.000% |
|
|
03/01/47 |
|
|
|
|
|
|
|
802 |
|
|
|
848,746 |
|
| 3.500% |
|
|
07/01/31 |
|
|
|
|
|
|
|
845 |
|
|
|
902,952 |
|
| 3.500% |
|
|
02/01/33 |
|
|
|
|
|
|
|
2,293 |
|
|
|
2,418,538 |
|
| 3.500% |
|
|
06/01/39 |
|
|
|
|
|
|
|
486 |
|
|
|
524,088 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A25
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 3.500% |
|
|
01/01/42 |
|
|
|
|
|
|
|
3,801 |
|
|
$ |
4,108,664 |
|
| 3.500% |
|
|
05/01/42 |
|
|
|
|
|
|
|
1,906 |
|
|
|
2,061,143 |
|
| 3.500% |
|
|
07/01/42 |
|
|
|
|
|
|
|
766 |
|
|
|
833,112 |
|
| 3.500% |
|
|
08/01/42 |
|
|
|
|
|
|
|
302 |
|
|
|
326,807 |
|
| 3.500% |
|
|
08/01/42 |
|
|
|
|
|
|
|
918 |
|
|
|
992,775 |
|
| 3.500% |
|
|
09/01/42 |
|
|
|
|
|
|
|
432 |
|
|
|
467,783 |
|
| 3.500% |
|
|
09/01/42 |
|
|
|
|
|
|
|
1,629 |
|
|
|
1,763,748 |
|
| 3.500% |
|
|
11/01/42 |
|
|
|
|
|
|
|
255 |
|
|
|
276,207 |
|
| 3.500% |
|
|
03/01/43 |
|
|
|
|
|
|
|
2,179 |
|
|
|
2,382,950 |
|
| 3.500% |
|
|
04/01/43 |
|
|
|
|
|
|
|
530 |
|
|
|
573,903 |
|
| 3.500% |
|
|
04/01/43 |
|
|
|
|
|
|
|
718 |
|
|
|
776,696 |
|
| 3.500% |
|
|
01/01/46 |
|
|
|
|
|
|
|
1,640 |
|
|
|
1,756,581 |
|
| 3.500% |
|
|
07/01/46 |
|
|
|
|
|
|
|
1,832 |
|
|
|
1,946,275 |
|
| 3.500% |
|
|
11/01/46 |
|
|
|
|
|
|
|
1,579 |
|
|
|
1,675,628 |
|
| 3.500% |
|
|
09/01/47 |
|
|
|
|
|
|
|
1,004 |
|
|
|
1,057,128 |
|
| 3.500% |
|
|
01/01/48 |
|
|
|
|
|
|
|
6,748 |
|
|
|
7,116,677 |
|
| 3.500% |
|
|
05/01/48 |
|
|
|
|
|
|
|
1,851 |
|
|
|
1,949,753 |
|
| 3.500% |
|
|
07/01/48 |
|
|
|
|
|
|
|
1,119 |
|
|
|
1,175,006 |
|
| 4.000% |
|
|
10/01/41 |
|
|
|
|
|
|
|
2,324 |
|
|
|
2,550,082 |
|
| 4.000% |
|
|
09/01/44 |
|
|
|
|
|
|
|
2,064 |
|
|
|
2,252,945 |
|
| 4.000% |
|
|
10/01/46 |
|
|
|
|
|
|
|
472 |
|
|
|
506,392 |
|
| 4.000% |
|
|
02/01/47 |
|
|
|
|
|
|
|
603 |
|
|
|
640,650 |
|
| 4.000% |
|
|
09/01/47 |
|
|
|
|
|
|
|
1,548 |
|
|
|
1,647,303 |
|
| 4.000% |
|
|
11/01/47 |
|
|
|
|
|
|
|
705 |
|
|
|
779,121 |
|
| 4.000% |
|
|
11/01/47 |
|
|
|
|
|
|
|
2,691 |
|
|
|
2,868,919 |
|
| 4.500% |
|
|
07/01/33 |
|
|
|
|
|
|
|
47 |
|
|
|
51,410 |
|
| 4.500% |
|
|
08/01/33 |
|
|
|
|
|
|
|
36 |
|
|
|
39,307 |
|
| 4.500% |
|
|
09/01/33 |
|
|
|
|
|
|
|
94 |
|
|
|
102,441 |
|
| 4.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
9 |
|
|
|
10,282 |
|
| 4.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
32 |
|
|
|
35,417 |
|
| 4.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
110 |
|
|
|
119,953 |
|
| 4.500% |
|
|
01/01/35 |
|
|
|
|
|
|
|
1 |
|
|
|
1,473 |
|
| 4.500% |
|
|
07/01/39 |
|
|
|
|
|
|
|
771 |
|
|
|
857,989 |
|
| 4.500% |
|
|
08/01/39 |
|
|
|
|
|
|
|
1,184 |
|
|
|
1,316,967 |
|
| 4.500% |
|
|
03/01/41 |
|
|
|
|
|
|
|
395 |
|
|
|
442,035 |
|
| 4.500% |
|
|
11/01/47 |
|
|
|
|
|
|
|
3,030 |
|
|
|
3,271,842 |
|
| 4.500% |
|
|
01/01/49 |
|
|
|
|
|
|
|
725 |
|
|
|
777,932 |
|
| 5.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
206 |
|
|
|
236,023 |
|
| 5.000% |
|
|
06/01/35 |
|
|
|
|
|
|
|
76 |
|
|
|
86,992 |
|
| 5.000% |
|
|
07/01/35 |
|
|
|
|
|
|
|
102 |
|
|
|
117,015 |
|
| 5.000% |
|
|
09/01/35 |
|
|
|
|
|
|
|
69 |
|
|
|
79,344 |
|
| 5.000% |
|
|
11/01/35 |
|
|
|
|
|
|
|
79 |
|
|
|
90,100 |
|
| 5.000% |
|
|
02/01/36 |
|
|
|
|
|
|
|
95 |
|
|
|
109,209 |
|
| 5.000% |
|
|
05/01/36 |
|
|
|
|
|
|
|
47 |
|
|
|
54,425 |
|
| 5.500% |
|
|
09/01/33 |
|
|
|
|
|
|
|
196 |
|
|
|
223,083 |
|
| 5.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
69 |
|
|
|
79,392 |
|
| 5.500% |
|
|
12/01/33 |
|
|
|
|
|
|
|
48 |
|
|
|
55,397 |
|
| 5.500% |
|
|
01/01/34 |
|
|
|
|
|
|
|
1 |
|
|
|
1,220 |
|
| 5.500% |
|
|
12/01/34 |
|
|
|
|
|
|
|
155 |
|
|
|
177,123 |
|
| 5.500% |
|
|
10/01/35 |
|
|
|
|
|
|
|
537 |
|
|
|
616,272 |
|
| 5.500% |
|
|
03/01/36 |
|
|
|
|
|
|
|
96 |
|
|
|
108,377 |
|
| 5.500% |
|
|
05/01/36 |
|
|
|
|
|
|
|
115 |
|
|
|
132,015 |
|
| 5.500% |
|
|
04/01/37 |
|
|
|
|
|
|
|
84 |
|
|
|
96,823 |
|
| 6.000% |
|
|
05/01/21 |
|
|
|
|
|
|
|
6 |
|
|
|
6,330 |
|
| 6.000% |
|
|
08/01/22 |
|
|
|
|
|
|
|
18 |
|
|
|
18,123 |
|
| 6.000% |
|
|
04/01/33 |
|
|
|
|
|
|
|
16 |
|
|
|
18,086 |
|
| 6.000% |
|
|
06/01/33 |
|
|
|
|
|
|
|
5 |
|
|
|
5,568 |
|
| 6.000% |
|
|
10/01/33 |
|
|
|
|
|
|
|
220 |
|
|
|
247,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 6.000% |
|
|
11/01/33 |
|
|
|
|
|
|
|
5 |
|
|
$ |
6,077 |
|
| 6.000% |
|
|
11/01/33 |
|
|
|
|
|
|
|
15 |
|
|
|
16,229 |
|
| 6.000% |
|
|
11/01/33 |
|
|
|
|
|
|
|
45 |
|
|
|
50,647 |
|
| 6.000% |
|
|
01/01/34 |
|
|
|
|
|
|
|
271 |
|
|
|
315,548 |
|
| 6.000% |
|
|
02/01/34 |
|
|
|
|
|
|
|
59 |
|
|
|
68,175 |
|
| 6.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
29 |
|
|
|
32,029 |
|
| 6.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
42 |
|
|
|
47,005 |
|
| 6.000% |
|
|
07/01/34 |
|
|
|
|
|
|
|
163 |
|
|
|
190,350 |
|
| 6.000% |
|
|
08/01/34 |
|
|
|
|
|
|
|
1 |
|
|
|
664 |
|
| 6.000% |
|
|
10/01/34 |
|
|
|
|
|
|
|
3 |
|
|
|
3,558 |
|
| 6.000% |
|
|
11/01/34 |
|
|
|
|
|
|
|
3 |
|
|
|
2,797 |
|
| 6.000% |
|
|
11/01/34 |
|
|
|
|
|
|
|
29 |
|
|
|
32,801 |
|
| 6.000% |
|
|
01/01/35 |
|
|
|
|
|
|
|
54 |
|
|
|
60,144 |
|
| 6.000% |
|
|
01/01/35 |
|
|
|
|
|
|
|
151 |
|
|
|
169,439 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
3 |
|
|
|
2,979 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
74 |
|
|
|
82,378 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
215 |
|
|
|
251,621 |
|
| 6.000% |
|
|
03/01/35 |
|
|
|
|
|
|
|
2 |
|
|
|
2,262 |
|
| 6.000% |
|
|
04/01/35 |
|
|
|
|
|
|
|
1 |
|
|
|
884 |
|
| 6.000% |
|
|
07/01/36 |
|
|
|
|
|
|
|
35 |
|
|
|
41,197 |
|
| 6.000% |
|
|
02/01/37 |
|
|
|
|
|
|
|
63 |
|
|
|
74,010 |
|
| 6.000% |
|
|
05/01/37 |
|
|
|
|
|
|
|
24 |
|
|
|
27,735 |
|
| 6.000% |
|
|
06/01/37 |
|
|
|
|
|
|
|
1 |
|
|
|
662 |
|
| 6.000% |
|
|
08/01/37 |
|
|
|
|
|
|
|
— |
(r) |
|
|
109 |
|
| 6.000% |
|
|
08/01/37 |
|
|
|
|
|
|
|
14 |
|
|
|
16,169 |
|
| 6.000% |
|
|
09/01/37 |
|
|
|
|
|
|
|
— |
(r) |
|
|
368 |
|
| 6.000% |
|
|
10/01/37 |
|
|
|
|
|
|
|
35 |
|
|
|
40,158 |
|
| 6.000% |
|
|
05/01/38 |
|
|
|
|
|
|
|
57 |
|
|
|
66,634 |
|
| 6.000% |
|
|
06/01/38 |
|
|
|
|
|
|
|
2 |
|
|
|
2,706 |
|
| 6.250% |
|
|
05/15/29 |
(k) |
|
|
|
|
|
|
610 |
|
|
|
883,585 |
|
| 6.500% |
|
|
07/01/32 |
|
|
|
|
|
|
|
41 |
|
|
|
46,656 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
2 |
|
|
|
1,729 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
51 |
|
|
|
58,762 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
59 |
|
|
|
68,420 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
70 |
|
|
|
80,313 |
|
| 6.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
79 |
|
|
|
90,984 |
|
| 6.500% |
|
|
11/01/33 |
|
|
|
|
|
|
|
21 |
|
|
|
24,284 |
|
| 6.500% |
|
|
01/01/34 |
|
|
|
|
|
|
|
31 |
|
|
|
36,356 |
|
| 6.500% |
|
|
09/01/34 |
|
|
|
|
|
|
|
59 |
|
|
|
67,466 |
|
| 6.500% |
|
|
10/01/34 |
|
|
|
|
|
|
|
65 |
|
|
|
75,409 |
|
| 6.500% |
|
|
09/01/36 |
|
|
|
|
|
|
|
49 |
|
|
|
57,031 |
|
| 6.500% |
|
|
10/01/36 |
|
|
|
|
|
|
|
18 |
|
|
|
21,542 |
|
| 6.500% |
|
|
11/01/36 |
|
|
|
|
|
|
|
21 |
|
|
|
23,215 |
|
| 6.500% |
|
|
01/01/37 |
|
|
|
|
|
|
|
39 |
|
|
|
43,137 |
|
| 6.500% |
|
|
01/01/37 |
|
|
|
|
|
|
|
103 |
|
|
|
119,434 |
|
| 6.625% |
|
|
11/15/30 |
(k) |
|
|
|
|
|
|
800 |
|
|
|
1,237,411 |
|
| 7.000% |
|
|
02/01/32 |
|
|
|
|
|
|
|
25 |
|
|
|
29,126 |
|
| 7.000% |
|
|
05/01/32 |
|
|
|
|
|
|
|
13 |
|
|
|
15,854 |
|
| 7.000% |
|
|
06/01/32 |
|
|
|
|
|
|
|
19 |
|
|
|
21,808 |
|
| 7.000% |
|
|
07/01/32 |
|
|
|
|
|
|
|
49 |
|
|
|
57,468 |
|
| 7.125% |
|
|
01/15/30 |
(k) |
|
|
|
|
|
|
3,195 |
|
|
|
4,979,567 |
|
| Government National Mortgage Assoc. |
|
| 2.500% |
|
|
TBA |
|
|
|
|
|
|
|
4,000 |
|
|
|
4,200,312 |
|
| 2.500% |
|
|
03/20/43 |
|
|
|
|
|
|
|
257 |
|
|
|
271,850 |
|
| 2.500% |
|
|
12/20/46 |
|
|
|
|
|
|
|
626 |
|
|
|
663,036 |
|
| 3.000% |
|
|
12/20/44 |
|
|
|
|
|
|
|
256 |
|
|
|
273,247 |
|
| 3.000% |
|
|
03/15/45 |
|
|
|
|
|
|
|
819 |
|
|
|
866,971 |
|
| 3.000% |
|
|
11/20/45 |
|
|
|
|
|
|
|
752 |
|
|
|
801,129 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A26
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 3.000% |
|
|
03/20/46 |
|
|
|
|
|
|
|
1,683 |
|
|
$ |
1,788,285 |
|
| 3.000% |
|
|
07/20/46 |
|
|
|
|
|
|
|
4,402 |
|
|
|
4,681,755 |
|
| 3.000% |
|
|
08/20/46 |
|
|
|
|
|
|
|
1,171 |
|
|
|
1,245,793 |
|
| 3.000% |
|
|
10/20/46 |
|
|
|
|
|
|
|
996 |
|
|
|
1,059,731 |
|
| 3.000% |
|
|
11/20/46 |
|
|
|
|
|
|
|
597 |
|
|
|
634,415 |
|
| 3.000% |
|
|
12/20/46 |
|
|
|
|
|
|
|
1,068 |
|
|
|
1,134,265 |
|
| 3.000% |
|
|
01/20/47 |
|
|
|
|
|
|
|
305 |
|
|
|
323,737 |
|
| 3.000% |
|
|
04/20/47 |
|
|
|
|
|
|
|
1,272 |
|
|
|
1,351,652 |
|
| 3.500% |
|
|
TBA |
|
|
|
|
|
|
|
9,000 |
|
|
|
9,495,703 |
|
| 3.500% |
|
|
12/20/42 |
|
|
|
|
|
|
|
1,143 |
|
|
|
1,243,212 |
|
| 3.500% |
|
|
05/20/43 |
|
|
|
|
|
|
|
350 |
|
|
|
381,237 |
|
| 3.500% |
|
|
04/20/45 |
|
|
|
|
|
|
|
1,371 |
|
|
|
1,468,001 |
|
| 3.500% |
|
|
07/20/46 |
|
|
|
|
|
|
|
5,253 |
|
|
|
5,620,924 |
|
| 3.500% |
|
|
07/20/48 |
|
|
|
|
|
|
|
4,692 |
|
|
|
4,986,879 |
|
| 3.500% |
|
|
11/20/48 |
|
|
|
|
|
|
|
1,573 |
|
|
|
1,663,026 |
|
| 4.000% |
|
|
06/15/40 |
|
|
|
|
|
|
|
73 |
|
|
|
79,807 |
|
| 4.000% |
|
|
05/20/41 |
|
|
|
|
|
|
|
60 |
|
|
|
65,617 |
|
| 4.000% |
|
|
12/20/42 |
|
|
|
|
|
|
|
591 |
|
|
|
650,869 |
|
| 4.000% |
|
|
08/20/44 |
|
|
|
|
|
|
|
261 |
|
|
|
284,192 |
|
| 4.000% |
|
|
11/20/45 |
|
|
|
|
|
|
|
577 |
|
|
|
624,736 |
|
| 4.000% |
|
|
12/20/45 |
|
|
|
|
|
|
|
1,543 |
|
|
|
1,666,878 |
|
| 4.000% |
|
|
09/20/47 |
|
|
|
|
|
|
|
5,575 |
|
|
|
5,975,990 |
|
| 4.000% |
|
|
02/20/49 |
|
|
|
|
|
|
|
2,548 |
|
|
|
2,705,364 |
|
| 4.500% |
|
|
04/15/40 |
|
|
|
|
|
|
|
465 |
|
|
|
518,222 |
|
| 4.500% |
|
|
01/20/41 |
|
|
|
|
|
|
|
434 |
|
|
|
484,933 |
|
| 4.500% |
|
|
02/20/41 |
|
|
|
|
|
|
|
713 |
|
|
|
796,042 |
|
| 4.500% |
|
|
03/20/41 |
|
|
|
|
|
|
|
359 |
|
|
|
393,837 |
|
| 4.500% |
|
|
06/20/44 |
|
|
|
|
|
|
|
524 |
|
|
|
574,311 |
|
| 4.500% |
|
|
09/20/46 |
|
|
|
|
|
|
|
458 |
|
|
|
498,323 |
|
| 4.500% |
|
|
11/20/46 |
|
|
|
|
|
|
|
673 |
|
|
|
736,433 |
|
| 4.500% |
|
|
03/20/47 |
|
|
|
|
|
|
|
437 |
|
|
|
476,806 |
|
| 4.500% |
|
|
05/20/48 |
|
|
|
|
|
|
|
975 |
|
|
|
1,051,836 |
|
| 4.500% |
|
|
08/20/48 |
|
|
|
|
|
|
|
1,680 |
|
|
|
1,797,442 |
|
| 5.000% |
|
|
10/20/37 |
|
|
|
|
|
|
|
82 |
|
|
|
92,267 |
|
| 5.000% |
|
|
04/20/45 |
|
|
|
|
|
|
|
533 |
|
|
|
600,466 |
|
| 5.500% |
|
|
08/15/33 |
|
|
|
|
|
|
|
175 |
|
|
|
192,532 |
|
| 5.500% |
|
|
08/15/33 |
|
|
|
|
|
|
|
180 |
|
|
|
198,463 |
|
| 5.500% |
|
|
09/15/33 |
|
|
|
|
|
|
|
76 |
|
|
|
82,997 |
|
| 5.500% |
|
|
12/15/33 |
|
|
|
|
|
|
|
21 |
|
|
|
23,503 |
|
| 5.500% |
|
|
03/15/34 |
|
|
|
|
|
|
|
149 |
|
|
|
164,994 |
|
| 5.500% |
|
|
12/15/34 |
|
|
|
|
|
|
|
282 |
|
|
|
329,729 |
|
| 5.500% |
|
|
07/15/35 |
|
|
|
|
|
|
|
57 |
|
|
|
66,006 |
|
| 5.500% |
|
|
04/15/36 |
|
|
|
|
|
|
|
71 |
|
|
|
78,688 |
|
| 6.000% |
|
|
11/15/23 |
|
|
|
|
|
|
|
— |
(r) |
|
|
220 |
|
| 6.000% |
|
|
05/15/32 |
|
|
|
|
|
|
|
— |
(r) |
|
|
74 |
|
| 6.000% |
|
|
04/15/33 |
|
|
|
|
|
|
|
7 |
|
|
|
7,728 |
|
| 6.000% |
|
|
12/15/33 |
|
|
|
|
|
|
|
77 |
|
|
|
85,152 |
|
| 6.000% |
|
|
01/15/34 |
|
|
|
|
|
|
|
20 |
|
|
|
22,671 |
|
| 6.000% |
|
|
01/15/34 |
|
|
|
|
|
|
|
32 |
|
|
|
36,673 |
|
| 6.000% |
|
|
01/15/34 |
|
|
|
|
|
|
|
61 |
|
|
|
72,257 |
|
| 6.000% |
|
|
06/20/34 |
|
|
|
|
|
|
|
100 |
|
|
|
116,404 |
|
| 6.000% |
|
|
07/15/34 |
|
|
|
|
|
|
|
72 |
|
|
|
85,607 |
|
| 6.500% |
|
|
10/15/23 |
|
|
|
|
|
|
|
1 |
|
|
|
728 |
|
| 6.500% |
|
|
12/15/23 |
|
|
|
|
|
|
|
2 |
|
|
|
2,561 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
— |
(r) |
|
|
380 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
744 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
2,846 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
9 |
|
|
|
9,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
9 |
|
|
$ |
9,425 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
12 |
|
|
|
13,357 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
16 |
|
|
|
17,141 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
39 |
|
|
|
42,700 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
2 |
|
|
|
1,716 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
3,234 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
4 |
|
|
|
4,439 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
4 |
|
|
|
4,851 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
5 |
|
|
|
5,322 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
5 |
|
|
|
6,030 |
|
| 6.500% |
|
|
03/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
861 |
|
| 6.500% |
|
|
03/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,058 |
|
| 6.500% |
|
|
03/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
2,984 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
— |
(r) |
|
|
308 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,216 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,432 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,654 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
5 |
|
|
|
5,992 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
8 |
|
|
|
8,279 |
|
| 6.500% |
|
|
05/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
3,381 |
|
| 6.500% |
|
|
05/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
3,476 |
|
| 6.500% |
|
|
05/15/24 |
|
|
|
|
|
|
|
12 |
|
|
|
13,743 |
|
| 6.500% |
|
|
10/15/24 |
|
|
|
|
|
|
|
12 |
|
|
|
12,809 |
|
| 6.500% |
|
|
11/15/28 |
|
|
|
|
|
|
|
4 |
|
|
|
4,964 |
|
| 6.500% |
|
|
08/15/31 |
|
|
|
|
|
|
|
5 |
|
|
|
5,883 |
|
| 6.500% |
|
|
12/15/31 |
|
|
|
|
|
|
|
10 |
|
|
|
11,325 |
|
| 6.500% |
|
|
02/15/32 |
|
|
|
|
|
|
|
34 |
|
|
|
38,931 |
|
| 6.500% |
|
|
06/15/32 |
|
|
|
|
|
|
|
22 |
|
|
|
24,471 |
|
| 6.500% |
|
|
07/15/32 |
|
|
|
|
|
|
|
37 |
|
|
|
41,773 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
5 |
|
|
|
5,269 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
6 |
|
|
|
6,824 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
7 |
|
|
|
8,027 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
25 |
|
|
|
28,912 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
175 |
|
|
|
208,536 |
|
| 6.500% |
|
|
08/15/34 |
|
|
|
|
|
|
|
24 |
|
|
|
28,199 |
|
| 6.500% |
|
|
06/15/35 |
|
|
|
|
|
|
|
34 |
|
|
|
40,938 |
|
| 6.500% |
|
|
09/15/36 |
|
|
|
|
|
|
|
48 |
|
|
|
57,802 |
|
| 8.000% |
|
|
01/15/24 |
|
|
|
|
|
|
|
6 |
|
|
|
5,689 |
|
| 8.000% |
|
|
07/15/24 |
|
|
|
|
|
|
|
— |
(r) |
|
|
344 |
|
| Tennessee Valley Authority, Sr. Unsec’d. Notes |
|
| 7.125% |
|
|
05/01/30 |
|
|
|
|
|
|
|
510 |
|
|
|
790,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $204,251,207) |
|
|
|
212,966,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 1.0% |
|
| U.S. Treasury Bonds |
|
| 2.875% |
|
|
05/15/43 |
|
|
|
|
|
|
|
840 |
|
|
|
1,096,725 |
|
| 3.000% |
|
|
11/15/44 |
|
|
|
|
|
|
|
4,390 |
|
|
|
5,875,741 |
|
| 3.125% |
|
|
02/15/43 |
|
|
|
|
|
|
|
840 |
|
|
|
1,138,462 |
|
| 3.375% |
|
|
05/15/44 |
|
|
|
|
|
|
|
4,215 |
|
|
|
5,959,615 |
|
| 3.625% |
|
|
02/15/44 |
|
|
|
|
|
|
|
490 |
|
|
|
717,084 |
|
| 3.750% |
|
|
11/15/43 |
|
|
|
|
|
|
|
490 |
|
|
|
729,105 |
|
| U.S. Treasury Notes |
|
| 3.125% |
|
|
11/15/28 |
|
|
|
|
|
|
|
6,650 |
|
|
|
8,036,109 |
|
| U.S. Treasury Strips Coupon |
|
| 2.000%(s) |
|
|
08/15/39 |
(k) |
|
|
|
|
|
|
360 |
|
|
|
280,491 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A27
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. TREASURY OBLIGATIONS (continued) |
|
| 2.345%(s) |
|
|
11/15/43 |
(h)(k) |
|
|
|
|
|
|
3,600 |
|
|
$ |
2,529,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. TREASURY OBLIGATIONS
(cost $25,700,887) |
|
|
|
26,362,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $1,315,506,929) |
|
|
|
2,201,172,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
| SHORT-TERM INVESTMENTS — 16.8% |
|
|
| AFFILIATED MUTUAL FUNDS — 16.7% |
|
| PGIM Core Ultra Short Bond
Fund(w) |
|
|
|
351,018,979 |
|
|
|
351,018,979 |
|
| PGIM Institutional Money Market Fund
(cost $65,936,449; includes $65,897,731 of cash
collateral for securities on loan)(b)(w) |
|
|
|
66,133,591 |
|
|
|
66,133,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL AFFILIATED MUTUAL FUNDS
(cost $416,955,428) |
|
|
|
417,152,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
|
|
|
| U.S. TREASURY OBLIGATION — 0.1% |
|
| U.S. Treasury Bills 0.143%(n)
(cost $3,074,047) |
|
|
09/17/20 |
(k) |
|
|
|
|
|
|
3,075 |
|
|
|
3,074,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPTIONS PURCHASED*~ — 0.0% |
|
| (cost $149,870) |
|
|
|
864,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(cost $420,179,345) |
|
|
|
421,091,447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—104.9%
(cost
$1,735,686,274) |
|
|
|
2,622,264,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPTION WRITTEN*~ — (0.0)% |
|
| (premiums received $82,739) |
|
|
|
(28,031 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—104.9%
(cost
$1,735,603,535) |
|
|
|
2,622,236,079 |
|
| Liabilities in excess of other assets(z) — (4.9)% |
|
|
|
(122,956,630 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
|
|
|
|
|
|
|
|
$ |
2,499,279,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $4,500,229 and 0.2% of net assets.
|
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending
settlement, is $65,058,656; cash collateral of $65,897,731 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the
last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.
|
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
|
| (d) |
Represents issuer in default on interest payments and/or principal repayment.
Non-income producing security. Such securities may be post-maturity. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified
date. Rate shown is the rate in effect as of period end. |
| (h) |
Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.
|
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (rr) |
Perpetual security with no stated maturity date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.
|
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the
Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Options Purchased:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Expiration
Date |
|
|
Strike |
|
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 10 Year U.S. Treasury Notes Futures |
|
|
Call |
|
|
|
07/24/20 |
|
|
$ |
140.00 |
|
|
|
299 |
|
|
|
299 |
|
|
$ |
60,734 |
|
| 10 Year U.S. Treasury Notes Futures |
|
|
Call |
|
|
|
07/24/20 |
|
|
|
143.00 |
|
|
|
598 |
|
|
|
598 |
|
|
|
18,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded (cost $136,023) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
79,422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Counterparty |
|
Expiration
Date |
|
|
Strike |
|
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
07/12/21 |
|
|
|
0.11 |
% |
|
|
— |
|
|
|
2,424 |
|
|
$ |
54,095 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
07/13/21 |
|
|
|
0.11 |
% |
|
|
— |
|
|
|
2,357 |
|
|
|
52,481 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
08/16/21 |
|
|
|
0.15 |
% |
|
|
— |
|
|
|
5,892 |
|
|
|
124,488 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
08/20/21 |
|
|
|
0.15 |
% |
|
|
— |
|
|
|
11,696 |
|
|
|
247,615 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
09/13/21 |
|
|
|
0.14 |
% |
|
|
— |
|
|
|
11,860 |
|
|
|
259,723 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
11/09/21 |
|
|
|
0.21 |
% |
|
|
— |
|
|
|
2,357 |
|
|
|
46,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total OTC Traded (cost $13,847) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
785,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Options Purchased (cost $149,870) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
864,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Expiration
Date |
|
|
Strike |
|
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 10 Year U.S. Treasury Notes Futures
(premiums received $82,739) |
|
|
Call |
|
|
|
07/24/20 |
|
|
$ |
142.00 |
|
|
|
897 |
|
|
|
897 |
|
|
$ |
(28,031 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts |
|
Type |
|
|
Expiration
Date |
|
|
Current
Notional
Amount |
|
|
Value /
Unrealized
Appreciation
(Depreciation) |
|
| Long Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 47 |
|
|
2 Year U.S. Treasury Notes |
|
|
|
Sep. 2020 |
|
|
$ |
10,378,922 |
|
|
$ |
6,486 |
|
| 19 |
|
|
5 Year U.S. Treasury Notes |
|
|
|
Sep. 2020 |
|
|
|
2,389,102 |
|
|
|
7,932 |
|
| 130 |
|
|
10 Year U.S. Ultra Treasury Notes |
|
|
|
Sep. 2020 |
|
|
|
20,472,969 |
|
|
|
93,493 |
|
| 419 |
|
|
30 Year U.S. Ultra Treasury Bonds |
|
|
|
Sep. 2020 |
|
|
|
91,407,469 |
|
|
|
89,596 |
|
| 14 |
|
|
Mini MSCI EAFE Index |
|
|
|
Sep. 2020 |
|
|
|
1,244,880 |
|
|
|
(15,937 |
) |
| 228 |
|
|
S&P 500 E-Mini Index |
|
|
|
Sep. 2020 |
|
|
|
35,228,280 |
|
|
|
176,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
358,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 24 |
|
|
10 Year Euro-Bund |
|
|
|
Sep. 2020 |
|
|
|
4,759,685 |
|
|
|
(41,119 |
) |
| 533 |
|
|
10 Year U.S. Treasury Notes |
|
|
|
Sep. 2020 |
|
|
|
74,178,612 |
|
|
|
(249,482 |
) |
| 27 |
|
|
20 Year U.S. Treasury Bonds |
|
|
|
Sep. 2020 |
|
|
|
4,821,188 |
|
|
|
(60,862 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(351,463 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A29
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchase Contracts |
|
Counterparty |
|
Notional
Amount
(000) |
|
|
Value at
Settlement
Date |
|
|
Current
Value |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Forward Foreign Currency Exchange Contracts: |
|
| Euro, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
Morgan Stanley & Co. International PLC |
|
|
EUR 7,209 |
|
|
$ |
8,126,956 |
|
|
$ |
8,099,100 |
|
|
$ |
— |
|
|
$ |
(27,856 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sale Contracts |
|
Counterparty |
|
Notional
Amount
(000) |
|
|
Value at
Settlement
Date |
|
|
Current
Value |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Forward Foreign Currency Exchange Contracts: |
|
| Canadian Dollar, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/20/20 |
|
Morgan Stanley & Co. International PLC |
|
|
CAD 1,700 |
|
|
$ |
1,224,281 |
|
|
$ |
1,252,282 |
|
|
$ |
— |
|
|
$ |
(28,001 |
) |
| Euro, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
Citibank, N.A |
|
|
EUR 7,209 |
|
|
|
7,867,810 |
|
|
|
8,099,100 |
|
|
|
— |
|
|
|
(231,290 |
) |
| Expiring 08/04/20 |
|
Morgan Stanley & Co. International PLC |
|
|
EUR 7,209 |
|
|
|
8,132,903 |
|
|
|
8,105,081 |
|
|
|
27,822 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
17,224,994 |
|
|
$ |
17,456,463 |
|
|
|
27,822 |
|
|
|
(259,291 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
27,822 |
|
|
$ |
(287,147 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit default swap agreement outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
Counterparty |
| OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell
Protection(2): |
| Boeing Co. |
|
|
12/20/21 |
|
|
|
1.000%(Q) |
|
|
|
2,800 |
|
|
|
2.453 |
% |
|
$ |
(57,950 |
) |
|
$ |
22,405 |
|
|
$ |
(80,355 |
) |
|
Bank of America, N.A. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Value at
Trade
Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Centrally Cleared Credit Default Swap Agreement on credit indices—Buy
Protection(1): |
|
| CDX.NA.IG.33.V1 |
|
|
12/20/29 |
|
|
|
1.000%(Q) |
|
|
|
15,600 |
|
|
$ |
59,282 |
|
|
$ |
95,816 |
|
|
$ |
36,534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
|
Value at
Trade
Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Centrally Cleared Credit Default Swap Agreement on credit indices—Sell
Protection(2): |
|
| iTraxx.EUR.33.V1 |
|
|
06/20/25 |
|
|
|
1.000%(Q) |
|
|
|
EUR 25,750 |
|
|
|
0.664 |
% |
|
$ |
208,554 |
|
|
$ |
490,405 |
|
|
$ |
281,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
| |
referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap
less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) |
Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap
agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied
credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent
a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
(000)# |
|
|
Termination
Date |
|
|
Fixed
Rate |
|
Floating Rate |
|
Value at
Trade
Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
Centrally Cleared Interest Rate Swap Agreements: |
|
| |
EUR |
|
|
|
2,835 |
|
|
|
05/11/24 |
|
|
0.050%(A) |
|
1 Day EONIA(1)(A) |
|
$ |
(31,287 |
) |
|
$ |
(75,174 |
) |
|
$ |
(43,887 |
) |
| |
EUR |
|
|
|
790 |
|
|
|
05/11/39 |
|
|
1.100%(A) |
|
1 Day EONIA(1)(A) |
|
|
(7,175 |
) |
|
|
(201,416 |
) |
|
|
(194,241 |
) |
|
|
|
|
|
70,008 |
|
|
|
06/15/21 |
|
|
1.830%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
— |
|
|
|
1,094,393 |
|
|
|
1,094,393 |
|
|
|
|
|
|
40,535 |
|
|
|
09/15/21 |
|
|
1.381%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
(50,561 |
) |
|
|
712,870 |
|
|
|
763,431 |
|
|
|
|
|
|
19,355 |
|
|
|
09/15/21 |
|
|
1.480%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
11,386 |
|
|
|
369,078 |
|
|
|
357,692 |
|
|
|
|
|
|
13,105 |
|
|
|
09/15/21 |
|
|
1.604%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
37,983 |
|
|
|
274,348 |
|
|
|
236,365 |
|
|
|
|
|
|
570 |
|
|
|
05/31/22 |
|
|
2.353%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(26,843 |
) |
|
|
(26,843 |
) |
|
|
|
|
|
860 |
|
|
|
11/15/45 |
|
|
1.044%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(76,513 |
) |
|
|
(76,513 |
) |
|
|
|
|
|
4,480 |
|
|
|
11/15/45 |
|
|
1.253%(A) |
|
1 Day USOIS(1)(A) |
|
|
(56,367 |
) |
|
|
(623,493 |
) |
|
|
(567,126 |
) |
|
|
|
|
|
2,120 |
|
|
|
08/09/49 |
|
|
1.508%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(480,842 |
) |
|
|
(480,842 |
) |
|
|
|
|
|
1,764 |
|
|
|
03/30/50 |
|
|
0.855%(S) |
|
3 Month LIBOR(1)(Q) |
|
|
— |
|
|
|
25,558 |
|
|
|
25,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(96,021 |
) |
|
$ |
991,966 |
|
|
$ |
1,087,987 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Financing
Rate |
|
Counterparty |
|
Termination
Date |
|
|
Long
(Short)
Notional
Amount
(000)#(1) |
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation)(2) |
|
| OTC Total Return Swap Agreement: |
|
| Barclays US Agency CMBS Index(M) |
|
1Month LIBOR(M) |
|
Barclays Bank PLC |
|
|
10/01/20 |
|
|
11,000 |
|
$ |
183,545 |
|
|
$ |
— |
|
|
$ |
183,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes
payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate.
|
| (2) |
Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).
|
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Premiums
Paid |
|
|
Premiums
Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Swap Agreements |
|
$ |
22,405 |
|
|
$ |
— |
|
|
$ |
183,545 |
|
|
$ |
(80,355 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A31
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives
are listed by broker as follows:
|
|
|
|
|
|
|
|
|
| Broker |
|
Cash and/or Foreign Currency |
|
|
Securities Market Value |
|
| Citigroup Global Markets, Inc. |
|
$ |
10,000 |
|
|
$ |
7,275,321 |
|
| Goldman Sachs & Co. LLC |
|
|
— |
|
|
|
3,074,067 |
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
10,000 |
|
|
$ |
10,349,388 |
|
|
|
|
|
|
|
|
|
|
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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks. |
|
$ |
1,159,490,177 |
|
|
$ |
44,620,854 |
|
|
$ |
— |
|
| Exchange-Traded Funds |
|
|
10,390,487 |
|
|
|
— |
|
|
|
— |
|
| Preferred Stocks |
|
|
1,316,000 |
|
|
|
188,141 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Automobiles |
|
|
— |
|
|
|
56,417,369 |
|
|
|
— |
|
| Collateralized Loan Obligations |
|
|
— |
|
|
|
87,029,285 |
|
|
|
— |
|
| Consumer Loans |
|
|
— |
|
|
|
3,098,781 |
|
|
|
— |
|
| Equipment |
|
|
— |
|
|
|
6,170,644 |
|
|
|
— |
|
| Home Equity Loans |
|
|
— |
|
|
|
1,429,579 |
|
|
|
— |
|
| Other |
|
|
— |
|
|
|
4,238,151 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
11,334,446 |
|
|
|
— |
|
| Student Loans |
|
|
— |
|
|
|
24,792,190 |
|
|
|
— |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
214,729,751 |
|
|
|
— |
|
| Corporate Bonds |
|
|
— |
|
|
|
272,112,185 |
|
|
|
— |
|
| Municipal Bonds |
|
|
— |
|
|
|
16,846,473 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
18,370,710 |
|
|
|
4,500,229 |
|
| Sovereign Bonds |
|
|
— |
|
|
|
24,768,396 |
|
|
|
— |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
212,966,342 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
29,436,540 |
|
|
|
— |
|
| Affiliated Mutual Funds |
|
|
417,152,570 |
|
|
|
— |
|
|
|
— |
|
| Options Purchased |
|
|
79,422 |
|
|
|
785,388 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
1,588,428,656 |
|
|
$ |
1,029,335,225 |
|
|
$ |
4,500,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Option Written |
|
$ |
(28,031 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
374,265 |
|
|
$ |
— |
|
|
$ |
— |
|
| OTC Forward Foreign Currency Exchange Contract |
|
|
— |
|
|
|
27,822 |
|
|
|
— |
|
| Centrally Cleared Credit Default Swap Agreements |
|
|
— |
|
|
|
318,385 |
|
|
|
— |
|
| Centrally Cleared Interest Rate Swap Agreements |
|
|
— |
|
|
|
2,477,439 |
|
|
|
— |
|
| OTC Total Return Swap Agreement |
|
|
— |
|
|
|
183,545 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
374,265 |
|
|
$ |
3,007,191 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(367,400 |
) |
|
$ |
— |
|
|
$ |
— |
|
| OTC Forward Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
(287,147 |
) |
|
|
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A32
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Other Financial Instruments* (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| OTC Credit Default Swap Agreement |
|
$ |
— |
|
|
$ |
(57,950 |
) |
|
$ |
— |
|
| Centrally Cleared Interest Rate Swap Agreements. |
|
|
— |
|
|
|
(1,389,452 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
(367,400 |
) |
|
$ |
(1,734,549 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures,
forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments
and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
|
|
|
|
|
| Affiliated Mutual Funds (2.6% represents investments purchased with collateral from securities on
loan) |
|
|
16.7 |
% |
| Commercial Mortgage-Backed Securities |
|
|
8.6 |
|
| U.S. Government Agency Obligations |
|
|
8.5 |
|
| Banks |
|
|
4.5 |
|
| Software |
|
|
4.4 |
|
| Collateralized Loan Obligations |
|
|
3.5 |
|
| Pharmaceuticals |
|
|
2.9 |
|
| Technology Hardware, Storage & Peripherals |
|
|
2.8 |
|
| IT Services |
|
|
2.7 |
|
| Interactive Media & Services |
|
|
2.6 |
|
| Automobiles |
|
|
2.4 |
|
| Internet & Direct Marketing Retail |
|
|
2.3 |
|
| Semiconductors & Semiconductor Equipment |
|
|
2.3 |
|
| Health Care Equipment & Supplies |
|
|
1.8 |
|
| Health Care Providers & Services |
|
|
1.4 |
|
| Electric |
|
|
1.4 |
|
| Capital Markets |
|
|
1.4 |
|
| Residential Mortgage-Backed Securities |
|
|
1.3 |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
1.3 |
|
| Oil, Gas & Consumable Fuels |
|
|
1.3 |
|
| Chemicals |
|
|
1.2 |
|
| Biotechnology |
|
|
1.2 |
|
| Media |
|
|
1.2 |
|
| U.S. Treasury Obligations |
|
|
1.1 |
|
| Insurance |
|
|
1.1 |
|
| Specialty Retail |
|
|
1.1 |
|
| Student Loans |
|
|
1.0 |
|
| Sovereign Bonds |
|
|
1.0 |
|
| Aerospace & Defense |
|
|
1.0 |
|
| Entertainment |
|
|
1.0 |
|
| Electric Utilities |
|
|
0.9 |
|
| Beverages |
|
|
0.9 |
|
| Diversified Telecommunication Services |
|
|
0.9 |
|
| Household Products |
|
|
0.8 |
|
| Oil & Gas |
|
|
0.8 |
|
| Machinery |
|
|
0.7 |
|
| Diversified Financial Services |
|
|
0.7 |
|
| Food & Staples Retailing |
|
|
0.7 |
|
| Hotels, Restaurants & Leisure |
|
|
0.7 |
|
| Municipal Bonds |
|
|
0.7 |
|
| Pipelines |
|
|
0.6 |
|
| Telecommunications |
|
|
0.6 |
|
| Food Products |
|
|
0.6 |
|
| Industrial Conglomerates |
|
|
0.6 |
|
|
|
|
|
|
| Life Sciences Tools & Services |
|
|
0.6 |
% |
| Auto Manufacturers |
|
|
0.5 |
|
| Road & Rail |
|
|
0.5 |
|
| Multi-Utilities |
|
|
0.5 |
|
| Communications Equipment |
|
|
0.5 |
|
| Exchange-Traded Funds |
|
|
0.4 |
|
| Tobacco |
|
|
0.4 |
|
| Textiles, Apparel & Luxury Goods |
|
|
0.3 |
|
| Retail |
|
|
0.3 |
|
| Air Freight & Logistics |
|
|
0.3 |
|
| Electronic Equipment, Instruments & Components |
|
|
0.3 |
|
| Airlines |
|
|
0.3 |
|
| Multiline Retail |
|
|
0.3 |
|
| Equipment |
|
|
0.2 |
|
| Electrical Equipment |
|
|
0.2 |
|
| Metals & Mining |
|
|
0.2 |
|
| Consumer Finance |
|
|
0.2 |
|
| Household Durables |
|
|
0.2 |
|
| Healthcare-Services |
|
|
0.2 |
|
| Gas |
|
|
0.2 |
|
| Commercial Services & Supplies |
|
|
0.2 |
|
| Professional Services |
|
|
0.2 |
|
| Building Products |
|
|
0.2 |
|
| Other |
|
|
0.2 |
|
| Agriculture |
|
|
0.2 |
|
| Containers & Packaging |
|
|
0.2 |
|
| Miscellaneous Manufacturing |
|
|
0.1 |
|
| Wireless Telecommunication Services |
|
|
0.1 |
|
| Consumer Loans |
|
|
0.1 |
|
| Trading Companies & Distributors |
|
|
0.1 |
|
| Personal Products |
|
|
0.1 |
|
| Healthcare-Products |
|
|
0.1 |
|
| Commercial Services |
|
|
0.1 |
|
| Foods |
|
|
0.1 |
|
| Energy Equipment & Services |
|
|
0.1 |
|
| Engineering & Construction |
|
|
0.1 |
|
| Transportation |
|
|
0.1 |
|
| Housewares |
|
|
0.1 |
|
| Construction Materials |
|
|
0.1 |
|
| Forest Products & Paper |
|
|
0.1 |
|
| Construction & Engineering |
|
|
0.1 |
|
| Auto Components |
|
|
0.1 |
|
| Home Equity Loans |
|
|
0.1 |
|
| Savings & Loans |
|
|
0.1 |
|
| Multi-National |
|
|
0.1 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A33
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Industry Classification (continued):
|
|
|
|
|
| Machinery-Diversified |
|
|
0.0 |
*% |
| Real Estate Management & Development |
|
|
0.0 |
* |
| Water Utilities |
|
|
0.0 |
* |
| Home Builders |
|
|
0.0 |
* |
| Health Care Technology |
|
|
0.0 |
* |
| Distributors |
|
|
0.0 |
* |
| Options Purchased |
|
|
0.0 |
* |
| Gas Utilities |
|
|
0.0 |
* |
| Lodging |
|
|
0.0 |
* |
| Real Estate Investment Trusts (REITs) |
|
|
0.0 |
* |
| Packaging & Containers |
|
|
0.0 |
* |
| Semiconductors |
|
|
0.0 |
* |
| Electronics |
|
|
0.0 |
* |
| Leisure Products |
|
|
0.0 |
* |
| Independent Power & Renewable Electricity Producers |
|
|
0.0 |
* |
|
|
|
|
|
| Mining |
|
|
0.0 |
*% |
| Building Materials |
|
|
0.0 |
* |
| Oil & Gas Services |
|
|
0.0 |
* |
| Diversified Consumer Services |
|
|
0.0 |
* |
| Transportation Infrastructure |
|
|
0.0 |
* |
| Marine |
|
|
0.0 |
* |
| Paper & Forest Products |
|
|
0.0 |
* |
|
|
|
|
|
|
|
|
104.9 |
|
| Option Written |
|
|
(0.0 |
)* |
| Liabilities in excess of other assets |
|
|
(4.9 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Effects of Derivative Instruments on the
Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types
of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these
derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented
in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Statement of Assets and
Liabilities Location |
|
Fair Value |
|
|
Statement of Assets and
Liabilities Location |
|
Fair Value |
|
| Credit contracts |
|
Due from/to broker-variation margin swaps |
|
$ |
318,385 |
* |
|
— |
|
$ |
— |
|
| Credit contracts |
|
Premiums paid for OTC swap agreements |
|
|
22,405 |
|
|
— |
|
|
— |
|
| Credit contracts |
|
— |
|
|
— |
|
|
Unrealized depreciation on OTC swap agreements |
|
|
80,355 |
|
| Equity contracts |
|
Due from/to broker-variation margin futures |
|
|
176,758 |
* |
|
Due from/to broker-variation margin futures |
|
|
15,937 |
* |
| Foreign exchange contracts |
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
|
27,822 |
|
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
|
287,147 |
|
| Interest rate contracts |
|
Due from/to broker-variation margin futures |
|
|
197,507 |
* |
|
Due from/to broker-variation margin futures |
|
|
351,463 |
* |
| Interest rate contracts |
|
Due from/to broker-variation margin swaps |
|
|
2,477,439 |
* |
|
Due from/to broker-variation margin swaps |
|
|
1,389,452 |
* |
| Interest rate contracts |
|
Unaffiliated investments |
|
|
864,810 |
|
|
Options written outstanding, at value |
|
|
28,031 |
|
| Interest rate contracts |
|
Unrealized appreciation on OTC swap agreements |
|
|
183,545 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,268,671 |
|
|
|
|
$ |
2,152,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap
contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amount of Realized Gain (Loss) on Derivatives Recognized in
Income |
|
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Rights(1) |
|
|
Options
Purchased(1) |
|
|
Options
Written |
|
|
Futures |
|
|
Forward
Currency
Contracts |
|
|
Swaps |
|
| Credit contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(37,032 |
) |
| Equity contracts |
|
|
3,564 |
|
|
|
— |
|
|
|
— |
|
|
|
(1,681,933 |
) |
|
|
— |
|
|
|
— |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
262,829 |
|
|
|
— |
|
| Interest rate contracts |
|
|
— |
|
|
|
(178,656 |
) |
|
|
65,485 |
|
|
|
9,790,964 |
|
|
|
— |
|
|
|
(13,273,416 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
3,564 |
|
|
$ |
(178,656 |
) |
|
$ |
65,485 |
|
|
$ |
8,109,031 |
|
|
$ |
262,829 |
|
|
$ |
(13,310,448 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in Unrealized Appreciation (Depreciation) on
Derivatives Recognized in Income |
|
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Rights(2) |
|
|
Options
Purchased(2) |
|
|
Options
Written |
|
|
Futures |
|
|
Forward
Currency
Exchange
Contracts |
|
|
Swaps |
|
| Credit contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
442,916 |
|
| Equity contracts. |
|
|
(11 |
) |
|
|
— |
|
|
|
— |
|
|
|
(322,656 |
) |
|
|
— |
|
|
|
— |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(137,405 |
) |
|
|
— |
|
| Interest rate contracts |
|
|
— |
|
|
|
357,560 |
|
|
|
54,708 |
|
|
|
1,237,673 |
|
|
|
— |
|
|
|
7,628,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
(11 |
) |
|
$ |
357,560 |
|
|
$ |
54,708 |
|
|
$ |
915,017 |
|
|
$ |
(137,405 |
) |
|
$ |
8,071,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
|
|
|
|
|
|
|
|
|
| Options
Purchased(1) |
|
Options
Written(2) |
|
Futures
Contracts—
Long
Positions(2) |
|
Futures
Contracts—
Short
Positions(2) |
|
Forward
Foreign
Currency Exchange
Contracts—
Purchased(3) |
| $118,740 |
|
$419,667 |
|
$185,828,025 |
|
$131,910,639 |
|
$5,294,441 |
|
|
|
|
|
| Forward Foreign
Currency Exchange
Contracts—Sold(3) |
|
Interest
Rate
Swap
Agreements(2) |
|
Credit Default
Swap Agreements—
Buy
Protection(2) |
| $14,907,810 |
|
$230,802,754 |
|
$15,600,000 |
|
|
|
| Credit
Default
Swap Agreements—
Sell Protection(2) |
|
Total
Return
Swap
Agreements(2) |
| $11,510,042 |
|
$11,000,000 |
| (2) |
Notional Amount in USD. (3) Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with
current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions
where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A35
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Offsetting of financial instrument/transaction assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net
Amount |
|
| Securities on Loan |
|
$ |
65,058,656 |
|
|
$ |
(65,058,656 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Gross Amounts of
Recognized
Assets(1) |
|
|
Gross Amounts of
Recognized
Liabilities(1) |
|
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net
Amount |
|
| Bank of America, N.A. |
|
$ |
654,231 |
|
|
$ |
(80,355 |
) |
|
$ |
573,876 |
|
|
$ |
(540,000 |
) |
|
$ |
33,876 |
|
| Barclays Bank PLC |
|
|
337,107 |
|
|
|
— |
|
|
|
337,107 |
|
|
|
(270,000 |
) |
|
|
67,107 |
|
| Citibank, N.A |
|
|
— |
|
|
|
(231,290 |
) |
|
|
(231,290 |
) |
|
|
231,290 |
|
|
|
— |
|
| Morgan Stanley & Co. International PLC |
|
|
27,822 |
|
|
|
(55,857 |
) |
|
|
(28,035 |
) |
|
|
— |
|
|
|
(28,035 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,019,160 |
|
|
$ |
(367,502 |
) |
|
$ |
651,658 |
|
|
$ |
(578,710 |
) |
|
$ |
72,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and
market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the
Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
|
|
|
|
|
|
|
|
|
|
|
|
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $65,058,656: |
|
|
|
|
| Unaffiliated investments (cost $1,318,730,846) |
|
$ |
2,205,111,540 |
|
| Affiliated investments (cost $416,955,428) |
|
|
417,152,570 |
|
| Foreign currency, at value (cost $355,733) |
|
|
356,412 |
|
| Cash |
|
|
11,471 |
|
| Receivable for investments sold |
|
|
45,255,681 |
|
| Dividends and interest receivable |
|
|
6,247,177 |
|
| Due from broker-variation margin futures |
|
|
482,120 |
|
| Tax reclaim receivable |
|
|
316,565 |
|
| Unrealized appreciation on OTC swap agreements |
|
|
183,545 |
|
| Due from broker-variation margin swaps |
|
|
83,017 |
|
| Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
|
27,822 |
|
| Premiums paid for OTC swap agreements |
|
|
22,405 |
|
| Deposit with broker for centrally cleared/exchange-traded derivatives |
|
|
10,000 |
|
| Receivable for Portfolio shares sold |
|
|
8,542 |
|
| Receivable from affiliate |
|
|
1,997 |
|
| Prepaid expenses |
|
|
2,557 |
|
|
|
|
|
|
| Total Assets |
|
|
2,675,273,421 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable for investments purchased |
|
|
106,738,622 |
|
| Payable to broker for collateral for securities on loan |
|
|
65,897,731 |
|
| Management fee payable |
|
|
1,127,204 |
|
| Payable for Portfolio shares repurchased |
|
|
804,033 |
|
| Accrued expenses and other liabilities |
|
|
560,774 |
|
| Due to broker-variation margin futures |
|
|
364,857 |
|
| Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
|
287,147 |
|
| Payable to affiliate |
|
|
104,292 |
|
| Unrealized depreciation on OTC swap agreements |
|
|
80,355 |
|
| Options written outstanding, at value (proceeds received $82,739) |
|
|
28,031 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
175,993,972 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
2,499,279,449 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
2,499,279,449 |
|
|
|
|
|
|
| Net asset value and redemption price per share, $2,499,279,449 / 79,793,188 outstanding shares of
beneficial interest |
|
$ |
31.32 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Interest income |
|
$ |
15,176,424 |
|
| Unaffiliated dividend income (net of $108,611 foreign withholding tax, of which $32,562 is reimbursable
by an affiliate) |
|
|
12,696,332 |
|
| Affiliated dividend income |
|
|
1,603,649 |
|
| Income from securities lending, net (including affiliated income of $188,818) |
|
|
192,957 |
|
|
|
|
|
|
| Total income |
|
|
29,669,362 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
6,751,459 |
|
| Custodian and accounting fees |
|
|
170,889 |
|
| Shareholders’ reports |
|
|
149,157 |
|
| Audit fee |
|
|
24,861 |
|
| Trustees’ fees |
|
|
19,146 |
|
| Legal fees and expenses |
|
|
10,139 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
30,991 |
|
|
|
|
|
|
| Total expenses |
|
|
7,161,954 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
22,507,408 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $(150,498)) |
|
|
59,436,816 |
|
| Futures transactions |
|
|
8,109,031 |
|
| Forward currency contract transactions |
|
|
262,829 |
|
| Options written transactions |
|
|
65,485 |
|
| Swap agreements transactions |
|
|
(13,310,448 |
) |
| Foreign currency transactions |
|
|
352 |
|
|
|
|
|
|
|
|
|
54,564,065 |
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $183,453) |
|
|
(94,247,802 |
) |
| Futures |
|
|
915,017 |
|
| Forward currency contracts |
|
|
(137,405 |
) |
| Options written |
|
|
54,708 |
|
| Swap agreements |
|
|
8,071,164 |
|
| Foreign currencies |
|
|
(19,377 |
) |
|
|
|
|
|
|
|
|
(85,363,695 |
) |
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
(30,799,630 |
) |
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
(8,292,222 |
) |
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended
December 31, 2019 |
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
22,507,408 |
|
|
$ |
50,692,568 |
|
| Net realized gain (loss) on investment and foreign currency transactions |
|
|
54,564,065 |
|
|
|
92,944,851 |
|
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
|
|
(85,363,695 |
) |
|
|
279,582,716 |
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
(8,292,222 |
) |
|
|
423,220,135 |
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
| Portfolio shares sold [191,168 and 246,721 shares, respectively] |
|
|
5,665,947 |
|
|
|
7,257,351 |
|
| Portfolio shares repurchased [3,099,171 and 6,977,375 shares, respectively] |
|
|
(95,083,430 |
) |
|
|
(203,275,054 |
) |
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
(89,417,483 |
) |
|
|
(196,017,703 |
) |
|
|
|
|
|
|
|
|
|
| CAPITAL CONTRIBUTIONS |
|
|
— |
|
|
|
13,184 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
(97,709,705 |
) |
|
|
227,215,616 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
2,596,989,154 |
|
|
|
2,369,773,538 |
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
2,499,279,449 |
|
|
$ |
2,596,989,154 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A37
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| LONG-TERM INVESTMENTS — 99.1% |
|
|
| ASSET-BACKED SECURITIES — 24.5% |
|
| Automobiles — 1.0% |
|
| Avis Budget Rental Car Funding AESOP LLC, |
|
| Series 2019-03A, Class A, 144A |
|
| 2.360% |
|
|
03/20/26 |
|
|
|
|
|
|
|
1,000 |
|
|
$ |
985,997 |
|
| Ford Credit Floorplan Master Owner Trust, |
|
| Series 2018-04, Class A |
|
| 4.060% |
|
|
11/15/30 |
|
|
|
|
|
|
|
3,300 |
|
|
|
3,541,316 |
|
| Hertz Vehicle Financing II LP, |
|
| Series 2019-02A, Class A, 144A |
|
| 3.420% |
|
|
05/25/25 |
|
|
|
|
|
|
|
1,531 |
|
|
|
1,515,153 |
|
| Series 2019-03A, Class A, 144A |
|
| 2.670% |
|
|
12/26/25 |
|
|
|
|
|
|
|
1,771 |
|
|
|
1,754,177 |
|
| OneMain Direct Auto Receivables Trust, |
|
| Series 2019-01A, Class A, 144A |
|
| 3.630% |
|
|
09/14/27 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,762,950 |
|
| Series 2019-01A, Class B, 144A |
|
| 3.950% |
|
|
11/14/28 |
|
|
|
|
|
|
|
800 |
|
|
|
850,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,409,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Collateralized Loan Obligations — 17.4% |
|
| Anchorage Capital CLO Ltd. (Cayman Islands), |
|
| Series 2019-11A, Class A, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 1.390%) |
|
| 2.488%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,910,967 |
|
| Anchorage Credit Opportunities CLO Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.950% (Cap N/A, Floor 1.950%) |
|
| 3.691%(c) |
|
|
01/20/32 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,940,651 |
|
| ArrowMark Colorado Holdings (Cayman Islands), |
|
| Series 2017-06A, Class A1, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 0.000%) |
|
| 2.499%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
250 |
|
|
|
245,754 |
|
| Atlas Senior Loan Fund Ltd. (Cayman Islands), |
|
| Series 2014-01A, Class AR2, 144A, 3 Month LIBOR
+ 1.260% (Cap N/A, Floor 0.000%) |
|
| 2.436%(c) |
|
|
07/16/29 |
|
|
|
|
|
|
|
497 |
|
|
|
490,876 |
|
| Atrium (Cayman Islands), |
|
| Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%) |
|
| 1.928%(c) |
|
|
04/22/27 |
|
|
|
|
|
|
|
8,182 |
|
|
|
8,092,263 |
|
| Ballyrock CLO Ltd. (Cayman Islands), |
|
| Series 2016-01A, Class AR, 144A, 3 Month LIBOR
+ 1.350% (Cap N/A, Floor 1.350%) |
|
| 2.569%(c) |
|
|
10/15/28 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,472,554 |
|
| Battalion CLO Ltd., |
|
| Series 2018-12A, Class A1, 144A, 3 Month LIBOR
+ 1.070% (Cap N/A, Floor 1.070%) |
|
| 1.456%(c) |
|
|
05/17/31 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,907,646 |
|
| Benefit Street Partners CLO Ltd. (Cayman Islands), |
|
| Series 2017-12A, Class A1, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.469%(c) |
|
|
10/15/30 |
|
|
|
|
|
|
|
4,500 |
|
|
|
4,410,462 |
|
| Series 2019-18A, Class A, 144A, 3 Month LIBOR
+ 1.340% (Cap N/A, Floor 1.340%) |
|
| 2.559%(c) |
|
|
10/15/32 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,455,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Brookside Mill CLO Ltd. (Cayman Islands), |
|
| Series 2013-01A, Class BR, 144A, 3 Month LIBOR
+ 1.350% (Cap N/A, Floor 0.000%) |
|
| 2.485%(c) |
|
|
01/17/28 |
|
|
|
|
|
|
|
2,500 |
|
|
$ |
2,387,314 |
|
| Carlyle US CLO Ltd. (Cayman Islands), |
|
| Series 2017-04A, Class A1, 144A, 3 Month LIBOR
+ 1.180% (Cap N/A, Floor 0.000%) |
|
| 2.399%(c) |
|
|
01/15/30 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,918,730 |
|
| Catamaran CLO Ltd. (Cayman Islands), |
|
| Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR
+ 1.260% (Cap N/A, Floor 0.000%) |
|
| 2.358%(c) |
|
|
04/22/30 |
|
|
|
|
|
|
|
7,710 |
|
|
|
7,444,368 |
|
| CIFC Funding Ltd. (Cayman Islands), |
|
| Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% (Cap N/A, Floor
0.980%) |
|
| 2.000%(c) |
|
|
04/24/31 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,451,402 |
|
| Series 2015-01A, Class ARR, 144A, 3 Month LIBOR
+ 1.110% (Cap N/A, Floor 1.110%) |
|
| 2.208%(c) |
|
|
01/22/31 |
|
|
|
|
|
|
|
3,750 |
|
|
|
3,691,036 |
|
| Series 2015-03A, Class AR, 144A, 3 Month LIBOR
+ 0.870% (Cap N/A, Floor 0.000%) |
|
| 2.005%(c) |
|
|
04/19/29 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,908,280 |
|
| Elevation CLO Ltd. (Cayman Islands), |
|
| Series 2014-02A, Class A1R, 144A, 3 Month LIBOR
+ 1.230% (Cap N/A, Floor 0.000%) |
|
| 2.449%(c) |
|
|
10/15/29 |
|
|
|
|
|
|
|
7,500 |
|
|
|
7,349,957 |
|
| Series 2017-07A, Class A, 144A, 3 Month LIBOR
+ 1.220% (Cap N/A, Floor 0.000%) |
|
| 2.439%(c) |
|
|
07/15/30 |
|
|
|
|
|
|
|
5,250 |
|
|
|
5,136,590 |
|
| Greenwood Park CLO Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A2, 144A, 3 Month LIBOR
+ 1.010% (Cap N/A, Floor 0.000%) |
|
| 2.229%(c) |
|
|
04/15/31 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,830,114 |
|
| Greywolf CLO Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A1, 144A, 3 Month LIBOR
+ 1.030% (Cap N/A, Floor 0.000%) |
|
| 2.021%(c) |
|
|
04/26/31 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,384,891 |
|
| Highbridge Loan Management Ltd. (Cayman Islands), |
|
| Series 2015-06A, Class A1R, 144A, 3 Month LIBOR
+ 1.000% (Cap N/A, Floor 0.000%) |
|
| 1.541%(c) |
|
|
02/05/31 |
|
|
|
|
|
|
|
3,973 |
|
|
|
3,866,886 |
|
| HPS Loan Management Ltd. (Cayman Islands), |
|
| Series 15A-19, Class A1, 144A, 3 Month LIBOR +
1.320% (Cap N/A, Floor 1.320%) |
|
| 3.122%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,925,239 |
|
| ICG US CLO Ltd. (Cayman Islands), |
|
| Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR
+ 1.030% (Cap N/A, Floor 0.000%) |
|
| 2.021%(c) |
|
|
04/25/31 |
|
|
|
|
|
|
|
2,494 |
|
|
|
2,416,145 |
|
| Series 2017-02A, Class A1, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 0.000%) |
|
| 2.323%(c) |
|
|
10/23/29 |
|
|
|
|
|
|
|
1,250 |
|
|
|
1,228,524 |
|
| Madison Park Funding Ltd. (Cayman Islands), |
|
| Series 2016-21A, Class A1AR, 144A, 3 Month LIBOR
+ 1.350% (Cap N/A, Floor 1.350%) |
|
| 2.569%(c) |
|
|
10/15/32 |
|
|
|
|
|
|
|
1,750 |
|
|
|
1,719,584 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A38
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Mariner CLO Ltd. (Cayman Islands), |
|
| Series 2018-05A, Class A, 144A, 3 Month LIBOR
+ 1.110% (Cap N/A, Floor 1.110%) |
|
| 2.101%(c) |
|
|
04/25/31 |
|
|
|
|
|
|
|
5,750 |
|
|
$ |
5,620,670 |
|
| MidOcean Credit CLO (Cayman Islands), |
|
| Series 2014-03A, Class A1R, 144A, 3 Month LIBOR
+ 1.120% (Cap N/A, Floor 1.120%) |
|
| 2.229%(c) |
|
|
04/21/31 |
|
|
|
|
|
|
|
9,716 |
|
|
|
9,453,130 |
|
| Series 2018-08A, Class A1, 144A, 3 Month LIBOR
+ 1.150% (Cap N/A, Floor 0.000%) |
|
| 1.527%(c) |
|
|
02/20/31 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,910,072 |
|
| Mountain View CLO LLC (Cayman Islands), |
|
| Series 2017-02A, Class A, 144A, 3 Month LIBOR
+ 1.210% (Cap N/A, Floor 0.000%) |
|
| 2.386%(c) |
|
|
01/16/31 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,900,073 |
|
| Mountain View CLO Ltd. (Cayman Islands), |
|
| Series 2013-01A, Class AR, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.561%(c) |
|
|
10/12/30 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,800,206 |
|
| Series 2015-09A, Class A1R, 144A, 3 Month LIBOR
+ 1.120% (Cap N/A, Floor 0.000%) |
|
| 2.339%(c) |
|
|
07/15/31 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,820,490 |
|
| OCP CLO Ltd. (Cayman Islands), |
|
| Series 2017-13A, Class A1A, 144A, 3 Month LIBOR
+ 1.260% (Cap N/A, Floor 0.000%) |
|
| 2.479%(c) |
|
|
07/15/30 |
|
|
|
|
|
|
|
750 |
|
|
|
742,600 |
|
| OZLM Ltd. (Cayman Islands), |
|
| Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 1.280%) |
|
| 2.415%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
2,731 |
|
|
|
2,656,020 |
|
| Series 2015-11A, Class A1R, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.010%(c) |
|
|
10/30/30 |
|
|
|
|
|
|
|
1,243 |
|
|
|
1,207,824 |
|
| Series 2019-24A, Class A1A, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 0.000%) |
|
| 2.525%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,890,039 |
|
| Palmer Square CLO Ltd. (Cayman Islands), |
|
| Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR
+ 1.130% (Cap N/A, Floor 1.130%) |
|
| 2.265%(c) |
|
|
01/17/31 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,915,776 |
|
| Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
|
| Series 2017-01A, Class A1, 144A, 3 Month LIBOR
+ 1.220% (Cap N/A, Floor 0.000%) |
|
| 1.644%(c) |
|
|
11/14/29 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,443,412 |
|
| Romark WM-R Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A1, 144A, 3 Month LIBOR
+ 1.030% (Cap N/A, Floor 0.000%) |
|
| 2.165%(c) |
|
|
04/20/31 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,886,906 |
|
| Shackleton CLO Ltd. (Cayman Islands), |
|
| Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor
0.000%) |
|
| 1.574%(c) |
|
|
05/07/31 |
|
|
|
|
|
|
|
4,955 |
|
|
|
4,809,115 |
|
| Sound Point CLO Ltd. (Cayman Islands), |
|
| Series 2013-01A, Class A1R, 144A, 3 Month LIBOR
+ 1.070% (Cap N/A, Floor 1.070%) |
|
| 2.061%(c) |
|
|
01/26/31 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,386,316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Series 2017-03A, Class A1A, 144A, 3 Month LIBOR
+ 1.220% (Cap N/A, Floor 0.000%) |
|
| 2.355%(c) |
|
|
10/20/30 |
|
|
|
|
|
|
|
5,750 |
|
|
$ |
5,645,267 |
|
| Telos CLO Ltd. (Cayman Islands), |
|
| Series 2013-04A, Class AR, 144A, 3 Month LIBOR
+ 1.240% (Cap N/A, Floor 0.000%) |
|
| 2.375%(c) |
|
|
01/17/30 |
|
|
|
|
|
|
|
3,484 |
|
|
|
3,432,964 |
|
| TICP CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class BR, 144A, 3 Month LIBOR
+ 1.300% (Cap N/A, Floor 0.000%) |
|
| 2.435%(c) |
|
|
07/20/27 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,742,284 |
|
| Series 2017-09A, Class A, 144A, 3 Month LIBOR
+ 1.140% (Cap N/A, Floor 0.000%) |
|
| 2.275%(c) |
|
|
01/20/31 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,930,124 |
|
| Trinitas CLO Ltd. (Cayman Islands), |
|
| Series 2015-03A, Class BR, 144A, 3 Month LIBOR
+ 1.400% (Cap N/A, Floor 0.000%) |
|
| 2.619%(c) |
|
|
07/15/27 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,838,976 |
|
| Series 2017-07A, Class A, 144A, 3 Month LIBOR
+ 1.210% (Cap N/A, Floor 0.000%) |
|
| 2.201%(c) |
|
|
01/25/31 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,900,084 |
|
| Series 2017-07A, Class B, 144A, 3 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 2.591%(c) |
|
|
01/25/31 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,429,472 |
|
| Venture CLO Ltd. (Cayman Islands), |
|
| Series 2015-21A, Class AR, 144A, 3 Month LIBOR
+ 0.880% (Cap N/A, Floor 0.000%) |
|
| 2.099%(c) |
|
|
07/15/27 |
|
|
|
|
|
|
|
4,372 |
|
|
|
4,332,094 |
|
| Voya CLO Ltd. (Cayman Islands), |
|
| Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR
+ 1.210% (Cap N/A, Floor 0.000%) |
|
| 2.429%(c) |
|
|
10/15/30 |
|
|
|
|
|
|
|
7,500 |
|
|
|
7,342,057 |
|
| Series 2013-02A, Class A1R, 144A, 3 Month LIBOR
+ 0.970% (Cap N/A, Floor 0.970%) |
|
| 1.961%(c) |
|
|
04/25/31 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,909,952 |
|
| Wellfleet CLO Ltd. (Cayman Islands), |
|
| Series 2017-03A, Class A1, 144A, 3 Month LIBOR
+ 1.150% (Cap N/A, Floor 1.150%) |
|
| 2.285%(c) |
|
|
01/17/31 |
|
|
|
|
|
|
|
6,500 |
|
|
|
6,325,596 |
|
| Series 2018-02A, Class A1, 144A, 3 Month LIBOR
+ 1.200% (Cap N/A, Floor 1.200%) |
|
| 2.335%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
2,750 |
|
|
|
2,654,801 |
|
| York CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class AR, 144A, 3 Month LIBOR
+ 1.150% (Cap N/A, Floor 0.000%) |
|
| 2.248%(c) |
|
|
01/22/31 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,952,186 |
|
| Zais CLO Ltd. (Cayman Islands), |
|
| Series 2017-01A, Class A1, 144A, 3 Month LIBOR
+ 1.370% (Cap N/A, Floor 0.000%) |
|
| 2.589%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
991 |
|
|
|
973,901 |
|
| Series 2018-01A, Class A, 144A, 3 Month LIBOR
+ 0.950% (Cap N/A, Floor 0.000%) |
|
| 2.169%(c) |
|
|
04/15/29 |
|
|
|
|
|
|
|
8,407 |
|
|
|
8,109,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
213,547,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A39
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Consumer Loans — 1.6% |
|
| Lendmark Funding Trust, |
|
| Series 2018-02A, Class A, 144A |
|
| 4.230% |
|
|
04/20/27 |
|
|
|
|
|
|
|
1,400 |
|
|
$ |
1,404,657 |
|
| Series 2019-01A, Class A, 144A |
|
| 3.000% |
|
|
12/20/27 |
|
|
|
|
|
|
|
2,100 |
|
|
|
2,019,772 |
|
| Series 2019-02A, Class A, 144A |
|
| 2.780% |
|
|
04/20/28 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,000,145 |
|
| Mariner Finance Issuance Trust, |
|
| Series 2019-AA, Class A, 144A |
|
| 2.960% |
|
|
07/20/32 |
|
|
|
|
|
|
|
700 |
|
|
|
690,202 |
|
| OneMain Financial Issuance Trust, |
|
| Series 2017-01A, Class B, 144A |
|
| 2.790% |
|
|
09/14/32 |
|
|
|
|
|
|
|
500 |
|
|
|
495,197 |
|
| Series 2017-01A, Class C, 144A |
|
| 3.350% |
|
|
09/14/32 |
|
|
|
|
|
|
|
500 |
|
|
|
492,785 |
|
| Series 2018-01A, Class A, 144A |
|
| 3.300% |
|
|
03/14/29 |
|
|
|
|
|
|
|
930 |
|
|
|
945,120 |
|
| Oportun Funding IX LLC, |
|
| Series 2018-B, Class A, 144A |
|
| 3.910% |
|
|
07/08/24 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,208,608 |
|
| Series 2018-B, Class C, 144A |
|
| 5.430% |
|
|
07/08/24 |
|
|
|
|
|
|
|
500 |
|
|
|
465,568 |
|
| Oportun Funding VII LLC, |
|
| Series 2017-B, Class A, 144A |
|
| 3.220% |
|
|
10/10/23 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,990,200 |
|
| Oportun Funding VIII LLC, |
|
| Series 2018-A, Class A, 144A |
|
| 3.610% |
|
|
03/08/24 |
|
|
|
|
|
|
|
1,140 |
|
|
|
1,141,849 |
|
| Oportun Funding X LLC, |
|
| Series 2018-C, Class A, 144A |
|
| 4.100% |
|
|
10/08/24 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,405,422 |
|
| Oportun Funding XII LLC, |
|
| Series 2018-D, Class A, 144A |
|
| 4.150% |
|
|
12/09/24 |
|
|
|
|
|
|
|
1,000 |
|
|
|
999,230 |
|
| Oportun Funding XIII LLC, |
|
| Series 2019-A, Class A, 144A |
|
| 3.080% |
|
|
08/08/25 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,376,748 |
|
| PNMAC GMSR Issuer Trust, |
|
| Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor
2.850%) |
|
| 3.035%(c) |
|
|
02/25/23 |
|
|
|
|
|
|
|
1,280 |
|
|
|
1,254,493 |
|
| Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor
0.000%) |
|
| 2.835%(c) |
|
|
08/25/25 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,145,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,035,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Cards — 0.2% |
|
| Citibank Credit Card Issuance Trust, |
|
| Series 2018-A07, Class A7 |
|
| 3.960% |
|
|
10/13/30 |
|
|
|
|
|
|
|
2,500 |
|
|
|
3,006,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Equity Loans — 0.2% |
|
| Asset-Backed Securities Corp. Home Equity Loan Trust, |
|
| Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245% (Cap N/A, Floor 0.830%) |
|
| 1.430%(c) |
|
|
06/15/33 |
|
|
|
|
|
|
|
650 |
|
|
|
631,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Home Equity Loans (cont’d.) |
|
| Centex Home Equity Loan Trust, |
|
| Series 2004-B, Class AF6 |
|
| 4.686% |
|
|
03/25/34 |
|
|
|
|
|
|
|
90 |
|
|
$ |
90,454 |
|
| Floating Rate Mortgage Pass-Through Certificates, |
|
| Series 2001-02, Class M3, 1 Month LIBOR +
2.925% (Cap N/A, Floor 1.950%) |
|
| 3.110%(c) |
|
|
10/25/31 |
|
|
|
|
|
|
|
200 |
|
|
|
206,075 |
|
| Merrill Lynch Mortgage Investors Trust, |
|
| Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.800%) |
|
| 1.385%(c) |
|
|
08/25/35 |
|
|
|
|
|
|
|
157 |
|
|
|
154,073 |
|
| Morgan Stanley ABS Capital I, Inc. Trust, |
|
| Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 0.680%) |
|
| 1.205%(c) |
|
|
10/25/33 |
|
|
|
|
|
|
|
284 |
|
|
|
281,270 |
|
| Securitized Asset-Backed Receivables LLC Trust, |
|
| Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.520%) |
|
| 0.965%(c) |
|
|
02/25/34 |
|
|
|
|
|
|
|
1,465 |
|
|
|
1,415,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,779,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other — 0.2% |
|
| PNMAC FMSR Issuer Trust, |
|
| Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor
0.000%) |
|
| 2.535%(c) |
|
|
04/25/23 |
|
|
|
|
|
|
|
120 |
|
|
|
115,511 |
|
| TH MSR Issuer Trust, |
|
| Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor
2.800%) |
|
| 2.985%(c) |
|
|
06/25/24 |
|
|
|
|
|
|
|
2,250 |
|
|
|
2,110,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,225,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities — 1.5% |
|
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
|
| Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.390%) |
|
| 0.965%(c) |
|
|
10/25/34 |
|
|
|
|
|
|
|
929 |
|
|
|
899,913 |
|
| Credit Suisse Mortgage Trust, |
|
| Series 2018-RPL08, Class A1, 144A |
|
| 4.125%(cc) |
|
|
07/25/58 |
|
|
|
|
|
|
|
1,222 |
|
|
|
1,250,748 |
|
| Legacy Mortgage Asset Trust, |
|
| Series 2019-GS01, Class A1, 144A |
|
| 4.000% |
|
|
01/25/59 |
|
|
|
|
|
|
|
838 |
|
|
|
850,858 |
|
| Series 2019-GS02, Class A1, 144A |
|
| 3.750% |
|
|
01/25/59 |
|
|
|
|
|
|
|
910 |
|
|
|
921,270 |
|
| Series 2019-GS04, Class A1, 144A |
|
| 3.438% |
|
|
05/25/59 |
|
|
|
|
|
|
|
1,427 |
|
|
|
1,424,162 |
|
| Series 2019-SL01, Class A, 144A |
|
| 4.000%(cc) |
|
|
12/28/54 |
|
|
|
|
|
|
|
492 |
|
|
|
495,531 |
|
| Merrill Lynch Mortgage Investors Trust, |
|
| Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520% (Cap N/A, Floor 0.260%) |
|
| 0.705%(c) |
|
|
06/25/35 |
|
|
|
|
|
|
|
476 |
|
|
|
466,396 |
|
| Structured Asset Investment Loan Trust, |
|
| Series 2004-07, Class A8, 1 Month LIBOR +
1.200% (Cap N/A, Floor 0.600%) |
|
| 1.385%(c) |
|
|
08/25/34 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,333,118 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A40
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Residential Mortgage-Backed Securities (cont’d.) |
|
| TFS (Spain), |
|
| Series 2018-03, Class A1, 1 Month EURIBOR +
2.900% |
|
| 2.900%(c) |
|
|
04/16/23 |
|
|
|
|
|
|
EUR |
3,838 |
|
|
$ |
3,998,590 |
|
| Towd Point Mortgage Trust, |
|
| Series 2017-04, Class A1, 144A |
|
| 2.750%(cc) |
|
|
06/25/57 |
|
|
|
|
|
|
|
1,794 |
|
|
|
1,847,417 |
|
| Series 2017-06, Class A1, 144A |
|
| 2.750%(cc) |
|
|
10/25/57 |
|
|
|
|
|
|
|
2,056 |
|
|
|
2,130,166 |
|
| Series 2018-02, Class A1, 144A |
|
| 3.250%(cc) |
|
|
03/25/58 |
|
|
|
|
|
|
|
260 |
|
|
|
273,434 |
|
| Series 2018-03, Class A1, 144A |
|
| 3.750%(cc) |
|
|
05/25/58 |
|
|
|
|
|
|
|
152 |
|
|
|
163,670 |
|
| Series 2018-05, Class A1, 144A |
|
| 3.250%(cc) |
|
|
07/25/58 |
|
|
|
|
|
|
|
474 |
|
|
|
502,858 |
|
| Series 2018-06, Class A1A, 144A |
|
| 3.750%(cc) |
|
|
03/25/58 |
|
|
|
|
|
|
|
1,623 |
|
|
|
1,707,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,265,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Student Loans — 2.4% |
|
| Earnest Student Loan Program LLC, |
|
| Series 2016-D, Class A1, 144A, 1 Month LIBOR +
1.400% (Cap N/A, Floor 1.400%) |
|
| 1.585%(c) |
|
|
01/25/41 |
|
|
|
|
|
|
|
80 |
|
|
|
79,690 |
|
| Laurel Road Prime Student Loan Trust, |
|
| Series 2018-A, Class A, 144A |
|
| —%(p) |
|
|
02/25/43 |
|
|
|
|
|
|
|
2,980 |
|
|
|
2,553,496 |
|
| Series 2018-C, Class A, 144A |
|
| —%(p) |
|
|
08/25/43 |
|
|
|
|
|
|
|
2,299 |
|
|
|
2,375,056 |
|
| Series 2018-D, Class A, 144A |
|
| —%(p) |
|
|
11/25/43 |
|
|
|
|
|
|
|
2,331 |
|
|
|
2,421,548 |
|
| Series 2019-A, Class R, 144A |
|
| —%(p) |
|
|
10/25/48 |
|
|
|
|
|
|
|
4,157 |
|
|
|
266,026 |
|
| SoFi Alternative Trust, |
|
| Series 2019-B, Class PT, 144A |
|
| —%(p) |
|
|
12/15/45 |
|
|
|
|
|
|
|
5,561 |
|
|
|
5,798,401 |
|
| Series 2019-D, Class 1PT, 144A |
|
| 2.460%(cc) |
|
|
01/16/46 |
|
|
|
|
|
|
|
5,029 |
|
|
|
5,201,034 |
|
| Series 2019-F, Class PT1, 144A |
|
| 1.870%(cc) |
|
|
02/15/45 |
|
|
|
|
|
|
|
4,519 |
|
|
|
4,552,731 |
|
| SoFi RR Funding III Trust, |
|
| Series 2020-01, Class A, 144A, 1 Month LIBOR +
3.750% (Cap N/A, Floor 3.750%) |
|
| 3.918%(c) |
|
|
11/29/24^ |
|
|
|
|
|
|
|
2,250 |
|
|
|
2,272,500 |
|
| SoFi RR Funding Trust, |
|
| Series 2019-01, Class A, 144A, 1 Month LIBOR +
1.250% (Cap N/A, Floor 1.250%) |
|
| 1.435%(c) |
|
|
11/29/24 |
|
|
|
|
|
|
|
4,226 |
|
|
|
4,162,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,683,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL ASSET-BACKED SECURITIES
(cost $304,470,610) |
|
|
|
300,953,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| BANK LOANS — 0.4% |
|
| Computers — 0.0% |
|
| McAfee LLC, |
|
| Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
|
| 9.500%(c) |
|
|
09/29/25 |
|
|
|
|
|
|
|
437 |
|
|
|
431,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| BANK LOANS (continued) |
|
| Foods — 0.1% |
|
| Sigma Bidco BV (Netherlands), |
|
| Facility B-4 Loan, 1 Month GBP LIBOR +
4.000% |
|
| 4.109%(c) |
|
|
07/02/25 |
|
|
|
|
|
|
GBP |
1,550 |
|
|
$ |
1,820,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas — 0.1% |
|
| Chesapeake Energy Corp., |
|
| Term Loan |
|
| —%(p) |
|
|
06/23/24 |
|
|
|
|
|
|
|
1,525 |
|
|
|
865,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 0.1% |
|
| Nidda Healthcare Holding GmbH (Germany), |
|
| Term Loan F(GBP), 3 Month GBP LIBOR + 4.500% |
|
| 4.756%(c) |
|
|
08/21/26 |
|
|
|
|
|
|
GBP |
1,000 |
|
|
|
1,187,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail — 0.1% |
|
| EG America LLC (United Kingdom), |
|
| Second Lien Facility (USD),1-6 Month LIBOR +
8.000% |
|
| 9.072%(c) |
|
|
04/20/26^ |
|
|
|
|
|
|
|
565 |
|
|
|
508,101 |
|
| EG Finco Ltd. (United Kingdom), |
|
| Second Lien Term Loan, 6 Month EURIBOR + 7.750% |
|
| 8.750%(c) |
|
|
04/20/26 |
|
|
|
|
|
|
EUR |
374 |
|
|
|
378,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
886,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL BANK LOANS
(cost $6,404,322) |
|
|
|
5,191,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMERCIAL MORTGAGE-BACKED
SECURITIES — 14.0% |
|
| Banc of America Commercial Mortgage Trust, |
|
| Series 2016-UB10, Class A3 |
|
| 2.903% |
|
|
07/15/49 |
|
|
|
|
|
|
|
2,300 |
|
|
|
2,426,407 |
|
| BANK, |
|
| Series 2017-BNK05, Class A4 |
|
| 3.131% |
|
|
06/15/60 |
|
|
|
|
|
|
|
4,400 |
|
|
|
4,816,362 |
|
| Series 2017-BNK06, Class A4 |
|
| 3.254% |
|
|
07/15/60 |
|
|
|
|
|
|
|
920 |
|
|
|
1,014,716 |
|
| Series 2017-BNK08, Class A3 |
|
| 3.229% |
|
|
11/15/50 |
|
|
|
|
|
|
|
1,950 |
|
|
|
2,157,158 |
|
| Series 2019-BN18, Class A3 |
|
| 3.325% |
|
|
05/15/62 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,690,080 |
|
| BBCMS Mortgage Trust, |
|
| Series 2016-ETC, Class A, 144A |
|
| 2.937% |
|
|
08/14/36 |
|
|
|
|
|
|
|
1,170 |
|
|
|
1,125,031 |
|
| Series 2016-ETC, Class B, 144A |
|
| 3.189% |
|
|
08/14/36 |
|
|
|
|
|
|
|
510 |
|
|
|
459,734 |
|
| Series 2016-ETC, Class C, 144A |
|
| 3.391% |
|
|
08/14/36 |
|
|
|
|
|
|
|
430 |
|
|
|
352,744 |
|
| Series 2016-ETC, Class D, 144A |
|
| 3.729%(cc) |
|
|
08/14/36 |
|
|
|
|
|
|
|
1,560 |
|
|
|
1,173,592 |
|
| Benchmark Mortgage Trust, |
|
| Series 2019-B09, Class A4 |
|
| 3.751% |
|
|
03/15/52 |
|
|
|
|
|
|
|
3,400 |
|
|
|
3,916,162 |
|
| BX Commercial Mortgage Trust, |
|
| Series 2019-XL, Class G, 144A, 1 Month LIBOR +
2.300% (Cap N/A, Floor 2.300%) |
|
| 2.485%(c) |
|
|
10/15/36 |
|
|
|
|
|
|
|
1,529 |
|
|
|
1,467,419 |
|
| Series 2020-BXLP, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor
2.000%) |
|
| 2.185%(c) |
|
|
12/15/36 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,424,910 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A41
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Cantor Commercial Real Estate Lending, |
|
| Series 2019-CF01, Class A5 |
|
| 3.786% |
|
|
05/15/52 |
|
|
|
|
|
|
|
4,000 |
|
|
$ |
4,595,438 |
|
| Series 2019-CF02, Class A3 |
|
| 2.647% |
|
|
11/15/52 |
|
|
|
|
|
|
|
7,700 |
|
|
|
7,866,697 |
|
| CD Mortgage Trust, |
|
| Series 2017-CD05, Class A3 |
|
| 3.171% |
|
|
08/15/50 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,807,170 |
|
| CityLine Commercial Mortgage Trust, |
|
| Series 2016-CLNE, Class B, 144A |
|
| 2.871%(cc) |
|
|
11/10/31 |
|
|
|
|
|
|
|
2,400 |
|
|
|
2,414,468 |
|
| Series 2016-CLNE, Class C, 144A |
|
| 2.871%(cc) |
|
|
11/10/31 |
|
|
|
|
|
|
|
900 |
|
|
|
861,094 |
|
| Commercial Mortgage Trust, |
|
| Series 2014-UBS04, Class A4 |
|
| 3.420% |
|
|
08/10/47 |
|
|
|
|
|
|
|
3,200 |
|
|
|
3,407,592 |
|
| Series 2014-UBS05, Class A4 |
|
| 3.838% |
|
|
09/10/47 |
|
|
|
|
|
|
|
3,600 |
|
|
|
3,903,197 |
|
| Series 2015-DC01, Class A4 |
|
| 3.078% |
|
|
02/10/48 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,300,833 |
|
| Series 2015-LC21, Class A4 |
|
| 3.708% |
|
|
07/10/48 |
|
|
|
|
|
|
|
820 |
|
|
|
901,167 |
|
| Series 2015-PC01, Class A5 |
|
| 3.902% |
|
|
07/10/50 |
|
|
|
|
|
|
|
730 |
|
|
|
803,568 |
|
| Series 2016-COR01, Class A3 |
|
| 2.826% |
|
|
10/10/49 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,643,603 |
|
| Series 2017-COR02, Class A2 |
|
| 3.239% |
|
|
09/10/50 |
|
|
|
|
|
|
|
4,500 |
|
|
|
4,900,083 |
|
| Credit Suisse Mortgage Capital Certificates, |
|
| Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor
2.150%) |
|
| 2.335%(c) |
|
|
05/15/36 |
|
|
|
|
|
|
|
2,600 |
|
|
|
2,482,860 |
|
| CSAIL Commercial Mortgage Trust, |
|
| Series 2019-C16, Class A2 |
|
| 3.067% |
|
|
06/15/52 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,310,277 |
|
| DBJPM Mortgage Trust, |
|
| Series 2017-C06, Class A4 |
|
| 3.071% |
|
|
06/10/50 |
|
|
|
|
|
|
|
2,800 |
|
|
|
3,050,384 |
|
| DBWF Mortgage Trust, |
|
| Series 2016-85T, Class D, 144A |
|
| 3.935%(cc) |
|
|
12/10/36 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,408,184 |
|
| Eleven Madison Mortgage Trust, |
|
| Series 2015-11MD, Class C, 144A |
|
| 3.673%(cc) |
|
|
09/10/35 |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,032,065 |
|
| FHLMC Multifamily Structured Pass-Through Certificates, |
|
| Series K020, Class X1, IO |
|
| 1.498%(cc) |
|
|
05/25/22 |
|
|
|
|
|
|
|
24,988 |
|
|
|
528,822 |
|
| Series K021, Class X1, IO |
|
| 1.548%(cc) |
|
|
06/25/22 |
|
|
|
|
|
|
|
14,533 |
|
|
|
320,113 |
|
| Series K025, Class X1, IO |
|
| 0.934%(cc) |
|
|
10/25/22 |
|
|
|
|
|
|
|
9,868 |
|
|
|
154,034 |
|
| Series K027, Class X1, IO |
|
| 0.869%(cc) |
|
|
01/25/23 |
|
|
|
|
|
|
|
124,911 |
|
|
|
1,917,423 |
|
| Series K044, Class X1, IO |
|
| 0.862%(cc) |
|
|
01/25/25 |
|
|
|
|
|
|
|
80,808 |
|
|
|
2,187,455 |
|
| Series K053, Class X1, IO |
|
| 1.024%(cc) |
|
|
12/25/25 |
|
|
|
|
|
|
|
87,969 |
|
|
|
3,682,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Series K055, Class X1, IO |
|
| 1.498%(cc) |
|
|
03/25/26 |
|
|
|
|
|
|
|
13,674 |
|
|
$ |
903,661 |
|
| GS Mortgage Securities Trust, |
|
| Series 2015-GC30, Class A3 |
|
| 3.119% |
|
|
05/10/50 |
|
|
|
|
|
|
|
2,984 |
|
|
|
3,185,142 |
|
| Series 2017-GS06, Class A2 |
|
| 3.164% |
|
|
05/10/50 |
|
|
|
|
|
|
|
3,400 |
|
|
|
3,720,577 |
|
| Series 2019-GC38, Class A3 |
|
| 3.703% |
|
|
02/10/52 |
|
|
|
|
|
|
|
5,800 |
|
|
|
6,604,998 |
|
| IMT Trust, |
|
| Series 2017-APTS, Class AFX, 144A |
|
| 3.478% |
|
|
06/15/34 |
|
|
|
|
|
|
|
310 |
|
|
|
328,121 |
|
| JPMDB Commercial Mortgage Securities Trust, |
|
| Series 2016-C02, Class A3A |
|
| 2.881% |
|
|
06/15/49 |
|
|
|
|
|
|
|
1,070 |
|
|
|
1,137,298 |
|
| Series 2017-C05, Class A4 |
|
| 3.414% |
|
|
03/15/50 |
|
|
|
|
|
|
|
1,975 |
|
|
|
2,174,384 |
|
| Series 2017-C07, Class A4 |
|
| 3.147% |
|
|
10/15/50 |
|
|
|
|
|
|
|
3,600 |
|
|
|
3,939,521 |
|
| JPMorgan Chase Commercial Mortgage Securities Corp., |
|
| Series 2018-AON, Class E, 144A |
|
| 4.767%(cc) |
|
|
07/05/31 |
|
|
|
|
|
|
|
5,875 |
|
|
|
5,790,384 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust, |
|
| Series 2016-JP02, Class A3 |
|
| 2.559% |
|
|
08/15/49 |
|
|
|
|
|
|
|
2,900 |
|
|
|
3,038,369 |
|
| KKR Industrial Portfolio Trust, |
|
| Series 2020-AIP, Class E, 144A, 1 Month LIBOR
+ 2.626% (Cap N/A, Floor 2.626%) |
|
| 2.811%(c) |
|
|
03/15/37 |
|
|
|
|
|
|
|
800 |
|
|
|
767,960 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust, |
|
| Series 2012-C05, Class XA, IO, 144A |
|
| 1.579%(cc) |
|
|
08/15/45 |
|
|
|
|
|
|
|
35,046 |
|
|
|
777,627 |
|
| Series 2013-C08, Class A3 |
|
| 2.863% |
|
|
12/15/48 |
|
|
|
|
|
|
|
1,531 |
|
|
|
1,571,730 |
|
| Series 2013-C10, Class A3 |
|
| 4.103%(cc) |
|
|
07/15/46 |
|
|
|
|
|
|
|
4,340 |
|
|
|
4,637,696 |
|
| Morgan Stanley Capital I Trust, |
|
| Series 2017-H01, Class A4 |
|
| 3.259% |
|
|
06/15/50 |
|
|
|
|
|
|
|
2,750 |
|
|
|
3,007,240 |
|
| Series 2017-HR02, Class A3 |
|
| 3.330% |
|
|
12/15/50 |
|
|
|
|
|
|
|
5,500 |
|
|
|
6,086,153 |
|
| Series 2019-L03, Class A3 |
|
| 2.874% |
|
|
11/15/52 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,312,195 |
|
| Series 2019-MEAD, Class E, 144A |
|
| 3.177% |
|
|
11/10/36 |
|
|
|
|
|
|
|
575 |
|
|
|
439,031 |
|
| Shops at Crystals Trust, |
|
| Series 2016-CSTL, Class A, 144A |
|
| 3.126% |
|
|
07/05/36 |
|
|
|
|
|
|
|
140 |
|
|
|
132,909 |
|
| UBS Commercial Mortgage Trust, |
|
| Series 2017-C02, Class A3 |
|
| 3.225% |
|
|
08/15/50 |
|
|
|
|
|
|
|
4,400 |
|
|
|
4,748,332 |
|
| Series 2017-C07, Class A3 |
|
| 3.418% |
|
|
12/15/50 |
|
|
|
|
|
|
|
5,600 |
|
|
|
6,192,336 |
|
| Series 2018-C10, Class A3 |
|
| 4.048% |
|
|
05/15/51 |
|
|
|
|
|
|
|
2,200 |
|
|
|
2,524,078 |
|
| Series 2019-C17, Class A3 |
|
| 2.669% |
|
|
10/15/52 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,123,732 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A42
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Series 2019-C17, Class ASB |
|
| 2.866% |
|
|
10/15/52 |
|
|
|
|
|
|
|
600 |
|
|
$ |
647,472 |
|
| UBS-Barclays Commercial Mortgage Trust, |
|
| Series 2013-C05, Class A3 |
|
| 2.920% |
|
|
03/10/46 |
|
|
|
|
|
|
|
1,391 |
|
|
|
1,421,223 |
|
| Wells Fargo Commercial Mortgage Trust, |
|
| Series 2014-LC16, Class A4 |
|
| 3.548% |
|
|
08/15/50 |
|
|
|
|
|
|
|
4,130 |
|
|
|
4,388,446 |
|
| Series 2016-C32, Class A3 |
|
| 3.294% |
|
|
01/15/59 |
|
|
|
|
|
|
|
2,250 |
|
|
|
2,426,280 |
|
| Series 2016-C34, Class A3 |
|
| 2.834% |
|
|
06/15/49 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,632,590 |
|
| Series 2016-C35, Class A3 |
|
| 2.674% |
|
|
07/15/48 |
|
|
|
|
|
|
|
4,600 |
|
|
|
4,854,095 |
|
| Series 2017-C40, Class A3 |
|
| 3.317% |
|
|
10/15/50 |
|
|
|
|
|
|
|
1,370 |
|
|
|
1,492,681 |
|
| Series 2019-C54, Class A3 |
|
| 2.892% |
|
|
12/15/52 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,309,309 |
|
| Series 2020-C56, Class A4 |
|
| 2.194% |
|
|
06/15/53 |
|
|
|
|
|
|
|
3,600 |
|
|
|
3,729,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $163,449,891) |
|
|
|
171,547,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE BONDS — 36.4% |
|
| Aerospace & Defense — 0.5% |
|
| BAE Systems PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.400% |
|
|
04/15/30 |
|
|
|
|
|
|
|
385 |
|
|
|
420,371 |
|
| Boeing Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 3.950% |
|
|
08/01/59 |
|
|
|
|
|
|
|
1,450 |
|
|
|
1,239,174 |
|
| Bombardier, Inc. (Canada), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 7.500% |
|
|
12/01/24 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,040,035 |
|
| 7.500% |
|
|
03/15/25 |
|
|
|
|
|
|
|
1,525 |
|
|
|
993,703 |
|
| 7.875% |
|
|
04/15/27 |
|
|
|
|
|
|
|
1,825 |
|
|
|
1,191,536 |
|
| Raytheon Technologies Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.125% |
|
|
11/16/28 |
(a) |
|
|
|
|
|
|
1,115 |
|
|
|
1,313,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,198,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agriculture — 0.2% |
|
| BAT Capital Corp. (United Kingdom), |
|
| Gtd. Notes |
|
| 3.222% |
|
|
08/15/24 |
|
|
|
|
|
|
|
2,810 |
|
|
|
3,003,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Airlines — 0.3% |
|
| American Airlines 2016-1 Class AA Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 3.575% |
|
|
07/15/29 |
|
|
|
|
|
|
|
1,529 |
|
|
|
1,479,080 |
|
| Continental Airlines 2001-1 Class A-1 Pass-Through Trust, |
|
| Pass-Through Certificates |
|
| 6.703% |
|
|
12/15/22 |
|
|
|
|
|
|
|
— |
(r) |
|
|
247 |
|
| Continental Airlines 2007-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 5.983% |
|
|
10/19/23 |
|
|
|
|
|
|
|
1,123 |
|
|
|
1,053,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Airlines (cont’d.) |
|
| Continental Airlines 2010-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 4.750% |
|
|
07/12/22 |
|
|
|
|
|
|
|
228 |
|
|
$ |
224,961 |
|
| Delta Air Lines 2007-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 6.821% |
|
|
02/10/24 |
|
|
|
|
|
|
|
736 |
|
|
|
721,032 |
|
| United Airlines 2007-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 6.636% |
|
|
01/02/24 |
|
|
|
|
|
|
|
506 |
|
|
|
430,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,908,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Auto Manufacturers — 0.9% |
|
| BMW US Capital LLC (Germany), |
|
| Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
|
| 1.721%(c) |
|
|
04/12/21 |
|
|
|
|
|
|
|
425 |
|
|
|
423,336 |
|
| Gtd. Notes, 144A |
|
| 3.100% |
|
|
04/12/21 |
|
|
|
|
|
|
|
570 |
|
|
|
579,644 |
|
| Daimler Finance North America LLC (Germany), |
|
| Gtd. Notes, 144A |
|
| 3.350% |
|
|
05/04/21 |
|
|
|
|
|
|
|
1,715 |
|
|
|
1,746,187 |
|
| Ford Motor Co., |
|
| Sr. Unsec’d. Notes |
|
| 5.291% |
|
|
12/08/46 |
|
|
|
|
|
|
|
290 |
|
|
|
238,961 |
|
| Ford Motor Credit Co. LLC, |
|
| Sr. Unsec’d. Notes |
|
| 3.350% |
|
|
11/01/22 |
|
|
|
|
|
|
|
3,800 |
|
|
|
3,650,450 |
|
| General Motors Co., |
|
| Sr. Unsec’d. Notes |
|
| 4.875% |
|
|
10/02/23 |
|
|
|
|
|
|
|
1,350 |
|
|
|
1,433,530 |
|
| 6.250% |
|
|
10/02/43 |
|
|
|
|
|
|
|
1,455 |
|
|
|
1,530,584 |
|
| 6.600% |
|
|
04/01/36 |
|
|
|
|
|
|
|
210 |
|
|
|
226,111 |
|
| General Motors Financial Co., Inc., |
|
| Gtd. Notes, 3 Month LIBOR + 0.850% |
|
| 2.170%(c) |
|
|
04/09/21 |
|
|
|
|
|
|
|
610 |
|
|
|
604,723 |
|
| Gtd. Notes |
|
| 3.550% |
|
|
04/09/21 |
|
|
|
|
|
|
|
460 |
|
|
|
465,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,899,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Auto Parts & Equipment — 0.5% |
|
| Adient Global Holdings Ltd., |
|
| Gtd. Notes, 144A |
|
| 3.500% |
|
|
08/15/24 |
|
|
|
EUR |
|
|
|
701 |
|
|
|
696,224 |
|
| Adient US LLC, |
|
| Sr. Sec’d. Notes, 144A |
|
| 7.000% |
|
|
05/15/26 |
|
|
|
|
|
|
|
175 |
|
|
|
180,982 |
|
| American Axle & Manufacturing, Inc., |
|
| Gtd. Notes |
|
| 6.500% |
|
|
04/01/27 |
(a) |
|
|
|
|
|
|
1,225 |
|
|
|
1,188,227 |
|
| 6.625% |
|
|
10/15/22 |
|
|
|
|
|
|
|
272 |
|
|
|
275,277 |
|
| Cooper-Standard Automotive, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.625% |
|
|
11/15/26 |
|
|
|
|
|
|
|
1,150 |
|
|
|
729,997 |
|
| Dana Financing Luxembourg Sarl, |
|
| Gtd. Notes, 144A |
|
| 5.750% |
|
|
04/15/25 |
(a) |
|
|
|
|
|
|
875 |
|
|
|
888,322 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A43
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Auto Parts & Equipment (cont’d.) |
|
| Dana, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.375% |
|
|
11/15/27 |
(a) |
|
|
|
|
|
|
350 |
|
|
$ |
347,654 |
|
| LKQ Italia Bondco SpA, |
|
| Gtd. Notes, 144A |
|
| 3.875% |
|
|
04/01/24 |
|
|
|
|
|
|
|
EUR 1,275 |
|
|
|
1,479,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,786,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 9.3% |
|
| Banco Santander SA (Spain), |
|
| Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
|
| 2.431%(c) |
|
|
04/12/23 |
|
|
|
|
|
|
|
400 |
|
|
|
394,505 |
|
| Sr. Unsec’d. Notes |
|
| 3.848% |
|
|
04/12/23 |
|
|
|
|
|
|
|
600 |
|
|
|
637,996 |
|
| Bank of America Corp., |
|
| Jr. Sub. Notes, Series JJ |
|
| 5.125%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,655 |
|
|
|
1,635,177 |
|
| Jr. Sub. Notes, Series MM |
|
| 4.300%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,575 |
|
|
|
1,407,795 |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.300% |
|
|
01/11/23 |
(a) |
|
|
|
|
|
|
5,870 |
|
|
|
6,251,224 |
|
| 3.593%(ff) |
|
|
07/21/28 |
|
|
|
|
|
|
|
740 |
|
|
|
831,148 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.824%(ff) |
|
|
01/20/28 |
|
|
|
|
|
|
|
3,185 |
|
|
|
3,597,943 |
|
| 3.974%(ff) |
|
|
02/07/30 |
|
|
|
|
|
|
|
685 |
|
|
|
796,237 |
|
| 4.078%(ff) |
|
|
04/23/40 |
(a) |
|
|
|
|
|
|
2,340 |
|
|
|
2,855,090 |
|
| 4.125% |
|
|
01/22/24 |
|
|
|
|
|
|
|
3,750 |
|
|
|
4,152,610 |
|
| 4.271%(ff) |
|
|
07/23/29 |
|
|
|
|
|
|
|
910 |
|
|
|
1,070,762 |
|
| Sub. Notes, MTN |
|
| 4.000% |
|
|
01/22/25 |
|
|
|
|
|
|
|
1,117 |
|
|
|
1,235,232 |
|
| 4.450% |
|
|
03/03/26 |
|
|
|
|
|
|
|
1,735 |
|
|
|
1,992,985 |
|
| Barclays PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 3.650% |
|
|
03/16/25 |
|
|
|
|
|
|
|
700 |
|
|
|
758,213 |
|
| 3.684% |
|
|
01/10/23 |
|
|
|
|
|
|
|
480 |
|
|
|
497,801 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 4.972%(ff) |
|
|
05/16/29 |
|
|
|
|
|
|
|
475 |
|
|
|
556,590 |
|
| Sub. Notes |
|
| 4.836% |
|
|
05/09/28 |
|
|
|
|
|
|
|
720 |
|
|
|
789,333 |
|
| BNP Paribas SA (France), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.400% |
|
|
08/14/28 |
|
|
|
|
|
|
|
420 |
|
|
|
486,228 |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 3.800% |
|
|
01/10/24 |
(a) |
|
|
|
|
|
|
855 |
|
|
|
924,880 |
|
| BPCE SA (France), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 3.500% |
|
|
10/23/27 |
(a) |
|
|
|
|
|
|
300 |
|
|
|
325,574 |
|
| Sub. Notes, 144A, MTN |
|
| 4.500% |
|
|
03/15/25 |
|
|
|
|
|
|
|
1,120 |
|
|
|
1,227,612 |
|
| 4.875% |
|
|
04/01/26 |
|
|
|
|
|
|
|
380 |
|
|
|
429,562 |
|
| Citigroup, Inc., |
|
| Jr. Sub. Notes, Series Q |
|
| 5.950%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,355 |
|
|
|
1,279,182 |
|
| Jr. Sub. Notes, Series R |
|
| 6.125%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,085 |
|
|
|
1,060,726 |
|
| Jr. Sub. Notes, Series V |
|
| 4.700%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
350 |
|
|
|
312,546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Banks (cont’d.) |
|
| Sr. Unsec’d. Notes |
|
| 2.666%(ff) |
|
|
01/29/31 |
|
|
|
|
|
|
|
1,225 |
|
|
$ |
1,269,660 |
|
| 3.200% |
|
|
10/21/26 |
|
|
|
|
|
|
|
3,255 |
|
|
|
3,569,261 |
|
| 3.887%(ff) |
|
|
01/10/28 |
|
|
|
|
|
|
|
1,710 |
|
|
|
1,924,718 |
|
| 8.125% |
|
|
07/15/39 |
(a) |
|
|
|
|
|
|
1,060 |
|
|
|
1,834,941 |
|
| Sub. Notes |
|
| 4.450% |
|
|
09/29/27 |
|
|
|
|
|
|
|
2,630 |
|
|
|
2,993,064 |
|
| Credit Suisse AG (Switzerland), |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.625% |
|
|
09/09/24 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,159,364 |
|
| Deutsche Bank AG (Germany), |
|
| Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290% |
|
| 1.846%(c) |
|
|
02/04/21 |
|
|
|
|
|
|
|
1,025 |
|
|
|
1,019,899 |
|
| Sr. Unsec’d. Notes |
|
| 4.250% |
|
|
02/04/21 |
|
|
|
|
|
|
|
950 |
|
|
|
962,667 |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.375% |
|
|
05/12/21 |
|
|
|
|
|
|
|
900 |
|
|
|
911,826 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.700% |
|
|
05/30/24 |
|
|
|
|
|
|
|
159 |
|
|
|
165,925 |
|
| Sr. Unsec’d. Notes, Series D |
|
| 5.000% |
|
|
02/14/22 |
|
|
|
|
|
|
|
1,350 |
|
|
|
1,413,744 |
|
| Discover Bank, |
|
| Sr. Unsec’d. Notes |
|
| 3.450% |
|
|
07/27/26 |
|
|
|
|
|
|
|
280 |
|
|
|
302,677 |
|
| 4.250% |
|
|
03/13/26 |
|
|
|
|
|
|
|
1,150 |
|
|
|
1,295,193 |
|
| Goldman Sachs Group, Inc. (The), |
|
| Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
|
| 4.370%(c) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,950 |
|
|
|
1,783,862 |
|
| Sr. Unsec’d. Notes |
|
| 3.272%(ff) |
|
|
09/29/25 |
|
|
|
|
|
|
|
4,063 |
|
|
|
4,372,972 |
|
| 3.750% |
|
|
02/25/26 |
|
|
|
|
|
|
|
125 |
|
|
|
139,866 |
|
| 3.814%(ff) |
|
|
04/23/29 |
|
|
|
|
|
|
|
1,060 |
|
|
|
1,197,369 |
|
| 3.850% |
|
|
01/26/27 |
|
|
|
|
|
|
|
1,765 |
|
|
|
1,984,535 |
|
| 5.750% |
|
|
01/24/22 |
|
|
|
|
|
|
|
4,200 |
|
|
|
4,530,296 |
|
| HSBC Holdings PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 4.583%(ff) |
|
|
06/19/29 |
(a) |
|
|
|
|
|
|
1,000 |
|
|
|
1,152,738 |
|
| JPMorgan Chase & Co., |
|
| Jr. Sub. Notes, Series HH |
|
| 4.600%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
400 |
|
|
|
356,499 |
|
| Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
|
| 4.230%(c) |
|
|
— |
(a)(rr) |
|
|
|
|
|
|
2,998 |
|
|
|
2,742,365 |
|
| Jr. Sub. Notes, Series II |
|
| 4.000%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,350 |
|
|
|
1,179,611 |
|
| Jr. Sub. Notes, Series X |
|
| 6.100%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
1,450 |
|
|
|
1,486,082 |
|
| Sr. Unsec’d. Notes |
|
| 2.950% |
|
|
10/01/26 |
(a) |
|
|
|
|
|
|
1,740 |
|
|
|
1,907,950 |
|
| 3.200% |
|
|
01/25/23 |
|
|
|
|
|
|
|
470 |
|
|
|
499,522 |
|
| 3.200% |
|
|
06/15/26 |
|
|
|
|
|
|
|
3,020 |
|
|
|
3,350,489 |
|
| 3.509%(ff) |
|
|
01/23/29 |
|
|
|
|
|
|
|
1,435 |
|
|
|
1,616,808 |
|
| 3.782%(ff) |
|
|
02/01/28 |
|
|
|
|
|
|
|
965 |
|
|
|
1,091,214 |
|
| 3.964%(ff) |
|
|
11/15/48 |
|
|
|
|
|
|
|
985 |
|
|
|
1,187,199 |
|
| 4.005%(ff) |
|
|
04/23/29 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,386,308 |
|
| 4.250% |
|
|
10/15/20 |
|
|
|
|
|
|
|
600 |
|
|
|
606,668 |
|
| Sub. Notes |
|
| 4.250% |
|
|
10/01/27 |
|
|
|
|
|
|
|
420 |
|
|
|
487,229 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A44
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Banks (cont’d.) |
|
| KeyCorp, |
|
| Sr. Unsec’d. Notes, MTN |
|
| 5.100% |
|
|
03/24/21 |
|
|
|
|
|
|
|
1,155 |
|
|
$ |
1,193,684 |
|
| Morgan Stanley, |
|
| Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
|
| 4.829%(c) |
|
|
— |
(a)(rr) |
|
|
|
|
|
|
975 |
|
|
|
865,415 |
|
| Sr. Unsec’d. Notes |
|
| 4.375% |
|
|
01/22/47 |
(a) |
|
|
|
|
|
|
895 |
|
|
|
1,155,608 |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.125% |
|
|
01/23/23 |
(a) |
|
|
|
|
|
|
1,190 |
|
|
|
1,262,119 |
|
| 3.750% |
|
|
02/25/23 |
|
|
|
|
|
|
|
395 |
|
|
|
426,127 |
|
| 3.772%(ff) |
|
|
01/24/29 |
|
|
|
|
|
|
|
1,875 |
|
|
|
2,133,794 |
|
| 4.431%(ff) |
|
|
01/23/30 |
|
|
|
|
|
|
|
1,340 |
|
|
|
1,596,038 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.125% |
|
|
07/27/26 |
(a) |
|
|
|
|
|
|
2,725 |
|
|
|
3,005,615 |
|
| Sub. Notes, GMTN |
|
| 4.350% |
|
|
09/08/26 |
|
|
|
|
|
|
|
750 |
|
|
|
863,589 |
|
| PNC Financial Services Group, Inc. (The), |
|
| Sub. Notes |
|
| 3.900% |
|
|
04/29/24 |
|
|
|
|
|
|
|
975 |
|
|
|
1,074,849 |
|
| Santander UK Group Holdings PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 2.875% |
|
|
10/16/20 |
|
|
|
|
|
|
|
1,550 |
|
|
|
1,558,907 |
|
| Truist Financial Corp., |
|
| Jr. Sub. Notes, Series N |
|
| 4.800%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
960 |
|
|
|
884,993 |
|
| UBS Group AG (Switzerland), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.859%(ff) |
|
|
08/15/23 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,139,524 |
|
| 3.491% |
|
|
05/23/23 |
|
|
|
|
|
|
|
2,970 |
|
|
|
3,105,599 |
|
| Wells Fargo & Co., |
|
| Sr. Unsec’d. Notes |
|
| 3.068%(ff) |
|
|
04/30/41 |
|
|
|
|
|
|
|
2,675 |
|
|
|
2,788,881 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 2.572%(ff) |
|
|
02/11/31 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,658,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
114,102,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beverages — 0.4% |
|
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
|
| Gtd. Notes |
|
| 4.900% |
|
|
02/01/46 |
|
|
|
|
|
|
|
1,880 |
|
|
|
2,280,358 |
|
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
|
| Gtd. Notes |
|
| 5.550% |
|
|
01/23/49 |
|
|
|
|
|
|
|
1,440 |
|
|
|
1,925,430 |
|
| Keurig Dr. Pepper, Inc., |
|
| Gtd. Notes |
|
| 3.551% |
|
|
05/25/21 |
|
|
|
|
|
|
|
970 |
|
|
|
997,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,202,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Materials — 0.3% |
|
| Masonite International Corp., |
|
| Gtd. Notes, 144A |
|
| 5.375% |
|
|
02/01/28 |
|
|
|
|
|
|
|
525 |
|
|
|
537,433 |
|
| Standard Industries, Inc., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.375% |
|
|
11/15/24 |
|
|
|
|
|
|
|
2,550 |
|
|
|
2,620,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Building Materials (cont’d.) |
|
| U.S. Concrete, Inc., |
|
| Gtd. Notes |
|
| 6.375% |
|
|
06/01/24 |
(a) |
|
|
|
|
|
|
600 |
|
|
$ |
595,497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,753,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chemicals — 1.4% |
|
| Ashland LLC, |
|
| Gtd. Notes |
|
| 6.875% |
|
|
05/15/43 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,617,009 |
|
| CF Industries, Inc., |
|
| Gtd. Notes |
|
| 4.950% |
|
|
06/01/43 |
(a) |
|
|
|
|
|
|
675 |
|
|
|
728,281 |
|
| 5.375% |
|
|
03/15/44 |
|
|
|
|
|
|
|
700 |
|
|
|
757,729 |
|
| Chemours Co. (The), |
|
| Gtd. Notes |
|
| 7.000% |
|
|
05/15/25 |
(a) |
|
|
|
|
|
|
1,000 |
|
|
|
955,606 |
|
| DuPont de Nemours, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.766% |
|
|
11/15/20 |
|
|
|
|
|
|
|
490 |
|
|
|
495,009 |
|
| LyondellBasell Industries NV, |
|
| Sr. Unsec’d. Notes |
|
| 6.000% |
|
|
11/15/21 |
|
|
|
|
|
|
|
3,550 |
|
|
|
3,745,243 |
|
| Mosaic Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 5.625% |
|
|
11/15/43 |
|
|
|
|
|
|
|
155 |
|
|
|
166,777 |
|
| NOVA Chemicals Corp. (Canada), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.875% |
|
|
06/01/24 |
(a) |
|
|
|
|
|
|
1,150 |
|
|
|
1,070,070 |
|
| Nutrien Ltd. (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 4.900% |
|
|
06/01/43 |
|
|
|
|
|
|
|
870 |
|
|
|
1,019,038 |
|
| 5.250% |
|
|
01/15/45 |
|
|
|
|
|
|
|
420 |
|
|
|
523,840 |
|
| 6.125% |
|
|
01/15/41 |
|
|
|
|
|
|
|
450 |
|
|
|
574,194 |
|
| Sasol Financing International Ltd. (South Africa), |
|
| Gtd. Notes |
|
| 4.500% |
|
|
11/14/22 |
|
|
|
|
|
|
|
1,525 |
|
|
|
1,383,643 |
|
| Sasol Financing USA LLC (South Africa), |
|
| Gtd. Notes |
|
| 5.875% |
|
|
03/27/24 |
|
|
|
|
|
|
|
375 |
|
|
|
337,927 |
|
| Sherwin-Williams Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 3.450% |
|
|
08/01/25 |
|
|
|
|
|
|
|
445 |
|
|
|
490,930 |
|
| TPC Group, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 10.500% |
|
|
08/01/24 |
|
|
|
|
|
|
|
450 |
|
|
|
404,694 |
|
| Union Carbide Corp., |
|
| Sr. Unsec’d. Notes |
|
| 7.875% |
|
|
04/01/23 |
(a) |
|
|
|
|
|
|
3,058 |
|
|
|
3,489,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,759,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Services — 0.7% |
|
| ERAC USA Finance LLC, |
|
| Gtd. Notes, 144A |
|
| 6.700% |
|
|
06/01/34 |
|
|
|
|
|
|
|
920 |
|
|
|
1,176,620 |
|
| 7.000% |
|
|
10/15/37 |
(a) |
|
|
|
|
|
|
770 |
|
|
|
987,156 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A45
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Commercial Services (cont’d.) |
|
| Gartner, Inc., |
|
| Gtd. Notes, 144A |
|
| 4.500% |
|
|
07/01/28 |
|
|
|
|
|
|
|
470 |
|
|
$ |
474,756 |
|
| Nielsen Finance LLC/Nielsen Finance Co., |
|
| Gtd. Notes, 144A |
|
| 5.000% |
|
|
04/15/22 |
(a) |
|
|
|
|
|
|
1,225 |
|
|
|
1,220,607 |
|
| Refinitiv US Holdings, Inc., |
|
| Gtd. Notes, 144A |
|
| 8.250% |
|
|
11/15/26 |
(a) |
|
|
|
|
|
|
950 |
|
|
|
1,028,304 |
|
| United Rentals North America, Inc., |
|
| Gtd. Notes |
|
| 4.000% |
|
|
07/15/30 |
|
|
|
|
|
|
|
250 |
|
|
|
242,069 |
|
| 4.875% |
|
|
01/15/28 |
(a) |
|
|
|
|
|
|
1,325 |
|
|
|
1,357,683 |
|
| 5.250% |
|
|
01/15/30 |
(a) |
|
|
|
|
|
|
525 |
|
|
|
542,711 |
|
| 5.500% |
|
|
05/15/27 |
(a) |
|
|
|
|
|
|
975 |
|
|
|
1,009,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,039,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Computers — 0.1% |
|
| Everi Payments, Inc., |
|
| Gtd. Notes, 144A |
|
| 7.500% |
|
|
12/15/25 |
(a) |
|
|
|
|
|
|
780 |
|
|
|
756,624 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.7% |
|
| Capital One Financial Corp., |
|
| Sr. Unsec’d. Notes |
|
| 3.450% |
|
|
04/30/21 |
|
|
|
|
|
|
|
5,235 |
|
|
|
5,345,741 |
|
| Jefferies Group LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.500% |
|
|
01/20/43 |
|
|
|
|
|
|
|
650 |
|
|
|
744,984 |
|
| Lehman Brothers Holdings, Inc., |
|
| Sr. Unsec’d. Notes, MTN |
|
| 6.875% |
|
|
05/02/18 |
(d) |
|
|
|
|
|
|
2,740 |
|
|
|
31,510 |
|
| Nationstar Mortgage Holdings, Inc., |
|
| Gtd. Notes, 144A |
|
| 6.000% |
|
|
01/15/27 |
|
|
|
|
|
|
|
275 |
|
|
|
264,193 |
|
| 8.125% |
|
|
07/15/23 |
|
|
|
|
|
|
|
1,250 |
|
|
|
1,281,787 |
|
| Power Finance Corp. Ltd. (India), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 6.150% |
|
|
12/06/28 |
|
|
|
|
|
|
|
400 |
|
|
|
442,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,110,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric — 2.4% |
|
| Baltimore Gas & Electric Co., |
|
| Sr. Unsec’d. Notes |
|
| 3.350% |
|
|
07/01/23 |
|
|
|
|
|
|
|
550 |
|
|
|
588,504 |
|
| Calpine Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.750% |
|
|
01/15/25 |
(a) |
|
|
|
|
|
|
3,100 |
|
|
|
3,130,429 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.125% |
|
|
03/15/28 |
|
|
|
|
|
|
|
1,000 |
|
|
|
977,662 |
|
| Consolidated Edison Co. of New York, Inc., |
|
| Sr. Unsec’d. Notes, Series C |
|
| 4.300% |
|
|
12/01/56 |
|
|
|
|
|
|
|
235 |
|
|
|
284,035 |
|
| Dominion Energy South Carolina, Inc., |
|
| First Mortgage |
|
| 4.600% |
|
|
06/15/43 |
|
|
|
|
|
|
|
2,025 |
|
|
|
2,555,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Electric (cont’d.) |
|
| Dominion Energy, Inc., |
|
| Jr. Sub. Notes |
|
| 4.104% |
|
|
04/01/21 |
|
|
|
|
|
|
|
2,710 |
|
|
$ |
2,773,083 |
|
| El Paso Electric Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.000% |
|
|
05/15/35 |
|
|
|
|
|
|
|
2,325 |
|
|
|
3,029,141 |
|
| Eskom Holdings SOC Ltd. (South Africa), |
|
| Gov’t. Gtd. Notes, 144A, MTN |
|
| 6.350% |
|
|
08/10/28 |
|
|
|
|
|
|
|
550 |
|
|
|
551,153 |
|
| Sr. Unsec’d. Notes |
|
| 5.750% |
|
|
01/26/21 |
|
|
|
|
|
|
|
520 |
|
|
|
497,232 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.750% |
|
|
01/26/21 |
|
|
|
|
|
|
|
1,300 |
|
|
|
1,243,081 |
|
| 7.125% |
|
|
02/11/25 |
|
|
|
|
|
|
|
390 |
|
|
|
361,902 |
|
| Exelon Generation Co. LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.250% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,900 |
|
|
|
2,270,616 |
|
| FirstEnergy Transmission LLC, |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.450% |
|
|
07/15/44 |
|
|
|
|
|
|
|
400 |
|
|
|
512,132 |
|
| Iberdrola International BV (Spain), |
|
| Gtd. Notes |
|
| 6.750% |
|
|
09/15/33 |
|
|
|
|
|
|
|
1,150 |
|
|
|
1,580,737 |
|
| Israel Electric Corp. Ltd. (Israel), |
|
| Sr. Sec’d. Notes, 144A, GMTN |
|
| 4.250% |
|
|
08/14/28 |
|
|
|
|
|
|
|
680 |
|
|
|
769,181 |
|
| Kentucky Utilities Co., |
|
| First Mortgage |
|
| 4.375% |
|
|
10/01/45 |
|
|
|
|
|
|
|
3,050 |
|
|
|
3,732,896 |
|
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.750% |
|
|
07/13/21 |
|
|
|
|
|
|
|
250 |
|
|
|
260,108 |
|
| Narragansett Electric Co. (The), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.395% |
|
|
04/09/30 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,182,488 |
|
| NRG Energy, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.250% |
|
|
06/15/29 |
(a) |
|
|
|
|
|
|
375 |
|
|
|
395,383 |
|
| PacifiCorp, |
|
| First Mortgage |
|
| 3.300% |
|
|
03/15/51 |
|
|
|
|
|
|
|
380 |
|
|
|
419,427 |
|
| Tucson Electric Power Co., |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
06/15/50 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,766,993 |
|
| Vistra Operations Co. LLC, |
|
| Gtd. Notes, 144A |
|
| 5.000% |
|
|
07/31/27 |
|
|
|
|
|
|
|
450 |
|
|
|
456,400 |
|
| 5.625% |
|
|
02/15/27 |
|
|
|
|
|
|
|
600 |
|
|
|
615,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,953,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electrical Components & Equipment — 0.1% |
|
| WESCO Distribution, Inc., |
|
| Gtd. Notes, 144A |
|
| 7.125% |
|
|
06/15/25 |
|
|
|
|
|
|
|
575 |
|
|
|
606,308 |
|
| 7.250% |
|
|
06/15/28 |
|
|
|
|
|
|
|
550 |
|
|
|
579,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,186,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A46
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Electronics — 0.1% |
|
| Sensata Technologies BV, |
|
| Gtd. Notes, 144A |
|
| 5.000% |
|
|
10/01/25 |
(a) |
|
|
|
|
|
|
1,000 |
|
|
$ |
1,064,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Engineering & Construction — 0.2% |
|
| GMR Hyderabad International Airport Ltd. (India), |
|
| Sr. Sec’d. Notes, 144A |
|
| 4.250% |
|
|
10/27/27 |
|
|
|
|
|
|
|
345 |
|
|
|
304,902 |
|
| Mexico City Airport Trust (Mexico), |
|
| Sr. Sec’d. Notes, 144A |
|
| 4.250% |
|
|
10/31/26 |
|
|
|
|
|
|
|
605 |
|
|
|
572,123 |
|
| 5.500% |
|
|
07/31/47 |
|
|
|
|
|
|
|
1,690 |
|
|
|
1,490,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,367,682 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Entertainment — 0.4% |
|
| AMC Entertainment Holdings, Inc., |
|
| Gtd. Notes |
|
| 5.750% |
|
|
06/15/25 |
|
|
|
|
|
|
|
950 |
|
|
|
300,263 |
|
| 5.875% |
|
|
11/15/26 |
|
|
|
|
|
|
|
1,200 |
|
|
|
383,032 |
|
| Caesars Resort Collection LLC/CRC Finco, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.250% |
|
|
10/15/25 |
(a) |
|
|
|
|
|
|
750 |
|
|
|
652,766 |
|
| Colt Merger Sub, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 6.250% |
|
|
07/01/25 |
|
|
|
|
|
|
|
860 |
|
|
|
865,424 |
|
| CPUK Finance Ltd. (United Kingdom), |
|
| Sec’d. Notes, 144A |
|
| 4.875% |
|
|
02/28/47 |
|
|
|
|
|
|
|
GBP 125 |
|
|
|
143,507 |
|
| Golden Entertainment, Inc., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 7.625% |
|
|
04/15/26 |
|
|
|
|
|
|
|
875 |
|
|
|
815,422 |
|
| Penn National Gaming, Inc., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.625% |
|
|
01/15/27 |
(a) |
|
|
|
|
|
|
800 |
|
|
|
749,284 |
|
| Scientific Games International, Inc., |
|
| Gtd. Notes, 144A |
|
| 7.000% |
|
|
05/15/28 |
|
|
|
|
|
|
|
350 |
|
|
|
279,440 |
|
| 7.250% |
|
|
11/15/29 |
|
|
|
|
|
|
|
475 |
|
|
|
381,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,570,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foods — 0.6% |
|
| Ingles Markets, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.750% |
|
|
06/15/23 |
|
|
|
|
|
|
|
78 |
|
|
|
78,484 |
|
| JBS USA LUX SA/JBS USA Finance, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.750% |
|
|
06/15/25 |
|
|
|
|
|
|
|
1,800 |
|
|
|
1,823,900 |
|
| Kraft Heinz Foods Co., |
|
| Gtd. Notes, 144A |
|
| 4.625% |
|
|
10/01/39 |
|
|
|
|
|
|
|
645 |
|
|
|
646,461 |
|
| 4.875% |
|
|
10/01/49 |
|
|
|
|
|
|
|
1,325 |
|
|
|
1,371,793 |
|
| Mars, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.875% |
|
|
04/01/39 |
|
|
|
|
|
|
|
440 |
|
|
|
528,834 |
|
| 4.200% |
|
|
04/01/59 |
|
|
|
|
|
|
|
380 |
|
|
|
486,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Foods (cont’d.) |
|
| McCormick & Co., Inc., |
|
| Sr. Unsec’d. Notes |
|
| 2.500% |
|
|
04/15/30 |
|
|
|
|
|
|
|
2,000 |
|
|
$ |
2,099,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,035,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forest Products & Paper — 0.1% |
|
| International Paper Co., |
|
| Sr. Unsec’d. Notes |
|
| 7.300% |
|
|
11/15/39 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,408,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gas — 0.4% |
|
| AmeriGas Partners LP/AmeriGas Finance Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.875% |
|
|
08/20/26 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,170,179 |
|
| Korea Gas Corp. (South Korea), |
|
| Sr. Unsec’d. Notes |
|
| 4.250% |
|
|
11/02/20 |
|
|
|
|
|
|
|
1,750 |
|
|
|
1,770,019 |
|
| NiSource, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.600% |
|
|
05/01/30 |
(a) |
|
|
|
|
|
|
375 |
|
|
|
428,447 |
|
| 4.800% |
|
|
02/15/44 |
|
|
|
|
|
|
|
300 |
|
|
|
367,127 |
|
| Southern Co. Gas Capital Corp., |
|
| Gtd. Notes |
|
| 4.400% |
|
|
06/01/43 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,193,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,929,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare-Products — 0.3% |
|
| DH Europe Finance II Sarl, |
|
| Gtd. Notes |
|
| 1.350% |
|
|
09/18/39 |
|
|
|
|
|
|
EUR |
1,275 |
|
|
|
1,361,903 |
|
| Medtronic Global Holdings SCA, |
|
| Gtd. Notes |
|
| 1.625% |
|
|
03/07/31 |
|
|
|
|
|
|
EUR |
200 |
|
|
|
244,611 |
|
| 2.250% |
|
|
03/07/39 |
|
|
|
|
|
|
EUR |
300 |
|
|
|
378,288 |
|
| Stryker Corp., |
|
| Sr. Unsec’d. Notes |
|
| 2.125% |
|
|
11/30/27 |
|
|
|
|
|
|
EUR |
510 |
|
|
|
627,344 |
|
| Thermo Fisher Scientific, Inc., |
|
| Sr. Unsec’d. Notes, EMTN |
|
| 1.500% |
|
|
10/01/39 |
|
|
|
|
|
|
EUR |
600 |
|
|
|
662,025 |
|
| 1.875% |
|
|
10/01/49 |
|
|
|
|
|
|
EUR |
425 |
|
|
|
455,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,729,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare-Services — 0.9% |
|
| Aetna, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 6.750% |
|
|
12/15/37 |
|
|
|
|
|
|
|
1,900 |
|
|
|
2,699,447 |
|
| Anthem, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.650% |
|
|
01/15/43 |
|
|
|
|
|
|
|
385 |
|
|
|
486,372 |
|
| Cigna Holding Co., |
|
| Gtd. Notes |
|
| 4.375% |
|
|
12/15/20 |
|
|
|
|
|
|
|
745 |
|
|
|
749,991 |
|
| DaVita, Inc., |
|
| Gtd. Notes, 144A |
|
| 4.625% |
|
|
06/01/30 |
(a) |
|
|
|
|
|
|
1,025 |
|
|
|
1,017,222 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A47
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Healthcare-Services (cont’d.) |
|
| Encompass Health Corp., |
|
| Gtd. Notes |
|
| 4.750% |
|
|
02/01/30 |
(a) |
|
|
|
|
|
|
500 |
|
|
$ |
479,554 |
|
| Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
|
| Gtd. Notes, 144A |
|
| 4.125% |
|
|
10/15/20 |
|
|
|
|
|
|
|
330 |
|
|
|
330,148 |
|
| HCA, Inc., |
|
| Gtd. Notes |
|
| 5.375% |
|
|
02/01/25 |
|
|
|
|
|
|
|
1,475 |
|
|
|
1,587,160 |
|
| 5.875% |
|
|
02/01/29 |
|
|
|
|
|
|
|
25 |
|
|
|
28,263 |
|
| Laboratory Corp. of America Holdings, |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
02/01/22 |
|
|
|
|
|
|
|
240 |
|
|
|
248,932 |
|
| 3.250% |
|
|
09/01/24 |
|
|
|
|
|
|
|
1,495 |
|
|
|
1,609,738 |
|
| Tenet Healthcare Corp., |
|
| Sec’d. Notes, 144A |
|
| 6.250% |
|
|
02/01/27 |
(a) |
|
|
|
|
|
|
375 |
|
|
|
371,991 |
|
| Sr. Sec’d. Notes, 144A |
|
| 4.625% |
|
|
06/15/28 |
|
|
|
|
|
|
|
285 |
|
|
|
279,330 |
|
| 5.125% |
|
|
11/01/27 |
|
|
|
|
|
|
|
600 |
|
|
|
593,540 |
|
| Sr. Unsec’d. Notes |
|
| 7.000% |
|
|
08/01/25 |
(a) |
|
|
|
|
|
|
600 |
|
|
|
589,367 |
|
| UnitedHealth Group, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.950% |
|
|
10/15/42 |
|
|
|
|
|
|
|
220 |
|
|
|
260,287 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,331,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Builders — 0.2% |
|
| Taylor Morrison Communities, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.875% |
|
|
01/31/25 |
|
|
|
|
|
|
|
300 |
|
|
|
304,209 |
|
| 5.875% |
|
|
06/15/27 |
|
|
|
|
|
|
|
875 |
|
|
|
908,670 |
|
| 6.625% |
|
|
07/15/27 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,100,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,313,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Housewares — 0.1% |
|
| Newell Brands, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.700% |
|
|
04/01/26 |
(a) |
|
|
|
|
|
|
670 |
|
|
|
702,693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance — 1.0% |
|
| American International Group, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.750% |
|
|
07/10/25 |
|
|
|
|
|
|
|
2,110 |
|
|
|
2,336,418 |
|
| 4.500% |
|
|
07/16/44 |
|
|
|
|
|
|
|
1,075 |
|
|
|
1,235,493 |
|
| Liberty Mutual Finance Europe DAC, |
|
| Gtd. Notes, 144A |
|
| 1.750% |
|
|
03/27/24 |
|
|
|
|
|
|
|
EUR 800 |
|
|
|
933,736 |
|
| Liberty Mutual Group, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.951% |
|
|
10/15/50 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,086,816 |
|
| Lincoln National Corp., |
|
| Sr. Unsec’d. Notes |
|
| 7.000% |
|
|
06/15/40 |
|
|
|
|
|
|
|
405 |
|
|
|
570,738 |
|
| Markel Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.150% |
|
|
09/17/50 |
|
|
|
|
|
|
|
180 |
|
|
|
199,708 |
|
| 5.000% |
|
|
03/30/43 |
|
|
|
|
|
|
|
350 |
|
|
|
403,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Insurance (cont’d.) |
|
| Principal Financial Group, Inc., |
|
| Gtd. Notes |
|
| 4.625% |
|
|
09/15/42 |
|
|
|
|
|
|
|
150 |
|
|
$ |
184,216 |
|
| Sompo International Holdings Ltd. (Bermuda), |
|
| Sr. Unsec’d. Notes |
|
| 7.000% |
|
|
07/15/34 |
|
|
|
|
|
|
|
1,350 |
|
|
|
1,843,738 |
|
| Teachers Insurance & Annuity Association of America, |
|
| Sub. Notes, 144A |
|
| 4.270% |
|
|
05/15/47 |
|
|
|
|
|
|
|
2,310 |
|
|
|
2,757,844 |
|
| 6.850% |
|
|
12/16/39 |
|
|
|
|
|
|
|
196 |
|
|
|
298,670 |
|
| Unum Group, |
|
| Sr. Unsec’d. Notes |
|
| 5.625% |
|
|
09/15/20 |
|
|
|
|
|
|
|
500 |
|
|
|
503,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,354,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Lodging — 0.1% |
|
| Marriott International, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.250% |
|
|
09/15/22 |
(a) |
|
|
|
|
|
|
1,325 |
|
|
|
1,331,138 |
|
| Sands China Ltd. (Macau), |
|
| Sr. Unsec’d. Notes |
|
| 5.125% |
|
|
08/08/25 |
|
|
|
|
|
|
|
400 |
|
|
|
435,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,766,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Machinery-Construction & Mining — 0.1% |
|
| Caterpillar, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.250% |
|
|
04/09/50 |
(a) |
|
|
|
|
|
|
585 |
|
|
|
653,757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Machinery-Diversified — 0.4% |
|
| CNH Industrial Capital LLC, |
|
| Gtd. Notes |
|
| 4.875% |
|
|
04/01/21 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,077,409 |
|
| Rockwell Automation, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.200% |
|
|
01/15/98 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,533,830 |
|
| Xylem, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.875% |
|
|
10/01/21 |
|
|
|
|
|
|
|
1,960 |
|
|
|
2,061,933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,673,172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media — 2.3% |
|
| CCO Holdings LLC/CCO Holdings Capital Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.375% |
|
|
06/01/29 |
|
|
|
|
|
|
|
975 |
|
|
|
1,028,557 |
|
| 5.500% |
|
|
05/01/26 |
|
|
|
|
|
|
|
3,300 |
|
|
|
3,420,884 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital, |
|
| Sr. Sec’d. Notes |
|
| 4.800% |
|
|
03/01/50 |
|
|
|
|
|
|
|
875 |
|
|
|
995,641 |
|
| 6.384% |
|
|
10/23/35 |
|
|
|
|
|
|
|
2,470 |
|
|
|
3,259,272 |
|
| 6.484% |
|
|
10/23/45 |
|
|
|
|
|
|
|
1,125 |
|
|
|
1,502,348 |
|
| Clear Channel Worldwide Holdings, Inc., |
|
| Gtd. Notes |
|
| 9.250% |
|
|
02/15/24 |
(a) |
|
|
|
|
|
|
1,234 |
|
|
|
1,144,738 |
|
| Comcast Corp., |
|
| Gtd. Notes |
|
| 3.450% |
|
|
02/01/50 |
|
|
|
|
|
|
|
955 |
|
|
|
1,081,275 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A48
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Media (cont’d.) |
|
| 4.150% |
|
|
10/15/28 |
(a) |
|
|
|
|
|
|
1,820 |
|
|
$ |
2,179,424 |
|
| 4.250% |
|
|
10/15/30 |
|
|
|
|
|
|
|
620 |
|
|
|
758,507 |
|
| Cox Communications, Inc., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.150% |
|
|
08/15/24 |
|
|
|
|
|
|
|
2,800 |
|
|
|
3,008,813 |
|
| CSC Holdings LLC, |
|
| Sr. Unsec’d. Notes, 144A |
|
| 10.875% |
|
|
10/15/25 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,612,775 |
|
| Diamond Sports Group LLC/Diamond Sports Finance Co., |
|
| Gtd. Notes, 144A |
|
| 6.625% |
|
|
08/15/27 |
|
|
|
|
|
|
|
270 |
|
|
|
144,511 |
|
| Sr. Sec’d. Notes, 144A |
|
| 5.375% |
|
|
08/15/26 |
|
|
|
|
|
|
|
1,000 |
|
|
|
730,164 |
|
| Discovery Communications LLC, |
|
| Gtd. Notes |
|
| 5.000% |
|
|
09/20/37 |
|
|
|
|
|
|
|
1,010 |
|
|
|
1,189,394 |
|
| 5.300% |
|
|
05/15/49 |
|
|
|
|
|
|
|
265 |
|
|
|
322,990 |
|
| DISH DBS Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 7.375% |
|
|
07/01/28 |
|
|
|
|
|
|
|
800 |
|
|
|
800,757 |
|
| NBCUniversal Media LLC, |
|
| Gtd. Notes |
|
| 4.450% |
|
|
01/15/43 |
|
|
|
|
|
|
|
15 |
|
|
|
18,892 |
|
| TCI Communications, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 7.875% |
|
|
02/15/26 |
|
|
|
|
|
|
|
750 |
|
|
|
1,013,059 |
|
| Univision Communications, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 5.125% |
|
|
02/15/25 |
(a) |
|
|
|
|
|
|
1,175 |
|
|
|
1,107,091 |
|
| 6.625% |
|
|
06/01/27 |
(a) |
|
|
|
|
|
|
975 |
|
|
|
930,841 |
|
| Walt Disney Co. (The), |
|
| Gtd. Notes |
|
| 7.625% |
|
|
11/30/28 |
|
|
|
|
|
|
|
1,415 |
|
|
|
2,028,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,278,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mining — 0.2% |
|
| Barrick Gold Corp. (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 5.250% |
|
|
04/01/42 |
|
|
|
|
|
|
|
680 |
|
|
|
887,314 |
|
| Barrick North America Finance LLC (Canada), |
|
| Gtd. Notes |
|
| 5.750% |
|
|
05/01/43 |
|
|
|
|
|
|
|
410 |
|
|
|
572,074 |
|
| Newmont Corp., |
|
| Gtd. Notes |
|
| 3.625% |
|
|
06/09/21 |
|
|
|
|
|
|
|
825 |
|
|
|
841,977 |
|
| Southern Copper Corp. (Peru), |
|
| Sr. Unsec’d. Notes |
|
| 6.750% |
|
|
04/16/40 |
|
|
|
|
|
|
|
295 |
|
|
|
400,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,701,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-National — 0.3% |
|
| Corp. Andina de Fomento (Supranational Bank), |
|
| Sr. Unsec’d. Notes |
|
| 2.125% |
|
|
09/27/21 |
|
|
|
|
|
|
|
1,240 |
|
|
|
1,248,290 |
|
| 4.375% |
|
|
06/15/22 |
|
|
|
|
|
|
|
500 |
|
|
|
525,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Multi-National (cont’d.) |
|
| Inter-American Development Bank (Supranational Bank), |
|
| Unsec’d. Notes |
|
| 6.950% |
|
|
08/01/26 |
|
|
|
|
|
|
|
1,500 |
|
|
$ |
2,008,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,781,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas — 2.4% |
|
| Antero Resources Corp., |
|
| Gtd. Notes |
|
| 5.625% |
|
|
06/01/23 |
|
|
|
|
|
|
|
1,200 |
|
|
|
775,381 |
|
| Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 7.000% |
|
|
11/01/26 |
|
|
|
|
|
|
|
350 |
|
|
|
227,092 |
|
| 10.000% |
|
|
04/01/22 |
|
|
|
|
|
|
|
575 |
|
|
|
494,320 |
|
| Cenovus Energy, Inc. (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 5.400% |
|
|
06/15/47 |
|
|
|
|
|
|
|
1,000 |
|
|
|
860,315 |
|
| Citgo Holding, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 9.250% |
|
|
08/01/24 |
|
|
|
|
|
|
|
125 |
|
|
|
124,562 |
|
| CITGO Petroleum Corp., |
|
| Sr. Sec’d. Notes, 144A |
|
| 7.000% |
|
|
06/15/25 |
|
|
|
|
|
|
|
800 |
|
|
|
800,940 |
|
| CNOOC Finance 2013 Ltd. (China), |
|
| Gtd. Notes |
|
| 3.000% |
|
|
05/09/23 |
(a) |
|
|
|
|
|
|
750 |
|
|
|
783,467 |
|
| CNX Resources Corp., |
|
| Gtd. Notes, 144A |
|
| 7.250% |
|
|
03/14/27 |
|
|
|
|
|
|
|
975 |
|
|
|
897,163 |
|
| Concho Resources, Inc., |
|
| Gtd. Notes |
|
| 4.875% |
|
|
10/01/47 |
|
|
|
|
|
|
|
180 |
|
|
|
202,489 |
|
| Devon Energy Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.600% |
|
|
07/15/41 |
|
|
|
|
|
|
|
850 |
|
|
|
830,406 |
|
| Gazprom PJSC Via Gaz Capital SA (Russia), |
|
| Sr. Unsec’d. Notes |
|
| 4.950% |
|
|
07/19/22 |
|
|
|
|
|
|
|
390 |
|
|
|
411,465 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 6.510% |
|
|
03/07/22 |
|
|
|
|
|
|
|
1,665 |
|
|
|
1,785,565 |
|
| Helmerich & Payne, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.650% |
|
|
03/15/25 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,612,907 |
|
| KazMunayGas National Co. JSC (Kazakhstan), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.750% |
|
|
04/24/25 |
|
|
|
|
|
|
|
1,160 |
|
|
|
1,247,699 |
|
| 4.750% |
|
|
04/19/27 |
|
|
|
|
|
|
|
200 |
|
|
|
216,867 |
|
| Lukoil International Finance BV (Russia), |
|
| Gtd. Notes, 144A |
|
| 6.125% |
|
|
11/09/20 |
|
|
|
|
|
|
|
600 |
|
|
|
610,803 |
|
| MEG Energy Corp. (Canada), |
|
| Gtd. Notes, 144A |
|
| 7.000% |
|
|
03/31/24 |
|
|
|
|
|
|
|
250 |
|
|
|
214,209 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 7.125% |
|
|
02/01/27 |
|
|
|
|
|
|
|
425 |
|
|
|
353,049 |
|
| Occidental Petroleum Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.264%(s) |
|
|
10/10/36 |
|
|
|
|
|
|
|
2,000 |
|
|
|
848,148 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A49
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Oil & Gas (cont’d.) |
|
| 6.450% |
|
|
09/15/36 |
|
|
|
|
|
|
|
945 |
|
|
$ |
814,153 |
|
| Ovintiv, Inc., |
|
| Gtd. Notes |
|
| 6.500% |
|
|
02/01/38 |
|
|
|
|
|
|
|
200 |
|
|
|
169,497 |
|
| Petrobras Global Finance BV (Brazil), |
|
| Gtd. Notes |
|
| 4.750% |
|
|
01/14/25 |
|
|
|
|
|
|
EUR |
400 |
|
|
|
471,870 |
|
| 5.750% |
|
|
02/01/29 |
|
|
|
|
|
|
|
725 |
|
|
|
744,846 |
|
| 6.625% |
|
|
01/16/34 |
|
|
|
|
|
|
GBP |
680 |
|
|
|
858,454 |
|
| 6.900% |
|
|
03/19/49 |
|
|
|
|
|
|
|
1,495 |
|
|
|
1,574,488 |
|
| 7.375% |
|
|
01/17/27 |
|
|
|
|
|
|
|
405 |
|
|
|
450,533 |
|
| Gtd. Notes, 144A |
|
| 5.093% |
|
|
01/15/30 |
|
|
|
|
|
|
|
339 |
|
|
|
337,534 |
|
| Petroleos Mexicanos (Mexico), |
|
| Gtd. Notes |
|
| 4.750% |
|
|
02/26/29 |
|
|
|
|
|
|
EUR |
800 |
|
|
|
757,906 |
|
| 6.350% |
|
|
02/12/48 |
|
|
|
|
|
|
|
840 |
|
|
|
623,595 |
|
| 6.500% |
|
|
03/13/27 |
|
|
|
|
|
|
|
2,155 |
|
|
|
1,965,877 |
|
| 6.500% |
|
|
01/23/29 |
|
|
|
|
|
|
|
400 |
|
|
|
349,844 |
|
| Gtd. Notes, 144A |
|
| 6.490% |
|
|
01/23/27 |
|
|
|
|
|
|
|
1,565 |
|
|
|
1,427,856 |
|
| 6.840% |
|
|
01/23/30 |
|
|
|
|
|
|
|
100 |
|
|
|
87,531 |
|
| 7.690% |
|
|
01/23/50 |
|
|
|
|
|
|
|
1,297 |
|
|
|
1,074,603 |
|
| Gtd. Notes, EMTN |
|
| 3.750% |
|
|
02/21/24 |
|
|
|
|
|
|
EUR |
400 |
|
|
|
413,448 |
|
| 4.875% |
|
|
02/21/28 |
|
|
|
|
|
|
EUR |
1,050 |
|
|
|
1,022,827 |
|
| Gtd. Notes, MTN |
|
| 6.750% |
|
|
09/21/47 |
|
|
|
|
|
|
|
1,025 |
|
|
|
788,805 |
|
| Range Resources Corp., |
|
| Gtd. Notes, 144A |
|
| 9.250% |
|
|
02/01/26 |
(a) |
|
|
|
|
|
|
1,200 |
|
|
|
1,080,314 |
|
| Transocean, Inc., |
|
| Gtd. Notes, 144A |
|
| 8.000% |
|
|
02/01/27 |
|
|
|
|
|
|
|
700 |
|
|
|
386,629 |
|
| YPF SA (Argentina), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 8.500% |
|
|
03/23/21 |
|
|
|
|
|
|
|
235 |
|
|
|
198,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,895,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Services — 0.1% |
|
| Cameron International Corp., |
|
| Gtd. Notes |
|
| 7.000% |
|
|
07/15/38 |
|
|
|
|
|
|
|
450 |
|
|
|
589,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 3.1% |
|
| AbbVie, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.600% |
|
|
05/14/25 |
|
|
|
|
|
|
|
1,020 |
|
|
|
1,127,712 |
|
| 4.500% |
|
|
05/14/35 |
|
|
|
|
|
|
|
1,715 |
|
|
|
2,070,199 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.050% |
|
|
11/21/39 |
|
|
|
|
|
|
|
5,135 |
|
|
|
5,995,401 |
|
| 4.550% |
|
|
03/15/35 |
|
|
|
|
|
|
|
2,040 |
|
|
|
2,470,267 |
|
| 4.875% |
|
|
02/15/21 |
|
|
|
|
|
|
|
1,350 |
|
|
|
1,370,806 |
|
| Bausch Health Americas, Inc., |
|
| Gtd. Notes, 144A |
|
| 8.500% |
|
|
01/31/27 |
|
|
|
|
|
|
|
320 |
|
|
|
341,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Pharmaceuticals (cont’d.) |
|
| Bausch Health Cos., Inc., |
|
| Gtd. Notes, 144A |
|
| 5.000% |
|
|
01/30/28 |
(a) |
|
|
|
|
|
|
300 |
|
|
$ |
282,686 |
|
| 5.250% |
|
|
01/30/30 |
(a) |
|
|
|
|
|
|
300 |
|
|
|
286,017 |
|
| 6.125% |
|
|
04/15/25 |
|
|
|
|
|
|
|
325 |
|
|
|
329,288 |
|
| 6.250% |
|
|
02/15/29 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,055,858 |
|
| 7.250% |
|
|
05/30/29 |
|
|
|
|
|
|
|
100 |
|
|
|
104,970 |
|
| Sr. Sec’d. Notes, 144A |
|
| 5.750% |
|
|
08/15/27 |
|
|
|
|
|
|
|
130 |
|
|
|
137,725 |
|
| Bristol-Myers Squibb Co., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.250% |
|
|
08/15/21 |
|
|
|
|
|
|
|
1,070 |
|
|
|
1,090,681 |
|
| 4.125% |
|
|
06/15/39 |
(a) |
|
|
|
|
|
|
420 |
|
|
|
533,812 |
|
| 4.250% |
|
|
10/26/49 |
|
|
|
|
|
|
|
650 |
|
|
|
856,017 |
|
| 4.550% |
|
|
02/20/48 |
|
|
|
|
|
|
|
1,145 |
|
|
|
1,546,457 |
|
| 5.000% |
|
|
08/15/45 |
|
|
|
|
|
|
|
750 |
|
|
|
1,044,329 |
|
| Cigna Corp., |
|
| Gtd. Notes |
|
| 4.375% |
|
|
10/15/28 |
|
|
|
|
|
|
|
1,320 |
|
|
|
1,561,635 |
|
| Gtd. Notes, 144A |
|
| 4.500% |
|
|
02/25/26 |
|
|
|
|
|
|
|
3,690 |
|
|
|
4,292,183 |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
03/15/40 |
|
|
|
|
|
|
|
440 |
|
|
|
467,800 |
|
| CVS Health Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.780% |
|
|
03/25/38 |
|
|
|
|
|
|
|
270 |
|
|
|
333,803 |
|
| 5.050% |
|
|
03/25/48 |
|
|
|
|
|
|
|
655 |
|
|
|
855,380 |
|
| 5.125% |
|
|
07/20/45 |
|
|
|
|
|
|
|
565 |
|
|
|
728,972 |
|
| Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
|
| Gtd. Notes, 144A |
|
| 6.000% |
|
|
06/30/28 |
|
|
|
|
|
|
|
233 |
|
|
|
150,285 |
|
| Sec’d. Notes, 144A |
|
| 9.500% |
|
|
07/31/27 |
|
|
|
|
|
|
|
185 |
|
|
|
194,991 |
|
| Mylan, Inc., |
|
| Gtd. Notes |
|
| 5.200% |
|
|
04/15/48 |
|
|
|
|
|
|
|
1,890 |
|
|
|
2,330,400 |
|
| Par Pharmaceutical, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 7.500% |
|
|
04/01/27 |
|
|
|
|
|
|
|
92 |
|
|
|
94,333 |
|
| Shire Acquisitions Investments Ireland DAC, |
|
| Gtd. Notes |
|
| 3.200% |
|
|
09/23/26 |
|
|
|
|
|
|
|
3,745 |
|
|
|
4,159,172 |
|
| Takeda Pharmaceutical Co. Ltd. (Japan), |
|
| Sr. Unsec’d. Notes |
|
| 3.025% |
|
|
07/09/40 |
|
|
|
|
|
|
|
525 |
|
|
|
528,045 |
|
| 4.000% |
|
|
11/26/21 |
|
|
|
|
|
|
|
600 |
|
|
|
625,816 |
|
| Upjohn, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.850% |
|
|
06/22/40 |
(a) |
|
|
|
|
|
|
555 |
|
|
|
595,290 |
|
| 4.000% |
|
|
06/22/50 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,101,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,662,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pipelines — 1.3% |
|
| Energy Transfer Operating LP, |
|
| Gtd. Notes |
|
| 5.000% |
|
|
05/15/50 |
|
|
|
|
|
|
|
280 |
|
|
|
265,524 |
|
| 5.150% |
|
|
03/15/45 |
|
|
|
|
|
|
|
55 |
|
|
|
52,141 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A50
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Pipelines (cont’d.) |
|
| 5.300% |
|
|
04/15/47 |
|
|
|
|
|
|
|
120 |
|
|
$ |
118,535 |
|
| 6.125% |
|
|
12/15/45 |
|
|
|
|
|
|
|
90 |
|
|
|
94,591 |
|
| 6.250% |
|
|
04/15/49 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,491,787 |
|
| Jr. Sub. Notes, Series G |
|
| 7.125%(ff) |
|
|
— |
(rr) |
|
|
|
|
|
|
875 |
|
|
|
750,746 |
|
| Enterprise Products Operating LLC, |
|
| Gtd. Notes |
|
| 3.700% |
|
|
01/31/51 |
|
|
|
|
|
|
|
130 |
|
|
|
136,030 |
|
| 3.950% |
|
|
01/31/60 |
|
|
|
|
|
|
|
145 |
|
|
|
150,984 |
|
| 4.900% |
|
|
05/15/46 |
|
|
|
|
|
|
|
2,110 |
|
|
|
2,465,647 |
|
| Fermaca Enterprises S de RL de CV (Mexico), |
|
| Sr. Sec’d. Notes, 144A |
|
| 6.375% |
|
|
03/30/38 |
|
|
|
|
|
|
|
375 |
|
|
|
393,025 |
|
| Magellan Midstream Partners LP, |
|
| Sr. Unsec’d. Notes |
|
| 4.200% |
|
|
03/15/45 |
|
|
|
|
|
|
|
1,000 |
|
|
|
947,878 |
|
| MPLX LP, |
|
| Sr. Unsec’d. Notes |
|
| 4.500% |
|
|
04/15/38 |
|
|
|
|
|
|
|
970 |
|
|
|
969,589 |
|
| 5.200% |
|
|
03/01/47 |
|
|
|
|
|
|
|
115 |
|
|
|
122,746 |
|
| NGPL PipeCo LLC, |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.375% |
|
|
08/15/22 |
|
|
|
|
|
|
|
50 |
|
|
|
51,537 |
|
| 4.875% |
|
|
08/15/27 |
(a) |
|
|
|
|
|
|
225 |
|
|
|
247,534 |
|
| ONEOK Partners LP, |
|
| Gtd. Notes |
|
| 6.850% |
|
|
10/15/37 |
|
|
|
|
|
|
|
1,250 |
|
|
|
1,400,077 |
|
| ONEOK, Inc., |
|
| Gtd. Notes |
|
| 4.500% |
|
|
03/15/50 |
|
|
|
|
|
|
|
2,685 |
|
|
|
2,499,237 |
|
| 4.950% |
|
|
07/13/47 |
|
|
|
|
|
|
|
450 |
|
|
|
434,271 |
|
| Phillips 66 Partners LP, |
|
| Sr. Unsec’d. Notes |
|
| 4.680% |
|
|
02/15/45 |
(a) |
|
|
|
|
|
|
1,900 |
|
|
|
2,022,047 |
|
| Sunoco Logistics Partners Operations LP, |
|
| Gtd. Notes |
|
| 5.400% |
|
|
10/01/47 |
|
|
|
|
|
|
|
55 |
|
|
|
53,992 |
|
| Western Midstream Operating LP, |
|
| Sr. Unsec’d. Notes |
|
| 5.450% |
|
|
04/01/44 |
(a) |
|
|
|
|
|
|
575 |
|
|
|
479,340 |
|
| Williams Cos., Inc. (The), |
|
| Sr. Unsec’d. Notes |
|
| 4.900% |
|
|
01/15/45 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,277,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,424,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate — 0.1% |
|
| Greystar Real Estate Partners LLC, |
|
| Sr. Sec’d. Notes, 144A |
|
| 5.750% |
|
|
12/01/25 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,201,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) — 0.0% |
|
| MGM Growth Properties Operating Partnership LP/MGP Finance
Co-Issuer, Inc., |
|
| Gtd. Notes, 144A |
|
| 4.625% |
|
|
06/15/25 |
|
|
|
|
|
|
|
405 |
|
|
|
398,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Retail — 0.6% |
|
| Dollar Tree, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.200% |
|
|
05/15/28 |
(a) |
|
|
|
|
|
|
1,875 |
|
|
$ |
2,177,416 |
|
| Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
|
| Sr. Unsec’d. Notes |
|
| 8.625% |
|
|
07/31/20 |
|
|
|
|
|
|
|
850 |
|
|
|
211,877 |
|
| 8.625% |
|
|
07/31/20 |
|
|
|
|
|
|
|
900 |
|
|
|
223,875 |
|
| L Brands, Inc., |
|
| Gtd. Notes |
|
| 5.625% |
|
|
10/15/23 |
(a) |
|
|
|
|
|
|
1,600 |
|
|
|
1,513,238 |
|
| 6.625% |
|
|
04/01/21 |
|
|
|
|
|
|
|
551 |
|
|
|
571,129 |
|
| Michaels Stores, Inc., |
|
| Gtd. Notes, 144A |
|
| 8.000% |
|
|
07/15/27 |
(a) |
|
|
|
|
|
|
625 |
|
|
|
543,443 |
|
| PetSmart, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 5.875% |
|
|
06/01/25 |
|
|
|
|
|
|
|
439 |
|
|
|
440,544 |
|
| Rite Aid Corp., |
|
| Gtd. Notes, 144A |
|
| 6.125% |
|
|
04/01/23 |
|
|
|
|
|
|
|
238 |
|
|
|
231,288 |
|
| Suburban Propane Partners LP/Suburban Energy Finance Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.500% |
|
|
06/01/24 |
|
|
|
|
|
|
|
1,800 |
|
|
|
1,786,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,699,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Savings & Loans — 0.1% |
|
| People’s United Financial, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.650% |
|
|
12/06/22 |
(a) |
|
|
|
|
|
|
1,675 |
|
|
|
1,742,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors — 0.9% |
|
| Broadcom, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.459% |
|
|
09/15/26 |
|
|
|
|
|
|
|
3,509 |
|
|
|
3,766,790 |
|
| 4.700% |
|
|
04/15/25 |
|
|
|
|
|
|
|
1,250 |
|
|
|
1,407,514 |
|
| 5.000% |
|
|
04/15/30 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,869,025 |
|
| NXP BV/NXP Funding LLC (Netherlands), |
|
| Gtd. Notes, 144A |
|
| 4.625% |
|
|
06/01/23 |
|
|
|
|
|
|
|
2,675 |
|
|
|
2,928,595 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,971,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.3% |
|
| Fidelity National Information Services, Inc., |
|
| Gtd. Notes |
|
| 0.750% |
|
|
05/21/23 |
|
|
|
|
|
|
EUR |
400 |
|
|
|
452,575 |
|
| Fiserv, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.500% |
|
|
10/01/22 |
(a) |
|
|
|
|
|
|
1,162 |
|
|
|
1,228,186 |
|
| Microsoft Corp., |
|
| Sr. Unsec’d. Notes |
|
| 2.525% |
|
|
06/01/50 |
|
|
|
|
|
|
|
1,815 |
|
|
|
1,877,244 |
|
| 2.675% |
|
|
06/01/60 |
|
|
|
|
|
|
|
435 |
|
|
|
453,804 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,011,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunications — 1.9% |
|
| AT&T, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.400% |
|
|
05/15/25 |
|
|
|
|
|
|
|
1,010 |
|
|
|
1,108,425 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A51
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Telecommunications (cont’d.) |
|
| 3.600% |
|
|
07/15/25 |
|
|
|
|
|
|
|
150 |
|
|
$ |
166,418 |
|
| 3.800% |
|
|
02/15/27 |
|
|
|
|
|
|
|
1,065 |
|
|
|
1,195,606 |
|
| 4.300% |
|
|
02/15/30 |
|
|
|
|
|
|
|
485 |
|
|
|
567,045 |
|
| 4.550% |
|
|
03/09/49 |
|
|
|
|
|
|
|
774 |
|
|
|
912,356 |
|
| 4.850% |
|
|
03/01/39 |
|
|
|
|
|
|
|
4,230 |
|
|
|
5,133,194 |
|
| 5.150% |
|
|
03/15/42 |
|
|
|
|
|
|
|
800 |
|
|
|
997,765 |
|
| 5.250% |
|
|
03/01/37 |
|
|
|
|
|
|
|
680 |
|
|
|
842,507 |
|
| 5.350% |
|
|
09/01/40 |
|
|
|
|
|
|
|
424 |
|
|
|
533,012 |
|
| CenturyLink, Inc., |
|
| Sr. Unsec’d. Notes, Series P |
|
| 7.600% |
|
|
09/15/39 |
(a) |
|
|
|
|
|
|
850 |
|
|
|
914,894 |
|
| Embarq Corp., |
|
| Sr. Unsec’d. Notes |
|
| 7.995% |
|
|
06/01/36 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,910,116 |
|
| Level 3 Financing, Inc., |
|
| Gtd. Notes, 144A |
|
| 4.250% |
|
|
07/01/28 |
(a) |
|
|
|
|
|
|
1,525 |
|
|
|
1,521,670 |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.400% |
|
|
03/01/27 |
|
|
|
|
|
|
|
230 |
|
|
|
243,311 |
|
| Qwest Corp., |
|
| Sr. Unsec’d. Notes |
|
| 6.750% |
|
|
12/01/21 |
|
|
|
|
|
|
|
600 |
|
|
|
632,501 |
|
| Sprint Capital Corp., |
|
| Gtd. Notes |
|
| 8.750% |
|
|
03/15/32 |
|
|
|
|
|
|
|
700 |
|
|
|
1,001,216 |
|
| Sprint Corp., |
|
| Gtd. Notes |
|
| 7.625% |
|
|
02/15/25 |
(a) |
|
|
|
|
|
|
500 |
|
|
|
576,755 |
|
| 7.875% |
|
|
09/15/23 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,691,109 |
|
| T-Mobile USA, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 4.375% |
|
|
04/15/40 |
|
|
|
|
|
|
|
425 |
|
|
|
491,339 |
|
| 4.500% |
|
|
04/15/50 |
|
|
|
|
|
|
|
580 |
|
|
|
682,787 |
|
| Verizon Communications, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.016% |
|
|
12/03/29 |
|
|
|
|
|
|
|
120 |
|
|
|
143,275 |
|
| 4.500% |
|
|
08/10/33 |
|
|
|
|
|
|
|
990 |
|
|
|
1,240,300 |
|
| 4.522% |
|
|
09/15/48 |
|
|
|
|
|
|
|
360 |
|
|
|
476,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,981,643 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Textiles — 0.0% |
|
| Mohawk Industries, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.850% |
|
|
02/01/23 |
(a) |
|
|
|
|
|
|
294 |
|
|
|
310,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Transportation — 0.0% |
|
| Lima Metro Line 2 Finance Ltd. (Peru), |
|
| Sr. Sec’d. Notes |
|
| 5.875% |
|
|
07/05/34 |
|
|
|
|
|
|
|
108 |
|
|
|
126,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Water — 0.1% |
|
| American Water Capital Corp., |
|
| Sr. Unsec’d. Notes |
|
| 3.450% |
|
|
05/01/50 |
(a) |
|
|
|
|
|
|
625 |
|
|
|
706,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(cost $427,013,803) |
|
|
|
447,046,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| MUNICIPAL BONDS — 1.9% |
|
| California — 0.5% |
|
| Bay Area Toll Authority, |
|
| Taxable, Revenue Bonds, BABs, Series S3 |
|
| 6.907% |
|
|
10/01/50 |
|
|
|
|
|
|
|
1,125 |
|
|
$ |
2,041,515 |
|
| State of California, |
|
| General Obligation Unlimited, BABs |
|
| 7.300% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,550 |
|
|
|
2,571,713 |
|
| General Obligation Unlimited, Taxable, BABs |
|
| 7.625% |
|
|
03/01/40 |
|
|
|
|
|
|
|
725 |
|
|
|
1,260,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,873,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colorado — 0.1% |
|
| Regional Transportation District Sales Tax Revenue, |
|
| Revenue Bonds, BABs, Series B |
|
| 5.844% |
|
|
11/01/50 |
|
|
|
|
|
|
|
770 |
|
|
|
1,279,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois — 0.4% |
|
| Chicago O’Hare International Airport, |
|
| Revenue Bonds, BABs, Series B |
|
| 6.395% |
|
|
01/01/40 |
|
|
|
|
|
|
|
1,380 |
|
|
|
2,055,068 |
|
| State of Illinois, |
|
| General Obligation Unlimited, Series A |
|
| 5.000% |
|
|
10/01/22 |
|
|
|
|
|
|
|
20 |
|
|
|
20,946 |
|
| General Obligation Unlimited, Series D |
|
| 5.000% |
|
|
11/01/22 |
|
|
|
|
|
|
|
2,650 |
|
|
|
2,779,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,855,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Jersey — 0.4% |
|
| New Jersey Turnpike Authority, |
|
| Taxable, Revenue Bonds, BABs, Series A |
|
| 7.102% |
|
|
01/01/41 |
|
|
|
|
|
|
|
1,175 |
|
|
|
1,949,995 |
|
| Taxable, Revenue Bonds, BABs, Series F |
|
| 7.414% |
|
|
01/01/40 |
|
|
|
|
|
|
|
2,050 |
|
|
|
3,483,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,433,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ohio — 0.1% |
|
| Ohio State University (The), |
|
| Taxable, Revenue Bonds, BABs, Series C |
|
| 4.910% |
|
|
06/01/40 |
|
|
|
|
|
|
|
695 |
|
|
|
992,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oregon — 0.1% |
|
| State of Oregon Department of Transportation, |
|
| Taxable, Revenue Bonds, BABs, Series A |
|
| 5.834% |
|
|
11/15/34 |
|
|
|
|
|
|
|
615 |
|
|
|
894,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pennsylvania — 0.1% |
|
| Pennsylvania Turnpike Commission, |
|
| Revenue Bonds, BABs, Series B |
|
| 5.511% |
|
|
12/01/45 |
|
|
|
|
|
|
|
800 |
|
|
|
1,234,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Puerto Rico — 0.1% |
|
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, |
|
| Revenue Bonds, Restructured, Series A-1 |
|
| 5.000% |
|
|
07/01/58 |
|
|
|
|
|
|
|
1,710 |
|
|
|
1,787,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Texas — 0.0% |
|
| Texas Private Activity Bond Surface Transportation Corp., |
|
| Taxable, Revenue Bonds, Series B |
|
| 3.922% |
|
|
12/31/49 |
|
|
|
|
|
|
|
450 |
|
|
|
461,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A52
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| MUNICIPAL BONDS (continued) |
|
| Virginia — 0.1% |
|
| University of Virginia, |
|
| Taxable, Revenue Bonds, Series C |
|
| 4.179% |
|
|
09/01/2117 |
|
|
|
|
|
|
|
425 |
|
|
$ |
575,169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL MUNICIPAL BONDS
(cost $16,278,692) |
|
|
|
23,388,099 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.5% |
|
| Alternative Loan Trust, |
|
| Series 2004-18CB, Class 3A1 |
|
| 5.250% |
|
|
09/25/20 |
|
|
|
|
|
|
|
25 |
|
|
|
24,615 |
|
| Bellemeade Re Ltd. (Bermuda), |
|
| Series 2018-01A, Class M1B, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 1.785%(c) |
|
|
04/25/28 |
|
|
|
|
|
|
|
416 |
|
|
|
411,351 |
|
| Series 2018-02A, Class M1B, 144A, 1 Month LIBOR
+ 1.350% (Cap N/A, Floor 0.000%) |
|
| 1.535%(c) |
|
|
08/25/28 |
|
|
|
|
|
|
|
222 |
|
|
|
220,750 |
|
| Series 2018-02A, Class M1C, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 1.785%(c) |
|
|
08/25/28 |
|
|
|
|
|
|
|
450 |
|
|
|
408,194 |
|
| Series 2018-03A, Class M1B, 144A, 1 Month LIBOR
+ 1.850% (Cap N/A, Floor 1.850%) |
|
| 2.035%(c) |
|
|
10/25/28 |
|
|
|
|
|
|
|
568 |
|
|
|
562,107 |
|
| Series 2019-02A, Class M1B, 144A, 1 Month LIBOR
+ 1.450% (Cap N/A, Floor 1.450%) |
|
| 1.635%(c) |
|
|
04/25/29 |
|
|
|
|
|
|
|
268 |
|
|
|
266,947 |
|
| Series 2019-04A, Class M1A, 144A, 1 Month LIBOR
+ 1.400% (Cap N/A, Floor 1.400%) |
|
| 1.585%(c) |
|
|
10/25/29 |
|
|
|
|
|
|
|
174 |
|
|
|
172,982 |
|
| Series 2019-04A, Class M1B, 144A, 1 Month LIBOR
+ 2.000% (Cap N/A, Floor 2.000%) |
|
| 2.185%(c) |
|
|
10/25/29 |
|
|
|
|
|
|
|
700 |
|
|
|
673,276 |
|
| Series 2020-01A, Class M1A, 144A, 1 Month LIBOR
+ 2.650% (Cap N/A, Floor 0.000%) |
|
| 2.845%(c) |
|
|
06/25/30 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,030,180 |
|
| Series 2020-01A, Class M1B, 144A, 1 Month LIBOR
+ 3.400% (Cap N/A, Floor 0.000%) |
|
| 3.595%(c) |
|
|
06/25/30 |
|
|
|
|
|
|
|
270 |
|
|
|
270,000 |
|
| BVRT Financing Trust, |
|
| Series 2019-01, Class F, 144A |
|
| 2.327% |
|
|
09/15/21^ |
|
|
|
|
|
|
|
8,788 |
|
|
|
8,719,193 |
|
| Central Park Funding Trust, |
|
| Series 2018-01, Class A, 144A, 1 Month LIBOR +
1.500% (Cap N/A, Floor 1.500%) |
|
| 1.673%(c) |
|
|
11/01/23 |
|
|
|
|
|
|
|
5,400 |
|
|
|
5,312,326 |
|
| CIM Trust, |
|
| Series 2017-03, Class A1, 144A, 1 Month LIBOR
+ 2.000% (Cap N/A, Floor 0.000%) |
|
| 2.173%(c) |
|
|
01/25/57 |
|
|
|
|
|
|
|
1,172 |
|
|
|
1,171,648 |
|
| Series 2017-06, Class A1, 144A |
|
| 3.015%(cc) |
|
|
06/25/57 |
|
|
|
|
|
|
|
1,069 |
|
|
|
1,074,791 |
|
| Series 2017-08, Class A1, 144A |
|
| 3.000%(cc) |
|
|
12/25/65 |
|
|
|
|
|
|
|
1,968 |
|
|
|
1,960,923 |
|
| Citigroup Mortgage Loan Trust, |
|
| Series 2011-12, Class 3A2, 144A |
|
| 3.772%(cc) |
|
|
09/25/47 |
|
|
|
|
|
|
|
439 |
|
|
|
397,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Connecticut Avenue Securities Trust, |
|
| Series 2019-R04, Class 2M2, 144A, 1 Month LIBOR
+ 2.100% (Cap N/A, Floor 0.000%) |
|
| 2.285%(c) |
|
|
06/25/39 |
|
|
|
|
|
|
|
980 |
|
|
$ |
951,844 |
|
| Series 2019-R07, Class 1M2, 144A, 1 Month LIBOR
+ 2.100% (Cap N/A, Floor 0.000%) |
|
| 2.285%(c) |
|
|
10/25/39 |
|
|
|
|
|
|
|
900 |
|
|
|
872,390 |
|
| Credit Suisse Mortgage Trust, |
|
| Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor
0.000%) |
|
| 1.585%(c) |
|
|
12/26/59^ |
|
|
|
|
|
|
|
3,004 |
|
|
|
2,995,961 |
|
| Eagle Re Ltd. (Bermuda), |
|
| Series 2018-01, Class M1, 144A, 1 Month LIBOR
+ 1.700% (Cap N/A, Floor 1.700%) |
|
| 1.885%(c) |
|
|
11/25/28 |
|
|
|
|
|
|
|
585 |
|
|
|
566,082 |
|
| Series 2019-01, Class M1B, 144A, 1 Month LIBOR
+ 1.800% (Cap N/A, Floor 0.000%) |
|
| 1.985%(c) |
|
|
04/25/29 |
|
|
|
|
|
|
|
180 |
|
|
|
178,978 |
|
| Fannie Mae Connecticut Avenue Securities, |
|
| Series 2018-C03, Class 1M2, 1 Month LIBOR +
2.150% (Cap N/A, Floor 2.150%) |
|
| 2.335%(c) |
|
|
10/25/30 |
|
|
|
|
|
|
|
376 |
|
|
|
369,565 |
|
| Fannie Mae REMICS, |
|
| Series 2011-116, Class ZA |
|
| 3.500% |
|
|
11/25/41 |
|
|
|
|
|
|
|
2,166 |
|
|
|
2,337,662 |
|
| Series 2012-34, Class EB |
|
| 4.000% |
|
|
04/25/42 |
|
|
|
|
|
|
|
1,575 |
|
|
|
1,865,622 |
|
| Freddie Mac REMICS, |
|
| Series 4289, Class WZ |
|
| 3.000% |
|
|
01/15/44 |
|
|
|
|
|
|
|
767 |
|
|
|
827,783 |
|
| Series 4768, Class GA |
|
| 3.500% |
|
|
09/15/45 |
|
|
|
|
|
|
|
1,733 |
|
|
|
1,828,938 |
|
| Series 4768, Class VB |
|
| 3.500% |
|
|
06/15/38 |
|
|
|
|
|
|
|
500 |
|
|
|
524,583 |
|
| Series 4939, Class KT |
|
| 3.000% |
|
|
07/15/48 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,044,618 |
|
| Freddie Mac Structured Agency Credit Risk Debt Notes, |
|
| Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
|
| 1.535%(c) |
|
|
03/25/29 |
|
|
|
|
|
|
|
152 |
|
|
|
151,697 |
|
| Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
|
| 1.485%(c) |
|
|
04/25/29 |
|
|
|
|
|
|
|
222 |
|
|
|
221,461 |
|
| Series 2020-DNA03, Class B1, 144A |
|
| —%(p) |
|
|
06/25/50 |
|
|
|
|
|
|
|
205 |
|
|
|
205,000 |
|
| Series 2020-DNA03, Class M2, 144A |
|
| —%(p) |
|
|
06/25/50 |
|
|
|
|
|
|
|
755 |
|
|
|
755,000 |
|
| Freddie Mac Structured Agency Credit Risk REMIC Trust, |
|
| Series 2020-DNA02, Class M2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor
1.850%) |
|
| 2.035%(c) |
|
|
02/25/50 |
|
|
|
|
|
|
|
1,220 |
|
|
|
1,156,687 |
|
| Series 2020-HQA02, Class M2, 144A, 1 Month LIBOR + 3.100% (Cap N/A, Floor
0.000%) |
|
| 3.285%(c) |
|
|
03/25/50 |
|
|
|
|
|
|
|
90 |
|
|
|
86,169 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A53
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Freddie Mac Structured Agency Credit Risk Trust, |
|
| Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor
0.000%) |
|
| 0.935%(c) |
|
|
09/25/48 |
|
|
|
|
|
|
|
3 |
|
|
$ |
2,879 |
|
| Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor
0.000%) |
|
| 2.835%(c) |
|
|
01/25/49 |
|
|
|
|
|
|
|
222 |
|
|
|
218,427 |
|
| GCAT LLC, |
|
| Series 2019-04, Class A1, 144A |
|
| 3.228% |
|
|
11/26/49 |
|
|
|
|
|
|
|
1,813 |
|
|
|
1,784,598 |
|
| GSMSC Resecuritization Trust, |
|
| Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR
+ 0.140% (Cap N/A, Floor 0.140%) |
|
| 0.325%(c) |
|
|
01/26/37 |
|
|
|
|
|
|
|
163 |
|
|
|
161,148 |
|
| Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR
+ 0.140% (Cap N/A, Floor 0.140%) |
|
| 0.325%(c) |
|
|
01/26/37 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,362,949 |
|
| Home Re Ltd. (Bermuda), |
|
| Series 2018-01, Class M1, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 1.785%(c) |
|
|
10/25/28 |
|
|
|
|
|
|
|
151 |
|
|
|
150,490 |
|
| Series 2019-01, Class M1, 144A, 1 Month LIBOR
+ 1.650% (Cap N/A, Floor 0.000%) |
|
| 1.835%(c) |
|
|
05/25/29 |
|
|
|
|
|
|
|
179 |
|
|
|
176,636 |
|
| Legacy Mortgage Asset Trust, |
|
| Series 2019-GS06, Class A1, 144A |
|
| 3.000% |
|
|
06/25/59 |
|
|
|
|
|
|
|
651 |
|
|
|
650,598 |
|
| Series 2020-GS01, Class A1, 144A |
|
| 2.882% |
|
|
10/25/59 |
|
|
|
|
|
|
|
1,359 |
|
|
|
1,345,634 |
|
| LSTAR Securities Investment Trust, |
|
| Series 2019-02, Class A1, 144A, 1 Month LIBOR
+ 1.500% (Cap N/A, Floor 0.000%) |
|
| 1.673%(c) |
|
|
04/01/24 |
|
|
|
|
|
|
|
604 |
|
|
|
603,629 |
|
| MetLife Securitization Trust, |
|
| Series 2018-01A, Class A, 144A |
|
| 3.750%(cc) |
|
|
03/25/57 |
|
|
|
|
|
|
|
596 |
|
|
|
635,263 |
|
| MRA Issuance Trust, |
|
| Series 2019-03, Class A2, 144A, 1 Month LIBOR
+ 1.850% (Cap N/A, Floor 0.000%) |
|
| 2.034%(c) |
|
|
07/10/20^ |
|
|
|
|
|
|
|
1,754 |
|
|
|
1,778,353 |
|
| Series 2020-01, Class A, 144A, 1 Month LIBOR +
1.400% (Cap N/A, Floor 0.000%) |
|
| 1.573%(c) |
|
|
12/08/20 |
|
|
|
|
|
|
|
5,223 |
|
|
|
5,228,714 |
|
| New Residential Mortgage Loan Trust, |
|
| Series 2018-01A, Class A1A, 144A |
|
| 4.000%(cc) |
|
|
12/25/57 |
|
|
|
|
|
|
|
1,033 |
|
|
|
1,095,135 |
|
| Series 2018-04A, Class A1S, 144A, 1 Month LIBOR
+ 0.750% (Cap N/A, Floor 0.750%) |
|
| 0.935%(c) |
|
|
01/25/48 |
|
|
|
|
|
|
|
999 |
|
|
|
988,376 |
|
| Oaktown Re II Ltd. (Bermuda), |
|
| Series 2018-01A, Class M1, 144A, 1 Month LIBOR
+ 1.550% (Cap N/A, Floor 0.000%) |
|
| 1.735%(c) |
|
|
07/25/28 |
|
|
|
|
|
|
|
42 |
|
|
|
41,828 |
|
| Oaktown Re III Ltd. (Bermuda), |
|
| Series 2019-01A, Class M1A, 144A, 1 Month LIBOR
+ 1.400% (Cap N/A, Floor 1.400%) |
|
| 1.585%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
46 |
|
|
|
46,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Park Avenue Funding Trust, |
|
| Series 2020-02, Class PT, 144A, 1 Month LIBOR
+ 2.000% (Cap N/A, Floor 2.000%) |
|
| 2.184%(c) |
|
|
06/02/22 |
|
|
|
|
|
|
|
7,720 |
|
|
$ |
7,720,000 |
|
| Radnor Re Ltd. (Bermuda), |
|
| Series 2018-01, Class M1, 144A, 1 Month LIBOR
+ 1.400% (Cap N/A, Floor 0.000%) |
|
| 1.585%(c) |
|
|
03/25/28 |
|
|
|
|
|
|
|
27 |
|
|
|
27,016 |
|
| Series 2018-01, Class M2, 144A, 1 Month LIBOR
+ 2.700% (Cap N/A, Floor 0.000%) |
|
| 2.885%(c) |
|
|
03/25/28 |
|
|
|
|
|
|
|
360 |
|
|
|
338,687 |
|
| Series 2019-02, Class M1A, 144A, 1 Month LIBOR
+ 1.200% (Cap N/A, Floor 1.200%) |
|
| 1.385%(c) |
|
|
06/25/29 |
|
|
|
|
|
|
|
47 |
|
|
|
46,562 |
|
| Series 2020-01, Class M1A, 144A, 1 Month LIBOR
+ 0.950% (Cap N/A, Floor 0.950%) |
|
| 1.135%(c) |
|
|
02/25/30 |
|
|
|
|
|
|
|
500 |
|
|
|
494,197 |
|
| Series 2020-01, Class M1B, 144A, 1 Month LIBOR
+ 1.450% (Cap N/A, Floor 1.450%) |
|
| 1.635%(c) |
|
|
02/25/30 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,375,831 |
|
| Structured Adjustable Rate Mortgage Loan Trust, |
|
| Series 2004-01, Class 4A3 |
|
| 3.765%(cc) |
|
|
02/25/34 |
|
|
|
|
|
|
|
346 |
|
|
|
332,876 |
|
| Series 2004-18, Class 3A1 |
|
| 3.279%(cc) |
|
|
12/25/34 |
|
|
|
|
|
|
|
1,816 |
|
|
|
1,736,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $68,027,160) |
|
|
|
67,959,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN BONDS — 7.2% |
|
| Argentine Republic Government International Bond (Argentina), |
|
| Bonds |
|
| 3.380% |
|
|
12/31/38 |
|
|
|
|
|
|
EUR |
300 |
|
|
|
126,469 |
|
| Sr. Unsec’d. Notes |
|
| 4.625% |
|
|
01/11/23 |
|
|
|
|
|
|
|
1,625 |
|
|
|
678,632 |
|
| 6.875% |
|
|
04/22/21 |
|
|
|
|
|
|
|
1,775 |
|
|
|
739,294 |
|
| 7.820% |
|
|
12/31/33 |
|
|
|
|
|
|
EUR |
958 |
|
|
|
463,466 |
|
| 7.820% |
|
|
12/31/33 |
|
|
|
|
|
|
EUR |
634 |
|
|
|
306,474 |
|
| 8.280% |
|
|
12/31/33 |
|
|
|
|
|
|
|
582 |
|
|
|
262,816 |
|
| Brazil Minas SPE via State of Minas Gerais (Brazil), |
|
| Gov’t. Gtd. Notes |
|
| 5.333% |
|
|
02/15/28 |
|
|
|
|
|
|
|
1,284 |
|
|
|
1,297,352 |
|
| Colombia Government International Bond (Colombia), |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
02/26/24 |
|
|
|
|
|
|
|
250 |
|
|
|
263,209 |
|
| 5.000% |
|
|
06/15/45 |
|
|
|
|
|
|
|
205 |
|
|
|
231,213 |
|
| Dominican Republic International Bond (Dominican Republic), |
|
| Sr. Unsec’d. Notes |
|
| 7.500% |
|
|
05/06/21 |
|
|
|
|
|
|
|
750 |
|
|
|
774,538 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 6.000% |
|
|
07/19/28 |
|
|
|
|
|
|
|
575 |
|
|
|
579,230 |
|
| 7.500% |
|
|
05/06/21 |
|
|
|
|
|
|
|
200 |
|
|
|
206,543 |
|
| Egypt Government International Bond (Egypt), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 4.750% |
|
|
04/11/25 |
|
|
|
|
|
|
EUR |
875 |
|
|
|
954,616 |
|
| 4.750% |
|
|
04/16/26 |
|
|
|
|
|
|
EUR |
1,540 |
|
|
|
1,644,204 |
|
| 6.375% |
|
|
04/11/31 |
|
|
|
|
|
|
EUR |
1,015 |
|
|
|
1,057,130 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A54
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| SOVEREIGN BONDS (continued) |
|
| Ghana Government International Bond (Ghana), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 6.375% |
|
|
02/11/27 |
|
|
|
|
|
|
|
970 |
|
|
$ |
907,600 |
|
| Hellenic Republic Government Bond (Greece), |
|
| Bonds |
|
| 3.650%(cc) |
|
|
02/24/23 |
|
|
|
|
|
|
EUR |
1,200 |
|
|
|
1,464,302 |
|
| 3.650%(cc) |
|
|
02/24/26 |
|
|
|
|
|
|
EUR |
380 |
|
|
|
495,049 |
|
| 3.650%(cc) |
|
|
02/24/29 |
|
|
|
|
|
|
EUR |
1,000 |
|
|
|
1,360,484 |
|
| 3.650%(cc) |
|
|
02/24/31 |
|
|
|
|
|
|
EUR |
620 |
|
|
|
861,840 |
|
| 3.650%(cc) |
|
|
02/24/32 |
|
|
|
|
|
|
EUR |
1,280 |
|
|
|
1,807,561 |
|
| 3.650%(cc) |
|
|
02/24/34 |
|
|
|
|
|
|
EUR |
640 |
|
|
|
938,645 |
|
| 3.650%(cc) |
|
|
02/24/39 |
|
|
|
|
|
|
EUR |
1,000 |
|
|
|
1,522,173 |
|
| 3.750% |
|
|
01/30/28 |
|
|
|
|
|
|
EUR |
3,095 |
|
|
|
4,168,115 |
|
| 3.900% |
|
|
01/30/33 |
|
|
|
|
|
|
EUR |
1,990 |
|
|
|
2,915,713 |
|
| 4.000% |
|
|
01/30/37 |
|
|
|
|
|
|
EUR |
378 |
|
|
|
586,811 |
|
| Hellenic Republic Government International Bond (Greece), |
|
| Sr. Unsec’d. Notes |
|
| 5.200% |
|
|
07/17/34 |
|
|
|
|
|
|
EUR |
1,500 |
|
|
|
2,373,374 |
|
| Hungary Government International Bond (Hungary), |
|
| Sr. Unsec’d. Notes |
|
| 5.375% |
|
|
02/21/23 |
|
|
|
|
|
|
|
436 |
|
|
|
477,749 |
|
| 5.375% |
|
|
03/25/24 |
|
|
|
|
|
|
|
290 |
|
|
|
329,120 |
|
| 5.750% |
|
|
11/22/23 |
|
|
|
|
|
|
|
2,300 |
|
|
|
2,614,028 |
|
| 6.375% |
|
|
03/29/21 |
|
|
|
|
|
|
|
1,126 |
|
|
|
1,171,098 |
|
| Indonesia Government International Bond (Indonesia), |
|
| Sr. Unsec’d. Notes |
|
| 1.450% |
|
|
09/18/26 |
|
|
|
|
|
|
EUR |
375 |
|
|
|
417,099 |
|
| 3.375% |
|
|
07/30/25 |
|
|
|
|
|
|
EUR |
3,125 |
|
|
|
3,809,367 |
|
| Sr. Unsec’d. Notes, EMTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2.875% |
|
|
07/08/21 |
|
|
|
|
|
|
EUR |
1,225 |
|
|
|
1,405,758 |
|
| 3.750% |
|
|
06/14/28 |
|
|
|
|
|
|
EUR |
1,250 |
|
|
|
1,600,988 |
|
| Iraq International Bond (Iraq), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.800% |
|
|
01/15/28 |
|
|
|
|
|
|
|
450 |
|
|
|
406,877 |
|
| 6.752% |
|
|
03/09/23 |
|
|
|
|
|
|
|
400 |
|
|
|
370,175 |
|
| Japan Bank for International Cooperation (Japan), |
|
| Gov’t. Gtd. Notes |
|
| 2.500% |
|
|
05/23/24 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,073,512 |
|
| Japan Finance Organization for Municipalities (Japan), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.375% |
|
|
09/27/23 |
|
|
|
|
|
|
|
600 |
|
|
|
651,857 |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 1.750% |
|
|
09/05/24 |
|
|
|
|
|
|
|
600 |
|
|
|
624,554 |
|
| 2.000% |
|
|
09/08/20 |
|
|
|
|
|
|
|
800 |
|
|
|
802,113 |
|
| 2.625% |
|
|
04/20/22 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,036,568 |
|
| 3.000% |
|
|
03/12/24 |
|
|
|
|
|
|
|
600 |
|
|
|
649,955 |
|
| Lithuania Government International Bond (Lithuania), |
|
| Sr. Unsec’d. Notes |
|
| 6.625% |
|
|
02/01/22 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,088,942 |
|
| Panama Government International Bond (Panama), |
|
| Sr. Unsec’d. Notes |
|
| 3.750% |
|
|
03/16/25 |
|
|
|
|
|
|
|
450 |
|
|
|
486,796 |
|
| Portugal Government International Bond (Portugal), |
|
| Sr. Unsec’d. Notes, EMTN |
|
| 5.125% |
|
|
10/15/24 |
|
|
|
|
|
|
|
12,675 |
|
|
|
14,769,145 |
|
| Province of Ontario (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 3.400% |
|
|
10/17/23 |
|
|
|
|
|
|
|
295 |
|
|
|
322,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| SOVEREIGN BONDS (continued) |
|
| Provincia de Buenos Aires (Argentina), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 6.500% |
|
|
02/15/23 |
|
|
|
|
|
|
|
120 |
|
|
$ |
49,283 |
|
| 9.950% |
|
|
06/09/21 |
|
|
|
|
|
|
|
1,940 |
|
|
|
789,883 |
|
| Qatar Government International Bond (Qatar), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.103% |
|
|
04/23/48 |
|
|
|
|
|
|
|
780 |
|
|
|
1,065,082 |
|
| Republic of Italy Government International Bond (Italy), |
|
| Sr. Unsec’d. Notes |
|
| 2.375% |
|
|
10/17/24 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,014,336 |
|
| 6.875% |
|
|
09/27/23 |
|
|
|
|
|
|
|
260 |
|
|
|
301,488 |
|
| Sr. Unsec’d. Notes, EMTN |
|
| 6.000% |
|
|
08/04/28 |
|
|
|
|
|
|
GBP |
2,060 |
|
|
|
3,154,225 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 5.375% |
|
|
06/15/33 |
|
|
|
|
|
|
|
4,730 |
|
|
|
5,856,706 |
|
| Romanian Government International Bond (Romania), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 3.875% |
|
|
10/29/35 |
|
|
|
|
|
|
EUR |
945 |
|
|
|
1,146,975 |
|
| Sr. Unsec’d. Notes, EMTN |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.875% |
|
|
10/29/35 |
|
|
|
|
|
|
EUR |
940 |
|
|
|
1,140,907 |
|
| 4.125% |
|
|
03/11/39 |
|
|
|
|
|
|
EUR |
254 |
|
|
|
314,404 |
|
| Saudi Government International Bond (Saudi Arabia), |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 4.000% |
|
|
04/17/25 |
|
|
|
|
|
|
|
675 |
|
|
|
749,400 |
|
| Serbia International Bond (Serbia), |
|
| Sr. Unsec’d. Notes |
|
| 7.250% |
|
|
09/28/21 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,129,973 |
|
| Sri Lanka Government International Bond (Sri Lanka), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.750% |
|
|
01/18/22 |
|
|
|
|
|
|
|
800 |
|
|
|
627,969 |
|
| Tokyo Metropolitan Government (Japan), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.500% |
|
|
06/08/22 |
|
|
|
|
|
|
|
600 |
|
|
|
621,519 |
|
| Turkey Government International Bond (Turkey), |
|
| Sr. Unsec’d. Notes |
|
| 5.625% |
|
|
03/30/21 |
(a) |
|
|
|
|
|
|
500 |
|
|
|
508,122 |
|
| Ukraine Government International Bond (Ukraine), |
|
| Sr. Unsec’d. Notes |
|
| 7.750% |
|
|
09/01/20 |
|
|
|
|
|
|
|
145 |
|
|
|
145,718 |
|
| 7.750% |
|
|
09/01/21 |
|
|
|
|
|
|
|
160 |
|
|
|
165,007 |
|
| 7.750% |
|
|
09/01/22 |
|
|
|
|
|
|
|
1,120 |
|
|
|
1,167,584 |
|
| 8.994% |
|
|
02/01/24 |
|
|
|
|
|
|
|
200 |
|
|
|
215,051 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.375% |
|
|
01/27/30 |
|
|
|
|
|
|
EUR |
1,325 |
|
|
|
1,282,033 |
|
| 7.750% |
|
|
09/01/20 |
|
|
|
|
|
|
|
520 |
|
|
|
522,576 |
|
| 7.750% |
|
|
09/01/22 |
|
|
|
|
|
|
|
930 |
|
|
|
969,511 |
|
| 8.994% |
|
|
02/01/24 |
|
|
|
|
|
|
|
200 |
|
|
|
215,051 |
|
| 9.750% |
|
|
11/01/28 |
|
|
|
|
|
|
|
400 |
|
|
|
457,203 |
|
| Uruguay Government International Bond (Uruguay), |
|
| Sr. Unsec’d. Notes |
|
| 4.975% |
|
|
04/20/55 |
(a) |
|
|
|
|
|
|
500 |
|
|
|
640,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SOVEREIGN BONDS
(cost $87,066,266) |
|
|
|
88,345,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4% |
|
| Federal Home Loan Mortgage Corp. |
|
| 3.500% |
|
|
02/01/47 |
|
|
|
|
|
|
|
1,601 |
|
|
|
1,722,643 |
|
| 5.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
507 |
|
|
|
587,110 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A55
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 5.500% |
|
|
06/01/34 |
|
|
|
|
|
|
|
6 |
|
|
$ |
6,909 |
|
| 6.000% |
|
|
11/01/33 |
|
|
|
|
|
|
|
136 |
|
|
|
154,233 |
|
| 6.000% |
|
|
05/01/34 |
|
|
|
|
|
|
|
53 |
|
|
|
59,150 |
|
| 6.000% |
|
|
06/01/34 |
|
|
|
|
|
|
|
94 |
|
|
|
104,460 |
|
| 6.250% |
|
|
07/15/32 |
(k) |
|
|
|
|
|
|
830 |
|
|
|
1,303,923 |
|
| 6.500% |
|
|
07/01/32 |
|
|
|
|
|
|
|
17 |
|
|
|
18,729 |
|
| 6.500% |
|
|
07/01/32 |
|
|
|
|
|
|
|
20 |
|
|
|
22,129 |
|
| 6.500% |
|
|
08/01/32 |
|
|
|
|
|
|
|
36 |
|
|
|
40,367 |
|
| 6.500% |
|
|
08/01/32 |
|
|
|
|
|
|
|
39 |
|
|
|
44,053 |
|
| 6.500% |
|
|
08/01/32 |
|
|
|
|
|
|
|
40 |
|
|
|
45,872 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
33 |
|
|
|
37,986 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
99 |
|
|
|
114,511 |
|
| 6.750% |
|
|
09/15/29 |
(k) |
|
|
|
|
|
|
525 |
|
|
|
790,106 |
|
| 6.750% |
|
|
03/15/31 |
(k) |
|
|
|
|
|
|
600 |
|
|
|
943,468 |
|
| Federal National Mortgage Assoc. |
|
| 4.500% |
|
|
08/01/40 |
|
|
|
|
|
|
|
1,829 |
|
|
|
2,034,738 |
|
| 5.500% |
|
|
02/01/33 |
|
|
|
|
|
|
|
15 |
|
|
|
16,954 |
|
| 5.500% |
|
|
02/01/33 |
|
|
|
|
|
|
|
20 |
|
|
|
23,096 |
|
| 5.500% |
|
|
03/01/33 |
|
|
|
|
|
|
|
21 |
|
|
|
24,089 |
|
| 5.500% |
|
|
03/01/33 |
|
|
|
|
|
|
|
38 |
|
|
|
43,097 |
|
| 5.500% |
|
|
03/01/33 |
|
|
|
|
|
|
|
44 |
|
|
|
49,959 |
|
| 5.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
5 |
|
|
|
5,893 |
|
| 5.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
26 |
|
|
|
30,121 |
|
| 5.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
29 |
|
|
|
33,022 |
|
| 5.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
30 |
|
|
|
34,406 |
|
| 5.500% |
|
|
07/01/33 |
|
|
|
|
|
|
|
26 |
|
|
|
28,613 |
|
| 5.500% |
|
|
07/01/33 |
|
|
|
|
|
|
|
30 |
|
|
|
34,664 |
|
| 5.500% |
|
|
08/01/33 |
|
|
|
|
|
|
|
15 |
|
|
|
17,270 |
|
| 5.500% |
|
|
02/01/34 |
|
|
|
|
|
|
|
26 |
|
|
|
29,942 |
|
| 5.500% |
|
|
04/01/34 |
|
|
|
|
|
|
|
26 |
|
|
|
29,416 |
|
| 5.500% |
|
|
06/01/34 |
|
|
|
|
|
|
|
37 |
|
|
|
41,716 |
|
| 6.000% |
|
|
10/01/33 |
|
|
|
|
|
|
|
3 |
|
|
|
2,788 |
|
| 6.000% |
|
|
10/01/33 |
|
|
|
|
|
|
|
198 |
|
|
|
224,433 |
|
| 6.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
56 |
|
|
|
62,674 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
177 |
|
|
|
206,817 |
|
| 6.000% |
|
|
11/01/36 |
|
|
|
|
|
|
|
51 |
|
|
|
59,155 |
|
| 6.250% |
|
|
05/15/29 |
|
|
|
|
|
|
|
535 |
|
|
|
774,947 |
|
| 6.500% |
|
|
08/01/32 |
|
|
|
|
|
|
|
97 |
|
|
|
109,138 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
99 |
|
|
|
114,034 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
145 |
|
|
|
172,786 |
|
| 6.500% |
|
|
10/01/32 |
|
|
|
|
|
|
|
77 |
|
|
|
88,763 |
|
| 6.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
133 |
|
|
|
153,883 |
|
| 6.500% |
|
|
11/01/33 |
|
|
|
|
|
|
|
3 |
|
|
|
3,571 |
|
| 6.625% |
|
|
11/15/30 |
(k) |
|
|
|
|
|
|
530 |
|
|
|
819,785 |
|
| 7.000% |
|
|
05/01/32 |
|
|
|
|
|
|
|
56 |
|
|
|
60,027 |
|
| 7.000% |
|
|
06/01/32 |
|
|
|
|
|
|
|
7 |
|
|
|
8,775 |
|
| 7.125% |
|
|
01/15/30 |
|
|
|
|
|
|
|
785 |
|
|
|
1,223,462 |
|
| Government National Mortgage Assoc. |
|
| 3.500% |
|
|
01/20/48 |
|
|
|
|
|
|
|
404 |
|
|
|
429,729 |
|
| 4.000% |
|
|
02/20/49 |
|
|
|
|
|
|
|
1,009 |
|
|
|
1,071,431 |
|
| 5.500% |
|
|
01/15/33 |
|
|
|
|
|
|
|
59 |
|
|
|
68,886 |
|
| 5.500% |
|
|
02/15/33 |
|
|
|
|
|
|
|
41 |
|
|
|
48,161 |
|
| 5.500% |
|
|
05/15/33 |
|
|
|
|
|
|
|
121 |
|
|
|
133,085 |
|
| 5.500% |
|
|
05/15/33 |
|
|
|
|
|
|
|
177 |
|
|
|
195,096 |
|
| 5.500% |
|
|
06/15/33 |
|
|
|
|
|
|
|
186 |
|
|
|
210,106 |
|
| 5.500% |
|
|
09/15/33 |
|
|
|
|
|
|
|
87 |
|
|
|
97,200 |
|
| 5.500% |
|
|
07/15/35 |
|
|
|
|
|
|
|
57 |
|
|
|
66,006 |
|
| 6.000% |
|
|
12/15/32 |
|
|
|
|
|
|
|
111 |
|
|
|
131,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 6.000% |
|
|
11/15/33 |
|
|
|
|
|
|
|
56 |
|
|
$ |
66,328 |
|
| 6.000% |
|
|
01/15/34 |
|
|
|
|
|
|
|
11 |
|
|
|
12,953 |
|
| 6.000% |
|
|
06/20/34 |
|
|
|
|
|
|
|
302 |
|
|
|
349,213 |
|
| 6.000% |
|
|
11/15/34 |
|
|
|
|
|
|
|
462 |
|
|
|
550,823 |
|
| 6.500% |
|
|
09/15/32 |
|
|
|
|
|
|
|
34 |
|
|
|
37,718 |
|
| 6.500% |
|
|
09/15/32 |
|
|
|
|
|
|
|
139 |
|
|
|
156,729 |
|
| 6.500% |
|
|
09/15/32 |
|
|
|
|
|
|
|
210 |
|
|
|
244,149 |
|
| 6.500% |
|
|
11/15/33 |
|
|
|
|
|
|
|
134 |
|
|
|
154,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $15,280,827) |
|
|
|
16,581,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 7.6% |
|
| U.S. Treasury Bonds |
|
| 2.000% |
|
|
02/15/50 |
(a) |
|
|
|
|
|
|
2,260 |
|
|
|
2,586,641 |
|
| 2.500% |
|
|
05/15/46 |
(k) |
|
|
|
|
|
|
965 |
|
|
|
1,196,449 |
|
| 2.875% |
|
|
05/15/43 |
(a) |
|
|
|
|
|
|
6,420 |
|
|
|
8,382,112 |
|
| 3.000% |
|
|
11/15/44 |
(a) |
|
|
|
|
|
|
2,360 |
|
|
|
3,158,712 |
|
| 3.000% |
|
|
05/15/45 |
(k) |
|
|
|
|
|
|
10,715 |
|
|
|
14,381,539 |
|
| 3.000% |
|
|
02/15/48 |
(k) |
|
|
|
|
|
|
270 |
|
|
|
369,394 |
|
| 3.125% |
|
|
02/15/43 |
(k) |
|
|
|
|
|
|
11,050 |
|
|
|
14,976,203 |
|
| 3.375% |
|
|
05/15/44 |
(a) |
|
|
|
|
|
|
2,160 |
|
|
|
3,054,037 |
|
| 3.625% |
|
|
08/15/43 |
(h) |
|
|
|
|
|
|
10,950 |
|
|
|
15,988,711 |
|
| 3.625% |
|
|
02/15/44 |
(a) |
|
|
|
|
|
|
2,295 |
|
|
|
3,358,589 |
|
| 3.750% |
|
|
11/15/43 |
(a) |
|
|
|
|
|
|
4,395 |
|
|
|
6,539,623 |
|
| U.S. Treasury Notes |
|
| 1.125% |
|
|
02/28/22 |
(a) |
|
|
|
|
|
|
230 |
|
|
|
233,684 |
|
| 1.500% |
|
|
10/31/21 |
|
|
|
|
|
|
|
210 |
|
|
|
213,716 |
|
| 2.375% |
|
|
08/15/24 |
|
|
|
|
|
|
|
1,780 |
|
|
|
1,935,889 |
|
| U.S. Treasury Principal Strips |
|
| 2.049%(s) |
|
|
11/15/44 |
|
|
|
|
|
|
|
3,650 |
|
|
|
2,551,150 |
|
| U.S. Treasury Strips Coupon |
|
| 1.434%(s) |
|
|
11/15/41 |
|
|
|
|
|
|
|
1,100 |
|
|
|
813,141 |
|
| 1.450%(s) |
|
|
08/15/42 |
|
|
|
|
|
|
|
285 |
|
|
|
207,037 |
|
| 2.056%(s) |
|
|
11/15/38 |
(k) |
|
|
|
|
|
|
1,690 |
|
|
|
1,337,609 |
|
| 2.058%(s) |
|
|
02/15/39 |
|
|
|
|
|
|
|
1,725 |
|
|
|
1,356,753 |
|
| 2.169%(s) |
|
|
05/15/39 |
(h)(k) |
|
|
|
|
|
|
4,925 |
|
|
|
3,860,354 |
|
| 2.394%(s) |
|
|
11/15/43 |
(a) |
|
|
|
|
|
|
3,019 |
|
|
|
2,120,965 |
|
| 2.762%(s) |
|
|
08/15/29 |
(k) |
|
|
|
|
|
|
1,200 |
|
|
|
1,121,766 |
|
| 2.857%(s) |
|
|
05/15/31 |
(k) |
|
|
|
|
|
|
940 |
|
|
|
854,409 |
|
| 3.019%(s) |
|
|
11/15/35 |
(k) |
|
|
|
|
|
|
1,665 |
|
|
|
1,404,323 |
|
| 3.176%(s) |
|
|
08/15/40 |
(k) |
|
|
|
|
|
|
2,400 |
|
|
|
1,825,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. TREASURY OBLIGATIONS
(cost $85,789,220) |
|
|
|
93,828,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
| PREFERRED STOCKS — 0.2% |
|
| Banks — 0.1% |
|
|
|
|
|
| Citigroup Capital XIII, 7.130% |
|
|
|
45,000 |
|
|
|
1,192,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 0.1% |
|
|
|
|
|
| State Street Corp. 5.350%, Series G |
|
|
|
35,000 |
|
|
|
917,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCKS
(cost $2,000,000) |
|
|
|
2,109,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $1,175,780,791) |
|
|
|
1,216,952,698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A56
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| SHORT-TERM INVESTMENTS — 6.8% |
|
|
| AFFILIATED MUTUAL FUNDS — 6.7% |
|
| PGIM Core Ultra Short Bond
Fund(w) |
|
|
3,158,241 |
|
|
$ |
3,158,241 |
|
| PGIM Institutional Money Market Fund (cost $79,245,865; includes $79,218,409 of cash collateral for
securities on loan)(b)(w) |
|
|
79,278,308 |
|
|
|
79,278,308 |
|
|
|
|
|
|
|
|
|
|
| TOTAL AFFILIATED MUTUAL FUNDS
(cost $82,404,106) |
|
|
|
82,436,549 |
|
|
|
|
|
|
|
|
|
|
| OPTIONS PURCHASED*~ — 0.1%
(cost
$17,284) |
|
|
|
914,820 |
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(cost $82,421,390) |
|
|
|
83,351,369 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS — 105.9%
(cost $1,258,202,181) |
|
|
|
|
|
|
1,300,304,067 |
|
| Liabilities in excess of other assets(z) — (5.9)% |
|
|
|
(71,973,017 |
) |
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
1,228,331,050 |
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $16,271,330 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 $77,613,485; cash collateral of $79,218,409 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the
last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.
|
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.
|
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
|
| (d) |
Represents issuer in default on interest payments and/or principal repayment.
Non-income producing security. Such securities may be post-maturity. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified
date. Rate shown is the rate in effect as of period end. |
| (h) |
Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.
|
| (p) |
Interest rate not available as of June 30, 2020. |
| (r) |
Principal or notional amount is less than $500 par. |
| (rr) |
Perpetual security with no stated maturity date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.
|
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the
Schedule of Investments: |
Options Purchased:
OTC Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Counterparty |
|
Expiration
Date |
|
|
Strike |
|
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
07/12/21 |
|
|
|
0.11 |
% |
|
|
— |
|
|
|
3,026 |
|
|
$ |
67,529 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
08/16/21 |
|
|
|
0.15 |
% |
|
|
— |
|
|
|
7,356 |
|
|
|
155,419 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
08/20/21 |
|
|
|
0.15 |
% |
|
|
— |
|
|
|
14,601 |
|
|
|
309,117 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
09/13/21 |
|
|
|
0.14 |
% |
|
|
— |
|
|
|
14,800 |
|
|
|
324,107 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
11/09/21 |
|
|
|
0.21 |
% |
|
|
— |
|
|
|
2,942 |
|
|
|
58,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Options Purchased (cost $ 17,284) |
|
|
|
|
|
|
$ |
914,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A57
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts |
|
|
Type |
|
Expiration
Date |
|
|
Current
Notional
Amount |
|
|
Value /
Unrealized
Appreciation
(Depreciation) |
|
| |
Long Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
528 |
|
|
5 Year U.S. Treasury Notes |
|
|
Sep. 2020 |
|
|
$ |
66,391,876 |
|
|
$ |
120,210 |
|
| |
169 |
|
|
10 Year U.S. Ultra Treasury Notes |
|
|
Sep. 2020 |
|
|
|
26,614,860 |
|
|
|
121,810 |
|
| |
490 |
|
|
30 Year U.S. Ultra Treasury Bonds |
|
|
Sep. 2020 |
|
|
|
106,896,563 |
|
|
|
121,329 |
|
| |
30 |
|
|
Euro Schatz Index |
|
|
Sep. 2020 |
|
|
|
3,779,679 |
|
|
|
3,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Short Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
2,283 |
|
|
2 Year U.S. Treasury Notes |
|
|
Sep. 2020 |
|
|
|
504,150,612 |
|
|
|
(119,843 |
) |
| |
13 |
|
|
5 Year Euro-Bobl |
|
|
Sep. 2020 |
|
|
|
1,971,450 |
|
|
|
(16,077 |
) |
| |
64 |
|
|
10 Year Euro-Bund |
|
|
Sep. 2020 |
|
|
|
12,692,494 |
|
|
|
(131,810 |
) |
| |
185 |
|
|
10 Year U.S. Treasury Notes |
|
|
Sep. 2020 |
|
|
|
25,746,798 |
|
|
|
(20,403 |
) |
| |
43 |
|
|
20 Year U.S. Treasury Bonds |
|
|
Sep. 2020 |
|
|
|
7,678,188 |
|
|
|
(56,302 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(344,435 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
22,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchase Contracts |
|
Counterparty |
|
|
Notional
Amount
(000) |
|
|
Value at
Settlement
Date |
|
|
Current
Value |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Forward Foreign Currency Exchange Contracts: |
|
| British Pound, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
|
Citibank, N.A. |
|
|
|
GBP |
|
|
|
5,305 |
|
|
$ |
6,623,293 |
|
|
$ |
6,573,502 |
|
|
$ |
— |
|
|
$ |
(49,791 |
) |
| Euro, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
|
Bank of America, N.A. |
|
|
|
EUR |
|
|
|
40,220 |
|
|
|
45,375,107 |
|
|
|
45,189,518 |
|
|
|
— |
|
|
|
(185,589 |
) |
| Expiring 07/02/20 |
|
|
Citibank, N.A. |
|
|
|
EUR |
|
|
|
329 |
|
|
|
370,000 |
|
|
|
369,484 |
|
|
|
— |
|
|
|
(516 |
) |
| Expiring 07/02/20 |
|
|
Citibank, N.A. |
|
|
|
EUR |
|
|
|
215 |
|
|
|
245,000 |
|
|
|
241,766 |
|
|
|
— |
|
|
|
(3,234 |
) |
| Expiring 07/02/20 |
|
|
JPMorgan Chase Bank, N.A. |
|
|
|
EUR |
|
|
|
264 |
|
|
|
299,408 |
|
|
|
296,191 |
|
|
|
— |
|
|
|
(3,217 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
52,912,808 |
|
|
$ |
52,670,461 |
|
|
|
— |
|
|
|
(242,347 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sale Contracts |
|
Counterparty |
|
Notional
Amount
(000) |
|
|
Value at
Settlement
Date |
|
|
Current
Value |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Forward Foreign Currency Exchange Contracts: |
|
| Australian Dollar, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/20/20 |
|
HSBC Bank USA, N.A. |
|
|
AUD |
|
|
|
559 |
|
|
$ |
357,957 |
|
|
$ |
386,062 |
|
|
$ |
— |
|
|
$ |
(28,105 |
) |
| British Pound, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
Barclays Bank PLC |
|
|
GBP |
|
|
|
5,305 |
|
|
|
6,459,103 |
|
|
|
6,573,502 |
|
|
|
— |
|
|
|
(114,399 |
) |
| Expiring 08/04/20 |
|
Citibank, N.A. |
|
|
GBP |
|
|
|
5,305 |
|
|
|
6,624,465 |
|
|
|
6,574,935 |
|
|
|
49,530 |
|
|
|
— |
|
| Expiring 08/04/20 |
|
JPMorgan Chase Bank, N.A. |
|
|
GBP |
|
|
|
409 |
|
|
|
505,066 |
|
|
|
506,519 |
|
|
|
— |
|
|
|
(1,453 |
) |
| Euro, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
Citibank, N.A. |
|
|
EUR |
|
|
|
1,229 |
|
|
|
1,350,000 |
|
|
|
1,381,388 |
|
|
|
— |
|
|
|
(31,388 |
) |
| Expiring 07/02/20 |
|
Goldman Sachs International |
|
|
EUR |
|
|
|
932 |
|
|
|
1,057,627 |
|
|
|
1,046,973 |
|
|
|
10,654 |
|
|
|
— |
|
| Expiring 07/02/20 |
|
JPMorgan Chase Bank, N.A. |
|
|
EUR |
|
|
|
37,749 |
|
|
|
41,205,299 |
|
|
|
42,412,727 |
|
|
|
— |
|
|
|
(1,207,428 |
) |
| Expiring 07/02/20 |
|
UBS AG |
|
|
EUR |
|
|
|
1,118 |
|
|
|
1,263,809 |
|
|
|
1,255,870 |
|
|
|
7,939 |
|
|
|
— |
|
| Expiring 08/04/20 |
|
Bank of America, N.A. |
|
|
EUR |
|
|
|
40,220 |
|
|
|
45,408,007 |
|
|
|
45,222,890 |
|
|
|
185,117 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
104,231,333 |
|
|
$ |
105,360,866 |
|
|
|
253,240 |
|
|
|
(1,382,773 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
253,240 |
|
|
$ |
(1,625,120 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A58
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
Counterparty |
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy
Protection(1): |
| Kingdom of Spain |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
2,100 |
|
|
$ |
(37,894 |
) |
|
$ |
(36,459 |
) |
|
$ |
(1,435 |
) |
|
Bank of America, N.A. |
| United Mexican States |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
665 |
|
|
|
562 |
|
|
|
2,903 |
|
|
|
(2,341 |
) |
|
Citibank, N.A. |
| United Mexican States |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
655 |
|
|
|
553 |
|
|
|
7,246 |
|
|
|
(6,693 |
) |
|
Citibank, N.A. |
| United Mexican States |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
220 |
|
|
|
185 |
|
|
|
2,725 |
|
|
|
(2,540 |
) |
|
Citibank, N.A. |
| United Mexican States |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
220 |
|
|
|
185 |
|
|
|
2,502 |
|
|
|
(2,317 |
) |
|
Citibank, N.A. |
| United Mexican States |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
215 |
|
|
|
182 |
|
|
|
883 |
|
|
|
(701 |
) |
|
Citibank, N.A. |
| United Mexican States |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
115 |
|
|
|
97 |
|
|
|
502 |
|
|
|
(405 |
) |
|
Citibank, N.A. |
| United Mexican States |
|
|
12/20/24 |
|
|
|
1.000%(Q) |
|
|
|
160 |
|
|
|
2,936 |
|
|
|
1,008 |
|
|
|
1,928 |
|
|
Citibank, N.A. |
| United Mexican States |
|
|
12/20/24 |
|
|
|
1.000%(Q) |
|
|
|
130 |
|
|
|
2,386 |
|
|
|
981 |
|
|
|
1,405 |
|
|
Citibank, N.A. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(30,808 |
) |
|
$ |
(17,709 |
) |
|
$ |
(13,099 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
Counterparty |
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell
Protection(2): |
|
|
|
|
|
|
|
| Boeing Co. |
|
|
12/20/21 |
|
|
|
1.000%(Q) |
|
|
|
3,700 |
|
|
|
2.453 |
% |
|
$ |
(76,577 |
) |
|
$ |
29,607 |
|
|
$ |
(106,184 |
) |
|
Bank of America, N.A. |
| Hellenic Republic |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
660 |
|
|
|
1.001 |
% |
|
|
142 |
|
|
|
(45,296 |
) |
|
|
45,438 |
|
|
Citibank, N.A. |
| Hellenic Republic |
|
|
06/20/24 |
|
|
|
1.000%(Q) |
|
|
|
500 |
|
|
|
1.239 |
% |
|
|
(4,516 |
) |
|
|
(82,041 |
) |
|
|
77,525 |
|
|
Barclays Bank PLC |
| Hellenic Republic |
|
|
12/20/25 |
|
|
|
1.000%(Q) |
|
|
|
1,280 |
|
|
|
1.552 |
% |
|
|
(36,548 |
) |
|
|
(188,321 |
) |
|
|
151,773 |
|
|
Bank of America, N.A. |
| Kingdom of Saudi Arabia |
|
|
06/20/24 |
|
|
|
1.000%(Q) |
|
|
|
405 |
|
|
|
0.889 |
% |
|
|
1,874 |
|
|
|
1,493 |
|
|
|
381 |
|
|
Morgan Stanley & Co. International PLC |
| Kingdom of Spain |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
2,100 |
|
|
|
0.570 |
% |
|
|
27,309 |
|
|
|
22,320 |
|
|
|
4,989 |
|
|
Bank of America, N.A. |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
2,205 |
|
|
|
5.232 |
% |
|
|
(253,303 |
) |
|
|
(44,179 |
) |
|
|
(209,124 |
) |
|
Credit Suisse International |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
550 |
|
|
|
5.232 |
% |
|
|
(63,182 |
) |
|
|
(21,333 |
) |
|
|
(41,849 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
545 |
|
|
|
5.232 |
% |
|
|
(62,608 |
) |
|
|
(25,375 |
) |
|
|
(37,233 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
185 |
|
|
|
5.232 |
% |
|
|
(21,252 |
) |
|
|
(8,827 |
) |
|
|
(12,425 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
185 |
|
|
|
5.232 |
% |
|
|
(21,252 |
) |
|
|
(8,667 |
) |
|
|
(12,585 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
180 |
|
|
|
5.232 |
% |
|
|
(20,678 |
) |
|
|
(7,015 |
) |
|
|
(13,663 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
06/20/23 |
|
|
|
1.000%(Q) |
|
|
|
90 |
|
|
|
5.232 |
% |
|
|
(10,339 |
) |
|
|
(3,489 |
) |
|
|
(6,850 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
12/20/24 |
|
|
|
1.000%(Q) |
|
|
|
160 |
|
|
|
5.566 |
% |
|
|
(28,199 |
) |
|
|
(13,506 |
) |
|
|
(14,693 |
) |
|
Citibank, N.A. |
| Petroleos Mexicanos |
|
|
12/20/24 |
|
|
|
1.000%(Q) |
|
|
|
130 |
|
|
|
5.566 |
% |
|
|
(22,912 |
) |
|
|
(11,103 |
) |
|
|
(11,809 |
) |
|
Citibank, N.A. |
| State of Illinois |
|
|
06/20/24 |
|
|
|
1.000%(Q) |
|
|
|
580 |
|
|
|
2.854 |
% |
|
|
(37,223 |
) |
|
|
(5,839 |
) |
|
|
(31,384 |
) |
|
Citibank, N.A. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(629,264 |
) |
|
$ |
(411,571 |
) |
|
$ |
(217,693 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Centrally Cleared Credit Default Swap Agreement on credit indices - Buy
Protection(1): |
|
| CDX.NA.IG.33.V1 |
|
|
12/20/29 |
|
|
|
1.000%(Q) |
|
|
|
42,125 |
|
|
$ |
(298,366 |
) |
|
$ |
258,732 |
|
|
$ |
557,098 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Centrally Cleared Credit Default Swap Agreements on credit indices - Sell
Protection(2): |
|
| CDX.NA.HY.34.V6 |
|
|
06/20/25 |
|
|
|
5.000%(Q) |
|
|
|
|
|
|
|
84,821 |
|
|
|
5.157 |
% |
|
$ |
142,076 |
|
|
$ |
(447,264 |
) |
|
$ |
(589,340 |
) |
| iTraxx.EUR.33.V1 |
|
|
06/20/25 |
|
|
|
1.000%(Q) |
|
|
|
EUR |
|
|
|
69,500 |
|
|
|
0.664 |
% |
|
|
562,895 |
|
|
|
1,323,619 |
|
|
|
760,724 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
704,971 |
|
|
$ |
876,355 |
|
|
$ |
171,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A59
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020 (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
Counterparty |
| OTC Credit Default Swap Agreement on credit indices - Buy Protection(1): |
| CMBX.NA.10.AAA |
|
|
11/17/59 |
|
|
|
0.500% |
(M) |
|
|
6,000 |
|
|
$ |
(44,808 |
) |
|
$ |
66,785 |
|
|
$ |
(111,593 |
) |
|
Deutsche Bank AG |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Notional
Amount
(000)#(3) |
|
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
Counterparty |
| OTC Credit Default Swap Agreements on credit indices - Sell Protection(2): |
| CDX.BEIJING 1Y 30% - 100%^ |
|
|
12/20/20 |
|
|
|
0.000% |
|
|
|
8,880 |
|
|
|
* |
|
|
$ |
(2,778 |
) |
|
$ |
(2,437 |
) |
|
$ |
(341 |
) |
|
Citibank, N.A. |
| CMBX.NA.6.AA |
|
|
05/11/63 |
|
|
|
1.500% |
(M) |
|
|
650 |
|
|
|
* |
|
|
|
(9,417 |
) |
|
|
(2,301 |
) |
|
|
(7,116 |
) |
|
Deutsche Bank AG |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(12,195 |
) |
|
$ |
(4,738 |
) |
|
$ |
(7,457 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an
active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to
pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (1) |
If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms
of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the
referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (2) |
If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the
terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the
referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (3) |
Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap
agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied
credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent
a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| * |
When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit
indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit
derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced
entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
(000)# |
|
|
Termination
Date |
|
|
Fixed
Rate |
|
Floating
Rate |
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
Centrally Cleared Interest Rate Swap Agreements: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
AUD |
|
|
|
6,000 |
|
|
|
02/13/30 |
|
|
1.210%(S) |
|
6 Month BBSW(2)(S) |
|
$ |
(27 |
) |
|
$ |
142,180 |
|
|
$ |
142,207 |
|
| |
BRL |
|
|
|
12,664 |
|
|
|
01/02/25 |
|
|
5.903%(T) |
|
1 Day BROIS(2)(T) |
|
|
— |
|
|
|
70,399 |
|
|
|
70,399 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A60
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
(000)# |
|
|
Termination
Date |
|
|
Fixed
Rate |
|
Floating
Rate |
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
Centrally Cleared Interest Rate Swap Agreements (cont’d.): |
|
| |
BRL |
|
|
|
6,276 |
|
|
|
01/02/25 |
|
|
6.640%(T) |
|
1 Day BROIS(2)(T) |
|
$ |
— |
|
|
$ |
83,624 |
|
|
$ |
83,624 |
|
| |
BRL |
|
|
|
7,043 |
|
|
|
01/02/25 |
|
|
6.670%(T) |
|
1 Day BROIS(2)(T) |
|
|
— |
|
|
|
96,389 |
|
|
|
96,389 |
|
| |
BRL |
|
|
|
18,662 |
|
|
|
01/02/25 |
|
|
6.670%(T) |
|
1 Day BROIS(2)(T) |
|
|
— |
|
|
|
254,280 |
|
|
|
254,280 |
|
| |
CNH |
|
|
|
16,230 |
|
|
|
06/14/24 |
|
|
2.900%(Q) |
|
7 Day China Fixing Repo Rates(2)(Q) |
|
|
46 |
|
|
|
54,518 |
|
|
|
54,472 |
|
| |
CNH |
|
|
|
46,000 |
|
|
|
06/28/24 |
|
|
2.901%(Q) |
|
7 Day China Fixing Repo Rates(2)(Q) |
|
|
— |
|
|
|
153,533 |
|
|
|
153,533 |
|
| |
CNH |
|
|
|
16,400 |
|
|
|
09/19/24 |
|
|
2.940%(Q) |
|
7 Day China Fixing Repo Rates(2)(Q) |
|
|
(13 |
) |
|
|
60,431 |
|
|
|
60,444 |
|
| |
CNH |
|
|
|
15,700 |
|
|
|
10/10/24 |
|
|
2.860%(Q) |
|
7 Day China Fixing Repo Rates(2)(Q) |
|
|
(8 |
) |
|
|
56,226 |
|
|
|
56,234 |
|
| |
COP |
|
|
|
3,909,000 |
|
|
|
02/18/25 |
|
|
4.505%(Q) |
|
1 Day COOIS(2)(Q) |
|
|
— |
|
|
|
64,380 |
|
|
|
64,380 |
|
| |
COP |
|
|
|
6,724,755 |
|
|
|
02/21/25 |
|
|
4.565%(Q) |
|
1 Day COOIS(2)(Q) |
|
|
— |
|
|
|
115,453 |
|
|
|
115,453 |
|
| |
COP |
|
|
|
2,761,000 |
|
|
|
02/18/30 |
|
|
5.072%(Q) |
|
1 Day COOIS(2)(Q) |
|
|
— |
|
|
|
42,211 |
|
|
|
42,211 |
|
| |
COP |
|
|
|
1,932,000 |
|
|
|
02/18/30 |
|
|
5.081%(Q) |
|
1 Day COOIS(2)(Q) |
|
|
— |
|
|
|
31,313 |
|
|
|
31,313 |
|
| |
COP |
|
|
|
4,156,000 |
|
|
|
02/24/30 |
|
|
5.078%(Q) |
|
1 Day COOIS(2)(Q) |
|
|
— |
|
|
|
66,529 |
|
|
|
66,529 |
|
| |
EUR |
|
|
|
7,065 |
|
|
|
05/11/21 |
|
|
(0.300)%(A) |
|
1 Day EONIA(1)(A) |
|
|
(6,014 |
) |
|
|
(15,713 |
) |
|
|
(9,699 |
) |
| |
EUR |
|
|
|
8,125 |
|
|
|
05/11/22 |
|
|
(0.250)%(A) |
|
1 Day EONIA(1)(A) |
|
|
(5,161 |
) |
|
|
(51,418 |
) |
|
|
(46,257 |
) |
| |
EUR |
|
|
|
4,650 |
|
|
|
05/11/23 |
|
|
(0.100)%(A) |
|
1 Day EONIA(1)(A) |
|
|
(26,137 |
) |
|
|
(69,727 |
) |
|
|
(43,590 |
) |
| |
EUR |
|
|
|
3,980 |
|
|
|
05/11/24 |
|
|
0.050%(A) |
|
1 Day EONIA(1)(A) |
|
|
(61,623 |
) |
|
|
(105,535 |
) |
|
|
(43,912 |
) |
| |
EUR |
|
|
|
2,110 |
|
|
|
05/11/25 |
|
|
0.100%(A) |
|
1 Day EONIA(1)(A) |
|
|
(12,404 |
) |
|
|
(73,839 |
) |
|
|
(61,435 |
) |
| |
EUR |
|
|
|
3,815 |
|
|
|
05/11/26 |
|
|
0.250%(A) |
|
1 Day EONIA(1)(A) |
|
|
(62,921 |
) |
|
|
(192,830 |
) |
|
|
(129,909 |
) |
| |
EUR |
|
|
|
1,240 |
|
|
|
05/11/36 |
|
|
0.950%(A) |
|
1 Day EONIA(1)(A) |
|
|
(23,480 |
) |
|
|
(243,897 |
) |
|
|
(220,417 |
) |
| |
GBP |
|
|
|
977 |
|
|
|
10/22/28 |
|
|
0.680%(A) |
|
1 Day SONIA(1)(A) |
|
|
— |
|
|
|
(63,006 |
) |
|
|
(63,006 |
) |
| |
GBP |
|
|
|
2,100 |
|
|
|
05/08/30 |
|
|
1.100%(A) |
|
1 Day SONIA(1)(A) |
|
|
(145,549 |
) |
|
|
(257,321 |
) |
|
|
(111,772 |
) |
| |
GBP |
|
|
|
230 |
|
|
|
05/08/34 |
|
|
1.200%(A) |
|
1 Day SONIA(1)(A) |
|
|
(9,088 |
) |
|
|
(40,965 |
) |
|
|
(31,877 |
) |
| |
HUF |
|
|
|
99,000 |
|
|
|
02/13/30 |
|
|
1.595%(A) |
|
6 Month BUBOR(2)(S) |
|
|
— |
|
|
|
10,805 |
|
|
|
10,805 |
|
| |
HUF |
|
|
|
1,548,000 |
|
|
|
02/14/30 |
|
|
1.605%(A) |
|
6 Month BUBOR(2)(S) |
|
|
— |
|
|
|
172,792 |
|
|
|
172,792 |
|
| |
HUF |
|
|
|
432,000 |
|
|
|
02/18/30 |
|
|
1.803%(A) |
|
6 Month BUBOR(2)(S) |
|
|
— |
|
|
|
73,973 |
|
|
|
73,973 |
|
| |
JPY |
|
|
|
2,215,030 |
|
|
|
12/17/20 |
|
|
0.015%(S) |
|
6 Month JPY LIBOR(1)(S) |
|
|
— |
|
|
|
(2,772 |
) |
|
|
(2,772 |
) |
| |
NZD |
|
|
|
2,100 |
|
|
|
02/14/30 |
|
|
1.523%(S) |
|
3 Month BBR(2)(Q) |
|
|
— |
|
|
|
111,756 |
|
|
|
111,756 |
|
|
|
|
|
|
31,050 |
|
|
|
03/16/21 |
|
|
0.109%(T) |
|
1 Day USOIS(1)(T) |
|
|
— |
|
|
|
(1,765 |
) |
|
|
(1,765 |
) |
|
|
|
|
|
62,337 |
|
|
|
06/15/21 |
|
|
1.830%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
— |
|
|
|
974,477 |
|
|
|
974,477 |
|
|
|
|
|
|
65,004 |
|
|
|
09/15/21 |
|
|
1.381%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
(65,642 |
) |
|
|
1,143,193 |
|
|
|
1,208,835 |
|
|
|
|
|
|
53,393 |
|
|
|
09/15/21 |
|
|
1.480%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
29,906 |
|
|
|
1,018,142 |
|
|
|
988,236 |
|
|
|
|
|
|
62,856 |
|
|
|
09/15/21 |
|
|
1.604%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
153,816 |
|
|
|
1,315,866 |
|
|
|
1,162,050 |
|
|
|
|
|
|
31,850 |
|
|
|
03/10/22 |
|
|
0.330%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(195,813 |
) |
|
|
(195,813 |
) |
|
|
|
|
|
5,260 |
|
|
|
05/31/22 |
|
|
2.353%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(247,711 |
) |
|
|
(247,711 |
) |
|
|
|
|
|
4,490 |
|
|
|
09/27/22 |
|
|
2.360%(A) |
|
1 Day USOIS(1)(A) |
|
|
53 |
|
|
|
(287,944 |
) |
|
|
(287,997 |
) |
|
|
|
|
|
3,100 |
|
|
|
02/14/30 |
|
|
1.382%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(312,666 |
) |
|
|
(312,666 |
) |
|
|
|
|
|
3,792 |
|
|
|
11/15/45 |
|
|
0.508%(A) |
|
1 Day USOIS(1)(A) |
|
|
19,334 |
|
|
|
149,119 |
|
|
|
129,785 |
|
|
|
|
|
|
869 |
|
|
|
11/15/45 |
|
|
0.553%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
24,782 |
|
|
|
24,782 |
|
|
|
|
|
|
515 |
|
|
|
11/15/45 |
|
|
1.044%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(45,819 |
) |
|
|
(45,819 |
) |
| |
ZAR |
|
|
|
27,400 |
|
|
|
02/11/30 |
|
|
7.481%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(1,229 |
) |
|
|
76,600 |
|
|
|
77,829 |
|
| |
ZAR |
|
|
|
36,800 |
|
|
|
02/28/30 |
|
|
7.500%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(11,266 |
) |
|
|
103,570 |
|
|
|
114,836 |
|
| |
ZAR |
|
|
|
19,800 |
|
|
|
03/02/30 |
|
|
7.625%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
548 |
|
|
|
66,037 |
|
|
|
65,489 |
|
| |
ZAR |
|
|
|
22,200 |
|
|
|
03/12/30 |
|
|
7.840%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(205 |
) |
|
|
93,488 |
|
|
|
93,693 |
|
| |
ZAR |
|
|
|
14,700 |
|
|
|
03/12/30 |
|
|
7.900%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(141 |
) |
|
|
65,798 |
|
|
|
65,939 |
|
| |
ZAR |
|
|
|
58,300 |
|
|
|
03/18/30 |
|
|
10.650%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
— |
|
|
|
142,638 |
|
|
|
142,638 |
|
| |
ZAR |
|
|
|
6,400 |
|
|
|
03/27/30 |
|
|
9.150%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(135 |
) |
|
|
63,094 |
|
|
|
63,229 |
|
| |
ZAR |
|
|
|
12,600 |
|
|
|
04/01/30 |
|
|
8.600%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(56 |
) |
|
|
98,635 |
|
|
|
98,691 |
|
| |
ZAR |
|
|
|
29,700 |
|
|
|
04/03/30 |
|
|
9.300%(Q) |
|
3 Month JIBAR(2)(Q) |
|
|
(622 |
) |
|
|
326,374 |
|
|
|
326,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(228,018 |
) |
|
$ |
5,113,864 |
|
|
$ |
5,341,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Total return swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Financing
Rate |
|
Counterparty |
|
|
Termination
Date |
|
|
Long (Short)
Notional
Amount
(000)#(1) |
|
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation)(2) |
|
| OTC Total Return Swap Agreement: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| IOS.FN30.450.10(M) |
|
1 Month LIBOR(M) |
|
|
Credit Suisse International |
|
|
|
1/12/41 |
|
|
|
1,200 |
|
|
$ |
995 |
|
|
$ |
(3,451 |
) |
|
$ |
4,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes
payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate.
|
| (2) |
Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).
|
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Premiums Paid |
|
|
Premiums Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Swap Agreements |
|
$ |
138,955 |
|
|
$ |
(509,639 |
) |
|
$ |
287,885 |
|
|
$ |
(633,281 |
) |
| |
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives
are listed by broker as follows:
|
|
|
|
|
|
|
|
|
| Broker |
|
Cash and/or Foreign Currency |
|
|
Securities Market Value |
|
| Citigroup Global Markets, Inc. |
|
$ |
146,000 |
|
|
$ |
24,674,708 |
|
|
|
|
|
|
|
|
|
|
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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Automobiles |
|
$ |
— |
|
|
$ |
12,409,848 |
|
|
$ |
— |
|
| Collateralized Loan Obligations |
|
|
— |
|
|
|
213,547,719 |
|
|
|
— |
|
| Consumer Loans |
|
|
— |
|
|
|
19,035,566 |
|
|
|
— |
|
| Credit Cards |
|
|
— |
|
|
|
3,006,561 |
|
|
|
— |
|
| Home Equity Loans |
|
|
— |
|
|
|
2,779,069 |
|
|
|
— |
|
| Other |
|
|
— |
|
|
|
2,225,880 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
18,265,871 |
|
|
|
— |
|
| Student Loans |
|
|
— |
|
|
|
27,410,676 |
|
|
|
2,272,500 |
|
| Bank Loans |
|
|
— |
|
|
|
4,683,739 |
|
|
|
508,101 |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
171,547,755 |
|
|
|
— |
|
| Corporate Bonds |
|
|
— |
|
|
|
447,046,326 |
|
|
|
— |
|
| Municipal Bonds |
|
|
— |
|
|
|
23,388,099 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
54,466,033 |
|
|
|
13,493,507 |
|
| Sovereign Bonds |
|
|
— |
|
|
|
88,345,774 |
|
|
|
— |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
16,581,493 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
93,828,681 |
|
|
|
— |
|
| Preferred Stocks |
|
|
2,109,500 |
|
|
|
— |
|
|
|
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A62
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliated Mutual Funds |
|
$ |
82,436,549 |
|
|
$ |
— |
|
|
$ |
— |
|
| Options Purchased |
|
|
— |
|
|
|
914,820 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
84,546,049 |
|
|
$ |
1,199,483,910 |
|
|
$ |
16,274,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
366,524 |
|
|
$ |
— |
|
|
$ |
— |
|
| OTC Forward Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
253,240 |
|
|
|
— |
|
| Centrally Cleared Credit Default Swap Agreements |
|
|
— |
|
|
|
1,317,822 |
|
|
|
— |
|
| OTC Credit Default Swap Agreements |
|
|
— |
|
|
|
36,411 |
|
|
|
— |
|
| Centrally Cleared Interest Rate Swap Agreements |
|
|
— |
|
|
|
7,198,299 |
|
|
|
— |
|
| OTC Total Return Swap Agreement |
|
|
— |
|
|
|
995 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
366,524 |
|
|
$ |
8,806,767 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(344,435 |
) |
|
$ |
— |
|
|
$ |
— |
|
| OTC Forward Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
(1,625,120 |
) |
|
|
— |
|
| Centrally Cleared Credit Default Swap Agreement |
|
|
— |
|
|
|
(589,340 |
) |
|
|
— |
|
| OTC Credit Default Swap Agreements |
|
|
— |
|
|
|
(750,708 |
) |
|
|
(2,778 |
) |
| Centrally Cleared Interest Rate Swap Agreements |
|
|
— |
|
|
|
(1,856,417 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
(344,435 |
) |
|
$ |
(4,821,585 |
) |
|
$ |
(2,778 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
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. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed
Securities-
Student Loans |
|
|
Bank Loans |
|
|
Residential
Mortgage-Backed
Securities |
|
|
OTC Credit Default
Swap Agreements |
|
| Balance as of 12/31/19 |
|
$ |
— |
|
|
$ |
1,051,134 |
|
|
$ |
11,680,644 |
|
|
$ |
— |
|
| Realized gain (loss) |
|
|
— |
|
|
|
387 |
|
|
|
— |
|
|
|
— |
|
| Change in unrealized appreciation (depreciation) |
|
|
22,500 |
|
|
|
(24,455 |
) |
|
|
(51,876 |
) |
|
|
(1,930 |
) |
| Purchases/Exchanges/Issuances |
|
|
2,250,000 |
|
|
|
— |
|
|
|
7,665,442 |
|
|
|
— |
|
| Sales/Paydowns |
|
|
— |
|
|
|
(99,500 |
) |
|
|
(5,800,703 |
) |
|
|
— |
|
| Accrued discount/premium |
|
|
— |
|
|
|
340 |
|
|
|
— |
|
|
|
— |
|
| Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(848 |
) |
| Transfers out of Level 3 |
|
|
— |
|
|
|
(419,805 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance as of 06/30/20 |
|
$ |
2,272,500 |
|
|
$ |
508,101 |
|
|
$ |
13,493,507 |
|
|
$ |
(2,778 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in unrealized appreciation (depreciation) relating to securities still held at reporting period
end |
|
$ |
22,500 |
|
|
$ |
(24,455 |
) |
|
$ |
(51,876 |
) |
|
$ |
(1,930 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2020 |
|
|
Valuation
Methodology |
|
|
Unobservable Inputs |
| Asset-Backed Securities-Student Loans |
|
$ |
2,272,500 |
|
|
|
Market Approach |
|
|
Single Broker Indicative Quote |
| Bank Loans |
|
|
508,101 |
|
|
|
Market Approach |
|
|
Single Broker Indicative Quote |
| Residential Mortgage-Backed Securities |
|
|
13,493,507 |
|
|
|
Market Approach |
|
|
Single Broker Indicative Quote |
| OTC Credit Default Swap Agreements |
|
|
(2,778 |
) |
|
|
Market Approach |
|
|
Single Broker Indicative Quote |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
16,271,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A63
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
It is the Portfolios’ 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 |
|
|
$419,805 |
|
|
L3 to L2 |
|
Single Broker Indicative Quote to Multiple Broker Quotes |
| OTC Credit Default Swap Agreements |
|
|
$ 848 |
|
|
L2 to L3 |
|
Vendor Pricing to Single Broker Indicative Quote |
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, 2020 were as follows:
|
|
|
|
|
| Collateralized Loan Obligations |
|
|
17.4 |
% |
| Commercial Mortgage-Backed Securities |
|
|
14.0 |
|
| Banks |
|
|
9.4 |
|
| U.S. Treasury Obligations |
|
|
7.6 |
|
| Sovereign Bonds |
|
|
7.2 |
|
| Residential Mortgage-Backed Securities |
|
|
7.0 |
|
| Affiliated Mutual Funds (6.4% represents investments purchased with collateral from securities on
loan) |
|
|
6.7 |
|
| Pharmaceuticals |
|
|
3.2 |
|
| Oil & Gas |
|
|
2.5 |
|
| Electric |
|
|
2.4 |
|
| Student Loans |
|
|
2.4 |
|
| Media |
|
|
2.3 |
|
| Municipal Bonds |
|
|
1.9 |
|
| Telecommunications |
|
|
1.9 |
|
| Consumer Loans |
|
|
1.6 |
|
| Chemicals |
|
|
1.4 |
|
| U.S. Government Agency Obligations |
|
|
1.4 |
|
| Pipelines |
|
|
1.3 |
|
| Automobiles |
|
|
1.0 |
|
| Insurance |
|
|
1.0 |
|
| Healthcare-Services |
|
|
0.9 |
|
| Semiconductors |
|
|
0.9 |
|
| Auto Manufacturers |
|
|
0.9 |
|
| Foods |
|
|
0.7 |
|
| Retail |
|
|
0.7 |
|
| Diversified Financial Services |
|
|
0.7 |
|
| Commercial Services |
|
|
0.7 |
|
| Aerospace & Defense |
|
|
0.5 |
|
| Auto Parts & Equipment |
|
|
0.5 |
|
| Beverages |
|
|
0.4 |
|
| Gas |
|
|
0.4 |
|
| Machinery-Diversified |
|
|
0.4 |
|
| Entertainment |
|
|
0.4 |
|
|
|
|
|
|
| Software |
|
|
0.3 |
% |
| Airlines |
|
|
0.3 |
|
| Multi-National |
|
|
0.3 |
|
| Building Materials |
|
|
0.3 |
|
| Healthcare-Products |
|
|
0.3 |
|
| Credit Cards |
|
|
0.2 |
|
| Agriculture |
|
|
0.2 |
|
| Home Equity Loans |
|
|
0.2 |
|
| Mining |
|
|
0.2 |
|
| Engineering & Construction |
|
|
0.2 |
|
| Home Builders |
|
|
0.2 |
|
| Other |
|
|
0.2 |
|
| Lodging |
|
|
0.1 |
|
| Savings & Loans |
|
|
0.1 |
|
| Forest Products & Paper |
|
|
0.1 |
|
| Real Estate |
|
|
0.1 |
|
| Computers |
|
|
0.1 |
|
| Electrical Components & Equipment |
|
|
0.1 |
|
| Electronics |
|
|
0.1 |
|
| Capital Markets |
|
|
0.1 |
|
| Options Purchased |
|
|
0.1 |
|
| Water |
|
|
0.1 |
|
| Housewares |
|
|
0.1 |
|
| Machinery-Construction & Mining |
|
|
0.1 |
|
| Oil & Gas Services |
|
|
0.1 |
|
| Real Estate Investment Trusts (REITs) |
|
|
0.0 |
* |
| Textiles |
|
|
0.0 |
* |
| Transportation |
|
|
0.0 |
* |
|
|
|
|
|
|
|
|
105.9 |
|
| Liabilities in excess of other assets |
|
|
(5.9 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Effects of Derivative Instruments on the
Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of
risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and
their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A64
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivatives not accounted for as hedging
instruments, carried
at fair value |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| |
Statement of
Assets and
Liabilities Location |
|
Fair
Value |
|
|
Statement of
Assets and
Liabilities Location |
|
Fair
Value |
|
| Credit contracts |
|
Due from/to broker-variation margin swaps |
|
$ |
1,317,822 |
* |
|
Due from/to broker-variation margin swaps |
|
$ |
589,340 |
* |
| Credit contracts |
|
Premiums paid for OTC swap agreements |
|
|
138,955 |
|
|
Premiums received for OTC swap agreements |
|
|
506,188 |
|
| Credit contracts |
|
Unrealized appreciation on OTC swap agreements |
|
|
283,439 |
|
|
Unrealized depreciation on OTC swap agreements |
|
|
633,281 |
|
| Foreign exchange contracts |
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
|
253,240 |
|
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
|
1,625,120 |
|
| Interest rate contracts |
|
Due from/to broker-variation margin futures |
|
|
366,524 |
* |
|
Due from/to broker-variation margin futures |
|
|
344,435 |
* |
| Interest rate contracts |
|
Due from/to broker-variation margin swaps |
|
|
7,198,299 |
* |
|
Due from/to broker-variation margin swaps |
|
|
1,856,417 |
* |
| Interest rate contracts |
|
— |
|
|
— |
|
|
Premiums received for OTC swap agreements |
|
|
3,451 |
|
| Interest rate contracts |
|
Unaffiliated investments |
|
|
914,820 |
|
|
— |
|
|
— |
|
| Interest rate contracts |
|
Unrealized appreciation on OTC swap agreements |
|
|
4,446 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
10,477,545 |
|
|
|
|
$ |
5,558,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
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, 2020 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amount of Realized Gain (Loss) on Derivatives Recognized in
Income |
|
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Options
Written |
|
|
Futures |
|
|
Forward
& Cross
Currency
Exchange
Contracts |
|
|
Swaps |
|
| Credit contracts |
|
$ |
(8,252,678 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(947,531 |
) |
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
1,318,102 |
|
|
|
— |
|
| Interest rate contracts |
|
|
— |
|
|
|
37,428,843 |
|
|
|
— |
|
|
|
(43,052,312 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
(8,252,678 |
) |
|
$ |
37,428,843 |
|
|
$ |
1,318,102 |
|
|
$ |
(43,999,843 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in Unrealized Appreciation (Depreciation) on
Derivatives Recognized in Income |
|
| Derivatives not accounted for
as hedging instruments,
carried at fair
value |
|
Options
Purchased(1) |
|
|
Options
Written |
|
|
Futures |
|
|
Forward
& Cross
Currency
Exchange
Contracts |
|
|
Swaps |
|
| Credit contracts |
|
$ |
— |
|
|
$ |
(33,112 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
621,651 |
|
| Foreign exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(352,007 |
) |
|
|
— |
|
| Interest rate contracts |
|
|
482,070 |
|
|
|
— |
|
|
|
5,005,832 |
|
|
|
— |
|
|
|
23,433,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
482,070 |
|
|
$ |
(33,112 |
) |
|
$ |
5,005,832 |
|
|
$ |
(352,007 |
) |
|
$ |
24,054,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
|
SEE NOTES TO FINANCIAL STATEMENTS.
A65
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
|
|
|
|
|
|
|
|
|
| Options
Purchased(1) |
|
Options
Written(2) |
|
Futures
Contracts—
Long
Positions(2) |
|
Futures
Contracts—
Short
Positions(2) |
|
Forward Foreign
Currency
Exchange
Contracts—
Purchased(3) |
| $17,284 |
|
$85,990,000 |
|
$502,890,765 |
|
$628,397,268 |
|
$38,304,425 |
|
|
|
|
|
| Forward Foreign
Currency
Exchange
Contracts—Sold(3) |
|
Interest
Rate
Swap
Agreements(2) |
|
Credit Default
Swap Agreements—
Buy
Protection(2) |
| $95,297,036 |
|
$735,920,931 |
|
$82,598,177 |
|
|
|
| Credit Default
Swap Agreements—
Sell
Protection(2) |
|
Total
Return
Swap
Agreements(2) |
| $146,799,466 |
|
$1,275,260 |
| (2) |
Notional Amount in USD. |
| (3) |
Value at Settlement Date. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with
current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions
where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction
assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net
Amount |
|
| Securities on Loan |
|
$ |
77,613,485 |
|
|
$ |
(77,613,485 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Gross Amounts of
Recognized
Assets(1) |
|
|
Gross Amounts of
Recognized
Liabilities(1) |
|
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net Amount |
|
| Bank of America, N.A. |
|
$ |
1,182,449 |
|
|
$ |
(517,988 |
) |
|
$ |
664,461 |
|
|
$ |
(664,461 |
) |
|
$ |
— |
|
| Barclays Bank PLC |
|
|
203,702 |
|
|
|
(196,440 |
) |
|
|
7,262 |
|
|
|
— |
|
|
|
7,262 |
|
| Citibank, N.A. |
|
|
117,051 |
|
|
|
(435,645 |
) |
|
|
(318,594 |
) |
|
|
318,594 |
|
|
|
— |
|
| Credit Suisse International |
|
|
4,446 |
|
|
|
(256,754 |
) |
|
|
(252,308 |
) |
|
|
252,308 |
|
|
|
— |
|
| Deutsche Bank AG |
|
|
66,785 |
|
|
|
(121,010 |
) |
|
|
(54,225 |
) |
|
|
— |
|
|
|
(54,225 |
) |
| Goldman Sachs International |
|
|
10,654 |
|
|
|
— |
|
|
|
10,654 |
|
|
|
— |
|
|
|
10,654 |
|
| HSBC Bank USA, N.A. |
|
|
— |
|
|
|
(28,105 |
) |
|
|
(28,105 |
) |
|
|
28,105 |
|
|
|
— |
|
| JPMorgan Chase Bank, N.A. |
|
|
— |
|
|
|
(1,212,098 |
) |
|
|
(1,212,098 |
) |
|
|
1,212,098 |
|
|
|
— |
|
| Morgan Stanley & Co. International PLC |
|
|
1,874 |
|
|
|
— |
|
|
|
1,874 |
|
|
|
— |
|
|
|
1,874 |
|
| UBS AG |
|
|
7,939 |
|
|
|
— |
|
|
|
7,939 |
|
|
|
— |
|
|
|
7,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,594,900 |
|
|
$ |
(2,768,040 |
) |
|
$ |
(1,173,140 |
) |
|
$ |
1,146,644 |
|
|
$ |
(26,496 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and
market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the
Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A66
|
|
|
|
|
|
|
|
|
|
|
|
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $77,613,485: |
|
|
|
|
| Unaffiliated investments (cost $1,175,798,075) |
|
$ |
1,217,867,518 |
|
| Affiliated investments (cost $82,404,106) |
|
|
82,436,549 |
|
| Cash |
|
|
167,440 |
|
| Foreign currency, at value (cost $75,131) |
|
|
75,214 |
|
| Dividends and interest receivable |
|
|
9,457,669 |
|
| Receivable for investments sold |
|
|
4,220,318 |
|
| Due from broker-variation margin swaps |
|
|
1,289,929 |
|
| Unrealized appreciation on OTC swap agreements |
|
|
287,885 |
|
| Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
|
253,240 |
|
| Deposit with broker for centrally cleared/exchange-traded derivatives |
|
|
146,000 |
|
| Premiums paid for OTC swap agreements |
|
|
138,955 |
|
| Receivable for Portfolio shares sold |
|
|
127,119 |
|
| Tax reclaim receivable |
|
|
26,366 |
|
| Prepaid expenses and other assets |
|
|
104,468 |
|
|
|
|
|
|
| Total Assets |
|
|
1,316,598,670 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable to broker for collateral for securities on loan |
|
|
79,218,409 |
|
| Payable for investments purchased |
|
|
4,997,902 |
|
| Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
|
1,625,120 |
|
| Unrealized depreciation on OTC swap agreements |
|
|
633,281 |
|
| Premiums received for OTC swap agreements |
|
|
509,639 |
|
| Due to broker-variation margin futures |
|
|
504,722 |
|
| Management fee payable |
|
|
401,926 |
|
| Accrued expenses and other liabilities |
|
|
205,860 |
|
| Payable for Portfolio shares repurchased |
|
|
169,835 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
88,267,620 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
1,228,331,050 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
1,228,331,050 |
|
|
|
|
|
|
| Net asset value and redemption price per share, $1,228,331,050 / 81,479,908 outstanding shares of
beneficial interest |
|
$ |
15.08 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Interest income |
|
$ |
21,979,807 |
|
| Affiliated dividend income |
|
|
100,215 |
|
| Unaffiliated dividend income |
|
|
70,426 |
|
| Income from securities lending, net (including affiliated income of $68,421) |
|
|
70,108 |
|
|
|
|
|
|
| Total income |
|
|
22,220,556 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
2,399,184 |
|
| Custodian and accounting fees |
|
|
91,894 |
|
| Shareholders’ reports |
|
|
64,924 |
|
| Audit fee |
|
|
28,529 |
|
| Trustees’ fees |
|
|
11,841 |
|
| Legal fees and expenses |
|
|
7,853 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
15,648 |
|
|
|
|
|
|
| Total expenses |
|
|
2,625,185 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
19,595,371 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $(22,175)) |
|
|
5,325,870 |
|
| Futures transactions |
|
|
37,428,843 |
|
| Forward and cross currency contract transactions |
|
|
1,318,102 |
|
| Options written transactions |
|
|
(8,252,678 |
) |
| Swap agreements transactions |
|
|
(43,999,843 |
) |
| Foreign currency transactions |
|
|
(100,887 |
) |
|
|
|
|
|
|
|
|
(8,280,593 |
) |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $28,166) |
|
|
2,379,912 |
|
| Futures |
|
|
5,005,832 |
|
| Forward and cross currency contracts |
|
|
(352,007 |
) |
| Options written |
|
|
(33,112 |
) |
| Swap agreements |
|
|
24,054,769 |
|
| Foreign currencies |
|
|
(173,820 |
) |
|
|
|
|
|
|
|
|
30,881,574 |
|
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
22,600,981 |
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
42,196,352 |
|
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended
December 31, 2019 |
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
19,595,371 |
|
|
$ |
41,162,817 |
|
| Net realized gain (loss) on investment and foreign currency transactions |
|
|
(8,280,593 |
) |
|
|
77,712,920 |
|
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
|
|
30,881,574 |
|
|
|
1,002,602 |
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
42,196,352 |
|
|
|
119,878,339 |
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
| Portfolio shares sold [2,953,433 and 3,069,133 shares, respectively] |
|
|
43,565,793 |
|
|
|
43,101,026 |
|
| Portfolio shares repurchased [3,264,415 and 6,864,355 shares, respectively] |
|
|
(47,535,823 |
) |
|
|
(95,800,032 |
) |
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
(3,970,030 |
) |
|
|
(52,699,006 |
) |
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
38,226,322 |
|
|
|
67,179,333 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
1,190,104,728 |
|
|
|
1,122,925,395 |
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
1,228,331,050 |
|
|
$ |
1,190,104,728 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A67
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| LONG-TERM INVESTMENTS — 98.7% |
|
|
| COMMON STOCKS |
|
| Aerospace & Defense — 1.4% |
|
| Northrop Grumman Corp. |
|
|
113,274 |
|
|
$ |
34,824,959 |
|
| Raytheon Technologies Corp. |
|
|
481,662 |
|
|
|
29,680,012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,504,971 |
|
|
|
|
|
|
|
|
|
|
| Automobiles — 3.1% |
|
| General Motors Co. |
|
|
913,396 |
|
|
|
23,108,919 |
|
| Tesla, Inc.*(a) |
|
|
110,540 |
|
|
|
119,362,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
142,471,116 |
|
|
|
|
|
|
|
|
|
|
| Banks — 5.1% |
|
| Bank of America Corp. |
|
|
2,012,819 |
|
|
|
47,804,451 |
|
| Citigroup, Inc. |
|
|
843,610 |
|
|
|
43,108,471 |
|
| JPMorgan Chase & Co. |
|
|
779,295 |
|
|
|
73,300,488 |
|
| PNC Financial Services Group, Inc. (The) |
|
|
356,809 |
|
|
|
37,539,875 |
|
| Truist Financial Corp. |
|
|
928,081 |
|
|
|
34,849,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
236,602,726 |
|
|
|
|
|
|
|
|
|
|
| Beverages — 0.7% |
|
| PepsiCo, Inc. |
|
|
246,730 |
|
|
|
32,632,510 |
|
|
|
|
|
|
|
|
|
|
| Biotechnology — 1.5% |
|
| BioMarin Pharmaceutical, Inc.*(a) |
|
|
244,462 |
|
|
|
30,151,943 |
|
| Vertex Pharmaceuticals, Inc.* |
|
|
139,796 |
|
|
|
40,584,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
70,736,120 |
|
|
|
|
|
|
|
|
|
|
| Building Products — 0.8% |
|
| Johnson Controls International PLC |
|
|
1,122,321 |
|
|
|
38,316,039 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 1.6% |
|
| Goldman Sachs Group, Inc. (The) |
|
|
239,754 |
|
|
|
47,380,185 |
|
| S&P Global, Inc. |
|
|
78,602 |
|
|
|
25,897,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,277,972 |
|
|
|
|
|
|
|
|
|
|
| Chemicals — 2.1% |
|
| FMC Corp. |
|
|
402,333 |
|
|
|
40,080,413 |
|
| Linde PLC (United Kingdom) |
|
|
279,016 |
|
|
|
59,182,084 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
99,262,497 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance — 0.9% |
|
| Capital One Financial Corp. |
|
|
375,691 |
|
|
|
23,514,500 |
|
| SLM Corp.(a) |
|
|
2,482,612 |
|
|
|
17,452,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,967,262 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services — 1.1% |
|
| Verizon Communications, Inc. |
|
|
914,796 |
|
|
|
50,432,704 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 1.2% |
|
| American Electric Power Co., Inc. |
|
|
715,917 |
|
|
|
57,015,630 |
|
|
|
|
|
|
|
|
|
|
| Electrical Equipment — 0.6% |
|
| Emerson Electric Co. |
|
|
460,709 |
|
|
|
28,577,779 |
|
|
|
|
|
|
|
|
|
|
| Entertainment — 3.8% |
|
| Netflix, Inc.* |
|
|
245,286 |
|
|
|
111,614,942 |
|
| Spotify Technology SA* |
|
|
97,611 |
|
|
|
25,202,184 |
|
| Walt Disney Co. (The) |
|
|
348,318 |
|
|
|
38,840,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
175,658,066 |
|
|
|
|
|
|
|
|
|
|
| Equity Real Estate Investment Trusts (REITs) — 1.3% |
|
| American Tower Corp. |
|
|
230,429 |
|
|
|
59,575,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Food & Staples Retailing — 2.1% |
|
| Costco Wholesale Corp. |
|
|
154,135 |
|
|
$ |
46,735,273 |
|
| Walmart, Inc. |
|
|
428,409 |
|
|
|
51,314,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
98,050,103 |
|
|
|
|
|
|
|
|
|
|
| Food Products — 1.0% |
|
| Mondelez International, Inc. (Class A Stock) |
|
|
931,374 |
|
|
|
47,621,153 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 1.8% |
|
| Alcon, Inc. (Switzerland)*(a) |
|
|
263,144 |
|
|
|
15,083,414 |
|
| Danaher Corp. |
|
|
143,871 |
|
|
|
25,440,709 |
|
| DexCom, Inc.* |
|
|
32,306 |
|
|
|
13,096,852 |
|
| Zimmer Biomet Holdings, Inc. |
|
|
242,438 |
|
|
|
28,937,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,558,375 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 1.5% |
|
| Cigna Corp. |
|
|
157,552 |
|
|
|
29,564,633 |
|
| Laboratory Corp. of America Holdings* |
|
|
233,985 |
|
|
|
38,867,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,431,881 |
|
|
|
|
|
|
|
|
|
|
| Health Care Technology — 0.3% |
|
| Teladoc Health, Inc.*(a) |
|
|
77,911 |
|
|
|
14,868,535 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.5% |
|
| McDonald’s Corp. |
|
|
132,522 |
|
|
|
24,446,333 |
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.7% |
|
| D.R. Horton, Inc. |
|
|
543,350 |
|
|
|
30,128,758 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 0.9% |
|
| Procter & Gamble Co. (The) |
|
|
343,025 |
|
|
|
41,015,499 |
|
|
|
|
|
|
|
|
|
|
| Insurance — 2.4% |
|
| Chubb Ltd. |
|
|
362,217 |
|
|
|
45,863,916 |
|
| Marsh & McLennan Cos., Inc.(a) |
|
|
286,259 |
|
|
|
30,735,629 |
|
| MetLife, Inc. |
|
|
995,673 |
|
|
|
36,361,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,961,523 |
|
|
|
|
|
|
|
|
|
|
| Interactive Media & Services — 7.0% |
|
| Alphabet, Inc. (Class A Stock)* |
|
|
75,320 |
|
|
|
106,807,526 |
|
| Alphabet, Inc. (Class C Stock)* |
|
|
45,975 |
|
|
|
64,990,720 |
|
| Facebook, Inc. (Class A Stock)* |
|
|
422,552 |
|
|
|
95,948,882 |
|
| Match Group, Inc.* |
|
|
15,114 |
|
|
|
1,617,954 |
|
| Tencent Holdings Ltd. (China) |
|
|
842,145 |
|
|
|
54,302,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
323,667,893 |
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail — 5.6% |
|
| Alibaba Group Holding Ltd. (China), ADR* |
|
|
243,469 |
|
|
|
52,516,264 |
|
| Amazon.com, Inc.* |
|
|
75,299 |
|
|
|
207,736,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
260,252,651 |
|
|
|
|
|
|
|
|
|
|
| IT Services — 8.6% |
|
| Adyen NV (Netherlands), 144A* |
|
|
47,935 |
|
|
|
70,094,296 |
|
| Mastercard, Inc. (Class A Stock) |
|
|
299,236 |
|
|
|
88,484,085 |
|
| PayPal Holdings, Inc.* |
|
|
408,735 |
|
|
|
71,213,899 |
|
| Shopify, Inc. (Canada) (Class A Stock)* . |
|
|
97,604 |
|
|
|
92,645,717 |
|
| Visa, Inc. (Class A Stock)(a) |
|
|
401,478 |
|
|
|
77,553,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
399,991,502 |
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services — 0.5% |
|
| Illumina, Inc.*(a) |
|
|
61,943 |
|
|
|
22,940,590 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A68
|
|
|
|
|
|
|
|
|
|
|
|
EQUITY PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Machinery — 0.6% |
|
| Otis Worldwide Corp. |
|
|
500,961 |
|
|
$ |
28,484,642 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 1.0% |
|
| Dominion Energy, Inc. |
|
|
556,566 |
|
|
|
45,182,028 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 1.9% |
|
| Chevron Corp. |
|
|
597,252 |
|
|
|
53,292,796 |
|
| ConocoPhillips |
|
|
863,992 |
|
|
|
36,304,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
89,597,740 |
|
|
|
|
|
|
|
|
|
|
| Personal Products — 0.8% |
|
| Estee Lauder Cos., Inc. (The) (Class A Stock) |
|
|
190,701 |
|
|
|
35,981,465 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 6.0% |
|
| AstraZeneca PLC (United Kingdom), ADR |
|
|
2,766,843 |
|
|
|
146,338,326 |
|
| Bristol-Myers Squibb Co. |
|
|
530,038 |
|
|
|
31,166,235 |
|
| Eli Lilly & Co. |
|
|
624,110 |
|
|
|
102,466,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
279,970,941 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail — 2.1% |
|
| Uber Technologies, Inc.* |
|
|
1,554,828 |
|
|
|
48,324,054 |
|
| Union Pacific Corp. |
|
|
288,307 |
|
|
|
48,744,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
97,068,119 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 4.1% |
|
| Broadcom, Inc. |
|
|
125,299 |
|
|
|
39,545,617 |
|
| NVIDIA Corp. |
|
|
228,150 |
|
|
|
86,676,466 |
|
| QUALCOMM, Inc. |
|
|
294,618 |
|
|
|
26,872,108 |
|
| Texas Instruments, Inc.(a) |
|
|
286,374 |
|
|
|
36,360,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
189,455,098 |
|
|
|
|
|
|
|
|
|
|
| Software — 13.2% |
|
| Adobe, Inc.* |
|
|
224,120 |
|
|
|
97,561,677 |
|
| Atlassian Corp. PLC (Class A Stock)* |
|
|
143,021 |
|
|
|
25,782,396 |
|
| Coupa Software, Inc.*(a) |
|
|
221,801 |
|
|
|
61,447,749 |
|
| Crowdstrike Holdings, Inc. (Class A Stock)* |
|
|
315,503 |
|
|
|
31,641,796 |
|
| Microsoft Corp. |
|
|
1,023,969 |
|
|
|
208,387,931 |
|
| RingCentral, Inc. (Class A Stock)* |
|
|
150,953 |
|
|
|
43,023,115 |
|
| salesforce.com, Inc.* |
|
|
416,833 |
|
|
|
78,085,326 |
|
| SAP SE (Germany), ADR(a) |
|
|
295,105 |
|
|
|
41,314,700 |
|
| Trade Desk, Inc. (The) (Class A
Stock)*(a) |
|
|
65,771 |
|
|
|
26,735,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
613,980,601 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 3.0% |
|
| Advance Auto Parts, Inc. |
|
|
118,160 |
|
|
|
16,831,892 |
|
| Home Depot, Inc. (The) |
|
|
190,777 |
|
|
|
47,791,546 |
|
| Lowe’s Cos., Inc. |
|
|
352,215 |
|
|
|
47,591,291 |
|
| Ross Stores, Inc. |
|
|
289,271 |
|
|
|
24,657,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
136,872,189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Technology Hardware, Storage & Peripherals — 5.0% |
|
| Apple, Inc. |
|
|
631,155 |
|
|
$ |
230,245,344 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods — 2.3% |
|
| Lululemon Athletica, Inc.* |
|
|
255,170 |
|
|
|
79,615,592 |
|
| NIKE, Inc. (Class B Stock) |
|
|
274,168 |
|
|
|
26,882,172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
106,497,764 |
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 0.6% |
|
| United Rentals, Inc.* |
|
|
188,976 |
|
|
|
28,164,983 |
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $2,776,870,247) |
|
|
|
|
|
|
4,578,466,216 |
|
|
|
|
|
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS — 9.0% |
|
|
| AFFILIATED MUTUAL FUNDS |
|
| PGIM Core Ultra Short Bond
Fund(w) |
|
|
54,432,740 |
|
|
|
54,432,740 |
|
| PGIM Institutional Money Market Fund (cost $359,564,215; includes $359,401,620 of cash collateral for
securities on
loan)(b)(w) |
|
|
360,372,055 |
|
|
|
360,372,055 |
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(cost $413,996,955) |
|
|
|
414,804,795 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS — 107.7%
(cost $3,190,867,202) |
|
|
|
4,993,271,011 |
|
| Liabilities in excess of other assets — (7.7)% |
|
|
|
(355,072,358 |
) |
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
4,638,198,653 |
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending
settlement, is $360,675,868; cash collateral of $359,401,620 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on
the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted quoted prices generally in active markets for identical securities.
SEE NOTES TO FINANCIAL STATEMENTS.
A69
|
|
|
|
|
|
|
|
|
|
|
|
EQUITY PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense |
|
$ |
64,504,971 |
|
|
$ |
— |
|
|
$ |
— |
|
| Automobiles |
|
|
142,471,116 |
|
|
|
— |
|
|
|
— |
|
| Banks |
|
|
236,602,726 |
|
|
|
— |
|
|
|
— |
|
| Beverages |
|
|
32,632,510 |
|
|
|
— |
|
|
|
— |
|
| Biotechnology |
|
|
70,736,120 |
|
|
|
— |
|
|
|
— |
|
| Building Products |
|
|
38,316,039 |
|
|
|
— |
|
|
|
— |
|
| Capital Markets |
|
|
73,277,972 |
|
|
|
— |
|
|
|
— |
|
| Chemicals |
|
|
99,262,497 |
|
|
|
— |
|
|
|
— |
|
| Consumer Finance |
|
|
40,967,262 |
|
|
|
— |
|
|
|
— |
|
| Diversified Telecommunication Services |
|
|
50,432,704 |
|
|
|
— |
|
|
|
— |
|
| Electric Utilities |
|
|
57,015,630 |
|
|
|
— |
|
|
|
— |
|
| Electrical Equipment |
|
|
28,577,779 |
|
|
|
— |
|
|
|
— |
|
| Entertainment |
|
|
175,658,066 |
|
|
|
— |
|
|
|
— |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
59,575,114 |
|
|
|
— |
|
|
|
— |
|
| Food & Staples Retailing |
|
|
98,050,103 |
|
|
|
— |
|
|
|
— |
|
| Food Products |
|
|
47,621,153 |
|
|
|
— |
|
|
|
— |
|
| Health Care Equipment & Supplies |
|
|
82,558,375 |
|
|
|
— |
|
|
|
— |
|
| Health Care Providers & Services |
|
|
68,431,881 |
|
|
|
— |
|
|
|
— |
|
| Health Care Technology |
|
|
14,868,535 |
|
|
|
— |
|
|
|
— |
|
| Hotels, Restaurants & Leisure |
|
|
24,446,333 |
|
|
|
— |
|
|
|
— |
|
| Household Durables |
|
|
30,128,758 |
|
|
|
— |
|
|
|
— |
|
| Household Products |
|
|
41,015,499 |
|
|
|
— |
|
|
|
— |
|
| Insurance |
|
|
112,961,523 |
|
|
|
— |
|
|
|
— |
|
| Interactive Media & Services |
|
|
269,365,082 |
|
|
|
54,302,811 |
|
|
|
— |
|
| Internet & Direct Marketing Retail |
|
|
260,252,651 |
|
|
|
— |
|
|
|
— |
|
| IT Services |
|
|
329,897,206 |
|
|
|
70,094,296 |
|
|
|
— |
|
| Life Sciences Tools & Services |
|
|
22,940,590 |
|
|
|
— |
|
|
|
— |
|
| Machinery |
|
|
28,484,642 |
|
|
|
— |
|
|
|
— |
|
| Multi-Utilities |
|
|
45,182,028 |
|
|
|
— |
|
|
|
— |
|
| Oil, Gas & Consumable Fuels |
|
|
89,597,740 |
|
|
|
— |
|
|
|
— |
|
| Personal Products |
|
|
35,981,465 |
|
|
|
— |
|
|
|
— |
|
| Pharmaceuticals |
|
|
279,970,941 |
|
|
|
— |
|
|
|
— |
|
| Road & Rail |
|
|
97,068,119 |
|
|
|
— |
|
|
|
— |
|
| Semiconductors & Semiconductor Equipment |
|
|
189,455,098 |
|
|
|
— |
|
|
|
— |
|
| Software |
|
|
613,980,601 |
|
|
|
— |
|
|
|
— |
|
| Specialty Retail |
|
|
136,872,189 |
|
|
|
— |
|
|
|
— |
|
| Technology Hardware, Storage & Peripherals |
|
|
230,245,344 |
|
|
|
— |
|
|
|
— |
|
| Textiles, Apparel & Luxury Goods |
|
|
106,497,764 |
|
|
|
— |
|
|
|
— |
|
| Trading Companies & Distributors |
|
|
28,164,983 |
|
|
|
— |
|
|
|
— |
|
| Affiliated Mutual Funds |
|
|
414,804,795 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
4,868,873,904 |
|
|
$ |
124,397,107 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2020 were as follows:
|
|
|
|
|
| Software |
|
|
13.2 |
% |
| Affiliated Mutual Funds (7.7% represents investments purchased with collateral from securities on
loan) |
|
|
9.0 |
|
| IT Services |
|
|
8.6 |
|
| Interactive Media & Services |
|
|
7.0 |
|
|
|
|
|
|
| Pharmaceuticals |
|
|
6.0 |
% |
| Internet & Direct Marketing Retail |
|
|
5.6 |
|
| Banks |
|
|
5.1 |
|
| Technology Hardware, Storage & Peripherals |
|
|
5.0 |
|
| Semiconductors & Semiconductor Equipment |
|
|
4.1 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A70
|
|
|
|
|
|
|
|
|
|
|
|
EQUITY PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Industry Classification (continued):
|
|
|
|
|
| Entertainment |
|
|
3.8 |
% |
| Automobiles |
|
|
3.1 |
|
| Specialty Retail |
|
|
3.0 |
|
| Insurance |
|
|
2.4 |
|
| Textiles, Apparel & Luxury Goods |
|
|
2.3 |
|
| Chemicals |
|
|
2.1 |
|
| Food & Staples Retailing |
|
|
2.1 |
|
| Road & Rail |
|
|
2.1 |
|
| Oil, Gas & Consumable Fuels |
|
|
1.9 |
|
| Health Care Equipment & Supplies |
|
|
1.8 |
|
| Capital Markets |
|
|
1.6 |
|
| Biotechnology |
|
|
1.5 |
|
| Health Care Providers & Services |
|
|
1.5 |
|
| Aerospace & Defense |
|
|
1.4 |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
1.3 |
|
| Electric Utilities |
|
|
1.2 |
|
| Diversified Telecommunication Services |
|
|
1.1 |
|
| Food Products |
|
|
1.0 |
|
|
|
|
|
|
| Multi-Utilities |
|
|
1.0 |
% |
| Household Products |
|
|
0.9 |
|
| Consumer Finance |
|
|
0.9 |
|
| Building Products |
|
|
0.8 |
|
| Personal Products |
|
|
0.8 |
|
| Beverages |
|
|
0.7 |
|
| Household Durables |
|
|
0.7 |
|
| Electrical Equipment |
|
|
0.6 |
|
| Machinery |
|
|
0.6 |
|
| Trading Companies & Distributors |
|
|
0.6 |
|
| Hotels, Restaurants & Leisure |
|
|
0.5 |
|
| Life Sciences Tools & Services |
|
|
0.5 |
|
| Health Care Technology |
|
|
0.3 |
|
|
|
|
|
|
|
|
|
107.7 |
|
| Liabilities in excess of other assets |
|
|
(7.7 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Financial Instruments/Transactions—Summary
of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in
accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions
where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction
assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(1) |
|
|
Net
Amount |
|
| Securities on Loan |
|
$ |
360,675,868 |
|
|
$ |
(359,401,620 |
) |
|
$ |
1,274,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.
|
SEE NOTES TO FINANCIAL STATEMENTS.
A71
|
|
|
|
|
|
|
|
|
|
|
|
EQUITY PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $360,675,868: |
|
|
|
|
| Unaffiliated investments (cost $2,776,870,247) |
|
$ |
4,578,466,216 |
|
| Affiliated investments (cost $413,996,955) |
|
|
414,804,795 |
|
| Cash |
|
|
44 |
|
| Receivable for investments sold |
|
|
9,320,795 |
|
| Dividends receivable |
|
|
1,495,759 |
|
| Tax reclaim receivable |
|
|
1,159,202 |
|
| Receivable for Portfolio shares sold |
|
|
2,659 |
|
| Prepaid expenses |
|
|
4,553 |
|
|
|
|
|
|
| Total Assets |
|
|
5,005,254,023 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable to broker for collateral for securities on loan |
|
|
359,401,620 |
|
| Payable for investments purchased |
|
|
3,531,738 |
|
| Management fee payable |
|
|
1,690,509 |
|
| Payable for Portfolio shares repurchased |
|
|
1,399,854 |
|
| Payable to affiliate |
|
|
656,881 |
|
| Accrued expenses and other liabilities |
|
|
373,220 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
| Distribution fee payable |
|
|
332 |
|
| Administration fee payable |
|
|
290 |
|
|
|
|
|
|
| Total Liabilities |
|
|
367,055,370 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
4,638,198,653 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
4,638,198,653 |
|
|
|
|
|
|
| Class I: |
|
|
|
|
| Net asset value and redemption price per share, $4,636,550,416 / 72,090,344 outstanding shares of
beneficial interest |
|
$ |
64.32 |
|
|
|
|
|
|
| Class II: |
|
|
|
|
| Net asset value and redemption price per share, $1,648,237 / 26,128 outstanding shares of beneficial
interest |
|
$ |
63.08 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Unaffiliated dividend income (net of $219,789 foreign withholding tax) |
|
$ |
31,781,223 |
|
| Income from securities lending, net (including affiliated income of $612,932) |
|
|
650,626 |
|
| Affiliated dividend income |
|
|
572,464 |
|
|
|
|
|
|
| Total income |
|
|
33,004,313 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
9,810,029 |
|
| Distribution fee—Class II |
|
|
1,961 |
|
| Administration fee—Class II |
|
|
1,176 |
|
| Shareholders’ reports |
|
|
157,821 |
|
| Custodian and accounting fees |
|
|
152,780 |
|
| Trustees’ fees |
|
|
30,084 |
|
| Audit fee |
|
|
15,910 |
|
| Legal fees and expenses |
|
|
13,247 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
41,960 |
|
|
|
|
|
|
| Total expenses |
|
|
10,230,280 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
22,774,033 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $(48,015)) |
|
|
17,166,125 |
|
| Foreign currency transactions |
|
|
84,917 |
|
|
|
|
|
|
|
|
|
17,251,042 |
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $746,962) |
|
|
36,398,314 |
|
| Foreign currencies |
|
|
(1,410 |
) |
|
|
|
|
|
|
|
|
36,396,904 |
|
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
53,647,946 |
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
76,421,979 |
|
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
Year Ended
December 31, 2019 |
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$ |
22,774,033 |
|
|
|
$ |
51,222,459 |
|
| Net realized gain (loss) on investment and foreign currency transactions |
|
|
|
17,251,042 |
|
|
|
|
305,388,687 |
|
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
|
|
|
36,396,904 |
|
|
|
|
742,710,537 |
|
|
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
|
76,421,979 |
|
|
|
|
1,099,321,683 |
|
|
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
|
6,449,696 |
|
|
|
|
5,848,700 |
|
| Portfolio shares repurchased |
|
|
|
(157,391,425 |
) |
|
|
|
(313,517,496 |
) |
|
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
|
(150,941,729 |
) |
|
|
|
(307,668,796 |
) |
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL CONTRIBUTIONS |
|
|
|
— |
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
|
(74,519,750 |
) |
|
|
|
791,652,890 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
|
4,712,718,403 |
|
|
|
|
3,921,065,513 |
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
|
$ |
4,638,198,653 |
|
|
|
$ |
4,712,718,403 |
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A72
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| LONG-TERM INVESTMENTS — 94.4% |
|
|
| COMMON STOCKS — 60.0% |
|
| Aerospace & Defense — 1.4% |
|
| BAE Systems PLC (United Kingdom) |
|
|
18,270 |
|
|
$ |
109,824 |
|
| Dassault Aviation SA (France)* |
|
|
15 |
|
|
|
13,917 |
|
| General Dynamics Corp. |
|
|
67,200 |
|
|
|
10,043,712 |
|
| Huntington Ingalls Industries, Inc. |
|
|
21,500 |
|
|
|
3,751,535 |
|
| Leonardo SpA (Italy) |
|
|
2,329 |
|
|
|
15,577 |
|
| Lockheed Martin Corp. |
|
|
52,300 |
|
|
|
19,085,316 |
|
| Northrop Grumman Corp. |
|
|
50,300 |
|
|
|
15,464,232 |
|
| Raytheon Technologies Corp. |
|
|
164,600 |
|
|
|
10,142,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,626,765 |
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics — 0.0% |
|
| Deutsche Post AG (Germany)* |
|
|
19,529 |
|
|
|
719,890 |
|
| Expeditors International of Washington, Inc. |
|
|
11,600 |
|
|
|
882,064 |
|
| SG Holdings Co. Ltd. (Japan) |
|
|
10,000 |
|
|
|
326,399 |
|
| Yamato Holdings Co. Ltd. (Japan) |
|
|
1,800 |
|
|
|
38,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,967,277 |
|
|
|
|
|
|
|
|
|
|
| Airlines — 0.0% |
|
| easyJet PLC (United Kingdom) |
|
|
4,258 |
|
|
|
36,069 |
|
| Qantas Airways Ltd. (Australia) |
|
|
4,355 |
|
|
|
11,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,581 |
|
|
|
|
|
|
|
|
|
|
| Auto Components — 0.1% |
|
| BorgWarner, Inc.(a) |
|
|
47,200 |
|
|
|
1,666,160 |
|
| Cie Generale des Etablissements Michelin SCA (France)* |
|
|
4,494 |
|
|
|
464,928 |
|
| Faurecia SE (France)* |
|
|
448 |
|
|
|
17,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,148,705 |
|
|
|
|
|
|
|
|
|
|
| Automobiles — 0.4% |
|
| Ferrari NV (Italy) |
|
|
1,703 |
|
|
|
291,828 |
|
| Fiat Chrysler Automobiles NV (United Kingdom)* |
|
|
33,113 |
|
|
|
337,569 |
|
| General Motors Co. |
|
|
599,500 |
|
|
|
15,167,350 |
|
| Peugeot SA (France)* |
|
|
24,097 |
|
|
|
395,460 |
|
| Subaru Corp. (Japan) |
|
|
3,600 |
|
|
|
74,870 |
|
| Toyota Motor Corp. (Japan) |
|
|
12,400 |
|
|
|
777,518 |
|
| Volkswagen AG (Germany)* |
|
|
184 |
|
|
|
29,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,074,368 |
|
|
|
|
|
|
|
|
|
|
| Banks — 1.8% |
|
| ABN AMRO Bank NV (Netherlands), 144A, CVA |
|
|
2,483 |
|
|
|
21,608 |
|
| Aozora Bank Ltd. (Japan) |
|
|
700 |
|
|
|
12,183 |
|
| Banco de Sabadell SA (Spain) |
|
|
34,044 |
|
|
|
11,950 |
|
| Bank of America Corp. |
|
|
275,750 |
|
|
|
6,549,062 |
|
| Bankia SA (Spain) |
|
|
424,270 |
|
|
|
454,116 |
|
| Bankinter SA (Spain) |
|
|
4,015 |
|
|
|
19,264 |
|
| BankUnited, Inc. |
|
|
46,400 |
|
|
|
939,600 |
|
| Banque Cantonale Vaudoise (Switzerland) |
|
|
176 |
|
|
|
17,163 |
|
| Barclays PLC (United Kingdom) |
|
|
88,887 |
|
|
|
126,396 |
|
| BNP Paribas SA (France)* |
|
|
6,632 |
|
|
|
265,155 |
|
| BOC Hong Kong Holdings Ltd. (China) |
|
|
175,500 |
|
|
|
561,003 |
|
| Chiba Bank Ltd. (The) (Japan) |
|
|
3,200 |
|
|
|
15,077 |
|
| CIT Group, Inc. |
|
|
183,600 |
|
|
|
3,806,028 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Banks (cont’d.) |
|
| Citigroup, Inc. |
|
|
466,550 |
|
|
$ |
23,840,705 |
|
| Commonwealth Bank of Australia (Australia) |
|
|
10,928 |
|
|
|
527,543 |
|
| Credit Agricole SA (France)* |
|
|
6,175 |
|
|
|
59,258 |
|
| Danske Bank A/S (Denmark)* |
|
|
3,600 |
|
|
|
48,213 |
|
| DBS Group Holdings Ltd. (Singapore) |
|
|
10,200 |
|
|
|
152,934 |
|
| DNB ASA (Norway)* |
|
|
5,465 |
|
|
|
72,539 |
|
| Erste Group Bank AG (Austria)* |
|
|
1,675 |
|
|
|
39,646 |
|
| FNB Corp. |
|
|
364,400 |
|
|
|
2,733,000 |
|
| HSBC Holdings PLC (United Kingdom) |
|
|
20,807 |
|
|
|
97,568 |
|
| Intesa Sanpaolo SpA (Italy)* |
|
|
85,472 |
|
|
|
164,604 |
|
| Japan Post Bank Co. Ltd. (Japan) |
|
|
2,400 |
|
|
|
17,829 |
|
| JPMorgan Chase & Co. |
|
|
59,094 |
|
|
|
5,558,382 |
|
| Mebuki Financial Group, Inc. (Japan) |
|
|
240,800 |
|
|
|
558,442 |
|
| Mediobanca Banca di Credito Finanziario SpA (Italy) |
|
|
3,658 |
|
|
|
26,451 |
|
| Mitsubishi UFJ Financial Group, Inc. (Japan) |
|
|
24,500 |
|
|
|
96,067 |
|
| Mizrahi Tefahot Bank Ltd. (Israel) |
|
|
23,506 |
|
|
|
440,139 |
|
| Mizuho Financial Group, Inc. (Japan) |
|
|
134,200 |
|
|
|
164,442 |
|
| PacWest Bancorp |
|
|
230,400 |
|
|
|
4,541,184 |
|
| Popular, Inc. (Puerto Rico) |
|
|
138,700 |
|
|
|
5,155,479 |
|
| Raiffeisen Bank International AG (Austria)* |
|
|
13,320 |
|
|
|
238,281 |
|
| Resona Holdings, Inc. (Japan) |
|
|
12,400 |
|
|
|
42,357 |
|
| Seven Bank Ltd. (Japan) |
|
|
81,500 |
|
|
|
222,790 |
|
| Shinsei Bank Ltd. (Japan) |
|
|
1,100 |
|
|
|
13,285 |
|
| Simmons First National Corp. (Class A Stock) |
|
|
111,200 |
|
|
|
1,902,632 |
|
| Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)* |
|
|
66,587 |
|
|
|
580,126 |
|
| Sterling Bancorp(a) |
|
|
93,000 |
|
|
|
1,089,960 |
|
| Sumitomo Mitsui Financial Group, Inc. (Japan) |
|
|
7,600 |
|
|
|
213,757 |
|
| Sumitomo Mitsui Trust Holdings, Inc. (Japan) |
|
|
3,000 |
|
|
|
84,162 |
|
| Svenska Handelsbanken AB (Sweden) (Class A Stock)* |
|
|
8,949 |
|
|
|
85,318 |
|
| Synovus Financial Corp. |
|
|
91,500 |
|
|
|
1,878,495 |
|
| Umpqua Holdings Corp. |
|
|
85,100 |
|
|
|
905,464 |
|
| United Overseas Bank Ltd. (Singapore) |
|
|
4,600 |
|
|
|
66,977 |
|
| Wells Fargo & Co. |
|
|
446,200 |
|
|
|
11,422,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75,839,354 |
|
|
|
|
|
|
|
|
|
|
| Beverages — 1.2% |
|
| Asahi Group Holdings Ltd. (Japan) |
|
|
8,000 |
|
|
|
280,797 |
|
| Carlsberg A/S (Denmark) (Class B Stock) |
|
|
620 |
|
|
|
82,315 |
|
| Coca-Cola Amatil Ltd. (Australia) |
|
|
2,568 |
|
|
|
15,482 |
|
| Coca-Cola Co. (The) |
|
|
277,700 |
|
|
|
12,407,636 |
|
| Coca-Cola European Partners PLC (United Kingdom) |
|
|
10,600 |
|
|
|
400,256 |
|
| Coca-Cola HBC AG (Switzerland) |
|
|
1,175 |
|
|
|
29,616 |
|
| Keurig Dr. Pepper, Inc.(a) |
|
|
491,100 |
|
|
|
13,947,240 |
|
| Kirin Holdings Co. Ltd. (Japan) |
|
|
4,700 |
|
|
|
99,116 |
|
| Molson Coors Beverage Co. (Class B Stock) |
|
|
15,200 |
|
|
|
522,272 |
|
| Monster Beverage Corp.* |
|
|
69,900 |
|
|
|
4,845,468 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A73
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Beverages (cont’d.) |
|
| PepsiCo, Inc. |
|
|
120,420 |
|
|
$ |
15,926,749 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,556,947 |
|
|
|
|
|
|
|
|
|
|
| Biotechnology — 1.9% |
|
| AbbVie, Inc. |
|
|
288,700 |
|
|
|
28,344,566 |
|
| Amgen, Inc. |
|
|
23,700 |
|
|
|
5,589,882 |
|
| Biogen, Inc.* |
|
|
37,000 |
|
|
|
9,899,350 |
|
| CSL Ltd. (Australia) |
|
|
183 |
|
|
|
36,562 |
|
| Gilead Sciences, Inc. |
|
|
176,250 |
|
|
|
13,560,675 |
|
| Vertex Pharmaceuticals, Inc.* |
|
|
67,800 |
|
|
|
19,683,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77,114,053 |
|
|
|
|
|
|
|
|
|
|
| Building Products — 0.7% |
|
| American Woodmark Corp.* |
|
|
37,000 |
|
|
|
2,799,050 |
|
| Carrier Global Corp. |
|
|
363,800 |
|
|
|
8,083,636 |
|
| Cie de Saint-Gobain (France)* |
|
|
2,896 |
|
|
|
105,084 |
|
| Geberit AG (Switzerland) |
|
|
212 |
|
|
|
106,583 |
|
| Johnson Controls International PLC |
|
|
169,900 |
|
|
|
5,800,386 |
|
| Kingspan Group PLC (Ireland) |
|
|
870 |
|
|
|
56,330 |
|
| Masco Corp. |
|
|
113,400 |
|
|
|
5,693,814 |
|
| UFP Industries, Inc. |
|
|
115,400 |
|
|
|
5,713,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,358,337 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 1.7% |
|
| Affiliated Managers Group, Inc. |
|
|
132,000 |
|
|
|
9,841,920 |
|
| Ameriprise Financial, Inc. |
|
|
119,650 |
|
|
|
17,952,286 |
|
| Bank of New York Mellon Corp. (The) |
|
|
263,300 |
|
|
|
10,176,545 |
|
| Credit Suisse Group AG (Switzerland) |
|
|
13,950 |
|
|
|
146,039 |
|
| Deutsche Boerse AG (Germany) |
|
|
832 |
|
|
|
151,184 |
|
| Evercore, Inc. (Class A Stock) |
|
|
49,100 |
|
|
|
2,892,972 |
|
| Hargreaves Lansdown PLC (United Kingdom) |
|
|
1,920 |
|
|
|
38,897 |
|
| Hong Kong Exchanges & Clearing Ltd. (Hong Kong) |
|
|
8,600 |
|
|
|
367,899 |
|
| Intercontinental Exchange, Inc. |
|
|
55,500 |
|
|
|
5,083,800 |
|
| LPL Financial Holdings, Inc. |
|
|
40,000 |
|
|
|
3,136,000 |
|
| Magellan Financial Group Ltd. (Australia) |
|
|
13,848 |
|
|
|
566,198 |
|
| Nomura Holdings, Inc. (Japan) |
|
|
124,500 |
|
|
|
556,770 |
|
| S&P Global, Inc. |
|
|
49,300 |
|
|
|
16,243,364 |
|
| Singapore Exchange Ltd. (Singapore) |
|
|
4,600 |
|
|
|
27,666 |
|
| Standard Life Aberdeen PLC (United Kingdom) |
|
|
14,525 |
|
|
|
48,398 |
|
| Stifel Financial Corp. |
|
|
48,000 |
|
|
|
2,276,640 |
|
| UBS Group AG (Switzerland) |
|
|
46,278 |
|
|
|
538,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
70,045,558 |
|
|
|
|
|
|
|
|
|
|
| Chemicals — 1.0% |
|
| Arkema SA (France) |
|
|
386 |
|
|
|
37,092 |
|
| Asahi Kasei Corp. (Japan) |
|
|
7,200 |
|
|
|
59,101 |
|
| BASF SE (Germany) |
|
|
5,283 |
|
|
|
297,430 |
|
| Cabot Corp. |
|
|
10,600 |
|
|
|
392,730 |
|
| Corteva, Inc. |
|
|
532,900 |
|
|
|
14,276,391 |
|
| Eastman Chemical Co. |
|
|
92,700 |
|
|
|
6,455,628 |
|
| Evonik Industries AG (Germany) |
|
|
2,967 |
|
|
|
75,871 |
|
| Givaudan SA (Switzerland) |
|
|
53 |
|
|
|
198,342 |
|
| Huntsman Corp. |
|
|
143,100 |
|
|
|
2,571,507 |
|
| Linde PLC (United Kingdom) |
|
|
38,000 |
|
|
|
8,060,180 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Chemicals (cont’d.) |
|
| LyondellBasell Industries NV (Class A Stock) |
|
|
73,600 |
|
|
$ |
4,836,992 |
|
| Mitsubishi Gas Chemical Co., Inc. (Japan) |
|
|
900 |
|
|
|
13,635 |
|
| Nissan Chemical Corp. (Japan) |
|
|
700 |
|
|
|
35,923 |
|
| Orica Ltd. (Australia) |
|
|
2,483 |
|
|
|
28,796 |
|
| Sensient Technologies Corp. |
|
|
17,500 |
|
|
|
912,800 |
|
| Sherwin-Williams Co. (The) |
|
|
1,100 |
|
|
|
635,635 |
|
| Shin-Etsu Chemical Co. Ltd. (Japan) |
|
|
1,500 |
|
|
|
175,558 |
|
| Showa Denko KK (Japan) |
|
|
800 |
|
|
|
17,908 |
|
| Symrise AG (Germany) |
|
|
741 |
|
|
|
86,337 |
|
| Tosoh Corp. (Japan) |
|
|
7,900 |
|
|
|
107,742 |
|
| Yara International ASA (Norway) |
|
|
1,014 |
|
|
|
35,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,310,952 |
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies — 0.1% |
|
| Dai Nippon Printing Co. Ltd. (Japan) |
|
|
1,400 |
|
|
|
32,084 |
|
| Deluxe Corp. |
|
|
114,700 |
|
|
|
2,700,038 |
|
| Secom Co. Ltd. (Japan) |
|
|
2,100 |
|
|
|
183,538 |
|
| Toppan Printing Co. Ltd. (Japan) |
|
|
5,000 |
|
|
|
83,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,999,146 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment — 0.8% |
|
| Cisco Systems, Inc. |
|
|
699,300 |
|
|
|
32,615,352 |
|
| Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) |
|
|
17,683 |
|
|
|
163,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,779,340 |
|
|
|
|
|
|
|
|
|
|
| Construction & Engineering — 0.2% |
|
| ACS Actividades de Construccion y Servicios SA (Spain) |
|
|
9,566 |
|
|
|
243,135 |
|
| Eiffage SA (France)* |
|
|
446 |
|
|
|
40,936 |
|
| EMCOR Group, Inc. |
|
|
92,600 |
|
|
|
6,124,564 |
|
| HOCHTIEF AG (Germany) |
|
|
154 |
|
|
|
13,777 |
|
| Obayashi Corp. (Japan) |
|
|
51,500 |
|
|
|
481,335 |
|
| Quanta Services, Inc. |
|
|
27,700 |
|
|
|
1,086,671 |
|
| Shimizu Corp. (Japan) |
|
|
55,700 |
|
|
|
457,464 |
|
| Skanska AB (Sweden) (Class B Stock)* |
|
|
1,910 |
|
|
|
39,032 |
|
| Taisei Corp. (Japan) |
|
|
1,200 |
|
|
|
43,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,530,556 |
|
|
|
|
|
|
|
|
|
|
| Construction Materials — 0.0% |
|
| CRH PLC (Ireland) |
|
|
4,617 |
|
|
|
159,179 |
|
| HeidelbergCement AG (Germany) |
|
|
6,165 |
|
|
|
331,985 |
|
| LafargeHolcim Ltd. (Switzerland)* |
|
|
9,663 |
|
|
|
428,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
920,014 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance — 0.2% |
|
| Discover Financial Services |
|
|
124,500 |
|
|
|
6,236,205 |
|
| Navient Corp. |
|
|
185,150 |
|
|
|
1,301,605 |
|
| OneMain Holdings, Inc. |
|
|
41,400 |
|
|
|
1,015,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,553,766 |
|
|
|
|
|
|
|
|
|
|
| Distributors — 0.3% |
|
| LKQ Corp.* |
|
|
467,100 |
|
|
|
12,238,020 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A74
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Diversified Financial Services — 0.4% |
|
| Berkshire Hathaway, Inc.
(Class B Stock)* |
|
|
80,550 |
|
|
$ |
14,378,981 |
|
| Equitable Holdings, Inc. |
|
|
109,800 |
|
|
|
2,118,042 |
|
| EXOR NV (Netherlands) |
|
|
616 |
|
|
|
35,513 |
|
| M&G PLC (United Kingdom) |
|
|
66,755 |
|
|
|
139,071 |
|
| Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) |
|
|
2,100 |
|
|
|
9,940 |
|
| ORIX Corp. (Japan) |
|
|
7,400 |
|
|
|
91,185 |
|
| Wendel SE (France)* |
|
|
160 |
|
|
|
15,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,788,014 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services — 1.5% |
|
| AT&T, Inc.(a) |
|
|
1,011,100 |
|
|
|
30,565,553 |
|
| Deutsche Telekom AG (Germany) |
|
|
24,662 |
|
|
|
417,207 |
|
| Elisa OYJ (Finland) |
|
|
780 |
|
|
|
47,447 |
|
| Nippon Telegraph & Telephone Corp. (Japan) |
|
|
27,000 |
|
|
|
629,242 |
|
| Orange SA (France) |
|
|
11,375 |
|
|
|
136,313 |
|
| Proximus SADP (Belgium) |
|
|
928 |
|
|
|
18,944 |
|
| Telecom Italia SpA (Italy), RSP |
|
|
18,981 |
|
|
|
7,395 |
|
| Telefonica Deutschland Holding AG (Germany) |
|
|
42,906 |
|
|
|
127,376 |
|
| Telenor ASA (Norway) |
|
|
4,136 |
|
|
|
60,327 |
|
| TPG Corp. Ltd. (Australia) |
|
|
2,368 |
|
|
|
14,666 |
|
| United Internet AG (Germany) |
|
|
595 |
|
|
|
25,363 |
|
| Verizon Communications, Inc.(a) |
|
|
540,588 |
|
|
|
29,802,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,852,449 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.8% |
|
| Chubu Electric Power Co., Inc. (Japan) |
|
|
37,900 |
|
|
|
474,889 |
|
| CK Infrastructure Holdings Ltd. (Hong Kong) |
|
|
3,500 |
|
|
|
18,049 |
|
| Enel SpA (Italy) |
|
|
58,735 |
|
|
|
508,725 |
|
| Exelon Corp. |
|
|
409,600 |
|
|
|
14,864,384 |
|
| Fortum OYJ (Finland) |
|
|
2,430 |
|
|
|
46,483 |
|
| Iberdrola SA (Spain) |
|
|
82,171 |
|
|
|
955,119 |
|
| Kansai Electric Power Co., Inc. (The) (Japan) |
|
|
16,900 |
|
|
|
161,511 |
|
| NRG Energy, Inc. |
|
|
299,050 |
|
|
|
9,737,068 |
|
| Power Assets Holdings Ltd. (Hong Kong) |
|
|
8,000 |
|
|
|
43,498 |
|
| PPL Corp. |
|
|
206,900 |
|
|
|
5,346,296 |
|
| Red Electrica Corp. SA (Spain) |
|
|
2,520 |
|
|
|
47,169 |
|
| Terna Rete Elettrica Nazionale SpA (Italy) |
|
|
8,029 |
|
|
|
55,385 |
|
| Tohoku Electric Power Co., Inc. (Japan) |
|
|
2,400 |
|
|
|
22,837 |
|
| Tokyo Electric Power Co. Holdings, Inc. (Japan)* |
|
|
7,600 |
|
|
|
23,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,304,766 |
|
|
|
|
|
|
|
|
|
|
| Electrical Equipment — 0.3% |
|
| ABB Ltd. (Switzerland) |
|
|
10,512 |
|
|
|
238,417 |
|
| Acuity Brands, Inc. |
|
|
46,000 |
|
|
|
4,404,040 |
|
| Atkore International Group, Inc.* |
|
|
120,050 |
|
|
|
3,283,367 |
|
| Eaton Corp. PLC |
|
|
26,600 |
|
|
|
2,326,968 |
|
| Fuji Electric Co. Ltd. (Japan) |
|
|
700 |
|
|
|
19,139 |
|
| Legrand SA (France) |
|
|
1,508 |
|
|
|
115,302 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Electrical Equipment (cont’d.) |
|
| Schneider Electric SE (France) |
|
|
7,313 |
|
|
$ |
818,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,205,704 |
|
|
|
|
|
|
|
|
|
|
| Electronic Equipment, Instruments & Components — 0.0% |
|
| Hexagon AB (Sweden) (Class B Stock)* |
|
|
6,235 |
|
|
|
366,819 |
|
| Hitachi Ltd. (Japan) |
|
|
5,400 |
|
|
|
171,543 |
|
| Murata Manufacturing Co. Ltd. (Japan) |
|
|
3,300 |
|
|
|
193,482 |
|
| TDK Corp. (Japan) |
|
|
700 |
|
|
|
69,515 |
|
| Venture Corp. Ltd. (Singapore) |
|
|
1,500 |
|
|
|
17,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
818,866 |
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services — 0.1% |
|
| TechnipFMC PLC (United Kingdom) |
|
|
454,700 |
|
|
|
3,110,148 |
|
|
|
|
|
|
|
|
|
|
| Entertainment — 1.2% |
|
| Activision Blizzard, Inc. |
|
|
260,500 |
|
|
|
19,771,950 |
|
| Electronic Arts, Inc.* |
|
|
148,200 |
|
|
|
19,569,810 |
|
| Netflix, Inc.* |
|
|
18,300 |
|
|
|
8,327,232 |
|
| Nexon Co. Ltd. (Japan) |
|
|
2,900 |
|
|
|
65,499 |
|
| Nintendo Co. Ltd. (Japan) |
|
|
1,100 |
|
|
|
491,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,226,133 |
|
|
|
|
|
|
|
|
|
|
| Equity Real Estate Investment Trusts (REITs) — 1.2% |
|
| Apple Hospitality REIT, Inc. |
|
|
185,850 |
|
|
|
1,795,311 |
|
| British Land Co. PLC (The) (United Kingdom) |
|
|
29,197 |
|
|
|
140,301 |
|
| CapitaLand Commercial Trust (Singapore) |
|
|
16,800 |
|
|
|
20,509 |
|
| CoreCivic, Inc. |
|
|
237,550 |
|
|
|
2,223,468 |
|
| Crown Castle International Corp. |
|
|
22,700 |
|
|
|
3,798,845 |
|
| Equinix, Inc. |
|
|
5,800 |
|
|
|
4,073,340 |
|
| Franklin Street Properties Corp.(a) |
|
|
83,550 |
|
|
|
425,270 |
|
| Gaming & Leisure Properties,
Inc.(a) |
|
|
298,817 |
|
|
|
10,339,068 |
|
| Gecina SA (France) |
|
|
264 |
|
|
|
32,708 |
|
| GEO Group, Inc. (The) |
|
|
233,450 |
|
|
|
2,761,713 |
|
| GLP J-REIT (Japan) |
|
|
21 |
|
|
|
30,466 |
|
| Goodman Group (Australia) |
|
|
9,150 |
|
|
|
94,566 |
|
| Japan Prime Realty Investment Corp. (Japan) |
|
|
5 |
|
|
|
14,691 |
|
| Japan Real Estate Investment Corp. (Japan) |
|
|
8 |
|
|
|
41,158 |
|
| Japan Retail Fund Investment Corp. (Japan) |
|
|
14 |
|
|
|
17,552 |
|
| Klepierre SA (France)(a) |
|
|
24,451 |
|
|
|
489,317 |
|
| Land Securities Group PLC (United Kingdom) |
|
|
3,328 |
|
|
|
22,831 |
|
| Prologis, Inc. |
|
|
154,400 |
|
|
|
14,410,152 |
|
| Retail Properties of America, Inc. (Class A Stock) |
|
|
103,100 |
|
|
|
754,692 |
|
| Scentre Group (Australia) |
|
|
30,744 |
|
|
|
46,367 |
|
| Service Properties Trust |
|
|
99,400 |
|
|
|
704,746 |
|
| SITE Centers Corp. |
|
|
297,900 |
|
|
|
2,412,990 |
|
| Spirit Realty Capital, Inc.(a) |
|
|
118,700 |
|
|
|
4,137,882 |
|
| Stockland (Australia) |
|
|
202,641 |
|
|
|
469,149 |
|
| United Urban Investment Corp. (Japan) |
|
|
17 |
|
|
|
18,418 |
|
| WP Carey, Inc. |
|
|
17,800 |
|
|
|
1,204,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,479,680 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A75
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Food & Staples Retailing — 1.3% |
|
| Coles Group Ltd. (Australia) |
|
|
7,599 |
|
|
$ |
90,793 |
|
| Colruyt SA (Belgium) |
|
|
325 |
|
|
|
17,914 |
|
| ICA Gruppen AB (Sweden) |
|
|
231 |
|
|
|
10,976 |
|
| Koninklijke Ahold Delhaize NV (Netherlands) |
|
|
23,896 |
|
|
|
653,999 |
|
| Kroger Co. (The) |
|
|
299,500 |
|
|
|
10,138,075 |
|
| Seven & i Holdings Co. Ltd. (Japan) |
|
|
4,400 |
|
|
|
143,638 |
|
| Walgreens Boots Alliance, Inc. |
|
|
344,300 |
|
|
|
14,594,877 |
|
| Walmart, Inc. |
|
|
235,400 |
|
|
|
28,196,212 |
|
| Wm Morrison Supermarkets PLC (United Kingdom) |
|
|
13,956 |
|
|
|
33,100 |
|
| Woolworths Group Ltd. (Australia) |
|
|
17,308 |
|
|
|
446,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,326,330 |
|
|
|
|
|
|
|
|
|
|
| Food Products — 0.5% |
|
| Archer-Daniels-Midland Co. |
|
|
6,650 |
|
|
|
265,335 |
|
| Bunge Ltd. |
|
|
34,500 |
|
|
|
1,418,985 |
|
| J.M. Smucker Co. (The)(a) |
|
|
28,900 |
|
|
|
3,057,909 |
|
| MEIJI Holdings Co. Ltd. (Japan) |
|
|
600 |
|
|
|
47,741 |
|
| Nestle SA (Switzerland) |
|
|
12,996 |
|
|
|
1,441,294 |
|
| Orkla ASA (Norway) |
|
|
4,251 |
|
|
|
37,349 |
|
| Pilgrim’s Pride Corp.* |
|
|
247,300 |
|
|
|
4,176,897 |
|
| Tate & Lyle PLC (United Kingdom) |
|
|
14,472 |
|
|
|
119,919 |
|
| Toyo Suisan Kaisha Ltd. (Japan) |
|
|
500 |
|
|
|
27,972 |
|
| Tyson Foods, Inc. (Class A Stock) |
|
|
143,800 |
|
|
|
8,586,298 |
|
| WH Group Ltd. (Hong Kong), 144A |
|
|
578,500 |
|
|
|
499,207 |
|
| Wilmar International Ltd. (China) |
|
|
32,400 |
|
|
|
95,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,774,253 |
|
|
|
|
|
|
|
|
|
|
| Gas Utilities — 0.3% |
|
| Enagas SA (Spain) |
|
|
1,273 |
|
|
|
31,195 |
|
| Naturgy Energy Group SA (Spain) |
|
|
19,522 |
|
|
|
363,357 |
|
| Snam SpA (Italy) |
|
|
11,949 |
|
|
|
58,372 |
|
| UGI Corp. |
|
|
332,600 |
|
|
|
10,576,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,029,604 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 2.0% |
|
| Abbott Laboratories |
|
|
287,200 |
|
|
|
26,258,696 |
|
| Baxter International, Inc. |
|
|
141,050 |
|
|
|
12,144,405 |
|
| Becton, Dickinson & Co. |
|
|
53,800 |
|
|
|
12,872,726 |
|
| Coloplast A/S (Denmark) (Class B Stock) |
|
|
144 |
|
|
|
22,388 |
|
| DiaSorin SpA (Italy) |
|
|
144 |
|
|
|
27,677 |
|
| Edwards Lifesciences Corp.* |
|
|
244,200 |
|
|
|
16,876,662 |
|
| Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) |
|
|
3,248 |
|
|
|
74,395 |
|
| Medtronic PLC |
|
|
46,400 |
|
|
|
4,254,880 |
|
| Quidel Corp.* |
|
|
7,700 |
|
|
|
1,722,798 |
|
| ResMed, Inc. |
|
|
8,100 |
|
|
|
1,555,200 |
|
| Siemens Healthineers AG (Germany), 144A |
|
|
847 |
|
|
|
40,776 |
|
| STERIS PLC |
|
|
21,900 |
|
|
|
3,360,336 |
|
| West Pharmaceutical Services, Inc. |
|
|
14,400 |
|
|
|
3,271,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,482,187 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 1.9% |
|
| Alfresa Holdings Corp. (Japan) |
|
|
1,100 |
|
|
|
22,962 |
|
| Anthem, Inc. |
|
|
73,800 |
|
|
|
19,407,924 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Health Care Providers & Services (cont’d.) |
|
| Cardinal Health, Inc. |
|
|
16,800 |
|
|
$ |
876,792 |
|
| Cigna Corp. |
|
|
97,500 |
|
|
|
18,295,875 |
|
| CVS Health Corp. |
|
|
183,350 |
|
|
|
11,912,249 |
|
| Fresenius Medical Care AG & Co. KGaA (Germany)* |
|
|
2,754 |
|
|
|
237,607 |
|
| Fresenius SE & Co. KGaA (Germany)* |
|
|
10,686 |
|
|
|
533,976 |
|
| Humana, Inc. |
|
|
1,200 |
|
|
|
465,300 |
|
| Medipal Holdings Corp. (Japan) |
|
|
25,300 |
|
|
|
487,403 |
|
| Sonic Healthcare Ltd. (Australia) |
|
|
701 |
|
|
|
14,825 |
|
| Suzuken Co. Ltd. (Japan) |
|
|
13,600 |
|
|
|
507,693 |
|
| UnitedHealth Group, Inc. |
|
|
83,300 |
|
|
|
24,569,335 |
|
| Universal Health Services, Inc. (Class B Stock) |
|
|
14,900 |
|
|
|
1,384,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,716,002 |
|
|
|
|
|
|
|
|
|
|
| Health Care Technology — 0.0% |
|
| M3, Inc. (Japan) |
|
|
1,500 |
|
|
|
63,783 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.5% |
|
| Carnival PLC |
|
|
5,263 |
|
|
|
64,927 |
|
| Domino’s Pizza, Inc. |
|
|
4,800 |
|
|
|
1,773,312 |
|
| Evolution Gaming Group AB (Sweden), 144A |
|
|
4,717 |
|
|
|
284,578 |
|
| Flutter Entertainment PLC (Ireland) |
|
|
866 |
|
|
|
114,219 |
|
| Galaxy Entertainment Group Ltd. (Macau) |
|
|
13,000 |
|
|
|
88,558 |
|
| McDonald’s Corp. |
|
|
101,400 |
|
|
|
18,705,258 |
|
| McDonald’s Holdings Co. Japan Ltd. (Japan) |
|
|
4,700 |
|
|
|
253,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,284,370 |
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.2% |
|
| Barratt Developments PLC (United Kingdom) |
|
|
5,762 |
|
|
|
35,660 |
|
| Berkeley Group Holdings PLC (United Kingdom) |
|
|
9,150 |
|
|
|
473,380 |
|
| Casio Computer Co. Ltd. (Japan) |
|
|
1,100 |
|
|
|
19,282 |
|
| Husqvarna AB (Sweden) (Class B Stock) |
|
|
2,280 |
|
|
|
18,803 |
|
| M/I Homes, Inc.* |
|
|
74,300 |
|
|
|
2,558,892 |
|
| Meritage Homes Corp.* |
|
|
43,100 |
|
|
|
3,280,772 |
|
| Persimmon PLC
(United Kingdom)* |
|
|
1,935 |
|
|
|
55,050 |
|
| Rinnai Corp. (Japan) |
|
|
200 |
|
|
|
16,699 |
|
| Sekisui House Ltd. (Japan) |
|
|
3,600 |
|
|
|
68,514 |
|
| Sony Corp. (Japan) |
|
|
14,700 |
|
|
|
1,011,450 |
|
| Taylor Wimpey PLC (United Kingdom) |
|
|
31,431 |
|
|
|
55,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,594,403 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 1.1% |
|
| Essity AB (Sweden)
(Class B Stock)* |
|
|
18,036 |
|
|
|
583,677 |
|
| Henkel AG & Co. KGaA (Germany) |
|
|
601 |
|
|
|
50,154 |
|
| Kimberly-Clark Corp. |
|
|
27,400 |
|
|
|
3,872,990 |
|
| Lion Corp. (Japan) |
|
|
1,300 |
|
|
|
31,225 |
|
| Procter & Gamble Co. (The) |
|
|
348,505 |
|
|
|
41,670,743 |
|
| Reckitt Benckiser Group PLC (United Kingdom) |
|
|
528 |
|
|
|
48,601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,257,390 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A76
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Independent Power & Renewable Electricity Producers — 0.3% |
|
| AES Corp. (The) |
|
|
339,400 |
|
|
$ |
4,917,906 |
|
| Electric Power Development Co. Ltd. (Japan) |
|
|
700 |
|
|
|
13,280 |
|
| Vistra Energy Corp. |
|
|
405,300 |
|
|
|
7,546,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,477,872 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates — 0.8% |
|
| 3M Co. |
|
|
132,800 |
|
|
|
20,715,472 |
|
| CK Hutchison Holdings Ltd. (United Kingdom) |
|
|
71,000 |
|
|
|
456,558 |
|
| Honeywell International, Inc. |
|
|
62,900 |
|
|
|
9,094,711 |
|
| Siemens AG (Germany) |
|
|
4,273 |
|
|
|
507,023 |
|
| Toshiba Corp. (Japan) |
|
|
2,800 |
|
|
|
89,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,863,567 |
|
|
|
|
|
|
|
|
|
|
| Insurance — 1.5% |
|
| Admiral Group PLC (United Kingdom) |
|
|
1,104 |
|
|
|
31,409 |
|
| Aegon NV (Netherlands) |
|
|
159,917 |
|
|
|
479,867 |
|
| Aflac, Inc. |
|
|
98,800 |
|
|
|
3,559,764 |
|
| Ageas SA/NV (Belgium) |
|
|
1,011 |
|
|
|
35,963 |
|
| AIA Group Ltd. (Hong Kong) |
|
|
18,000 |
|
|
|
168,265 |
|
| Allianz SE (Germany) |
|
|
2,427 |
|
|
|
498,600 |
|
| Allstate Corp. (The) |
|
|
74,100 |
|
|
|
7,186,959 |
|
| American International Group, Inc. |
|
|
141,400 |
|
|
|
4,408,852 |
|
| Aviva PLC (United Kingdom) |
|
|
21,609 |
|
|
|
73,742 |
|
| Direct Line Insurance Group PLC (United Kingdom) |
|
|
7,754 |
|
|
|
26,134 |
|
| Japan Post Holdings Co. Ltd. (Japan) |
|
|
9,100 |
|
|
|
64,838 |
|
| Japan Post Insurance Co. Ltd. (Japan) |
|
|
2,800 |
|
|
|
36,888 |
|
| Legal & General Group PLC (United Kingdom) |
|
|
199,817 |
|
|
|
546,629 |
|
| Lincoln National Corp.(a) |
|
|
196,400 |
|
|
|
7,225,556 |
|
| Medibank Private Ltd. (Australia) |
|
|
15,918 |
|
|
|
32,939 |
|
| MetLife, Inc. |
|
|
421,300 |
|
|
|
15,385,876 |
|
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) |
|
|
403 |
|
|
|
105,104 |
|
| NN Group NV (Netherlands) |
|
|
16,946 |
|
|
|
570,412 |
|
| Old Republic International Corp. |
|
|
110,800 |
|
|
|
1,807,148 |
|
| Principal Financial Group, Inc. |
|
|
93,100 |
|
|
|
3,867,374 |
|
| Progressive Corp. (The) |
|
|
89,800 |
|
|
|
7,193,878 |
|
| Sompo Holdings, Inc. (Japan) |
|
|
1,900 |
|
|
|
65,311 |
|
| Sony Financial Holdings, Inc. (Japan) |
|
|
800 |
|
|
|
19,246 |
|
| Swiss Life Holding AG (Switzerland) |
|
|
659 |
|
|
|
245,472 |
|
| T&D Holdings, Inc. (Japan) |
|
|
3,200 |
|
|
|
27,319 |
|
| Unum Group |
|
|
345,700 |
|
|
|
5,735,163 |
|
| Zurich Insurance Group AG (Switzerland) |
|
|
1,960 |
|
|
|
694,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,092,929 |
|
|
|
|
|
|
|
|
|
|
| Interactive Media & Services — 3.1% |
|
| Alphabet, Inc. (Class A Stock)* |
|
|
19,750 |
|
|
|
28,006,488 |
|
| Alphabet, Inc. (Class C Stock)* |
|
|
21,132 |
|
|
|
29,872,407 |
|
| Facebook, Inc. (Class A Stock)* |
|
|
304,550 |
|
|
|
69,154,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
127,033,063 |
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail — 3.3% |
|
| Amazon.com, Inc.* |
|
|
33,800 |
|
|
|
93,248,116 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Internet & Direct Marketing Retail (cont’d.) |
|
| Booking Holdings, Inc.* |
|
|
10,750 |
|
|
$ |
17,117,655 |
|
| eBay, Inc. |
|
|
368,600 |
|
|
|
19,333,070 |
|
| Ocado Group PLC (United Kingdom)* |
|
|
2,430 |
|
|
|
61,281 |
|
| PetMed Express, Inc.(a) |
|
|
45,100 |
|
|
|
1,607,364 |
|
| Prosus NV (China)* |
|
|
829 |
|
|
|
77,319 |
|
| Qurate Retail, Inc.
(Class A Stock)* |
|
|
81,100 |
|
|
|
770,450 |
|
| Stamps.com, Inc.* |
|
|
21,700 |
|
|
|
3,986,073 |
|
| Zalando SE (Germany), 144A* |
|
|
773 |
|
|
|
54,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
136,256,179 |
|
|
|
|
|
|
|
|
|
|
| IT Services — 3.0% |
|
| Accenture PLC (Class A Stock) |
|
|
128,650 |
|
|
|
27,623,728 |
|
| Amdocs Ltd. |
|
|
40,400 |
|
|
|
2,459,552 |
|
| Atos SE (France)* |
|
|
558 |
|
|
|
47,884 |
|
| Automatic Data Processing, Inc. |
|
|
41,500 |
|
|
|
6,178,935 |
|
| Capgemini SE (France) |
|
|
2,852 |
|
|
|
329,139 |
|
| Cognizant Technology Solutions Corp. (Class A Stock) |
|
|
283,500 |
|
|
|
16,108,470 |
|
| Fujitsu Ltd. (Japan) |
|
|
2,900 |
|
|
|
339,761 |
|
| International Business Machines Corp.(a) |
|
|
154,500 |
|
|
|
18,658,965 |
|
| Itochu Techno-Solutions Corp. (Japan) |
|
|
600 |
|
|
|
22,600 |
|
| Jack Henry & Associates, Inc. |
|
|
4,800 |
|
|
|
883,344 |
|
| KBR, Inc. |
|
|
53,000 |
|
|
|
1,195,150 |
|
| Leidos Holdings, Inc. |
|
|
120,900 |
|
|
|
11,324,703 |
|
| NEC Corp. (Japan) |
|
|
700 |
|
|
|
33,546 |
|
| Nomura Research Institute Ltd. (Japan) |
|
|
17,600 |
|
|
|
480,551 |
|
| Otsuka Corp. (Japan) |
|
|
6,400 |
|
|
|
337,348 |
|
| PayPal Holdings, Inc.* |
|
|
37,300 |
|
|
|
6,498,779 |
|
| Perspecta, Inc. |
|
|
55,900 |
|
|
|
1,298,557 |
|
| Science Applications International Corp. |
|
|
13,300 |
|
|
|
1,033,144 |
|
| Visa, Inc. (Class A Stock)(a) |
|
|
152,500 |
|
|
|
29,458,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,312,581 |
|
|
|
|
|
|
|
|
|
|
| Leisure Products — 0.1% |
|
| Bandai Namco Holdings, Inc. (Japan) |
|
|
1,100 |
|
|
|
57,802 |
|
| Brunswick Corp. |
|
|
71,200 |
|
|
|
4,557,512 |
|
| Sega Sammy Holdings, Inc. (Japan) |
|
|
900 |
|
|
|
10,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,626,085 |
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services — 0.3% |
|
| Bio-Techne Corp. |
|
|
9,800 |
|
|
|
2,587,886 |
|
| IQVIA Holdings, Inc.* |
|
|
61,100 |
|
|
|
8,668,868 |
|
| QIAGEN NV* |
|
|
1,287 |
|
|
|
55,331 |
|
| Sartorius Stedim Biotech (France) |
|
|
159 |
|
|
|
40,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,352,523 |
|
|
|
|
|
|
|
|
|
|
| Machinery — 0.5% |
|
| Alfa Laval AB (Sweden)* |
|
|
1,770 |
|
|
|
39,192 |
|
| Allison Transmission Holdings, Inc. |
|
|
65,600 |
|
|
|
2,412,768 |
|
| Amada Co. Ltd. (Japan) |
|
|
46,200 |
|
|
|
377,696 |
|
| ANDRITZ AG (Austria)* |
|
|
451 |
|
|
|
16,457 |
|
| Atlas Copco AB (Sweden) (Class A Stock) |
|
|
17,663 |
|
|
|
752,451 |
|
| Atlas Copco AB (Sweden) (Class B Stock) |
|
|
2,266 |
|
|
|
83,818 |
|
| Crane Co. |
|
|
37,000 |
|
|
|
2,200,020 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A77
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Machinery (cont’d.) |
|
| Dover Corp. |
|
|
14,600 |
|
|
$ |
1,409,776 |
|
| Epiroc AB (Sweden)
(Class A Stock) |
|
|
13,919 |
|
|
|
174,351 |
|
| Epiroc AB (Sweden)
(Class B Stock) |
|
|
2,251 |
|
|
|
27,633 |
|
| GEA Group AG (Germany) |
|
|
918 |
|
|
|
29,205 |
|
| Kone OYJ (Finland)
(Class B Stock) |
|
|
3,926 |
|
|
|
270,284 |
|
| MINEBEA MITSUMI, Inc. (Japan) |
|
|
2,100 |
|
|
|
38,114 |
|
| Nabtesco Corp. (Japan) |
|
|
700 |
|
|
|
21,604 |
|
| Oshkosh Corp. |
|
|
124,100 |
|
|
|
8,888,042 |
|
| Otis Worldwide Corp. |
|
|
43,400 |
|
|
|
2,467,724 |
|
| Pentair PLC |
|
|
45,200 |
|
|
|
1,717,148 |
|
| Schindler Holding AG (Switzerland) |
|
|
115 |
|
|
|
27,341 |
|
| SKF AB (Sweden) (Class B Stock) |
|
|
2,210 |
|
|
|
41,460 |
|
| Timken Co. (The) |
|
|
1,000 |
|
|
|
45,490 |
|
| Volvo AB (Sweden)
(Class B Stock)* |
|
|
8,371 |
|
|
|
131,806 |
|
| Yangzijiang Shipbuilding Holdings Ltd. (China) |
|
|
13,100 |
|
|
|
8,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,181,168 |
|
|
|
|
|
|
|
|
|
|
| Marine — 0.0% |
|
| AP Moller - Maersk A/S (Denmark) (Class A Stock) |
|
|
21 |
|
|
|
22,899 |
|
| Nippon Yusen KK (Japan) |
|
|
900 |
|
|
|
12,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,570 |
|
|
|
|
|
|
|
|
|
|
| Media — 0.4% |
|
| Discovery, Inc. (Class C Stock)* |
|
|
90,700 |
|
|
|
1,746,882 |
|
| Publicis Groupe SA (France) |
|
|
13,506 |
|
|
|
439,164 |
|
| Telenet Group Holding NV (Belgium) |
|
|
8,980 |
|
|
|
370,981 |
|
| ViacomCBS, Inc.
(Class B Stock)(a) |
|
|
598,455 |
|
|
|
13,955,971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,512,998 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.2% |
|
| Alumina Ltd. (Australia) |
|
|
13,815 |
|
|
|
15,674 |
|
| Anglo American PLC (South Africa) |
|
|
25,126 |
|
|
|
588,353 |
|
| ArcelorMittal SA (Luxembourg)* |
|
|
4,031 |
|
|
|
43,246 |
|
| BHP Group Ltd. (Australia) |
|
|
16,748 |
|
|
|
417,337 |
|
| BHP Group PLC (Australia) |
|
|
22,195 |
|
|
|
458,427 |
|
| BlueScope Steel Ltd. (Australia) |
|
|
3,027 |
|
|
|
24,605 |
|
| Boliden AB (Sweden) |
|
|
1,596 |
|
|
|
36,586 |
|
| Evolution Mining Ltd. (Australia) |
|
|
8,820 |
|
|
|
34,930 |
|
| Evraz PLC (Russia) |
|
|
3,352 |
|
|
|
12,097 |
|
| Fortescue Metals Group Ltd. (Australia) |
|
|
64,961 |
|
|
|
627,125 |
|
| Newcrest Mining Ltd. (Australia) |
|
|
5,053 |
|
|
|
111,675 |
|
| Northern Star Resources Ltd. (Australia) |
|
|
4,104 |
|
|
|
38,587 |
|
| Nucor Corp. |
|
|
82,400 |
|
|
|
3,412,184 |
|
| Rio Tinto Ltd. (Australia) |
|
|
2,129 |
|
|
|
144,554 |
|
| Rio Tinto PLC (Australia) |
|
|
16,464 |
|
|
|
934,473 |
|
| Steel Dynamics, Inc. |
|
|
36,700 |
|
|
|
957,503 |
|
| Sumitomo Metal Mining Co. Ltd. (Japan) |
|
|
1,400 |
|
|
|
39,239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,896,595 |
|
|
|
|
|
|
|
|
|
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
|
| Starwood Property Trust, Inc.(a) |
|
|
203,000 |
|
|
|
3,036,880 |
|
| TPG RE Finance Trust, Inc. |
|
|
162,900 |
|
|
|
1,400,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,437,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Multiline Retail — 0.5% |
|
| Dollar General Corp. |
|
|
74,600 |
|
|
$ |
14,212,046 |
|
| Dollar Tree, Inc.* |
|
|
55,300 |
|
|
|
5,125,204 |
|
| Marks & Spencer Group PLC (United Kingdom) |
|
|
11,490 |
|
|
|
14,188 |
|
| Pan Pacific International Holdings Corp. (Japan) |
|
|
2,500 |
|
|
|
54,909 |
|
| Wesfarmers Ltd. (Australia) |
|
|
6,351 |
|
|
|
198,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,604,354 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 0.7% |
|
| AGL Energy Ltd. (Australia) |
|
|
3,811 |
|
|
|
45,136 |
|
| National Grid PLC (United Kingdom) |
|
|
19,760 |
|
|
|
242,890 |
|
| Public Service Enterprise Group, Inc. |
|
|
271,900 |
|
|
|
13,366,604 |
|
| RWE AG (Germany) |
|
|
1,909 |
|
|
|
67,162 |
|
| Sempra Energy |
|
|
120,000 |
|
|
|
14,067,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,789,392 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 1.3% |
|
| Chevron Corp. |
|
|
129,900 |
|
|
|
11,590,977 |
|
| Diamondback Energy, Inc. |
|
|
148,500 |
|
|
|
6,210,270 |
|
| Exxon Mobil Corp. |
|
|
20,000 |
|
|
|
894,400 |
|
| Inpex Corp. (Japan) |
|
|
68,100 |
|
|
|
424,470 |
|
| Kinder Morgan, Inc. |
|
|
945,100 |
|
|
|
14,337,167 |
|
| Koninklijke Vopak NV (Netherlands) |
|
|
392 |
|
|
|
20,785 |
|
| Lundin Energy AB (Sweden) |
|
|
11,941 |
|
|
|
292,884 |
|
| Neste OYJ (Finland) |
|
|
2,417 |
|
|
|
94,910 |
|
| OMV AG (Austria)* |
|
|
4,553 |
|
|
|
154,090 |
|
| ONEOK, Inc. |
|
|
50,000 |
|
|
|
1,661,000 |
|
| Origin Energy Ltd. (Australia) |
|
|
99,682 |
|
|
|
406,540 |
|
| Phillips 66 |
|
|
165,400 |
|
|
|
11,892,260 |
|
| Royal Dutch Shell PLC (Netherlands) (Class A Stock) |
|
|
23,406 |
|
|
|
375,542 |
|
| Royal Dutch Shell PLC (Netherlands) (Class B Stock) |
|
|
5,450 |
|
|
|
83,230 |
|
| Santos Ltd. (Australia) |
|
|
100,593 |
|
|
|
371,673 |
|
| Teekay Tankers Ltd. (Bermuda) (Class A Stock)*(a) |
|
|
82,600 |
|
|
|
1,058,932 |
|
| TOTAL SA (France) |
|
|
13,435 |
|
|
|
519,192 |
|
| World Fuel Services Corp. |
|
|
84,200 |
|
|
|
2,168,992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,557,314 |
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products — 0.0% |
|
| Oji Holdings Corp. (Japan) |
|
|
4,700 |
|
|
|
21,576 |
|
|
|
|
|
|
|
|
|
|
| Personal Products — 0.1% |
|
| Coty, Inc. (Class A Stock)(a) |
|
|
579,900 |
|
|
|
2,592,153 |
|
| L’Oreal SA (France)* |
|
|
675 |
|
|
|
217,084 |
|
| Unilever NV (United Kingdom) |
|
|
16,496 |
|
|
|
880,306 |
|
| Unilever PLC (United Kingdom) |
|
|
6,580 |
|
|
|
355,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,044,601 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 3.1% |
|
| Astellas Pharma, Inc. (Japan) |
|
|
39,600 |
|
|
|
660,803 |
|
| AstraZeneca PLC (United Kingdom) |
|
|
2,601 |
|
|
|
272,947 |
|
| Bayer AG (Germany) |
|
|
3,571 |
|
|
|
265,966 |
|
| Bristol-Myers Squibb Co. |
|
|
452,200 |
|
|
|
26,589,360 |
|
| Chugai Pharmaceutical Co. Ltd. (Japan) |
|
|
14,100 |
|
|
|
754,726 |
|
| Eisai Co. Ltd. (Japan) |
|
|
1,000 |
|
|
|
79,264 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A78
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Pharmaceuticals (cont’d.) |
|
| Eli Lilly & Co. |
|
|
163,800 |
|
|
$ |
26,892,684 |
|
| GlaxoSmithKline PLC
(United Kingdom) |
|
|
50,542 |
|
|
|
1,028,504 |
|
| Hikma Pharmaceuticals PLC (Jordan) |
|
|
795 |
|
|
|
21,908 |
|
| Hisamitsu Pharmaceutical Co., Inc. (Japan) |
|
|
300 |
|
|
|
16,198 |
|
| Johnson & Johnson |
|
|
239,048 |
|
|
|
33,617,320 |
|
| Merck & Co., Inc. |
|
|
360,800 |
|
|
|
27,900,664 |
|
| Novartis AG (Switzerland) |
|
|
18,216 |
|
|
|
1,594,620 |
|
| Novo Nordisk A/S (Denmark) (Class B Stock) |
|
|
10,097 |
|
|
|
658,208 |
|
| Ono Pharmaceutical Co. Ltd. (Japan) |
|
|
2,200 |
|
|
|
64,108 |
|
| Orion OYJ (Finland)
(Class B Stock) |
|
|
1,522 |
|
|
|
73,506 |
|
| Otsuka Holdings Co. Ltd. (Japan) |
|
|
1,300 |
|
|
|
56,661 |
|
| Pfizer, Inc. |
|
|
165,500 |
|
|
|
5,411,850 |
|
| Recordati SpA (Italy) |
|
|
588 |
|
|
|
29,447 |
|
| Roche Holding AG (Switzerland) |
|
|
5,453 |
|
|
|
1,899,392 |
|
| Sanofi (France) |
|
|
6,509 |
|
|
|
667,225 |
|
| Shionogi & Co. Ltd. (Japan) |
|
|
4,600 |
|
|
|
287,979 |
|
| UCB SA (Belgium) |
|
|
738 |
|
|
|
85,779 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
128,929,119 |
|
|
|
|
|
|
|
|
|
|
| Professional Services — 0.0% |
|
| Adecco Group AG (Switzerland) |
|
|
832 |
|
|
|
39,367 |
|
| Nihon M&A Center, Inc. (Japan) |
|
|
600 |
|
|
|
27,387 |
|
| Recruit Holdings Co. Ltd. (Japan) |
|
|
12,700 |
|
|
|
437,700 |
|
| RELX PLC (United Kingdom) |
|
|
8,742 |
|
|
|
203,596 |
|
| Teleperformance (France)* |
|
|
276 |
|
|
|
70,380 |
|
| Wolters Kluwer NV (Netherlands) |
|
|
8,664 |
|
|
|
679,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,458,241 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development — 0.1% |
|
| Aroundtown SA (Germany)* |
|
|
5,214 |
|
|
|
30,046 |
|
| CBRE Group, Inc.
(Class A Stock)*(a) |
|
|
58,750 |
|
|
|
2,656,675 |
|
| CK Asset Holdings Ltd.
(Hong Kong) |
|
|
14,500 |
|
|
|
86,536 |
|
| Daito Trust Construction Co. Ltd. (Japan) |
|
|
800 |
|
|
|
73,497 |
|
| Deutsche Wohnen SE (Germany) |
|
|
2,048 |
|
|
|
92,289 |
|
| Hulic Co. Ltd. (Japan) |
|
|
1,700 |
|
|
|
15,968 |
|
| Lendlease Group (Australia) |
|
|
3,693 |
|
|
|
31,908 |
|
| Mitsubishi Estate Co. Ltd. (Japan) |
|
|
6,800 |
|
|
|
100,970 |
|
| Nomura Real Estate Holdings, Inc. (Japan) |
|
|
24,500 |
|
|
|
454,361 |
|
| Sino Land Co. Ltd. (Hong Kong) |
|
|
16,000 |
|
|
|
20,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,562,394 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail — 0.5% |
|
| Aurizon Holdings Ltd. (Australia) |
|
|
152,616 |
|
|
|
520,847 |
|
| CSX Corp. |
|
|
112,650 |
|
|
|
7,856,211 |
|
| Kansas City Southern |
|
|
11,700 |
|
|
|
1,746,693 |
|
| Union Pacific Corp. |
|
|
66,400 |
|
|
|
11,226,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,349,999 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 3.0% |
|
| Advantest Corp. (Japan) |
|
|
11,300 |
|
|
|
646,076 |
|
| Applied Materials, Inc. |
|
|
225,000 |
|
|
|
13,601,250 |
|
| ASML Holding NV (Netherlands) |
|
|
962 |
|
|
|
355,454 |
|
| Disco Corp. (Japan) |
|
|
200 |
|
|
|
48,453 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Semiconductors & Semiconductor Equipment (cont’d.) |
|
| Infineon Technologies AG (Germany) |
|
|
7,072 |
|
|
$ |
167,876 |
|
| Intel Corp. |
|
|
686,150 |
|
|
|
41,052,354 |
|
| Lasertec Corp. (Japan) |
|
|
400 |
|
|
|
38,120 |
|
| Micron Technology, Inc.* |
|
|
15,100 |
|
|
|
777,952 |
|
| NVIDIA Corp. |
|
|
104,900 |
|
|
|
39,852,559 |
|
| QUALCOMM, Inc. |
|
|
231,900 |
|
|
|
21,151,599 |
|
| Semtech Corp.* |
|
|
45,000 |
|
|
|
2,349,900 |
|
| Skyworks Solutions, Inc. |
|
|
24,700 |
|
|
|
3,158,142 |
|
| STMicroelectronics NV (Switzerland) |
|
|
3,855 |
|
|
|
105,572 |
|
| SUMCO Corp. (Japan) |
|
|
2,900 |
|
|
|
44,811 |
|
| Synaptics, Inc.*(a) |
|
|
16,200 |
|
|
|
973,944 |
|
| Tokyo Electron Ltd. (Japan) |
|
|
1,000 |
|
|
|
246,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,570,886 |
|
|
|
|
|
|
|
|
|
|
| Software — 5.9% |
|
| Adobe, Inc.* |
|
|
62,350 |
|
|
|
27,141,578 |
|
| Check Point Software Technologies Ltd. (Israel)*(a) |
|
|
4,700 |
|
|
|
504,921 |
|
| Intuit, Inc. |
|
|
70,000 |
|
|
|
20,733,300 |
|
| Microsoft Corp. |
|
|
795,300 |
|
|
|
161,851,503 |
|
| NortonLifeLock, Inc. |
|
|
320,400 |
|
|
|
6,353,532 |
|
| Oracle Corp. |
|
|
466,550 |
|
|
|
25,786,219 |
|
| Oracle Corp. (Japan) |
|
|
300 |
|
|
|
35,608 |
|
| SAP SE (Germany) |
|
|
2,621 |
|
|
|
368,353 |
|
| TeamViewer AG (Germany), 144A* |
|
|
720 |
|
|
|
39,631 |
|
| Trend Micro, Inc. (Japan) |
|
|
800 |
|
|
|
44,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242,859,630 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 1.5% |
|
| Asbury Automotive Group, Inc.* |
|
|
20,300 |
|
|
|
1,569,799 |
|
| AutoNation, Inc.* |
|
|
174,200 |
|
|
|
6,546,436 |
|
| Best Buy Co., Inc. |
|
|
24,400 |
|
|
|
2,129,388 |
|
| Hennes & Mauritz AB (Sweden) (Class B Stock) |
|
|
3,192 |
|
|
|
46,654 |
|
| Hikari Tsushin, Inc. (Japan) |
|
|
1,300 |
|
|
|
296,455 |
|
| Home Depot, Inc. (The) |
|
|
87,400 |
|
|
|
21,894,574 |
|
| Industria de Diseno Textil SA (Spain) |
|
|
20,531 |
|
|
|
546,172 |
|
| JD Sports Fashion PLC (United Kingdom) |
|
|
38,095 |
|
|
|
294,976 |
|
| Kingfisher PLC (United Kingdom) |
|
|
12,100 |
|
|
|
33,102 |
|
| Lowe’s Cos., Inc. |
|
|
203,000 |
|
|
|
27,429,360 |
|
| Murphy USA, Inc.* |
|
|
12,500 |
|
|
|
1,407,375 |
|
| Nitori Holdings Co. Ltd. (Japan) |
|
|
500 |
|
|
|
97,984 |
|
| Sonic Automotive, Inc.
(Class A Stock) |
|
|
12,800 |
|
|
|
408,448 |
|
| Yamada Denki Co. Ltd. (Japan) |
|
|
3,800 |
|
|
|
18,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,719,566 |
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals — 3.8% |
|
| Apple, Inc. |
|
|
419,900 |
|
|
|
153,179,520 |
|
| Brother Industries Ltd. (Japan) |
|
|
8,100 |
|
|
|
146,182 |
|
| FUJIFILM Holdings Corp. (Japan) |
|
|
4,800 |
|
|
|
205,279 |
|
| Logitech International SA (Switzerland) |
|
|
8,162 |
|
|
|
533,645 |
|
| Xerox Holdings Corp. |
|
|
49,400 |
|
|
|
755,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
154,819,952 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods — 0.0% |
|
| EssilorLuxottica SA (France)* |
|
|
1,020 |
|
|
|
131,403 |
|
| Hermes International (France) |
|
|
495 |
|
|
|
415,946 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A79
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Textiles, Apparel & Luxury Goods (cont’d.) |
|
| LVMH Moet Hennessy Louis Vuitton SE (France) |
|
|
1,584 |
|
|
$ |
704,394 |
|
| Pandora A/S (Denmark) |
|
|
570 |
|
|
|
31,171 |
|
| Swatch Group AG (The) (Switzerland) |
|
|
140 |
|
|
|
5,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,288,419 |
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance — 0.0% |
|
| MGIC Investment Corp. |
|
|
202,300 |
|
|
|
1,656,837 |
|
| Tobacco — 0.5% |
|
| Altria Group, Inc. |
|
|
457,350 |
|
|
|
17,950,988 |
|
| British American Tobacco PLC (United Kingdom) |
|
|
25,333 |
|
|
|
977,636 |
|
| Imperial Brands PLC (United Kingdom) |
|
|
25,608 |
|
|
|
489,780 |
|
| Japan Tobacco, Inc. (Japan) |
|
|
29,800 |
|
|
|
552,881 |
|
| Swedish Match AB (Sweden) |
|
|
945 |
|
|
|
66,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,037,973 |
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 0.3% |
|
| AerCap Holdings NV (Ireland)* |
|
|
11,900 |
|
|
|
366,520 |
|
| Ashtead Group PLC (United Kingdom) |
|
|
2,552 |
|
|
|
86,422 |
|
| BMC Stock Holdings, Inc.* |
|
|
96,700 |
|
|
|
2,431,038 |
|
| Brenntag AG (Germany) |
|
|
868 |
|
|
|
45,784 |
|
| Bunzl PLC (United Kingdom) |
|
|
1,952 |
|
|
|
52,630 |
|
| Ferguson PLC |
|
|
6,980 |
|
|
|
571,363 |
|
| GMS, Inc.* |
|
|
96,300 |
|
|
|
2,368,017 |
|
| ITOCHU Corp. (Japan) |
|
|
7,700 |
|
|
|
165,824 |
|
| Marubeni Corp. (Japan) |
|
|
9,000 |
|
|
|
40,716 |
|
| Mitsui & Co. Ltd. (Japan) |
|
|
9,200 |
|
|
|
136,003 |
|
| MonotaRO Co. Ltd. (Japan) |
|
|
2,600 |
|
|
|
104,131 |
|
| Toyota Tsusho Corp. (Japan) |
|
|
1,200 |
|
|
|
30,488 |
|
| Univar Solutions, Inc.* |
|
|
95,600 |
|
|
|
1,611,816 |
|
| W.W. Grainger, Inc. |
|
|
10,100 |
|
|
|
3,173,016 |
|
| WESCO International, Inc.* |
|
|
43,100 |
|
|
|
1,513,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,697,009 |
|
|
|
|
|
|
|
|
|
|
| Transportation Infrastructure — 0.0% |
|
| Aena SME SA (Spain), 144A* |
|
|
369 |
|
|
|
49,446 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 0.0% |
|
| KDDI Corp. (Japan) |
|
|
27,200 |
|
|
|
815,593 |
|
| NTT DOCOMO, Inc. (Japan) |
|
|
15,700 |
|
|
|
417,845 |
|
| Softbank Corp. (Japan) |
|
|
11,500 |
|
|
|
146,529 |
|
| Vodafone Group PLC (United Kingdom) |
|
|
8,538 |
|
|
|
13,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,393,590 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $1,925,992,702) |
|
|
|
2,469,914,069 |
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUND — 0.0% |
|
| iShares MSCI EAFE ETF |
|
|
6,088 |
|
|
|
370,576 |
|
|
|
|
|
|
|
|
|
|
| (cost $297,717) |
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS — 0.0% |
|
| Automobiles — 0.0% |
|
| Bayerische Motoren Werke AG (Germany) (PRFC) |
|
|
320 |
|
|
|
15,536 |
|
| Porsche Automobil Holding SE (Germany) (PRFC)* |
|
|
884 |
|
|
|
51,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Shares |
|
|
Value |
|
|
| PREFERRED STOCKS (continued) |
|
| Automobiles (cont’d.) |
|
| Volkswagen AG (Germany) (PRFC)* |
|
|
|
1,042 |
|
|
$ |
159,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
226,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 0.0% |
|
| Citigroup Capital XIII, 7.130% |
|
|
|
22,000 |
|
|
|
583,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 0.0% |
|
|
|
|
|
| Sartorius AG (Germany) (PRFC) |
|
|
|
40 |
|
|
|
13,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Products — 0.0% |
|
| Henkel AG & Co. KGaA (Germany) (PRFC) |
|
|
|
1,616 |
|
|
|
150,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCKS
(cost $969,773) |
|
|
|
972,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
| ASSET-BACKED SECURITIES — 7.1% |
|
| Automobiles — 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
| AmeriCredit Automobile Receivables Trust, |
|
| Series 2018-01, Class C |
|
| 3.500% |
|
|
01/18/24 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,664,729 |
|
| Series 2019-01, Class B |
|
| 3.130% |
|
|
02/18/25 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,038,410 |
|
| Series 2019-01, Class C |
|
| 3.360% |
|
|
02/18/25 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,039,212 |
|
| Series 2019-02, Class C |
|
| 2.740% |
|
|
04/18/25 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,058,865 |
|
| Series 2019-03, Class C |
|
| 2.320% |
|
|
07/18/25 |
|
|
|
|
|
|
|
3,400 |
|
|
|
3,467,859 |
|
| Avis Budget Rental Car Funding AESOP LLC, |
|
| Series 2018-02A, Class A, 144A |
|
| 4.000% |
|
|
03/20/25 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,614,735 |
|
| Series 2019-02A, Class A, 144A |
|
| 3.350% |
|
|
09/22/25 |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,039,859 |
|
| Series 2019-03A, Class A, 144A |
|
| 2.360% |
|
|
03/20/26 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,943,988 |
|
| Series 2020-01A, Class A, 144A |
|
| 2.330% |
|
|
08/20/26 |
|
|
|
|
|
|
|
1,800 |
|
|
|
1,720,128 |
|
| Drive Auto Receivables Trust, |
|
| Series 2019-03, Class B |
|
| 2.650% |
|
|
02/15/24 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,412,398 |
|
| Ford Auto Securitization Trust (Canada), |
|
| Series 2019-BA, Class A2, 144A |
|
| 2.321% |
|
|
10/15/23 |
|
|
|
|
|
|
|
CAD 2,500 |
|
|
|
1,850,877 |
|
| Ford Credit Auto Owner Trust, |
|
| Series 2017-02, Class A, 144A |
|
| 2.360% |
|
|
03/15/29 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,572,521 |
|
| Series 2018-01, Class A, 144A |
|
| 3.190% |
|
|
07/15/31 |
|
|
|
|
|
|
|
3,800 |
|
|
|
4,069,101 |
|
| Series 2018-02, Class A, 144A |
|
| 3.470% |
|
|
01/15/30 |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,174,849 |
|
| Series 2019-01, Class A, 144A |
|
| 3.520% |
|
|
07/15/30 |
|
|
|
|
|
|
|
5,900 |
|
|
|
6,311,626 |
|
| Series 2020-01, Class A, 144A |
|
| 2.040% |
|
|
08/15/31 |
|
|
|
|
|
|
|
3,600 |
|
|
|
3,658,042 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A80
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Automobiles (cont’d.) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ford Credit Floorplan Master Owner Trust, |
|
| Series 2017-03, Class A |
|
| 2.480% |
|
|
09/15/24 |
|
|
|
|
|
|
|
1,900 |
|
|
$ |
1,921,588 |
|
| Series 2018-02, Class A |
|
| 3.170% |
|
|
03/15/25 |
|
|
|
|
|
|
|
13,350 |
|
|
|
13,736,903 |
|
| Series 2019-02, Class A |
|
| 3.060% |
|
|
04/15/26 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,569,186 |
|
| GM Financial Consumer Automobile Receivables Trust, |
|
| Series 2018-04, Class C |
|
| 3.620% |
|
|
06/17/24 |
|
|
|
|
|
|
|
500 |
|
|
|
527,599 |
|
| GMF Floorplan Owner Revolving Trust, |
|
| Series 2019-02, Class A, 144A |
|
| 2.900% |
|
|
04/15/26 |
|
|
|
|
|
|
|
5,700 |
|
|
|
5,939,586 |
|
| OneMain Direct Auto Receivables Trust, |
|
| Series 2017-02A, Class B, 144A |
|
| 2.550% |
|
|
11/14/23 |
|
|
|
|
|
|
|
1,402 |
|
|
|
1,402,797 |
|
| Series 2018-01A, Class A, 144A |
|
| 3.430% |
|
|
12/16/24 |
|
|
|
|
|
|
|
5,200 |
|
|
|
5,274,112 |
|
| Series 2019-01A, Class A, 144A |
|
| 3.630% |
|
|
09/14/27 |
|
|
|
|
|
|
|
5,500 |
|
|
|
5,913,207 |
|
| Santander Drive Auto Receivables Trust, |
|
| Series 2019-03, Class C |
|
| 2.490% |
|
|
10/15/25 |
|
|
|
|
|
|
|
1,900 |
|
|
|
1,920,169 |
|
| Toyota Auto Loan Extended Note Trust, |
|
| Series 2019-01A, Class A, 144A |
|
| 2.560% |
|
|
11/25/31 |
|
|
|
|
|
|
|
2,400 |
|
|
|
2,554,431 |
|
| Series 2020-01A, Class A, 144A |
|
| 1.350% |
|
|
05/25/33 |
|
|
|
|
|
|
|
600 |
|
|
|
608,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,005,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Collateralized Loan Obligations — 3.2% |
|
|
|
|
|
| Anchorage Capital CLO Ltd. (Cayman Islands), |
|
|
|
|
|
| Series 2019-11A, Class A, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 1.390%) |
|
| 2.488%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
3,750 |
|
|
|
3,666,531 |
|
| ArrowMark Colorado Holdings (Cayman Islands), |
|
|
|
|
|
| Series 2017-06A, Class A1, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 0.000%) |
|
| 2.499%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
500 |
|
|
|
491,508 |
|
| Ballyrock CLO Ltd. (Cayman Islands), |
|
| Series 2016-01A, Class AR, 144A, 3 Month LIBOR
+ 1.350% (Cap N/A, Floor 1.350%) |
|
| 2.569%(c) |
|
|
10/15/28 |
|
|
|
|
|
|
|
4,500 |
|
|
|
4,450,597 |
|
| Benefit Street Partners CLO Ltd. (Cayman Islands), |
|
|
|
|
|
| Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.469%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,477,191 |
|
| Brookside Mill CLO Ltd. (Cayman Islands), |
|
|
|
|
|
| Series 2013-01A, Class AR, 144A, 3 Month LIBOR
+ 0.820% (Cap N/A, Floor 0.000%) |
|
| 1.955%(c) |
|
|
01/17/28 |
|
|
|
|
|
|
|
1,455 |
|
|
|
1,438,197 |
|
| Canyon Capital CLO Ltd. (Cayman Islands), |
|
|
|
|
|
| Series 2015-01A, Class AS, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.469%(c) |
|
|
04/15/29 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,955,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
|
|
|
|
| Catamaran CLO Ltd. (Cayman Islands), |
|
| Series 2014-02A, Class A1R, 144A, 3 Month LIBOR
+ 1.400% (Cap N/A, Floor 0.000%) |
|
| 2.535%(c) |
|
|
10/18/26 |
|
|
|
|
|
|
|
156 |
|
|
$ |
155,306 |
|
| CBAM Ltd. (Cayman Islands), |
|
| Series 2019-11A, Class A1, 144A, 3 Month LIBOR
+ 1.360% (Cap N/A, Floor 1.360%) |
|
| 2.495%(c) |
|
|
10/20/32 |
|
|
|
|
|
|
|
5,800 |
|
|
|
5,691,593 |
|
| CIFC Funding Ltd. (Cayman Islands), |
|
| Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR
+ 1.200% (Cap N/A, Floor 1.200%) |
|
| 2.335%(c) |
|
|
10/17/31 |
|
|
|
|
|
|
|
9,750 |
|
|
|
9,540,714 |
|
| Greenwood Park CLO Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A2, 144A, 3 Month LIBOR
+ 1.010% (Cap N/A, Floor 0.000%) |
|
| 2.229%(c) |
|
|
04/15/31 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,943,371 |
|
| Greywolf CLO Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A1, 144A, 3 Month LIBOR
+ 1.030% (Cap N/A, Floor 0.000%) |
|
| 2.021%(c) |
|
|
04/26/31 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,868,447 |
|
| Highbridge Loan Management Ltd. (Cayman Islands), |
|
| Series 2015-06A, Class A1R, 144A, 3 Month LIBOR
+ 1.000% (Cap N/A, Floor 0.000%) |
|
| 1.541%(c) |
|
|
02/05/31 |
|
|
|
|
|
|
|
248 |
|
|
|
241,680 |
|
| HPS Loan Management Ltd. (Cayman Islands), |
|
| Series 15A-19, Class A1, 144A, 3 Month LIBOR +
1.320% (Cap N/A, Floor 1.320%) |
|
| 3.122%(c) |
|
|
07/22/32 |
|
|
|
|
|
|
|
3,750 |
|
|
|
3,679,912 |
|
| ICG US CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class A1R, 144A, 3 Month LIBOR
+ 1.140% (Cap N/A, Floor 1.140%) |
|
| 2.275%(c) |
|
|
10/19/28 |
|
|
|
|
|
|
|
10,000 |
|
|
|
9,849,053 |
|
| Series 2017-02A, Class A1, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 0.000%) |
|
| 2.323%(c) |
|
|
10/23/29 |
|
|
|
|
|
|
|
1,250 |
|
|
|
1,228,524 |
|
| Jamestown CLO Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.470% (Cap N/A, Floor 1.470%) |
|
| 2.605%(c) |
|
|
04/20/32 |
|
|
|
|
|
|
|
5,750 |
|
|
|
5,647,386 |
|
| Jefferson Mill CLO Ltd. (Cayman Islands), |
|
| Series 2015-01A, Class AR, 144A, 3 Month LIBOR
+ 1.175% (Cap N/A, Floor 0.000%) |
|
| 2.310%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
6,750 |
|
|
|
6,573,129 |
|
| MidOcean Credit CLO (Cayman Islands), |
|
| Series 2014-03A, Class A1R, 144A, 3 Month LIBOR
+ 1.120% (Cap N/A, Floor 1.120%) |
|
| 2.229%(c) |
|
|
04/21/31 |
|
|
|
|
|
|
|
2,391 |
|
|
|
2,326,924 |
|
| Ocean Trails CLO Ltd. (Cayman Islands), |
|
| Series 2019-07A, Class A1, 144A, 3 Month LIBOR
+ 1.400% (Cap N/A, Floor 1.400%) |
|
| 2.535%(c) |
|
|
04/17/30 |
|
|
|
|
|
|
|
2,750 |
|
|
|
2,682,384 |
|
| OCP CLO Ltd. (Cayman Islands), |
|
| Series 2017-13A, Class A1A, 144A, 3 Month LIBOR
+ 1.260% (Cap N/A, Floor 0.000%) |
|
| 2.479%(c) |
|
|
07/15/30 |
|
|
|
|
|
|
|
1,250 |
|
|
|
1,237,667 |
|
| Series 2019-17A, Class A1, 144A, 3 Month LIBOR
+ 1.330% (Cap N/A, Floor 1.330%) |
|
| 2.465%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
10,000 |
|
|
|
9,831,762 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A81
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| OZLM Ltd. (Cayman Islands), |
|
| Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 1.280%) |
|
| 2.415%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
7,449 |
|
|
$ |
7,243,690 |
|
| Series 2015-11A, Class A1R, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.010%(c) |
|
|
10/30/30 |
|
|
|
|
|
|
|
1,491 |
|
|
|
1,449,389 |
|
| Series 2019-24A, Class A1A, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 0.000%) |
|
| 2.525%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
3,750 |
|
|
|
3,646,911 |
|
| Palmer Square CLO Ltd. (Cayman Islands), |
|
| Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR
+ 1.130% (Cap N/A, Floor 1.130%) |
|
| 2.265%(c) |
|
|
01/17/31 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,468,416 |
|
| Series 2018-02A, Class A1A, 144A, 3 Month LIBOR
+ 1.100% (Cap N/A, Floor 0.000%) |
|
| 2.276%(c) |
|
|
07/16/31 |
|
|
|
|
|
|
|
2,350 |
|
|
|
2,291,048 |
|
| Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
|
| Series 2018-01A, Class A1A, 144A, 3 Month LIBOR
+ 1.280% (Cap N/A, Floor 1.280%) |
|
| 2.415%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
8,750 |
|
|
|
8,643,530 |
|
| Romark CLO Ltd. (Cayman Islands), |
|
| Series 2018-02A, Class A1, 144A, 3 Month LIBOR
+ 1.175% (Cap N/A, Floor 1.175%) |
|
| 2.166%(c) |
|
|
07/25/31 |
|
|
|
|
|
|
|
1,000 |
|
|
|
972,887 |
|
| Telos CLO Ltd. (Cayman Islands), |
|
| Series 2013-03A, Class AR, 144A, 3 Month LIBOR
+ 1.300% (Cap N/A, Floor 1.300%) |
|
| 2.435%(c) |
|
|
07/17/26 |
|
|
|
|
|
|
|
788 |
|
|
|
785,948 |
|
| Series 2013-04A, Class AR, 144A, 3 Month LIBOR
+ 1.240% (Cap N/A, Floor 0.000%) |
|
| 2.375%(c) |
|
|
01/17/30 |
|
|
|
|
|
|
|
2,489 |
|
|
|
2,452,117 |
|
| TICP CLO Ltd. (Cayman Islands), |
|
| Series 2018-03R, Class A, 144A, 3 Month LIBOR
+ 0.840% (Cap N/A, Floor 0.840%) |
|
| 1.975%(c) |
|
|
04/20/28 |
|
|
|
|
|
|
|
4,000 |
|
|
|
3,959,902 |
|
| Trimaran Cavu Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.460% (Cap N/A, Floor 1.460%) |
|
| 2.595%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
3,000 |
|
|
|
2,966,096 |
|
| Trinitas CLO Ltd. (Cayman Islands), |
|
| Series 2017-07A, Class A, 144A, 3 Month LIBOR
+ 1.210% (Cap N/A, Floor 0.000%) |
|
| 2.201%(c) |
|
|
01/25/31 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,437,553 |
|
| Venture CLO Ltd. (Cayman Islands), |
|
| Series 2015-21A, Class AR, 144A, 3 Month LIBOR
+ 0.880% (Cap N/A, Floor 0.000%) |
|
| 2.099%(c) |
|
|
07/15/27 |
|
|
|
|
|
|
|
874 |
|
|
|
866,419 |
|
| Wellfleet CLO Ltd. (Cayman Islands), |
|
| Series 2017-03A, Class A1, 144A, 3 Month LIBOR
+ 1.150% (Cap N/A, Floor 1.150%) |
|
| 2.285%(c) |
|
|
01/17/31 |
|
|
|
|
|
|
|
2,750 |
|
|
|
2,676,214 |
|
| Series 2018-01A, Class A, 144A, 3 Month LIBOR
+ 1.100% (Cap N/A, Floor 1.100%) |
|
| 2.235%(c) |
|
|
07/17/31 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,404,814 |
|
| Series 2018-02A, Class A1, 144A, 3 Month LIBOR
+ 1.200% (Cap N/A, Floor 1.200%) |
|
| 2.335%(c) |
|
|
10/20/31 |
|
|
|
|
|
|
|
5,750 |
|
|
|
5,550,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Zais CLO Ltd. (Cayman Islands), |
|
| Series 2017-01A, Class A1, 144A, 3 Month LIBOR
+ 1.370% (Cap N/A, Floor 0.000%) |
|
| 2.589%(c) |
|
|
07/15/29 |
|
|
|
|
|
|
|
1,734 |
|
|
$ |
1,704,327 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131,497,329 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Loans — 0.1% |
|
| OneMain Financial Issuance Trust, |
|
|
|
|
|
| Series 2017-01A, Class A2, 144A, 1 Month LIBOR
+ 0.800% (Cap N/A, Floor 0.000%) |
|
| 0.985%(c) |
|
|
09/14/32 |
|
|
|
|
|
|
|
1,706 |
|
|
|
1,700,772 |
|
| Oportun Funding X LLC, |
|
| Series 2018-C, Class A, 144A |
|
| 4.100% |
|
|
10/08/24 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,606,196 |
|
| Oportun Funding XII LLC, |
|
|
|
|
|
| Series 2018-D, Class A, 144A |
|
| 4.150% |
|
|
12/09/24 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,099,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,406,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equipment — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MMAF Equipment Finance LLC, |
|
| Series 2017-B, Class A5, 144A |
|
| 2.720% |
|
|
06/15/40 |
|
|
|
|
|
|
|
2,800 |
|
|
|
2,952,969 |
|
| Series 2018-A, Class A5, 144A |
|
| 3.610% |
|
|
03/10/42 |
|
|
|
|
|
|
|
800 |
|
|
|
862,131 |
|
| Series 2019-A, Class A5, 144A |
|
| 3.080% |
|
|
11/12/41 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,692,071 |
|
| Series 2019-B, Class A5, 144A |
|
| 2.290% |
|
|
11/12/41 |
|
|
|
|
|
|
|
2,400 |
|
|
|
2,541,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,048,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Equity Loans — 0.1% |
|
| CDC Mortgage Capital Trust, |
|
| Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.100%) |
|
| 1.835%(c) |
|
|
03/25/33 |
|
|
|
|
|
|
|
53 |
|
|
|
53,352 |
|
| Morgan Stanley Dean Witter Capital I, Inc. Trust, |
|
| Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
|
| 1.085%(c) |
|
|
07/25/32 |
|
|
|
|
|
|
|
20 |
|
|
|
20,229 |
|
| Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 0.850%) |
|
| 1.460%(c) |
|
|
09/25/32 |
|
|
|
|
|
|
|
1,766 |
|
|
|
1,727,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,801,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other — 0.2% |
|
| Sierra Timeshare Receivables Funding LLC, |
|
| Series 2018-02A, Class A, 144A |
|
| 3.500% |
|
|
06/20/35 |
|
|
|
|
|
|
|
1,094 |
|
|
|
1,112,149 |
|
| Series 2019-02A, Class A, 144A |
|
|
|
|
|
| 2.590% |
|
|
05/20/36 |
|
|
|
|
|
|
|
1,924 |
|
|
|
1,923,550 |
|
| TH MSR Issuer Trust, |
|
| Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor
2.800%) |
|
| 2.985%(c) |
|
|
06/25/24 |
|
|
|
|
|
|
|
3,250 |
|
|
|
3,048,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,084,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A82
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Residential Mortgage-Backed Securities — 0.4% |
|
| Credit Suisse Mortgage Trust, |
|
| Series 2018-RPL08, Class A1, 144A |
|
| 4.125%(cc) |
|
|
07/25/58 |
|
|
|
|
|
|
|
1,129 |
|
|
$ |
1,155,755 |
|
| Legacy Mortgage Asset Trust, |
|
|
|
|
|
| Series 2019-GS02, Class A1, 144A |
|
| 3.750% |
|
|
01/25/59 |
|
|
|
|
|
|
|
745 |
|
|
|
753,766 |
|
| Series 2019-GS04, Class A1, 144A |
|
| 3.438% |
|
|
05/25/59 |
|
|
|
|
|
|
|
1,338 |
|
|
|
1,335,152 |
|
| Series 2019-SL01, Class A, 144A |
|
| 4.000%(cc) |
|
|
12/28/54 |
|
|
|
|
|
|
|
431 |
|
|
|
433,590 |
|
| Long Beach Mortgage Loan Trust, |
|
| Series 2004-02, Class M1, 1 Month LIBOR +
0.795% (Cap N/A, Floor 0.530%) |
|
| 0.980%(c) |
|
|
06/25/34 |
|
|
|
|
|
|
|
158 |
|
|
|
151,284 |
|
| Mill City Mortgage Loan Trust, |
|
| Series 2017-03, Class A1, 144A |
|
| 2.750%(cc) |
|
|
01/25/61 |
|
|
|
|
|
|
|
1,526 |
|
|
|
1,561,309 |
|
| TFS (Spain), |
|
|
|
|
|
| Series 2018-03, Class A1, 1 Month EURIBOR +
2.900% |
|
| 2.900%(c) |
|
|
04/16/23 |
|
|
|
|
|
|
|
EUR 2,599 |
|
|
|
2,708,136 |
|
| Towd Point Mortgage Trust, |
|
| Series 2017-04, Class A1, 144A |
|
| 2.750%(cc) |
|
|
06/25/57 |
|
|
|
|
|
|
|
3,629 |
|
|
|
3,736,150 |
|
| Series 2017-05, Class A1, 144A, 1 Month LIBOR
+ 0.600% (Cap N/A, Floor 0.000%) |
|
| 0.785%(c) |
|
|
02/25/57 |
|
|
|
|
|
|
|
2,523 |
|
|
|
2,500,756 |
|
| Series 2017-06, Class A1, 144A |
|
| 2.750%(cc) |
|
|
10/25/57 |
|
|
|
|
|
|
|
2,516 |
|
|
|
2,606,477 |
|
| Series 2018-02, Class A1, 144A |
|
| 3.250%(cc) |
|
|
03/25/58 |
|
|
|
|
|
|
|
246 |
|
|
|
258,654 |
|
| Series 2018-03, Class A1, 144A |
|
| 3.750%(cc) |
|
|
05/25/58 |
|
|
|
|
|
|
|
145 |
|
|
|
155,876 |
|
| Series 2018-05, Class A1, 144A |
|
| 3.250%(cc) |
|
|
07/25/58 |
|
|
|
|
|
|
|
553 |
|
|
|
586,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,943,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Student Loans — 0.9% |
|
| Commonbond Student Loan Trust, |
|
| Series 2017-BGS, Class A1, 144A |
|
| 2.680% |
|
|
09/25/42 |
|
|
|
|
|
|
|
1,742 |
|
|
|
1,770,868 |
|
| Series 2018-AGS, Class A1, 144A |
|
| 3.210% |
|
|
02/25/44 |
|
|
|
|
|
|
|
1,342 |
|
|
|
1,379,738 |
|
| Series 2018-CGS, Class A1, 144A |
|
| 3.870% |
|
|
02/25/46 |
|
|
|
|
|
|
|
511 |
|
|
|
531,229 |
|
| Laurel Road Prime Student Loan Trust, |
|
|
|
|
|
| Series 2017-C, Class A2B, 144A |
|
| 2.810% |
|
|
11/25/42 |
|
|
|
|
|
|
|
1,195 |
|
|
|
1,223,385 |
|
| Series 2018-B, Class A2FX, 144A |
|
| 3.540% |
|
|
05/26/43 |
|
|
|
|
|
|
|
2,146 |
|
|
|
2,172,252 |
|
| Series 2019-A, Class A2FX, 144A |
|
| 2.730% |
|
|
10/25/48 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,442,153 |
|
| Navient Private Education Refi Loan Trust, |
|
|
|
|
|
| Series 2018-A, Class A2, 144A |
|
| 3.190% |
|
|
02/18/42 |
|
|
|
|
|
|
|
4,527 |
|
|
|
4,632,879 |
|
| Series 2018-CA, Class A2, 144A |
|
| 3.520% |
|
|
06/16/42 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,754,262 |
|
| Series 2019-CA, Class A2, 144A |
|
| 3.130% |
|
|
02/15/68 |
|
|
|
|
|
|
|
2,100 |
|
|
|
2,166,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Student Loans (cont’d.) |
|
| Series 2019-EA, Class A2A, 144A |
|
| 2.640% |
|
|
05/15/68 |
|
|
|
|
|
|
|
2,100 |
|
|
$ |
2,145,829 |
|
| Series 2020-BA, Class A2, 144A |
|
| 2.120% |
|
|
01/15/69 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,625,247 |
|
| SoFi Professional Loan Program LLC, |
|
| Series 2019-A, Class A2FX, 144A |
|
| 3.690% |
|
|
06/15/48 |
|
|
|
|
|
|
|
3,800 |
|
|
|
3,983,523 |
|
| Series 2019-B, Class A2FX, 144A |
|
| 3.090% |
|
|
08/17/48 |
|
|
|
|
|
|
|
2,100 |
|
|
|
2,181,764 |
|
| Series 2019-C, Class A2FX, 144A |
|
| 2.370% |
|
|
11/16/48 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,552,114 |
|
| SoFi Professional Loan Program Trust, |
|
|
|
|
|
| Series 2018-B, Class A2FX, 144A |
|
| 3.340% |
|
|
08/25/47 |
|
|
|
|
|
|
|
3,100 |
|
|
|
3,205,419 |
|
| Series 2020-A, Class A2FX, 144A |
|
| 2.540% |
|
|
05/15/46 |
|
|
|
|
|
|
|
2,400 |
|
|
|
2,486,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,254,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL ASSET-BACKED SECURITIES
(cost $288,667,341) |
|
|
|
290,040,504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.2% |
|
| Assurant Commercial Mortgage Trust, |
|
| Series 2016-01A, Class AS, 144A |
|
| 3.172% |
|
|
05/15/49 |
|
|
|
|
|
|
|
4,000 |
|
|
|
4,102,368 |
|
| BANK, |
|
| Series 2017-BNK04, Class A3 |
|
| 3.362% |
|
|
05/15/50 |
|
|
|
|
|
|
|
6,500 |
|
|
|
7,193,391 |
|
| Barclays Commercial Mortgage Securities Trust, |
|
| Series 2018-C02, Class A4 |
|
| 4.047% |
|
|
12/15/51 |
|
|
|
|
|
|
|
5,400 |
|
|
|
6,259,188 |
|
| Benchmark Mortgage Trust, |
|
| Series 2018-B03, Class A4 |
|
| 3.761% |
|
|
04/10/51 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,710,869 |
|
| Series 2018-B08, Class A4 |
|
| 3.963% |
|
|
01/15/52 |
|
|
|
|
|
|
|
6,700 |
|
|
|
7,790,383 |
|
| Citigroup Commercial Mortgage Trust, |
|
| Series 2014-GC21, Class A4 |
|
| 3.575% |
|
|
05/10/47 |
|
|
|
|
|
|
|
1,282 |
|
|
|
1,365,940 |
|
| Series 2014-GC23, Class A3 |
|
| 3.356% |
|
|
07/10/47 |
|
|
|
|
|
|
|
2,193 |
|
|
|
2,333,728 |
|
| Series 2016-C01, Class A3 |
|
| 2.944% |
|
|
05/10/49 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,340,517 |
|
| Series 2016-GC37, Class A3 |
|
| 3.050% |
|
|
04/10/49 |
|
|
|
|
|
|
|
6,500 |
|
|
|
6,825,769 |
|
| Series 2017-P07, Class A3 |
|
| 3.442% |
|
|
04/14/50 |
|
|
|
|
|
|
|
5,500 |
|
|
|
6,061,092 |
|
| Commercial Mortgage Trust, |
|
| Series 2014-CR15, Class A2 |
|
| 2.928% |
|
|
02/10/47 |
|
|
|
|
|
|
|
797 |
|
|
|
798,899 |
|
| Series 2014-CR18, Class A4 |
|
| 3.550% |
|
|
07/15/47 |
|
|
|
|
|
|
|
2,783 |
|
|
|
2,978,319 |
|
| Series 2014-CR20, Class A3 |
|
| 3.326% |
|
|
11/10/47 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,302,559 |
|
| Series 2015-CR27, Class A3 |
|
| 3.349% |
|
|
10/10/48 |
|
|
|
|
|
|
|
6,100 |
|
|
|
6,636,729 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A83
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| CSAIL Commercial Mortgage Trust, |
|
| Series 2015-C04, Class A3 |
|
| 3.544% |
|
|
11/15/48 |
|
|
|
|
|
|
|
3,000 |
|
|
$ |
3,259,645 |
|
| Series 2017-C08, Class A3 |
|
| 3.127% |
|
|
06/15/50 |
|
|
|
|
|
|
|
5,300 |
|
|
|
5,728,531 |
|
| Fannie Mae-Aces, |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-M17, Class A2 |
|
| 3.015%(cc) |
|
|
11/25/25 |
|
|
|
|
|
|
|
3,792 |
|
|
|
4,144,912 |
|
| Series 2017-M01, Class A2 |
|
| 2.497%(cc) |
|
|
10/25/26 |
|
|
|
|
|
|
|
2,200 |
|
|
|
2,372,735 |
|
| Series 2017-M04, Class A2 |
|
| 2.670%(cc) |
|
|
12/25/26 |
|
|
|
|
|
|
|
11,800 |
|
|
|
12,880,377 |
|
| Series 2017-M08, Class A2 |
|
| 3.061%(cc) |
|
|
05/25/27 |
|
|
|
|
|
|
|
8,250 |
|
|
|
9,221,369 |
|
| Series 2018-M04, Class A2 |
|
| 3.147%(cc) |
|
|
03/25/28 |
|
|
|
|
|
|
|
4,325 |
|
|
|
4,879,439 |
|
| FHLMC Multifamily Structured Pass-Through Certificates, |
|
| Series K020, Class X1, IO |
|
| 1.498%(cc) |
|
|
05/25/22 |
|
|
|
|
|
|
|
22,023 |
|
|
|
466,080 |
|
| Series K021, Class X1, IO |
|
| 1.548%(cc) |
|
|
06/25/22 |
|
|
|
|
|
|
|
6,353 |
|
|
|
139,930 |
|
| Series K055, Class X1, IO |
|
| 1.498%(cc) |
|
|
03/25/26 |
|
|
|
|
|
|
|
13,671 |
|
|
|
903,500 |
|
| Series K057, Class AM |
|
| 2.624% |
|
|
08/25/26 |
|
|
|
|
|
|
|
7,230 |
|
|
|
7,868,487 |
|
| Series K064, Class AM |
|
| 3.327%(cc) |
|
|
03/25/27 |
|
|
|
|
|
|
|
5,900 |
|
|
|
6,706,372 |
|
| Series K068, Class AM |
|
| 3.315% |
|
|
08/25/27 |
|
|
|
|
|
|
|
5,600 |
|
|
|
6,419,965 |
|
| Series K069, Class A2 |
|
| 3.187%(cc) |
|
|
09/25/27 |
|
|
|
|
|
|
|
4,900 |
|
|
|
5,603,499 |
|
| Series K069, Class AM |
|
| 3.248%(cc) |
|
|
09/25/27 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,194,755 |
|
| Series K070, Class A2 |
|
| 3.303%(cc) |
|
|
11/25/27 |
|
|
|
|
|
|
|
7,250 |
|
|
|
8,357,406 |
|
| Series K070, Class AM |
|
| 3.364% |
|
|
12/25/27 |
|
|
|
|
|
|
|
1,525 |
|
|
|
1,760,767 |
|
| Series K072, Class A2 |
|
| 3.444% |
|
|
12/25/27 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,327,730 |
|
| Series K075, Class AM |
|
| 3.650%(cc) |
|
|
02/25/28 |
|
|
|
|
|
|
|
3,575 |
|
|
|
4,185,936 |
|
| Series K076, Class AM |
|
| 3.900% |
|
|
04/25/28 |
|
|
|
|
|
|
|
2,575 |
|
|
|
3,069,548 |
|
| Series K077, Class A2 |
|
| 3.850%(cc) |
|
|
05/25/28 |
|
|
|
|
|
|
|
4,800 |
|
|
|
5,722,777 |
|
| Series K077, Class AM |
|
| 3.850%(cc) |
|
|
05/25/28 |
|
|
|
|
|
|
|
950 |
|
|
|
1,131,971 |
|
| Series K080, Class AM |
|
| 3.986%(cc) |
|
|
07/25/28 |
|
|
|
|
|
|
|
7,050 |
|
|
|
8,434,467 |
|
| Series K081, Class AM |
|
| 3.900%(cc) |
|
|
08/25/28 |
|
|
|
|
|
|
|
3,500 |
|
|
|
4,172,661 |
|
| Series K086, Class AM |
|
| 3.919%(cc) |
|
|
12/25/28 |
|
|
|
|
|
|
|
1,300 |
|
|
|
1,568,832 |
|
| Series K087, Class AM |
|
| 3.832%(cc) |
|
|
12/25/28 |
|
|
|
|
|
|
|
1,350 |
|
|
|
1,614,773 |
|
| Series K157, Class A2 |
|
| 3.990%(cc) |
|
|
05/25/33 |
|
|
|
|
|
|
|
4,200 |
|
|
|
5,195,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Series W5FX, Class AFX |
|
| 3.336%(cc) |
|
|
04/25/28 |
|
|
|
|
|
|
|
2,260 |
|
|
$ |
2,567,327 |
|
| GS Mortgage Securities Trust, |
|
| Series 2015-GC28, Class A4 |
|
| 3.136% |
|
|
02/10/48 |
|
|
|
|
|
|
|
4,000 |
|
|
|
4,251,579 |
|
| Series 2015-GC32, Class A3 |
|
| 3.498% |
|
|
07/10/48 |
|
|
|
|
|
|
|
5,800 |
|
|
|
6,303,687 |
|
| Series 2016-GS03, Class A3 |
|
| 2.592% |
|
|
10/10/49 |
|
|
|
|
|
|
|
5,800 |
|
|
|
6,050,520 |
|
| Series 2016-GS04, Class A3 |
|
| 3.178% |
|
|
11/10/49 |
|
|
|
|
|
|
|
5,500 |
|
|
|
5,976,351 |
|
| JPMBB Commercial Mortgage Securities Trust, |
|
| Series 2014-C25, Class A4A1 |
|
| 3.408% |
|
|
11/15/47 |
|
|
|
|
|
|
|
890 |
|
|
|
952,808 |
|
| Series 2015-C27, Class A3A1 |
|
| 2.920% |
|
|
02/15/48 |
|
|
|
|
|
|
|
5,809 |
|
|
|
6,131,228 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust, |
|
| Series 2013-LC11, Class A4 |
|
| 2.694% |
|
|
04/15/46 |
|
|
|
|
|
|
|
634 |
|
|
|
652,284 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust, |
|
| Series 2013-C08, Class A3 |
|
| 2.863% |
|
|
12/15/48 |
|
|
|
|
|
|
|
1,351 |
|
|
|
1,386,821 |
|
| Morgan Stanley Capital I Trust, |
|
| Series 2016-UB11, Class A3 |
|
| 2.531% |
|
|
08/15/49 |
|
|
|
|
|
|
|
10,400 |
|
|
|
10,941,881 |
|
| Series 2018-H04, Class A3 |
|
| 4.043% |
|
|
12/15/51 |
|
|
|
|
|
|
|
1,900 |
|
|
|
2,212,834 |
|
| Series 2019-H07, Class A2 |
|
| 2.492% |
|
|
07/15/52 |
|
|
|
|
|
|
|
13,500 |
|
|
|
14,030,708 |
|
| UBS Commercial Mortgage Trust, |
|
| Series 2017-C02, Class ASB |
|
| 3.264% |
|
|
08/15/50 |
|
|
|
|
|
|
|
3,500 |
|
|
|
3,759,592 |
|
| Series 2017-C05, Class A4 |
|
| 3.212% |
|
|
11/15/50 |
|
|
|
|
|
|
|
6,750 |
|
|
|
7,315,261 |
|
| Series 2018-C09, Class A3 |
|
| 3.854% |
|
|
03/15/51 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,802,158 |
|
| Series 2018-C14, Class A3 |
|
| 4.180% |
|
|
12/15/51 |
|
|
|
|
|
|
|
4,100 |
|
|
|
4,716,174 |
|
| UBS-Barclays Commercial Mortgage Trust, |
|
| Series 2012-C04, Class A4 |
|
| 2.792% |
|
|
12/10/45 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,732,188 |
|
| Series 2013-C05, Class A3 |
|
| 2.920% |
|
|
03/10/46 |
|
|
|
|
|
|
|
1,179 |
|
|
|
1,204,950 |
|
| Series 2013-C06, Class A3 |
|
| 2.971% |
|
|
04/10/46 |
|
|
|
|
|
|
|
1,798 |
|
|
|
1,850,901 |
|
| Wells Fargo Commercial Mortgage Trust, |
|
| Series 2016-NXS06, Class A3 |
|
| 2.642% |
|
|
11/15/49 |
|
|
|
|
|
|
|
8,000 |
|
|
|
8,384,466 |
|
| Series 2017-C38, Class A4 |
|
| 3.190% |
|
|
07/15/50 |
|
|
|
|
|
|
|
4,600 |
|
|
|
5,051,493 |
|
| Series 2018-C48, Class A4 |
|
| 4.037% |
|
|
01/15/52 |
|
|
|
|
|
|
|
7,000 |
|
|
|
8,093,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $268,500,836) |
|
|
|
294,401,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A84
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS — 9.7% |
|
| Aerospace & Defense — 0.1% |
|
| Boeing Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 3.750% |
|
|
02/01/50 |
(a) |
|
|
|
|
|
|
2,130 |
|
|
$ |
1,932,785 |
|
| Embraer Netherlands Finance BV (Brazil), |
|
| Gtd. Notes |
|
| 5.050% |
|
|
06/15/25 |
|
|
|
|
|
|
|
906 |
|
|
|
804,201 |
|
| Embraer Overseas Ltd. (Brazil), |
|
| Gtd. Notes, 144A |
|
| 5.696% |
|
|
09/16/23 |
|
|
|
|
|
|
|
950 |
|
|
|
906,193 |
|
| Raytheon Technologies Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.125% |
|
|
11/16/28 |
|
|
|
|
|
|
|
1,270 |
|
|
|
1,495,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,139,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agriculture — 0.1% |
|
| BAT Capital Corp. (United Kingdom), |
|
| Gtd. Notes |
|
| 3.222% |
|
|
08/15/24 |
|
|
|
|
|
|
|
3,740 |
|
|
|
3,997,143 |
|
| Vector Group Ltd., |
|
| Sr. Sec’d. Notes, 144A |
|
| 6.125% |
|
|
02/01/25 |
|
|
|
|
|
|
|
1,450 |
|
|
|
1,392,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,389,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Airlines — 0.1% |
|
| American Airlines 2015-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 3.375% |
|
|
11/01/28 |
|
|
|
|
|
|
|
2,453 |
|
|
|
2,052,334 |
|
| Continental Airlines 2010-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 4.750% |
|
|
07/12/22 |
|
|
|
|
|
|
|
348 |
|
|
|
343,467 |
|
| Continental Airlines 2012-2 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 4.000% |
|
|
04/29/26 |
|
|
|
|
|
|
|
476 |
|
|
|
433,819 |
|
| Delta Air Lines 2007-1 Class A Pass-Through
Trust, |
|
| Pass-Through Certificates |
|
| 6.821% |
|
|
02/10/24 |
|
|
|
|
|
|
|
206 |
|
|
|
202,122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,031,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Auto Manufacturers — 0.5% |
|
| BMW US Capital LLC (Germany), |
|
| Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
|
| 1.721%(c) |
|
|
04/12/21 |
|
|
|
|
|
|
|
495 |
|
|
|
493,062 |
|
| Daimler Finance North America LLC (Germany), |
|
| Gtd. Notes, 144A |
|
| 3.350% |
|
|
05/04/21 |
|
|
|
|
|
|
|
2,010 |
|
|
|
2,046,552 |
|
| Ford Motor Co., |
|
|
|
|
|
| Sr. Unsec’d. Notes |
|
| 5.291% |
|
|
12/08/46 |
|
|
|
|
|
|
|
1,220 |
|
|
|
1,005,284 |
|
| Ford Motor Credit Co. LLC, |
|
|
|
|
|
| Sr. Unsec’d. Notes |
|
| 3.336% |
|
|
03/18/21 |
|
|
|
|
|
|
|
680 |
|
|
|
673,199 |
|
| 3.350% |
|
|
11/01/22 |
|
|
|
|
|
|
|
4,205 |
|
|
|
4,039,511 |
|
| General Motors Co., |
|
|
|
|
|
| Sr. Unsec’d. Notes |
|
| 6.250% |
|
|
10/02/43 |
|
|
|
|
|
|
|
980 |
|
|
|
1,030,909 |
|
| 6.600% |
|
|
04/01/36 |
|
|
|
|
|
|
|
760 |
|
|
|
818,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Auto Manufacturers (cont’d.) |
|
| General Motors Financial Co., Inc., |
|
| Gtd. Notes, 3 Month LIBOR + 0.850% |
|
| 2.170%(c) |
|
|
04/09/21 |
|
|
|
|
|
|
|
1,060 |
|
|
$ |
1,050,829 |
|
| Gtd. Notes |
|
| 3.550% |
|
|
04/09/21 |
|
|
|
|
|
|
|
805 |
|
|
|
814,624 |
|
| 3.950% |
|
|
04/13/24 |
|
|
|
|
|
|
|
2,800 |
|
|
|
2,891,914 |
|
| Harley-Davidson Financial Services, Inc., |
|
| Gtd. Notes, 144A, MTN |
|
| 2.850% |
|
|
01/15/21 |
|
|
|
|
|
|
|
4,705 |
|
|
|
4,728,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,593,045 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 3.0% |
|
| Banco Santander SA (Spain), |
|
| Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
|
| 2.431%(c) |
|
|
04/12/23 |
|
|
|
|
|
|
|
800 |
|
|
|
789,010 |
|
| Sr. Unsec’d. Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.848% |
|
|
04/12/23 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,063,327 |
|
| Bank of America Corp., |
|
| Jr. Sub. Notes, Series DD |
|
| 6.300%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
445 |
|
|
|
492,482 |
|
| Jr. Sub. Notes, Series JJ |
|
| 5.125%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
1,665 |
|
|
|
1,645,057 |
|
| Jr. Sub. Notes, Series MM |
|
| 4.300%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
940 |
|
|
|
840,208 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.824%(ff) |
|
|
01/20/28 |
|
|
|
|
|
|
|
955 |
|
|
|
1,078,818 |
|
| 4.125% |
|
|
01/22/24 |
|
|
|
|
|
|
|
4,830 |
|
|
|
5,348,562 |
|
| 4.271%(ff) |
|
|
07/23/29 |
|
|
|
|
|
|
|
510 |
|
|
|
600,097 |
|
| Sub. Notes, MTN |
|
| 4.000% |
|
|
01/22/25 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,211,696 |
|
| 4.450% |
|
|
03/03/26 |
|
|
|
|
|
|
|
8,455 |
|
|
|
9,712,211 |
|
| Bank of America NA, |
|
| Sub. Notes |
|
| 6.000% |
|
|
10/15/36 |
|
|
|
|
|
|
|
410 |
|
|
|
581,482 |
|
| Barclays PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes |
|
| 3.650% |
|
|
03/16/25 |
|
|
|
|
|
|
|
850 |
|
|
|
920,687 |
|
| 3.684% |
|
|
01/10/23 |
|
|
|
|
|
|
|
585 |
|
|
|
606,695 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 4.972%(ff) |
|
|
05/16/29 |
(a) |
|
|
|
|
|
|
3,825 |
|
|
|
4,482,012 |
|
| BNP Paribas SA (France), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.219%(ff) |
|
|
06/09/26 |
|
|
|
|
|
|
|
2,330 |
|
|
|
2,381,360 |
|
| Citigroup, Inc., |
|
| Jr. Sub. Notes, Series Q |
|
| 5.950%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
2,205 |
|
|
|
2,081,621 |
|
| Jr. Sub. Notes, Series R |
|
| 6.125%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
1,375 |
|
|
|
1,344,238 |
|
| Jr. Sub. Notes, Series T |
|
| 6.250%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
625 |
|
|
|
663,406 |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
10/21/26 |
|
|
|
|
|
|
|
1,870 |
|
|
|
2,050,543 |
|
| 3.700% |
|
|
01/12/26 |
|
|
|
|
|
|
|
6,180 |
|
|
|
6,905,435 |
|
| Sub. Notes |
|
| 4.450% |
|
|
09/29/27 |
|
|
|
|
|
|
|
5,965 |
|
|
|
6,788,452 |
|
| 4.750% |
|
|
05/18/46 |
(a) |
|
|
|
|
|
|
820 |
|
|
|
1,037,161 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A85
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Banks (cont’d.) |
|
| Credit Suisse Group AG (Switzerland), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.193%(ff) |
|
|
06/05/26 |
|
|
|
|
|
|
|
1,560 |
|
|
$ |
1,580,340 |
|
| 4.282% |
|
|
01/09/28 |
|
|
|
|
|
|
|
1,370 |
|
|
|
1,532,389 |
|
| Deutsche Bank AG (Germany), |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.375% |
|
|
05/12/21 |
|
|
|
|
|
|
|
1,640 |
|
|
|
1,661,550 |
|
| Sr. Unsec’d. Notes, Series D |
|
| 5.000% |
|
|
02/14/22 |
|
|
|
|
|
|
|
2,400 |
|
|
|
2,513,322 |
|
| Discover Bank, |
|
| Sr. Unsec’d. Notes |
|
| 4.250% |
|
|
03/13/26 |
|
|
|
|
|
|
|
970 |
|
|
|
1,092,467 |
|
| Goldman Sachs Group, Inc. (The), |
|
| Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
|
| 4.370%(c) |
|
|
—(rr) |
|
|
|
|
|
|
|
2,215 |
|
|
|
2,026,284 |
|
| Jr. Sub. Notes, Series O |
|
| 5.300%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
740 |
|
|
|
748,113 |
|
| Sr. Unsec’d. Notes |
|
| 3.500% |
|
|
01/23/25 |
|
|
|
|
|
|
|
4,100 |
|
|
|
4,471,767 |
|
| 3.750% |
|
|
02/25/26 |
|
|
|
|
|
|
|
1,010 |
|
|
|
1,130,115 |
|
| 3.814%(ff) |
|
|
04/23/29 |
|
|
|
|
|
|
|
540 |
|
|
|
609,980 |
|
| 3.850% |
|
|
01/26/27 |
|
|
|
|
|
|
|
2,910 |
|
|
|
3,271,953 |
|
| Sub. Notes |
|
| 6.750% |
|
|
10/01/37 |
|
|
|
|
|
|
|
104 |
|
|
|
150,514 |
|
| HSBC Holdings PLC (United Kingdom), |
|
| Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240% |
|
| 2.558%(c) |
|
|
03/08/21 |
|
|
|
|
|
|
|
1,025 |
|
|
|
1,038,130 |
|
| JPMorgan Chase & Co., |
|
| Jr. Sub. Notes, Series HH |
|
| 4.600%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
290 |
|
|
|
258,462 |
|
| Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
|
| 4.230%(c) |
|
|
—(rr) |
|
|
|
|
|
|
|
978 |
|
|
|
894,608 |
|
| Jr. Sub. Notes, Series II |
|
| 4.000%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
1,045 |
|
|
|
913,106 |
|
| Jr. Sub. Notes, Series X |
|
| 6.100%(ff) |
|
|
—(rr) |
|
|
|
|
|
|
|
1,275 |
|
|
|
1,306,727 |
|
| Sr. Unsec’d. Notes |
|
| 3.782%(ff) |
|
|
02/01/28 |
|
|
|
|
|
|
|
695 |
|
|
|
785,900 |
|
| 3.964%(ff) |
|
|
11/15/48 |
|
|
|
|
|
|
|
3,250 |
|
|
|
3,917,154 |
|
| 4.005%(ff) |
|
|
04/23/29 |
|
|
|
|
|
|
|
2,170 |
|
|
|
2,506,907 |
|
| 4.452%(ff) |
|
|
12/05/29 |
|
|
|
|
|
|
|
3,350 |
|
|
|
4,015,302 |
|
| Sub. Notes |
|
| 3.875% |
|
|
09/10/24 |
|
|
|
|
|
|
|
3,775 |
|
|
|
4,179,619 |
|
| Morgan Stanley, |
|
| Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
|
| 4.829%(c) |
|
|
—(rr) |
|
|
|
|
|
|
|
840 |
|
|
|
745,588 |
|
| Sr. Unsec’d. Notes |
|
| 4.375% |
|
|
01/22/47 |
(a) |
|
|
|
|
|
|
1,045 |
|
|
|
1,349,286 |
|
| Sr. Unsec’d. Notes, GMTN |
|
| 3.750% |
|
|
02/25/23 |
|
|
|
|
|
|
|
950 |
|
|
|
1,024,862 |
|
| 3.772%(ff) |
|
|
01/24/29 |
|
|
|
|
|
|
|
8,775 |
|
|
|
9,986,157 |
|
| 3.875% |
|
|
01/27/26 |
|
|
|
|
|
|
|
675 |
|
|
|
766,463 |
|
| 4.431%(ff) |
|
|
01/23/30 |
|
|
|
|
|
|
|
515 |
|
|
|
613,403 |
|
| Sr. Unsec’d. Notes, MTN |
|
| 3.591%(ff) |
|
|
07/22/28 |
(a) |
|
|
|
|
|
|
1,255 |
|
|
|
1,410,763 |
|
| Sub. Notes, GMTN |
|
| 4.350% |
|
|
09/08/26 |
|
|
|
|
|
|
|
3,825 |
|
|
|
4,404,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
|
| CORPORATE BONDS (continued) |
|
|
|
|
|
| Banks (cont’d.) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| State Bank of India (India), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.375% |
|
|
01/24/24 |
|
|
|
|
|
|
|
1,925 |
|
|
$ |
2,042,587 |
|
| Wells Fargo & Co., |
|
| Sr. Unsec’d. Notes, MTN |
|
| 2.572%(ff) |
|
|
02/11/31 |
|
|
|
|
|
|
|
4,175 |
|
|
|
4,364,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120,936,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beverages — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
|
| Gtd. Notes |
|
| 4.900% |
|
|
02/01/46 |
|
|
|
|
|
|
|
620 |
|
|
|
752,033 |
|
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
|
| Gtd. Notes |
|
| 5.550% |
|
|
01/23/49 |
|
|
|
|
|
|
|
450 |
|
|
|
601,697 |
|
| 8.000% |
|
|
11/15/39 |
|
|
|
|
|
|
|
1,285 |
|
|
|
2,017,069 |
|
| 8.200% |
|
|
01/15/39 |
|
|
|
|
|
|
|
250 |
|
|
|
400,185 |
|
| Constellation Brands, Inc., |
|
| Gtd. Notes |
|
| 4.250% |
|
|
05/01/23 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,533,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,304,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Materials — 0.0% |
|
| Standard Industries, Inc., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.750% |
|
|
01/15/28 |
(a) |
|
|
|
|
|
|
700 |
|
|
|
709,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chemicals — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Braskem Netherlands Finance BV (Brazil), |
|
| Gtd. Notes, 144A |
|
| 5.875% |
|
|
01/31/50 |
|
|
|
|
|
|
|
485 |
|
|
|
421,016 |
|
| Celanese US Holdings LLC, |
|
| Gtd. Notes |
|
| 5.875% |
|
|
06/15/21 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,564,911 |
|
| CF Industries, Inc., |
|
| Gtd. Notes |
|
| 5.375% |
|
|
03/15/44 |
|
|
|
|
|
|
|
1,015 |
|
|
|
1,098,707 |
|
| CNAC HK Finbridge Co. Ltd. (China), |
|
| Gtd. Notes |
|
| 3.500% |
|
|
07/19/22 |
|
|
|
|
|
|
|
3,680 |
|
|
|
3,773,553 |
|
| Dow Chemical Co. (The), |
|
| Sr. Unsec’d. Notes |
|
| 5.250% |
|
|
11/15/41 |
|
|
|
|
|
|
|
45 |
|
|
|
54,015 |
|
| 9.400% |
|
|
05/15/39 |
|
|
|
|
|
|
|
347 |
|
|
|
576,075 |
|
| NOVA Chemicals Corp. (Canada), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.875% |
|
|
06/01/24 |
|
|
|
|
|
|
|
1,300 |
|
|
|
1,209,644 |
|
| Nutrien Ltd. (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 3.150% |
|
|
10/01/22 |
|
|
|
|
|
|
|
780 |
|
|
|
813,944 |
|
| Orbia Advance Corp. SAB de CV (Mexico), |
|
| Gtd. Notes, 144A |
|
| 4.875% |
|
|
09/19/22 |
(a) |
|
|
|
|
|
|
2,000 |
|
|
|
2,101,103 |
|
| Sasol Financing USA LLC (South Africa), |
|
| Gtd. Notes |
|
| 5.875% |
|
|
03/27/24 |
|
|
|
|
|
|
|
700 |
|
|
|
630,797 |
|
| 6.500% |
|
|
09/27/28 |
|
|
|
|
|
|
|
670 |
|
|
|
592,212 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A86
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Chemicals (cont’d.) |
|
| Union Carbide Corp., |
|
| Sr. Unsec’d. Notes |
|
| 7.500% |
|
|
06/01/25 |
|
|
|
|
|
|
|
460 |
|
|
$ |
552,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,388,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Services — 0.1% |
|
| ERAC USA Finance LLC, |
|
| Gtd. Notes, 144A |
|
| 4.200% |
|
|
11/01/46 |
|
|
|
|
|
|
|
975 |
|
|
|
941,631 |
|
| 6.700% |
|
|
06/01/34 |
|
|
|
|
|
|
|
420 |
|
|
|
537,153 |
|
| 7.000% |
|
|
10/15/37 |
(a) |
|
|
|
|
|
|
380 |
|
|
|
487,168 |
|
| Massachusetts Institute of Technology, |
|
| Unsec’d. Notes |
|
| 3.885% |
|
|
07/01/2116 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,865,288 |
|
| United Rentals North America, Inc., |
|
| Gtd. Notes |
|
| 4.875% |
|
|
01/15/28 |
|
|
|
|
|
|
|
1,190 |
|
|
|
1,219,353 |
|
| 5.250% |
|
|
01/15/30 |
(a) |
|
|
|
|
|
|
385 |
|
|
|
397,988 |
|
| 5.875% |
|
|
09/15/26 |
|
|
|
|
|
|
|
135 |
|
|
|
141,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,589,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.1% |
|
|
|
|
|
| CDP Financial, Inc. (Canada), |
|
| Gtd. Notes, 144A |
|
| 3.150% |
|
|
07/24/24 |
|
|
|
|
|
|
|
480 |
|
|
|
528,624 |
|
| Discover Financial Services, |
|
| Sr. Unsec’d. Notes |
|
| 3.850% |
|
|
11/21/22 |
|
|
|
|
|
|
|
900 |
|
|
|
953,804 |
|
| Jefferies Group LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.500% |
|
|
01/20/43 |
|
|
|
|
|
|
|
560 |
|
|
|
641,833 |
|
| Lehman Brothers Holdings, Inc., |
|
| Sr. Unsec’d. Notes, MTN |
|
| 5.250% |
|
|
02/06/12 |
(d) |
|
|
|
|
|
|
1,715 |
|
|
|
19,208 |
|
| 6.875% |
|
|
05/02/18 |
(d) |
|
|
|
|
|
|
700 |
|
|
|
8,050 |
|
| Private Export Funding Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.650% |
|
|
02/16/21 |
|
|
|
|
|
|
|
1,915 |
|
|
|
1,944,407 |
|
| U.S. Gov’t. Gtd. Notes, Series GG |
|
| 2.450% |
|
|
07/15/24 |
|
|
|
|
|
|
|
475 |
|
|
|
509,183 |
|
| U.S. Gov’t. Gtd. Notes, Series NN |
|
| 3.250% |
|
|
06/15/25 |
|
|
|
|
|
|
|
330 |
|
|
|
370,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,975,272 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric — 1.1% |
|
| Avista Corp., |
|
| First Mortgage |
|
| 4.350% |
|
|
06/01/48 |
|
|
|
|
|
|
|
1,160 |
|
|
|
1,440,700 |
|
| Baltimore Gas & Electric Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.350% |
|
|
10/01/36 |
|
|
|
|
|
|
|
550 |
|
|
|
775,320 |
|
| Berkshire Hathaway Energy Co., |
|
| Sr. Unsec’d. Notes |
|
| 5.950% |
|
|
05/15/37 |
(a) |
|
|
|
|
|
|
305 |
|
|
|
431,532 |
|
| CenterPoint Energy Houston Electric LLC, |
|
| General Ref. Mortgage, Series K2 |
|
| 6.950% |
|
|
03/15/33 |
|
|
|
|
|
|
|
590 |
|
|
|
883,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Electric (cont’d.) |
|
| Commonwealth Edison Co., |
|
| First Mortgage, Series 123 |
|
| 3.750% |
|
|
08/15/47 |
|
|
|
|
|
|
|
1,610 |
|
|
$ |
1,908,942 |
|
| Consolidated Edison Co. of New York, Inc., |
|
| Sr. Unsec’d. Notes, Series 09-C |
|
| 5.500% |
|
|
12/01/39 |
|
|
|
|
|
|
|
220 |
|
|
|
297,769 |
|
| Dominion Energy, Inc., |
|
| Jr. Sub. Notes |
|
| 4.104% |
|
|
04/01/21 |
|
|
|
|
|
|
|
3,210 |
|
|
|
3,284,722 |
|
| DTE Electric Co., |
|
| General Ref. Mortgage, Series A |
|
| 4.050% |
|
|
05/15/48 |
|
|
|
|
|
|
|
1,490 |
|
|
|
1,846,124 |
|
| Duke Energy Carolinas LLC, |
|
| First Mortgage |
|
| 6.050% |
|
|
04/15/38 |
|
|
|
|
|
|
|
550 |
|
|
|
805,760 |
|
| First Ref. Mortgage |
|
| 4.000% |
|
|
09/30/42 |
|
|
|
|
|
|
|
570 |
|
|
|
687,517 |
|
| El Paso Electric Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.000% |
|
|
05/15/35 |
|
|
|
|
|
|
|
670 |
|
|
|
872,914 |
|
| Enel Finance International NV (Italy), |
|
| Gtd. Notes, 144A |
|
| 4.625% |
|
|
09/14/25 |
|
|
|
|
|
|
|
2,245 |
|
|
|
2,558,311 |
|
| Engie Energia Chile SA (Chile), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.400% |
|
|
01/28/30 |
|
|
|
|
|
|
|
400 |
|
|
|
416,511 |
|
| Exelon Corp., |
|
| Jr. Sub. Notes |
|
| 3.497% |
|
|
06/01/22 |
|
|
|
|
|
|
|
3,470 |
|
|
|
3,622,169 |
|
| Exelon Generation Co. LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.250% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,425 |
|
|
|
1,702,962 |
|
| FirstEnergy Transmission LLC, |
|
| Sr. Unsec’d. Notes, 144A |
|
| 5.450% |
|
|
07/15/44 |
|
|
|
|
|
|
|
355 |
|
|
|
454,517 |
|
| Florida Power & Light Co., |
|
| First Mortgage |
|
| 5.950% |
|
|
10/01/33 |
|
|
|
|
|
|
|
295 |
|
|
|
420,697 |
|
| Iberdrola International BV (Spain), |
|
| Gtd. Notes |
|
| 6.750% |
|
|
09/15/33 |
|
|
|
|
|
|
|
145 |
|
|
|
199,310 |
|
| Indiana Michigan Power Co., |
|
| Sr. Unsec’d. Notes |
|
| 3.850% |
|
|
05/15/28 |
|
|
|
|
|
|
|
2,910 |
|
|
|
3,294,390 |
|
| Israel Electric Corp. Ltd. (Israel), |
|
| Sr. Sec’d. Notes, 144A, GMTN |
|
| 4.250% |
|
|
08/14/28 |
|
|
|
|
|
|
|
470 |
|
|
|
531,640 |
|
| Monongahela Power Co., |
|
| First Mortgage, 144A |
|
| 4.100% |
|
|
04/15/24 |
|
|
|
|
|
|
|
2,170 |
|
|
|
2,398,827 |
|
| Northern States Power Co., |
|
| First Mortgage |
|
| 3.600% |
|
|
09/15/47 |
|
|
|
|
|
|
|
1,580 |
|
|
|
1,856,862 |
|
| PECO Energy Co., |
|
| First Mortgage |
|
| 2.800% |
|
|
06/15/50 |
|
|
|
|
|
|
|
1,110 |
|
|
|
1,143,760 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A87
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Electric (cont’d.) |
|
| PPL Capital Funding, Inc., |
|
| Gtd. Notes |
|
| 4.000% |
|
|
09/15/47 |
|
|
|
|
|
|
|
1,360 |
|
|
$ |
1,464,091 |
|
| 5.000% |
|
|
03/15/44 |
|
|
|
|
|
|
|
695 |
|
|
|
832,881 |
|
| PSEG Power LLC, |
|
| Gtd. Notes |
|
| 3.000% |
|
|
06/15/21 |
|
|
|
|
|
|
|
1,760 |
|
|
|
1,796,126 |
|
| Public Service Electric & Gas Co., |
|
| First Mortgage, MTN |
|
| 3.000% |
|
|
05/15/27 |
|
|
|
|
|
|
|
1,130 |
|
|
|
1,240,529 |
|
| 3.700% |
|
|
05/01/28 |
|
|
|
|
|
|
|
1,280 |
|
|
|
1,480,903 |
|
| Sr. Sec’d. Notes, MTN |
|
| 5.800% |
|
|
05/01/37 |
|
|
|
|
|
|
|
535 |
|
|
|
760,555 |
|
| San Diego Gas & Electric Co., |
|
| First Mortgage |
|
| 4.150% |
|
|
05/15/48 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,711,041 |
|
| Southern California Edison Co., |
|
| First Ref. Mortgage |
|
| 4.000% |
|
|
04/01/47 |
|
|
|
|
|
|
|
580 |
|
|
|
662,324 |
|
| First Ref. Mortgage, Series C |
|
| 3.600% |
|
|
02/01/45 |
|
|
|
|
|
|
|
860 |
|
|
|
931,566 |
|
| Vistra Operations Co. LLC, |
|
| Gtd. Notes, 144A |
|
| 5.000% |
|
|
07/31/27 |
|
|
|
|
|
|
|
725 |
|
|
|
735,311 |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.550% |
|
|
07/15/24 |
|
|
|
|
|
|
|
2,135 |
|
|
|
2,208,302 |
|
| Xcel Energy, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.800% |
|
|
09/15/41 |
|
|
|
|
|
|
|
480 |
|
|
|
582,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,241,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electronics — 0.0% |
|
| FLIR Systems, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.125% |
|
|
06/15/21 |
|
|
|
|
|
|
|
900 |
|
|
|
914,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Engineering & Construction — 0.1% |
|
| AECOM, |
|
| Gtd. Notes |
|
| 5.125% |
|
|
03/15/27 |
(a) |
|
|
|
|
|
|
1,050 |
|
|
|
1,127,925 |
|
| Mexico City Airport Trust (Mexico), |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.875% |
|
|
04/30/28 |
|
|
|
|
|
|
|
700 |
|
|
|
638,787 |
|
| 5.500% |
|
|
07/31/47 |
|
|
|
|
|
|
|
800 |
|
|
|
705,636 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,472,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foods — 0.1% |
|
| Kraft Heinz Foods Co., |
|
| Gtd. Notes, 144A |
|
| 4.875% |
|
|
10/01/49 |
|
|
|
|
|
|
|
1,290 |
|
|
|
1,335,557 |
|
| Mars, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.950% |
|
|
04/01/49 |
|
|
|
|
|
|
|
1,720 |
|
|
|
2,145,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,480,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
|
| CORPORATE BONDS (continued) |
|
|
|
|
|
| Forest Products & Paper — 0.1% |
|
| International Paper Co., |
|
| Sr. Unsec’d. Notes |
|
| 6.000% |
|
|
11/15/41 |
|
|
|
|
|
|
|
1,595 |
|
|
$ |
2,078,942 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gas — 0.1% |
|
| Dominion Energy Gas Holdings LLC, |
|
| Sr. Unsec’d. Notes |
|
| 4.600% |
|
|
12/15/44 |
|
|
|
|
|
|
|
65 |
|
|
|
74,875 |
|
| NiSource, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.490% |
|
|
05/15/27 |
|
|
|
|
|
|
|
3,285 |
|
|
|
3,707,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,782,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare-Products — 0.1% |
|
| DH Europe Finance II Sarl, |
|
| Gtd. Notes |
|
| 1.350% |
|
|
09/18/39 |
|
|
|
|
|
|
|
EUR 1,635 |
|
|
|
1,746,441 |
|
| Medtronic Global Holdings SCA, |
|
| Gtd. Notes |
|
| 1.625% |
|
|
03/07/31 |
|
|
|
|
|
|
|
EUR 300 |
|
|
|
366,916 |
|
| 2.250% |
|
|
03/07/39 |
|
|
|
|
|
|
|
EUR 400 |
|
|
|
504,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,617,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare-Services — 0.2% |
|
| Aetna, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 6.625% |
|
|
06/15/36 |
|
|
|
|
|
|
|
515 |
|
|
|
725,726 |
|
| Anthem, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.625% |
|
|
05/15/42 |
|
|
|
|
|
|
|
390 |
|
|
|
487,398 |
|
| Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
|
| Gtd. Notes, 144A |
|
| 4.125% |
|
|
10/15/20 |
|
|
|
|
|
|
|
640 |
|
|
|
640,287 |
|
| HCA, Inc., |
|
| Gtd. Notes |
|
| 5.375% |
|
|
02/01/25 |
|
|
|
|
|
|
|
555 |
|
|
|
597,202 |
|
| 5.875% |
|
|
02/01/29 |
(a) |
|
|
|
|
|
|
525 |
|
|
|
593,528 |
|
| Kaiser Foundation Hospitals, |
|
| Gtd. Notes |
|
| 4.150% |
|
|
05/01/47 |
|
|
|
|
|
|
|
940 |
|
|
|
1,227,916 |
|
| Laboratory Corp. of America Holdings, |
|
| Sr. Unsec’d. Notes |
|
| 3.200% |
|
|
02/01/22 |
|
|
|
|
|
|
|
190 |
|
|
|
197,071 |
|
| MEDNAX, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.250% |
|
|
12/01/23 |
|
|
|
|
|
|
|
1,075 |
|
|
|
1,069,046 |
|
| New York and Presbyterian Hospital (The), |
|
| Unsec’d. Notes |
|
| 4.024% |
|
|
08/01/45 |
|
|
|
|
|
|
|
445 |
|
|
|
546,617 |
|
| Providence St. Joseph Health Obligated Group, |
|
| Unsec’d. Notes, Series 19A |
|
| 2.532% |
|
|
10/01/29 |
|
|
|
|
|
|
|
765 |
|
|
|
798,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,883,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Builders — 0.0% |
|
| Taylor Morrison Communities, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.875% |
|
|
06/15/27 |
|
|
|
|
|
|
|
525 |
|
|
|
545,202 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A88
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Home Builders (cont’d.) |
|
| Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.625% |
|
|
03/01/24 |
|
|
|
|
|
|
|
800 |
|
|
$ |
826,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,371,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Housewares — 0.1% |
|
| Newell Brands, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.700% |
|
|
04/01/26 |
(a) |
|
|
|
|
|
|
1,695 |
|
|
|
1,777,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance — 0.2% |
|
| Liberty Mutual Group, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.951% |
|
|
10/15/50 |
|
|
|
|
|
|
|
1,215 |
|
|
|
1,282,021 |
|
| Lincoln National Corp., |
|
| Sr. Unsec’d. Notes |
|
| 6.300% |
|
|
10/09/37 |
|
|
|
|
|
|
|
772 |
|
|
|
1,025,113 |
|
| Markel Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.150% |
|
|
09/17/50 |
|
|
|
|
|
|
|
410 |
|
|
|
454,890 |
|
| 5.000% |
|
|
03/30/43 |
|
|
|
|
|
|
|
200 |
|
|
|
230,321 |
|
| New York Life Insurance Co., |
|
| Sub. Notes, 144A |
|
| 6.750% |
|
|
11/15/39 |
|
|
|
|
|
|
|
660 |
|
|
|
1,000,863 |
|
| Principal Financial Group, Inc., |
|
| Gtd. Notes |
|
| 4.625% |
|
|
09/15/42 |
|
|
|
|
|
|
|
130 |
|
|
|
159,654 |
|
| Teachers Insurance & Annuity Association of America, |
|
| Sub. Notes, 144A |
|
| 4.270% |
|
|
05/15/47 |
|
|
|
|
|
|
|
1,450 |
|
|
|
1,731,114 |
|
| 6.850% |
|
|
12/16/39 |
|
|
|
|
|
|
|
124 |
|
|
|
188,954 |
|
| Unum Group, |
|
| Sr. Unsec’d. Notes |
|
| 5.625% |
|
|
09/15/20 |
|
|
|
|
|
|
|
350 |
|
|
|
352,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,425,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Lodging — 0.0% |
|
| Marriott International, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.250% |
|
|
09/15/22 |
|
|
|
|
|
|
|
980 |
|
|
|
984,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Machinery-Diversified — 0.0% |
|
| Xylem, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.875% |
|
|
10/01/21 |
|
|
|
|
|
|
|
1,260 |
|
|
|
1,325,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media — 0.3% |
|
| AMC Networks, Inc., |
|
| Gtd. Notes |
|
| 5.000% |
|
|
04/01/24 |
|
|
|
|
|
|
|
600 |
|
|
|
595,344 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital, |
|
| Sr. Sec’d. Notes |
|
| 4.800% |
|
|
03/01/50 |
|
|
|
|
|
|
|
1,260 |
|
|
|
1,433,723 |
|
| 5.375% |
|
|
04/01/38 |
|
|
|
|
|
|
|
1,950 |
|
|
|
2,366,056 |
|
| 6.384% |
|
|
10/23/35 |
|
|
|
|
|
|
|
875 |
|
|
|
1,154,601 |
|
| 6.484% |
|
|
10/23/45 |
|
|
|
|
|
|
|
1,386 |
|
|
|
1,850,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Media (cont’d.) |
|
| Comcast Corp., |
|
| Gtd. Notes |
|
| 3.700% |
|
|
04/15/24 |
|
|
|
|
|
|
|
330 |
|
|
$ |
366,049 |
|
| 6.400% |
|
|
05/15/38 |
|
|
|
|
|
|
|
530 |
|
|
|
786,742 |
|
| Time Warner Cable LLC, |
|
| Sr. Sec’d. Notes |
|
| 5.500% |
|
|
09/01/41 |
|
|
|
|
|
|
|
360 |
|
|
|
434,835 |
|
| ViacomCBS, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.250% |
|
|
04/01/44 |
|
|
|
|
|
|
|
1,450 |
|
|
|
1,620,081 |
|
| Videotron Ltd. (Canada), |
|
| Gtd. Notes |
|
| 5.000% |
|
|
07/15/22 |
|
|
|
|
|
|
|
1,040 |
|
|
|
1,074,872 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,683,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mining — 0.0% |
|
| BHP Billiton Finance USA Ltd. (Australia), |
|
| Gtd. Notes, 144A |
|
| 6.250%(ff) |
|
|
10/19/75 |
|
|
|
|
|
|
|
425 |
|
|
|
428,401 |
|
| Southern Copper Corp. (Peru), |
|
| Sr. Unsec’d. Notes |
|
| 6.750% |
|
|
04/16/40 |
|
|
|
|
|
|
|
425 |
|
|
|
576,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,004,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Miscellaneous Manufacturing — 0.0% |
|
| Amsted Industries, Inc., |
|
| Gtd. Notes, 144A |
|
| 5.625% |
|
|
07/01/27 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,238,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-National — 0.1% |
|
| Corp. Andina de Fomento (Supranational Bank), |
|
| Sr. Unsec’d. Notes |
|
| 2.125% |
|
|
09/27/21 |
|
|
|
|
|
|
|
905 |
|
|
|
911,050 |
|
| 2.750% |
|
|
01/06/23 |
|
|
|
|
|
|
|
315 |
|
|
|
329,662 |
|
| North American Development Bank (Supranational Bank), |
|
| Sr. Unsec’d. Notes |
|
| 2.400% |
|
|
10/26/22 |
|
|
|
|
|
|
|
289 |
|
|
|
298,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,539,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas — 0.6% |
|
| Antero Resources Corp., |
|
| Gtd. Notes |
|
| 5.000% |
|
|
03/01/25 |
|
|
|
|
|
|
|
1,400 |
|
|
|
831,164 |
|
| Cenovus Energy, Inc. (Canada), |
|
| Sr. Unsec’d. Notes |
|
| 5.400% |
|
|
06/15/47 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,032,377 |
|
| CNOOC Finance 2013 Ltd. (China), |
|
| Gtd. Notes |
|
| 2.875% |
|
|
09/30/29 |
(a) |
|
|
|
|
|
|
1,950 |
|
|
|
2,072,865 |
|
| Concho Resources, Inc., |
|
| Gtd. Notes |
|
| 4.875% |
|
|
10/01/47 |
|
|
|
|
|
|
|
210 |
|
|
|
236,238 |
|
| Devon Energy Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.600% |
|
|
07/15/41 |
|
|
|
|
|
|
|
300 |
|
|
|
293,085 |
|
| Gazprom PJSC Via Gaz Capital SA (Russia), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.950% |
|
|
07/19/22 |
|
|
|
|
|
|
|
350 |
|
|
|
369,263 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A89
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Oil & Gas (cont’d.) |
|
| 6.510% |
|
|
03/07/22 |
|
|
|
|
|
|
|
580 |
|
|
$ |
621,999 |
|
| Helmerich & Payne, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.650% |
|
|
03/15/25 |
|
|
|
|
|
|
|
1,995 |
|
|
|
2,145,166 |
|
| KazMunayGas National Co. JSC (Kazakhstan), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.750% |
|
|
04/24/25 |
|
|
|
|
|
|
|
550 |
|
|
|
591,581 |
|
| Noble Energy, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 5.050% |
|
|
11/15/44 |
|
|
|
|
|
|
|
835 |
|
|
|
759,157 |
|
| Occidental Petroleum Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.264%(s) |
|
|
10/10/36 |
|
|
|
|
|
|
|
2,000 |
|
|
|
848,148 |
|
| 4.850% |
|
|
03/15/21 |
|
|
|
|
|
|
|
575 |
|
|
|
575,230 |
|
| 6.450% |
|
|
09/15/36 |
|
|
|
|
|
|
|
1,155 |
|
|
|
995,076 |
|
| Ovintiv, Inc., |
|
| Gtd. Notes |
|
| 6.500% |
|
|
08/15/34 |
|
|
|
|
|
|
|
370 |
|
|
|
330,080 |
|
| 6.500% |
|
|
02/01/38 |
|
|
|
|
|
|
|
275 |
|
|
|
233,059 |
|
| Petrobras Global Finance BV (Brazil), |
|
| Gtd. Notes |
|
| 5.750% |
|
|
02/01/29 |
|
|
|
|
|
|
|
840 |
|
|
|
862,994 |
|
| 6.900% |
|
|
03/19/49 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,053,169 |
|
| Gtd. Notes, 144A |
|
| 5.093% |
|
|
01/15/30 |
|
|
|
|
|
|
|
797 |
|
|
|
793,554 |
|
| Petroleos Mexicanos (Mexico), |
|
| Gtd. Notes |
|
| 5.500% |
|
|
01/21/21 |
(a) |
|
|
|
|
|
|
330 |
|
|
|
330,814 |
|
| 6.350% |
|
|
02/12/48 |
|
|
|
|
|
|
|
1,536 |
|
|
|
1,140,287 |
|
| 6.500% |
|
|
03/13/27 |
|
|
|
|
|
|
|
330 |
|
|
|
301,039 |
|
| Gtd. Notes, 144A |
|
| 6.490% |
|
|
01/23/27 |
|
|
|
|
|
|
|
471 |
|
|
|
429,725 |
|
| 7.690% |
|
|
01/23/50 |
|
|
|
|
|
|
|
2,146 |
|
|
|
1,778,024 |
|
| Gtd. Notes, MTN |
|
| 6.750% |
|
|
09/21/47 |
|
|
|
|
|
|
|
2,265 |
|
|
|
1,743,067 |
|
| 6.875% |
|
|
08/04/26 |
|
|
|
|
|
|
|
670 |
|
|
|
633,189 |
|
| Sinopec Group Overseas Development 2018 Ltd. (China), |
|
| Gtd. Notes, 144A |
|
| 3.680% |
|
|
08/08/49 |
|
|
|
|
|
|
|
1,445 |
|
|
|
1,635,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,635,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil & Gas Services — 0.0% |
|
| Schlumberger Holdings Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.000% |
|
|
12/21/25 |
|
|
|
|
|
|
|
183 |
|
|
|
200,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Packaging & Containers — 0.0% |
|
| WestRock RKT LLC, |
|
| Gtd. Notes |
|
| 4.900% |
|
|
03/01/22 |
|
|
|
|
|
|
|
800 |
|
|
|
849,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 0.9% |
|
| AbbVie, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.600% |
|
|
05/14/25 |
|
|
|
|
|
|
|
1,175 |
|
|
|
1,299,080 |
|
| 4.500% |
|
|
05/14/35 |
|
|
|
|
|
|
|
1,910 |
|
|
|
2,305,586 |
|
| 4.700% |
|
|
05/14/45 |
|
|
|
|
|
|
|
1,460 |
|
|
|
1,819,433 |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.250% |
|
|
11/21/49 |
|
|
|
|
|
|
|
2,515 |
|
|
|
3,040,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Pharmaceuticals (cont’d.) |
|
| 4.550% |
|
|
03/15/35 |
|
|
|
|
|
|
|
2,190 |
|
|
$ |
2,651,904 |
|
| Bayer US Finance II LLC (Germany), |
|
| Gtd. Notes, 144A, 3 Month LIBOR + 0.630% |
|
| 0.927%(c) |
|
|
06/25/21 |
|
|
|
|
|
|
|
1,115 |
|
|
|
1,115,284 |
|
| Gtd. Notes, 144A |
|
| 3.500% |
|
|
06/25/21 |
|
|
|
|
|
|
|
500 |
|
|
|
512,453 |
|
| Becton, Dickinson & Co., |
|
| Sr. Unsec’d. Notes |
|
| 3.734% |
|
|
12/15/24 |
|
|
|
|
|
|
|
474 |
|
|
|
521,456 |
|
| Bristol-Myers Squibb Co., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 4.125% |
|
|
06/15/39 |
(a) |
|
|
|
|
|
|
410 |
|
|
|
521,103 |
|
| 4.250% |
|
|
10/26/49 |
|
|
|
|
|
|
|
1,115 |
|
|
|
1,468,399 |
|
| 4.550% |
|
|
02/20/48 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,620,741 |
|
| 5.000% |
|
|
08/15/45 |
|
|
|
|
|
|
|
645 |
|
|
|
898,123 |
|
| Cigna Corp., |
|
| Gtd. Notes |
|
| 4.375% |
|
|
10/15/28 |
|
|
|
|
|
|
|
9,285 |
|
|
|
10,984,683 |
|
| CVS Health Corp., |
|
| Sr. Unsec’d. Notes |
|
| 4.780% |
|
|
03/25/38 |
|
|
|
|
|
|
|
310 |
|
|
|
383,255 |
|
| 5.050% |
|
|
03/25/48 |
|
|
|
|
|
|
|
3,685 |
|
|
|
4,812,327 |
|
| 5.125% |
|
|
07/20/45 |
|
|
|
|
|
|
|
610 |
|
|
|
787,032 |
|
| 5.300% |
|
|
12/05/43 |
|
|
|
|
|
|
|
250 |
|
|
|
325,607 |
|
| Mylan, Inc., |
|
| Gtd. Notes |
|
| 5.200% |
|
|
04/15/48 |
|
|
|
|
|
|
|
1,375 |
|
|
|
1,695,397 |
|
| Upjohn, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.850% |
|
|
06/22/40 |
|
|
|
|
|
|
|
1,380 |
|
|
|
1,480,180 |
|
| Wyeth LLC, |
|
| Gtd. Notes |
|
| 6.450% |
|
|
02/01/24 |
|
|
|
|
|
|
|
60 |
|
|
|
72,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,314,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pipelines — 0.5% |
|
| Energy Transfer Operating LP, |
|
| Gtd. Notes |
|
| 4.650% |
|
|
06/01/21 |
|
|
|
|
|
|
|
675 |
|
|
|
689,093 |
|
| 4.950% |
|
|
06/15/28 |
|
|
|
|
|
|
|
1,115 |
|
|
|
1,200,082 |
|
| 5.000% |
|
|
05/15/50 |
|
|
|
|
|
|
|
1,435 |
|
|
|
1,360,812 |
|
| 6.125% |
|
|
12/15/45 |
|
|
|
|
|
|
|
180 |
|
|
|
189,183 |
|
| Enterprise Products Operating LLC, |
|
| Gtd. Notes |
|
| 3.750% |
|
|
02/15/25 |
|
|
|
|
|
|
|
1,345 |
|
|
|
1,490,878 |
|
| MPLX LP, |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
02/15/25 |
|
|
|
|
|
|
|
1,430 |
|
|
|
1,533,719 |
|
| 4.000% |
|
|
03/15/28 |
|
|
|
|
|
|
|
1,980 |
|
|
|
2,096,873 |
|
| 4.875% |
|
|
06/01/25 |
|
|
|
|
|
|
|
3,250 |
|
|
|
3,626,938 |
|
| 5.200% |
|
|
03/01/47 |
|
|
|
|
|
|
|
40 |
|
|
|
42,694 |
|
| 5.500% |
|
|
02/15/49 |
(a) |
|
|
|
|
|
|
395 |
|
|
|
437,551 |
|
| ONEOK Partners LP, |
|
| Gtd. Notes |
|
| 6.650% |
|
|
10/01/36 |
|
|
|
|
|
|
|
145 |
|
|
|
162,334 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A90
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
| CORPORATE BONDS (continued) |
|
| Pipelines (cont’d.) |
|
| ONEOK, Inc., |
|
| Gtd. Notes |
|
| 3.100% |
|
|
03/15/30 |
|
|
|
|
|
|
|
5,205 |
|
|
$ |
4,981,275 |
|
| 4.500% |
|
|
03/15/50 |
|
|
|
|
|
|
|
295 |
|
|
|
274,590 |
|
| 4.950% |
|
|
07/13/47 |
|
|
|
|
|
|
|
935 |
|
|
|
902,318 |
|
| Western Midstream Operating LP, |
|
| Sr. Unsec’d. Notes |
|
| 5.300% |
|
|
03/01/48 |
|
|
|
|
|
|
|
125 |
|
|
|
101,467 |
|
| Williams Cos., Inc. (The), |
|
| Sr. Unsec’d. Notes |
|
| 4.850% |
|
|
03/01/48 |
(a) |
|
|
|
|
|
|
315 |
|
|
|
343,892 |
|
| 4.900% |
|
|
01/15/45 |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,064,706 |
|
| 5.100% |
|
|
09/15/45 |
|
|
|
|
|
|
|
500 |
|
|
|
546,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,045,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) — 0.0% |
|
| GLP Capital LP/GLP Financing II, Inc., |
|
| Gtd. Notes |
|
| 5.375% |
|
|
04/15/26 |
|
|
|
|
|
|
|
1,050 |
|
|
|
1,147,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail — 0.2% |
|
| Dollar Tree, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
05/15/25 |
|
|
|
|
|
|
|
4,705 |
|
|
|
5,291,895 |
|
| L Brands, Inc., |
|
| Gtd. Notes |
|
| 5.625% |
|
|
10/15/23 |
(a) |
|
|
|
|
|
|
750 |
|
|
|
709,330 |
|
| Macy’s Retail Holdings, Inc., |
|
| Gtd. Notes |
|
| 3.875% |
|
|
01/15/22 |
|
|
|
|
|
|
|
201 |
|
|
|
180,097 |
|
| Sally Holdings LLC/Sally Capital, Inc., |
|
| Gtd. Notes |
|
| 5.625% |
|
|
12/01/25 |
(a) |
|
|
|
|
|
|
1,375 |
|
|
|
1,335,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,516,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Savings & Loans — 0.0% |
|
| People’s United Financial, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.650% |
|
|
12/06/22 |
|
|
|
|
|
|
|
1,455 |
|
|
|
1,513,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors — 0.0% |
|
| Broadcom, Inc., |
|
| Gtd. Notes, 144A |
|
| 3.459% |
|
|
09/15/26 |
|
|
|
|
|
|
|
1,052 |
|
|
|
1,129,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.0% |
|
| Microsoft Corp., |
|
| Sr. Unsec’d. Notes |
|
| 2.525% |
|
|
06/01/50 |
|
|
|
|
|
|
|
1,425 |
|
|
|
1,473,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Telecommunications — 0.5% |
|
| AT&T, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 3.400% |
|
|
05/15/25 |
|
|
|
|
|
|
|
1,840 |
|
|
|
2,019,308 |
|
| 3.600% |
|
|
07/15/25 |
|
|
|
|
|
|
|
275 |
|
|
|
305,100 |
|
| 3.800% |
|
|
02/15/27 |
|
|
|
|
|
|
|
1,065 |
|
|
|
1,195,606 |
|
| 4.300% |
|
|
02/15/30 |
|
|
|
|
|
|
|
615 |
|
|
|
719,036 |
|
| 4.550% |
|
|
03/09/49 |
|
|
|
|
|
|
|
139 |
|
|
|
163,847 |
|
| 4.850% |
|
|
03/01/39 |
|
|
|
|
|
|
|
6,690 |
|
|
|
8,118,456 |
|
| 5.250% |
|
|
03/01/37 |
|
|
|
|
|
|
|
65 |
|
|
|
80,534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| CORPORATE BONDS (continued) |
|
| Telecommunications (cont’d.) |
|
| 5.350% |
|
|
09/01/40 |
|
|
|
|
|
|
|
82 |
|
|
$ |
103,082 |
|
| CenturyLink, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 4.000% |
|
|
02/15/27 |
(a) |
|
|
|
|
|
|
1,150 |
|
|
|
1,114,632 |
|
| Level 3 Financing, Inc., |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.400% |
|
|
03/01/27 |
|
|
|
|
|
|
|
300 |
|
|
|
317,362 |
|
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
|
| Sr. Sec’d. Notes, 144A |
|
| 3.360% |
|
|
03/20/23 |
|
|
|
|
|
|
|
625 |
|
|
|
633,530 |
|
| Verizon Communications, Inc., |
|
| Sr. Unsec’d. Notes |
|
| 4.016% |
|
|
12/03/29 |
|
|
|
|
|
|
|
1,900 |
|
|
|
2,268,516 |
|
| 4.125% |
|
|
08/15/46 |
|
|
|
|
|
|
|
725 |
|
|
|
898,668 |
|
| 4.500% |
|
|
08/10/33 |
|
|
|
|
|
|
|
1,205 |
|
|
|
1,509,659 |
|
| 4.862% |
|
|
08/21/46 |
|
|
|
|
|
|
|
860 |
|
|
|
1,165,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,612,964 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Transportation — 0.1% |
|
| Burlington Northern Santa Fe LLC, |
|
| Sr. Unsec’d. Notes |
|
| 6.700% |
|
|
08/01/28 |
|
|
|
|
|
|
|
670 |
|
|
|
926,076 |
|
| CSX Corp., |
|
| Sr. Unsec’d. Notes |
|
| 6.150% |
|
|
05/01/37 |
|
|
|
|
|
|
|
715 |
|
|
|
1,001,160 |
|
| Norfolk Southern Corp., |
|
| Sr. Unsec’d. Notes |
|
| 5.590% |
|
|
05/17/25 |
|
|
|
|
|
|
|
100 |
|
|
|
118,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,046,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(cost $368,133,583) |
|
|
|
398,365,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MUNICIPAL BONDS — 0.5% |
|
| Alabama — 0.0% |
|
| Alabama Economic Settlement Authority, |
|
| Taxable, Revenue Bonds, Series B |
|
| 4.263% |
|
|
09/15/32 |
|
|
|
|
|
|
|
240 |
|
|
|
285,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California — 0.2% |
|
| Bay Area Toll Authority, |
|
| Revenue Bonds, BABs, Series F2 |
|
| 6.263% |
|
|
04/01/49 |
|
|
|
|
|
|
|
1,325 |
|
|
|
2,285,413 |
|
| Taxable, Revenue Bonds |
|
| 2.574% |
|
|
04/01/31 |
|
|
|
|
|
|
|
1,210 |
|
|
|
1,302,649 |
|
| State of California, |
|
| General Obligation Unlimited, BABs |
|
| 7.300% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,270 |
|
|
|
2,107,146 |
|
| General Obligation Unlimited, Taxable, BABs |
|
| 7.500% |
|
|
04/01/34 |
|
|
|
|
|
|
|
475 |
|
|
|
771,452 |
|
| 7.625% |
|
|
03/01/40 |
|
|
|
|
|
|
|
215 |
|
|
|
373,668 |
|
| 7.550% |
|
|
04/01/39 |
|
|
|
|
|
|
|
245 |
|
|
|
434,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,274,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A91
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| MUNICIPAL BONDS (continued) |
|
| Colorado — 0.0% |
|
| Regional Transportation District Sales Tax Revenue, |
|
| Revenue Bonds, BABs, Series B |
|
| 5.844% |
|
|
11/01/50 |
|
|
|
|
|
|
|
680 |
|
|
$ |
1,130,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois — 0.1% |
|
| Chicago O’Hare International Airport, |
|
| Revenue Bonds, BABs, Series B |
|
| 6.395% |
|
|
01/01/40 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,533,855 |
|
| State of Illinois, |
|
| General Obligation Unlimited, Series D |
|
| 5.000% |
|
|
11/01/22 |
|
|
|
|
|
|
|
3,190 |
|
|
|
3,345,321 |
|
| General Obligation Unlimited, Taxable, Pension |
|
| 5.100% |
|
|
06/01/33 |
|
|
|
|
|
|
|
325 |
|
|
|
329,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,208,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New Jersey — 0.1% |
|
| New Jersey Turnpike Authority, |
|
| Taxable, Revenue Bonds, BABs, Series F |
|
| 7.414% |
|
|
01/01/40 |
|
|
|
|
|
|
|
1,070 |
|
|
|
1,818,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| New York — 0.1% |
|
| New York City Transitional Finance Authority Future Tax Secured Revenue, |
|
| Taxable, Revenue Bonds, BABs |
|
| 5.767% |
|
|
08/01/36 |
|
|
|
|
|
|
|
1,130 |
|
|
|
1,480,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ohio — 0.0% |
|
| Ohio State University (The), |
|
| Taxable, Revenue Bonds, BABs, Series C |
|
| 4.910% |
|
|
06/01/40 |
|
|
|
|
|
|
|
455 |
|
|
|
650,054 |
|
| Ohio Water Development Authority Water Pollution Control Loan Fund, |
|
| Taxable, Revenue Bonds, BABs, Series B2 |
|
| 4.879% |
|
|
12/01/34 |
|
|
|
|
|
|
|
300 |
|
|
|
350,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oregon — 0.0% |
|
| State of Oregon Department of Transportation, |
|
| Taxable, Revenue Bonds, BABs, Series A |
|
| 5.834% |
|
|
11/15/34 |
|
|
|
|
|
|
|
445 |
|
|
|
646,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pennsylvania — 0.0% |
|
| Pennsylvania Turnpike Commission, |
|
| Revenue Bonds, BABs, Series B |
|
| 5.511% |
|
|
12/01/45 |
|
|
|
|
|
|
|
550 |
|
|
|
848,964 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Virginia — 0.0% |
|
| University of Virginia, |
|
| Taxable, Revenue Bonds, Series C |
|
| 4.179% |
|
|
09/01/2117 |
|
|
|
|
|
|
|
495 |
|
|
|
669,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL MUNICIPAL BONDS
(cost $14,941,622) |
|
|
|
20,364,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.8% |
|
| Alternative Loan Trust, |
|
| Series 2004-18CB, Class 3A1 |
|
| 5.250% |
|
|
09/25/20 |
|
|
|
|
|
|
|
16 |
|
|
|
15,712 |
|
| Banc of America Funding Trust, |
|
| Series 2015-R04, Class 4A1, 144A |
|
| 3.500%(cc) |
|
|
01/27/30 |
|
|
|
|
|
|
|
127 |
|
|
|
125,619 |
|
| Banc of America Mortgage Trust, |
|
| Series 2005-A, Class 2A1 |
|
| 3.709%(cc) |
|
|
02/25/35 |
|
|
|
|
|
|
|
249 |
|
|
|
241,503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Bellemeade Re Ltd. (Bermuda), |
|
| Series 2018-02A, Class M1B, 144A, 1 Month LIBOR
+ 1.350% (Cap N/A, Floor 0.000%) |
|
| 1.535%(c) |
|
|
08/25/28 |
|
|
|
|
|
|
|
148 |
|
|
$ |
147,167 |
|
| Series 2018-02A, Class M1C, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 0.000%) |
|
| 1.785%(c) |
|
|
08/25/28 |
|
|
|
|
|
|
|
300 |
|
|
|
272,129 |
|
| Series 2019-03A, Class M1A, 144A, 1 Month LIBOR
+ 1.100% (Cap N/A, Floor 1.100%) |
|
| 1.285%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
404 |
|
|
|
402,227 |
|
| Series 2019-03A, Class M1B, 144A, 1 Month LIBOR
+ 1.600% (Cap N/A, Floor 1.600%) |
|
| 1.785%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,162,612 |
|
| Series 2020-01A, Class M1A, 144A, 1 Month LIBOR
+ 2.650% (Cap N/A, Floor 0.000%) |
|
| 2.845%(c) |
|
|
06/25/30 |
|
|
|
|
|
|
|
880 |
|
|
|
880,154 |
|
| Series 2020-01A, Class M1B, 144A, 1 Month LIBOR
+ 3.400% (Cap N/A, Floor 0.000%) |
|
| 3.595%(c) |
|
|
06/25/30 |
|
|
|
|
|
|
|
230 |
|
|
|
230,000 |
|
| BVRT Financing Trust, |
|
| Series 2019-01, Class F, 144A |
|
| 2.327%(cc) |
|
|
09/15/21 |
^ |
|
|
|
|
|
|
6,520 |
|
|
|
6,469,079 |
|
| Central Park Funding Trust, |
|
| Series 2018-01, Class A, 144A, 1 Month LIBOR +
1.500% (Cap N/A, Floor 1.500%) |
|
| 1.673%(c) |
|
|
11/01/23 |
|
|
|
|
|
|
|
4,700 |
|
|
|
4,623,691 |
|
| Chase Mortgage Finance Trust, |
|
| Series 2007-A01, Class 1A5 |
|
| 3.988%(cc) |
|
|
02/25/37 |
|
|
|
|
|
|
|
187 |
|
|
|
180,975 |
|
| CIM Trust, |
|
| Series 2017-03, Class A1, 144A, 1 Month LIBOR
+ 2.000% (Cap N/A, Floor 0.000%) |
|
| 2.173%(c) |
|
|
01/25/57 |
|
|
|
|
|
|
|
2,475 |
|
|
|
2,474,016 |
|
| Series 2017-05, Class A3, 144A |
|
| 4.000%(cc) |
|
|
05/25/57 |
|
|
|
|
|
|
|
600 |
|
|
|
596,137 |
|
| Series 2017-06, Class A1, 144A |
|
| 3.015%(cc) |
|
|
06/25/57 |
|
|
|
|
|
|
|
2,639 |
|
|
|
2,652,808 |
|
| Series 2017-08, Class A1, 144A |
|
| 3.000%(cc) |
|
|
12/25/65 |
|
|
|
|
|
|
|
2,306 |
|
|
|
2,296,924 |
|
| Credit Suisse Mortgage Trust, |
|
| Series 2018-RPL09, Class A, 144A |
|
| 3.850%(cc) |
|
|
09/25/57 |
|
|
|
|
|
|
|
2,059 |
|
|
|
2,185,605 |
|
| Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor
0.000%) |
|
| 1.585%(c) |
|
|
12/26/59 |
^ |
|
|
|
|
|
|
676 |
|
|
|
674,091 |
|
| Eagle Re Ltd. (Bermuda), |
|
| Series 2019-01, Class M1B, 144A, 1 Month LIBOR
+ 1.800% (Cap N/A, Floor 0.000%) |
|
| 1.985%(c) |
|
|
04/25/29 |
|
|
|
|
|
|
|
180 |
|
|
|
178,978 |
|
| Freddie Mac REMICS, |
|
| Series 4535, Class PA |
|
| 3.000% |
|
|
03/15/44 |
|
|
|
|
|
|
|
1,170 |
|
|
|
1,223,159 |
|
| Freddie Mac Structured Agency Credit Risk Debt Notes, |
|
| Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
|
| 1.485%(c) |
|
|
03/25/29 |
|
|
|
|
|
|
|
86 |
|
|
|
85,656 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A92
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
|
| 1.485%(c) |
|
|
04/25/29 |
|
|
|
|
|
|
|
261 |
|
|
$ |
260,917 |
|
| Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
|
| 1.385%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
189 |
|
|
|
188,455 |
|
| Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
|
| 0.935%(c) |
|
|
03/25/30 |
|
|
|
|
|
|
|
726 |
|
|
|
725,965 |
|
| Freddie Mac Structured Agency Credit Risk Trust, |
|
| Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor
0.000%) |
|
| 0.935%(c) |
|
|
09/25/48 |
|
|
|
|
|
|
|
3 |
|
|
|
3,256 |
|
| Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor
0.000%) |
|
| 0.935%(c) |
|
|
02/25/49 |
|
|
|
|
|
|
|
124 |
|
|
|
124,187 |
|
| Home Re Ltd. (Bermuda), |
|
| Series 2019-01, Class M1, 144A, 1 Month LIBOR
+ 1.650% (Cap N/A, Floor 0.000%) |
|
| 1.835%(c) |
|
|
05/25/29 |
|
|
|
|
|
|
|
168 |
|
|
|
165,766 |
|
| JPMorgan Mortgage Trust, |
|
| Series 2007-A01, Class 4A1 |
|
| 3.995%(cc) |
|
|
07/25/35 |
|
|
|
|
|
|
|
79 |
|
|
|
75,348 |
|
| LSTAR Securities Investment Trust, |
|
| Series 2019-02, Class A1, 144A, 1 Month LIBOR
+ 1.500% (Cap N/A, Floor 0.000%) |
|
| 1.673%(c) |
|
|
04/01/24 |
|
|
|
|
|
|
|
496 |
|
|
|
495,663 |
|
| MetLife Securitization Trust, |
|
| Series 2018-01A, Class A, 144A |
|
| 3.750%(cc) |
|
|
03/25/57 |
|
|
|
|
|
|
|
447 |
|
|
|
476,447 |
|
| Mill City Mortgage Loan Trust, |
|
| Series 2019-01, Class A1, 144A |
|
| 3.250%(cc) |
|
|
10/25/69 |
|
|
|
|
|
|
|
993 |
|
|
|
1,045,625 |
|
| New Residential Mortgage Loan Trust, |
|
| Series 2018-01A, Class A1A, 144A |
|
| 4.000%(cc) |
|
|
12/25/57 |
|
|
|
|
|
|
|
1,481 |
|
|
|
1,569,249 |
|
| Series 2018-04A, Class A1S, 144A, 1 Month LIBOR
+ 0.750% (Cap N/A, Floor 0.750%) |
|
| 0.935%(c) |
|
|
01/25/48 |
|
|
|
|
|
|
|
610 |
|
|
|
604,008 |
|
| Oaktown Re II Ltd. (Bermuda), |
|
| Series 2018-01A, Class M1, 144A, 1 Month LIBOR
+ 1.550% (Cap N/A, Floor 0.000%) |
|
| 1.735%(c) |
|
|
07/25/28 |
|
|
|
|
|
|
|
56 |
|
|
|
55,214 |
|
| Oaktown Re III Ltd. (Bermuda), |
|
| Series 2019-01A, Class M1A, 144A, 1 Month LIBOR
+ 1.400% (Cap N/A, Floor 1.400%) |
|
| 1.585%(c) |
|
|
07/25/29 |
|
|
|
|
|
|
|
47 |
|
|
|
47,325 |
|
| Seasoned Credit Risk Transfer Trust, |
|
| Series 2019-02, Class MA |
|
| 3.500% |
|
|
08/25/58 |
|
|
|
|
|
|
|
1,182 |
|
|
|
1,288,313 |
|
| Structured Adjustable Rate Mortgage Loan Trust, |
|
| Series 2004-01, Class 4A3 |
|
| 3.765%(cc) |
|
|
02/25/34 |
|
|
|
|
|
|
|
99 |
|
|
|
95,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $34,161,798) |
|
|
|
34,339,088 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| SOVEREIGN BONDS — 0.8% |
|
| Abu Dhabi Government International Bond (United Arab Emirates), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.125% |
|
|
10/11/27 |
|
|
|
|
|
|
|
3,350 |
|
|
$ |
3,662,877 |
|
| Colombia Government International Bond (Colombia), |
|
| Sr. Unsec’d. Notes |
|
| 4.000% |
|
|
02/26/24 |
|
|
|
|
|
|
|
175 |
|
|
|
184,246 |
|
| 4.375% |
|
|
07/12/21 |
|
|
|
|
|
|
|
500 |
|
|
|
513,914 |
|
| 5.000% |
|
|
06/15/45 |
|
|
|
|
|
|
|
620 |
|
|
|
699,277 |
|
| 7.375% |
|
|
09/18/37 |
|
|
|
|
|
|
|
625 |
|
|
|
856,103 |
|
| Export-Import Bank of India (India), |
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.875% |
|
|
02/01/28 |
|
|
|
|
|
|
|
1,040 |
|
|
|
1,082,226 |
|
| Finnvera OYJ (Finland), |
|
| Gov’t. Gtd. Notes, 144A, MTN |
|
| 2.375% |
|
|
06/04/25 |
|
|
|
|
|
|
|
400 |
|
|
|
434,188 |
|
| Hungary Government International Bond (Hungary), |
|
| Sr. Unsec’d. Notes |
|
| 6.375% |
|
|
03/29/21 |
|
|
|
|
|
|
|
924 |
|
|
|
961,007 |
|
| Indonesia Government International Bond (Indonesia), |
|
| Sr. Unsec’d. Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3.375% |
|
|
07/30/25 |
|
|
|
|
|
|
|
EUR 1,500 |
|
|
|
1,828,496 |
|
| 4.450% |
|
|
02/11/24 |
|
|
|
|
|
|
|
505 |
|
|
|
548,042 |
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 5.875% |
|
|
01/15/24 |
|
|
|
|
|
|
|
950 |
|
|
|
1,075,999 |
|
| Sr. Unsec’d. Notes, EMTN |
|
| 2.150% |
|
|
07/18/24 |
|
|
|
|
|
|
|
EUR 2,100 |
|
|
|
2,430,131 |
|
| 4.750% |
|
|
01/08/26 |
|
|
|
|
|
|
|
540 |
|
|
|
608,842 |
|
| Japan Finance Organization for Municipalities (Japan), |
|
|
|
|
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 2.125% |
|
|
04/13/21 |
|
|
|
|
|
|
|
200 |
|
|
|
202,477 |
|
| 2.125% |
|
|
10/25/23 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,466,541 |
|
| 2.625% |
|
|
04/20/22 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,073,137 |
|
| 3.000% |
|
|
03/12/24 |
|
|
|
|
|
|
|
400 |
|
|
|
433,303 |
|
| Panama Government International Bond (Panama), |
|
|
|
|
|
| Sr. Unsec’d. Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000% |
|
|
09/22/24 |
(a) |
|
|
|
|
|
|
515 |
|
|
|
560,466 |
|
| 4.500% |
|
|
04/16/50 |
|
|
|
|
|
|
|
475 |
|
|
|
580,600 |
|
| Qatar Government International Bond (Qatar), |
|
|
|
|
|
| Sr. Unsec’d. Notes, 144A |
|
| 3.875% |
|
|
04/23/23 |
|
|
|
|
|
|
|
1,105 |
|
|
|
1,185,937 |
|
| 4.817% |
|
|
03/14/49 |
|
|
|
|
|
|
|
500 |
|
|
|
660,720 |
|
| 5.103% |
|
|
04/23/48 |
|
|
|
|
|
|
|
915 |
|
|
|
1,249,423 |
|
| Romanian Government International Bond (Romania), |
|
|
|
|
|
| Sr. Unsec’d. Notes, EMTN |
|
| 4.125% |
|
|
03/11/39 |
|
|
|
|
|
|
|
EUR 1,395 |
|
|
|
1,726,746 |
|
| Saudi Government International Bond (Saudi Arabia), |
|
|
|
|
|
| Sr. Unsec’d. Notes, 144A, MTN |
|
| 2.375% |
|
|
10/26/21 |
|
|
|
|
|
|
|
1,325 |
|
|
|
1,344,228 |
|
| 2.875% |
|
|
03/04/23 |
|
|
|
|
|
|
|
1,785 |
|
|
|
1,861,646 |
|
| 4.000% |
|
|
04/17/25 |
|
|
|
|
|
|
|
1,035 |
|
|
|
1,149,079 |
|
| Tokyo Metropolitan Government (Japan), |
|
|
|
|
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.500% |
|
|
06/08/22 |
|
|
|
|
|
|
|
1,800 |
|
|
|
1,864,557 |
|
| 3.250% |
|
|
06/01/23 |
|
|
|
|
|
|
|
800 |
|
|
|
859,581 |
|
| Uruguay Government International Bond (Uruguay), |
|
|
|
|
|
| Sr. Unsec’d. Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.975% |
|
|
04/20/55 |
(a) |
|
|
|
|
|
|
1,025 |
|
|
|
1,312,861 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A93
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
|
| SOVEREIGN BONDS (continued) |
|
|
|
|
|
| 5.100% |
|
|
06/18/50 |
(a) |
|
|
|
|
|
|
545 |
|
|
$ |
703,821 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SOVEREIGN BONDS
(cost $31,857,563) |
|
|
|
34,120,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1% |
|
| Federal Home Loan Bank |
|
| 5.500% |
|
|
07/15/36 |
(k) |
|
|
|
|
|
|
1,080 |
|
|
|
1,687,912 |
|
| Federal Home Loan Mortgage Corp. |
|
| 2.000% |
|
|
01/01/32 |
|
|
|
|
|
|
|
863 |
|
|
|
897,035 |
|
| 2.500% |
|
|
03/01/30 |
|
|
|
|
|
|
|
451 |
|
|
|
479,346 |
|
| 2.500% |
|
|
10/01/32 |
|
|
|
|
|
|
|
921 |
|
|
|
976,647 |
|
| 3.000% |
|
|
10/01/28 |
|
|
|
|
|
|
|
321 |
|
|
|
341,616 |
|
| 3.000% |
|
|
06/01/29 |
|
|
|
|
|
|
|
793 |
|
|
|
843,551 |
|
| 3.000% |
|
|
03/01/32 |
|
|
|
|
|
|
|
958 |
|
|
|
1,021,598 |
|
| 3.000% |
|
|
01/01/37 |
|
|
|
|
|
|
|
479 |
|
|
|
507,203 |
|
| 3.000% |
|
|
01/01/43 |
|
|
|
|
|
|
|
940 |
|
|
|
1,007,320 |
|
| 3.000% |
|
|
07/01/43 |
|
|
|
|
|
|
|
1,859 |
|
|
|
1,992,205 |
|
| 3.000% |
|
|
01/01/47 |
|
|
|
|
|
|
|
5,607 |
|
|
|
5,924,888 |
|
| 3.500% |
|
|
03/01/42 |
|
|
|
|
|
|
|
562 |
|
|
|
608,066 |
|
| 3.500% |
|
|
06/01/42 |
|
|
|
|
|
|
|
329 |
|
|
|
356,497 |
|
| 3.500% |
|
|
01/01/47 |
|
|
|
|
|
|
|
1,033 |
|
|
|
1,099,303 |
|
| 3.500% |
|
|
02/01/47 |
|
|
|
|
|
|
|
1,251 |
|
|
|
1,327,702 |
|
| 4.000% |
|
|
06/01/26 |
|
|
|
|
|
|
|
419 |
|
|
|
444,792 |
|
| 4.000% |
|
|
09/01/26 |
|
|
|
|
|
|
|
221 |
|
|
|
234,689 |
|
| 4.000% |
|
|
10/01/39 |
|
|
|
|
|
|
|
779 |
|
|
|
854,142 |
|
| 4.000% |
|
|
12/01/40 |
|
|
|
|
|
|
|
343 |
|
|
|
375,981 |
|
| 4.000% |
|
|
10/01/41 |
|
|
|
|
|
|
|
365 |
|
|
|
400,201 |
|
| 4.000% |
|
|
01/01/42 |
|
|
|
|
|
|
|
138 |
|
|
|
151,360 |
|
| 4.000% |
|
|
10/01/45 |
|
|
|
|
|
|
|
507 |
|
|
|
546,636 |
|
| 4.500% |
|
|
07/01/20 |
|
|
|
|
|
|
|
1 |
|
|
|
590 |
|
| 4.500% |
|
|
09/01/39 |
|
|
|
|
|
|
|
249 |
|
|
|
276,664 |
|
| 4.500% |
|
|
10/01/39 |
|
|
|
|
|
|
|
1,417 |
|
|
|
1,576,026 |
|
| 4.500% |
|
|
12/01/39 |
|
|
|
|
|
|
|
437 |
|
|
|
486,369 |
|
| 4.500% |
|
|
07/01/41 |
|
|
|
|
|
|
|
188 |
|
|
|
202,887 |
|
| 4.500% |
|
|
07/01/41 |
|
|
|
|
|
|
|
1,715 |
|
|
|
1,910,027 |
|
| 4.500% |
|
|
08/01/41 |
|
|
|
|
|
|
|
129 |
|
|
|
139,583 |
|
| 4.500% |
|
|
08/01/41 |
|
|
|
|
|
|
|
195 |
|
|
|
213,352 |
|
| 4.500% |
|
|
08/01/41 |
|
|
|
|
|
|
|
285 |
|
|
|
309,957 |
|
| 4.500% |
|
|
10/01/41 |
|
|
|
|
|
|
|
146 |
|
|
|
157,766 |
|
| 4.500% |
|
|
10/01/46 |
|
|
|
|
|
|
|
258 |
|
|
|
279,834 |
|
| 4.500% |
|
|
12/01/47 |
|
|
|
|
|
|
|
1,430 |
|
|
|
1,541,477 |
|
| 5.000% |
|
|
05/01/34 |
|
|
|
|
|
|
|
20 |
|
|
|
23,017 |
|
| 5.000% |
|
|
05/01/34 |
|
|
|
|
|
|
|
186 |
|
|
|
213,477 |
|
| 5.000% |
|
|
08/01/35 |
|
|
|
|
|
|
|
19 |
|
|
|
22,084 |
|
| 5.000% |
|
|
09/01/35 |
|
|
|
|
|
|
|
31 |
|
|
|
35,283 |
|
| 5.000% |
|
|
10/01/36 |
|
|
|
|
|
|
|
31 |
|
|
|
35,996 |
|
| 5.000% |
|
|
05/01/37 |
|
|
|
|
|
|
|
20 |
|
|
|
22,982 |
|
| 5.000% |
|
|
07/01/37 |
|
|
|
|
|
|
|
401 |
|
|
|
459,963 |
|
| 5.000% |
|
|
09/01/38 |
|
|
|
|
|
|
|
48 |
|
|
|
54,782 |
|
| 5.000% |
|
|
09/01/38 |
|
|
|
|
|
|
|
50 |
|
|
|
57,727 |
|
| 5.000% |
|
|
09/01/38 |
|
|
|
|
|
|
|
58 |
|
|
|
66,294 |
|
| 5.000% |
|
|
02/01/39 |
|
|
|
|
|
|
|
19 |
|
|
|
21,954 |
|
| 5.000% |
|
|
06/01/39 |
|
|
|
|
|
|
|
55 |
|
|
|
63,030 |
|
| 5.500% |
|
|
02/01/34 |
|
|
|
|
|
|
|
32 |
|
|
|
35,468 |
|
| 5.500% |
|
|
04/01/34 |
|
|
|
|
|
|
|
301 |
|
|
|
335,225 |
|
| 5.500% |
|
|
06/01/34 |
|
|
|
|
|
|
|
99 |
|
|
|
113,652 |
|
| 5.500% |
|
|
06/01/34 |
|
|
|
|
|
|
|
155 |
|
|
|
177,725 |
|
| 5.500% |
|
|
05/01/37 |
|
|
|
|
|
|
|
45 |
|
|
|
51,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 5.500% |
|
02/01/38 |
|
|
|
|
|
|
353 |
|
|
$ |
405,273 |
|
| 5.500% |
|
05/01/38 |
|
|
|
|
|
|
64 |
|
|
|
72,848 |
|
| 5.500% |
|
07/01/38 |
|
|
|
|
|
|
318 |
|
|
|
364,463 |
|
| 6.000% |
|
03/01/32 |
|
|
|
|
|
|
138 |
|
|
|
154,874 |
|
| 6.000% |
|
12/01/33 |
|
|
|
|
|
|
49 |
|
|
|
54,975 |
|
| 6.000% |
|
07/01/36 |
|
|
|
|
|
|
3 |
|
|
|
3,268 |
|
| 6.000% |
|
12/01/36 |
|
|
|
|
|
|
8 |
|
|
|
9,048 |
|
| 6.000% |
|
05/01/37 |
|
|
|
|
|
|
12 |
|
|
|
13,549 |
|
| 6.000% |
|
12/01/37 |
|
|
|
|
|
|
23 |
|
|
|
26,946 |
|
| 6.000% |
|
01/01/38 |
|
|
|
|
|
|
4 |
|
|
|
4,064 |
|
| 6.000% |
|
01/01/38 |
|
|
|
|
|
|
13 |
|
|
|
14,714 |
|
| 6.000% |
|
01/01/38 |
|
|
|
|
|
|
267 |
|
|
|
310,856 |
|
| 6.000% |
|
10/01/38 |
|
|
|
|
|
|
71 |
|
|
|
81,954 |
|
| 6.000% |
|
08/01/39 |
|
|
|
|
|
|
35 |
|
|
|
41,192 |
|
| 6.750% |
|
09/15/29 |
|
|
|
|
|
|
935 |
|
|
|
1,407,140 |
|
| 6.750% |
|
03/15/31 |
|
|
|
|
|
|
500 |
|
|
|
786,223 |
|
| 7.000% |
|
01/01/31 |
|
|
|
|
|
|
20 |
|
|
|
22,953 |
|
| 7.000% |
|
06/01/31 |
|
|
|
|
|
|
28 |
|
|
|
31,875 |
|
| 7.000% |
|
09/01/31 |
|
|
|
|
|
|
3 |
|
|
|
3,671 |
|
| 7.000% |
|
10/01/31 |
|
|
|
|
|
|
37 |
|
|
|
42,304 |
|
| 7.000% |
|
10/01/32 |
|
|
|
|
|
|
29 |
|
|
|
31,561 |
|
| Federal National Mortgage Assoc. |
|
| 2.000% |
|
TBA |
|
|
|
|
|
|
5,000 |
|
|
|
5,103,178 |
|
| 2.000% |
|
TBA |
|
|
|
|
|
|
13,000 |
|
|
|
13,424,531 |
|
| 2.000% |
|
08/01/31 |
|
|
|
|
|
|
1,218 |
|
|
|
1,266,085 |
|
| 2.500% |
|
TBA |
|
|
|
|
|
|
8,000 |
|
|
|
8,321,334 |
|
| 2.500% |
|
01/01/28 |
|
|
|
|
|
|
953 |
|
|
|
1,000,034 |
|
| 2.500% |
|
10/01/43 |
|
|
|
|
|
|
935 |
|
|
|
989,709 |
|
| 2.500% |
|
12/01/46 |
|
|
|
|
|
|
1,703 |
|
|
|
1,803,037 |
|
| 3.000% |
|
TBA |
|
|
|
|
|
|
23,500 |
|
|
|
24,708,151 |
|
| 3.000% |
|
02/01/27 |
|
|
|
|
|
|
1,381 |
|
|
|
1,460,439 |
|
| 3.000% |
|
08/01/30 |
|
|
|
|
|
|
846 |
|
|
|
891,002 |
|
| 3.000% |
|
11/01/36 |
|
|
|
|
|
|
2,455 |
|
|
|
2,586,586 |
|
| 3.000% |
|
12/01/42 |
|
|
|
|
|
|
1,117 |
|
|
|
1,196,268 |
|
| 3.000% |
|
12/01/42 |
|
|
|
|
|
|
1,702 |
|
|
|
1,823,846 |
|
| 3.000% |
|
03/01/43 |
|
|
|
|
|
|
295 |
|
|
|
315,573 |
|
| 3.000% |
|
11/01/46 |
|
|
|
|
|
|
315 |
|
|
|
332,516 |
|
| 3.000% |
|
01/01/47 |
|
|
|
|
|
|
2,403 |
|
|
|
2,541,900 |
|
| 3.000% |
|
02/01/47 |
|
|
|
|
|
|
1,601 |
|
|
|
1,693,693 |
|
| 3.000% |
|
03/01/47 |
|
|
|
|
|
|
1,204 |
|
|
|
1,273,119 |
|
| 3.500% |
|
07/01/31 |
|
|
|
|
|
|
845 |
|
|
|
902,952 |
|
| 3.500% |
|
11/01/32 |
|
|
|
|
|
|
419 |
|
|
|
451,205 |
|
| 3.500% |
|
02/01/33 |
|
|
|
|
|
|
1,135 |
|
|
|
1,196,903 |
|
| 3.500% |
|
05/01/33 |
|
|
|
|
|
|
1,950 |
|
|
|
2,057,061 |
|
| 3.500% |
|
06/01/39 |
|
|
|
|
|
|
608 |
|
|
|
655,110 |
|
| 3.500% |
|
01/01/42 |
|
|
|
|
|
|
5,590 |
|
|
|
6,042,153 |
|
| 3.500% |
|
05/01/42 |
|
|
|
|
|
|
2,668 |
|
|
|
2,885,370 |
|
| 3.500% |
|
07/01/42 |
|
|
|
|
|
|
766 |
|
|
|
833,112 |
|
| 3.500% |
|
08/01/42 |
|
|
|
|
|
|
302 |
|
|
|
326,807 |
|
| 3.500% |
|
08/01/42 |
|
|
|
|
|
|
918 |
|
|
|
992,775 |
|
| 3.500% |
|
09/01/42 |
|
|
|
|
|
|
864 |
|
|
|
935,566 |
|
| 3.500% |
|
09/01/42 |
|
|
|
|
|
|
1,560 |
|
|
|
1,688,896 |
|
| 3.500% |
|
11/01/42 |
|
|
|
|
|
|
511 |
|
|
|
552,415 |
|
| 3.500% |
|
03/01/43 |
|
|
|
|
|
|
2,774 |
|
|
|
3,032,846 |
|
| 3.500% |
|
04/01/43 |
|
|
|
|
|
|
530 |
|
|
|
573,903 |
|
| 3.500% |
|
04/01/43 |
|
|
|
|
|
|
1,196 |
|
|
|
1,294,494 |
|
| 3.500% |
|
07/01/43 |
|
|
|
|
|
|
245 |
|
|
|
265,027 |
|
| 3.500% |
|
06/01/45 |
|
|
|
|
|
|
5,717 |
|
|
|
6,111,807 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A94
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 3.500% |
|
|
07/01/46 |
|
|
|
|
|
|
|
1,135 |
|
|
$ |
1,206,142 |
|
| 3.500% |
|
|
11/01/46 |
|
|
|
|
|
|
|
1,579 |
|
|
|
1,675,628 |
|
| 3.500% |
|
|
09/01/47 |
|
|
|
|
|
|
|
1,726 |
|
|
|
1,826,799 |
|
| 3.500% |
|
|
01/01/48 |
|
|
|
|
|
|
|
12,270 |
|
|
|
12,940,627 |
|
| 3.500% |
|
|
05/01/48 |
|
|
|
|
|
|
|
1,851 |
|
|
|
1,949,753 |
|
| 3.500% |
|
|
06/01/48 |
|
|
|
|
|
|
|
5,373 |
|
|
|
5,779,233 |
|
| 4.000% |
|
|
12/01/36 |
|
|
|
|
|
|
|
968 |
|
|
|
1,042,088 |
|
| 4.000% |
|
|
10/01/41 |
|
|
|
|
|
|
|
2,904 |
|
|
|
3,187,603 |
|
| 4.000% |
|
|
07/01/44 |
|
|
|
|
|
|
|
1,061 |
|
|
|
1,160,346 |
|
| 4.000% |
|
|
09/01/44 |
|
|
|
|
|
|
|
2,359 |
|
|
|
2,574,795 |
|
| 4.000% |
|
|
10/01/46 |
|
|
|
|
|
|
|
749 |
|
|
|
802,836 |
|
| 4.000% |
|
|
06/01/47 |
|
|
|
|
|
|
|
1,269 |
|
|
|
1,354,487 |
|
| 4.000% |
|
|
09/01/47 |
|
|
|
|
|
|
|
460 |
|
|
|
490,060 |
|
| 4.000% |
|
|
11/01/47 |
|
|
|
|
|
|
|
986 |
|
|
|
1,089,982 |
|
| 4.000% |
|
|
11/01/47 |
|
|
|
|
|
|
|
2,395 |
|
|
|
2,553,653 |
|
| 4.000% |
|
|
12/01/47 |
|
|
|
|
|
|
|
6,103 |
|
|
|
6,505,484 |
|
| 4.500% |
|
|
07/01/33 |
|
|
|
|
|
|
|
47 |
|
|
|
51,410 |
|
| 4.500% |
|
|
08/01/33 |
|
|
|
|
|
|
|
11 |
|
|
|
11,979 |
|
| 4.500% |
|
|
09/01/33 |
|
|
|
|
|
|
|
40 |
|
|
|
44,180 |
|
| 4.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
110 |
|
|
|
119,953 |
|
| 4.500% |
|
|
03/01/34 |
|
|
|
|
|
|
|
31 |
|
|
|
33,405 |
|
| 4.500% |
|
|
01/01/35 |
|
|
|
|
|
|
|
2 |
|
|
|
2,303 |
|
| 4.500% |
|
|
07/01/39 |
|
|
|
|
|
|
|
771 |
|
|
|
857,989 |
|
| 4.500% |
|
|
08/01/39 |
|
|
|
|
|
|
|
592 |
|
|
|
658,483 |
|
| 4.500% |
|
|
09/01/39 |
|
|
|
|
|
|
|
407 |
|
|
|
452,786 |
|
| 4.500% |
|
|
12/01/39 |
|
|
|
|
|
|
|
4 |
|
|
|
4,910 |
|
| 4.500% |
|
|
03/01/41 |
|
|
|
|
|
|
|
1,381 |
|
|
|
1,547,122 |
|
| 4.500% |
|
|
07/01/42 |
|
|
|
|
|
|
|
122 |
|
|
|
136,296 |
|
| 5.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
206 |
|
|
|
236,023 |
|
| 5.000% |
|
|
04/01/35 |
|
|
|
|
|
|
|
494 |
|
|
|
566,254 |
|
| 5.000% |
|
|
06/01/35 |
|
|
|
|
|
|
|
120 |
|
|
|
138,187 |
|
| 5.000% |
|
|
07/01/35 |
|
|
|
|
|
|
|
81 |
|
|
|
92,470 |
|
| 5.000% |
|
|
07/01/35 |
|
|
|
|
|
|
|
122 |
|
|
|
140,418 |
|
| 5.000% |
|
|
09/01/35 |
|
|
|
|
|
|
|
76 |
|
|
|
87,279 |
|
| 5.000% |
|
|
11/01/35 |
|
|
|
|
|
|
|
86 |
|
|
|
99,109 |
|
| 5.000% |
|
|
02/01/36 |
|
|
|
|
|
|
|
68 |
|
|
|
78,363 |
|
| 5.500% |
|
|
02/01/33 |
|
|
|
|
|
|
|
96 |
|
|
|
109,489 |
|
| 5.500% |
|
|
08/01/33 |
|
|
|
|
|
|
|
171 |
|
|
|
192,514 |
|
| 5.500% |
|
|
10/01/33 |
|
|
|
|
|
|
|
46 |
|
|
|
52,928 |
|
| 5.500% |
|
|
12/01/33 |
|
|
|
|
|
|
|
48 |
|
|
|
55,397 |
|
| 5.500% |
|
|
12/01/34 |
|
|
|
|
|
|
|
124 |
|
|
|
141,698 |
|
| 5.500% |
|
|
10/01/35 |
|
|
|
|
|
|
|
483 |
|
|
|
554,645 |
|
| 5.500% |
|
|
03/01/36 |
|
|
|
|
|
|
|
49 |
|
|
|
54,236 |
|
| 5.500% |
|
|
04/01/36 |
|
|
|
|
|
|
|
108 |
|
|
|
122,169 |
|
| 5.500% |
|
|
01/01/37 |
|
|
|
|
|
|
|
60 |
|
|
|
68,922 |
|
| 5.500% |
|
|
04/01/37 |
|
|
|
|
|
|
|
32 |
|
|
|
36,841 |
|
| 5.500% |
|
|
05/01/37 |
|
|
|
|
|
|
|
194 |
|
|
|
222,263 |
|
| 5.500% |
|
|
08/01/37 |
|
|
|
|
|
|
|
240 |
|
|
|
275,883 |
|
| 6.000% |
|
|
05/01/21 |
|
|
|
|
|
|
|
10 |
|
|
|
10,355 |
|
| 6.000% |
|
|
10/01/33 |
|
|
|
|
|
|
|
189 |
|
|
|
212,333 |
|
| 6.000% |
|
|
11/01/33 |
|
|
|
|
|
|
|
23 |
|
|
|
26,101 |
|
| 6.000% |
|
|
11/01/33 |
|
|
|
|
|
|
|
29 |
|
|
|
32,633 |
|
| 6.000% |
|
|
01/01/34 |
|
|
|
|
|
|
|
237 |
|
|
|
276,105 |
|
| 6.000% |
|
|
02/01/34 |
|
|
|
|
|
|
|
94 |
|
|
|
109,268 |
|
| 6.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
2 |
|
|
|
2,126 |
|
| 6.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
12 |
|
|
|
13,599 |
|
| 6.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
28 |
|
|
|
31,337 |
|
| 6.000% |
|
|
11/01/34 |
|
|
|
|
|
|
|
23 |
|
|
|
25,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 6.000% |
|
|
01/01/35 |
|
|
|
|
|
|
|
46 |
|
|
$ |
52,330 |
|
| 6.000% |
|
|
01/01/35 |
|
|
|
|
|
|
|
113 |
|
|
|
127,079 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
3 |
|
|
|
2,955 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
105 |
|
|
|
117,230 |
|
| 6.000% |
|
|
02/01/35 |
|
|
|
|
|
|
|
186 |
|
|
|
217,563 |
|
| 6.000% |
|
|
04/01/35 |
|
|
|
|
|
|
|
16 |
|
|
|
18,251 |
|
| 6.000% |
|
|
12/01/35 |
|
|
|
|
|
|
|
87 |
|
|
|
96,689 |
|
| 6.000% |
|
|
05/01/36 |
|
|
|
|
|
|
|
39 |
|
|
|
44,965 |
|
| 6.000% |
|
|
06/01/36 |
|
|
|
|
|
|
|
15 |
|
|
|
16,550 |
|
| 6.000% |
|
|
02/01/37 |
|
|
|
|
|
|
|
63 |
|
|
|
74,010 |
|
| 6.000% |
|
|
06/01/37 |
|
|
|
|
|
|
|
24 |
|
|
|
26,825 |
|
| 6.000% |
|
|
05/01/38 |
|
|
|
|
|
|
|
166 |
|
|
|
193,387 |
|
| 6.250% |
|
|
05/15/29 |
|
|
|
|
|
|
|
950 |
|
|
|
1,376,075 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
1 |
|
|
|
1,152 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
13 |
|
|
|
14,428 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
35 |
|
|
|
40,359 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
39 |
|
|
|
45,614 |
|
| 6.500% |
|
|
10/01/32 |
|
|
|
|
|
|
|
40 |
|
|
|
46,277 |
|
| 6.500% |
|
|
04/01/33 |
|
|
|
|
|
|
|
52 |
|
|
|
59,835 |
|
| 6.500% |
|
|
11/01/33 |
|
|
|
|
|
|
|
21 |
|
|
|
24,284 |
|
| 6.500% |
|
|
01/01/34 |
|
|
|
|
|
|
|
31 |
|
|
|
36,356 |
|
| 6.500% |
|
|
09/01/34 |
|
|
|
|
|
|
|
49 |
|
|
|
55,938 |
|
| 6.500% |
|
|
10/01/34 |
|
|
|
|
|
|
|
43 |
|
|
|
50,273 |
|
| 6.500% |
|
|
09/01/36 |
|
|
|
|
|
|
|
108 |
|
|
|
125,924 |
|
| 6.500% |
|
|
10/01/36 |
|
|
|
|
|
|
|
26 |
|
|
|
30,914 |
|
| 6.500% |
|
|
11/01/36 |
|
|
|
|
|
|
|
37 |
|
|
|
41,193 |
|
| 6.500% |
|
|
01/01/37 |
|
|
|
|
|
|
|
39 |
|
|
|
43,137 |
|
| 6.500% |
|
|
01/01/37 |
|
|
|
|
|
|
|
103 |
|
|
|
119,434 |
|
| 6.500% |
|
|
09/01/37 |
|
|
|
|
|
|
|
13 |
|
|
|
15,150 |
|
| 6.625% |
|
|
11/15/30 |
(k) |
|
|
|
|
|
|
550 |
|
|
|
850,720 |
|
| 7.000% |
|
|
02/01/32 |
|
|
|
|
|
|
|
25 |
|
|
|
29,126 |
|
| 7.000% |
|
|
05/01/32 |
|
|
|
|
|
|
|
13 |
|
|
|
15,854 |
|
| 7.000% |
|
|
06/01/32 |
|
|
|
|
|
|
|
13 |
|
|
|
15,577 |
|
| 7.000% |
|
|
07/01/32 |
|
|
|
|
|
|
|
49 |
|
|
|
57,468 |
|
| 7.125% |
|
|
01/15/30 |
(k) |
|
|
|
|
|
|
3,600 |
|
|
|
5,610,780 |
|
| Government National Mortgage Assoc. |
|
| 2.500% |
|
|
TBA |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,261,133 |
|
| 2.500% |
|
|
TBA |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,300,469 |
|
| 2.500% |
|
|
03/20/43 |
|
|
|
|
|
|
|
687 |
|
|
|
727,963 |
|
| 2.500% |
|
|
12/20/46 |
|
|
|
|
|
|
|
860 |
|
|
|
911,674 |
|
| 3.000% |
|
|
03/15/45 |
|
|
|
|
|
|
|
1,024 |
|
|
|
1,083,714 |
|
| 3.000% |
|
|
11/20/45 |
|
|
|
|
|
|
|
1,128 |
|
|
|
1,201,443 |
|
| 3.000% |
|
|
03/20/46 |
|
|
|
|
|
|
|
7,293 |
|
|
|
7,749,237 |
|
| 3.000% |
|
|
07/20/46 |
|
|
|
|
|
|
|
4,889 |
|
|
|
5,200,425 |
|
| 3.000% |
|
|
10/20/46 |
|
|
|
|
|
|
|
1,594 |
|
|
|
1,695,813 |
|
| 3.000% |
|
|
12/20/46 |
|
|
|
|
|
|
|
1,068 |
|
|
|
1,134,265 |
|
| 3.000% |
|
|
02/20/47 |
|
|
|
|
|
|
|
2,210 |
|
|
|
2,346,562 |
|
| 3.500% |
|
|
TBA |
|
|
|
|
|
|
|
11,000 |
|
|
|
11,605,859 |
|
| 3.500% |
|
|
12/20/42 |
|
|
|
|
|
|
|
1,715 |
|
|
|
1,864,819 |
|
| 3.500% |
|
|
05/20/43 |
|
|
|
|
|
|
|
350 |
|
|
|
381,237 |
|
| 3.500% |
|
|
03/20/45 |
|
|
|
|
|
|
|
1,411 |
|
|
|
1,510,258 |
|
| 3.500% |
|
|
04/20/45 |
|
|
|
|
|
|
|
1,959 |
|
|
|
2,097,144 |
|
| 3.500% |
|
|
07/20/46 |
|
|
|
|
|
|
|
7,164 |
|
|
|
7,664,896 |
|
| 4.000% |
|
|
06/15/40 |
|
|
|
|
|
|
|
150 |
|
|
|
162,681 |
|
| 4.000% |
|
|
05/20/41 |
|
|
|
|
|
|
|
267 |
|
|
|
294,304 |
|
| 4.000% |
|
|
12/20/42 |
|
|
|
|
|
|
|
591 |
|
|
|
650,869 |
|
| 4.000% |
|
|
08/20/44 |
|
|
|
|
|
|
|
261 |
|
|
|
284,193 |
|
| 4.000% |
|
|
11/20/45 |
|
|
|
|
|
|
|
1,443 |
|
|
|
1,561,840 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A95
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 4.000% |
|
|
12/20/45 |
|
|
|
|
|
|
|
1,543 |
|
|
$ |
1,666,878 |
|
| 4.000% |
|
|
11/20/46 |
|
|
|
|
|
|
|
351 |
|
|
|
377,433 |
|
| 4.000% |
|
|
09/20/47 |
|
|
|
|
|
|
|
5,680 |
|
|
|
6,088,745 |
|
| 4.000% |
|
|
02/20/49 |
|
|
|
|
|
|
|
4,079 |
|
|
|
4,331,260 |
|
| 4.500% |
|
|
04/15/40 |
|
|
|
|
|
|
|
582 |
|
|
|
647,777 |
|
| 4.500% |
|
|
01/20/41 |
|
|
|
|
|
|
|
1,181 |
|
|
|
1,319,738 |
|
| 4.500% |
|
|
02/20/41 |
|
|
|
|
|
|
|
740 |
|
|
|
826,255 |
|
| 4.500% |
|
|
06/20/44 |
|
|
|
|
|
|
|
787 |
|
|
|
862,538 |
|
| 4.500% |
|
|
09/20/46 |
|
|
|
|
|
|
|
458 |
|
|
|
498,323 |
|
| 4.500% |
|
|
11/20/46 |
|
|
|
|
|
|
|
897 |
|
|
|
981,910 |
|
| 4.500% |
|
|
03/20/47 |
|
|
|
|
|
|
|
873 |
|
|
|
953,612 |
|
| 4.500% |
|
|
05/20/48 |
|
|
|
|
|
|
|
1,213 |
|
|
|
1,308,270 |
|
| 4.500% |
|
|
06/20/48 |
|
|
|
|
|
|
|
1,633 |
|
|
|
1,759,872 |
|
| 4.500% |
|
|
08/20/48 |
|
|
|
|
|
|
|
5,097 |
|
|
|
5,453,068 |
|
| 5.000% |
|
|
10/20/37 |
|
|
|
|
|
|
|
108 |
|
|
|
121,571 |
|
| 5.000% |
|
|
04/20/45 |
|
|
|
|
|
|
|
704 |
|
|
|
793,272 |
|
| 5.500% |
|
|
11/15/32 |
|
|
|
|
|
|
|
69 |
|
|
|
78,852 |
|
| 5.500% |
|
|
02/15/33 |
|
|
|
|
|
|
|
51 |
|
|
|
59,216 |
|
| 5.500% |
|
|
08/15/33 |
|
|
|
|
|
|
|
90 |
|
|
|
99,353 |
|
| 5.500% |
|
|
08/15/33 |
|
|
|
|
|
|
|
156 |
|
|
|
171,738 |
|
| 5.500% |
|
|
09/15/33 |
|
|
|
|
|
|
|
41 |
|
|
|
45,560 |
|
| 5.500% |
|
|
09/15/33 |
|
|
|
|
|
|
|
80 |
|
|
|
90,945 |
|
| 5.500% |
|
|
10/15/33 |
|
|
|
|
|
|
|
65 |
|
|
|
73,782 |
|
| 5.500% |
|
|
12/15/33 |
|
|
|
|
|
|
|
11 |
|
|
|
11,751 |
|
| 5.500% |
|
|
04/15/34 |
|
|
|
|
|
|
|
307 |
|
|
|
357,780 |
|
| 5.500% |
|
|
07/15/35 |
|
|
|
|
|
|
|
56 |
|
|
|
66,006 |
|
| 5.500% |
|
|
02/15/36 |
|
|
|
|
|
|
|
113 |
|
|
|
130,665 |
|
| 6.000% |
|
|
02/15/33 |
|
|
|
|
|
|
|
2 |
|
|
|
2,014 |
|
| 6.000% |
|
|
04/15/33 |
|
|
|
|
|
|
|
18 |
|
|
|
19,840 |
|
| 6.000% |
|
|
09/15/33 |
|
|
|
|
|
|
|
12 |
|
|
|
13,177 |
|
| 6.000% |
|
|
12/15/33 |
|
|
|
|
|
|
|
34 |
|
|
|
40,954 |
|
| 6.000% |
|
|
12/15/33 |
|
|
|
|
|
|
|
77 |
|
|
|
85,152 |
|
| 6.000% |
|
|
01/15/34 |
|
|
|
|
|
|
|
19 |
|
|
|
22,963 |
|
| 6.000% |
|
|
01/15/34 |
|
|
|
|
|
|
|
32 |
|
|
|
36,673 |
|
| 6.000% |
|
|
06/20/34 |
|
|
|
|
|
|
|
67 |
|
|
|
77,603 |
|
| 6.000% |
|
|
07/15/34 |
|
|
|
|
|
|
|
144 |
|
|
|
171,214 |
|
| 6.000% |
|
|
10/15/34 |
|
|
|
|
|
|
|
159 |
|
|
|
182,186 |
|
| 6.500% |
|
|
10/15/23 |
|
|
|
|
|
|
|
1 |
|
|
|
728 |
|
| 6.500% |
|
|
12/15/23 |
|
|
|
|
|
|
|
2 |
|
|
|
2,561 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,116 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,512 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
3,661 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
9 |
|
|
|
9,383 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
9 |
|
|
|
9,540 |
|
| 6.500% |
|
|
01/15/24 |
|
|
|
|
|
|
|
39 |
|
|
|
42,700 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
— |
(r) |
|
|
172 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
— |
(r) |
|
|
209 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
2 |
|
|
|
1,893 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
2 |
|
|
|
1,987 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
3 |
|
|
|
3,086 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
5 |
|
|
|
5,322 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
5 |
|
|
|
6,030 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
6 |
|
|
|
7,138 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
10 |
|
|
|
10,956 |
|
| 6.500% |
|
|
02/15/24 |
|
|
|
|
|
|
|
23 |
|
|
|
25,234 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
645 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,229 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
|
1,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
1 |
|
|
$ |
1,654 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
2 |
|
|
|
1,925 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
2 |
|
|
|
2,265 |
|
| 6.500% |
|
|
04/15/24 |
|
|
|
|
|
|
|
7 |
|
|
|
8,279 |
|
| 6.500% |
|
|
05/15/24 |
|
|
|
|
|
|
|
8 |
|
|
|
8,729 |
|
| 6.500% |
|
|
05/15/24 |
|
|
|
|
|
|
|
11 |
|
|
|
12,578 |
|
| 6.500% |
|
|
10/15/24 |
|
|
|
|
|
|
|
12 |
|
|
|
12,809 |
|
| 6.500% |
|
|
12/15/30 |
|
|
|
|
|
|
|
7 |
|
|
|
7,459 |
|
| 6.500% |
|
|
01/15/32 |
|
|
|
|
|
|
|
19 |
|
|
|
21,712 |
|
| 6.500% |
|
|
02/15/32 |
|
|
|
|
|
|
|
16 |
|
|
|
17,811 |
|
| 6.500% |
|
|
07/15/32 |
|
|
|
|
|
|
|
39 |
|
|
|
44,665 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
5 |
|
|
|
5,595 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
8 |
|
|
|
8,482 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
27 |
|
|
|
30,703 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
186 |
|
|
|
221,495 |
|
| 6.500% |
|
|
06/15/35 |
|
|
|
|
|
|
|
5 |
|
|
|
5,558 |
|
| 6.500% |
|
|
06/15/35 |
|
|
|
|
|
|
|
34 |
|
|
|
40,098 |
|
| 6.500% |
|
|
07/15/35 |
|
|
|
|
|
|
|
7 |
|
|
|
7,396 |
|
| 8.000% |
|
|
01/15/24 |
|
|
|
|
|
|
|
6 |
|
|
|
5,689 |
|
| 8.000% |
|
|
04/15/25 |
|
|
|
|
|
|
|
3 |
|
|
|
3,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $281,020,984) |
|
|
|
292,319,447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 1.2% |
|
| U.S. Treasury Bonds |
|
| 2.875% |
|
|
05/15/43 |
(a) |
|
|
|
|
|
|
1,075 |
|
|
|
1,403,547 |
|
| 3.000% |
|
|
11/15/44 |
|
|
|
|
|
|
|
5,060 |
|
|
|
6,772,494 |
|
| 3.125% |
|
|
02/15/43 |
|
|
|
|
|
|
|
965 |
|
|
|
1,307,877 |
|
| 3.375% |
|
|
05/15/44 |
(a) |
|
|
|
|
|
|
9,210 |
|
|
|
13,022,076 |
|
| 3.625% |
|
|
02/15/44 |
|
|
|
|
|
|
|
490 |
|
|
|
717,084 |
|
| 3.750% |
|
|
11/15/43 |
|
|
|
|
|
|
|
490 |
|
|
|
729,105 |
|
| U.S. Treasury Notes |
|
| 2.250% |
|
|
11/15/25 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,508,203 |
|
| 3.125% |
|
|
11/15/28 |
(k) |
|
|
|
|
|
|
11,625 |
|
|
|
14,048,086 |
|
| U.S. Treasury Strips Coupon |
|
| 2.000%(s) |
|
|
08/15/39 |
(h)(k) |
|
|
|
|
|
|
3,780 |
|
|
|
2,945,152 |
|
| 2.228%(s) |
|
|
05/15/28 |
(k) |
|
|
|
|
|
|
718 |
|
|
|
682,408 |
|
| 2.365%(s) |
|
|
08/15/44 |
(k) |
|
|
|
|
|
|
3,095 |
|
|
|
2,136,517 |
|
| 2.395%(s) |
|
|
11/15/43 |
|
|
|
|
|
|
|
1,156 |
|
|
|
812,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. TREASURY OBLIGATIONS
(cost $48,847,537) |
|
|
|
50,084,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $3,263,391,456) |
|
|
|
3,885,292,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
|
|
|
| SHORT-TERM INVESTMENTS — 11.4% |
|
|
| AFFILIATED MUTUAL FUNDS — 11.3% |
|
| PGIM Core Ultra Short Bond Fund(w) |
|
|
325,454,314 |
|
|
|
325,454,314 |
|
| PGIM Institutional Money Market Fund (cost $139,695,942; includes $139,617,982 of cash collateral for
securities on loan)(b)(w) |
|
|
140,069,128 |
|
|
|
140,069,128 |
|
|
|
|
|
|
|
|
|
|
| TOTAL AFFILIATED MUTUAL FUNDS
(cost $465,150,256) |
|
|
|
465,523,442 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A96
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. TREASURY OBLIGATION(k)(n) — 0.0% |
|
| U.S. Treasury Bills |
|
| 0.159% |
|
|
09/17/20 |
|
|
|
|
|
|
|
250 |
|
|
$ |
249,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (cost $249,914) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPTIONS PURCHASED*~ — 0.1%
(cost $211,734) |
|
|
|
1,207,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(cost $465,611,904) |
|
|
|
466,980,607 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 105.8%
(cost
$3,729,003,360) |
|
|
|
4,352,273,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPTION WRITTEN*~ — (0.0)%
(premiums received $117,053) |
|
|
|
(39,656 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 105.8%
(cost
$3,728,886,307) |
|
|
|
4,352,233,559 |
|
| Liabilities in excess of other assets(z) — (5.8)% |
|
|
|
(237,641,773 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
4,114,591,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $7,143,170 and 0.2% of net assets.
|
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending
settlement, is $137,365,070; cash collateral of $139,617,982 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on
the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.
|
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.
|
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
|
| (d) |
Represents issuer in default on interest payments and/or principal repayment.
Non-income producing security. Such securities may be post-maturity. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified
date. Rate shown is the rate in effect as of period end. |
| (h) |
Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.
|
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (r) |
Principal or notional amount is less than $500 par. |
| (rr) |
Perpetual security with no stated maturity date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.
|
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the
Schedule of Investments: |
Options Purchased:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
Expiration
Date |
|
Strike |
|
Contracts |
|
Notional
Amount
(000)# |
|
Value |
| 10 Year U.S. Treasury Notes Futures |
|
|
|
Call |
|
|
|
|
07/24/20 |
|
|
|
$ |
140.00 |
|
|
|
|
423 |
|
|
|
|
423 |
|
|
|
$ |
85,922 |
|
| 10 Year U.S. Treasury Notes Futures |
|
|
|
Call |
|
|
|
|
07/24/20 |
|
|
|
$ |
143.00 |
|
|
|
|
846 |
|
|
|
|
846 |
|
|
|
|
26,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded (cost $192,434) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
112,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A97
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Options Purchased (continued):
OTC Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Counterparty |
|
Expiration
Date |
|
|
Strike |
|
|
Contracts |
|
Notional
Amount
(000)# |
|
|
Value |
|
| 2- Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
07/12/21 |
|
|
|
0.11 |
% |
|
— |
|
|
3,379 |
|
|
$ |
75,406 |
|
| 2- Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
07/13/21 |
|
|
|
0.11 |
% |
|
— |
|
|
3,285 |
|
|
|
73,144 |
|
| 2- Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
08/16/21 |
|
|
|
0.15 |
% |
|
— |
|
|
8,212 |
|
|
|
173,505 |
|
| 2- Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
08/20/21 |
|
|
|
0.15 |
% |
|
— |
|
|
16,302 |
|
|
|
345,129 |
|
| 2- Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
|
09/13/21 |
|
|
|
0.14 |
% |
|
— |
|
|
16,540 |
|
|
|
362,211 |
|
| 2- Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
|
11/09/21 |
|
|
|
0.21 |
% |
|
— |
|
|
3,285 |
|
|
|
65,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total OTC Traded (cost $19,300) |
|
|
$ |
1,094,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Options Purchased (cost $211,734) |
|
|
$ |
1,207,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
Expiration
Date |
|
Strike |
|
Contracts |
|
Notional
Amount
(000)# |
|
Value |
| 10 Year U.S. Treasury Notes Futures (premiums received $117,053) |
|
|
|
Call |
|
|
|
|
07/24/20 |
|
|
|
$ |
142.00 |
|
|
|
|
1,269 |
|
|
|
|
1,269 |
|
|
|
$ |
(39,656 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Number
of
Contracts |
|
Type |
|
Expiration
Date |
|
|
Current
Notional
Amount |
|
|
Value /
Unrealized
Appreciation
(Depreciation) |
|
| Long Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
| 13 |
|
2 Year U.S. Treasury Notes |
|
|
Sep. 2020 |
|
|
$ |
2,870,766 |
|
|
$ |
2,319 |
|
| 12 |
|
5 Year U.S. Treasury Notes |
|
|
Sep. 2020 |
|
|
|
1,508,906 |
|
|
|
11,421 |
|
| 243 |
|
10 Year U.S. Ultra Treasury Notes |
|
|
Sep. 2020 |
|
|
|
38,268,704 |
|
|
|
173,941 |
|
| 5 |
|
20 Year U.S. Treasury Bonds |
|
|
Sep. 2020 |
|
|
|
892,813 |
|
|
|
15,149 |
|
| 559 |
|
30 Year U.S. Ultra Treasury Bonds |
|
|
Sep. 2020 |
|
|
|
121,949,344 |
|
|
|
(19,755 |
) |
| 22 |
|
Mini MSCI EAFE Index |
|
|
Sep. 2020 |
|
|
|
1,956,240 |
|
|
|
(25,043 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
158,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
10 Year Euro-Bund |
|
|
Sep. 2020 |
|
|
|
3,966,404 |
|
|
|
(34,419 |
) |
| 885 |
|
10 Year U.S. Treasury Notes |
|
|
Sep. 2020 |
|
|
|
123,167,114 |
|
|
|
(412,219 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(446,638 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(288,606 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchase
Contracts |
|
Counterparty |
|
|
Notional
Amount
(000) |
|
|
Value at
Settlement
Date |
|
|
Current
Value |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Forward Foreign Currency Exchange Contracts: |
|
| Euro, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
|
Morgan Stanley & Co. International PLC |
|
|
|
EUR 9,530 |
|
|
$ |
10,744,769 |
|
|
$ |
10,707,940 |
|
|
$ |
— |
|
|
$ |
(36,829 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A98
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sale
Contracts |
|
Counterparty |
|
Notional
Amount
(000) |
|
Value at
Settlement
Date |
|
Current
Value |
|
Unrealized
Appreciation |
|
Unrealized
Depreciation |
| OTC Forward Foreign Currency Exchange Contracts: |
|
| Canadian Dollar, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/20/20 |
|
Morgan Stanley & Co. International PLC |
|
|
|
CAD |
|
|
|
|
2,500 |
|
|
|
$ |
1,800,413 |
|
|
|
$ |
1,841,591 |
|
|
|
$ |
— |
|
|
|
$ |
(41,178 |
) |
| Euro, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expiring 07/02/20 |
|
Citibank, N.A. |
|
|
|
EUR |
|
|
|
|
9,530 |
|
|
|
|
10,402,148 |
|
|
|
|
10,707,941 |
|
|
|
|
— |
|
|
|
|
(305,793 |
) |
| Expiring 08/04/20 |
|
Morgan Stanley & Co. International PLC |
|
|
|
EUR |
|
|
|
|
9,530 |
|
|
|
|
10,752,631 |
|
|
|
|
10,715,847 |
|
|
|
|
36,784 |
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
22,955,192 |
|
|
|
$ |
23,265,379 |
|
|
|
|
36,784 |
|
|
|
|
(346,971 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
36,784 |
|
|
|
$ |
(383,800 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit default swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
Fixed
Rate |
|
Notional
Amount
(000)#(3) |
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
Fair
Value |
|
|
Upfront
Premiums
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
Counterparty |
| OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell
Protection(2): |
|
|
|
| Boeing Co. |
|
12/20/21 |
|
1.000%(Q) |
|
4,100 |
|
2.453% |
|
$ |
(84,855 |
) |
|
$ |
32,808 |
|
|
$ |
(117,663 |
) |
|
Bank of America, N.A. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
Fixed
Rate |
|
Notional
Amount
(000)#(3) |
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Centrally Cleared Credit Default Swap Agreement on credit indices—Buy
Protection(1): |
|
| CDX.NA.IG.33.V1 |
|
12/20/29 |
|
1.000%(Q) |
|
24,000 |
|
$ |
91,203 |
|
|
$ |
147,408 |
|
|
$ |
56,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity/
Obligation |
|
Termination
Date |
|
Fixed
Rate |
|
Notional
Amount
(000)#(3) |
|
Implied
Credit
Spread at
June 30,
2020(4) |
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Centrally Cleared Credit Default Swap Agreement on credit indices—Sell
Protection(2): |
|
|
|
|
|
|
|
|
|
|
|
|
| iTraxx.EUR.33.V1 |
|
06/20/25 |
|
1.000%(Q) |
|
EUR 39,500 |
|
0.664% |
|
$ |
319,918 |
|
|
$ |
752,272 |
|
|
$ |
432,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an
active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to
pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (1) |
If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms
of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the
referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (2) |
If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the
terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the
referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
| (3) |
Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap
agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
| |
likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s
credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
(000)# |
|
|
Termination
Date |
|
|
Fixed
Rate |
|
Floating Rate |
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
Centrally Cleared Interest Rate Swap Agreements: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
EUR |
|
|
|
3,905 |
|
|
|
05/11/24 |
|
|
0.050%(A) |
|
1 Day EONIA(1)(A) |
|
$ |
(43,095 |
) |
|
$ |
(103,546 |
) |
|
$ |
(60,451 |
) |
| |
EUR |
|
|
|
1,190 |
|
|
|
05/11/39 |
|
|
1.100%(A) |
|
1 Day EONIA(1)(A) |
|
|
(10,808 |
) |
|
|
(303,399 |
) |
|
|
(292,591 |
) |
|
|
|
|
|
165,795 |
|
|
|
06/15/21 |
|
|
1.830%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
— |
|
|
|
2,591,774 |
|
|
|
2,591,774 |
|
|
|
|
|
|
53,193 |
|
|
|
09/15/21 |
|
|
1.381%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
(64,878 |
) |
|
|
935,480 |
|
|
|
1,000,358 |
|
|
|
|
|
|
20,385 |
|
|
|
09/15/21 |
|
|
1.480%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
11,978 |
|
|
|
388,719 |
|
|
|
376,741 |
|
|
|
|
|
|
13,965 |
|
|
|
09/15/21 |
|
|
1.604%(S) |
|
3 Month LIBOR(2)(Q) |
|
|
40,476 |
|
|
|
292,352 |
|
|
|
251,876 |
|
|
|
|
|
|
685 |
|
|
|
05/31/22 |
|
|
2.353%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(32,259 |
) |
|
|
(32,259 |
) |
|
|
|
|
|
744 |
|
|
|
11/15/45 |
|
|
0.508%(A) |
|
1 Day USOIS(1)(A) |
|
|
(12,240 |
) |
|
|
29,258 |
|
|
|
41,498 |
|
|
|
|
|
|
1,205 |
|
|
|
11/15/45 |
|
|
1.044%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(107,207 |
) |
|
|
(107,207 |
) |
|
|
|
|
|
5,001 |
|
|
|
11/15/45 |
|
|
1.253%(A) |
|
1 Day USOIS(1)(A) |
|
|
(60,276 |
) |
|
|
(696,002 |
) |
|
|
(635,726 |
) |
|
|
|
|
|
3,085 |
|
|
|
08/09/49 |
|
|
1.508%(A) |
|
1 Day USOIS(1)(A) |
|
|
— |
|
|
|
(699,716 |
) |
|
|
(699,716 |
) |
|
|
|
|
|
2,551 |
|
|
|
03/30/50 |
|
|
0.855%(S) |
|
3 Month LIBOR(1)(Q) |
|
|
— |
|
|
|
36,961 |
|
|
|
36,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(138,843 |
) |
|
$ |
2,332,415 |
|
|
$ |
2,471,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Entity |
|
Financing
Rate |
|
Counterparty |
|
Termination
Date |
|
Long (Short)
Notional
Amount
(000)#(1) |
|
Fair
Value |
|
Upfront
Premiums
Paid
(Received) |
|
Unrealized
Appreciation
(Depreciation)(2) |
| OTC Total Return Swap Agreement: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Barclays US Agency CMBS Index(T) |
|
|
|
1 Month LIBOR(M) |
|
|
|
|
Barclays Bank PLC |
|
|
|
|
10/01/20 |
|
|
|
|
16,000 |
|
|
|
|
$266,974 |
|
|
|
|
$— |
|
|
|
|
$266,974 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes
payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate.
|
| (2) |
Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).
|
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
|
|
|
|
|
|
|
|
|
| |
|
Premiums Paid |
|
Premiums Received |
|
Unrealized
Appreciation |
|
Unrealized
Depreciation |
| OTC Swap Agreements |
|
$32,808 |
|
$— |
|
$266,974 |
|
$(117,663) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives
are listed by broker as follows:
|
|
|
|
|
|
|
|
|
|
|
| Broker |
|
Cash and/or Foreign Currency |
|
Securities Market Value |
| Citigroup Global Markets, Inc. |
|
|
$ |
— |
|
|
|
$ |
9,699,962 |
|
| Goldman Sachs & Co. LLC |
|
|
|
— |
|
|
|
|
249,924 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
$ |
— |
|
|
|
$ |
9,949,886 |
|
|
|
|
|
|
|
|
|
|
|
|
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.
A100
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
$ |
2,396,241,053 |
|
|
$ |
73,673,016 |
|
|
$ |
— |
|
| Exchange-Traded Fund |
|
|
370,576 |
|
|
|
— |
|
|
|
— |
|
| Preferred Stocks |
|
|
583,000 |
|
|
|
389,939 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Automobiles |
|
|
— |
|
|
|
84,005,746 |
|
|
|
— |
|
| Collateralized Loan Obligations |
|
|
— |
|
|
|
131,497,329 |
|
|
|
— |
|
| Consumer Loans |
|
|
— |
|
|
|
4,406,121 |
|
|
|
— |
|
| Equipment |
|
|
— |
|
|
|
9,048,411 |
|
|
|
— |
|
| Home Equity Loans |
|
|
— |
|
|
|
1,801,197 |
|
|
|
— |
|
| Other |
|
|
— |
|
|
|
6,084,009 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
17,943,572 |
|
|
|
— |
|
| Student Loans |
|
|
— |
|
|
|
35,254,119 |
|
|
|
— |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
294,401,153 |
|
|
|
— |
|
| Corporate Bonds |
|
|
— |
|
|
|
398,365,430 |
|
|
|
— |
|
| Municipal Bonds |
|
|
— |
|
|
|
20,364,247 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
27,195,918 |
|
|
|
7,143,170 |
|
| Sovereign Bonds |
|
|
— |
|
|
|
34,120,471 |
|
|
|
— |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
292,319,447 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
50,334,608 |
|
|
|
— |
|
| Affiliated Mutual Funds |
|
|
465,523,442 |
|
|
|
— |
|
|
|
— |
|
| Options Purchased |
|
|
112,360 |
|
|
|
1,094,881 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
2,862,830,431 |
|
|
$ |
1,482,299,614 |
|
|
$ |
7,143,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Option Written |
|
$ |
(39,656 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
202,830 |
|
|
$ |
— |
|
|
$ |
— |
|
| OTC Forward Foreign Currency Exchange Contract |
|
|
— |
|
|
|
36,784 |
|
|
|
— |
|
| Centrally Cleared Credit Default Swap Agreements |
|
|
— |
|
|
|
488,559 |
|
|
|
— |
|
| Centrally Cleared Interest Rate Swap Agreements |
|
|
— |
|
|
|
4,299,208 |
|
|
|
— |
|
| OTC Total Return Swap Agreement |
|
|
— |
|
|
|
266,974 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
202,830 |
|
|
$ |
5,091,525 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(491,436 |
) |
|
$ |
— |
|
|
$ |
— |
|
| OTC Forward Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
(383,800 |
) |
|
|
— |
|
| OTC Credit Default Swap Agreement |
|
|
— |
|
|
|
(84,855 |
) |
|
|
— |
|
| Centrally Cleared Interest Rate Swap Agreements |
|
|
— |
|
|
|
(1,827,950 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
(491,436 |
) |
|
$ |
(2,296,605 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures,
forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and
liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
|
|
|
|
|
|
|
|
|
|
|
| Affiliated Mutual Funds (3.4% represents investments purchased with collateral from securities on
loan) |
|
|
11.3 |
% |
|
Commercial Mortgage-Backed Securities |
|
|
7.2 |
% |
| |
|
|
|
|
U.S. Government Agency Obligations |
|
|
7.1 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A101
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Industry Classification (continued):
|
|
|
|
|
| Software |
|
|
5.9 |
% |
| Banks |
|
|
4.8 |
|
| Pharmaceuticals |
|
|
4.0 |
|
| Technology Hardware, Storage & Peripherals |
|
|
3.8 |
|
| Internet & Direct Marketing Retail |
|
|
3.3 |
|
| Collateralized Loan Obligations |
|
|
3.2 |
|
| Interactive Media & Services |
|
|
3.1 |
|
| Semiconductors & Semiconductor Equipment |
|
|
3.0 |
|
| IT Services |
|
|
3.0 |
|
| Automobiles |
|
|
2.4 |
|
| Health Care Equipment & Supplies |
|
|
2.0 |
|
| Health Care Providers & Services |
|
|
1.9 |
|
| Biotechnology |
|
|
1.9 |
|
| Capital Markets |
|
|
1.7 |
|
| Insurance |
|
|
1.7 |
|
| Aerospace & Defense |
|
|
1.5 |
|
| Specialty Retail |
|
|
1.5 |
|
| Diversified Telecommunication Services |
|
|
1.5 |
|
| Food & Staples Retailing |
|
|
1.3 |
|
| Beverages |
|
|
1.3 |
|
| Chemicals |
|
|
1.3 |
|
| Oil, Gas & Consumable Fuels |
|
|
1.3 |
|
| Residential Mortgage-Backed Securities |
|
|
1.2 |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
1.2 |
|
| U.S. Treasury Obligations |
|
|
1.2 |
|
| Entertainment |
|
|
1.2 |
|
| Household Products |
|
|
1.1 |
|
| Electric |
|
|
1.1 |
|
| Student Loans |
|
|
0.9 |
|
| Sovereign Bonds |
|
|
0.8 |
|
| Communications Equipment |
|
|
0.8 |
|
| Electric Utilities |
|
|
0.8 |
|
| Industrial Conglomerates |
|
|
0.8 |
|
| Building Products |
|
|
0.7 |
|
| Media |
|
|
0.7 |
|
| Multi-Utilities |
|
|
0.7 |
|
| Oil & Gas |
|
|
0.6 |
|
| Diversified Financial Services |
|
|
0.5 |
|
| Road & Rail |
|
|
0.5 |
|
| Hotels, Restaurants & Leisure |
|
|
0.5 |
|
| Machinery |
|
|
0.5 |
|
| Pipelines |
|
|
0.5 |
|
| Telecommunications |
|
|
0.5 |
|
| Municipal Bonds |
|
|
0.5 |
|
| Tobacco |
|
|
0.5 |
|
| Food Products |
|
|
0.5 |
|
| Multiline Retail |
|
|
0.5 |
|
| Auto Manufacturers |
|
|
0.5 |
|
| Trading Companies & Distributors |
|
|
0.3 |
|
| Independent Power & Renewable Electricity Producers |
|
|
0.3 |
|
| Distributors |
|
|
0.3 |
|
| Life Sciences Tools & Services |
|
|
0.3 |
|
| Electrical Equipment |
|
|
0.3 |
|
| Gas Utilities |
|
|
0.3 |
|
| Equipment |
|
|
0.2 |
|
| Consumer Finance |
|
|
0.2 |
|
| Construction & Engineering |
|
|
0.2 |
|
|
|
|
|
|
| Metals & Mining |
|
|
0.2 |
% |
| Household Durables |
|
|
0.2 |
|
| Retail |
|
|
0.2 |
|
| Healthcare-Services |
|
|
0.2 |
|
| Other |
|
|
0.2 |
|
| Commercial Services |
|
|
0.1 |
|
| Agriculture |
|
|
0.1 |
|
| Leisure Products |
|
|
0.1 |
|
| Mortgage Real Estate Investment Trusts (REITs) |
|
|
0.1 |
|
| Consumer Loans |
|
|
0.1 |
|
| Personal Products |
|
|
0.1 |
|
| Gas |
|
|
0.1 |
|
| Real Estate Management & Development |
|
|
0.1 |
|
| Foods |
|
|
0.1 |
|
| Energy Equipment & Services |
|
|
0.1 |
|
| Airlines |
|
|
0.1 |
|
| Commercial Services & Supplies |
|
|
0.1 |
|
| Healthcare-Products |
|
|
0.1 |
|
| Engineering & Construction |
|
|
0.1 |
|
| Auto Components |
|
|
0.1 |
|
| Forest Products & Paper |
|
|
0.1 |
|
| Transportation |
|
|
0.1 |
|
| Home Equity Loans |
|
|
0.1 |
|
| Housewares |
|
|
0.1 |
|
| Multi-National |
|
|
0.1 |
|
| Options Purchased |
|
|
0.1 |
|
| Air Freight & Logistics |
|
|
0.0 |
* |
| Thrifts & Mortgage Finance |
|
|
0.0 |
* |
| Savings & Loans |
|
|
0.0 |
* |
| Professional Services |
|
|
0.0 |
* |
| Wireless Telecommunication Services |
|
|
0.0 |
* |
| Home Builders |
|
|
0.0 |
* |
| Machinery-Diversified |
|
|
0.0 |
* |
| Textiles, Apparel & Luxury Goods |
|
|
0.0 |
* |
| Miscellaneous Manufacturing |
|
|
0.0 |
* |
| Real Estate Investment Trusts (REITs) |
|
|
0.0 |
* |
| Semiconductors |
|
|
0.0 |
* |
| Mining |
|
|
0.0 |
* |
| Lodging |
|
|
0.0 |
* |
| Construction Materials |
|
|
0.0 |
* |
| Electronics |
|
|
0.0 |
* |
| Packaging & Containers |
|
|
0.0 |
* |
| Electronic Equipment, Instruments & Components |
|
|
0.0 |
* |
| Building Materials |
|
|
0.0 |
* |
| Exchange-Traded Fund |
|
|
0.0 |
* |
| Oil & Gas Services |
|
|
0.0 |
* |
| Health Care Technology |
|
|
0.0 |
* |
| Transportation Infrastructure |
|
|
0.0 |
* |
| Marine |
|
|
0.0 |
* |
| Paper & Forest Products |
|
|
0.0 |
* |
|
|
|
|
|
|
|
|
105.8 |
|
| Option Written |
|
|
(0.0 |
)* |
| Liabilities in excess of other assets |
|
|
(5.8 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A102
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (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, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative
instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| Derivatives not accounted for as
hedging instruments, carried at fair
value |
|
Statement of
Assets and
Liabilities Location |
|
Fair
Value |
|
|
Statement of
Assets and
Liabilities Location |
|
Fair
Value |
|
| Credit contracts |
|
Due from/to broker-variation margin swaps |
|
$ |
488,559 |
* |
|
— |
|
$ |
— |
|
| Credit contracts |
|
Premiums paid for OTC swap agreements |
|
|
32,808 |
|
|
— |
|
|
— |
|
| Credit contracts |
|
— |
|
|
— |
|
|
Unrealized depreciation on OTC swap agreements |
|
|
117,663 |
|
| Equity contracts |
|
— |
|
|
— |
|
|
Due from/to broker-variation margin futures |
|
|
25,043 |
* |
| Foreign exchange contracts |
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
|
36,784 |
|
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
|
383,800 |
|
| Interest rate contracts |
|
Due from/to broker-variation margin futures |
|
|
202,830 |
* |
|
Due from/to broker-variation margin futures |
|
|
466,393 |
* |
| Interest rate contracts |
|
Due from/to broker-variation margin swaps |
|
|
4,299,208 |
* |
|
Due from/to broker-variation margin swaps |
|
|
1,827,950 |
|
| Interest rate contracts |
|
Unaffiliated investments |
|
|
1,207,241 |
|
|
Options written outstanding, at value |
|
|
39,656 |
|
| Interest rate contracts |
|
Unrealized appreciation on OTC swap agreements |
|
|
266,974 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,534,404 |
|
|
|
|
$ |
2,860,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
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, 2020 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amount of Realized Gain (Loss) on Derivatives Recognized in
Income |
|
Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Rights(1) |
|
Options
Purchased(1) |
|
Options
Written |
|
Futures |
|
Forward
Currency
Contracts |
|
Swaps |
| Credit contracts |
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
(60,181 |
) |
| Equity contracts |
|
|
|
(468 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(197,318 |
) |
|
|
|
— |
|
|
|
|
— |
|
| Foreign exchange contracts |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
359,349 |
|
|
|
|
— |
|
| Interest rate contracts |
|
|
|
— |
|
|
|
|
(257,616 |
) |
|
|
|
94,601 |
|
|
|
|
15,889,137 |
|
|
|
|
— |
|
|
|
|
(20,763,582 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
$ |
(468 |
) |
|
|
$ |
(257,616 |
) |
|
|
$ |
94,601 |
|
|
|
$ |
15,691,819 |
|
|
|
$ |
359,349 |
|
|
|
$ |
(20,823,763 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Change in Unrealized Appreciation (Depreciation) on
Derivatives Recognized in Income |
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Rights(2) |
|
Options
Purchased(2) |
|
Options
Written |
|
Futures |
|
Forward
Currency
Exchange
Contracts |
|
Swaps |
| Credit contracts |
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
686,105 |
|
| Equity contracts. |
|
|
|
(18 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(21,975 |
) |
|
|
|
— |
|
|
|
|
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A103
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (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 |
|
Forward
Currency
Exchange
Contracts |
|
Swaps |
| Foreign exchange contracts |
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
— |
|
|
|
$ |
(196,573 |
) |
|
|
$ |
— |
|
| Interest rate contracts |
|
|
|
— |
|
|
|
|
497,291 |
|
|
|
|
77,397 |
|
|
|
|
2,281,607 |
|
|
|
|
— |
|
|
|
|
12,369,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
$ |
(18 |
) |
|
|
$ |
497,291 |
|
|
|
$ |
77,397 |
|
|
|
$ |
2,259,632 |
|
|
|
$ |
(196,573 |
) |
|
|
$ |
13,056,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
|
|
|
|
|
|
|
|
|
| Options
Purchased(1) |
|
Options
Written(2) |
|
Futures
Contracts— Long
Positions(2) |
|
Futures
Contracts— Short
Positions(2) |
|
Forward Foreign
Currency Exchange Contracts—
Purchased(3) |
| $169,317 |
|
$597,333 |
|
$231,587,888 |
|
$222,611,941 |
|
$7,707,135 |
|
|
|
|
|
| Forward Foreign
Currency
Exchange
Contracts—Sold(3) |
|
Interest
Rate
Swap
Agreements(2) |
|
Credit Default
Swap
Agreements—
Buy Protection(2) |
| $20,189,669 |
|
$386,615,123 |
|
$24,000,000 |
|
|
|
| Credit Default
Swap Agreements—
Sell
Protection(2) |
|
Total
Return
Swap
Agreements(2) |
| $17,526,083 |
|
$16,000,000 |
| (2) |
Notional Amount in USD. |
| (3) |
Value at Settlement Date. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with
current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions
where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction
assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
Collateral
Pledged/(Received)(2) |
|
Net
Amount |
| Securities on Loan |
|
|
$ |
137,365,070 |
|
|
|
$ |
(137,365,070 |
) |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Gross Amounts of
Recognized
Assets(1) |
|
Gross Amounts of
Recognized
Liabilities(1) |
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
Collateral
Pledged/(Received)(2) |
|
Net
Amount |
| Bank of America, N.A. |
|
|
$ |
913,653 |
|
|
|
$ |
(117,663 |
) |
|
|
$ |
795,990 |
|
|
|
$ |
(795,990 |
) |
|
|
$ |
— |
|
| Barclays Bank PLC |
|
|
|
481,010 |
|
|
|
|
— |
|
|
|
|
481,010 |
|
|
|
|
(270,000 |
) |
|
|
|
211,010 |
|
| Citibank, N.A. |
|
|
|
— |
|
|
|
|
(305,793 |
) |
|
|
|
(305,793 |
) |
|
|
|
294,559 |
|
|
|
|
(11,234 |
) |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Gross Amounts of
Recognized
Assets(1) |
|
Gross Amounts of
Recognized
Liabilities(1) |
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
Collateral
Pledged/(Received)(2) |
|
Net
Amount |
| Morgan Stanley & Co. International PLC |
|
|
$ |
36,784 |
|
|
|
$ |
(78,007 |
) |
|
|
$ |
(41,223 |
) |
|
|
$ |
— |
|
|
|
$ |
(41,223 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,431,447 |
|
|
|
$ |
(501,463 |
) |
|
|
$ |
929,984 |
|
|
|
$ |
(771,431 |
) |
|
|
$ |
158,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and
market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the
Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
|
|
|
|
|
|
|
|
|
|
|
|
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $137,365,070: |
|
|
|
|
| Unaffiliated investments (cost $3,263,853,104) |
|
$ |
3,886,749,773 |
|
| Affiliated investments (cost $465,150,256) |
|
|
465,523,442 |
|
| Foreign currency, at value (cost $492,000) |
|
|
492,521 |
|
| Cash |
|
|
33,718 |
|
| Receivable for investments sold |
|
|
57,192,888 |
|
| Dividends and interest receivable |
|
|
9,741,180 |
|
| Tax reclaim receivable |
|
|
438,712 |
|
| Unrealized appreciation on OTC swap agreements |
|
|
266,974 |
|
| Due from broker-variation margin swaps |
|
|
115,197 |
|
| Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
|
36,784 |
|
| Premiums paid for OTC swap agreements |
|
|
32,808 |
|
| Receivable for Portfolio shares sold |
|
|
4,248 |
|
| Receivable from affiliate |
|
|
3,279 |
|
| Prepaid expenses and other assets |
|
|
252,536 |
|
|
|
|
|
|
| Total Assets |
|
|
4,420,884,060 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable for investments purchased |
|
|
162,042,158 |
|
| Payable to broker for collateral for securities on loan |
|
|
139,617,982 |
|
| Management fee payable |
|
|
2,023,000 |
|
| Payable for Portfolio shares repurchased |
|
|
879,220 |
|
| Due to broker-variation margin futures |
|
|
502,162 |
|
| Accrued expenses and other liabilities |
|
|
501,788 |
|
| Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
|
383,800 |
|
| Payable to affiliate |
|
|
183,919 |
|
| Unrealized depreciation on OTC swap agreements |
|
|
117,663 |
|
| Options written outstanding, at value (proceeds received $117,053) |
|
|
39,656 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
306,292,274 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
4,114,591,786 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
4,114,591,786 |
|
|
|
|
|
|
| Net asset value and redemption price per share, $4,114,591,786 / 122,596,992 outstanding shares of beneficial
interest |
|
$ |
33.56 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Unaffiliated dividend income (net of $174,879 foreign withholding tax, of which $39,504 is reimbursable by an
affiliate) |
|
$ |
27,349,221 |
|
| Interest income |
|
|
21,747,036 |
|
| Affiliated dividend income. |
|
|
1,065,914 |
|
| Income from securities lending, net (including affiliated income of $274,187) |
|
|
275,670 |
|
|
|
|
|
|
| Total income |
|
|
50,437,841 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
12,063,084 |
|
| Custodian and accounting fees |
|
|
213,862 |
|
| Shareholders’ reports |
|
|
159,481 |
|
| Trustees’ fees |
|
|
28,513 |
|
| Audit fee |
|
|
23,320 |
|
| Legal fees and expenses |
|
|
12,957 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
44,597 |
|
|
|
|
|
|
| Total expenses |
|
|
12,551,126 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
37,886,715 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $240,600) |
|
|
(31,350,619 |
) |
| Futures transactions |
|
|
15,691,819 |
|
| Forward currency contract transactions |
|
|
359,349 |
|
| Options written transactions |
|
|
94,601 |
|
| Swap agreements transactions |
|
|
(20,823,763 |
) |
| Foreign currency transactions |
|
|
(542 |
) |
|
|
|
|
|
|
|
|
(36,029,155 |
) |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $348,673) |
|
|
(114,865,955 |
) |
| Futures |
|
|
2,259,632 |
|
| Forward currency contracts |
|
|
(196,573 |
) |
| Options written |
|
|
77,397 |
|
| Swap agreements |
|
|
13,056,083 |
|
| Foreign currencies |
|
|
(11,320 |
) |
|
|
|
|
|
|
|
|
(99,680,736 |
) |
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
(135,709,891 |
) |
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
(97,823,176 |
) |
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
Year Ended
December 31, 2019 |
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$ |
37,886,715 |
|
|
|
$ |
79,405,892 |
|
| Net realized gain (loss) on investment and foreign currency transactions |
|
|
|
(36,029,155 |
) |
|
|
|
176,760,040 |
|
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
|
|
|
(99,680,736 |
) |
|
|
|
485,992,068 |
|
|
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
|
(97,823,176 |
) |
|
|
|
742,158,000 |
|
|
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
|
|
| Portfolio shares sold [220,120 and 177,562 shares, respectively] |
|
|
|
6,696,631 |
|
|
|
|
5,636,300 |
|
| Portfolio shares repurchased [3,727,810 and 7,989,312 shares, respectively] |
|
|
|
(122,137,875 |
) |
|
|
|
(253,479,611 |
) |
|
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
|
(115,441,244 |
) |
|
|
|
(247,843,311 |
) |
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL CONTRIBUTIONS |
|
|
|
— |
|
|
|
|
14,632 |
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
|
(213,264,420 |
) |
|
|
|
494,329,321 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
|
4,327,856,206 |
|
|
|
|
3,833,526,885 |
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
|
$ |
4,114,591,786 |
|
|
|
$ |
4,327,856,206 |
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A106
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| LONG-TERM INVESTMENTS — 96.9% |
|
|
| COMMON STOCKS — 96.4% |
|
| Argentina — 0.3% |
|
| MercadoLibre, Inc.* |
|
|
3,141 |
|
|
$ |
3,096,304 |
|
|
|
|
|
|
|
|
|
|
| Australia — 1.4% |
|
| AGL Energy Ltd. |
|
|
66,200 |
|
|
|
784,045 |
|
| Aristocrat Leisure Ltd. |
|
|
108,730 |
|
|
|
1,940,430 |
|
| Beach Energy Ltd. |
|
|
395,200 |
|
|
|
421,862 |
|
| CSL Ltd. |
|
|
18,219 |
|
|
|
3,640,022 |
|
| Fortescue Metals Group Ltd. |
|
|
201,900 |
|
|
|
1,949,117 |
|
| Harvey Norman Holdings Ltd.(a) |
|
|
196,000 |
|
|
|
483,116 |
|
| Inghams Group Ltd. |
|
|
268,900 |
|
|
|
595,346 |
|
| Metcash Ltd. |
|
|
412,500 |
|
|
|
777,276 |
|
| Perenti Global Ltd. |
|
|
432,300 |
|
|
|
346,801 |
|
| Qantas Airways Ltd. |
|
|
292,200 |
|
|
|
772,428 |
|
| Rio Tinto Ltd. |
|
|
20,600 |
|
|
|
1,398,685 |
|
| Service Stream Ltd. |
|
|
343,700 |
|
|
|
453,062 |
|
| St. Barbara Ltd. |
|
|
343,600 |
|
|
|
755,906 |
|
| Stockland, REIT |
|
|
200,300 |
|
|
|
463,729 |
|
| Super Retail Group Ltd. |
|
|
105,600 |
|
|
|
592,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,374,099 |
|
|
|
|
|
|
|
|
|
|
| Austria — 0.2% |
|
| BAWAG Group AG, 144A* |
|
|
15,500 |
|
|
|
537,577 |
|
| OMV AG* |
|
|
33,700 |
|
|
|
1,140,529 |
|
| Wienerberger AG |
|
|
26,400 |
|
|
|
577,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,255,192 |
|
|
|
|
|
|
|
|
|
|
| Belgium — 0.2% |
|
| Bekaert SA |
|
|
22,500 |
|
|
|
442,523 |
|
| UCB SA |
|
|
15,000 |
|
|
|
1,743,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,186,007 |
|
|
|
|
|
|
|
|
|
|
| Canada — 1.6% |
|
| Brookfield Asset Management, Inc. (Class A Stock) |
|
|
92,409 |
|
|
|
3,040,256 |
|
| Canadian National Railway Co. |
|
|
45,270 |
|
|
|
4,005,141 |
|
| Dollarama, Inc. |
|
|
63,758 |
|
|
|
2,120,884 |
|
| Enbridge, Inc. |
|
|
53,950 |
|
|
|
1,641,159 |
|
| Magna International, Inc. |
|
|
47,177 |
|
|
|
2,100,792 |
|
| TC Energy Corp. |
|
|
117,000 |
|
|
|
5,014,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,922,852 |
|
|
|
|
|
|
|
|
|
|
| China — 3.1% |
|
| Alibaba Group Holding Ltd.* |
|
|
271,344 |
|
|
|
7,346,601 |
|
| Alibaba Group Holding Ltd., ADR* |
|
|
31,140 |
|
|
|
6,716,898 |
|
| China Merchants Bank Co. Ltd. (Class H Stock) |
|
|
673,000 |
|
|
|
3,106,329 |
|
| China Resources Cement Holdings Ltd. |
|
|
1,042,000 |
|
|
|
1,279,712 |
|
| Kingboard Holdings Ltd. |
|
|
216,000 |
|
|
|
563,007 |
|
| Lee & Man Paper Manufacturing Ltd. |
|
|
1,049,000 |
|
|
|
568,971 |
|
| NetEase, Inc., ADR |
|
|
9,229 |
|
|
|
3,962,748 |
|
| TAL Education Group, ADR* |
|
|
68,403 |
|
|
|
4,677,397 |
|
| Tencent Holdings Ltd. |
|
|
116,100 |
|
|
|
7,486,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,707,970 |
|
|
|
|
|
|
|
|
|
|
| Denmark — 1.4% |
|
| Chr Hansen Holding A/S |
|
|
10,056 |
|
|
|
1,038,598 |
|
| Coloplast A/S (Class B Stock) |
|
|
24,882 |
|
|
|
3,868,413 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Denmark (cont’d.) |
|
| Danske Bank A/S* |
|
|
61,200 |
|
|
$ |
819,630 |
|
| Dfds A/S* |
|
|
11,300 |
|
|
|
351,449 |
|
| DSV Panalpina A/S |
|
|
17,821 |
|
|
|
2,185,158 |
|
| Novo Nordisk A/S (Class B Stock) |
|
|
59,739 |
|
|
|
3,894,296 |
|
| Orsted A/S, 144A |
|
|
28,559 |
|
|
|
3,318,339 |
|
| Pandora A/S |
|
|
10,800 |
|
|
|
590,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,066,482 |
|
|
|
|
|
|
|
|
|
|
| Finland — 0.4% |
|
| Neste OYJ |
|
|
59,471 |
|
|
|
2,335,284 |
|
| Nordea Bank Abp* |
|
|
83,600 |
|
|
|
581,160 |
|
| Valmet OYJ(a) |
|
|
41,500 |
|
|
|
1,089,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,006,043 |
|
|
|
|
|
|
|
|
|
|
| France — 4.1% |
|
| Airbus SE* |
|
|
32,883 |
|
|
|
2,355,790 |
|
| Arkema SA |
|
|
11,900 |
|
|
|
1,143,505 |
|
| AXA SA* |
|
|
54,100 |
|
|
|
1,141,443 |
|
| BNP Paribas SA* |
|
|
23,200 |
|
|
|
927,564 |
|
| Bouygues SA* |
|
|
27,600 |
|
|
|
951,445 |
|
| Capgemini SE |
|
|
34,087 |
|
|
|
3,933,864 |
|
| Cie Generale des Etablissements Michelin SCA* |
|
|
9,600 |
|
|
|
993,170 |
|
| CNP Assurances* |
|
|
42,800 |
|
|
|
498,345 |
|
| Credit Agricole SA* |
|
|
78,500 |
|
|
|
753,315 |
|
| Engie SA* |
|
|
82,000 |
|
|
|
1,017,939 |
|
| L’Oreal SA* |
|
|
10,334 |
|
|
|
3,323,468 |
|
| LVMH Moet Hennessy Louis Vuitton SE |
|
|
13,598 |
|
|
|
6,046,940 |
|
| Natixis SA* |
|
|
146,400 |
|
|
|
387,044 |
|
| Nexity SA |
|
|
13,100 |
|
|
|
425,147 |
|
| Orange SA |
|
|
67,300 |
|
|
|
806,496 |
|
| Peugeot SA* |
|
|
30,500 |
|
|
|
500,541 |
|
| Safran SA* |
|
|
31,138 |
|
|
|
3,137,684 |
|
| Sanofi |
|
|
39,700 |
|
|
|
4,069,568 |
|
| Societe BIC SA |
|
|
15,900 |
|
|
|
808,762 |
|
| Societe Generale SA* |
|
|
28,600 |
|
|
|
481,726 |
|
| Sopra Steria Group |
|
|
7,100 |
|
|
|
882,842 |
|
| Teleperformance* |
|
|
7,681 |
|
|
|
1,958,661 |
|
| TOTAL SA |
|
|
58,800 |
|
|
|
2,272,309 |
|
| TOTAL SA, ADR |
|
|
191,892 |
|
|
|
7,380,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,197,734 |
|
|
|
|
|
|
|
|
|
|
| Germany — 2.6% |
|
| Allianz SE |
|
|
8,900 |
|
|
|
1,828,406 |
|
| Aurubis AG |
|
|
10,800 |
|
|
|
668,537 |
|
| Bayer AG |
|
|
20,200 |
|
|
|
1,504,483 |
|
| Bayerische Motoren Werke AG |
|
|
12,500 |
|
|
|
798,284 |
|
| Covestro AG, 144A* |
|
|
21,600 |
|
|
|
826,519 |
|
| Daimler AG* |
|
|
17,600 |
|
|
|
718,958 |
|
| Deutsche Lufthansa AG*(a) |
|
|
54,200 |
|
|
|
546,958 |
|
| Deutsche Post AG* |
|
|
60,200 |
|
|
|
2,219,129 |
|
| Evonik Industries AG |
|
|
36,500 |
|
|
|
933,367 |
|
| Infineon Technologies AG |
|
|
185,475 |
|
|
|
4,402,831 |
|
| METRO AG |
|
|
46,000 |
|
|
|
438,922 |
|
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
|
|
4,500 |
|
|
|
1,173,616 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A107
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Germany (cont’d.) |
|
| Rational AG(a) |
|
|
3,915 |
|
|
$ |
2,204,487 |
|
| Rheinmetall AG |
|
|
9,200 |
|
|
|
804,387 |
|
| SAP SE |
|
|
31,707 |
|
|
|
4,456,076 |
|
| Siemens AG |
|
|
10,740 |
|
|
|
1,274,381 |
|
| Siltronic AG |
|
|
8,900 |
|
|
|
914,149 |
|
| TeamViewer AG, 144A* |
|
|
20,377 |
|
|
|
1,121,612 |
|
| United Internet AG |
|
|
24,700 |
|
|
|
1,052,869 |
|
| Volkswagen AG* |
|
|
10,600 |
|
|
|
1,715,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,603,177 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong — 0.6% |
|
| AIA Group Ltd. |
|
|
415,800 |
|
|
|
3,886,921 |
|
| PAX Global Technology Ltd. |
|
|
933,000 |
|
|
|
409,406 |
|
| Skyworth Group Ltd.*(a) |
|
|
1,072,000 |
|
|
|
302,787 |
|
| Tongda Group Holdings Ltd. |
|
|
8,180,000 |
|
|
|
490,266 |
|
| WH Group Ltd., 144A |
|
|
1,291,500 |
|
|
|
1,114,478 |
|
| Yue Yuen Industrial Holdings Ltd. |
|
|
296,500 |
|
|
|
453,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,657,816 |
|
|
|
|
|
|
|
|
|
|
| India — 0.5% |
|
| HDFC Bank Ltd., ADR |
|
|
53,739 |
|
|
|
2,442,975 |
|
| Reliance Industries Ltd., 144A, GDR |
|
|
80,036 |
|
|
|
3,697,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,140,034 |
|
|
|
|
|
|
|
|
|
|
| Ireland — 0.4% |
|
| Kingspan Group PLC |
|
|
62,366 |
|
|
|
4,038,030 |
|
| Smurfit Kappa Group PLC |
|
|
23,100 |
|
|
|
777,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,815,957 |
|
|
|
|
|
|
|
|
|
|
| Italy — 0.4% |
|
| A2A SpA |
|
|
546,200 |
|
|
|
775,508 |
|
| Enel SpA |
|
|
280,300 |
|
|
|
2,427,782 |
|
| Leonardo SpA |
|
|
97,000 |
|
|
|
648,741 |
|
| Mediobanca Banca di Credito Finanziario SpA |
|
|
87,600 |
|
|
|
633,434 |
|
| UnipolSai Assicurazioni SpA |
|
|
253,700 |
|
|
|
608,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,093,930 |
|
|
|
|
|
|
|
|
|
|
| Japan — 5.9% |
|
| AGC, Inc. |
|
|
42,400 |
|
|
|
1,207,930 |
|
| Aisan Industry Co. Ltd. |
|
|
68,400 |
|
|
|
335,646 |
|
| Asahi Intecc Co. Ltd. |
|
|
54,700 |
|
|
|
1,550,042 |
|
| Astellas Pharma, Inc. |
|
|
152,500 |
|
|
|
2,544,757 |
|
| Brother Industries Ltd. |
|
|
34,700 |
|
|
|
626,237 |
|
| Credit Saison Co. Ltd. |
|
|
42,600 |
|
|
|
486,917 |
|
| Daikin Industries Ltd. |
|
|
23,800 |
|
|
|
3,831,565 |
|
| Daiwa House Industry Co. Ltd. |
|
|
31,900 |
|
|
|
752,047 |
|
| DTS Corp. |
|
|
11,800 |
|
|
|
243,514 |
|
| EDION Corp. |
|
|
63,900 |
|
|
|
647,572 |
|
| Haseko Corp. |
|
|
35,500 |
|
|
|
447,177 |
|
| Hazama Ando Corp. |
|
|
85,900 |
|
|
|
496,637 |
|
| Hitachi Capital Corp. |
|
|
28,500 |
|
|
|
631,256 |
|
| Hitachi Ltd. |
|
|
27,000 |
|
|
|
857,713 |
|
| Honda Motor Co. Ltd. |
|
|
33,200 |
|
|
|
848,259 |
|
| Hoya Corp. |
|
|
35,200 |
|
|
|
3,352,173 |
|
| Isuzu Motors Ltd. |
|
|
78,200 |
|
|
|
706,582 |
|
| ITOCHU Corp. |
|
|
69,900 |
|
|
|
1,505,337 |
|
| Japan Airlines Co. Ltd. |
|
|
35,700 |
|
|
|
647,352 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Japan (cont’d.) |
|
| Japan Aviation Electronics Industry Ltd. |
|
|
46,000 |
|
|
$ |
621,945 |
|
| JTEKT Corp. |
|
|
22,200 |
|
|
|
172,507 |
|
| Kaneka Corp. |
|
|
14,800 |
|
|
|
384,482 |
|
| KDDI Corp. |
|
|
83,000 |
|
|
|
2,488,758 |
|
| Keiyo Bank Ltd. (The) |
|
|
76,500 |
|
|
|
366,985 |
|
| Keyence Corp. |
|
|
13,500 |
|
|
|
5,644,653 |
|
| Komatsu Ltd. |
|
|
30,800 |
|
|
|
630,424 |
|
| Lintec Corp. |
|
|
30,000 |
|
|
|
713,215 |
|
| Marubeni Corp. |
|
|
173,200 |
|
|
|
783,568 |
|
| Matsumotokiyoshi Holdings Co. Ltd. |
|
|
23,800 |
|
|
|
863,780 |
|
| Mitsubishi Chemical Holdings Corp. |
|
|
82,800 |
|
|
|
481,792 |
|
| Mitsubishi Gas Chemical Co., Inc. |
|
|
70,200 |
|
|
|
1,063,517 |
|
| Mitsubishi UFJ Financial Group, Inc. |
|
|
274,000 |
|
|
|
1,074,378 |
|
| Mitsubishi UFJ Lease & Finance Co. Ltd. |
|
|
165,800 |
|
|
|
784,758 |
|
| Mitsui & Co. Ltd. |
|
|
56,300 |
|
|
|
832,280 |
|
| Mitsui Chemicals, Inc. |
|
|
42,400 |
|
|
|
884,765 |
|
| Mizuho Financial Group, Inc. |
|
|
736,200 |
|
|
|
902,102 |
|
| Nikon Corp. |
|
|
45,200 |
|
|
|
378,872 |
|
| Nippon Telegraph & Telephone Corp. |
|
|
117,400 |
|
|
|
2,736,036 |
|
| Nishi-Nippon Financial Holdings, Inc. |
|
|
48,600 |
|
|
|
328,187 |
|
| Nisshin Oillio Group Ltd. (The) |
|
|
21,400 |
|
|
|
669,092 |
|
| Nomura Holdings, Inc. |
|
|
180,800 |
|
|
|
808,546 |
|
| Nomura Real Estate Holdings, Inc. |
|
|
27,200 |
|
|
|
504,434 |
|
| NTT DOCOMO, Inc. |
|
|
22,000 |
|
|
|
585,515 |
|
| Obayashi Corp. |
|
|
84,600 |
|
|
|
790,698 |
|
| ORIX Corp. |
|
|
64,800 |
|
|
|
798,482 |
|
| Resona Holdings, Inc. |
|
|
366,600 |
|
|
|
1,252,260 |
|
| Sankyu, Inc. |
|
|
8,400 |
|
|
|
315,301 |
|
| Sawai Pharmaceutical Co. Ltd. |
|
|
9,200 |
|
|
|
472,514 |
|
| Shiseido Co. Ltd. |
|
|
45,600 |
|
|
|
2,897,045 |
|
| SKY Perfect JSAT Holdings, Inc. |
|
|
151,000 |
|
|
|
561,087 |
|
| SMC Corp. |
|
|
7,600 |
|
|
|
3,893,530 |
|
| Sompo Holdings, Inc. |
|
|
26,600 |
|
|
|
914,361 |
|
| Sumitomo Corp. |
|
|
109,000 |
|
|
|
1,247,673 |
|
| Sumitomo Forestry Co. Ltd. |
|
|
50,100 |
|
|
|
629,074 |
|
| Sumitomo Heavy Industries Ltd. |
|
|
32,300 |
|
|
|
706,973 |
|
| Sumitomo Mitsui Financial Group, Inc. |
|
|
40,900 |
|
|
|
1,150,349 |
|
| Teijin Ltd. |
|
|
67,300 |
|
|
|
1,069,605 |
|
| Toagosei Co. Ltd. |
|
|
28,700 |
|
|
|
281,187 |
|
| Toho Holdings Co. Ltd. |
|
|
12,400 |
|
|
|
231,850 |
|
| Towa Pharmaceutical Co. Ltd. |
|
|
28,200 |
|
|
|
520,749 |
|
| Toyoda Gosei Co. Ltd. |
|
|
15,200 |
|
|
|
316,739 |
|
| Toyota Motor Corp. |
|
|
15,730 |
|
|
|
986,320 |
|
| Tsubakimoto Chain Co. |
|
|
17,000 |
|
|
|
412,992 |
|
| Ube Industries Ltd. |
|
|
30,100 |
|
|
|
517,327 |
|
| Ulvac, Inc. |
|
|
17,900 |
|
|
|
516,604 |
|
| Yokohama Rubber Co. Ltd. (The) |
|
|
45,000 |
|
|
|
635,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,541,385 |
|
|
|
|
|
|
|
|
|
|
| Luxembourg — 0.1% |
|
| Tenaris SA |
|
|
110,223 |
|
|
|
718,212 |
|
|
|
|
|
|
|
|
|
|
| Netherlands — 2.1% |
|
| ABN AMRO Bank NV, 144A, CVA |
|
|
45,300 |
|
|
|
394,213 |
|
| Adyen NV, 144A* |
|
|
3,006 |
|
|
|
4,395,608 |
|
| Aegon NV |
|
|
215,700 |
|
|
|
647,257 |
|
| ASML Holding NV |
|
|
4,559 |
|
|
|
1,684,527 |
|
| ING Groep NV |
|
|
79,200 |
|
|
|
554,097 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A108
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Netherlands (cont’d.) |
|
| Koninklijke Ahold Delhaize NV |
|
|
95,900 |
|
|
$ |
2,624,644 |
|
| NN Group NV |
|
|
27,800 |
|
|
|
935,764 |
|
| NXP Semiconductors NV |
|
|
94,473 |
|
|
|
10,773,701 |
|
| Royal Dutch Shell PLC (Class B Stock) |
|
|
69,700 |
|
|
|
1,064,430 |
|
| Signify NV, 144A* |
|
|
46,800 |
|
|
|
1,217,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,291,625 |
|
|
|
|
|
|
|
|
|
|
| New Zealand — 0.0% |
|
| Air New Zealand Ltd. |
|
|
485,600 |
|
|
|
416,961 |
|
|
|
|
|
|
|
|
|
|
| Norway — 0.2% |
|
| DNB ASA* |
|
|
68,200 |
|
|
|
905,241 |
|
| Equinor ASA |
|
|
41,200 |
|
|
|
589,099 |
|
| Leroy Seafood Group ASA |
|
|
148,600 |
|
|
|
893,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,388,041 |
|
|
|
|
|
|
|
|
|
|
| Portugal — 0.0% |
|
| Altri SGPS SA |
|
|
46,700 |
|
|
|
225,256 |
|
|
|
|
|
|
|
|
|
|
| Singapore — 0.2% |
|
| DBS Group Holdings Ltd. |
|
|
62,300 |
|
|
|
934,099 |
|
| Venture Corp. Ltd. |
|
|
79,500 |
|
|
|
927,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,861,957 |
|
|
|
|
|
|
|
|
|
|
| South Africa — 0.1% |
|
| Anglo American PLC |
|
|
40,600 |
|
|
|
950,693 |
|
| Investec PLC |
|
|
79,700 |
|
|
|
160,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,111,289 |
|
|
|
|
|
|
|
|
|
|
| Spain — 0.5% |
|
| Amadeus IT Group SA |
|
|
46,737 |
|
|
|
2,444,655 |
|
| Banco Santander SA* |
|
|
199,500 |
|
|
|
489,281 |
|
| Enagas SA |
|
|
18,000 |
|
|
|
441,100 |
|
| Mapfre SA |
|
|
494,400 |
|
|
|
882,586 |
|
| Repsol SA |
|
|
117,700 |
|
|
|
1,041,704 |
|
| Telefonica SA |
|
|
142,000 |
|
|
|
680,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,979,537 |
|
|
|
|
|
|
|
|
|
|
| Sweden — 1.4% |
|
| Atlas Copco AB (Class A Stock) |
|
|
109,610 |
|
|
|
4,669,432 |
|
| Boliden AB |
|
|
35,400 |
|
|
|
811,494 |
|
| Hexagon AB (Class B Stock)* |
|
|
76,445 |
|
|
|
4,497,430 |
|
| Sandvik AB* |
|
|
35,300 |
|
|
|
668,038 |
|
| Skanska AB (Class B Stock)* |
|
|
31,100 |
|
|
|
635,548 |
|
| SKF AB (Class B Stock) |
|
|
70,400 |
|
|
|
1,320,704 |
|
| Swedbank AB (Class A Stock)* |
|
|
18,400 |
|
|
|
236,256 |
|
| Swedish Orphan Biovitrum AB* |
|
|
46,250 |
|
|
|
1,076,240 |
|
| Volvo AB (Class B Stock)* |
|
|
133,200 |
|
|
|
2,097,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,012,440 |
|
|
|
|
|
|
|
|
|
|
| Switzerland — 3.0% |
|
| Adecco Group AG |
|
|
15,300 |
|
|
|
723,939 |
|
| Baloise Holding AG |
|
|
6,000 |
|
|
|
903,634 |
|
| Credit Suisse Group AG |
|
|
136,900 |
|
|
|
1,433,174 |
|
| Helvetia Holding AG |
|
|
4,600 |
|
|
|
431,437 |
|
| Landis+Gyr Group AG* |
|
|
5,300 |
|
|
|
345,246 |
|
| Lonza Group AG |
|
|
9,162 |
|
|
|
4,855,907 |
|
| Novartis AG |
|
|
19,700 |
|
|
|
1,724,529 |
|
| Partners Group Holding AG |
|
|
3,758 |
|
|
|
3,426,061 |
|
| Roche Holding AG |
|
|
18,600 |
|
|
|
6,478,762 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Switzerland (cont’d.) |
|
| Sika AG |
|
|
16,458 |
|
|
$ |
3,185,844 |
|
| Straumann Holding AG |
|
|
4,034 |
|
|
|
3,486,023 |
|
| Swiss Life Holding AG |
|
|
3,400 |
|
|
|
1,266,470 |
|
| Temenos AG |
|
|
22,198 |
|
|
|
3,478,194 |
|
| UBS Group AG |
|
|
100,600 |
|
|
|
1,171,644 |
|
| Zurich Insurance Group AG |
|
|
4,700 |
|
|
|
1,664,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,575,578 |
|
|
|
|
|
|
|
|
|
|
| Taiwan — 0.5% |
|
| Taiwan Semiconductor Manufacturing Co. Ltd. |
|
|
489,000 |
|
|
|
5,207,975 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 5.1% |
|
| 3i Group PLC |
|
|
92,900 |
|
|
|
962,346 |
|
| Abcam PLC |
|
|
52,935 |
|
|
|
873,424 |
|
| Ashtead Group PLC |
|
|
99,748 |
|
|
|
3,377,901 |
|
| Aviva PLC |
|
|
164,200 |
|
|
|
560,340 |
|
| Babcock International Group PLC |
|
|
113,300 |
|
|
|
438,196 |
|
| BAE Systems PLC |
|
|
251,200 |
|
|
|
1,510,003 |
|
| Barclays PLC |
|
|
373,500 |
|
|
|
531,111 |
|
| Barratt Developments PLC |
|
|
61,900 |
|
|
|
383,092 |
|
| Bellway PLC |
|
|
13,600 |
|
|
|
430,954 |
|
| BP PLC |
|
|
127,200 |
|
|
|
488,065 |
|
| British American Tobacco PLC |
|
|
53,700 |
|
|
|
2,072,359 |
|
| BT Group PLC |
|
|
455,900 |
|
|
|
648,861 |
|
| Centrica PLC |
|
|
457,200 |
|
|
|
218,522 |
|
| CK Hutchison Holdings Ltd. |
|
|
160,300 |
|
|
|
1,030,792 |
|
| Compass Group PLC |
|
|
159,988 |
|
|
|
2,215,792 |
|
| Crest Nicholson Holdings PLC |
|
|
143,814 |
|
|
|
352,521 |
|
| Diageo PLC |
|
|
79,491 |
|
|
|
2,644,922 |
|
| Dialog Semiconductor PLC* |
|
|
14,700 |
|
|
|
677,151 |
|
| Experian PLC |
|
|
133,687 |
|
|
|
4,709,317 |
|
| GlaxoSmithKline PLC |
|
|
159,000 |
|
|
|
3,235,569 |
|
| Go-Ahead Group PLC (The) |
|
|
34,500 |
|
|
|
355,790 |
|
| Halma PLC |
|
|
74,732 |
|
|
|
2,136,946 |
|
| Imperial Brands PLC |
|
|
56,400 |
|
|
|
1,078,709 |
|
| Inchcape PLC |
|
|
66,600 |
|
|
|
404,833 |
|
| International Consolidated Airlines Group SA |
|
|
150,000 |
|
|
|
418,193 |
|
| J Sainsbury PLC |
|
|
458,700 |
|
|
|
1,184,708 |
|
| Keller Group PLC |
|
|
48,200 |
|
|
|
378,945 |
|
| Kingfisher PLC |
|
|
357,200 |
|
|
|
977,192 |
|
| Legal & General Group PLC |
|
|
302,800 |
|
|
|
828,355 |
|
| Lloyds Banking Group PLC |
|
|
1,666,000 |
|
|
|
645,393 |
|
| London Stock Exchange Group PLC |
|
|
37,024 |
|
|
|
3,845,162 |
|
| Marks & Spencer Group PLC |
|
|
279,900 |
|
|
|
345,630 |
|
| Micro Focus International PLC |
|
|
34,519 |
|
|
|
184,788 |
|
| National Express Group PLC |
|
|
114,300 |
|
|
|
266,374 |
|
| Ninety One PLC* |
|
|
14,350 |
|
|
|
36,824 |
|
| Paragon Banking Group PLC |
|
|
105,900 |
|
|
|
461,107 |
|
| Premier Foods PLC* |
|
|
357,756 |
|
|
|
311,271 |
|
| QinetiQ Group PLC |
|
|
88,900 |
|
|
|
327,954 |
|
| Redrow PLC |
|
|
77,600 |
|
|
|
416,815 |
|
| RELX PLC |
|
|
155,318 |
|
|
|
3,617,257 |
|
| Rentokil Initial PLC |
|
|
395,673 |
|
|
|
2,505,581 |
|
| Royal Mail PLC |
|
|
120,900 |
|
|
|
273,388 |
|
| Segro PLC, REIT |
|
|
266,399 |
|
|
|
2,957,527 |
|
| Spirax-Sarco Engineering PLC |
|
|
18,003 |
|
|
|
2,232,630 |
|
| Tate & Lyle PLC |
|
|
141,000 |
|
|
|
1,168,360 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A109
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| United Kingdom (cont’d.) |
|
| Taylor Wimpey PLC |
|
|
263,400 |
|
|
$ |
468,461 |
|
| Tesco PLC |
|
|
611,284 |
|
|
|
1,730,154 |
|
| Vesuvius PLC |
|
|
81,100 |
|
|
|
389,227 |
|
| Vistry Group PLC |
|
|
39,863 |
|
|
|
352,723 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,661,535 |
|
|
|
|
|
|
|
|
|
|
| United States — 60.1% |
|
| AbbVie, Inc. |
|
|
54,128 |
|
|
|
5,314,287 |
|
| Adobe, Inc.* |
|
|
22,226 |
|
|
|
9,675,200 |
|
| Alphabet, Inc. (Class C Stock)* |
|
|
11,345 |
|
|
|
16,037,405 |
|
| Amazon.com, Inc.* |
|
|
7,108 |
|
|
|
19,609,693 |
|
| Ameren Corp. |
|
|
19,859 |
|
|
|
1,397,279 |
|
| American International Group, Inc. |
|
|
208,058 |
|
|
|
6,487,248 |
|
| Amphenol Corp. (Class A Stock) |
|
|
102,941 |
|
|
|
9,862,777 |
|
| Applied Materials, Inc. |
|
|
99,834 |
|
|
|
6,034,965 |
|
| Atlassian Corp. PLC (Class A Stock)* |
|
|
9,919 |
|
|
|
1,788,098 |
|
| Autodesk, Inc.* |
|
|
64,364 |
|
|
|
15,395,225 |
|
| Bank of America Corp. |
|
|
42,000 |
|
|
|
997,500 |
|
| Becton, Dickinson & Co. |
|
|
20,404 |
|
|
|
4,882,065 |
|
| Boeing Co. (The) |
|
|
18,446 |
|
|
|
3,381,152 |
|
| Booking Holdings, Inc.* |
|
|
300 |
|
|
|
477,702 |
|
| Brown-Forman Corp. (Class B Stock)(a) |
|
|
164,591 |
|
|
|
10,477,863 |
|
| Bunge Ltd. |
|
|
58,265 |
|
|
|
2,396,439 |
|
| Capital One Financial Corp. |
|
|
9,264 |
|
|
|
579,834 |
|
| CenterPoint Energy, Inc. |
|
|
125,544 |
|
|
|
2,343,907 |
|
| CF Industries Holdings, Inc. |
|
|
87,323 |
|
|
|
2,457,269 |
|
| Charles Schwab Corp. (The) |
|
|
85,368 |
|
|
|
2,880,316 |
|
| Chubb Ltd. |
|
|
61,862 |
|
|
|
7,832,966 |
|
| Cintas Corp. |
|
|
46,040 |
|
|
|
12,263,214 |
|
| Cisco Systems, Inc. |
|
|
114,985 |
|
|
|
5,362,900 |
|
| Comcast Corp. (Class A Stock) |
|
|
89,642 |
|
|
|
3,494,245 |
|
| Conagra Brands, Inc. |
|
|
113,636 |
|
|
|
3,996,578 |
|
| ConocoPhillips |
|
|
55,000 |
|
|
|
2,311,100 |
|
| Costco Wholesale Corp. |
|
|
31,858 |
|
|
|
9,659,664 |
|
| Cummins, Inc. |
|
|
9,700 |
|
|
|
1,680,622 |
|
| CVS Health Corp. |
|
|
94,005 |
|
|
|
6,107,505 |
|
| Danaher Corp. |
|
|
80,339 |
|
|
|
14,206,345 |
|
| DexCom, Inc.* |
|
|
35,956 |
|
|
|
14,576,562 |
|
| DuPont de Nemours, Inc. |
|
|
112,144 |
|
|
|
5,958,211 |
|
| Edison International |
|
|
71,589 |
|
|
|
3,887,999 |
|
| Edwards Lifesciences Corp.* |
|
|
142,665 |
|
|
|
9,859,578 |
|
| Elanco Animal Health, Inc.* |
|
|
84,124 |
|
|
|
1,804,460 |
|
| Electronic Arts, Inc.* |
|
|
128,542 |
|
|
|
16,973,971 |
|
| Equitable Holdings, Inc. |
|
|
120,432 |
|
|
|
2,323,133 |
|
| Estee Lauder Cos., Inc. (The) (Class A Stock) |
|
|
56,214 |
|
|
|
10,606,458 |
|
| Exxon Mobil Corp. |
|
|
96,172 |
|
|
|
4,300,812 |
|
| Fifth Third Bancorp |
|
|
251,457 |
|
|
|
4,848,091 |
|
| Fortive Corp. |
|
|
179,002 |
|
|
|
12,111,275 |
|
| Fortune Brands Home & Security, Inc. |
|
|
29,797 |
|
|
|
1,904,922 |
|
| Fox Corp. (Class B Stock) |
|
|
104,852 |
|
|
|
2,814,228 |
|
| Franklin Resources, Inc.(a) |
|
|
43,948 |
|
|
|
921,590 |
|
| General Electric Co. |
|
|
1,015,796 |
|
|
|
6,937,887 |
|
| Genpact Ltd. |
|
|
329,066 |
|
|
|
12,017,490 |
|
| Gilead Sciences, Inc. |
|
|
38,022 |
|
|
|
2,925,413 |
|
| Hologic, Inc.* |
|
|
70,339 |
|
|
|
4,009,323 |
|
| Illinois Tool Works, Inc. |
|
|
16,708 |
|
|
|
2,921,394 |
|
| Illumina, Inc.* |
|
|
29,959 |
|
|
|
11,095,316 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| United States (cont’d.) |
|
| International Paper Co. |
|
|
131,412 |
|
|
$ |
4,627,017 |
|
| Intuit, Inc. |
|
|
48,967 |
|
|
|
14,503,536 |
|
| Intuitive Surgical, Inc.*(a) |
|
|
24,565 |
|
|
|
13,997,874 |
|
| Johnson & Johnson |
|
|
53,395 |
|
|
|
7,508,939 |
|
| JPMorgan Chase & Co. |
|
|
60,871 |
|
|
|
5,725,526 |
|
| Kimberly-Clark Corp. |
|
|
33,018 |
|
|
|
4,667,094 |
|
| Kohl’s Corp. |
|
|
37,156 |
|
|
|
771,730 |
|
| L3Harris Technologies, Inc. |
|
|
58,066 |
|
|
|
9,852,058 |
|
| Las Vegas Sands Corp. |
|
|
40,845 |
|
|
|
1,860,081 |
|
| Lululemon Athletica, Inc.* |
|
|
44,477 |
|
|
|
13,877,269 |
|
| Marsh & McLennan Cos., Inc. |
|
|
40,402 |
|
|
|
4,337,963 |
|
| Mastercard, Inc. (Class A Stock) |
|
|
53,251 |
|
|
|
15,746,321 |
|
| McDonald’s Corp. |
|
|
3,650 |
|
|
|
673,316 |
|
| Medtronic PLC |
|
|
68,096 |
|
|
|
6,244,403 |
|
| Merck & Co., Inc. |
|
|
21,425 |
|
|
|
1,656,795 |
|
| MetLife, Inc. |
|
|
126,754 |
|
|
|
4,629,056 |
|
| Microsoft Corp. |
|
|
142,756 |
|
|
|
29,052,274 |
|
| Morgan Stanley |
|
|
204,941 |
|
|
|
9,898,650 |
|
| News Corp. (Class A Stock) |
|
|
180,500 |
|
|
|
2,140,730 |
|
| NextEra Energy, Inc. |
|
|
19,813 |
|
|
|
4,758,488 |
|
| Nielsen Holdings PLC |
|
|
110,505 |
|
|
|
1,642,104 |
|
| PayPal Holdings, Inc.* |
|
|
105,552 |
|
|
|
18,390,325 |
|
| PepsiCo, Inc. |
|
|
17,058 |
|
|
|
2,256,091 |
|
| Perrigo Co. PLC |
|
|
51,228 |
|
|
|
2,831,372 |
|
| Pfizer, Inc. |
|
|
120,916 |
|
|
|
3,953,953 |
|
| Philip Morris International, Inc. |
|
|
66,758 |
|
|
|
4,677,066 |
|
| Pioneer Natural Resources Co. |
|
|
26,078 |
|
|
|
2,547,821 |
|
| QUALCOMM, Inc. |
|
|
86,332 |
|
|
|
7,874,342 |
|
| Raytheon Technologies Corp. |
|
|
20,397 |
|
|
|
1,256,863 |
|
| Rockwell Automation, Inc. |
|
|
9,800 |
|
|
|
2,087,400 |
|
| Roper Technologies, Inc. |
|
|
36,164 |
|
|
|
14,041,035 |
|
| salesforce.com, Inc.* |
|
|
60,428 |
|
|
|
11,319,977 |
|
| SBA Communications Corp. |
|
|
54,223 |
|
|
|
16,154,116 |
|
| Schlumberger Ltd. |
|
|
52,600 |
|
|
|
967,314 |
|
| Sempra Energy |
|
|
15,174 |
|
|
|
1,778,848 |
|
| Sherwin-Williams Co. (The) |
|
|
23,199 |
|
|
|
13,405,542 |
|
| Signature Bank |
|
|
20,093 |
|
|
|
2,148,344 |
|
| SL Green Realty Corp., REIT(a) |
|
|
46,791 |
|
|
|
2,306,328 |
|
| Southern Co. (The) |
|
|
160,712 |
|
|
|
8,332,917 |
|
| Southwest Airlines Co. |
|
|
67,654 |
|
|
|
2,312,414 |
|
| State Street Corp. |
|
|
46,270 |
|
|
|
2,940,459 |
|
| Stericycle, Inc.*(a) |
|
|
31,289 |
|
|
|
1,751,558 |
|
| TE Connectivity Ltd. |
|
|
25,710 |
|
|
|
2,096,651 |
|
| Texas Instruments, Inc.(a) |
|
|
35,627 |
|
|
|
4,523,560 |
|
| Thermo Fisher Scientific, Inc. |
|
|
51,242 |
|
|
|
18,567,026 |
|
| TJX Cos., Inc. (The) |
|
|
27,400 |
|
|
|
1,385,344 |
|
| Tyson Foods, Inc. (Class A Stock) |
|
|
96,235 |
|
|
|
5,746,192 |
|
| United Parcel Service, Inc. (Class B Stock) |
|
|
64,838 |
|
|
|
7,208,689 |
|
| Verizon Communications, Inc. |
|
|
82,272 |
|
|
|
4,535,655 |
|
| Walmart, Inc. |
|
|
34,977 |
|
|
|
4,189,545 |
|
| Walt Disney Co. (The) |
|
|
26,828 |
|
|
|
2,991,590 |
|
| Wells Fargo & Co. |
|
|
291,963 |
|
|
|
7,474,253 |
|
| Weyerhaeuser Co. |
|
|
214,038 |
|
|
|
4,807,294 |
|
| Zimmer Biomet Holdings, Inc. |
|
|
23,101 |
|
|
|
2,757,335 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A110
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| United States (cont’d.) |
|
| Zoetis, Inc. |
|
|
116,295 |
|
|
$ |
15,937,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
685,914,986 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $821,896,425) |
|
|
|
|
|
|
1,099,030,374 |
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS — 0.5% |
|
| Germany — 0.1% |
|
| Porsche Automobil Holding SE (PRFC)* |
|
|
17,000 |
|
|
|
984,791 |
|
|
|
|
|
|
|
|
|
|
| United States — 0.4% |
|
| Becton, Dickinson & Co., Series B, CVT, 6.000%(a) |
|
|
16,525 |
|
|
|
879,130 |
|
| Elanco Animal Health, Inc., CVT, 5.000% |
|
|
2,497 |
|
|
|
95,985 |
|
| Sempra Energy, Series A, CVT, 6.000% |
|
|
21,874 |
|
|
|
2,137,746 |
|
| Sempra Energy, Series B, CVT,
6.750%(a) |
|
|
4,673 |
|
|
|
459,169 |
|
| Southern Co. (The), CVT, 6.750% |
|
|
29,319 |
|
|
|
1,291,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,863,825 |
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCKS
(cost $6,073,671) |
|
|
|
5,848,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Units |
|
|
|
|
|
| RIGHTS* — 0.0% |
|
| Australia — 0.0% |
|
| Super Retail Group Ltd., expiring 07/06/20 |
|
|
15,086 |
|
|
|
9,758 |
|
|
|
|
|
|
|
|
|
|
| Spain — 0.0% |
|
| Repsol SA, expiring 07/07/20 |
|
|
117,700 |
|
|
|
59,797 |
|
|
|
|
|
|
|
|
|
|
| TOTAL RIGHTS
(cost $65,074) |
|
|
|
69,555 |
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $828,035,170) |
|
|
|
1,104,948,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| SHORT-TERM INVESTMENTS — 5.8% |
|
|
| AFFILIATED MUTUAL FUNDS |
|
| PGIM Core Ultra Short Bond Fund(w) |
|
|
30,892,538 |
|
|
$ |
30,892,538 |
|
| PGIM Institutional Money Market Fund (cost $35,806,982; includes $35,790,038 of cash collateral for
securities on loan)(b)(w) |
|
|
35,868,136 |
|
|
|
35,868,136 |
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(cost $66,699,520) |
|
|
|
|
|
|
66,760,674 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS — 102.7%
(cost $894,734,690) |
|
|
|
|
|
|
1,171,709,219 |
|
| Liabilities in excess of other assets — (2.7)% |
|
|
|
(30,862,097 |
) |
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
|
|
|
$ |
1,140,847,122 |
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending
settlement, is $35,395,801; cash collateral of $35,790,038 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the
last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates
and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
|
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
| Argentina |
|
$ |
3,096,304 |
|
|
$ |
— |
|
|
$ |
— |
|
| Australia |
|
|
— |
|
|
|
15,374,099 |
|
|
|
— |
|
| Austria |
|
|
— |
|
|
|
2,255,192 |
|
|
|
— |
|
| Belgium |
|
|
— |
|
|
|
2,186,007 |
|
|
|
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A111
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Canada |
|
$ |
17,922,852 |
|
|
$ |
— |
|
|
$ |
— |
|
| China |
|
|
15,357,043 |
|
|
|
20,350,927 |
|
|
|
— |
|
| Denmark |
|
|
— |
|
|
|
16,066,482 |
|
|
|
— |
|
| Finland |
|
|
— |
|
|
|
4,006,043 |
|
|
|
— |
|
| France |
|
|
7,380,166 |
|
|
|
38,817,568 |
|
|
|
— |
|
| Germany |
|
|
— |
|
|
|
29,603,177 |
|
|
|
— |
|
| Hong Kong |
|
|
— |
|
|
|
6,657,816 |
|
|
|
— |
|
| India |
|
|
2,442,975 |
|
|
|
3,697,059 |
|
|
|
— |
|
| Ireland |
|
|
— |
|
|
|
4,815,957 |
|
|
|
— |
|
| Italy |
|
|
— |
|
|
|
5,093,930 |
|
|
|
— |
|
| Japan |
|
|
— |
|
|
|
67,541,385 |
|
|
|
— |
|
| Luxembourg |
|
|
— |
|
|
|
718,212 |
|
|
|
— |
|
| Netherlands |
|
|
10,773,701 |
|
|
|
13,517,924 |
|
|
|
— |
|
| New Zealand |
|
|
— |
|
|
|
416,961 |
|
|
|
— |
|
| Norway |
|
|
— |
|
|
|
2,388,041 |
|
|
|
— |
|
| Portugal |
|
|
— |
|
|
|
225,256 |
|
|
|
— |
|
| Singapore |
|
|
— |
|
|
|
1,861,957 |
|
|
|
— |
|
| South Africa |
|
|
— |
|
|
|
1,111,289 |
|
|
|
— |
|
| Spain |
|
|
— |
|
|
|
5,979,537 |
|
|
|
— |
|
| Sweden |
|
|
— |
|
|
|
16,012,440 |
|
|
|
— |
|
| Switzerland |
|
|
— |
|
|
|
34,575,578 |
|
|
|
— |
|
| Taiwan |
|
|
— |
|
|
|
5,207,975 |
|
|
|
— |
|
| United Kingdom |
|
|
— |
|
|
|
57,661,535 |
|
|
|
— |
|
| United States |
|
|
685,914,986 |
|
|
|
— |
|
|
|
— |
|
| Preferred Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
| Germany |
|
|
— |
|
|
|
984,791 |
|
|
|
— |
|
| United States |
|
|
4,863,825 |
|
|
|
— |
|
|
|
— |
|
| Rights |
|
|
|
|
|
|
|
|
|
|
|
|
| Australia |
|
|
— |
|
|
|
9,758 |
|
|
|
— |
|
| Spain |
|
|
— |
|
|
|
59,797 |
|
|
|
— |
|
| Affiliated Mutual Funds |
|
|
66,760,674 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
814,512,526 |
|
|
$ |
357,196,693 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2020 were as follows:
|
|
|
|
|
| Software |
|
|
7.9 |
% |
| Health Care Equipment & Supplies |
|
|
7.2 |
|
| Affiliated Mutual Funds (3.1% represents investments purchased with collateral from securities on
loan) |
|
|
5.8 |
|
| Pharmaceuticals |
|
|
5.2 |
|
| IT Services |
|
|
5.1 |
|
| Insurance |
|
|
3.8 |
|
| Semiconductors & Semiconductor Equipment |
|
|
3.7 |
|
| Banks |
|
|
3.7 |
|
| Machinery |
|
|
3.3 |
|
| Internet & Direct Marketing Retail |
|
|
3.2 |
|
| Oil, Gas & Consumable Fuels |
|
|
3.1 |
|
| Life Sciences Tools & Services |
|
|
3.0 |
|
| Chemicals |
|
|
3.0 |
|
| Capital Markets |
|
|
2.9 |
|
| Electronic Equipment, Instruments & Components |
|
|
2.6 |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
2.3 |
|
| Industrial Conglomerates |
|
|
2.1 |
|
| Entertainment |
|
|
2.1 |
|
|
|
|
|
|
| Interactive Media & Services |
|
|
2.1 |
% |
| Electric Utilities |
|
|
2.0 |
|
| Aerospace & Defense |
|
|
2.0 |
|
| Food & Staples Retailing |
|
|
1.9 |
|
| Textiles, Apparel & Luxury Goods |
|
|
1.8 |
|
| Commercial Services & Supplies |
|
|
1.7 |
|
| Food Products |
|
|
1.5 |
|
| Personal Products |
|
|
1.5 |
|
| Beverages |
|
|
1.3 |
|
| Biotechnology |
|
|
1.3 |
|
| Professional Services |
|
|
1.1 |
|
| Air Freight & Logistics |
|
|
1.0 |
|
| Multi-Utilities |
|
|
1.0 |
|
| Diversified Telecommunication Services |
|
|
1.0 |
|
| Building Products |
|
|
0.9 |
|
| Media |
|
|
0.7 |
|
| Tobacco |
|
|
0.7 |
|
| Trading Companies & Distributors |
|
|
0.7 |
|
| Automobiles |
|
|
0.7 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A112
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Industry Classification (continued):
|
|
|
|
|
| Hotels, Restaurants & Leisure |
|
|
0.7 |
% |
| Metals & Mining |
|
|
0.6 |
|
| Health Care Providers & Services |
|
|
0.5 |
|
| Containers & Packaging |
|
|
0.5 |
|
| Communications Equipment |
|
|
0.5 |
|
| Airlines |
|
|
0.4 |
|
| Road & Rail |
|
|
0.4 |
|
| Diversified Consumer Services |
|
|
0.4 |
|
| Household Products |
|
|
0.4 |
|
| Auto Components |
|
|
0.4 |
|
| Diversified Financial Services |
|
|
0.4 |
|
| Specialty Retail |
|
|
0.4 |
|
| Multiline Retail |
|
|
0.3 |
|
| Electrical Equipment |
|
|
0.3 |
|
| Wireless Telecommunication Services |
|
|
0.3 |
|
| Household Durables |
|
|
0.2 |
|
| Construction & Engineering |
|
|
0.2 |
|
|
|
|
|
|
| Construction Materials |
|
|
0.2 |
% |
| Energy Equipment & Services |
|
|
0.2 |
|
| Consumer Finance |
|
|
0.1 |
|
| Real Estate Management & Development |
|
|
0.1 |
|
| Paper & Forest Products |
|
|
0.1 |
|
| Technology Hardware, Storage & Peripherals |
|
|
0.1 |
|
| Thrifts & Mortgage Finance |
|
|
0.1 |
|
| Gas Utilities |
|
|
0.0 |
* |
| Distributors |
|
|
0.0 |
* |
| Marine |
|
|
0.0 |
* |
|
|
|
|
|
|
|
|
102.7 |
|
| Liabilities in excess of other assets |
|
|
(2.7 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Effects of Derivative Instruments on the
Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of
risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the
Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Statement of
Assets and
Liabilities Location |
|
Fair
Value |
|
|
Statement of
Assets and
Liabilities Location |
|
Fair
Value |
|
| Equity contracts |
|
Unaffiliated investments |
|
$ |
69,555 |
|
|
— |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
For the six months ended June 30, 2020, the Portfolio did not have any net realized gain (loss) on derivatives 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(1) |
|
| Equity contracts |
|
$ |
4,216 |
|
|
|
|
|
|
| (1) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
|
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to
enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to
set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A113
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Offsetting of financial instrument/transaction assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(1) |
|
|
Net
Amount |
|
| Securities on Loan |
|
$ |
35,395,801 |
|
|
$ |
(35,395,801 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.
|
SEE NOTES TO FINANCIAL STATEMENTS.
A114
|
|
|
|
|
|
|
|
|
|
|
|
GLOBAL PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $35,395,801: |
|
|
|
|
| Unaffiliated investments (cost $828,035,170) |
|
$ |
1,104,948,545 |
|
| Affiliated investments (cost $66,699,520) |
|
|
66,760,674 |
|
| Foreign currency, at value (cost $2,840,762) |
|
|
2,797,223 |
|
| Cash |
|
|
9,426 |
|
| Tax reclaim receivable |
|
|
2,017,670 |
|
| Dividends and interest receivable |
|
|
1,268,295 |
|
| Receivable for investments sold |
|
|
1,263,833 |
|
| Receivable from affiliate |
|
|
4,948 |
|
| Receivable for Portfolio shares sold |
|
|
306 |
|
| Prepaid expenses |
|
|
1,199 |
|
|
|
|
|
|
| Total Assets |
|
|
1,179,072,119 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable to broker for collateral for securities on loan |
|
|
35,790,038 |
|
| Payable to affiliate |
|
|
869,355 |
|
| Management fee payable |
|
|
668,009 |
|
| Payable for investments purchased |
|
|
366,546 |
|
| Payable for Portfolio shares repurchased |
|
|
290,458 |
|
| Accrued expenses and other liabilities |
|
|
239,665 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
38,224,997 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
1,140,847,122 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
1,140,847,122 |
|
|
|
|
|
|
| Net asset value and redemption price per share, $1,140,847,122 / 29,212,675 outstanding shares of
beneficial interest |
|
$ |
39.05 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Unaffiliated dividend income (net of $738,467 foreign withholding tax, of which $111,234 is reimbursable
by an affiliate) |
|
$ |
10,379,805 |
|
| Affiliated dividend income |
|
|
228,176 |
|
| Income from securities lending, net (including affiliated income of $68,181) |
|
|
92,924 |
|
|
|
|
|
|
| Total income |
|
|
10,700,905 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
4,203,401 |
|
| Custodian and accounting fees |
|
|
156,883 |
|
| Shareholders’ reports |
|
|
59,160 |
|
| Audit fee |
|
|
14,302 |
|
| Trustees’ fees |
|
|
11,587 |
|
| Legal fees and expenses |
|
|
7,774 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
22,528 |
|
|
|
|
|
|
| Total expenses |
|
|
4,480,947 |
|
| Less: Fee waiver and/or expense reimbursement |
|
|
(195,132 |
) |
|
|
|
|
|
| Net expenses |
|
|
4,285,815 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
6,415,090 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $(34,885)) |
|
|
32,291,249 |
|
| Foreign currency transactions |
|
|
(136,505 |
) |
|
|
|
|
|
|
|
|
32,154,744 |
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $52,112) |
|
|
(115,249,788 |
) |
| Foreign currencies |
|
|
(66,486 |
) |
|
|
|
|
|
|
|
|
(115,316,274 |
) |
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS |
|
|
(83,161,530 |
) |
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
(76,746,440 |
) |
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended
December 31, 2019 |
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
6,415,090 |
|
|
$ |
16,320,560 |
|
| Net realized gain (loss) on investment and foreign currency transactions |
|
|
32,154,744 |
|
|
|
49,044,379 |
|
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
|
|
(115,316,274 |
) |
|
|
235,305,845 |
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
(76,746,440 |
) |
|
|
300,670,784 |
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
| Portfolio shares sold [162,916 and 589,747 shares, respectively] |
|
|
6,025,228 |
|
|
|
22,043,834 |
|
| Portfolio shares repurchased [1,405,213 and 1,764,963 shares, respectively] |
|
|
(52,119,862 |
) |
|
|
(65,786,251 |
) |
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
(46,094,634 |
) |
|
|
(43,742,417 |
) |
|
|
|
|
|
|
|
|
|
| CAPITAL CONTRIBUTIONS |
|
|
— |
|
|
|
85,664 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
(122,841,074 |
) |
|
|
257,014,031 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
1,263,688,196 |
|
|
|
1,006,674,165 |
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
1,140,847,122 |
|
|
$ |
1,263,688,196 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A115
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| LONG-TERM INVESTMENTS — 101.0% |
|
|
| ASSET-BACKED SECURITIES — 10.5% |
|
| Collateralized Loan Obligations |
|
| AGL Core CLO Ltd. (Cayman Islands), |
|
| Series 2019-02A, Class A1, 144A, 3 Month LIBOR
+ 1.390% (Cap N/A, Floor 1.390%) |
|
| 2.525%(c) |
|
|
04/20/32 |
|
|
|
|
|
|
|
1,000 |
|
|
$ |
986,459 |
|
| Series 2020-04A, Class A, 144A, 3 Month LIBOR
+ 2.210% (Cap N/A, Floor 2.210%) |
|
| 2.893%(c) |
|
|
04/20/28 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,001,329 |
|
| Atlas Senior Loan Fund Ltd. (Cayman Islands), |
|
| Series 2014-01A, Class AR2, 144A, 3 Month LIBOR
+ 1.260% (Cap N/A, Floor 0.000%) |
|
| 2.436%(c) |
|
|
07/16/29 |
|
|
|
|
|
|
|
1,243 |
|
|
|
1,227,189 |
|
| Series 2017-08A, Class A, 144A, 3 Month LIBOR
+ 1.300% (Cap N/A, Floor 0.000%) |
|
| 2.476%(c) |
|
|
01/16/30 |
|
|
|
|
|
|
|
250 |
|
|
|
244,844 |
|
| Battalion CLO Ltd., |
|
| Series 2020-15A, Class A1, 144A, 3 Month LIBOR
+ 1.350% (Cap N/A, Floor 1.350%) |
|
| 3.012%(c) |
|
|
01/17/33 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,451,327 |
|
| Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
|
| Series 2015-05A, Class A1R, 144A, 3 Month LIBOR
+ 1.320% (Cap N/A, Floor 1.320%) |
|
| 2.455%(c) |
|
|
01/20/32 |
|
|
|
|
|
|
|
750 |
|
|
|
733,395 |
|
| Catamaran CLO Ltd. (Cayman Islands), |
|
| Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR
+ 1.260% (Cap N/A, Floor 0.000%) |
|
| 2.358%(c) |
|
|
04/22/30 |
|
|
|
|
|
|
|
1,990 |
|
|
|
1,921,127 |
|
| Elevation CLO Ltd. (Cayman Islands), |
|
| Series 2017-07A, Class A, 144A, 3 Month LIBOR
+ 1.220% (Cap N/A, Floor 0.000%) |
|
| 2.439%(c) |
|
|
07/15/30 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,956,796 |
|
| Mountain View CLO Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.490% (Cap N/A, Floor 1.440%) |
|
| 2.709%(c) |
|
|
04/15/29 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,970,797 |
|
| Octagon Investment Partners 45 Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A, 144A, 3 Month LIBOR
+ 1.330% (Cap N/A, Floor 1.330%) |
|
| 2.549%(c) |
|
|
10/15/32 |
|
|
|
|
|
|
|
2,250 |
|
|
|
2,225,607 |
|
| OZLM Ltd. (Cayman Islands), |
|
| Series 2015-11A, Class A1R, 144A, 3 Month LIBOR
+ 1.250% (Cap N/A, Floor 0.000%) |
|
| 2.010%(c) |
|
|
10/30/30 |
|
|
|
|
|
|
|
3,728 |
|
|
|
3,623,473 |
|
| Race Point CLO Ltd. (Cayman Islands), |
|
| Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR
+ 1.210% (Cap N/A, Floor 0.000%) |
|
| 2.429%(c) |
|
|
10/15/30 |
|
|
|
|
|
|
|
1,000 |
|
|
|
975,314 |
|
| Sound Point CLO Ltd. (Cayman Islands), |
|
| Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor
1.250%) |
|
| 2.293%(c) |
|
|
10/23/31 |
|
|
|
|
|
|
|
1,000 |
|
|
|
966,961 |
|
| Series 2019-01A, Class A, 144A, 3 Month LIBOR
+ 1.370% (Cap N/A, Floor 1.370%) |
|
| 2.505%(c) |
|
|
01/20/32 |
|
|
|
|
|
|
|
1,000 |
|
|
|
979,147 |
|
| Trimaran Cavu Ltd. (Cayman Islands), |
|
| Series 2019-01A, Class A1, 144A, 3 Month LIBOR
+ 1.460% (Cap N/A, Floor 1.460%) |
|
| 2.595%(c) |
|
|
07/20/32 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,471,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| ASSET-BACKED SECURITIES (continued) |
|
| Collateralized Loan Obligations (cont’d.) |
|
| Wellfleet CLO Ltd. (Cayman Islands), |
|
| Series 2017-02A, Class A1R, 144A, 3 Month LIBOR
+ 1.060% (Cap N/A, Floor 0.000%) |
|
| 2.195%(c) |
|
|
10/20/29 |
|
|
|
|
|
|
|
1,250 |
|
|
$ |
1,220,965 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL ASSET-BACKED SECURITIES
(cost $25,766,328) |
|
|
|
25,956,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 19.0% |
|
| Barclays Commercial Mortgage Trust, |
|
| Series 2019-C04, Class A4 |
|
| 2.661% |
|
|
08/15/52 |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,207,491 |
|
| CD Mortgage Trust, |
|
| Series 2019-CD08, Class A3 |
|
| 2.657% |
|
|
08/15/57 |
|
|
|
|
|
|
|
4,000 |
|
|
|
4,276,873 |
|
| Fannie Mae-Aces, |
|
| Series 2012-M02, Class A2 |
|
| 2.717% |
|
|
02/25/22 |
|
|
|
|
|
|
|
110 |
|
|
|
112,313 |
|
| Series 2015-M08, Class AB2 |
|
| 2.829%(cc) |
|
|
01/25/25 |
|
|
|
|
|
|
|
288 |
|
|
|
308,932 |
|
| Series 2015-M10, Class A2 |
|
| 3.092%(cc) |
|
|
04/25/27 |
|
|
|
|
|
|
|
1,600 |
|
|
|
1,780,252 |
|
| Series 2015-M17, Class A2 |
|
| 3.015%(cc) |
|
|
11/25/25 |
|
|
|
|
|
|
|
1,458 |
|
|
|
1,594,197 |
|
| Series 2016-M11, Class A2 |
|
| 2.369%(cc) |
|
|
07/25/26 |
|
|
|
|
|
|
|
1,200 |
|
|
|
1,291,620 |
|
| Series 2016-M13, Class A2 |
|
| 2.565%(cc) |
|
|
09/25/26 |
|
|
|
|
|
|
|
2,100 |
|
|
|
2,221,195 |
|
| Series 2018-M14, Class A1 |
|
| 3.697%(cc) |
|
|
08/25/28 |
|
|
|
|
|
|
|
882 |
|
|
|
983,421 |
|
| Series 2019-M01, Class A2 |
|
| 3.673%(cc) |
|
|
09/25/28 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,288,317 |
|
| FHLMC Multifamily Structured Pass-Through Certificates, |
|
| Series K0019, Class X1, IO |
|
| 1.730%(cc) |
|
|
03/25/22 |
|
|
|
|
|
|
|
15,306 |
|
|
|
346,788 |
|
| Series K0020, Class X1, IO |
|
| 1.498%(cc) |
|
|
05/25/22 |
|
|
|
|
|
|
|
8,047 |
|
|
|
170,298 |
|
| Series K0021, Class X1, IO |
|
| 1.548%(cc) |
|
|
06/25/22 |
|
|
|
|
|
|
|
8,703 |
|
|
|
191,684 |
|
| Series K0025, Class X1, IO |
|
| 0.934%(cc) |
|
|
10/25/22 |
|
|
|
|
|
|
|
24,365 |
|
|
|
380,314 |
|
| Series K0060, Class AM |
|
| 3.300%(cc) |
|
|
10/25/26 |
|
|
|
|
|
|
|
1,930 |
|
|
|
2,185,717 |
|
| Series K0064, Class AM |
|
| 3.327%(cc) |
|
|
03/25/27 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,250,341 |
|
| Series K0068, Class AM |
|
| 3.315% |
|
|
08/25/27 |
|
|
|
|
|
|
|
1,700 |
|
|
|
1,948,918 |
|
| Series K0076, Class AM |
|
| 3.900% |
|
|
04/25/28 |
|
|
|
|
|
|
|
425 |
|
|
|
506,624 |
|
| Series K0077, Class A2 |
|
| 3.850%(cc) |
|
|
05/25/28 |
|
|
|
|
|
|
|
900 |
|
|
|
1,073,021 |
|
| Series K0077, Class AM |
|
| 3.850%(cc) |
|
|
05/25/28 |
|
|
|
|
|
|
|
180 |
|
|
|
214,479 |
|
| Series K0078, Class AM |
|
| 3.920% |
|
|
06/25/28 |
|
|
|
|
|
|
|
525 |
|
|
|
627,369 |
|
| Series K0079, Class AM |
|
| 3.930% |
|
|
06/25/28 |
|
|
|
|
|
|
|
675 |
|
|
|
807,056 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A116
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Series K0080, Class AM |
|
| 3.986%(cc) |
|
|
07/25/28 |
|
|
|
|
|
|
|
1,900 |
|
|
$ |
2,273,119 |
|
| Series K0081, Class AM |
|
| 3.900%(cc) |
|
|
08/25/28 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,788,283 |
|
| Series K0083, Class AM |
|
| 4.030%(cc) |
|
|
10/25/28 |
|
|
|
|
|
|
|
250 |
|
|
|
302,380 |
|
| Series K0084, Class AM |
|
| 3.880%(cc) |
|
|
10/25/28 |
|
|
|
|
|
|
|
1,300 |
|
|
|
1,541,582 |
|
| Series K0085, Class AM |
|
| 4.060%(cc) |
|
|
10/25/28 |
|
|
|
|
|
|
|
650 |
|
|
|
785,474 |
|
| Series K0086, Class A2 |
|
| 3.859%(cc) |
|
|
11/25/28 |
|
|
|
|
|
|
|
1,400 |
|
|
|
1,688,870 |
|
| Series K0086, Class AM |
|
| 3.919%(cc) |
|
|
12/25/28 |
|
|
|
|
|
|
|
200 |
|
|
|
241,359 |
|
| Series K0087, Class AM |
|
| 3.832%(cc) |
|
|
12/25/28 |
|
|
|
|
|
|
|
200 |
|
|
|
239,226 |
|
| Series K0088, Class AM |
|
| 3.761%(cc) |
|
|
01/25/29 |
|
|
|
|
|
|
|
520 |
|
|
|
621,598 |
|
| Series K0090, Class AM |
|
| 3.492%(cc) |
|
|
03/25/29 |
|
|
|
|
|
|
|
800 |
|
|
|
941,225 |
|
| Series K0091, Class AM |
|
| 3.566% |
|
|
03/25/29 |
|
|
|
|
|
|
|
850 |
|
|
|
1,006,848 |
|
| Series K0151, Class A3 |
|
| 3.511% |
|
|
04/25/30 |
|
|
|
|
|
|
|
400 |
|
|
|
469,941 |
|
| Series K0152, Class A2 |
|
| 3.080% |
|
|
01/25/31 |
|
|
|
|
|
|
|
140 |
|
|
|
162,675 |
|
| Series K0157, Class A2 |
|
| 3.990%(cc) |
|
|
05/25/33 |
|
|
|
|
|
|
|
1,700 |
|
|
|
2,103,139 |
|
| Series K0157, Class A3 |
|
| 3.990%(cc) |
|
|
08/25/33 |
|
|
|
|
|
|
|
280 |
|
|
|
356,697 |
|
| Series K0158, Class A2 |
|
| 3.900%(cc) |
|
|
12/25/30 |
|
|
|
|
|
|
|
700 |
|
|
|
860,738 |
|
| Series K1514, Class A2 |
|
| 2.859% |
|
|
10/25/34 |
|
|
|
|
|
|
|
2,720 |
|
|
|
3,137,944 |
|
| Series KC03, Class A2 |
|
| 3.499% |
|
|
01/25/26 |
|
|
|
|
|
|
|
650 |
|
|
|
711,948 |
|
| Series W5FX, Class AFX |
|
| 3.336%(cc) |
|
|
04/25/28 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,249,584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $41,964,302) |
|
|
|
47,249,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE BONDS — 1.2% |
|
| Diversified Financial Services |
|
| Private Export Funding Corp., |
|
| Sr. Unsec’d. Notes, 144A |
|
| 2.650% |
|
|
02/16/21 |
|
|
|
|
|
|
|
1,655 |
|
|
|
1,680,414 |
|
| U.S. Gov’t. Gtd. Notes, Series BB |
|
| 4.300% |
|
|
12/15/21 |
|
|
|
|
|
|
|
1,255 |
|
|
|
1,324,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(cost $2,954,224) |
|
|
|
3,004,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% |
|
| Government National Mortgage Assoc., |
|
| Series 2015-143, Class WA |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4.000% |
|
|
10/20/45 |
|
|
|
|
|
|
|
465 |
|
|
|
509,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
|
| Merrill Lynch Mortgage Investors Trust, |
|
| Series 2003-E, Class A1, 1 Month LIBOR +
0.620% (Cap 11.750%, Floor 0.310%) |
|
| 0.805%(c) |
|
|
10/25/28 |
|
|
|
|
|
|
|
13 |
|
|
$ |
12,468 |
|
| Structured Adjustable Rate Mortgage Loan Trust, |
|
| Series 2004-01, Class 4A3 |
|
| 3.765%(cc) |
|
|
02/25/34 |
|
|
|
|
|
|
|
57 |
|
|
|
54,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $558,844) |
|
|
|
576,908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.8% |
|
| Fannie Mae Principal Strip, MTN |
|
| 2.001%(s) |
|
|
10/08/27 |
|
|
|
|
|
|
|
350 |
|
|
|
326,570 |
|
| Federal Home Loan Bank |
|
| 3.250% |
|
|
11/16/28 |
|
|
|
|
|
|
|
1,025 |
|
|
|
1,221,102 |
|
| Federal Home Loan Mortgage Corp. |
|
| 2.000% |
|
|
01/01/32 |
|
|
|
|
|
|
|
253 |
|
|
|
262,791 |
|
| 2.500% |
|
|
03/01/30 |
|
|
|
|
|
|
|
451 |
|
|
|
479,346 |
|
| 3.000% |
|
|
06/01/29 |
|
|
|
|
|
|
|
317 |
|
|
|
337,420 |
|
| 3.000% |
|
|
01/01/37 |
|
|
|
|
|
|
|
664 |
|
|
|
702,838 |
|
| 3.000% |
|
|
06/01/45 |
|
|
|
|
|
|
|
373 |
|
|
|
395,810 |
|
| 3.000% |
|
|
01/01/48 |
|
|
|
|
|
|
|
724 |
|
|
|
762,638 |
|
| 3.500% |
|
|
12/01/32 |
|
|
|
|
|
|
|
578 |
|
|
|
612,070 |
|
| 3.500% |
|
|
07/01/42 |
|
|
|
|
|
|
|
531 |
|
|
|
574,642 |
|
| 3.500% |
|
|
10/01/42 |
|
|
|
|
|
|
|
847 |
|
|
|
914,210 |
|
| 3.500% |
|
|
08/01/43 |
|
|
|
|
|
|
|
1,030 |
|
|
|
1,113,604 |
|
| 3.500% |
|
|
09/01/45 |
|
|
|
|
|
|
|
398 |
|
|
|
427,484 |
|
| 3.500% |
|
|
10/01/45 |
|
|
|
|
|
|
|
447 |
|
|
|
478,003 |
|
| 3.500% |
|
|
02/01/47 |
|
|
|
|
|
|
|
431 |
|
|
|
457,436 |
|
| 3.500% |
|
|
07/01/47 |
|
|
|
|
|
|
|
1,087 |
|
|
|
1,150,246 |
|
| 3.500% |
|
|
03/01/48 |
|
|
|
|
|
|
|
1,392 |
|
|
|
1,473,903 |
|
| 4.000% |
|
|
06/01/26 |
|
|
|
|
|
|
|
39 |
|
|
|
41,810 |
|
| 4.000% |
|
|
09/01/26 |
|
|
|
|
|
|
|
148 |
|
|
|
156,459 |
|
| 4.000% |
|
|
09/01/40 |
|
|
|
|
|
|
|
306 |
|
|
|
334,451 |
|
| 4.000% |
|
|
12/01/40 |
|
|
|
|
|
|
|
328 |
|
|
|
359,618 |
|
| 4.000% |
|
|
12/01/40 |
|
|
|
|
|
|
|
343 |
|
|
|
375,981 |
|
| 4.000% |
|
|
11/01/43 |
|
|
|
|
|
|
|
623 |
|
|
|
684,867 |
|
| 4.500% |
|
|
09/01/39 |
|
|
|
|
|
|
|
1,120 |
|
|
|
1,244,989 |
|
| 4.500% |
|
|
08/01/48 |
|
|
|
|
|
|
|
555 |
|
|
|
596,614 |
|
| 5.000% |
|
|
06/01/33 |
|
|
|
|
|
|
|
244 |
|
|
|
277,128 |
|
| 5.000% |
|
|
05/01/34 |
|
|
|
|
|
|
|
221 |
|
|
|
253,139 |
|
| 5.500% |
|
|
05/01/37 |
|
|
|
|
|
|
|
45 |
|
|
|
51,985 |
|
| 5.500% |
|
|
02/01/38 |
|
|
|
|
|
|
|
151 |
|
|
|
173,688 |
|
| 5.500% |
|
|
05/01/38 |
|
|
|
|
|
|
|
64 |
|
|
|
72,848 |
|
| 6.000% |
|
|
09/01/34 |
|
|
|
|
|
|
|
69 |
|
|
|
76,621 |
|
| 6.000% |
|
|
01/01/37 |
|
|
|
|
|
|
|
69 |
|
|
|
80,533 |
|
| 6.000% |
|
|
09/01/38 |
|
|
|
|
|
|
|
43 |
|
|
|
50,742 |
|
| 6.000% |
|
|
08/01/39 |
|
|
|
|
|
|
|
51 |
|
|
|
59,141 |
|
| 6.250% |
|
|
07/15/32 |
|
|
|
|
|
|
|
30 |
|
|
|
47,130 |
|
| 6.500% |
|
|
09/01/32 |
|
|
|
|
|
|
|
20 |
|
|
|
23,189 |
|
| Federal Home Loan Mortgage Corp., MTN |
|
| 1.846%(s) |
|
|
11/15/38 |
|
|
|
|
|
|
|
600 |
|
|
|
424,226 |
|
| Federal National Mortgage Assoc. |
|
| 2.000% |
|
|
08/01/31 |
|
|
|
|
|
|
|
244 |
|
|
|
253,217 |
|
| 2.000% |
|
|
10/01/34 |
|
|
|
|
|
|
|
106 |
|
|
|
109,289 |
|
| 2.500% |
|
|
TBA |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,120,500 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A117
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 2.500% |
|
|
03/01/24 |
|
|
|
|
|
|
|
56 |
|
|
$ |
58,850 |
|
| 2.500% |
|
|
06/01/28 |
|
|
|
|
|
|
|
1,390 |
|
|
|
1,480,549 |
|
| 2.500% |
|
|
06/01/34 |
|
|
|
|
|
|
|
579 |
|
|
|
606,739 |
|
| 2.500% |
|
|
02/01/43 |
|
|
|
|
|
|
|
172 |
|
|
|
181,875 |
|
| 2.500% |
|
|
12/01/46 |
|
|
|
|
|
|
|
619 |
|
|
|
655,650 |
|
| 3.000% |
|
|
TBA |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,102,822 |
|
| 3.000% |
|
|
02/01/31 |
|
|
|
|
|
|
|
789 |
|
|
|
829,307 |
|
| 3.000% |
|
|
11/01/36 |
|
|
|
|
|
|
|
614 |
|
|
|
646,646 |
|
| 3.000% |
|
|
03/01/43 |
|
|
|
|
|
|
|
820 |
|
|
|
878,656 |
|
| 3.000% |
|
|
07/01/43 |
|
|
|
|
|
|
|
755 |
|
|
|
815,899 |
|
| 3.000% |
|
|
07/01/43 |
|
|
|
|
|
|
|
920 |
|
|
|
985,162 |
|
| 3.000% |
|
|
09/01/46 |
|
|
|
|
|
|
|
970 |
|
|
|
1,023,635 |
|
| 3.000% |
|
|
11/01/46 |
|
|
|
|
|
|
|
380 |
|
|
|
401,897 |
|
| 3.000% |
|
|
11/01/46 |
|
|
|
|
|
|
|
502 |
|
|
|
529,903 |
|
| 3.000% |
|
|
12/01/47 |
|
|
|
|
|
|
|
1,097 |
|
|
|
1,168,021 |
|
| 3.000% |
|
|
06/01/50 |
|
|
|
|
|
|
|
590 |
|
|
|
621,630 |
|
| 3.500% |
|
|
07/01/31 |
|
|
|
|
|
|
|
845 |
|
|
|
902,952 |
|
| 3.500% |
|
|
02/01/33 |
|
|
|
|
|
|
|
164 |
|
|
|
172,977 |
|
| 3.500% |
|
|
06/01/39 |
|
|
|
|
|
|
|
243 |
|
|
|
262,044 |
|
| 3.500% |
|
|
04/01/42 |
|
|
|
|
|
|
|
415 |
|
|
|
451,316 |
|
| 3.500% |
|
|
06/01/42 |
|
|
|
|
|
|
|
723 |
|
|
|
786,624 |
|
| 3.500% |
|
|
07/01/42 |
|
|
|
|
|
|
|
432 |
|
|
|
465,188 |
|
| 3.500% |
|
|
07/01/42 |
|
|
|
|
|
|
|
766 |
|
|
|
833,112 |
|
| 3.500% |
|
|
06/01/45 |
|
|
|
|
|
|
|
1,504 |
|
|
|
1,608,073 |
|
| 3.500% |
|
|
07/01/46 |
|
|
|
|
|
|
|
722 |
|
|
|
767,545 |
|
| 3.500% |
|
|
12/01/46 |
|
|
|
|
|
|
|
369 |
|
|
|
392,551 |
|
| 3.500% |
|
|
12/01/46 |
|
|
|
|
|
|
|
861 |
|
|
|
930,474 |
|
| 3.500% |
|
|
11/01/48 |
|
|
|
|
|
|
|
1,112 |
|
|
|
1,176,418 |
|
| 4.000% |
|
|
09/01/40 |
|
|
|
|
|
|
|
1,129 |
|
|
|
1,233,626 |
|
| 4.000% |
|
|
06/01/42 |
|
|
|
|
|
|
|
849 |
|
|
|
931,915 |
|
| 4.000% |
|
|
09/01/44 |
|
|
|
|
|
|
|
590 |
|
|
|
643,699 |
|
| 4.000% |
|
|
09/01/44 |
|
|
|
|
|
|
|
946 |
|
|
|
1,031,437 |
|
| 4.000% |
|
|
04/01/45 |
|
|
|
|
|
|
|
540 |
|
|
|
582,759 |
|
| 4.000% |
|
|
07/01/45 |
|
|
|
|
|
|
|
511 |
|
|
|
548,641 |
|
| 4.000% |
|
|
10/01/45 |
|
|
|
|
|
|
|
706 |
|
|
|
762,361 |
|
| 4.000% |
|
|
10/01/46 |
|
|
|
|
|
|
|
243 |
|
|
|
260,781 |
|
| 4.000% |
|
|
02/01/47 |
|
|
|
|
|
|
|
301 |
|
|
|
320,325 |
|
| 4.000% |
|
|
06/01/47 |
|
|
|
|
|
|
|
406 |
|
|
|
433,436 |
|
| 4.000% |
|
|
07/01/47 |
|
|
|
|
|
|
|
436 |
|
|
|
464,372 |
|
| 4.000% |
|
|
10/01/47 |
|
|
|
|
|
|
|
1,223 |
|
|
|
1,303,096 |
|
| 4.000% |
|
|
11/01/47 |
|
|
|
|
|
|
|
326 |
|
|
|
347,436 |
|
| 4.000% |
|
|
11/01/47 |
|
|
|
|
|
|
|
553 |
|
|
|
589,547 |
|
| 4.500% |
|
|
05/01/40 |
|
|
|
|
|
|
|
1,640 |
|
|
|
1,826,189 |
|
| 4.500% |
|
|
04/01/42 |
|
|
|
|
|
|
|
621 |
|
|
|
690,669 |
|
| 5.000% |
|
|
12/01/31 |
|
|
|
|
|
|
|
25 |
|
|
|
27,492 |
|
| 5.000% |
|
|
03/01/34 |
|
|
|
|
|
|
|
274 |
|
|
|
314,697 |
|
| 5.000% |
|
|
06/01/35 |
|
|
|
|
|
|
|
120 |
|
|
|
138,187 |
|
| 5.000% |
|
|
07/01/35 |
|
|
|
|
|
|
|
61 |
|
|
|
70,209 |
|
| 5.000% |
|
|
05/01/36 |
|
|
|
|
|
|
|
81 |
|
|
|
93,549 |
|
| 5.500% |
|
|
02/01/34 |
|
|
|
|
|
|
|
198 |
|
|
|
227,276 |
|
| 5.500% |
|
|
09/01/34 |
|
|
|
|
|
|
|
198 |
|
|
|
226,652 |
|
| 5.500% |
|
|
02/01/35 |
|
|
|
|
|
|
|
202 |
|
|
|
229,894 |
|
| 5.500% |
|
|
06/01/35 |
|
|
|
|
|
|
|
34 |
|
|
|
37,837 |
|
| 5.500% |
|
|
06/01/35 |
|
|
|
|
|
|
|
104 |
|
|
|
115,249 |
|
| 5.500% |
|
|
09/01/35 |
|
|
|
|
|
|
|
37 |
|
|
|
40,956 |
|
| 5.500% |
|
|
09/01/35 |
|
|
|
|
|
|
|
98 |
|
|
|
109,357 |
|
| 5.500% |
|
|
10/01/35 |
|
|
|
|
|
|
|
206 |
|
|
|
235,301 |
|
| 5.500% |
|
|
11/01/35 |
|
|
|
|
|
|
|
102 |
|
|
|
112,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 5.500% |
|
|
11/01/35 |
|
|
|
|
|
|
|
252 |
|
|
$ |
283,762 |
|
| 5.500% |
|
|
11/01/35 |
|
|
|
|
|
|
|
373 |
|
|
|
428,665 |
|
| 6.000% |
|
|
05/01/21 |
|
|
|
|
|
|
|
3 |
|
|
|
3,452 |
|
| 6.000% |
|
|
12/01/33 |
|
|
|
|
|
|
|
10 |
|
|
|
11,260 |
|
| 6.000% |
|
|
02/01/34 |
|
|
|
|
|
|
|
94 |
|
|
|
109,270 |
|
| 6.000% |
|
|
08/01/34 |
|
|
|
|
|
|
|
— |
(r) |
|
|
424 |
|
| 6.000% |
|
|
11/01/34 |
|
|
|
|
|
|
|
— |
(r) |
|
|
542 |
|
| 6.000% |
|
|
12/01/34 |
|
|
|
|
|
|
|
1 |
|
|
|
1,010 |
|
| 6.000% |
|
|
01/01/35 |
|
|
|
|
|
|
|
20 |
|
|
|
21,861 |
|
| 6.000% |
|
|
01/01/36 |
|
|
|
|
|
|
|
59 |
|
|
|
65,883 |
|
| 6.000% |
|
|
05/01/38 |
|
|
|
|
|
|
|
36 |
|
|
|
42,251 |
|
| 6.500% |
|
|
07/01/32 |
|
|
|
|
|
|
|
160 |
|
|
|
189,690 |
|
| 6.500% |
|
|
08/01/32 |
|
|
|
|
|
|
|
66 |
|
|
|
74,890 |
|
| 6.500% |
|
|
10/01/32 |
|
|
|
|
|
|
|
209 |
|
|
|
250,794 |
|
| 6.500% |
|
|
10/01/37 |
|
|
|
|
|
|
|
103 |
|
|
|
123,329 |
|
| 6.625% |
|
|
11/15/30 |
|
|
|
|
|
|
|
435 |
|
|
|
672,842 |
|
| 7.000% |
|
|
12/01/31 |
|
|
|
|
|
|
|
— |
(r) |
|
|
508 |
|
| 7.000% |
|
|
12/01/31 |
|
|
|
|
|
|
|
67 |
|
|
|
78,800 |
|
| 7.000% |
|
|
01/01/36 |
|
|
|
|
|
|
|
16 |
|
|
|
18,454 |
|
| 8.000% |
|
|
10/01/23 |
|
|
|
|
|
|
|
— |
(r) |
|
|
101 |
|
| 8.000% |
|
|
09/01/24 |
|
|
|
|
|
|
|
1 |
|
|
|
808 |
|
| 8.000% |
|
|
11/01/24 |
|
|
|
|
|
|
|
1 |
|
|
|
933 |
|
| 8.000% |
|
|
01/01/26 |
|
|
|
|
|
|
|
— |
(r) |
|
|
220 |
|
| 9.000% |
|
|
02/01/25 |
|
|
|
|
|
|
|
6 |
|
|
|
6,745 |
|
| 9.000% |
|
|
04/01/25 |
|
|
|
|
|
|
|
3 |
|
|
|
3,351 |
|
| Government National Mortgage Assoc. |
|
| 2.500% |
|
|
TBA |
|
|
|
|
|
|
|
1,000 |
|
|
|
1,050,078 |
|
| 2.500% |
|
|
TBA |
(tt) |
|
|
|
|
|
|
4,500 |
|
|
|
4,735,020 |
|
| 2.500% |
|
|
12/20/46 |
|
|
|
|
|
|
|
235 |
|
|
|
248,638 |
|
| 3.000% |
|
|
03/15/45 |
|
|
|
|
|
|
|
1,229 |
|
|
|
1,300,456 |
|
| 3.000% |
|
|
07/20/46 |
|
|
|
|
|
|
|
1,114 |
|
|
|
1,184,929 |
|
| 3.000% |
|
|
09/20/46 |
|
|
|
|
|
|
|
1,189 |
|
|
|
1,263,671 |
|
| 3.000% |
|
|
10/20/46 |
|
|
|
|
|
|
|
295 |
|
|
|
313,595 |
|
| 3.000% |
|
|
04/20/47 |
|
|
|
|
|
|
|
1,242 |
|
|
|
1,319,470 |
|
| 3.000% |
|
|
12/20/48 |
|
|
|
|
|
|
|
825 |
|
|
|
876,838 |
|
| 3.000% |
|
|
04/20/49 |
|
|
|
|
|
|
|
935 |
|
|
|
992,080 |
|
| 3.500% |
|
|
01/20/43 |
|
|
|
|
|
|
|
905 |
|
|
|
983,676 |
|
| 3.500% |
|
|
04/20/43 |
|
|
|
|
|
|
|
438 |
|
|
|
476,520 |
|
| 3.500% |
|
|
03/20/45 |
|
|
|
|
|
|
|
705 |
|
|
|
755,129 |
|
| 3.500% |
|
|
04/20/45 |
|
|
|
|
|
|
|
587 |
|
|
|
628,304 |
|
| 3.500% |
|
|
04/20/46 |
|
|
|
|
|
|
|
986 |
|
|
|
1,057,345 |
|
| 3.500% |
|
|
07/20/46 |
|
|
|
|
|
|
|
1,514 |
|
|
|
1,619,982 |
|
| 3.500% |
|
|
07/20/48 |
|
|
|
|
|
|
|
1,444 |
|
|
|
1,534,269 |
|
| 3.500% |
|
|
11/20/48 |
|
|
|
|
|
|
|
383 |
|
|
|
404,629 |
|
| 3.500% |
|
|
01/20/49 |
|
|
|
|
|
|
|
615 |
|
|
|
652,208 |
|
| 4.000% |
|
|
06/15/40 |
|
|
|
|
|
|
|
153 |
|
|
|
165,747 |
|
| 4.000% |
|
|
08/20/46 |
|
|
|
|
|
|
|
574 |
|
|
|
618,627 |
|
| 4.000% |
|
|
11/20/46 |
|
|
|
|
|
|
|
351 |
|
|
|
377,433 |
|
| 4.000% |
|
|
09/20/47 |
|
|
|
|
|
|
|
579 |
|
|
|
620,150 |
|
| 4.000% |
|
|
02/20/49 |
|
|
|
|
|
|
|
1,009 |
|
|
|
1,071,431 |
|
| 4.500% |
|
|
02/20/41 |
|
|
|
|
|
|
|
428 |
|
|
|
477,625 |
|
| 4.500% |
|
|
03/20/41 |
|
|
|
|
|
|
|
365 |
|
|
|
400,102 |
|
| 4.500% |
|
|
06/20/44 |
|
|
|
|
|
|
|
272 |
|
|
|
298,513 |
|
| 4.500% |
|
|
09/20/46 |
|
|
|
|
|
|
|
341 |
|
|
|
370,927 |
|
| 4.500% |
|
|
11/20/46 |
|
|
|
|
|
|
|
673 |
|
|
|
736,433 |
|
| 4.500% |
|
|
01/20/47 |
|
|
|
|
|
|
|
84 |
|
|
|
92,008 |
|
| 5.000% |
|
|
07/15/33 |
|
|
|
|
|
|
|
120 |
|
|
|
137,506 |
|
| 5.000% |
|
|
09/15/33 |
|
|
|
|
|
|
|
175 |
|
|
|
198,410 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A118
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 5.000% |
|
|
04/15/34 |
|
|
|
|
|
|
|
77 |
|
|
$ |
83,966 |
|
| 5.000% |
|
|
10/20/48 |
|
|
|
|
|
|
|
216 |
|
|
|
236,537 |
|
| 5.500% |
|
|
03/15/34 |
|
|
|
|
|
|
|
229 |
|
|
|
266,556 |
|
| 5.500% |
|
|
03/15/36 |
|
|
|
|
|
|
|
50 |
|
|
|
58,087 |
|
| 6.500% |
|
|
07/15/32 |
|
|
|
|
|
|
|
16 |
|
|
|
18,316 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
2 |
|
|
|
2,308 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
3 |
|
|
|
3,484 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
11 |
|
|
|
12,793 |
|
| 6.500% |
|
|
08/15/32 |
|
|
|
|
|
|
|
76 |
|
|
|
91,110 |
|
| 7.000% |
|
|
05/15/23 |
|
|
|
|
|
|
|
2 |
|
|
|
2,123 |
|
| 7.000% |
|
|
06/15/23 |
|
|
|
|
|
|
|
1 |
|
|
|
605 |
|
| 7.000% |
|
|
06/15/23 |
|
|
|
|
|
|
|
3 |
|
|
|
2,881 |
|
| 7.000% |
|
|
06/15/23 |
|
|
|
|
|
|
|
5 |
|
|
|
5,379 |
|
| 7.000% |
|
|
07/15/23 |
|
|
|
|
|
|
|
— |
(r) |
|
|
354 |
|
| 7.000% |
|
|
07/15/23 |
|
|
|
|
|
|
|
8 |
|
|
|
8,431 |
|
| 7.000% |
|
|
08/15/23 |
|
|
|
|
|
|
|
1 |
|
|
|
1,436 |
|
| 7.000% |
|
|
08/15/23 |
|
|
|
|
|
|
|
3 |
|
|
|
3,369 |
|
| 7.000% |
|
|
09/15/23 |
|
|
|
|
|
|
|
1 |
|
|
|
907 |
|
| 7.000% |
|
|
10/15/23 |
|
|
|
|
|
|
|
2 |
|
|
|
1,786 |
|
| 7.000% |
|
|
10/15/23 |
|
|
|
|
|
|
|
2 |
|
|
|
1,889 |
|
| 7.000% |
|
|
11/15/23 |
|
|
|
|
|
|
|
2 |
|
|
|
2,158 |
|
| 7.000% |
|
|
11/15/23 |
|
|
|
|
|
|
|
5 |
|
|
|
5,653 |
|
| 7.000% |
|
|
01/15/24 |
|
|
|
|
|
|
|
35 |
|
|
|
37,105 |
|
| 7.000% |
|
|
05/15/24 |
|
|
|
|
|
|
|
26 |
|
|
|
27,211 |
|
| 7.000% |
|
|
08/15/28 |
|
|
|
|
|
|
|
32 |
|
|
|
37,845 |
|
| 7.500% |
|
|
12/15/25 |
|
|
|
|
|
|
|
2 |
|
|
|
1,672 |
|
| 7.500% |
|
|
12/15/25 |
|
|
|
|
|
|
|
23 |
|
|
|
25,687 |
|
| 7.500% |
|
|
02/15/26 |
|
|
|
|
|
|
|
5 |
|
|
|
4,557 |
|
| 8.500% |
|
|
09/15/24 |
|
|
|
|
|
|
|
36 |
|
|
|
38,631 |
|
| 8.500% |
|
|
04/15/25 |
|
|
|
|
|
|
|
4 |
|
|
|
4,536 |
|
| Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes |
|
| 2.903%(s) |
|
|
11/15/25 |
|
|
|
|
|
|
|
450 |
|
|
|
419,282 |
|
| 2.938%(s) |
|
|
05/15/26 |
|
|
|
|
|
|
|
440 |
|
|
|
405,939 |
|
| 2.975%(s) |
|
|
02/15/26 |
|
|
|
|
|
|
|
325 |
|
|
|
304,948 |
|
| 5.500% |
|
|
09/18/33 |
|
|
|
|
|
|
|
300 |
|
|
|
447,949 |
|
| Residual Funding Corp., Principal Strip, Bonds, PO |
|
| 1.875%(s) |
|
|
01/15/30 |
|
|
|
|
|
|
|
285 |
|
|
|
252,099 |
|
| 3.143%(s) |
|
|
04/15/30 |
|
|
|
|
|
|
|
2,305 |
|
|
|
2,024,589 |
|
| Resolution Funding Corp., Interest Strip, Bonds |
|
| 1.636%(s) |
|
|
04/15/28 |
|
|
|
|
|
|
|
500 |
|
|
|
457,191 |
|
| 2.197%(s) |
|
|
01/15/30 |
|
|
|
|
|
|
|
140 |
|
|
|
123,629 |
|
| 2.477%(s) |
|
|
01/15/29 |
|
|
|
|
|
|
|
300 |
|
|
|
266,993 |
|
| 3.624%(s) |
|
|
04/15/30 |
|
|
|
|
|
|
|
500 |
|
|
|
437,159 |
|
| Tennessee Valley Authority, Sr. Unsec’d. Notes |
|
| 0.750% |
|
|
05/15/25 |
|
|
|
|
|
|
|
325 |
|
|
|
329,053 |
|
| 2.875% |
|
|
02/01/27 |
|
|
|
|
|
|
|
175 |
|
|
|
197,233 |
|
| 5.880% |
|
|
04/01/36 |
|
|
|
|
|
|
|
230 |
|
|
|
357,727 |
|
| 6.750% |
|
|
11/01/25 |
|
|
|
|
|
|
|
510 |
|
|
|
672,950 |
|
| 7.125% |
|
|
05/01/30 |
|
|
|
|
|
|
|
530 |
|
|
|
821,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $89,591,885) |
|
|
|
94,101,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS — 32.3% |
|
| U.S. Treasury Bonds |
|
| 2.875% |
|
|
05/15/43 |
(a)(k) |
|
|
|
|
|
|
4,290 |
|
|
|
5,601,131 |
|
| 3.000% |
|
|
11/15/44 |
|
|
|
|
|
|
|
170 |
|
|
|
227,534 |
|
| 3.125% |
|
|
02/15/43 |
|
|
|
|
|
|
|
130 |
|
|
|
176,191 |
|
| 3.625% |
|
|
08/15/43 |
|
|
|
|
|
|
|
6,090 |
|
|
|
8,892,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. TREASURY OBLIGATIONS (continued) |
|
| 3.750% |
|
|
11/15/43 |
(a) |
|
|
|
|
|
|
21,640 |
|
|
$ |
32,199,644 |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0.625% |
|
|
05/15/30 |
|
|
|
|
|
|
|
150 |
|
|
|
149,531 |
|
| 2.375% |
|
|
08/15/24 |
|
|
|
|
|
|
|
6,980 |
|
|
|
7,591,295 |
|
| U.S. Treasury Strips Coupon |
|
| 0.807%(s) |
|
|
11/15/29 |
|
|
|
|
|
|
|
15 |
|
|
|
13,951 |
|
| 1.225%(s) |
|
|
02/15/41 |
|
|
|
|
|
|
|
130 |
|
|
|
98,120 |
|
| 1.351%(s) |
|
|
08/15/43 |
|
|
|
|
|
|
|
205 |
|
|
|
144,893 |
|
| 1.374%(s) |
|
|
05/15/42 |
|
|
|
|
|
|
|
380 |
|
|
|
277,548 |
|
| 1.450%(s) |
|
|
08/15/42 |
|
|
|
|
|
|
|
60 |
|
|
|
43,587 |
|
| 1.463%(s) |
|
|
11/15/42 |
|
|
|
|
|
|
|
155 |
|
|
|
111,800 |
|
| 1.488%(s) |
|
|
11/15/41 |
|
|
|
|
|
|
|
730 |
|
|
|
539,630 |
|
| 1.982%(s) |
|
|
08/15/39 |
|
|
|
|
|
|
|
2,120 |
|
|
|
1,651,778 |
|
| 1.990%(s) |
|
|
02/15/39 |
|
|
|
|
|
|
|
2,900 |
|
|
|
2,280,918 |
|
| 2.010%(s) |
|
|
08/15/30 |
|
|
|
|
|
|
|
1,060 |
|
|
|
974,165 |
|
| 2.022%(s) |
|
|
02/15/37 |
|
|
|
|
|
|
|
240 |
|
|
|
197,194 |
|
| 2.056%(s) |
|
|
11/15/38 |
|
|
|
|
|
|
|
345 |
|
|
|
273,062 |
|
| 2.169%(s) |
|
|
05/15/39 |
|
|
|
|
|
|
|
990 |
|
|
|
775,990 |
|
| 2.172%(s) |
|
|
02/15/28 |
(k) |
|
|
|
|
|
|
550 |
|
|
|
523,897 |
|
| 2.334%(s) |
|
|
08/15/41 |
(a) |
|
|
|
|
|
|
3,115 |
|
|
|
2,319,093 |
|
| 2.353%(s) |
|
|
02/15/44 |
|
|
|
|
|
|
|
780 |
|
|
|
544,598 |
|
| 2.365%(s) |
|
|
05/15/44 |
|
|
|
|
|
|
|
2,860 |
|
|
|
1,982,338 |
|
| 2.370%(s) |
|
|
05/15/29 |
|
|
|
|
|
|
|
565 |
|
|
|
530,107 |
|
| 2.380%(s) |
|
|
05/15/41 |
|
|
|
|
|
|
|
1,855 |
|
|
|
1,389,221 |
|
| 2.434%(s) |
|
|
11/15/45 |
|
|
|
|
|
|
|
345 |
|
|
|
232,767 |
|
| 2.436%(s) |
|
|
02/15/46 |
|
|
|
|
|
|
|
390 |
|
|
|
261,498 |
|
| 2.506%(s) |
|
|
11/15/43 |
(a) |
|
|
|
|
|
|
4,315 |
|
|
|
3,031,456 |
|
| 2.741%(s) |
|
|
08/15/27 |
|
|
|
|
|
|
|
2,575 |
|
|
|
2,464,858 |
|
| 2.763%(s) |
|
|
08/15/29 |
|
|
|
|
|
|
|
500 |
|
|
|
467,402 |
|
| 2.856%(s) |
|
|
05/15/31 |
|
|
|
|
|
|
|
500 |
|
|
|
454,473 |
|
| 3.018%(s) |
|
|
11/15/35 |
|
|
|
|
|
|
|
695 |
|
|
|
586,189 |
|
| 3.176%(s) |
|
|
08/15/40 |
|
|
|
|
|
|
|
800 |
|
|
|
608,625 |
|
| 4.096%(s) |
|
|
02/15/42 |
(k) |
|
|
|
|
|
|
3,725 |
|
|
|
2,732,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. TREASURY OBLIGATIONS
(cost $70,317,170) |
|
|
|
80,349,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $231,152,753) |
|
|
|
251,239,016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
| SHORT-TERM INVESTMENTS — 18.7% |
|
| AFFILIATED MUTUAL FUNDS — 18.5% |
|
| PGIM Core Ultra Short Bond Fund(w) |
|
|
|
|
|
|
|
8,408,183 |
|
|
|
8,408,183 |
|
| PGIM Institutional Money Market Fund (cost $37,762,502; includes $37,748,707 of cash collateral
for securities on loan)(b)(w) |
|
|
|
|
|
|
|
37,777,617 |
|
|
|
37,777,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL AFFILIATED MUTUAL FUNDS (cost $46,170,685) |
|
|
|
46,185,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPTIONS PURCHASED*~ — 0.2% |
|
| (cost $61,600) |
|
|
|
429,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS (cost $46,232,285) |
|
|
|
46,615,133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—119.7% |
|
|
|
|
|
| (cost $277,385,038) |
|
|
|
297,854,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A119
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
Value |
|
|
| OPTION WRITTEN*~ — (0.0)% |
|
| (premiums received $33,206) |
|
|
$ |
(11,250 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—119.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (cost $277,351,832) |
|
|
|
297,842,899 |
|
| Liabilities in excess of other assets(z) — (19.7)% |
|
|
|
(49,028,655 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
248,814,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending
settlement, is $36,772,386; cash collateral of $37,748,707 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the
last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.
|
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
|
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.
|
| (r) |
Principal or notional amount is less than $500 par. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.
|
| (tt) |
All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll
principal amount of 4,500,000 is 1.8% of net assets. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the
Schedule of Investments: |
Options Purchased:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Expiration
Date |
|
|
Strike |
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 10 Year U.S. Treasury Notes Futures |
|
|
Call |
|
|
|
07/24/20 |
|
|
$140.00 |
|
|
120 |
|
|
|
120 |
|
|
$ |
24,375 |
|
| 10 Year U.S. Treasury Notes Futures |
|
|
Call |
|
|
|
07/24/20 |
|
|
$143.00 |
|
|
240 |
|
|
|
240 |
|
|
|
7,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Exchange Traded (cost $54,591) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
31,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Counterparty |
|
Expiration
Date |
|
Strike |
|
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
07/12/21 |
|
|
0.11 |
% |
|
|
— |
|
|
|
1,227 |
|
|
$ |
27,382 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
07/13/21 |
|
|
0.11 |
% |
|
|
— |
|
|
|
1,193 |
|
|
|
26,563 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
08/16/21 |
|
|
0.15 |
% |
|
|
— |
|
|
|
2,982 |
|
|
|
63,004 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
08/20/21 |
|
|
0.15 |
% |
|
|
— |
|
|
|
5,920 |
|
|
|
125,332 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Bank of America, N.A. |
|
09/13/21 |
|
|
0.14 |
% |
|
|
— |
|
|
|
6,000 |
|
|
|
131,395 |
|
| 2-Year 10 CMS Curve CAP |
|
|
Call |
|
|
Barclays Bank PLC |
|
11/09/21 |
|
|
0.21 |
% |
|
|
— |
|
|
|
1,193 |
|
|
|
23,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total OTC Traded (cost $7,009) |
|
|
$ |
397,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Options Purchased (cost $61,600) |
|
|
$ |
429,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Call/
Put |
|
|
Expiration
Date |
|
|
Strike |
|
Contracts |
|
|
Notional
Amount
(000)# |
|
|
Value |
|
| 10 Year U.S. Treasury Notes Futures |
|
|
Call |
|
|
|
07/24/20 |
|
|
$142.00 |
|
|
360 |
|
|
|
360 |
|
|
$ |
(11,250 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (premiums received $33,206) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A120
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts |
|
Type |
|
|
Expiration
Date |
|
|
Current
Notional
Amount |
|
|
Value/
Unrealized
Appreciation
(Depreciation) |
|
| Long Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 275 |
|
|
5 Year U.S. Treasury Notes |
|
|
|
Sep. 2020 |
|
|
$ |
34,579,102 |
|
|
$ |
69,012 |
|
| 8 |
|
|
10 Year U.S. Ultra Treasury Notes |
|
|
|
Sep. 2020 |
|
|
|
1,259,875 |
|
|
|
5,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Positions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 13 |
|
|
2 Year U.S. Treasury Notes |
|
|
|
Sep. 2020 |
|
|
|
2,870,766 |
|
|
|
(698 |
) |
| 119 |
|
|
10 Year U.S. Treasury Notes |
|
|
|
Sep. 2020 |
|
|
|
16,561,454 |
|
|
|
(57,959 |
) |
| 302 |
|
|
20 Year U.S. Treasury Bonds |
|
|
|
Sep. 2020 |
|
|
|
53,925,875 |
|
|
|
(238,925 |
) |
| 23 |
|
|
30 Year U.S. Ultra Treasury Bonds |
|
|
|
Sep. 2020 |
|
|
|
5,017,594 |
|
|
|
(61,334 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(358,916 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(284,157 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swap agreements outstanding at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
(000)# |
|
|
Termination
Date |
|
|
Fixed
Rate |
|
|
Floating Rate |
|
Value at
Trade Date |
|
|
Value at
June 30,
2020 |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
Centrally Cleared Interest Rate Swap Agreements: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
12,354 |
|
|
|
06/15/21 |
|
|
|
1.830%(S) |
|
|
3 Month LIBOR(2)(Q) |
|
$ |
— |
|
|
$ |
193,123 |
|
|
$ |
193,123 |
|
| |
20,373 |
|
|
|
09/15/21 |
|
|
|
1.381%(S) |
|
|
3 Month LIBOR(2)(Q) |
|
|
(26,376 |
) |
|
|
358,290 |
|
|
|
384,666 |
|
| |
13,720 |
|
|
|
09/15/21 |
|
|
|
1.480%(S) |
|
|
3 Month LIBOR(2)(Q) |
|
|
8,070 |
|
|
|
261,624 |
|
|
|
253,554 |
|
| |
23,760 |
|
|
|
09/15/21 |
|
|
|
1.604%(S) |
|
|
3 Month LIBOR(2)(Q) |
|
|
26,781 |
|
|
|
497,406 |
|
|
|
470,625 |
|
| |
1,350 |
|
|
|
08/09/49 |
|
|
|
1.508%(A) |
|
|
1 Day USOIS(1)(A) |
|
|
(107,931 |
) |
|
|
(306,196 |
) |
|
|
(198,265 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(99,456 |
) |
|
$ |
1,004,247 |
|
|
$ |
1,103,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives
are listed by broker as follows:
|
|
|
|
|
|
|
|
|
| Broker |
|
Cash and/or
Foreign Currency |
|
|
Securities
Market Value |
|
| Citigroup Global Markets, Inc. |
|
$ |
— |
|
|
$ |
2,826,632 |
|
|
|
|
|
|
|
|
|
|
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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Collateralized Loan Obligations |
|
$ |
— |
|
|
$ |
25,956,476 |
|
|
$ |
— |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
47,249,850 |
|
|
|
— |
|
| Corporate Bonds |
|
|
— |
|
|
|
3,004,982 |
|
|
|
— |
|
| Residential Mortgage-Backed Securities |
|
|
— |
|
|
|
576,908 |
|
|
|
— |
|
| U.S. Government Agency Obligations |
|
|
— |
|
|
|
94,101,036 |
|
|
|
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A121
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations |
|
$ |
— |
|
|
$ |
80,349,764 |
|
|
$ |
— |
|
| Affiliated Mutual Funds |
|
|
46,185,800 |
|
|
|
— |
|
|
|
— |
|
| Options Purchased |
|
|
31,875 |
|
|
|
397,458 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
46,217,675 |
|
|
$ |
251,636,474 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Option Written |
|
$ |
(11,250 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
74,759 |
|
|
$ |
— |
|
|
$ |
— |
|
| Centrally Cleared Interest Rate Swap Agreements |
|
|
— |
|
|
|
1,301,968 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
74,759 |
|
|
$ |
1,301,968 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(358,916 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Centrally Cleared Interest Rate Swap Agreement |
|
|
— |
|
|
|
(198,265 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
(358,916 |
) |
|
$ |
(198,265 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures,
forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and
liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
|
|
|
|
|
| U.S. Government Agency Obligations |
|
|
37.8 |
% |
| U.S. Treasury Obligations |
|
|
32.3 |
|
| Commercial Mortgage-Backed Securities |
|
|
19.0 |
|
| Affiliated Mutual Funds (15.2% represents investments purchased with collateral from securities on
loan) |
|
|
18.5 |
|
| Collateralized Loan Obligations |
|
|
10.5 |
|
| Diversified Financial Services |
|
|
1.2 |
|
| Residential Mortgage-Backed Securities |
|
|
0.2 |
|
|
|
|
|
|
| Options Purchased |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
119.7 |
|
| Option Written |
|
|
(0.0 |
)* |
| Liabilities in excess of other assets |
|
|
(19.7 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Effects of Derivative Instruments on the
Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of
risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the
Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
|
Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Statement of
Assets and
Liabilities Location |
|
Fair Value |
|
|
Statement of
Assets and
Liabilities Location |
|
Fair Value |
|
| Interest rate contracts |
|
Due from/to broker-variation margin futures |
|
$ |
74,759 |
* |
|
Due from/to broker-variation margin futures |
|
$ |
358,916 |
* |
| Interest rate contracts |
|
Due from/to broker-variation margin swaps |
|
|
1,301,968 |
* |
|
Due from/to broker-variation margin swaps |
|
|
198,265 |
|
| Interest rate contracts |
|
Unaffiliated investments |
|
|
429,333 |
|
|
Options written outstanding, at value |
|
|
11,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,806,060 |
|
|
|
|
$ |
568,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap
contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A122
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amount of Realized Gain (Loss) on Derivatives Recognized in
Income |
|
| Derivatives not accounted for as hedging
instruments, carried at fair
value |
|
Options
Purchased(1) |
|
|
Options
Written |
|
|
Futures |
|
|
Swaps |
|
| Interest rate contracts |
|
$ |
(67,112 |
) |
|
$ |
24,607 |
|
|
$ |
(2,614,470 |
) |
|
$ |
(6,797,136 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (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 |
|
| Interest rate contracts |
|
$ |
186,877 |
|
|
$ |
21,956 |
|
|
$ |
(938,576 |
) |
|
$ |
3,943,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
|
|
|
|
|
|
|
| Options
Purchased(1) |
|
Options
Written(2) |
|
Futures
Contracts—
Long
Positions(2) |
|
Futures
Contracts—
Short
Positions(2) |
| $47,577 |
|
$165,333 |
|
$66,748,791 |
|
$96,250,508 |
|
|
Interest Rate
Swap
Agreements(2) |
| $107,020,933 |
| (2) |
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 Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net
Amount |
|
| Securities on Loan |
|
$ |
36,772,386 |
|
|
$ |
(36,772,386 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Gross Amounts of
Recognized
Assets(1) |
|
|
Gross Amounts of
Recognized
Liabilities(1) |
|
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net Amount |
|
| Bank of America, N.A. |
|
$ |
319,731 |
|
|
$ |
— |
|
|
$ |
319,731 |
|
|
$ |
(270,000 |
) |
|
$ |
49,731 |
|
| Barclays Bank PLC |
|
|
77,727 |
|
|
|
— |
|
|
|
77,727 |
|
|
|
— |
|
|
|
77,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
397,458 |
|
|
$ |
— |
|
|
$ |
397,458 |
|
|
$ |
(270,000 |
) |
|
$ |
127,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A123
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and
market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the
Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A124
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $36,772,386: |
|
|
|
|
| Unaffiliated investments (cost $231,214,353) |
|
$ |
251,668,349 |
|
| Affiliated investments (cost $46,170,685) |
|
|
46,185,800 |
|
| Cash |
|
|
9,067 |
|
| Receivable for investments sold |
|
|
4,730,589 |
|
| Interest receivable |
|
|
855,328 |
|
| Due from broker-variation margin futures |
|
|
173,003 |
|
| Due from broker-variation margin swaps |
|
|
20,490 |
|
| Receivable for Portfolio shares sold |
|
|
12,948 |
|
| Prepaid expenses and other assets |
|
|
8,784 |
|
|
|
|
|
|
| Total Assets |
|
|
303,664,358 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable to broker for collateral for securities on loan |
|
|
37,748,707 |
|
| Payable for investments purchased |
|
|
16,850,993 |
|
| Accrued expenses and other liabilities |
|
|
114,933 |
|
| Management fee payable |
|
|
81,426 |
|
| Payable for Portfolio shares repurchased |
|
|
41,879 |
|
| Options written outstanding, at value (proceeds received $33,206) |
|
|
11,250 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
54,850,114 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
248,814,244 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
248,814,244 |
|
|
|
|
|
|
| Net asset value and redemption price per share, $248,814,244 / 17,283,159 outstanding shares of
beneficial interest |
|
$ |
14.40 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Interest income |
|
$ |
2,862,698 |
|
| Affiliated dividend income |
|
|
55,910 |
|
| Affiliated income from securities lending, net |
|
|
14,534 |
|
|
|
|
|
|
| Total income |
|
|
2,933,142 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
486,141 |
|
| Shareholders’ reports |
|
|
47,918 |
|
| Custodian and accounting fees |
|
|
46,440 |
|
| Audit fee |
|
|
17,783 |
|
| Legal fees and expenses. |
|
|
6,156 |
|
| Trustees’ fees |
|
|
6,107 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
7,956 |
|
|
|
|
|
|
| Total expenses |
|
|
623,813 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
2,309,329 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $147,150) |
|
|
1,650,093 |
|
| Futures transactions |
|
|
(2,614,470 |
) |
| Options written transactions |
|
|
24,607 |
|
| Swap agreements transactions |
|
|
(6,797,136 |
) |
|
|
|
|
|
|
|
|
(7,736,906 |
) |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $(163,837)) |
|
|
17,231,301 |
|
| Futures |
|
|
(938,576 |
) |
| Options written |
|
|
21,956 |
|
| Swap agreements |
|
|
3,943,213 |
|
|
|
|
|
|
|
|
|
20,257,894 |
|
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS |
|
|
12,520,988 |
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
14,830,317 |
|
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended
December 31, 2019 |
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
2,309,329 |
|
|
$ |
5,492,268 |
|
| Net realized gain (loss) on investment transactions |
|
|
(7,736,906 |
) |
|
|
8,921,459 |
|
| Net change in unrealized appreciation (depreciation) on investments |
|
|
20,257,894 |
|
|
|
719,183 |
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
14,830,317 |
|
|
|
15,132,910 |
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
| Portfolio shares sold [612,569 and 2,289,238 shares, respectively] |
|
|
8,661,546 |
|
|
|
29,826,157 |
|
| Portfolio shares repurchased [946,424 and 2,084,878 shares, respectively] |
|
|
(13,270,864 |
) |
|
|
(27,448,072 |
) |
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
(4,609,318 |
) |
|
|
2,378,085 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
10,220,999 |
|
|
|
17,510,995 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
238,593,245 |
|
|
|
221,082,250 |
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
248,814,244 |
|
|
$ |
238,593,245 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A125
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT MONEY MARKET PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| REPURCHASE AGREEMENT(m) — 0.4% |
|
| Bank of America Securities, Inc., 0.09%, dated 06/30/20, due 07/01/20 in the amount of $3,056,008
(amortized cost $3,056,000) |
|
|
|
3,056 |
|
|
$ |
3,056,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 59.1% |
|
| Federal Farm Credit Bank, 1 Month LIBOR + (0.015)% (Cap N/A, Floor 0.000%) |
|
| 0.156%(c) |
|
|
09/01/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,001,560 |
|
| Federal Farm Credit Bank, 1 Month LIBOR + (0.050)% (Cap N/A, Floor 0.000%) |
|
| 0.140%(c) |
|
|
07/21/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
7,000,016 |
|
| Federal Farm Credit Bank, 1 Month LIBOR + (0.055)% (Cap N/A, Floor 0.000%) |
|
| 0.123%(c) |
|
|
02/03/21 |
|
|
|
|
|
|
|
7,000 |
|
|
|
7,000,000 |
|
| Federal Farm Credit Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
|
| 0.180%(c) |
|
|
07/09/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,999,995 |
|
| 0.185%(c) |
|
|
09/25/20 |
|
|
|
|
|
|
|
4,500 |
|
|
|
4,499,825 |
|
| Federal Farm Credit Bank, 1 Month LIBOR + 0.010% (Cap N/A, Floor 0.000%) |
|
| 0.201%(c) |
|
|
08/12/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,999,965 |
|
| Federal Farm Credit Bank, 1 Month LIBOR + 0.110% (Cap N/A, Floor 0.000%) |
|
| 0.295%(c) |
|
|
03/25/21 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,999,424 |
|
| Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor
0.000%) |
|
| 0.120%(c) |
|
|
02/09/21 |
|
|
|
|
|
|
|
8,000 |
|
|
|
8,000,000 |
|
| Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor
0.000%) |
|
| 0.160%(c) |
|
|
01/14/21 |
|
|
|
|
|
|
|
1,500 |
|
|
|
1,500,000 |
|
| Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.105% (Cap N/A, Floor
0.000%) |
|
| 0.185%(c) |
|
|
01/15/21 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,000,000 |
|
| Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.110% (Cap N/A, Floor
0.000%) |
|
| 0.190%(c) |
|
|
05/18/21 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,000,000 |
|
| Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030% (Cap N/A, Floor
0.000%) |
|
| 0.110%(c) |
|
|
07/28/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,000,000 |
|
| Federal Home Loan Bank |
|
| 0.110%(n) |
|
|
07/31/20 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,999,817 |
|
| 0.120%(n) |
|
|
08/26/20 |
|
|
|
|
|
|
|
2,000 |
|
|
|
1,999,627 |
|
| 0.121%(n) |
|
|
08/21/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,998,971 |
|
| 0.145% |
|
|
09/22/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,000,000 |
|
| 0.147%(n) |
|
|
09/25/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,997,191 |
|
| 0.150%(n) |
|
|
09/23/20 |
|
|
|
|
|
|
|
10,000 |
|
|
|
9,996,500 |
|
| 0.160%(n) |
|
|
08/24/20 |
|
|
|
|
|
|
|
1,100 |
|
|
|
1,099,736 |
|
| 0.165%(n) |
|
|
09/02/20 |
|
|
|
|
|
|
|
3,800 |
|
|
|
3,798,903 |
|
| 0.165%(n) |
|
|
09/11/20 |
|
|
|
|
|
|
|
4,775 |
|
|
|
4,773,424 |
|
| 0.240%(n) |
|
|
08/04/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,998,413 |
|
| 0.260%(n) |
|
|
07/15/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,999,292 |
|
| 0.270%(n) |
|
|
09/18/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,995,852 |
|
| 0.303%(n) |
|
|
09/01/20 |
|
|
|
|
|
|
|
17,000 |
|
|
|
16,991,148 |
|
| 0.308%(n) |
|
|
07/10/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,999,385 |
|
| 1.750% |
|
|
08/26/20 |
|
|
|
|
|
|
|
5,500 |
|
|
|
5,499,987 |
|
| Federal Home Loan Bank, 1 Month LIBOR + (0.010)% (Cap N/A, Floor 0.000%) |
|
| 0.164%(c) |
|
|
04/05/21 |
|
|
|
|
|
|
|
8,000 |
|
|
|
8,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 0.174%(c) |
|
|
08/28/20 |
|
|
|
|
|
|
|
12,000 |
|
|
$ |
12,000,497 |
|
| Federal Home Loan Bank, 1 Month LIBOR + (0.030)% (Cap N/A, Floor 0.000%) |
|
| 0.161%(c) |
|
|
08/12/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,999,495 |
|
| Federal Home Loan Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
|
| 0.177%(c) |
|
|
05/10/21 |
|
|
|
|
|
|
|
8,000 |
|
|
|
8,000,000 |
|
| Federal Home Loan Bank, 3 Month LIBOR + (0.120)% (Cap N/A, Floor 0.000%) |
|
| 0.436%(c) |
|
|
11/03/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,000,289 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor
0.000%) |
|
| 0.110%(c) |
|
|
07/17/20 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,000,000 |
|
| 0.110%(c) |
|
|
09/04/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
7,000,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor
0.000%) |
|
| 0.120%(c) |
|
|
08/25/20 |
|
|
|
|
|
|
|
4,500 |
|
|
|
4,500,063 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor
0.000%) |
|
| 0.125%(c) |
|
|
08/14/20 |
|
|
|
|
|
|
|
9,000 |
|
|
|
9,000,000 |
|
| 0.125%(c) |
|
|
09/28/20 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,000,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050% (Cap N/A, Floor
0.000%) |
|
| 0.130%(c) |
|
|
01/22/21 |
|
|
|
|
|
|
|
13,000 |
|
|
|
12,999,036 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor
0.000%) |
|
| 0.155%(c) |
|
|
06/11/21 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,990,281 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor
0.000%) |
|
| 0.160%(c) |
|
|
03/04/21 |
|
|
|
|
|
|
|
15,000 |
|
|
|
15,000,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.085% (Cap N/A, Floor
0.000%) |
|
| 0.165%(c) |
|
|
09/11/20 |
|
|
|
|
|
|
|
13,000 |
|
|
|
13,000,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.090% (Cap N/A, Floor
0.000%) |
|
| 0.170%(c) |
|
|
11/20/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,000,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.100% (Cap N/A, Floor
0.000%) |
|
| 0.180%(c) |
|
|
09/15/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
7,000,000 |
|
| 0.180%(c) |
|
|
12/24/20 |
|
|
|
|
|
|
|
7,500 |
|
|
|
7,500,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor
0.000%) |
|
| 0.200%(c) |
|
|
10/07/20 |
|
|
|
|
|
|
|
2,500 |
|
|
|
2,500,000 |
|
| 0.200%(c) |
|
|
12/11/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,000,000 |
|
| Federal Home Loan Bank, Secured Overnight Financing Rate + 0.160% (Cap N/A, Floor
0.000%) |
|
| 0.240%(c) |
|
|
05/07/21 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,002,156 |
|
| Federal Home Loan Mortgage Corp. |
|
| 0.120%(n) |
|
|
08/19/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,998,857 |
|
| Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.020% (Cap N/A,
Floor 0.000%) |
|
| 0.100%(c) |
|
|
07/10/20 |
|
|
|
|
|
|
|
13,000 |
|
|
|
12,999,886 |
|
| Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.025% (Cap N/A,
Floor 0.000%) |
|
| 0.105%(c) |
|
|
02/26/21 |
|
|
|
|
|
|
|
7,000 |
|
|
|
7,000,000 |
|
| Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.030% (Cap N/A,
Floor 0.000%) |
|
| 0.110%(c) |
|
|
01/22/21 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,997,453 |
|
| 0.110%(c) |
|
|
02/05/21 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,997,826 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A126
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
| 0.110%(c) |
|
|
02/19/21 |
|
|
|
|
|
|
|
5,000 |
|
|
$ |
4,999,030 |
|
| 0.110%(c) |
|
|
02/24/21 |
|
|
|
|
|
|
|
7,000 |
|
|
|
7,000,000 |
|
| Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.040% (Cap N/A,
Floor 0.000%) |
|
| 0.120%(c) |
|
|
09/10/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,000,000 |
|
| Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.045% (Cap N/A,
Floor 0.000%) |
|
| 0.125%(c) |
|
|
08/27/21 |
|
|
|
|
|
|
|
3,000 |
|
|
|
3,000,000 |
|
| Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.400% (Cap N/A,
Floor 0.000%) |
|
| 0.480%(c) |
|
|
10/21/21 |
|
|
|
|
|
|
|
5,000 |
|
|
|
5,000,000 |
|
| Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060% (Cap N/A, Floor
0.000%) |
|
| 0.140%(c) |
|
|
07/30/20 |
|
|
|
|
|
|
|
2,000 |
|
|
|
2,000,000 |
|
| Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.070% (Cap N/A, Floor
0.000%) |
|
| 0.150%(c) |
|
|
12/11/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,995,258 |
|
| Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor
0.000%) |
|
| 0.155%(c) |
|
|
10/30/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,999,799 |
|
| Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor
0.000%) |
|
| 0.200%(c) |
|
|
03/16/21 |
|
|
|
|
|
|
|
6,000 |
|
|
|
6,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(amortized cost $395,628,957) |
|
|
|
395,628,957 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. TREASURY OBLIGATIONS(n) — 41.5% |
|
| U.S. Cash Management Bill |
|
| 0.131% |
|
|
09/08/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,998,494 |
|
| 0.165% |
|
|
12/01/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,994,390 |
|
| 0.170% |
|
|
11/03/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,996,458 |
|
| 0.180% |
|
|
11/10/20 |
|
|
|
|
|
|
|
6,500 |
|
|
|
6,495,710 |
|
| 0.190% |
|
|
11/17/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,996,332 |
|
| 0.245% |
|
|
09/15/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,996,379 |
|
| U.S. Treasury Bills |
|
| 0.053% |
|
|
10/01/20 |
|
|
|
|
|
|
|
17,000 |
|
|
|
16,994,667 |
|
| 0.078% |
|
|
07/02/20 |
|
|
|
|
|
|
|
12,000 |
|
|
|
11,999,974 |
|
| 0.104% |
|
|
07/21/20 |
|
|
|
|
|
|
|
12,000 |
|
|
|
11,999,306 |
|
| 0.108% |
|
|
07/14/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,999,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
Value |
|
|
| U.S. TREASURY OBLIGATIONS(n) (continued) |
|
| 0.114% |
|
|
07/07/20 |
|
|
|
|
|
|
|
21,500 |
|
|
$ |
21,499,590 |
|
| 0.117% |
|
|
08/06/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,999,181 |
|
| 0.118% |
|
|
08/04/20 |
|
|
|
|
|
|
|
15,000 |
|
|
|
14,998,331 |
|
| 0.120% |
|
|
07/09/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,999,840 |
|
| 0.123% |
|
|
08/13/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,998,825 |
|
| 0.130% |
|
|
08/25/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,998,411 |
|
| 0.132% |
|
|
08/27/20 |
|
|
|
|
|
|
|
18,000 |
|
|
|
17,996,228 |
|
| 0.137% |
|
|
07/28/20 |
|
|
|
|
|
|
|
12,000 |
|
|
|
11,998,768 |
|
| 0.148% |
|
|
09/03/20 |
|
|
|
|
|
|
|
24,000 |
|
|
|
23,993,698 |
|
| 0.155% |
|
|
11/12/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,997,115 |
|
| 0.156% |
|
|
07/23/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,999,237 |
|
| 0.159% |
|
|
09/24/20 |
|
|
|
|
|
|
|
21,000 |
|
|
|
20,992,122 |
|
| 0.160% |
|
|
08/11/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,999,089 |
|
| 0.160% |
|
|
09/10/20 |
|
|
|
|
|
|
|
8,000 |
|
|
|
7,997,476 |
|
| 0.175% |
|
|
10/22/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,996,155 |
|
| 0.178% |
|
|
09/17/20 |
|
|
|
|
|
|
|
6,000 |
|
|
|
5,997,686 |
|
| 0.220% |
|
|
10/08/20 |
|
|
|
|
|
|
|
5,000 |
|
|
|
4,996,975 |
|
| 0.305% |
|
|
07/16/20 |
|
|
|
|
|
|
|
7,000 |
|
|
|
6,999,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL U.S. TREASURY OBLIGATIONS
(amortized cost $277,929,274) |
|
|
|
277,929,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS — 101.0%
(amortized cost $676,614,231) |
|
|
|
676,614,231 |
|
| Liabilities in excess of other assets — (1.0)% |
|
|
|
(6,867,926 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
669,746,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| # |
Principal amount is shown in U.S. dollars unless otherwise stated. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020.
|
| (m) |
The Repurchase Agreement is collateralized by FHLB (coupon rate 3.150%, maturity date 07/17/34), with the value, including
accrued interest, of $3,121,440. |
| (n) |
Rate shown reflects yield to maturity at purchased date.
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates
and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
|
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Repurchase Agreement |
|
$ |
— |
|
|
$ |
3,056,000 |
|
|
$ |
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A127
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government Agency Obligations |
|
$ |
— |
|
|
$ |
395,628,957 |
|
|
$ |
— |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
277,929,274 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
— |
|
|
$ |
676,614,231 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2020 were as follows:
|
|
|
|
|
| U.S. Government Agency Obligations |
|
|
59.1 |
% |
| U.S. Treasury Obligations |
|
|
41.5 |
|
| Repurchase Agreement |
|
|
0.4 |
|
|
|
|
|
|
|
|
|
101.0 |
|
| Liabilities in excess of other assets |
|
|
(1.0 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Financial Instruments/Transactions—Summary
of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in
accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions
where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction
assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
|
Gross Market Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(1) |
|
|
Net
Amount |
|
| Repurchase Agreement |
|
|
Bank of America Securities, Inc. |
|
|
$ |
3,056,000 |
|
|
$ |
(3,056,000 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.
|
SEE NOTES TO FINANCIAL STATEMENTS.
A128
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
|
|
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments, at amortized cost which approximates fair value: |
|
$ |
676,614,231 |
|
| Cash |
|
|
476 |
|
| Receivable for Portfolio shares sold |
|
|
1,628,262 |
|
| Interest receivable |
|
|
79,224 |
|
| Prepaid expenses |
|
|
587 |
|
|
|
|
|
|
| Total Assets |
|
|
678,322,780 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable for investments purchased |
|
|
7,996,967 |
|
| Payable for Portfolio shares repurchased |
|
|
411,398 |
|
| Accrued expenses and other liabilities |
|
|
86,103 |
|
| Management fee payable |
|
|
81,081 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
8,576,475 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
669,746,305 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
669,746,305 |
|
|
|
|
|
|
| Class I: |
|
|
|
|
| Net asset value and redemption price per share, $656,509,855 / 65,648,226 outstanding shares of
beneficial interest |
|
$ |
10.00 |
|
|
|
|
|
|
| Class III: |
|
|
|
|
| Net asset value and redemption price per share, $13,236,450 / 1,323,645 outstanding shares of beneficial
interest |
|
$ |
10.00 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| Interest income |
|
$ |
2,685,423 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
923,601 |
|
| Distribution fee—Class III |
|
|
1,296 |
|
| Shareholders’ reports |
|
|
52,160 |
|
| Custodian and accounting fees |
|
|
40,707 |
|
| Audit fee |
|
|
12,478 |
|
| Trustees’ fees |
|
|
8,057 |
|
| Legal fees and expenses |
|
|
6,473 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,886) |
|
|
5,311 |
|
| Miscellaneous |
|
|
7,749 |
|
|
|
|
|
|
| Total expenses |
|
|
1,057,832 |
|
| Less: Fee waivers and/or expense reimbursement |
|
|
(135,849 |
) |
| Less: Distribution fee waiver |
|
|
(1,296 |
) |
|
|
|
|
|
| Net expenses |
|
|
920,687 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
1,764,736 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on investment transactions |
|
|
25,701 |
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
1,790,437 |
|
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended
December 31, 2019 |
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
1,764,736 |
|
|
$ |
10,597,982 |
|
| Net realized gain (loss) on investment transactions |
|
|
25,701 |
|
|
|
59,675 |
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
1,790,437 |
|
|
|
10,657,657 |
|
|
|
|
|
|
|
|
|
|
| DISTRIBUTIONS |
|
|
|
|
|
|
|
|
| Class I |
|
|
(1,790,426 |
) |
|
|
(10,650,252 |
) |
| Class III |
|
|
(11 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,790,437 |
) |
|
|
(10,650,252 |
) |
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
323,417,774 |
|
|
|
518,391,129 |
|
| Portfolio shares issued in reinvestment of distributions |
|
|
1,790,437 |
|
|
|
10,650,252 |
|
| Portfolio shares repurchased |
|
|
(255,013,672 |
) |
|
|
(465,881,208 |
) |
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
70,194,539 |
|
|
|
63,160,173 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
70,194,539 |
|
|
|
63,167,578 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
599,551,766 |
|
|
|
536,384,188 |
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
669,746,305 |
|
|
$ |
599,551,766 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A129
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| LONG-TERM INVESTMENTS — 97.9% |
|
|
| COMMON STOCKS — 97.5% |
|
| Aerospace & Defense — 1.7% |
|
|
|
|
|
|
|
|
| Boeing Co. (The) |
|
|
93,536 |
|
|
$ |
17,145,149 |
|
| General Dynamics Corp. |
|
|
41,300 |
|
|
|
6,172,698 |
|
| Howmet Aerospace, Inc. |
|
|
69,992 |
|
|
|
1,109,373 |
|
| Huntington Ingalls Industries, Inc. |
|
|
7,400 |
|
|
|
1,291,226 |
|
| L3Harris Technologies, Inc. |
|
|
38,980 |
|
|
|
6,613,737 |
|
| Lockheed Martin Corp. |
|
|
43,758 |
|
|
|
15,968,169 |
|
| Northrop Grumman Corp. |
|
|
27,726 |
|
|
|
8,524,081 |
|
| Raytheon Technologies Corp. |
|
|
258,148 |
|
|
|
15,907,080 |
|
| Teledyne Technologies, Inc.* |
|
|
5,500 |
|
|
|
1,710,225 |
|
| Textron, Inc. |
|
|
41,450 |
|
|
|
1,364,120 |
|
| TransDigm Group, Inc.(a) |
|
|
8,800 |
|
|
|
3,890,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,695,898 |
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics — 0.5% |
|
|
|
|
|
|
|
|
| C.H. Robinson Worldwide, Inc.(a) |
|
|
24,100 |
|
|
|
1,905,346 |
|
| Expeditors International of Washington, Inc. |
|
|
30,100 |
|
|
|
2,288,804 |
|
| FedEx Corp. |
|
|
42,640 |
|
|
|
5,978,981 |
|
| United Parcel Service, Inc. (Class B Stock) |
|
|
123,600 |
|
|
|
13,741,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,914,979 |
|
|
|
|
|
|
|
|
|
|
| Airlines — 0.2% |
|
|
|
|
|
|
|
|
| Alaska Air Group, Inc. |
|
|
22,000 |
|
|
|
797,720 |
|
| American Airlines Group, Inc.(a) |
|
|
70,100 |
|
|
|
916,207 |
|
| Delta Air Lines, Inc.(a) |
|
|
101,200 |
|
|
|
2,838,660 |
|
| Southwest Airlines Co. |
|
|
89,737 |
|
|
|
3,067,211 |
|
| United Airlines Holdings, Inc.*(a) |
|
|
43,900 |
|
|
|
1,519,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,139,177 |
|
|
|
|
|
|
|
|
|
|
| Auto Components — 0.1% |
|
|
|
|
|
|
|
|
| Aptiv PLC. |
|
|
44,900 |
|
|
|
3,498,608 |
|
| BorgWarner, Inc.(a) |
|
|
37,000 |
|
|
|
1,306,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,804,708 |
|
|
|
|
|
|
|
|
|
|
| Automobiles — 0.2% |
|
|
|
|
|
|
|
|
| Ford Motor Co.(a) |
|
|
682,959 |
|
|
|
4,152,391 |
|
| General Motors Co. |
|
|
221,200 |
|
|
|
5,596,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,748,751 |
|
|
|
|
|
|
|
|
|
|
| Banks — 3.6% |
|
|
|
|
|
|
|
|
| Bank of America Corp. |
|
|
1,382,882 |
|
|
|
32,843,447 |
|
| Citigroup, Inc. |
|
|
368,722 |
|
|
|
18,841,694 |
|
| Citizens Financial Group, Inc. |
|
|
77,400 |
|
|
|
1,953,576 |
|
| Comerica, Inc. |
|
|
25,850 |
|
|
|
984,885 |
|
| Fifth Third Bancorp |
|
|
125,849 |
|
|
|
2,426,369 |
|
| First Republic Bank |
|
|
29,600 |
|
|
|
3,137,304 |
|
| Huntington Bancshares, Inc. |
|
|
183,075 |
|
|
|
1,654,083 |
|
| JPMorgan Chase & Co. |
|
|
538,895 |
|
|
|
50,688,464 |
|
| KeyCorp. |
|
|
177,600 |
|
|
|
2,163,168 |
|
| M&T Bank Corp. |
|
|
23,700 |
|
|
|
2,464,089 |
|
| People’s United Financial, Inc.(a) |
|
|
77,900 |
|
|
|
901,303 |
|
| PNC Financial Services Group, Inc. (The) |
|
|
77,093 |
|
|
|
8,110,955 |
|
| Regions Financial Corp. |
|
|
171,712 |
|
|
|
1,909,437 |
|
| SVB Financial Group* |
|
|
9,300 |
|
|
|
2,004,429 |
|
| Truist Financial Corp. |
|
|
235,226 |
|
|
|
8,832,736 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Banks (cont’d.) |
|
|
|
|
|
|
|
|
| U.S. Bancorp |
|
|
242,381 |
|
|
$ |
8,924,468 |
|
| Wells Fargo & Co. |
|
|
664,876 |
|
|
|
17,020,826 |
|
| Zions Bancorp NA(a) |
|
|
30,000 |
|
|
|
1,020,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
165,881,233 |
|
|
|
|
|
|
|
|
|
|
| Beverages — 1.6% |
|
|
|
|
|
|
|
|
| Brown-Forman Corp. (Class B Stock)(a) |
|
|
32,025 |
|
|
|
2,038,712 |
|
| Coca-Cola Co. (The) |
|
|
678,350 |
|
|
|
30,308,678 |
|
| Constellation Brands, Inc. (Class A Stock) |
|
|
29,700 |
|
|
|
5,196,015 |
|
| Molson Coors Beverage Co. (Class B Stock)(a) |
|
|
33,200 |
|
|
|
1,140,752 |
|
| Monster Beverage Corp.* |
|
|
68,300 |
|
|
|
4,734,556 |
|
| PepsiCo, Inc. |
|
|
245,294 |
|
|
|
32,442,584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75,861,297 |
|
|
|
|
|
|
|
|
|
|
| Biotechnology — 2.4% |
|
|
|
|
|
|
|
|
| AbbVie, Inc. |
|
|
310,389 |
|
|
|
30,473,992 |
|
| Alexion Pharmaceuticals, Inc.* |
|
|
39,200 |
|
|
|
4,399,808 |
|
| Amgen, Inc. |
|
|
104,694 |
|
|
|
24,693,127 |
|
| Biogen, Inc.* |
|
|
29,915 |
|
|
|
8,003,758 |
|
| Gilead Sciences, Inc. |
|
|
222,600 |
|
|
|
17,126,844 |
|
| Incyte Corp.* |
|
|
31,400 |
|
|
|
3,264,658 |
|
| Regeneron Pharmaceuticals, Inc.* |
|
|
17,810 |
|
|
|
11,107,207 |
|
| Vertex Pharmaceuticals, Inc.* |
|
|
45,500 |
|
|
|
13,209,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,278,499 |
|
|
|
|
|
|
|
|
|
|
| Building Products — 0.4% |
|
|
|
|
|
|
|
|
| A.O. Smith Corp. |
|
|
24,800 |
|
|
|
1,168,576 |
|
| Allegion PLC(a) |
|
|
16,533 |
|
|
|
1,690,003 |
|
| Carrier Global Corp. |
|
|
142,767 |
|
|
|
3,172,283 |
|
| Fortune Brands Home & Security, Inc.(a) |
|
|
25,100 |
|
|
|
1,604,643 |
|
| Johnson Controls International PLC |
|
|
137,115 |
|
|
|
4,681,106 |
|
| Masco Corp. |
|
|
51,230 |
|
|
|
2,572,258 |
|
| Trane Technologies PLC |
|
|
42,200 |
|
|
|
3,754,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,643,825 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 2.6% |
|
|
|
|
|
|
|
|
| Ameriprise Financial, Inc. |
|
|
22,750 |
|
|
|
3,413,410 |
|
| Bank of New York Mellon Corp. (The) |
|
|
148,949 |
|
|
|
5,756,879 |
|
| BlackRock, Inc. |
|
|
26,740 |
|
|
|
14,548,967 |
|
| Cboe Global Markets, Inc. |
|
|
19,800 |
|
|
|
1,846,944 |
|
| Charles Schwab Corp. (The) |
|
|
200,500 |
|
|
|
6,764,870 |
|
| CME Group, Inc. |
|
|
63,310 |
|
|
|
10,290,407 |
|
| E*TRADE Financial Corp. |
|
|
40,710 |
|
|
|
2,024,508 |
|
| Franklin Resources, Inc.(a) |
|
|
50,800 |
|
|
|
1,065,276 |
|
| Goldman Sachs Group, Inc. (The) |
|
|
54,820 |
|
|
|
10,833,528 |
|
| Intercontinental Exchange, Inc. |
|
|
97,990 |
|
|
|
8,975,884 |
|
| Invesco Ltd.(a) |
|
|
70,800 |
|
|
|
761,808 |
|
| MarketAxess Holdings, Inc. |
|
|
6,700 |
|
|
|
3,356,164 |
|
| Moody’s Corp. |
|
|
28,620 |
|
|
|
7,862,773 |
|
| Morgan Stanley |
|
|
205,310 |
|
|
|
9,916,473 |
|
| MSCI, Inc. |
|
|
14,900 |
|
|
|
4,973,918 |
|
| Nasdaq, Inc. |
|
|
20,300 |
|
|
|
2,425,241 |
|
| Northern Trust Corp. |
|
|
37,500 |
|
|
|
2,975,250 |
|
| Raymond James Financial, Inc. |
|
|
22,600 |
|
|
|
1,555,558 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A130
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Capital Markets (cont’d.) |
|
|
|
|
|
|
|
|
| S&P Global, Inc. |
|
|
43,080 |
|
|
$ |
14,193,999 |
|
| State Street Corp. |
|
|
63,975 |
|
|
|
4,065,611 |
|
| T. Rowe Price Group, Inc. |
|
|
41,100 |
|
|
|
5,075,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
122,683,318 |
|
|
|
|
|
|
|
|
|
|
| Chemicals — 1.7% |
|
|
|
|
|
|
|
|
| Air Products & Chemicals, Inc. |
|
|
38,800 |
|
|
|
9,368,648 |
|
| Albemarle Corp.(a) |
|
|
18,600 |
|
|
|
1,436,106 |
|
| Celanese Corp. |
|
|
21,400 |
|
|
|
1,847,676 |
|
| CF Industries Holdings, Inc. |
|
|
39,800 |
|
|
|
1,119,972 |
|
| Corteva, Inc.(a) |
|
|
132,356 |
|
|
|
3,545,817 |
|
| Dow, Inc.(a) |
|
|
130,222 |
|
|
|
5,307,849 |
|
| DuPont de Nemours, Inc. |
|
|
130,056 |
|
|
|
6,909,875 |
|
| Eastman Chemical Co. |
|
|
24,400 |
|
|
|
1,699,216 |
|
| Ecolab, Inc. |
|
|
44,400 |
|
|
|
8,833,380 |
|
| FMC Corp. |
|
|
23,150 |
|
|
|
2,306,203 |
|
| International Flavors & Fragrances,
Inc.(a) |
|
|
18,740 |
|
|
|
2,294,901 |
|
| Linde PLC (United Kingdom) |
|
|
92,900 |
|
|
|
19,705,019 |
|
| LyondellBasell Industries NV (Class A Stock)(a) |
|
|
45,400 |
|
|
|
2,983,688 |
|
| Mosaic Co. (The) |
|
|
60,800 |
|
|
|
760,608 |
|
| PPG Industries, Inc. |
|
|
41,500 |
|
|
|
4,401,490 |
|
| Sherwin-Williams Co. (The) |
|
|
14,500 |
|
|
|
8,378,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,899,273 |
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies — 0.4% |
|
| Cintas Corp.(a) |
|
|
14,900 |
|
|
|
3,968,764 |
|
| Copart, Inc.* |
|
|
35,900 |
|
|
|
2,989,393 |
|
| Republic Services, Inc. |
|
|
37,435 |
|
|
|
3,071,542 |
|
| Rollins, Inc. |
|
|
24,750 |
|
|
|
1,049,152 |
|
| Waste Management, Inc. |
|
|
69,130 |
|
|
|
7,321,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,400,409 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment — 0.9% |
|
| Arista Networks, Inc.*(a) |
|
|
9,600 |
|
|
|
2,016,288 |
|
| Cisco Systems, Inc. |
|
|
746,275 |
|
|
|
34,806,266 |
|
| F5 Networks, Inc.* |
|
|
11,000 |
|
|
|
1,534,280 |
|
| Juniper Networks, Inc. |
|
|
59,700 |
|
|
|
1,364,742 |
|
| Motorola Solutions, Inc. |
|
|
30,127 |
|
|
|
4,221,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,943,272 |
|
|
|
|
|
|
|
|
|
|
| Construction & Engineering — 0.1% |
|
|
|
|
|
|
|
|
| Jacobs Engineering Group, Inc. |
|
|
23,800 |
|
|
|
2,018,240 |
|
| Quanta Services, Inc. |
|
|
26,200 |
|
|
|
1,027,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,046,066 |
|
|
|
|
|
|
|
|
|
|
| Construction Materials — 0.1% |
|
|
|
|
|
|
|
|
| Martin Marietta Materials, Inc. |
|
|
11,000 |
|
|
|
2,272,270 |
|
| Vulcan Materials Co. |
|
|
23,300 |
|
|
|
2,699,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,971,575 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance — 0.5% |
|
|
|
|
|
|
|
|
| American Express Co. |
|
|
118,500 |
|
|
|
11,281,200 |
|
| Capital One Financial Corp. |
|
|
82,069 |
|
|
|
5,136,699 |
|
| Discover Financial Services |
|
|
55,805 |
|
|
|
2,795,272 |
|
| Synchrony Financial |
|
|
100,830 |
|
|
|
2,234,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,447,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Containers & Packaging — 0.3% |
|
|
|
|
|
|
|
|
| Amcor PLC(a) |
|
|
284,200 |
|
|
$ |
2,901,682 |
|
| Avery Dennison Corp. |
|
|
14,900 |
|
|
|
1,699,941 |
|
| Ball Corp. |
|
|
57,800 |
|
|
|
4,016,522 |
|
| International Paper Co. |
|
|
70,167 |
|
|
|
2,470,580 |
|
| Packaging Corp. of America |
|
|
16,700 |
|
|
|
1,666,660 |
|
| Sealed Air Corp. |
|
|
28,620 |
|
|
|
940,167 |
|
| Westrock Co. |
|
|
45,261 |
|
|
|
1,279,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,974,628 |
|
|
|
|
|
|
|
|
|
|
| Distributors — 0.1% |
|
|
|
|
|
|
|
|
| Genuine Parts Co. |
|
|
25,925 |
|
|
|
2,254,438 |
|
| LKQ Corp.* |
|
|
55,100 |
|
|
|
1,443,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,698,058 |
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services — 0.0% |
|
|
|
|
|
|
|
|
| H&R Block, Inc.(a) |
|
|
35,900 |
|
|
|
512,652 |
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 1.3% |
|
|
|
|
|
|
|
|
| Berkshire Hathaway, Inc.
(Class B Stock)* |
|
|
344,060 |
|
|
|
61,418,151 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services — 1.7% |
|
| AT&T, Inc. |
|
|
1,261,771 |
|
|
|
38,143,338 |
|
| CenturyLink, Inc.(a) |
|
|
172,143 |
|
|
|
1,726,594 |
|
| Verizon Communications, Inc. |
|
|
727,538 |
|
|
|
40,109,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,979,102 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 1.8% |
|
|
|
|
|
|
|
|
| Alliant Energy Corp. |
|
|
42,000 |
|
|
|
2,009,280 |
|
| American Electric Power Co., Inc. |
|
|
87,440 |
|
|
|
6,963,722 |
|
| Duke Energy Corp.(a) |
|
|
128,748 |
|
|
|
10,285,678 |
|
| Edison International |
|
|
62,900 |
|
|
|
3,416,099 |
|
| Entergy Corp. |
|
|
35,000 |
|
|
|
3,283,350 |
|
| Evergy, Inc. |
|
|
40,700 |
|
|
|
2,413,103 |
|
| Eversource Energy |
|
|
57,200 |
|
|
|
4,763,044 |
|
| Exelon Corp. |
|
|
170,573 |
|
|
|
6,190,094 |
|
| FirstEnergy Corp. |
|
|
94,780 |
|
|
|
3,675,568 |
|
| NextEra Energy, Inc. |
|
|
86,075 |
|
|
|
20,672,633 |
|
| NRG Energy, Inc. |
|
|
46,400 |
|
|
|
1,510,784 |
|
| Pinnacle West Capital Corp.(a) |
|
|
20,200 |
|
|
|
1,480,458 |
|
| PPL Corp. |
|
|
135,000 |
|
|
|
3,488,400 |
|
| Southern Co. (The) |
|
|
185,200 |
|
|
|
9,602,620 |
|
| Xcel Energy, Inc. |
|
|
91,995 |
|
|
|
5,749,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
85,504,520 |
|
|
|
|
|
|
|
|
|
|
| Electrical Equipment — 0.5% |
|
|
|
|
|
|
|
|
| AMETEK, Inc. |
|
|
40,200 |
|
|
|
3,592,674 |
|
| Eaton Corp. PLC |
|
|
72,761 |
|
|
|
6,365,132 |
|
| Emerson Electric Co. |
|
|
107,200 |
|
|
|
6,649,616 |
|
| Rockwell Automation, Inc. |
|
|
20,420 |
|
|
|
4,349,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,956,882 |
|
|
|
|
|
|
|
|
|
|
| Electronic Equipment, Instruments & Components — 0.5% |
|
| Amphenol Corp. (Class A Stock) |
|
|
52,300 |
|
|
|
5,010,863 |
|
| CDW Corp. |
|
|
25,200 |
|
|
|
2,927,736 |
|
| Corning, Inc.(a) |
|
|
134,900 |
|
|
|
3,493,910 |
|
| FLIR Systems, Inc. |
|
|
24,100 |
|
|
|
977,737 |
|
| IPG Photonics Corp.* |
|
|
6,600 |
|
|
|
1,058,574 |
|
| Keysight Technologies, Inc.* |
|
|
33,300 |
|
|
|
3,355,974 |
|
| TE Connectivity Ltd. |
|
|
59,000 |
|
|
|
4,811,450 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A131
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Electronic Equipment, Instruments & Components (cont’d.) |
|
| Zebra Technologies Corp. (Class A Stock)* |
|
|
9,500 |
|
|
$ |
2,431,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,067,769 |
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services — 0.2% |
|
|
|
|
|
|
|
|
| Baker Hughes Co. |
|
|
114,048 |
|
|
|
1,755,199 |
|
| Halliburton Co. |
|
|
154,000 |
|
|
|
1,998,920 |
|
| National Oilwell Varco, Inc.(a) |
|
|
68,400 |
|
|
|
837,900 |
|
| Schlumberger Ltd. |
|
|
242,798 |
|
|
|
4,465,055 |
|
| TechnipFMC PLC (United Kingdom) |
|
|
74,200 |
|
|
|
507,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,564,602 |
|
|
|
|
|
|
|
|
|
|
| Entertainment — 2.0% |
|
|
|
|
|
|
|
|
| Activision Blizzard, Inc. |
|
|
135,700 |
|
|
|
10,299,630 |
|
| Electronic Arts, Inc.* |
|
|
51,500 |
|
|
|
6,800,575 |
|
| Live Nation Entertainment, Inc.*(a) |
|
|
24,800 |
|
|
|
1,099,384 |
|
| Netflix, Inc.* |
|
|
77,290 |
|
|
|
35,170,041 |
|
| Take-Two Interactive Software, Inc.* |
|
|
20,000 |
|
|
|
2,791,400 |
|
| Walt Disney Co. (The) |
|
|
317,072 |
|
|
|
35,356,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
91,517,729 |
|
|
|
|
|
|
|
|
|
|
| Equity Real Estate Investment Trusts (REITs) — 2.7% |
|
| Alexandria Real Estate Equities, Inc. |
|
|
21,480 |
|
|
|
3,485,130 |
|
| American Tower Corp. |
|
|
78,000 |
|
|
|
20,166,120 |
|
| Apartment Investment & Management Co. (Class A Stock) |
|
|
27,387 |
|
|
|
1,030,847 |
|
| AvalonBay Communities, Inc. |
|
|
24,518 |
|
|
|
3,791,464 |
|
| Boston Properties, Inc. |
|
|
25,300 |
|
|
|
2,286,614 |
|
| Crown Castle International Corp. |
|
|
73,500 |
|
|
|
12,300,225 |
|
| Digital Realty Trust, Inc.(a) |
|
|
46,300 |
|
|
|
6,579,693 |
|
| Duke Realty Corp. |
|
|
64,500 |
|
|
|
2,282,655 |
|
| Equinix, Inc. |
|
|
15,525 |
|
|
|
10,903,207 |
|
| Equity Residential |
|
|
61,300 |
|
|
|
3,605,666 |
|
| Essex Property Trust, Inc. |
|
|
11,670 |
|
|
|
2,674,414 |
|
| Extra Space Storage, Inc.(a) |
|
|
22,800 |
|
|
|
2,106,036 |
|
| Federal Realty Investment Trust |
|
|
12,400 |
|
|
|
1,056,604 |
|
| Healthpeak Properties, Inc. |
|
|
85,800 |
|
|
|
2,364,648 |
|
| Host Hotels & Resorts, Inc.(a) |
|
|
127,426 |
|
|
|
1,374,927 |
|
| Iron Mountain, Inc.(a) |
|
|
50,830 |
|
|
|
1,326,663 |
|
| Kimco Realty Corp.(a) |
|
|
74,500 |
|
|
|
956,580 |
|
| Mid-America Apartment Communities, Inc. |
|
|
20,100 |
|
|
|
2,304,867 |
|
| Prologis, Inc. |
|
|
130,328 |
|
|
|
12,163,512 |
|
| Public Storage |
|
|
26,750 |
|
|
|
5,133,057 |
|
| Realty Income Corp. |
|
|
58,300 |
|
|
|
3,468,850 |
|
| Regency Centers Corp. |
|
|
29,700 |
|
|
|
1,362,933 |
|
| SBA Communications Corp. |
|
|
19,830 |
|
|
|
5,907,754 |
|
| Simon Property Group, Inc. |
|
|
53,861 |
|
|
|
3,683,015 |
|
| SL Green Realty Corp.(a) |
|
|
14,900 |
|
|
|
734,421 |
|
| UDR, Inc. |
|
|
51,400 |
|
|
|
1,921,332 |
|
| Ventas, Inc.(a) |
|
|
65,404 |
|
|
|
2,395,094 |
|
| Vornado Realty Trust(a) |
|
|
28,257 |
|
|
|
1,079,700 |
|
| Welltower, Inc. |
|
|
71,200 |
|
|
|
3,684,600 |
|
| Weyerhaeuser Co. |
|
|
130,730 |
|
|
|
2,936,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
125,066,824 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing — 1.5% |
|
|
|
|
|
|
|
|
| Costco Wholesale Corp. |
|
|
77,792 |
|
|
|
23,587,312 |
|
|
|
|
|
|
|
|
|
|
| ` |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Food & Staples Retailing (cont’d.) |
|
|
|
|
|
|
|
|
| Kroger Co. (The) |
|
|
140,700 |
|
|
$ |
4,762,695 |
|
| Sysco Corp. |
|
|
89,500 |
|
|
|
4,892,070 |
|
| Walgreens Boots Alliance, Inc. |
|
|
131,500 |
|
|
|
5,574,285 |
|
| Walmart, Inc. |
|
|
250,100 |
|
|
|
29,956,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,773,340 |
|
|
|
|
|
|
|
|
|
|
| Food Products — 1.1% |
|
|
|
|
|
|
|
|
| Archer-Daniels-Midland Co.(a) |
|
|
97,938 |
|
|
|
3,907,726 |
|
| Campbell Soup Co.(a) |
|
|
30,600 |
|
|
|
1,518,678 |
|
| Conagra Brands, Inc. |
|
|
85,400 |
|
|
|
3,003,518 |
|
| General Mills, Inc.(a) |
|
|
106,000 |
|
|
|
6,534,900 |
|
| Hershey Co. (The) |
|
|
26,100 |
|
|
|
3,383,082 |
|
| Hormel Foods Corp.(a) |
|
|
48,800 |
|
|
|
2,355,576 |
|
| J.M. Smucker Co. (The)(a) |
|
|
20,100 |
|
|
|
2,126,781 |
|
| Kellogg Co.(a) |
|
|
43,700 |
|
|
|
2,886,822 |
|
| Kraft Heinz Co. (The) |
|
|
109,237 |
|
|
|
3,483,568 |
|
| Lamb Weston Holdings, Inc.(a) |
|
|
25,700 |
|
|
|
1,643,001 |
|
| McCormick & Co., Inc.(a) |
|
|
21,700 |
|
|
|
3,893,197 |
|
| Mondelez International, Inc. (Class A Stock) |
|
|
253,811 |
|
|
|
12,977,357 |
|
| Tyson Foods, Inc. (Class A Stock) |
|
|
51,800 |
|
|
|
3,092,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,807,184 |
|
|
|
|
|
|
|
|
|
|
| Gas Utilities — 0.0% |
|
|
|
|
|
|
|
|
| Atmos Energy Corp. |
|
|
21,000 |
|
|
|
2,091,180 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 3.7% |
|
| Abbott Laboratories |
|
|
310,925 |
|
|
|
28,427,873 |
|
| ABIOMED, Inc.* |
|
|
8,200 |
|
|
|
1,980,792 |
|
| Align Technology, Inc.* |
|
|
12,600 |
|
|
|
3,457,944 |
|
| Baxter International, Inc. |
|
|
90,300 |
|
|
|
7,774,830 |
|
| Becton, Dickinson & Co. |
|
|
52,049 |
|
|
|
12,453,764 |
|
| Boston Scientific Corp.* |
|
|
244,499 |
|
|
|
8,584,360 |
|
| Cooper Cos., Inc. (The) |
|
|
8,830 |
|
|
|
2,504,541 |
|
| Danaher Corp. |
|
|
110,800 |
|
|
|
19,592,764 |
|
| DENTSPLY SIRONA, Inc.(a) |
|
|
39,300 |
|
|
|
1,731,558 |
|
| DexCom, Inc.* |
|
|
15,800 |
|
|
|
6,405,320 |
|
| Edwards Lifesciences Corp.* |
|
|
111,150 |
|
|
|
7,681,576 |
|
| Hologic, Inc.* |
|
|
47,400 |
|
|
|
2,701,800 |
|
| IDEXX Laboratories, Inc.* |
|
|
15,200 |
|
|
|
5,018,432 |
|
| Intuitive Surgical, Inc.*(a) |
|
|
20,390 |
|
|
|
11,618,834 |
|
| Medtronic PLC. |
|
|
235,828 |
|
|
|
21,625,428 |
|
| ResMed, Inc. |
|
|
25,300 |
|
|
|
4,857,600 |
|
| STERIS PLC |
|
|
15,200 |
|
|
|
2,332,288 |
|
| Stryker Corp. |
|
|
56,870 |
|
|
|
10,247,405 |
|
| Teleflex, Inc. |
|
|
8,200 |
|
|
|
2,984,636 |
|
| Varian Medical Systems, Inc.*(a) |
|
|
16,200 |
|
|
|
1,984,824 |
|
| West Pharmaceutical Services, Inc. |
|
|
13,300 |
|
|
|
3,021,361 |
|
| Zimmer Biomet Holdings, Inc.(a) |
|
|
36,386 |
|
|
|
4,343,033 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
171,330,963 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 2.8% |
|
| AmerisourceBergen Corp. |
|
|
27,300 |
|
|
|
2,751,021 |
|
| Anthem, Inc. |
|
|
44,600 |
|
|
|
11,728,908 |
|
| Cardinal Health, Inc. |
|
|
52,575 |
|
|
|
2,743,889 |
|
| Centene Corp.* |
|
|
102,468 |
|
|
|
6,511,841 |
|
| Cigna Corp. |
|
|
65,952 |
|
|
|
12,375,893 |
|
| CVS Health Corp. |
|
|
229,199 |
|
|
|
14,891,059 |
|
| DaVita, Inc.*(a) |
|
|
16,200 |
|
|
|
1,282,068 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A132
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Health Care Providers & Services (cont’d.) |
|
| HCA Healthcare, Inc. |
|
|
47,000 |
|
|
$ |
4,561,820 |
|
| Henry Schein, Inc.*(a) |
|
|
26,500 |
|
|
|
1,547,335 |
|
| Humana, Inc. |
|
|
23,500 |
|
|
|
9,112,125 |
|
| Laboratory Corp. of America Holdings*. |
|
|
17,400 |
|
|
|
2,890,314 |
|
| McKesson Corp. |
|
|
28,707 |
|
|
|
4,404,228 |
|
| Quest Diagnostics, Inc. |
|
|
23,800 |
|
|
|
2,712,248 |
|
| UnitedHealth Group, Inc. |
|
|
166,830 |
|
|
|
49,206,509 |
|
| Universal Health Services, Inc. (Class B Stock) |
|
|
14,800 |
|
|
|
1,374,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
128,094,030 |
|
|
|
|
|
|
|
|
|
|
| Health Care Technology — 0.1% |
|
|
|
|
|
|
|
|
| Cerner Corp.(a) |
|
|
55,100 |
|
|
|
3,777,105 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 1.5% |
|
| Carnival Corp.(a) |
|
|
75,900 |
|
|
|
1,246,278 |
|
| Chipotle Mexican Grill, Inc.* |
|
|
4,540 |
|
|
|
4,777,714 |
|
| Darden Restaurants, Inc. |
|
|
21,550 |
|
|
|
1,632,843 |
|
| Domino’s Pizza, Inc. |
|
|
6,800 |
|
|
|
2,512,192 |
|
| Hilton Worldwide Holdings, Inc. |
|
|
49,700 |
|
|
|
3,650,465 |
|
| Las Vegas Sands Corp. |
|
|
59,300 |
|
|
|
2,700,522 |
|
| Marriott International, Inc. (Class A Stock) |
|
|
47,623 |
|
|
|
4,082,720 |
|
| McDonald’s Corp. |
|
|
132,810 |
|
|
|
24,499,461 |
|
| MGM Resorts International(a) |
|
|
90,400 |
|
|
|
1,518,720 |
|
| Norwegian Cruise Line Holdings
Ltd.*(a) |
|
|
37,500 |
|
|
|
616,125 |
|
| Royal Caribbean Cruises Ltd.(a) |
|
|
30,300 |
|
|
|
1,524,090 |
|
| Starbucks Corp. |
|
|
208,100 |
|
|
|
15,314,079 |
|
| Wynn Resorts Ltd. |
|
|
17,000 |
|
|
|
1,266,330 |
|
| Yum! Brands, Inc. |
|
|
53,100 |
|
|
|
4,614,921 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,956,460 |
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.4% |
|
|
|
|
|
|
|
|
| D.R. Horton, Inc. |
|
|
59,600 |
|
|
|
3,304,820 |
|
| Garmin Ltd. |
|
|
25,400 |
|
|
|
2,476,500 |
|
| Leggett & Platt, Inc. |
|
|
23,800 |
|
|
|
836,570 |
|
| Lennar Corp. (Class A Stock) |
|
|
49,900 |
|
|
|
3,074,838 |
|
| Mohawk Industries, Inc.* |
|
|
10,900 |
|
|
|
1,109,184 |
|
| Newell Brands, Inc.(a) |
|
|
71,149 |
|
|
|
1,129,846 |
|
| NVR, Inc.* |
|
|
620 |
|
|
|
2,020,425 |
|
| PulteGroup, Inc. |
|
|
45,185 |
|
|
|
1,537,646 |
|
| Whirlpool Corp.(a) |
|
|
11,367 |
|
|
|
1,472,367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,962,196 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 1.7% |
|
|
|
|
|
|
|
|
| Church & Dwight Co., Inc.(a) |
|
|
43,100 |
|
|
|
3,331,630 |
|
| Clorox Co. (The) |
|
|
22,300 |
|
|
|
4,891,951 |
|
| Colgate-Palmolive Co.(a) |
|
|
151,300 |
|
|
|
11,084,238 |
|
| Kimberly-Clark Corp. |
|
|
60,688 |
|
|
|
8,578,249 |
|
| Procter & Gamble Co. (The) |
|
|
439,176 |
|
|
|
52,512,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,398,342 |
|
|
|
|
|
|
|
|
|
|
| Independent Power & Renewable Electricity Producers — 0.0% |
|
| AES Corp. (The) |
|
|
116,500 |
|
|
|
1,688,085 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates — 1.1% |
|
|
|
|
|
|
|
|
| 3M Co. |
|
|
101,570 |
|
|
|
15,843,904 |
|
| General Electric Co. |
|
|
1,531,847 |
|
|
|
10,462,515 |
|
| Honeywell International, Inc. |
|
|
125,900 |
|
|
|
18,203,881 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Industrial Conglomerates (cont’d.) |
|
|
|
|
|
|
|
|
| Roper Technologies, Inc. |
|
|
18,300 |
|
|
$ |
7,105,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,615,458 |
|
|
|
|
|
|
|
|
|
|
| Insurance — 1.8% |
|
|
|
|
|
|
|
|
| Aflac, Inc. |
|
|
129,200 |
|
|
|
4,655,076 |
|
| Allstate Corp. (The) |
|
|
57,428 |
|
|
|
5,569,942 |
|
| American International Group, Inc. |
|
|
152,629 |
|
|
|
4,758,972 |
|
| Aon PLC (Class A Stock) |
|
|
41,325 |
|
|
|
7,959,195 |
|
| Arthur J Gallagher & Co. |
|
|
32,800 |
|
|
|
3,197,672 |
|
| Assurant, Inc. |
|
|
10,700 |
|
|
|
1,105,203 |
|
| Chubb Ltd. |
|
|
79,630 |
|
|
|
10,082,750 |
|
| Cincinnati Financial Corp. |
|
|
26,728 |
|
|
|
1,711,394 |
|
| Everest Re Group Ltd. |
|
|
7,200 |
|
|
|
1,484,640 |
|
| Globe Life, Inc.(a) |
|
|
17,575 |
|
|
|
1,304,592 |
|
| Hartford Financial Services Group, Inc. (The) |
|
|
63,300 |
|
|
|
2,440,215 |
|
| Lincoln National Corp.(a) |
|
|
36,263 |
|
|
|
1,334,116 |
|
| Loews Corp. |
|
|
46,026 |
|
|
|
1,578,231 |
|
| Marsh & McLennan Cos., Inc. |
|
|
89,000 |
|
|
|
9,555,930 |
|
| MetLife, Inc. |
|
|
137,980 |
|
|
|
5,039,030 |
|
| Principal Financial Group, Inc. |
|
|
45,700 |
|
|
|
1,898,378 |
|
| Progressive Corp. (The) |
|
|
103,400 |
|
|
|
8,283,374 |
|
| Travelers Cos., Inc. (The)(a) |
|
|
45,598 |
|
|
|
5,200,452 |
|
| Unum Group |
|
|
37,456 |
|
|
|
621,395 |
|
| W.R. Berkley Corp. |
|
|
25,500 |
|
|
|
1,460,895 |
|
| Willis Towers Watson PLC |
|
|
22,800 |
|
|
|
4,490,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
83,731,912 |
|
|
|
|
|
|
|
|
|
|
| Interactive Media & Services — 5.4% |
|
|
|
|
|
|
|
|
| Alphabet, Inc. (Class A Stock)* |
|
|
52,949 |
|
|
|
75,084,330 |
|
| Alphabet, Inc. (Class C Stock)* |
|
|
51,980 |
|
|
|
73,479,448 |
|
| Facebook, Inc. (Class A Stock)* |
|
|
425,320 |
|
|
|
96,577,412 |
|
| Twitter, Inc.*(a) |
|
|
137,300 |
|
|
|
4,090,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
249,231,357 |
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail — 4.8% |
|
|
|
|
|
| Amazon.com, Inc.* |
|
|
74,260 |
|
|
|
204,869,973 |
|
| Booking Holdings, Inc.* |
|
|
7,430 |
|
|
|
11,831,086 |
|
| eBay, Inc. |
|
|
122,000 |
|
|
|
6,398,900 |
|
| Expedia Group, Inc. |
|
|
24,600 |
|
|
|
2,022,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
225,122,079 |
|
|
|
|
|
|
|
|
|
|
| IT Services — 5.6% |
|
|
|
|
|
|
|
|
| Accenture PLC (Class A Stock) |
|
|
111,800 |
|
|
|
24,005,696 |
|
| Akamai Technologies, Inc.*(a) |
|
|
28,500 |
|
|
|
3,052,065 |
|
| Automatic Data Processing, Inc. |
|
|
76,460 |
|
|
|
11,384,129 |
|
| Broadridge Financial Solutions, Inc. |
|
|
20,500 |
|
|
|
2,586,895 |
|
| Cognizant Technology Solutions Corp. (Class A Stock) |
|
|
96,700 |
|
|
|
5,494,494 |
|
| DXC Technology Co. |
|
|
45,350 |
|
|
|
748,275 |
|
| Fidelity National Information Services, Inc. |
|
|
107,800 |
|
|
|
14,454,902 |
|
| Fiserv, Inc.* |
|
|
100,900 |
|
|
|
9,849,858 |
|
| FleetCor Technologies, Inc.* |
|
|
15,400 |
|
|
|
3,873,562 |
|
| Gartner, Inc.* |
|
|
15,700 |
|
|
|
1,904,881 |
|
| Global Payments, Inc. |
|
|
52,863 |
|
|
|
8,966,622 |
|
| International Business Machines
Corp.(a) |
|
|
155,925 |
|
|
|
18,831,062 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A133
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| IT Services (cont’d.) |
|
|
|
|
|
|
|
|
| Jack Henry & Associates, Inc. |
|
|
13,500 |
|
|
$ |
2,484,405 |
|
| Leidos Holdings, Inc. |
|
|
23,400 |
|
|
|
2,191,878 |
|
| Mastercard, Inc. (Class A Stock)(a) |
|
|
156,200 |
|
|
|
46,188,340 |
|
| Paychex, Inc. |
|
|
55,950 |
|
|
|
4,238,213 |
|
| PayPal Holdings, Inc.* |
|
|
206,600 |
|
|
|
35,995,918 |
|
| VeriSign, Inc.* |
|
|
18,200 |
|
|
|
3,764,306 |
|
| Visa, Inc. (Class A Stock)(a) |
|
|
299,000 |
|
|
|
57,757,830 |
|
| Western Union Co. (The)(a) |
|
|
75,004 |
|
|
|
1,621,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
259,394,918 |
|
|
|
|
|
|
|
|
|
|
| Leisure Products — 0.0% |
|
|
|
|
|
|
|
|
| Hasbro, Inc. |
|
|
22,350 |
|
|
|
1,675,132 |
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services — 1.2% |
|
|
|
|
|
|
|
|
| Agilent Technologies, Inc. |
|
|
54,782 |
|
|
|
4,841,085 |
|
| Bio-Rad Laboratories, Inc. (Class A Stock)* |
|
|
3,600 |
|
|
|
1,625,364 |
|
| Illumina, Inc.* |
|
|
25,960 |
|
|
|
9,614,286 |
|
| IQVIA Holdings, Inc.* |
|
|
31,700 |
|
|
|
4,497,596 |
|
| Mettler-Toledo International, Inc.* |
|
|
4,320 |
|
|
|
3,479,976 |
|
| PerkinElmer, Inc. |
|
|
19,800 |
|
|
|
1,942,182 |
|
| Thermo Fisher Scientific, Inc. |
|
|
70,600 |
|
|
|
25,581,204 |
|
| Waters Corp.*(a) |
|
|
11,600 |
|
|
|
2,092,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,674,333 |
|
|
|
|
|
|
|
|
|
|
| Machinery — 1.5% |
|
|
|
|
|
|
|
|
| Caterpillar, Inc. |
|
|
97,600 |
|
|
|
12,346,400 |
|
| Cummins, Inc. |
|
|
27,000 |
|
|
|
4,678,020 |
|
| Deere & Co. |
|
|
55,650 |
|
|
|
8,745,398 |
|
| Dover Corp. |
|
|
25,600 |
|
|
|
2,471,936 |
|
| Flowserve Corp. |
|
|
23,600 |
|
|
|
673,072 |
|
| Fortive Corp. |
|
|
51,900 |
|
|
|
3,511,554 |
|
| IDEX Corp. |
|
|
13,400 |
|
|
|
2,117,736 |
|
| Illinois Tool Works, Inc. |
|
|
51,475 |
|
|
|
9,000,404 |
|
| Ingersoll Rand, Inc.* |
|
|
58,837 |
|
|
|
1,654,496 |
|
| Otis Worldwide Corp. |
|
|
71,383 |
|
|
|
4,058,837 |
|
| PACCAR, Inc. |
|
|
60,828 |
|
|
|
4,552,976 |
|
| Parker-Hannifin Corp. |
|
|
22,687 |
|
|
|
4,157,846 |
|
| Pentair PLC |
|
|
29,907 |
|
|
|
1,136,167 |
|
| Snap-on, Inc.(a) |
|
|
9,900 |
|
|
|
1,371,249 |
|
| Stanley Black & Decker, Inc. |
|
|
26,735 |
|
|
|
3,726,324 |
|
| Westinghouse Air Brake Technologies Corp. |
|
|
32,012 |
|
|
|
1,842,931 |
|
| Xylem, Inc. |
|
|
31,800 |
|
|
|
2,065,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,111,074 |
|
|
|
|
|
|
|
|
|
|
| Media — 1.2% |
|
|
|
|
|
|
|
|
| Charter Communications, Inc. (Class A Stock)* |
|
|
26,740 |
|
|
|
13,638,470 |
|
| Comcast Corp. (Class A Stock) |
|
|
798,592 |
|
|
|
31,129,116 |
|
| Discovery, Inc. (Class A Stock)*(a) |
|
|
28,000 |
|
|
|
590,800 |
|
| Discovery, Inc. (Class C Stock)* |
|
|
61,400 |
|
|
|
1,182,564 |
|
| DISH Network Corp. (Class A Stock)* |
|
|
45,075 |
|
|
|
1,555,538 |
|
| Fox Corp. (Class A Stock)(a) |
|
|
62,166 |
|
|
|
1,667,292 |
|
| Fox Corp. (Class B Stock) |
|
|
29,466 |
|
|
|
790,867 |
|
| Interpublic Group of Cos., Inc. (The) |
|
|
68,962 |
|
|
|
1,183,388 |
|
| News Corp. (Class A Stock)(a) |
|
|
68,125 |
|
|
|
807,963 |
|
| News Corp. (Class B Stock) |
|
|
22,800 |
|
|
|
272,460 |
|
| Omnicom Group, Inc.(a) |
|
|
38,300 |
|
|
|
2,091,180 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Media (cont’d.) |
|
|
|
|
|
|
|
|
| ViacomCBS, Inc. (Class B Stock)(a) |
|
|
94,866 |
|
|
$ |
2,212,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,121,913 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.3% |
|
|
|
|
|
|
|
|
| Freeport-McMoRan, Inc. |
|
|
254,512 |
|
|
|
2,944,704 |
|
| Newmont Corp. |
|
|
143,803 |
|
|
|
8,878,397 |
|
| Nucor Corp. |
|
|
53,900 |
|
|
|
2,231,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,055,100 |
|
|
|
|
|
|
|
|
|
|
| Multiline Retail — 0.5% |
|
|
|
|
|
|
|
|
| Dollar General Corp. |
|
|
44,800 |
|
|
|
8,534,848 |
|
| Dollar Tree, Inc.* |
|
|
42,047 |
|
|
|
3,896,916 |
|
| Kohl’s Corp.(a) |
|
|
28,500 |
|
|
|
591,945 |
|
| Target Corp. |
|
|
89,468 |
|
|
|
10,729,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,753,606 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 0.9% |
|
|
|
|
|
|
|
|
| Ameren Corp.(a) |
|
|
43,200 |
|
|
|
3,039,552 |
|
| CenterPoint Energy, Inc. |
|
|
88,110 |
|
|
|
1,645,014 |
|
| CMS Energy Corp.(a) |
|
|
49,800 |
|
|
|
2,909,316 |
|
| Consolidated Edison, Inc. |
|
|
58,300 |
|
|
|
4,193,519 |
|
| Dominion Energy, Inc.(a) |
|
|
145,340 |
|
|
|
11,798,701 |
|
| DTE Energy Co. |
|
|
33,700 |
|
|
|
3,622,750 |
|
| NiSource, Inc. |
|
|
65,500 |
|
|
|
1,489,470 |
|
| Public Service Enterprise Group, Inc. |
|
|
88,700 |
|
|
|
4,360,492 |
|
| Sempra Energy |
|
|
49,954 |
|
|
|
5,856,108 |
|
| WEC Energy Group, Inc.(a) |
|
|
55,376 |
|
|
|
4,853,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,768,628 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 2.5% |
|
|
|
|
|
|
|
|
| Apache Corp. |
|
|
62,650 |
|
|
|
845,775 |
|
| Cabot Oil & Gas Corp. |
|
|
74,700 |
|
|
|
1,283,346 |
|
| Chevron Corp. |
|
|
332,662 |
|
|
|
29,683,430 |
|
| Concho Resources, Inc. |
|
|
35,300 |
|
|
|
1,817,950 |
|
| ConocoPhillips |
|
|
192,529 |
|
|
|
8,090,069 |
|
| Devon Energy Corp. |
|
|
70,100 |
|
|
|
794,934 |
|
| Diamondback Energy, Inc.(a) |
|
|
28,300 |
|
|
|
1,183,506 |
|
| EOG Resources, Inc. |
|
|
102,100 |
|
|
|
5,172,386 |
|
| Exxon Mobil Corp. |
|
|
744,304 |
|
|
|
33,285,275 |
|
| Hess Corp. |
|
|
45,475 |
|
|
|
2,356,060 |
|
| HollyFrontier Corp. |
|
|
26,200 |
|
|
|
765,040 |
|
| Kinder Morgan, Inc. |
|
|
341,643 |
|
|
|
5,182,724 |
|
| Marathon Oil Corp.(a) |
|
|
137,994 |
|
|
|
844,523 |
|
| Marathon Petroleum Corp. |
|
|
113,887 |
|
|
|
4,257,096 |
|
| Noble Energy, Inc. |
|
|
83,100 |
|
|
|
744,576 |
|
| Occidental Petroleum Corp.(a) |
|
|
156,728 |
|
|
|
2,868,122 |
|
| ONEOK, Inc. |
|
|
72,540 |
|
|
|
2,409,779 |
|
| Phillips 66 |
|
|
78,464 |
|
|
|
5,641,562 |
|
| Pioneer Natural Resources Co. |
|
|
29,400 |
|
|
|
2,872,380 |
|
| Valero Energy Corp. |
|
|
72,200 |
|
|
|
4,246,804 |
|
| Williams Cos., Inc. (The) |
|
|
212,600 |
|
|
|
4,043,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
118,388,989 |
|
|
|
|
|
|
|
|
|
|
| Personal Products — 0.2% |
|
|
|
|
|
|
|
|
| Coty, Inc. (Class A Stock)(a) |
|
|
56,000 |
|
|
|
250,320 |
|
| Estee Lauder Cos., Inc. (The) (Class A Stock) |
|
|
39,200 |
|
|
|
7,396,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,646,576 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A134
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Pharmaceuticals — 4.2% |
|
|
|
|
|
|
|
|
| Bristol-Myers Squibb Co. |
|
|
405,240 |
|
|
$ |
23,828,112 |
|
| Eli Lilly & Co. |
|
|
149,100 |
|
|
|
24,479,238 |
|
| Johnson & Johnson |
|
|
465,996 |
|
|
|
65,533,018 |
|
| Merck & Co., Inc. |
|
|
447,903 |
|
|
|
34,636,339 |
|
| Mylan NV* |
|
|
91,500 |
|
|
|
1,471,320 |
|
| Perrigo Co. PLC |
|
|
23,900 |
|
|
|
1,320,953 |
|
| Pfizer, Inc. |
|
|
973,523 |
|
|
|
31,834,202 |
|
| Zoetis, Inc. |
|
|
84,200 |
|
|
|
11,538,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194,641,950 |
|
|
|
|
|
|
|
|
|
|
| Professional Services — 0.3% |
|
|
|
|
|
|
|
|
| Equifax, Inc. |
|
|
21,400 |
|
|
|
3,678,232 |
|
| IHS Markit Ltd. |
|
|
70,400 |
|
|
|
5,315,200 |
|
| Nielsen Holdings PLC |
|
|
62,900 |
|
|
|
934,694 |
|
| Robert Half International, Inc.(a) |
|
|
21,600 |
|
|
|
1,141,128 |
|
| Verisk Analytics, Inc. |
|
|
28,800 |
|
|
|
4,901,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,971,014 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development — 0.1% |
|
| CBRE Group, Inc. (Class A Stock)*(a) |
|
|
58,800 |
|
|
|
2,658,936 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail — 1.0% |
|
|
|
|
|
|
|
|
| CSX Corp. |
|
|
136,672 |
|
|
|
9,531,505 |
|
| J.B. Hunt Transport Services, Inc.(a) |
|
|
15,100 |
|
|
|
1,817,134 |
|
| Kansas City Southern |
|
|
17,500 |
|
|
|
2,612,575 |
|
| Norfolk Southern Corp.(a) |
|
|
46,000 |
|
|
|
8,076,220 |
|
| Old Dominion Freight Line, Inc. |
|
|
17,250 |
|
|
|
2,925,428 |
|
| Union Pacific Corp. |
|
|
122,300 |
|
|
|
20,677,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,640,123 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 4.7% |
|
| Advanced Micro Devices, Inc.* |
|
|
205,800 |
|
|
|
10,827,138 |
|
| Analog Devices, Inc. |
|
|
65,223 |
|
|
|
7,998,949 |
|
| Applied Materials, Inc. |
|
|
162,100 |
|
|
|
9,798,945 |
|
| Broadcom, Inc. |
|
|
69,920 |
|
|
|
22,067,451 |
|
| Intel Corp. |
|
|
753,900 |
|
|
|
45,105,837 |
|
| KLA Corp. |
|
|
27,900 |
|
|
|
5,425,992 |
|
| Lam Research Corp. |
|
|
25,500 |
|
|
|
8,248,230 |
|
| Maxim Integrated Products, Inc. |
|
|
47,500 |
|
|
|
2,878,975 |
|
| Microchip Technology, Inc.(a) |
|
|
42,000 |
|
|
|
4,423,020 |
|
| Micron Technology, Inc.* |
|
|
194,200 |
|
|
|
10,005,184 |
|
| NVIDIA Corp. |
|
|
108,590 |
|
|
|
41,254,427 |
|
| Qorvo, Inc.* |
|
|
20,486 |
|
|
|
2,264,318 |
|
| QUALCOMM, Inc. |
|
|
201,150 |
|
|
|
18,346,891 |
|
| Skyworks Solutions, Inc. |
|
|
30,400 |
|
|
|
3,886,944 |
|
| Texas Instruments, Inc.(a) |
|
|
164,600 |
|
|
|
20,899,262 |
|
| Xilinx, Inc. |
|
|
44,200 |
|
|
|
4,348,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
217,780,401 |
|
|
|
|
|
|
|
|
|
|
| Software — 9.1% |
|
|
|
|
|
|
|
|
| Adobe, Inc.* |
|
|
85,375 |
|
|
|
37,164,591 |
|
| ANSYS, Inc.* |
|
|
15,100 |
|
|
|
4,405,123 |
|
| Autodesk, Inc.* |
|
|
38,670 |
|
|
|
9,249,477 |
|
| Cadence Design Systems, Inc.* |
|
|
49,700 |
|
|
|
4,769,212 |
|
| Citrix Systems, Inc. |
|
|
20,800 |
|
|
|
3,076,528 |
|
| Fortinet, Inc.* |
|
|
25,400 |
|
|
|
3,486,658 |
|
| Intuit, Inc. |
|
|
46,000 |
|
|
|
13,624,740 |
|
| Microsoft Corp. |
|
|
1,343,530 |
|
|
|
273,421,791 |
|
| NortonLifeLock, Inc. |
|
|
102,411 |
|
|
|
2,030,810 |
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Software (cont’d.) |
|
|
|
|
|
|
|
|
| Oracle Corp. |
|
|
373,095 |
|
|
$ |
20,620,961 |
|
| Paycom Software, Inc.*(a) |
|
|
8,700 |
|
|
|
2,694,651 |
|
| salesforce.com, Inc.* |
|
|
159,600 |
|
|
|
29,897,868 |
|
| ServiceNow, Inc.* |
|
|
33,300 |
|
|
|
13,488,498 |
|
| Synopsys, Inc.* |
|
|
26,400 |
|
|
|
5,148,000 |
|
| Tyler Technologies, Inc.* |
|
|
6,100 |
|
|
|
2,115,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
425,194,876 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 2.4% |
|
|
|
|
|
|
|
|
| Advance Auto Parts, Inc. |
|
|
12,560 |
|
|
|
1,789,172 |
|
| AutoZone, Inc.* |
|
|
4,280 |
|
|
|
4,828,354 |
|
| Best Buy Co., Inc. |
|
|
41,025 |
|
|
|
3,580,252 |
|
| CarMax, Inc.*(a) |
|
|
29,100 |
|
|
|
2,605,905 |
|
| Gap, Inc. (The)(a) |
|
|
37,187 |
|
|
|
469,300 |
|
| Home Depot, Inc. (The) |
|
|
191,269 |
|
|
|
47,914,797 |
|
| L Brands, Inc.(a) |
|
|
41,796 |
|
|
|
625,686 |
|
| Lowe’s Cos., Inc. |
|
|
135,275 |
|
|
|
18,278,358 |
|
| O’Reilly Automotive, Inc.* |
|
|
13,360 |
|
|
|
5,633,511 |
|
| Ross Stores, Inc. |
|
|
63,700 |
|
|
|
5,429,788 |
|
| Tiffany & Co. |
|
|
19,000 |
|
|
|
2,316,860 |
|
| TJX Cos., Inc. (The) |
|
|
214,100 |
|
|
|
10,824,896 |
|
| Tractor Supply Co. |
|
|
21,200 |
|
|
|
2,793,948 |
|
| Ulta Beauty, Inc.* |
|
|
10,270 |
|
|
|
2,089,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,179,950 |
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals — 6.0% |
|
| Apple, Inc. |
|
|
721,605 |
|
|
|
263,241,504 |
|
| Hewlett Packard Enterprise Co. |
|
|
232,166 |
|
|
|
2,258,975 |
|
| HP, Inc. |
|
|
259,966 |
|
|
|
4,531,207 |
|
| NetApp, Inc.(a) |
|
|
41,200 |
|
|
|
1,828,044 |
|
| Seagate Technology PLC(a) |
|
|
41,100 |
|
|
|
1,989,651 |
|
| Western Digital Corp.(a) |
|
|
52,168 |
|
|
|
2,303,217 |
|
| Xerox Holdings Corp. |
|
|
32,902 |
|
|
|
503,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
276,655,670 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods — 0.6% |
|
| Hanesbrands, Inc.(a) |
|
|
62,100 |
|
|
|
701,109 |
|
| NIKE, Inc. (Class B Stock) |
|
|
219,400 |
|
|
|
21,512,170 |
|
| PVH Corp.(a) |
|
|
13,300 |
|
|
|
639,065 |
|
| Ralph Lauren Corp.(a) |
|
|
9,200 |
|
|
|
667,184 |
|
| Tapestry, Inc.(a) |
|
|
50,300 |
|
|
|
667,984 |
|
| Under Armour, Inc. (Class A Stock)* |
|
|
34,300 |
|
|
|
334,082 |
|
| Under Armour, Inc. (Class C Stock)*(a) |
|
|
33,303 |
|
|
|
294,399 |
|
| VF Corp. |
|
|
57,444 |
|
|
|
3,500,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,316,630 |
|
|
|
|
|
|
|
|
|
|
| Tobacco — 0.7% |
|
|
|
|
|
|
|
|
| Altria Group, Inc. |
|
|
329,300 |
|
|
|
12,925,025 |
|
| Philip Morris International, Inc. |
|
|
273,800 |
|
|
|
19,182,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,107,453 |
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 0.2% |
|
| Fastenal Co. |
|
|
100,600 |
|
|
|
4,309,704 |
|
| United Rentals, Inc.* |
|
|
13,440 |
|
|
|
2,003,098 |
|
| W.W. Grainger, Inc. |
|
|
7,820 |
|
|
|
2,456,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,769,533 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A135
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Shares |
|
|
Value |
|
|
| COMMON STOCKS (continued) |
|
| Water Utilities — 0.1% |
|
| American Water Works Co., Inc. |
|
|
|
31,800 |
|
|
$ |
4,091,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 0.2% |
|
| T-Mobile US, Inc.* |
|
|
|
94,800 |
|
|
|
9,873,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $1,396,333,814) |
|
|
|
4,534,672,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS — 0.4% |
|
| iShares Core S&P 500 ETF(a) |
|
|
|
39,800 |
|
|
|
12,325,662 |
|
| SPDR S&P 500 ETF Trust(a) |
|
|
|
14,000 |
|
|
|
4,317,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL EXCHANGE-TRADED FUNDS
(cost $14,523,422) |
|
|
|
16,642,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL LONG-TERM INVESTMENTS
(cost $1,410,857,236) |
|
|
|
4,551,314,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS — 8.7% |
|
|
| AFFILIATED MUTUAL FUNDS — 8.5% |
|
| PGIM Core Ultra Short Bond Fund(w) |
|
|
|
86,852,887 |
|
|
|
86,852,887 |
|
| PGIM Institutional Money Market Fund (cost $307,942,579; includes $307,768,313 of cash
collateral for securities on loan)(b)(w) |
|
|
|
308,848,059 |
|
|
|
308,848,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL AFFILIATED MUTUAL FUNDS
(cost $394,795,466) |
|
|
|
395,700,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest
Rate |
|
Maturity
Date |
|
|
|
|
|
Principal
Amount
(000)# |
|
|
|
|
|
| U.S. TREASURY OBLIGATION(k)(n) — 0.2% |
|
| U.S. Treasury Bills |
|
|
|
|
|
|
|
|
|
| 0.130% |
|
|
09/17/20 |
|
|
|
|
|
|
|
7,400 |
|
|
|
7,397,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (cost $7,397,920) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(cost $402,193,386) |
|
|
|
403,098,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS — 106.6%
(cost $1,813,050,622) |
|
|
|
4,954,413,468 |
|
|
Liabilities in excess of other assets(z) — (6.6)% |
|
|
|
(305,247,234 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS — 100.0% |
|
|
$ |
4,649,166,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
| * |
Non-income producing security. |
| # |
Principal amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending
settlement, is $304,362,116; cash collateral of $307,768,313 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on
the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) |
Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes
dividend reinvestment. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.
|
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM
Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the
Schedule of Investments: |
Futures contracts outstanding at June 30,
2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts |
|
Type |
|
|
Expiration
Date |
|
|
Current
Notional
Amount |
|
|
Value /
Unrealized
Appreciation
(Depreciation) |
|
| Long Position: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 589 |
|
|
S&P 500 E-Mini Index |
|
|
|
Sep. 2020 |
|
|
$ |
91,006,390 |
|
|
$ |
833,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A136
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives
are listed by broker as follows:
|
|
|
|
|
|
|
|
|
| Broker |
|
Cash and/or Foreign Currency |
|
|
Securities Market Value |
|
| UBS Securities LLC |
|
$ |
— |
|
|
$ |
7,397,755 |
|
|
|
|
|
|
|
|
|
|
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, 2020 in valuing such portfolio securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense |
|
$ |
79,695,898 |
|
|
$ |
— |
|
|
$ |
— |
|
| Air Freight & Logistics |
|
|
23,914,979 |
|
|
|
— |
|
|
|
— |
|
| Airlines |
|
|
9,139,177 |
|
|
|
— |
|
|
|
— |
|
| Auto Components |
|
|
4,804,708 |
|
|
|
— |
|
|
|
— |
|
| Automobiles |
|
|
9,748,751 |
|
|
|
— |
|
|
|
— |
|
| Banks |
|
|
165,881,233 |
|
|
|
— |
|
|
|
— |
|
| Beverages |
|
|
75,861,297 |
|
|
|
— |
|
|
|
— |
|
| Biotechnology |
|
|
112,278,499 |
|
|
|
— |
|
|
|
— |
|
| Building Products |
|
|
18,643,825 |
|
|
|
— |
|
|
|
— |
|
| Capital Markets |
|
|
122,683,318 |
|
|
|
— |
|
|
|
— |
|
| Chemicals |
|
|
80,899,273 |
|
|
|
— |
|
|
|
— |
|
| Commercial Services & Supplies |
|
|
18,400,409 |
|
|
|
— |
|
|
|
— |
|
| Communications Equipment |
|
|
43,943,272 |
|
|
|
— |
|
|
|
— |
|
| Construction & Engineering |
|
|
3,046,066 |
|
|
|
— |
|
|
|
— |
|
| Construction Materials |
|
|
4,971,575 |
|
|
|
— |
|
|
|
— |
|
| Consumer Finance |
|
|
21,447,564 |
|
|
|
— |
|
|
|
— |
|
| Containers & Packaging |
|
|
14,974,628 |
|
|
|
— |
|
|
|
— |
|
| Distributors |
|
|
3,698,058 |
|
|
|
— |
|
|
|
— |
|
| Diversified Consumer Services |
|
|
512,652 |
|
|
|
— |
|
|
|
— |
|
| Diversified Financial Services |
|
|
61,418,151 |
|
|
|
— |
|
|
|
— |
|
| Diversified Telecommunication Services |
|
|
79,979,102 |
|
|
|
— |
|
|
|
— |
|
| Electric Utilities |
|
|
85,504,520 |
|
|
|
— |
|
|
|
— |
|
| Electrical Equipment |
|
|
20,956,882 |
|
|
|
— |
|
|
|
— |
|
| Electronic Equipment, Instruments & Components |
|
|
24,067,769 |
|
|
|
— |
|
|
|
— |
|
| Energy Equipment & Services |
|
|
9,564,602 |
|
|
|
— |
|
|
|
— |
|
| Entertainment |
|
|
91,517,729 |
|
|
|
— |
|
|
|
— |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
125,066,824 |
|
|
|
— |
|
|
|
— |
|
| Food & Staples Retailing |
|
|
68,773,340 |
|
|
|
— |
|
|
|
— |
|
| Food Products |
|
|
50,807,184 |
|
|
|
— |
|
|
|
— |
|
| Gas Utilities |
|
|
2,091,180 |
|
|
|
— |
|
|
|
— |
|
| Health Care Equipment & Supplies |
|
|
171,330,963 |
|
|
|
— |
|
|
|
— |
|
| Health Care Providers & Services |
|
|
128,094,030 |
|
|
|
— |
|
|
|
— |
|
| Health Care Technology |
|
|
3,777,105 |
|
|
|
— |
|
|
|
— |
|
| Hotels, Restaurants & Leisure |
|
|
69,956,460 |
|
|
|
— |
|
|
|
— |
|
| Household Durables |
|
|
16,962,196 |
|
|
|
— |
|
|
|
— |
|
| Household Products |
|
|
80,398,342 |
|
|
|
— |
|
|
|
— |
|
| Independent Power & Renewable Electricity Producers |
|
|
1,688,085 |
|
|
|
— |
|
|
|
— |
|
| Industrial Conglomerates |
|
|
51,615,458 |
|
|
|
— |
|
|
|
— |
|
| Insurance |
|
|
83,731,912 |
|
|
|
— |
|
|
|
— |
|
| Interactive Media & Services |
|
|
249,231,357 |
|
|
|
— |
|
|
|
— |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A137
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Investments in Securities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Internet & Direct Marketing Retail |
|
$ |
225,122,079 |
|
|
$ |
— |
|
|
$ |
— |
|
| IT Services |
|
|
259,394,918 |
|
|
|
— |
|
|
|
— |
|
| Leisure Products |
|
|
1,675,132 |
|
|
|
— |
|
|
|
— |
|
| Life Sciences Tools & Services |
|
|
53,674,333 |
|
|
|
— |
|
|
|
— |
|
| Machinery |
|
|
68,111,074 |
|
|
|
— |
|
|
|
— |
|
| Media |
|
|
57,121,913 |
|
|
|
— |
|
|
|
— |
|
| Metals & Mining |
|
|
14,055,100 |
|
|
|
— |
|
|
|
— |
|
| Multiline Retail |
|
|
23,753,606 |
|
|
|
— |
|
|
|
— |
|
| Multi-Utilities |
|
|
43,768,628 |
|
|
|
— |
|
|
|
— |
|
| Oil, Gas & Consumable Fuels |
|
|
118,388,989 |
|
|
|
— |
|
|
|
— |
|
| Personal Products |
|
|
7,646,576 |
|
|
|
— |
|
|
|
— |
|
| Pharmaceuticals |
|
|
194,641,950 |
|
|
|
— |
|
|
|
— |
|
| Professional Services |
|
|
15,971,014 |
|
|
|
— |
|
|
|
— |
|
| Real Estate Management & Development |
|
|
2,658,936 |
|
|
|
— |
|
|
|
— |
|
| Road & Rail |
|
|
45,640,123 |
|
|
|
— |
|
|
|
— |
|
| Semiconductors & Semiconductor Equipment |
|
|
217,780,401 |
|
|
|
— |
|
|
|
— |
|
| Software |
|
|
425,194,876 |
|
|
|
— |
|
|
|
— |
|
| Specialty Retail |
|
|
109,179,950 |
|
|
|
— |
|
|
|
— |
|
| Technology Hardware, Storage & Peripherals |
|
|
276,655,670 |
|
|
|
— |
|
|
|
— |
|
| Textiles, Apparel & Luxury Goods |
|
|
28,316,630 |
|
|
|
— |
|
|
|
— |
|
| Tobacco |
|
|
32,107,453 |
|
|
|
— |
|
|
|
— |
|
| Trading Companies & Distributors |
|
|
8,769,533 |
|
|
|
— |
|
|
|
— |
|
| Water Utilities |
|
|
4,091,388 |
|
|
|
— |
|
|
|
— |
|
| Wireless Telecommunication Services |
|
|
9,873,420 |
|
|
|
— |
|
|
|
— |
|
| Exchange-Traded Funds |
|
|
16,642,702 |
|
|
|
— |
|
|
|
— |
|
| Affiliated Mutual Funds |
|
|
395,700,946 |
|
|
|
— |
|
|
|
— |
|
| U.S. Treasury Obligation |
|
|
— |
|
|
|
7,397,755 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
4,947,015,713 |
|
|
$ |
7,397,755 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
833,558 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures,
forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and
liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
|
|
|
|
|
| Software |
|
|
9.1 |
% |
| Affiliated Mutual Funds (6.6% represents investments purchased with collateral from securities on
loan) |
|
|
8.5 |
|
| Technology Hardware, Storage & Peripherals |
|
|
6.0 |
|
| IT Services |
|
|
5.6 |
|
| Interactive Media & Services |
|
|
5.4 |
|
| Internet & Direct Marketing Retail |
|
|
4.8 |
|
| Semiconductors & Semiconductor Equipment |
|
|
4.7 |
|
| Pharmaceuticals |
|
|
4.2 |
|
| Health Care Equipment & Supplies |
|
|
3.7 |
|
| Banks |
|
|
3.6 |
|
| Health Care Providers & Services |
|
|
2.8 |
|
| Equity Real Estate Investment Trusts (REITs) |
|
|
2.7 |
|
| Capital Markets |
|
|
2.6 |
|
| Oil, Gas & Consumable Fuels |
|
|
2.5 |
|
| Biotechnology |
|
|
2.4 |
|
|
|
|
|
|
| Specialty Retail |
|
|
2.4 |
% |
| Entertainment |
|
|
2.0 |
|
| Electric Utilities |
|
|
1.8 |
|
| Insurance |
|
|
1.8 |
|
| Chemicals |
|
|
1.7 |
|
| Household Products |
|
|
1.7 |
|
| Diversified Telecommunication Services |
|
|
1.7 |
|
| Aerospace & Defense |
|
|
1.7 |
|
| Beverages |
|
|
1.6 |
|
| Hotels, Restaurants & Leisure |
|
|
1.5 |
|
| Food & Staples Retailing |
|
|
1.5 |
|
| Machinery |
|
|
1.5 |
|
| Diversified Financial Services |
|
|
1.3 |
|
| Media |
|
|
1.2 |
|
| Life Sciences Tools & Services |
|
|
1.2 |
|
| Industrial Conglomerates |
|
|
1.1 |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A138
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
Industry Classification (continued):
|
|
|
|
|
| Food Products |
|
|
1.1 |
% |
| Road & Rail |
|
|
1.0 |
|
| Communications Equipment |
|
|
0.9 |
|
| Multi-Utilities |
|
|
0.9 |
|
| Tobacco |
|
|
0.7 |
|
| Textiles, Apparel & Luxury Goods |
|
|
0.6 |
|
| Electronic Equipment, Instruments & Components |
|
|
0.5 |
|
| Air Freight & Logistics |
|
|
0.5 |
|
| Multiline Retail |
|
|
0.5 |
|
| Consumer Finance |
|
|
0.5 |
|
| Electrical Equipment |
|
|
0.5 |
|
| Building Products |
|
|
0.4 |
|
| Commercial Services & Supplies |
|
|
0.4 |
|
| Household Durables |
|
|
0.4 |
|
| Exchange-Traded Funds |
|
|
0.4 |
|
| Professional Services |
|
|
0.3 |
|
| Containers & Packaging |
|
|
0.3 |
|
| Metals & Mining |
|
|
0.3 |
|
| Wireless Telecommunication Services |
|
|
0.2 |
|
| Automobiles |
|
|
0.2 |
|
| Energy Equipment & Services |
|
|
0.2 |
|
|
|
|
|
|
| Airlines |
|
|
0.2 |
% |
| Trading Companies & Distributors |
|
|
0.2 |
|
| Personal Products |
|
|
0.2 |
|
| U.S. Treasury Obligation |
|
|
0.2 |
|
| Construction Materials |
|
|
0.1 |
|
| Auto Components |
|
|
0.1 |
|
| Water Utilities |
|
|
0.1 |
|
| Health Care Technology |
|
|
0.1 |
|
| Distributors |
|
|
0.1 |
|
| Construction & Engineering |
|
|
0.1 |
|
| Real Estate Management & Development |
|
|
0.1 |
|
| Gas Utilities |
|
|
0.0 |
* |
| Independent Power & Renewable Electricity Producers |
|
|
0.0 |
* |
| Leisure Products |
|
|
0.0 |
* |
| Diversified Consumer Services |
|
|
0.0 |
* |
|
|
|
|
|
|
|
|
106.6 |
|
| Liabilities in excess of other assets |
|
|
(6.6 |
) |
|
|
|
|
|
|
|
|
100.0 |
% |
|
|
|
|
|
Effects of Derivative Instruments on the
Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of
risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the
Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset Derivatives |
|
|
Liability Derivatives |
|
| Derivatives not accounted for as
hedging instruments, carried at fair
value |
|
Statement of Assets and
Liabilities Location |
|
Fair Value |
|
|
Statement of Assets and
Liabilities Location |
|
Fair Value |
|
| Equity contracts |
|
Due from/to broker-variation margin futures |
|
$ |
833,558 |
* |
|
— |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
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, 2020 are as follows:
|
|
|
|
|
|
|
|
|
| Amount of Realized Gain (Loss) on Derivatives Recognized in
Income |
|
| Derivatives not accounted for as hedging instruments, carried at fair
value |
|
Rights(1) |
|
|
Futures |
|
| Equity contracts |
|
$ |
14,163 |
|
|
$ |
(6,854,822 |
) |
|
|
|
|
|
|
|
|
|
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
|
|
|
|
| Change in Unrealized Appreciation (Depreciation) on
Derivatives Recognized in Income |
|
| Derivatives not accounted for as hedging instruments, carried at fair
value |
|
Futures |
|
| Equity contracts |
|
$ |
(435,489 |
) |
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A139
|
|
|
|
|
|
|
|
|
|
|
|
STOCK INDEX PORTFOLIO (CONTINUED) |
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULE OF INVESTMENTS |
|
as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
|
|
Futures
Contracts—
Long
Positions(1) |
| $85,821,290 |
| (1) |
Notional Amount in USD. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to
enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to
set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(1) |
|
|
Net
Amount |
|
| Securities on Loan |
|
$ |
304,362,116 |
|
|
$ |
(304,362,116 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
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 AND LIABILITIES (unaudited)
as of June 30, 2020
|
|
|
|
|
| ASSETS |
|
|
|
|
| Investments at value, including securities on loan of $304,362,116: |
|
|
|
|
| Unaffiliated investments (cost $1,418,255,156) |
|
$ |
4,558,712,522 |
|
| Affiliated investments (cost $394,795,466) |
|
|
395,700,946 |
|
| Cash |
|
|
43,186 |
|
| Dividends and interest receivable |
|
|
3,596,406 |
|
| Due from broker-variation margin futures |
|
|
1,251,625 |
|
| Receivable for investments sold |
|
|
401,788 |
|
| Receivable for Portfolio shares sold |
|
|
209,968 |
|
| Tax reclaim receivable |
|
|
5,592 |
|
| Prepaid expenses |
|
|
4,407 |
|
|
|
|
|
|
| Total Assets |
|
|
4,959,926,440 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payable to broker for collateral for securities on loan |
|
|
307,768,313 |
|
| Management fee payable |
|
|
1,115,655 |
|
| Payable for Portfolio shares repurchased |
|
|
1,001,283 |
|
| Payable for investments purchased |
|
|
630,724 |
|
| Accrued expenses and other liabilities |
|
|
243,305 |
|
| Affiliated transfer agent fee payable |
|
|
926 |
|
|
|
|
|
|
| Total Liabilities |
|
|
310,760,206 |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
4,649,166,234 |
|
|
|
|
|
|
| Net assets were comprised of: |
|
|
|
|
| Partners’ Equity |
|
$ |
4,649,166,234 |
|
|
|
|
|
|
| Net asset value and redemption price per share, $4,649,166,234 / 64,690,052 outstanding shares of beneficial
interest |
|
$ |
71.87 |
|
|
|
|
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2020
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
|
|
| INCOME |
|
|
|
|
| Unaffiliated dividend income |
|
$ |
43,720,833 |
|
| Income from securities lending, net (including affiliated income of $664,750) |
|
|
685,349 |
|
| Affiliated dividend income |
|
|
533,088 |
|
| Interest income |
|
|
3,405 |
|
|
|
|
|
|
| Total income |
|
|
44,942,675 |
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Management fee |
|
|
6,545,107 |
|
| Custodian and accounting fees |
|
|
130,781 |
|
| Shareholders’ reports |
|
|
78,159 |
|
| Trustees’ fees |
|
|
31,267 |
|
| Legal fees and expenses |
|
|
13,532 |
|
| Audit fee |
|
|
12,462 |
|
| Transfer agent’s fees and expenses (including affiliated expense of $2,887) |
|
|
5,312 |
|
| Miscellaneous |
|
|
40,461 |
|
|
|
|
|
|
| Total expenses |
|
|
6,857,081 |
|
|
|
|
|
|
| NET INVESTMENT INCOME (LOSS) |
|
|
38,085,594 |
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS |
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
| Investment transactions (including affiliated of $13,503) |
|
|
5,344,743 |
|
| Futures transactions |
|
|
(6,854,822 |
) |
|
|
|
|
|
|
|
|
(1,510,079 |
) |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| Investments (including affiliated of $863,655) |
|
|
(194,319,219 |
) |
| Futures |
|
|
(435,489 |
) |
|
|
|
|
|
|
|
|
(194,754,708 |
) |
|
|
|
|
|
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS |
|
|
(196,264,787 |
) |
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
(158,179,193 |
) |
|
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
|
|
|
|
|
|
|
|
|
| |
|
Six Months
Ended
June 30, 2020 |
|
|
Year Ended
December 31,
2019 |
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
$ |
38,085,594 |
|
|
$ |
72,524,098 |
|
| Net realized gain (loss) on investment transactions |
|
|
(1,510,079 |
) |
|
|
79,062,396 |
|
| Net change in unrealized appreciation (depreciation) on investments |
|
|
(194,754,708 |
) |
|
|
988,963,592 |
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
(158,179,193 |
) |
|
|
1,140,550,086 |
|
|
|
|
|
|
|
|
|
|
| PORTFOLIO SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
| Portfolio shares sold [2,356,978 and 2,978,605 shares, respectively] |
|
|
170,616,971 |
|
|
|
192,206,253 |
|
| Portfolio shares repurchased [1,737,399 and 3,748,907 shares, respectively] |
|
|
(120,172,544 |
) |
|
|
(248,177,505 |
) |
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
|
|
50,444,427 |
|
|
|
(55,971,252 |
) |
|
|
|
|
|
|
|
|
|
| TOTAL INCREASE (DECREASE) |
|
|
(107,734,766 |
) |
|
|
1,084,578,834 |
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
4,756,901,000 |
|
|
|
3,672,322,166 |
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
4,649,166,234 |
|
|
$ |
4,756,901,000 |
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A141
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”),
as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in
these financial statements pertains to the 8 Portfolios listed below together with their investment objectives. Each Portfolio below is a diversified portfolio.
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.
The Series Fund follows the investment company accounting and reporting
guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally
accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of
each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market
participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC
(“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and
liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed
representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of
the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some
of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine
how the Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance
with FASB ASC Topic 820—Fair Value Measurements and Disclosures.
Common 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
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price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These
securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are generally valued
using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable.
Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing
market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance
with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end,
non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since
they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally
classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios
utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on
evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain
Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period,
there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
The Government Money Market
Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant
amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and
provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction
price in excess of five business days are classified as Level 3 in the fair value hierarchy.
OTC and centrally cleared derivative instruments
are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party
vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market
quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash
inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party
vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain
derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with
respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the
methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
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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 Manager regarding the
issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to
calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4
under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that each Portfolio (excluding money market portfolios and
closed-end funds) limit their illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or
contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A
Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Subject to
the Board approved LRMP, the Portfolios with the exception of Government Money Market Portfolio may invest up to 15% of their respective net assets in illiquid securities. Separately and subject to guidelines adopted by the Board, the Government
Money Market Portfolio may invest up to 5% of its net assets in illiquid securities.
Restricted Securities: Securities
acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued
pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among
qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be
classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Portfolios’ investments in restricted securities could be impaired if trading
does not develop or declines.
Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR): Certain
Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR
securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages
experience credit defaults.
Foreign Currency Translation: The books and records of the Portfolios are maintained in
U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment
securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities,
income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the
Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from
the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from
changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included
in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions
represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of
interest, dividends
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and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing
foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
Forward and Cross Currency
Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the
prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The
contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the
contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise
upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on
the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency
contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations
in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use
options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio
purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is
adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is
recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or
sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on
options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial
instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC
option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse
acts as counterparty to all exchange-traded options and guarantees the options contracts against default.
When a Portfolio writes an option on a
swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes
obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed
interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated
with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed
amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the
contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying
security. Such variation margin is recorded for financial statement purposes on a daily
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basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures
transactions.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the
Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may
realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal
counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Bank Loans: Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately
negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios acquired interests in loans directly (by way
of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Portfolios generally will succeed to all the rights and obligations of an
assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolios generally will have a contractual relationship only with the lender,
not with the relevant borrower. As a result, the Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the
lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of
both the borrower and the institution selling the participation to the Portfolios.
Repurchase Agreements: Certain
Portfolios entered into repurchase agreements. In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty
repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase
transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults
and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Swap Agreements: Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap
agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized
appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For
OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement
of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate
Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain
Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate
payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the
counterparty over the contract’s remaining life.
Credit Default Swaps (“CDS”): CDS involve one party
(the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for
the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising
a credit index.
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Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives,
and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit
soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit
deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the
contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally
receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the
Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a
seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by
any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of
protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads,
represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable.
These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of
buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the
referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the
commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of
pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. The Portfolios’ maximum risk of loss from counterparty credit risk is the change in the value of the
security, in favor of the Portfolio, from the point of entering into the contract.
Master Netting Arrangements: The
Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of
a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting
and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received;
and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting
arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to
set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off
is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master
Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations,
representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated
account by the Portfolio’s custodian and with
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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, 2020, 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.
Rights: Certain Portfolios held rights acquired either through a direct purchase or pursuant to corporate actions. Rights
entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such rights are held as long positions by the Portfolios until
exercised, sold or expired. Rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Securities
Lending: Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower
is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation
in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above.
Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail
financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.
The Portfolio recognizes income, net
of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such
payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that
may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of
Operations.
Mortgage Dollar Rolls: Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell
mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period,
the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The
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difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of
which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase
price.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in
equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital
gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains
(losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio
becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of
certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and
unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated
as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s
shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign
dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related
income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced below. Each Portfolio generally attempts to manage its diversification in a manner that supports the
diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each
Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to
make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
The Series Fund, on behalf of the Portfolios, has a management agreement with PGIM
Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with each of PGIM,
Inc., which provides subadvisory services to the Portfolios through PGIM Limited (commenced as a subadviser on April 27, 2020), PGIM Fixed Income (“PFI”) (a business unit of PGIM, Inc.), Jennison Associates LLC (“Jennison”)
(a wholly-owned subsidiary of PGIM, Inc.), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), QMA LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and
William Blair & Co. LLC (“William Blair”) (collectively, the “subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the
subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.
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The management fee paid to the Manager is accrued daily and payable monthly, using the value of each
Portfolio’s average daily net assets, at the respective annual rates specified below.
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Management Fee |
|
Effective
Management Fee,
Net of Waiver,
if Applicable |
|
| Conservative Balanced Portfolio |
|
0.55% |
|
|
0.55 |
% |
| Diversified Bond Portfolio |
|
0.40 |
|
|
0.40 |
|
| Equity Portfolio |
|
0.45 |
|
|
0.45 |
|
| Flexible Managed Portfolio |
|
0.60 |
|
|
0.60 |
|
| Global Portfolio |
|
0.75 |
|
|
0.72 |
* |
| Government Income Portfolio |
|
0.40 |
|
|
0.40 |
|
| Government Money Market Portfolio |
|
0.30 |
|
|
0.26 |
** |
| Stock Index Portfolio |
|
0.30% up to $ 4 billion
0.25% over $ 4 billion |
|
|
0.29 |
|
| |
* |
The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an
annual rate of 0.0323% of the average daily net assets of the Portfolio. Effective March 1, 2020, the Manager has contractually agreed to waive an additional 0.004% of its investment management fee through June 30, 2021.
|
| |
** |
The Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Manager at any time
without notice. During the period ended June 30, 2020, the Manager has reimbursed the Portfolio as a result of this voluntary agreement in the amount of $135,849, 0.04% of the Government Money Market Portfolio’s average daily net assets.
|
At June 30, 2020, the subadvisers that provide investment advisory services to the Portfolios are listed directly below.
Where more than one subadviser is listed, each subadviser provides services to a segment of the Portfolio:
|
|
|
| Portfolio |
|
Subadviser(s) |
| Conservative Balanced Portfolio |
|
PFI, PGIM Limited & QMA |
| Diversified Bond Portfolio |
|
PFI & PGIM Limited |
| Equity Portfolio |
|
Jennison |
| Flexible Managed Portfolio |
|
PFI, PGIM Limited & QMA |
| Global Portfolio |
|
Brown, LSV, QMA, T. Rowe & William Blair |
| Government Income Portfolio |
|
PFI |
| Government Money Market Portfolio |
|
PFI |
| 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, Class II and Class III shares of the Portfolios. The
Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II and Class III shares pursuant to a plan of distribution (the “Class II Plan” and “Class III Plan”, together, the Plans),
regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Plans, the
Class II and Class III shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II and Class III shares.
The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolios. The
administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under
the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid
B9
solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain
(loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was as follows:
|
|
|
|
|
| Portfolio |
|
Amount |
|
| Equity Portfolio |
|
$ |
84,072 |
|
| Global Portfolio |
|
|
14,456 |
|
PIMS, PGIM Investments, PGIM, Inc., PGIM Limited, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential.
| 3. |
|
Other Transactions with Affiliates |
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves
as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra
Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940
Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities Exchange Commission (“SEC”), a series of Prudential Investment
Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments
and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments are disclosed on the Statement of
Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Certain Portfolios may enter
into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject
to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common
directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly
summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no 17a-7 transactions were entered into by the Portfolios.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In September 2019, the Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described
below. Under the settlement, the Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Manager’s ability to manage the Portfolios.
In February 2016, Prudential, the parent company of the Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to
maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the
affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction.At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent
consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The per share amount of opportunity loss payment to the Portfolios is disclosed in the
Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.
In March
2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of
regulated investment companies (RICs). Specifically, as a result of their partnership status,
B10
the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in
certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from
these differences and delays. In consultation with the Series Fund’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable
Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to
partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party
consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Series Fund’s independent trustees. The excess withholding tax analysis considered detriments to the
Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well
as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a
third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Series Fund’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating
to the opportunity loss upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are
disclosed in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other
charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
Prudential
instituted a process in consultation with the Series Fund’s independent trustees to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date
of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have
the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an
applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which
Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded
as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not
incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding
tax, those costs are borne by Prudential.
The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax
detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
|
|
|
|
| Portfolio |
|
2020 Payments |
|
| Conservative Balanced Portfolio |
|
$ |
32,562 |
|
| Flexible Managed Portfolio |
|
|
39,504 |
|
| Global Portfolio |
|
|
111,234 |
|
The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as
described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
|
|
|
|
| Portfolio |
|
2020 Payments |
|
| Conservative Balanced Portfolio |
|
$ |
1,480 |
|
B11
|
|
|
|
|
| Portfolio |
|
2020 Payments |
|
| Flexible Managed Portfolio |
|
$ |
3,066 |
|
| Global Portfolio |
|
|
87,287 |
|
The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss
associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
|
|
|
|
| Portfolio |
|
Capital
Contributions |
|
| Conservative Balance Portfolio |
|
$ |
13,184 |
|
| Equity Portfolio |
|
|
3 |
|
| Flexible Managed Portfolio |
|
|
14,632 |
|
| Global Portfolio |
|
|
85,664 |
|
The aggregate cost of purchases and proceeds from sales of portfolio
securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were as follows:
|
|
|
|
|
|
|
|
|
| Portfolio |
|
Cost of Purchases |
|
|
Proceeds from Sales |
|
| Conservative Balanced Portfolio |
|
$ |
774,107,521 |
|
|
$ |
905,783,541 |
|
| Diversified Bond Portfolio |
|
|
137,723,811 |
|
|
|
153,071,010 |
|
| Equity Portfolio |
|
|
1,402,634,456 |
|
|
|
1,524,096,986 |
|
| Flexible Managed Portfolio |
|
|
2,226,886,889 |
|
|
|
2,427,231,366 |
|
| Global Portfolio |
|
|
178,043,807 |
|
|
|
213,443,784 |
|
| Government Income Portfolio |
|
|
85,472,789 |
|
|
|
92,903,821 |
|
| Stock Index Portfolio |
|
|
124,300,604 |
|
|
|
42,273,613 |
|
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period
ended June 30, 2020, is presented as follows:
Conservative Balanced Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$255,146,173 |
|
|
$ |
379,552,543 |
|
|
$ |
283,679,737 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
351,018,979 |
|
|
|
351,018,979 |
|
|
$ |
1,603,649 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
75,225,305 |
|
|
|
554,947,424 |
|
|
|
564,072,093 |
|
|
|
183,453 |
|
|
|
(150,498 |
) |
|
|
66,133,591 |
|
|
|
66,133,591 |
|
|
|
188,818 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$330,371,478 |
|
|
$ |
934,499,967 |
|
|
$ |
847,751,830 |
|
|
$ |
183,453 |
|
|
$ |
(150,498 |
) |
|
$ |
417,152,570 |
|
|
|
|
|
|
$ |
1,792,467 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Bond Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ 2,890,447 |
|
|
$ |
155,175,756 |
|
|
$ |
154,907,962 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,158,241 |
|
|
|
3,158,241 |
|
|
$ |
100,215 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
33,315,035 |
|
|
|
131,835,026 |
|
|
|
85,877,744 |
|
|
|
28,166 |
|
|
|
(22,175 |
) |
|
|
79,278,308 |
|
|
|
79,278,308 |
|
|
|
68,421 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$36,205,482 |
|
|
$ |
287,010,782 |
|
|
$ |
240,785,706 |
|
|
$ |
28,166 |
|
|
$ |
(22,175 |
) |
|
$ |
82,436,549 |
|
|
|
|
|
|
$ |
168,636 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B12
Equity Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Value,
Beginning
of
Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ 54,364,910 |
|
|
$ |
651,224,476 |
|
|
$ |
651,156,646 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
54,432,740 |
|
|
|
54,432,740 |
|
|
$ |
572,464 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
220,901,277 |
|
|
|
1,388,849,094 |
|
|
|
1,250,077,263 |
|
|
|
746,962 |
|
|
|
(48,015 |
) |
|
|
360,372,055 |
|
|
|
360,372,055 |
|
|
|
612,932 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$275,266,187 |
|
|
$ |
2,040,073,570 |
|
|
$ |
1,901,233,909 |
|
|
$ |
746,962 |
|
|
$ |
(48,015 |
) |
|
$ |
414,804,795 |
|
|
|
|
|
|
$ |
1,185,396 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Flexible Managed Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$153,379,057 |
|
|
$ |
583,524,549 |
|
|
$ |
411,449,292 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
325,454,314 |
|
|
|
325,454,314 |
|
|
$ |
1,065,914 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
117,674,766 |
|
|
|
769,271,911 |
|
|
|
747,466,822 |
|
|
|
348,673 |
|
|
|
240,600 |
|
|
|
140,069,128 |
|
|
|
140,069,128 |
|
|
|
274,187 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$271,053,823 |
|
|
$ |
1,352,796,460 |
|
|
$ |
1,158,916,114 |
|
|
$ |
348,673 |
|
|
$ |
240,600 |
|
|
$ |
465,523,442 |
|
|
|
|
|
|
$ |
1,340,101 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$35,350,796 |
|
|
$ |
146,574,563 |
|
|
$ |
151,032,821 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
30,892,538 |
|
|
|
30,892,538 |
|
|
$ |
228,176 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
46,466,559 |
|
|
|
189,378,321 |
|
|
|
199,993,971 |
|
|
|
52,112 |
|
|
|
(34,885 |
) |
|
|
35,868,136 |
|
|
|
35,868,136 |
|
|
|
68,181 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$81,817,355 |
|
|
$ |
335,952,884 |
|
|
$ |
351,026,792 |
|
|
$ |
52,112 |
|
|
$ |
(34,885 |
) |
|
$ |
66,760,674 |
|
|
|
|
|
|
$ |
296,357 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government Income Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Short-Term Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ 7,285,947 |
|
|
$ |
31,751 |
|
|
$ |
7,277,989 |
|
|
$ |
(178,952 |
) |
|
$ |
139,243 |
|
|
$ |
— |
|
|
|
— |
|
|
$ |
31,751 |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
5,041,716 |
|
|
|
65,167,571 |
|
|
|
61,801,104 |
|
|
|
— |
|
|
|
— |
|
|
|
8,408,183 |
|
|
|
8,408,183 |
|
|
|
24,159 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
| |
— |
|
|
|
68,370,693 |
|
|
|
30,616,098 |
|
|
|
15,115 |
|
|
|
7,907 |
|
|
|
37,777,617 |
|
|
|
37,777,617 |
|
|
|
14,534 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12,327,663 |
|
|
$ |
133,570,015 |
|
|
$ |
99,695,191 |
|
|
$ |
(163,837 |
) |
|
$ |
147,150 |
|
|
$ |
46,185,800 |
|
|
|
|
|
|
$ |
70,444 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B13
Stock Index Portfolio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value,
Beginning
of Period |
|
|
Cost of
Purchases |
|
|
Proceeds
from Sales |
|
|
Change in
Unrealized
Gain (Loss) |
|
|
Realized
Gain (Loss) |
|
|
Value,
End of Period |
|
|
Shares,
End
of Period |
|
|
Income |
|
| |
PGIM Core Ultra Short Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$ 88,663,837 |
|
|
$ |
181,610,431 |
|
|
$ |
183,421,381 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
86,852,887 |
|
|
|
86,852,887 |
|
|
$ |
533,088 |
|
| |
PGIM Institutional Money Market Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
238,544,735 |
|
|
$ |
2,310,189,091 |
|
|
$ |
2,240,762,925 |
|
|
$ |
863,655 |
|
|
$ |
13,503 |
|
|
$ |
308,848,059 |
|
|
|
308,848,059 |
|
|
$ |
664,750 |
** |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$327,208,572 |
|
|
$ |
2,491,799,522 |
|
|
$ |
2,424,184,306 |
|
|
$ |
863,655 |
|
|
$ |
13,503 |
|
|
$ |
395,700,946 |
|
|
|
|
|
|
$ |
1,197,838 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
* |
The Fund did not have any capital gain distributions during the reporting period. |
| |
** |
The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of
Operations. |
All Portfolios are treated as partnerships for federal income tax purposes. The
character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive
allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax
cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded
that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for
each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
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 table below provides details of the current SCA in effect at the reporting period-end.
|
|
|
| |
|
SCA |
| Term of Commitment |
|
10/3/2019 –10/1/2020 |
| Total Commitment |
|
$1,222,500,000* |
| Annualized Commitment Fee on the Unused Portion of the SCA |
|
0.15% |
| Annualized Interest Rate on Borrowings |
|
1.20% plus the higher of (1)
the effective federal funds
rate, (2) the one-month
LIBOR rate
or
(3) zero percent |
| |
* |
Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and
subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies
that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and
out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the
Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The following Portfolios
utilized the SCA during the reporting period ended June 30, 2020.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio |
|
Average
Balance
Outstanding |
|
|
Weighted
Average
Interest Rates |
|
|
Number
of Days
Outstanding |
|
|
Maximum
Balance
Outstanding |
|
|
Balance
Outstanding at
June 30, 2020 |
|
| Government Income Portfolio |
|
$ |
789,000 |
|
|
|
2.86 |
% |
|
|
3 |
|
|
$ |
789,000 |
|
|
$ |
— |
|
B14
The Portfolios offer Class I shares and certain Portfolios offer
Class II and/or Class III shares. All share classes are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I and Class III shares are sold only to certain separate
accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential
insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or
reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts
will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
As of June 30, 2020, the following number of shares of the Portfolios were owned of record directly or by other Portfolios as part of their
investments by insurance affiliates of Prudential.
|
|
|
|
|
|
|
|
|
| Portfolio |
|
Number of Shares |
|
|
Percentage of
Outstanding Shares |
|
| Conservative Balanced Portfolio |
|
|
79,793,188 |
|
|
|
100.0 |
% |
| Diversified Bond Portfolio |
|
|
80,499,836 |
|
|
|
98.8 |
% |
| Equity Portfolio - Class I |
|
|
72,090,344 |
|
|
|
100.0 |
% |
| Flexible Managed Portfolio |
|
|
122,596,992 |
|
|
|
100.0 |
% |
| Global Portfolio |
|
|
29,212,675 |
|
|
|
100.0 |
% |
| Government Income Portfolio |
|
|
17,283,159 |
|
|
|
100.0 |
% |
| Government Money Market Portfolio - Class I |
|
|
65,605,372 |
|
|
|
99.9 |
% |
| Government Money Market Portfolio - Class III |
|
|
1,323,645 |
|
|
|
100.0 |
% |
| Stock Index Portfolio |
|
|
64,690,052 |
|
|
|
100.0 |
% |
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following
percentage of outstanding shares, on behalf of multiple beneficial owners:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliated |
|
|
Unaffiliated |
|
| Portfolio |
|
Number of
Shareholders |
|
|
Percentage of
Outstanding Shares |
|
|
Number of
Shareholders |
|
|
Percentage of
Outstanding Shares |
|
| Conservative Balanced Portfolio |
|
|
3 |
|
|
|
100.0 |
% |
|
|
— |
|
|
|
— |
% |
| Diversified Bond Portfolio |
|
|
3 |
|
|
|
98.8 |
|
|
|
— |
|
|
|
— |
|
| Equity Portfolio |
|
|
3 |
|
|
|
99.9 |
|
|
|
— |
|
|
|
— |
|
| Flexible Managed Portfolio |
|
|
3 |
|
|
|
100.0 |
|
|
|
— |
|
|
|
— |
|
| Global Portfolio |
|
|
2 |
|
|
|
97.8 |
|
|
|
— |
|
|
|
— |
|
| Government Income Portfolio |
|
|
2 |
|
|
|
98.4 |
|
|
|
— |
|
|
|
— |
|
| Government Money Market Portfolio |
|
|
3 |
|
|
|
98.0 |
|
|
|
— |
|
|
|
— |
|
| Stock Index Portfolio |
|
|
3 |
|
|
|
100.0 |
|
|
|
— |
|
|
|
— |
|
Transactions in shares of beneficial interest of the Equity and Government Money Market Portfolios were as follows:
Equity Portfolio
|
|
|
|
|
|
|
|
|
| Class I: |
|
Shares |
|
|
Amount |
|
| Six months ended June 30, 2020: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
126,073 |
|
|
$ |
6,449,664 |
|
| Portfolio shares repurchased |
|
|
(2,599,726 |
) |
|
|
(157,268,375 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
(2,473,653 |
) |
|
$ |
(150,818,711 |
) |
|
|
|
|
|
|
|
|
|
| Year ended December 31, 2019: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
102,565 |
|
|
$ |
5,848,661 |
|
| Portfolio shares repurchased |
|
|
(5,496,601 |
) |
|
|
(313,401,998 |
) |
| Capital contributions |
|
|
— |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
(5,394,036 |
) |
|
$ |
(307,553,334 |
) |
|
|
|
|
|
|
|
|
|
B15
|
|
|
|
|
|
|
|
|
|
|
|
| Class II: |
|
Shares |
|
|
Amount |
|
| Six months ended June 30, 2020: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
1 |
|
|
$ |
32 |
|
| Portfolio shares repurchased |
|
|
(2,031 |
) |
|
|
(123,050 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
(2,030 |
) |
|
$ |
(123,018 |
) |
|
|
|
|
|
|
|
|
|
| Year ended December 31, 2019: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
1 |
|
|
$ |
39 |
|
| Portfolio shares repurchased |
|
|
(2,102 |
) |
|
|
(115,498 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
(2,101 |
) |
|
$ |
(115,459 |
) |
|
|
|
|
|
|
|
|
|
Government Money Market Portfolio
|
|
|
|
|
|
|
|
|
| Class I: |
|
Shares |
|
|
Amount |
|
| Six months ended June 30, 2020: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
30,697,714 |
|
|
$ |
306,977,142 |
|
| Shares issued in reinvestment of dividends and distributions |
|
|
179,043 |
|
|
|
1,790,426 |
|
| Portfolio shares repurchased |
|
|
(25,180,948 |
) |
|
|
(251,809,479 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
5,695,809 |
|
|
$ |
56,958,089 |
|
|
|
|
|
|
|
|
|
|
| Year ended December 31, 2019: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
51,839,113 |
|
|
$ |
518,391,129 |
|
| Shares issued in reinvestment of dividends and distributions |
|
|
1,065,025 |
|
|
|
10,650,252 |
|
| Portfolio shares repurchased |
|
|
(46,588,121 |
) |
|
|
(465,881,208 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
6,316,017 |
|
|
$ |
63,160,173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class III: |
|
|
|
|
|
|
| Period ended June 30, 2020*: |
|
|
|
|
|
|
|
|
| Portfolio shares sold |
|
|
1,644,063 |
|
|
$ |
16,440,632 |
|
| Shares issued in reinvestment of dividends and distributions |
|
|
1 |
|
|
|
11 |
|
| Portfolio shares repurchased |
|
|
(320,419 |
) |
|
|
(3,204,193 |
) |
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in shares outstanding |
|
|
1,323,645 |
|
|
$ |
13,236,450 |
|
|
|
|
|
|
|
|
|
|
| |
* |
Commencement of offering was May 18, 2020. |
| 8. |
|
Risks of Investing in the Portfolios |
The Portfolios’ risks include, but are not limited to,
some or all of the risks discussed below. For further information on the risks applicable to any given Portfolio, please refer to the Prospectus and Statement of Additional Information of that Portfolio.
Bond Obligations Risk: The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond
market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be
subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less
income.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolios. The
successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may
move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to
terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC
derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.
B16
Emerging Markets Risk: The risks of foreign investments are greater for
investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the
economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In
addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market indexes and the performance of the
Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign
countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent
outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the
United States and worldwide generally.
Foreign Securities Risk: The Portfolios’ investments in securities of
foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolios may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value
of the Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Geographic Concentration Risk: The Portfolios’ performance may be closely tied to the market, economic, political,
regulatory or other conditions in the countries or regions in which the Portfolios invest. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a
greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower
interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as
“extension risk”. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates
rise sharply or in a manner not anticipated by the subadviser.
LIBOR Risk: Many financial instruments use or may use a
floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire
to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Portfolios or the
financial instruments in which the Portfolios invest cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse
impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Portfolios’ performance and/or net asset value. Furthermore, the risks associated with the expected
discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate
during the transition period, these effects could occur prior to the end of 2021.
Liquidity Risk: The Portfolios may
invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the
Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced
to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market
conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The
B17
reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can
adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.
Market
and Credit Risk: Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall
market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.
Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real
estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected,
and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental
property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in
general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may
not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market,
and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts
of leverage. The Portfolios will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, in addition to the expenses of the Portfolios. Since certain Portfolios concentrate in the real
estate industry, the holdings of such Portfolios can vary significantly from broad market indexes. As a result, the performance of such Portfolios can deviate from the performance of such indexes.
Risks of Investing in Treasury Inflation Protected Securities (TIPS): The value of TIPS generally fluctuates in response to
inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less
valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if the Portfolios purchase TIPS in the secondary market, where principal values have been
adjusted upward due to inflation since issuance, they may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period the Portfolios hold TIPS, the Portfolios may earn less on the security
than on a conventional bond.
U.S. Government and Agency Securities Risk: U.S. Government and agency securities are
subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely
on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.
B18
Financial Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
| Conservative Balanced Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
31.40 |
|
|
$ |
26.50 |
|
|
$ |
27.17 |
|
|
$ |
24.18 |
|
|
$ |
22.54 |
|
|
$ |
22.45 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.28 |
|
|
|
0.59 |
|
|
|
0.53 |
|
|
|
0.45 |
|
|
|
0.42 |
|
|
|
0.39 |
|
| Net realized and unrealized gain (loss) on investment and foreign currency transactions |
|
|
(0.36 |
) |
|
|
4.31 |
|
|
|
(1.20 |
) |
|
|
2.54 |
|
|
|
1.20 |
|
|
|
(0.30 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
(0.08 |
) |
|
|
4.90 |
|
|
|
(0.67 |
) |
|
|
2.99 |
|
|
|
1.62 |
|
|
|
0.09 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
(b)(c) |
|
|
— |
(b)(c) |
|
|
— |
|
|
|
0.02 |
(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
31.32 |
|
|
$ |
31.40 |
|
|
$ |
26.50 |
|
|
$ |
27.17 |
|
|
$ |
24.18 |
|
|
$ |
22.54 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
(0.25 |
)% |
|
|
18.49 |
%(f) |
|
|
(2.47 |
)%(f) |
|
|
12.37 |
% |
|
|
7.28 |
%(g) |
|
|
0.40 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
2,499 |
|
|
$ |
2,597 |
|
|
$ |
2,370 |
|
|
$ |
2,595 |
|
|
$ |
2,473 |
|
|
$ |
2,554 |
|
| Average net assets (in millions) |
|
$ |
2,469 |
|
|
$ |
2,506 |
|
|
$ |
2,535 |
|
|
$ |
2,535 |
|
|
$ |
2,487 |
|
|
$ |
2,522 |
|
| Ratios to average net assets(h): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.58 |
%(i) |
|
|
0.59 |
% |
|
|
0.59 |
% |
|
|
0.58 |
% |
|
|
0.58 |
% |
|
|
0.58 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.58 |
%(i) |
|
|
0.59 |
% |
|
|
0.59 |
% |
|
|
0.58 |
% |
|
|
0.58 |
% |
|
|
0.58 |
% |
| Net investment income (loss) |
|
|
1.83 |
%(i) |
|
|
2.02 |
% |
|
|
1.94 |
% |
|
|
1.75 |
% |
|
|
1.79 |
% |
|
|
1.70 |
% |
| Portfolio turnover rate(j) |
|
|
36 |
% |
|
|
90 |
% |
|
|
101 |
% |
|
|
136 |
% |
|
|
185 |
% |
|
|
208 |
% |
|
|
|
|
|
|
|
| Diversified Bond Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
14.55 |
|
|
$ |
13.12 |
|
|
$ |
13.14 |
|
|
$ |
12.28 |
|
|
$ |
11.64 |
|
|
$ |
11.66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.24 |
|
|
|
0.49 |
|
|
|
0.45 |
|
|
|
0.42 |
|
|
|
0.43 |
|
|
|
0.41 |
|
| Net realized and unrealized gain (loss) on investment and foreign currency transactions |
|
|
0.29 |
|
|
|
0.94 |
|
|
|
(0.48 |
) |
|
|
0.44 |
|
|
|
0.21 |
|
|
|
(0.43 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
0.53 |
|
|
|
1.43 |
|
|
|
(0.03 |
) |
|
|
0.86 |
|
|
|
0.64 |
|
|
|
(0.02 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
|
|
|
0.01 |
(b) |
|
|
— |
|
|
|
— |
(c)(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
15.08 |
|
|
$ |
14.55 |
|
|
$ |
13.12 |
|
|
$ |
13.14 |
|
|
$ |
12.28 |
|
|
$ |
11.64 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
3.64 |
% |
|
|
10.90 |
% |
|
|
(0.15 |
)%(k) |
|
|
7.00 |
% |
|
|
5.50 |
%(f) |
|
|
(0.17 |
)% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
1,228 |
|
|
$ |
1,190 |
|
|
$ |
1,123 |
|
|
$ |
1,145 |
|
|
$ |
1,105 |
|
|
$ |
1,085 |
|
| Average net assets (in millions) |
|
$ |
1,206 |
|
|
$ |
1,166 |
|
|
$ |
1,132 |
|
|
$ |
1,123 |
|
|
$ |
1,121 |
|
|
$ |
1,074 |
|
| Ratios to average net assets(h): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.44 |
%(i) |
|
|
0.44 |
% |
|
|
0.44 |
% |
|
|
0.44 |
% |
|
|
0.44 |
% |
|
|
0.46 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.44 |
%(i) |
|
|
0.44 |
% |
|
|
0.44 |
% |
|
|
0.44 |
% |
|
|
0.44 |
% |
|
|
0.46 |
% |
| Net investment income (loss) |
|
|
3.27 |
%(i) |
|
|
3.53 |
% |
|
|
3.44 |
% |
|
|
3.28 |
% |
|
|
3.52 |
% |
|
|
3.48 |
% |
| Portfolio turnover rate(j) |
|
|
15 |
% |
|
|
48 |
% |
|
|
51 |
% |
|
|
71 |
% |
|
|
49 |
% |
|
|
81 |
% |
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the
Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities
lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period
reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees,
account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements,
the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| (f) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return.
|
| (g) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been 7.19%. |
| (h) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to
transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been (0.23)%. |
SEE NOTES TO FINANCIAL
STATEMENTS.
C1
Financial Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Portfolio—Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
63.18 |
|
|
$ |
49.02 |
|
|
$ |
51.52 |
|
|
$ |
40.96 |
|
|
$ |
39.47 |
|
|
$ |
38.56 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.31 |
|
|
|
0.66 |
|
|
|
0.53 |
|
|
|
0.41 |
|
|
|
0.38 |
|
|
|
0.34 |
|
| Net realized and unrealized gain (loss) on investment and foreign currency transactions |
|
|
0.83 |
|
|
|
13.50 |
|
|
|
(3.07 |
) |
|
|
10.15 |
|
|
|
1.07 |
|
|
|
0.57 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
1.14 |
|
|
|
14.16 |
|
|
|
(2.54 |
) |
|
|
10.56 |
|
|
|
1.45 |
|
|
|
0.91 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
(b)(c) |
|
|
0.04 |
(b) |
|
|
— |
|
|
|
0.04 |
(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
64.32 |
|
|
$ |
63.18 |
|
|
$ |
49.02 |
|
|
$ |
51.52 |
|
|
$ |
40.96 |
|
|
$ |
39.47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
1.80 |
% |
|
|
28.89 |
%(f) |
|
|
(4.85 |
)%(g) |
|
|
25.78 |
% |
|
|
3.78 |
%(h) |
|
|
2.36 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
4,637 |
|
|
$ |
4,711 |
|
|
$ |
3,920 |
|
|
$ |
4,416 |
|
|
$ |
3,742 |
|
|
$ |
3,846 |
|
| Average net assets (in millions) |
|
$ |
4,382 |
|
|
$ |
4,407 |
|
|
$ |
4,497 |
|
|
$ |
4,099 |
|
|
$ |
3,615 |
|
|
$ |
3,959 |
|
| Ratios to average net assets(i): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.47 |
%(j) |
|
|
0.47 |
% |
|
|
0.47 |
% |
|
|
0.47 |
% |
|
|
0.47 |
% |
|
|
0.47 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.47 |
%(j) |
|
|
0.47 |
% |
|
|
0.47 |
% |
|
|
0.47 |
% |
|
|
0.47 |
% |
|
|
0.47 |
% |
| Net investment income (loss) |
|
|
1.04 |
%(j) |
|
|
1.16 |
% |
|
|
0.98 |
% |
|
|
0.89 |
% |
|
|
1.01 |
% |
|
|
0.86 |
% |
| Portfolio turnover rate(k) |
|
|
32 |
% |
|
|
43 |
% |
|
|
37 |
% |
|
|
55 |
% |
|
|
39 |
% |
|
|
37 |
% |
|
|
|
|
|
|
|
| Equity Portfolio—Class II |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
62.09 |
|
|
$ |
48.37 |
|
|
$ |
51.04 |
|
|
$ |
40.74 |
|
|
$ |
39.42 |
|
|
$ |
38.66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.19 |
|
|
|
0.43 |
|
|
|
0.32 |
|
|
|
0.23 |
|
|
|
0.23 |
|
|
|
0.18 |
|
| Net realized and unrealized gain (loss) on investment and foreign currency transactions |
|
|
0.80 |
|
|
|
13.29 |
|
|
|
(3.03 |
) |
|
|
10.07 |
|
|
|
1.05 |
|
|
|
0.58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
0.99 |
|
|
|
13.72 |
|
|
|
(2.71 |
) |
|
|
10.30 |
|
|
|
1.28 |
|
|
|
0.76 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
(b)(c) |
|
|
0.04 |
(b) |
|
|
— |
|
|
|
0.04 |
(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
63.08 |
|
|
$ |
62.09 |
|
|
$ |
48.37 |
|
|
$ |
51.04 |
|
|
$ |
40.74 |
|
|
$ |
39.42 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
1.59 |
% |
|
|
28.36 |
%(f) |
|
|
(5.23 |
)%(g) |
|
|
25.28 |
% |
|
|
3.35 |
%(h) |
|
|
1.97 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
| Average net assets (in millions) |
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
2 |
|
| Ratios to average net assets(i): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.87 |
%(j) |
|
|
0.87 |
% |
|
|
0.87 |
% |
|
|
0.87 |
% |
|
|
0.87 |
% |
|
|
0.87 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.87 |
%(j) |
|
|
0.87 |
% |
|
|
0.87 |
% |
|
|
0.87 |
% |
|
|
0.87 |
% |
|
|
0.87 |
% |
| Net investment income (loss) |
|
|
0.64 |
%(j) |
|
|
0.76 |
% |
|
|
0.59 |
% |
|
|
0.50 |
% |
|
|
0.61 |
% |
|
|
0.46 |
% |
| Portfolio turnover rate(k) |
|
|
32 |
% |
|
|
43 |
% |
|
|
37 |
% |
|
|
55 |
% |
|
|
39 |
% |
|
|
37 |
% |
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the
Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities
lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period
reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees,
account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements,
the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| (f) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return.
|
| (g) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been (4.93)% and (5.31)% for Class I and Class II, respectively. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been 3.68% and 3.25% for Class I and Class II, respectively. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (k) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to
transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Flexible Managed Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
34.32 |
|
|
$ |
28.63 |
|
|
$ |
29.88 |
|
|
$ |
25.99 |
|
|
$ |
23.95 |
|
|
$ |
23.71 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.30 |
|
|
|
0.61 |
|
|
|
0.53 |
|
|
|
0.45 |
|
|
|
0.44 |
|
|
|
0.42 |
|
| Net realized and unrealized gain (loss) on investment and foreign currency transactions |
|
|
(1.06 |
) |
|
|
5.08 |
|
|
|
(1.78 |
) |
|
|
3.44 |
|
|
|
1.58 |
|
|
|
(0.18 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
(0.76 |
) |
|
|
5.69 |
|
|
|
(1.25 |
) |
|
|
3.89 |
|
|
|
2.02 |
|
|
|
0.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
(b)(c) |
|
|
— |
(b)(c) |
|
|
— |
|
|
|
0.02 |
(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
33.56 |
|
|
$ |
34.32 |
|
|
$ |
28.63 |
|
|
$ |
29.88 |
|
|
$ |
25.99 |
|
|
$ |
23.95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
(2.21 |
)% |
|
|
19.87 |
%(f) |
|
|
(4.18 |
)%(f) |
|
|
14.97 |
% |
|
|
8.52 |
%(g) |
|
|
1.01 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
4,115 |
|
|
$ |
4,328 |
|
|
$ |
3,834 |
|
|
$ |
4,230 |
|
|
$ |
3,890 |
|
|
$ |
3,769 |
|
| Average net assets (in millions) |
|
$ |
4,043 |
|
|
$ |
4,127 |
|
|
$ |
4,157 |
|
|
$ |
4,043 |
|
|
$ |
3,799 |
|
|
$ |
3,878 |
|
| Ratios to average net assets(h): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.62 |
%(i) |
|
|
0.63 |
% |
|
|
0.63 |
% |
|
|
0.62 |
% |
|
|
0.63 |
% |
|
|
0.63 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.62 |
%(i) |
|
|
0.63 |
% |
|
|
0.63 |
% |
|
|
0.62 |
% |
|
|
0.63 |
% |
|
|
0.63 |
% |
| Net investment income (loss) |
|
|
1.88 |
%(i) |
|
|
1.92 |
% |
|
|
1.75 |
% |
|
|
1.62 |
% |
|
|
1.78 |
% |
|
|
1.74 |
% |
| Portfolio turnover rate(j)(k) |
|
|
58 |
% |
|
|
125 |
% |
|
|
139 |
% |
|
|
175 |
% |
|
|
203 |
% |
|
|
213 |
% |
|
|
|
|
|
|
|
| Global Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
41.49 |
|
|
$ |
31.83 |
|
|
$ |
34.33 |
|
|
$ |
27.50 |
|
|
$ |
26.33 |
|
|
$ |
25.72 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.21 |
|
|
|
0.52 |
|
|
|
0.47 |
|
|
|
0.42 |
|
|
|
0.34 |
|
|
|
0.34 |
|
| Net realized and unrealized gain (loss) on investment and foreign currency transactions |
|
|
(2.65 |
) |
|
|
9.14 |
|
|
|
(2.99 |
) |
|
|
6.41 |
|
|
|
0.81 |
|
|
|
0.27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
(2.44 |
) |
|
|
9.66 |
|
|
|
(2.52 |
) |
|
|
6.83 |
|
|
|
1.15 |
|
|
|
0.61 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
(b)(c) |
|
|
0.02 |
(b) |
|
|
— |
|
|
|
0.02 |
(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
39.05 |
|
|
$ |
41.49 |
|
|
$ |
31.83 |
|
|
$ |
34.33 |
|
|
$ |
27.50 |
|
|
$ |
26.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
(5.88 |
)% |
|
|
30.39 |
%(f) |
|
|
(7.28 |
)%(l) |
|
|
24.84 |
% |
|
|
4.44 |
%(m) |
|
|
2.37 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
1,141 |
|
|
$ |
1,264 |
|
|
$ |
1,007 |
|
|
$ |
1,133 |
|
|
$ |
955 |
|
|
$ |
965 |
|
| Average net assets (in millions) |
|
$ |
1,127 |
|
|
$ |
1,158 |
|
|
$ |
1,140 |
|
|
$ |
1,052 |
|
|
$ |
942 |
|
|
$ |
813 |
|
| Ratios to average net assets(h): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.76 |
%(i) |
|
|
0.77 |
% |
|
|
0.77 |
% |
|
|
0.79 |
% |
|
|
0.80 |
% |
|
|
0.81 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.79 |
%(i) |
|
|
0.80 |
% |
|
|
0.80 |
% |
|
|
0.81 |
% |
|
|
0.81 |
% |
|
|
0.82 |
% |
| Net investment income (loss) |
|
|
1.14 |
%(i) |
|
|
1.41 |
% |
|
|
1.33 |
% |
|
|
1.34 |
% |
|
|
1.29 |
% |
|
|
1.28 |
% |
| Portfolio turnover rate(j) |
|
|
16 |
% |
|
|
26 |
% |
|
|
28 |
% |
|
|
33 |
% |
|
|
40 |
% |
|
|
33 |
% |
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the
Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities
lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period
reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees,
account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements,
the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| (f) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return.
|
| (g) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been 8.44%. |
| (h) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to
transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its
portfolio turnover rate. |
| (l) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been (7.34)%. |
| (m) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been 4.36%. |
SEE NOTES TO FINANCIAL
STATEMENTS.
C3
Financial Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Government Income Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
13.54 |
|
|
$ |
12.70 |
|
|
$ |
12.62 |
|
|
$ |
12.26 |
|
|
$ |
12.00 |
|
|
$ |
11.92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.13 |
|
|
|
0.31 |
|
|
|
0.28 |
|
|
|
0.23 |
|
|
|
0.20 |
|
|
|
0.18 |
|
| Net realized and unrealized gain (loss) on investment transactions |
|
|
0.73 |
|
|
|
0.53 |
|
|
|
(0.20 |
) |
|
|
0.13 |
|
|
|
0.06 |
|
|
|
(0.10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
0.86 |
|
|
|
0.84 |
|
|
|
0.08 |
|
|
|
0.36 |
|
|
|
0.26 |
|
|
|
0.08 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Contributions |
|
|
— |
|
|
|
— |
|
|
|
— |
(b)(c) |
|
|
— |
|
|
|
— |
(c)(d) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
14.40 |
|
|
$ |
13.54 |
|
|
$ |
12.70 |
|
|
$ |
12.62 |
|
|
$ |
12.26 |
|
|
$ |
12.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
6.35 |
% |
|
|
6.61 |
% |
|
|
0.63 |
%(f) |
|
|
2.94 |
% |
|
|
2.17 |
%(f) |
|
|
0.67 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
249 |
|
|
$ |
239 |
|
|
$ |
221 |
|
|
$ |
244 |
|
|
$ |
226 |
|
|
$ |
232 |
|
| Average net assets (in millions) |
|
$ |
244 |
|
|
$ |
235 |
|
|
$ |
231 |
|
|
$ |
252 |
|
|
$ |
236 |
|
|
$ |
325 |
|
| Ratios to average net assets(g): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.51 |
%(h) |
|
|
0.52 |
% |
|
|
0.51 |
% |
|
|
0.53 |
% |
|
|
0.51 |
% |
|
|
0.48 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.51 |
%(h) |
|
|
0.52 |
% |
|
|
0.51 |
% |
|
|
0.53 |
% |
|
|
0.51 |
% |
|
|
0.48 |
% |
| Net investment income (loss) |
|
|
1.90 |
%(h) |
|
|
2.34 |
% |
|
|
2.28 |
% |
|
|
1.84 |
% |
|
|
1.60 |
% |
|
|
1.48 |
% |
| Portfolio turnover rate(i)(j) |
|
|
53 |
% |
|
|
269 |
% |
|
|
284 |
% |
|
|
495 |
% |
|
|
705 |
% |
|
|
746 |
% |
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the
Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities
lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period
reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees,
account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements,
the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| (f) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return.
|
| (g) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (i) |
The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result,
can increase its portfolio turnover rate. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to
transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Government Money Market Portfolio—Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) and realized gains (losses) |
|
|
0.03 |
|
|
|
0.19 |
|
|
|
0.15 |
|
|
|
0.06 |
|
|
|
0.01 |
|
|
|
— |
(b) |
| Less Dividends and Distributions: |
|
|
(0.03 |
) |
|
|
(0.19 |
) |
|
|
(0.15 |
) |
|
|
(0.06 |
) |
|
|
(0.01 |
) |
|
|
— |
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
$ |
10.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(d) |
|
|
0.30 |
% |
|
|
1.92 |
% |
|
|
1.53 |
% |
|
|
0.56 |
% |
|
|
0.10 |
% |
|
|
0.00 |
%(e) |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
657 |
|
|
$ |
600 |
|
|
$ |
536 |
|
|
$ |
560 |
|
|
$ |
724 |
|
|
$ |
651 |
|
| Average net assets (in millions) |
|
$ |
618 |
|
|
$ |
563 |
|
|
$ |
560 |
|
|
$ |
665 |
|
|
$ |
717 |
|
|
$ |
725 |
|
| Ratios to average net assets(f): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.30 |
%(g) |
|
|
0.35 |
% |
|
|
0.35 |
% |
|
|
0.35 |
% |
|
|
0.35 |
% |
|
|
0.19 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.34 |
%(g) |
|
|
0.35 |
% |
|
|
0.35 |
% |
|
|
0.35 |
% |
|
|
0.35 |
% |
|
|
0.44 |
% |
| Net investment income (loss) |
|
|
0.57 |
%(g) |
|
|
1.88 |
% |
|
|
1.52 |
% |
|
|
0.55 |
% |
|
|
0.09 |
% |
|
|
— |
%(e) |
|
|
|
|
|
| Government Money Market Portfolio—Class III |
|
|
|
| |
|
May 18, 2020(a)
through June 30,
2020 |
|
| Per Share Operating Performance: |
|
|
|
|
| Net Asset Value, beginning of period |
|
$ |
10.00 |
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
| Net investment income (loss) and realized gains (losses) |
|
|
— |
(b) |
| Less Dividends and Distributions: |
|
|
— |
(c) |
|
|
|
|
|
| Net asset value, end of period. |
|
$ |
10.00 |
|
|
|
|
|
|
| Total Return(d) |
|
|
0.00 |
%(e) |
| Ratios/Supplemental Data: |
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
13 |
|
| Average net assets (in millions) |
|
$ |
4 |
|
| Ratios to average net assets(f): |
|
|
|
|
| Expenses after waivers and/or expense reimbursement. |
|
|
0.19 |
%(g) |
| Expenses before waivers and/or expense reimbursement |
|
|
0.59 |
%(g) |
| Net investment income (loss) |
|
|
— |
%(e)(g) |
| (a) |
Calculated based on average shares outstanding during the period. (b) Less than $0.005 per share.
|
| (c) |
Less than $(0.005) per share. |
| (d) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period
reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees,
account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements,
the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| (f) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Stock Index Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, 2020 |
|
|
Year Ended December 31, |
|
| |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
2016 |
|
|
2015 |
|
| Per Share Operating Performance(a) : |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, beginning of period. |
|
$ |
74.24 |
|
|
$ |
56.64 |
|
|
$ |
59.38 |
|
|
$ |
50.70 |
|
|
$ |
48.59 |
|
|
$ |
49.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income (Loss) From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
0.59 |
|
|
|
1.12 |
|
|
|
1.00 |
|
|
|
0.92 |
|
|
|
0.89 |
|
|
|
0.86 |
|
| Net realized and unrealized gain (loss) on investment transactions |
|
|
(2.96 |
) |
|
|
16.48 |
|
|
|
(3.74 |
) |
|
|
9.75 |
|
|
|
4.52 |
|
|
|
(0.26 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total from investment operations |
|
|
(2.37 |
) |
|
|
17.60 |
|
|
|
(2.74 |
) |
|
|
10.67 |
|
|
|
5.41 |
|
|
|
0.60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Less Dividends and Distributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1.99 |
) |
|
|
(3.37 |
) |
|
|
(1.34 |
) |
| Capital Contributions |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.07 |
(b) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Asset Value, end of period |
|
$ |
71.87 |
|
|
$ |
74.24 |
|
|
$ |
56.64 |
|
|
$ |
59.38 |
|
|
$ |
50.70 |
|
|
$ |
48.59 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(c) |
|
|
(3.19 |
)% |
|
|
31.07 |
% |
|
|
(4.61 |
)% |
|
|
21.46 |
% |
|
|
11.83 |
%(d) |
|
|
1.18 |
% |
| Ratios/Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (in millions) |
|
$ |
4,649 |
|
|
$ |
4,757 |
|
|
$ |
3,672 |
|
|
$ |
3,928 |
|
|
$ |
3,305 |
|
|
$ |
3,010 |
|
| Average net assets (in millions) |
|
$ |
4,465 |
|
|
$ |
4,298 |
|
|
$ |
4,051 |
|
|
$ |
3,630 |
|
|
$ |
3,122 |
|
|
$ |
3,299 |
|
| Ratios to average net assets(e) : |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses after waivers and/or expense reimbursement |
|
|
0.31 |
%(f) |
|
|
0.31 |
% |
|
|
0.31 |
% |
|
|
0.32 |
% |
|
|
0.32 |
% |
|
|
0.32 |
% |
| Expenses before waivers and/or expense reimbursement |
|
|
0.31 |
%(f) |
|
|
0.31 |
% |
|
|
0.31 |
% |
|
|
0.32 |
% |
|
|
0.34 |
% |
|
|
0.37 |
% |
| Net investment income (loss) |
|
|
1.72 |
%(f) |
|
|
1.69 |
% |
|
|
1.63 |
% |
|
|
1.69 |
% |
|
|
1.84 |
% |
|
|
1.74 |
% |
| Portfolio turnover rate(g) |
|
|
1 |
% |
|
|
3 |
% |
|
|
4 |
% |
|
|
4 |
% |
|
|
5 |
% |
|
|
9 |
% |
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities
lending income due to a restriction that benefited Prudential. |
| (c) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period
reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees,
account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements,
the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.
|
| (d) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total
return would have been 11.69%. |
| (e) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (g) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to
transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
|
|
|
| The Prudential Series Fund
Portfolio Liquidity Risk Management Program — unaudited |
|
June 30, 2020 |
Consistent
with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), each Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). Each Portfolio’s LRMP seeks to assess and manage the Portfolio’s
liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the
“Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolios’ investment manager, to serve as the administrator of each Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM
Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
Each
Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, each Portfolio’s LRMP includes no less than annual assessments of factors that influence the
Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid
investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the
Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM
Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of each Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the
LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that each Portfolio’s LRMP was reasonably designed to assess and manage that Portfolio’s liquidity risk and was adequately and
effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that each Portfolio’s investment strategies continue to be appropriate given each
Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding
risks of investing in a Portfolio, including liquidity risks presented by each Portfolio’s investment portfolio, is found in a Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board)
of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the
1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act.
The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the
Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual
Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management
agreement with PGIM Investments LLC (PGIM Investments) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent
Trustees, met on June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, after concluding that the renewal of the agreements was in the best interests of the
Trust, each Portfolio and each Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the
agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe
and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel,
considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies
of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its
deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser
personnel, such as portfolio managers.
The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s
investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each
Portfolio and each Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the
agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and
considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., PGIM Limited (PGIML), Jennison Associates LLC
(Jennison) and QMA LLC (formerly, Quantitative Management Associates LLC) (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments. The Board considered the services provided by PGIM
Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolios’ liquidity risk
management program. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and
recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and
management Trustees of the Trust. The Board also considered the investment subadvisory services
provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the
subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the
qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the
subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM
Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable
compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser.
The Board concluded that it was satisfied with
the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each
Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.
Costs of Services and
Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates from serving as the
Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make
comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its
business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM Fixed Income, PGIML, 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.
Other Benefits to PGIM Investments and the Subadvisers
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship
with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other
intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and
charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s
Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the
potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits
derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the
Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2019, 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 2019. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of
mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total
expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The
comparisons placed the Portfolios in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for
expenses, the lowest cost mutual funds). To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided, and the Board may have considered, supplemental data compiled by
Broadridge for the Board’s consideration.
The sections below summarize certain key factors considered by the Board and the Board’s conclusions
regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the
Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
|
|
|
|
|
|
|
|
|
| Conservative Balanced
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
2nd Quartile |
|
1st Quartile |
|
1st Quartile |
|
1st Quartile |
| Actual Management Fees: 3rd Quartile |
| Net Total Expenses: 3rd Quartile |
| • |
|
The Board noted that the Portfolio underperformed its benchmark index over the
one-year period, and outperformed over all other periods. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Diversified Bond
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
2nd Quartile |
|
1st Quartile |
|
1st Quartile |
|
1st Quartile |
| Actual Management Fees: 1st Quartile |
| Net Total Expenses: 1st Quartile |
| • |
|
The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Equity
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
3rd Quartile |
|
2nd Quartile |
|
3rd Quartile |
|
4th Quartile |
| Actual Management Fees: 1st Quartile |
| Gross Total Expenses: 1st Quartile |
| • |
|
The Board noted that the Portfolio outperformed its benchmark index over the three-year period, though it underperformed
its benchmark index over the remaining periods. |
| • |
|
The Board considered the Manager’s assertion that it believes the Portfolio’s more recent underperformance to be
temporary, and primarily attributable to performance challenges in calendar year 2019. |
| • |
|
The Board considered information provided by the Manager indicating that the Portfolio outperformed both its benchmark and
peer median over the trailing three-year period ending March 31, 2020; and that the Portfolio outperformed both its benchmark and peer median in three out of the last five calendar years. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Flexible Managed
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
3rd Quartile |
|
2nd 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 the five- and
ten-year periods, though it underperformed its benchmark index over the remaining periods. |
| • |
|
The Board noted that the Fund’s underperformance during the periods identified above was largely the result of
underperformance during one year, 2020. In that regard, the Board noted that when it considered the performance of the Fund one year before, the Fund ranked in the first quartile of its Peer Universe over all periods ended December 31, 2018.
|
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Global
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
1st Quartile |
|
1st Quartile |
|
1st Quartile |
|
1st Quartile |
| Actual Management Fees: 3rd Quartile |
| Net Total Expenses: 3rd Quartile |
| • |
|
The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Government Income
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
2nd 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 all periods. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Government Money Market
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
1st Quartile |
|
3rd Quartile |
|
3rd Quartile |
|
3rd Quartile |
| Actual Management Fees: 1st Quartile |
| Net Total Expenses: 2nd Quartile |
| • |
|
The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
|
|
|
|
|
|
|
|
|
| Stock Index
Portfolio |
|
Gross Performance |
|
1 Year |
|
3 Years |
|
5 Years |
|
10 Years |
| |
2nd Quartile |
|
1st Quartile |
|
1st Quartile |
|
1st Quartile |
| Actual Management Fees: 4th Quartile |
| Net Total Expenses: 3rd Quartile |
| • |
|
The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • |
|
The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in
the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
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 Prudential Insurance Company of America 751 Broad
Street Newark, NJ 07102-3714 |
|
|
|
Presorted Standard
U.S. Postage PAID
Prudential |
| |
|
|
|
| |
|
|
|
| |
|
|
|
©2020 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 required, as this is not an annual filing.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies –
Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not
applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers – Not applicable.
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material
changes to these procedures.
Item 11 – Controls and Procedures
| |
(a) |
It is the conclusion of the registrant’s principal executive officer and principal financial officer that
the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information
required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been
accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
| |
(b) |
There has been no significant change in the registrant’s internal control over financial reporting that
occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.
|
Item 12 – Controls and Procedures - Disclosure of Securities Lending Activities for
Closed-End Management Investment Companies – Not applicable.
Item 13 – Exhibits
| |
(a) |
(1) Code of Ethics – Not required, as this is not an annual filing. |
| |
(3) |
Any written solicitation to purchase securities under Rule 23c-1 –
Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: The Prudential Variable Contract
Account-10
|
|
|
| By: |
|
/s/ Andrew R. French |
|
|
Andrew R. French |
|
|
Secretary |
|
|
| Date: |
|
August 24, 2020 |
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, 2020 |
|
|
|
| By: |
|
/s/ Christian J. Kelly |
|
|
Christian J. Kelly |
|
|
Treasurer and Principal Financial and Accounting Officer |
|
|
| Date: |
|
August 24, 2020 |