N-CSRS 1 d620259dncsrs.htm THE PRUDENTIAL SERIES FUND The Prudential Series Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number:    811- 03623
Exact name of registrant as specified in charter:    The Prudential Series Fund
Address of principal executive offices:   

655 Broad Street, 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

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The Prudential Series Fund

 

 

SEMIANNUAL REPORT    June 30, 2020

 

 

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

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

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. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

 

 

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The Prudential Series Fund

 

Table of Contents

   Semiannual Report   June 30, 2020

 

  ∎  

LETTER TO CONTRACT OWNERS

 

  ∎  

PRESENTATION OF PORTFOLIO HOLDINGS

 

  ∎  

FEES AND EXPENSES

 

  ∎  

FINANCIAL REPORTS

 

Section A   Schedule of Investments and Financial Statements
  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
  High Yield Bond Portfolio    A130
  Jennison Portfolio    A149
  Natural Resources Portfolio    A153
  Small Capitalization Stock Portfolio    A158
  Stock Index Portfolio    A171
  Value Portfolio    A183
Section B   Notes to Financial Statements
Section C   Financial Highlights

 

  ∎  

APPROVAL OF ADVISORY AGREEMENTS

 

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

The Prudential Series Fund

 

Letter to Contract Owners

   Semiannual Report   June 30, 2020

 

∎  

DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Prudential Series Fund 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,

 

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2020

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.

 

High Yield Bond

 

Credit Quality     (% of Net Assets ) 
AAA     10.8%  
BBB     1.6%  
BB     26.4%  
B     32.5%  
CCC and Below     25.1%  
NR     2.1%  
Cash & Equivalents     1.5%  
Total     100.0%  

 

Jennison Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets ) 
Amazon.com, Inc.   Internet & Direct Marketing Retail     7.5%  
Microsoft Corp.   Software     5.9%  
Apple, Inc.   Technology Hardware, Storage & Peripherals     5.5%  
Netflix, Inc.   Entertainment     4.1%  
Tesla, Inc.   Automobiles     4.0%  
Facebook, Inc. (Class A Stock)   Interactive Media & Services     3.5%  
Mastercard, Inc. (Class A Stock)   IT Services     3.3%  
NVIDIA Corp.   Semiconductors & Semiconductor Equipment     3.0%  
Adobe, Inc.   Software     3.0%  
salesforce.com, Inc.   Software     3.0%  

 

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

 

Natural Resources Portfolio

 

Ten Largest Holdings   Line of Business   Country     (% of Net Assets ) 
Exxon Mobil Corp.   Integrated Oil & Gas   United States     4.8%  
Chevron Corp.   Integrated Oil & Gas   United States     3.9%  
BHP Group Ltd.   Diversified Metals & Mining   Australia     3.8%  
Rio Tinto PLC   Diversified Metals & Mining   Australia     3.7%  
TOTAL SA   Integrated Oil & Gas   France     3.1%  
Linde PLC   Industrial Gases   United Kingdom     3.0%  
Invesco Solar ETF   Exchange-Traded Funds   United States     2.6%  
Marathon Petroleum Corp.   Oil & Gas Refining & Marketing   United States     2.6%  
BP PLC   Integrated Oil & Gas   United Kingdom     2.4%  
Valero Energy Corp.   Oil & Gas Refining & Marketing   United States     2.4%  

 

Small Capitalization Stock Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets ) 
Exponent, Inc.   Professional Services     0.6%  
Wingstop, Inc.   Hotels, Restaurants & Leisure     0.6%  
Neogen Corp.   Health Care Equipment & Supplies     0.6%  
Momenta Pharmaceuticals, Inc.   Biotechnology     0.6%  
Agree Realty Corp.   Equity Real Estate Investment Trusts (REITs)     0.5%  
Power Integrations, Inc.   Semiconductors & Semiconductor Equipment     0.5%  
Emergent BioSolutions, Inc.   Biotechnology     0.5%  
NeoGenomics, Inc.   Life Sciences Tools & Services     0.5%  
Fox Factory Holding Corp.   Auto Components     0.5%  
Lithia Motors, Inc. (Class A Stock)   Specialty Retail     0.5%  

 

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%  

 

Value Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets ) 
JPMorgan Chase & Co.   Banks     3.6%  
Linde PLC (United Kingdom),   Chemicals     2.7%  
Chevron Corp.   Oil, Gas & Consumable Fuels     2.6%  
Union Pacific Corp.   Road & Rail     2.3%  
Walmart, Inc.   Food & Staples Retailing     2.3%  
Verizon Communications, Inc.   Diversified Telecommunication Services     2.2%  
Chubb Ltd.   Insurance     2.2%  
AstraZeneca PLC (United Kingdom), ADR   Pharmaceuticals     2.2%  
Citigroup, Inc.   Banks     2.1%  
Microsoft Corp.   Software     2.1%  

 

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

The Prudential Series Fund

 

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 fees 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  
High Yield Bond (Class I)    Actual      $ 1,000.00        $ 958.40          0.57 %     $ 2.78  
   Hypothetical      $ 1,000.00        $ 1,022.03          0.57 %     $ 2.87  

The Prudential Series Fund

 

Fees and Expenses — unaudited (continued)

   June 30, 2020

 

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*		  
Jennison (Class I)    Actual      $ 1,000.00        $ 1,194.10          0.62 %     $ 3.38  
   Hypothetical      $ 1,000.00        $ 1,021.78          0.62 %     $ 3.12  
Jennison (Class II)    Actual      $ 1,000.00        $ 1,097.90          1.02 %     $ 5.39  
   Hypothetical      $ 1,000.00        $ 1,020.06          1.02 %     $ 5.19  
Natural Resources (Class I)    Actual      $ 1,000.00        $ 817.60          0.57 %     $ 2.58  
   Hypothetical      $ 1,000.00        $ 1,022.03          0.57 %     $ 2.87  
Natural Resources (Class II)    Actual      $ 1,000.00        $ 816.10          0.97 %     $ 4.38  
   Hypothetical      $ 1,000.00        $ 1,020.04          0.97 %     $ 4.87  
Small Capitalization Stock (Class I)    Actual      $ 1,000.00        $ 820.60          0.40 %     $ 1.81  
   Hypothetical      $ 1,000.00        $ 1,022.87          0.40 %     $ 2.01  
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  
Value (Class I)    Actual      $ 1,000.00        $ 848.00          0.43 %     $ 1.98  
   Hypothetical      $ 1,000.00        $ 1,022.73          0.43 %     $ 2.16  
Value (Class II)    Actual      $ 1,000.00        $ 846.20          0.83 %     $ 3.81  
   Hypothetical      $ 1,000.00        $ 1,020.74          0.83 %     $ 4.17  

* 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.

 
   Glossary    
  

 

The following abbreviations are used in the Portfolios’ descriptions:

 

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CNH Chinese Renminbi

COP Colombian Peso

EUR Euro

GBP British Pound

HUF Hungarian Forint

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

MASTR — Morgan Stanley Structured Asset Security

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

OOTC — OTC Bulletin Board – Other OTC

OTC — Over-the-counter

PIK — Payment-in-Kind

PJSC — Public Joint-Stock Company

PO — Principal Only

PRFC — Preference Shares

Q — Quarterly payment frequency for swaps

REITs — Real Estate Investment Trust

REMICS — Real Estate Mortgage Investment Conduit Security

RSP — Savings Shares

S — Semiannual payment frequency for swaps

S&P — Standard & Poor’s

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%

           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)

      09/17/20 (k)        3,075       3,074,067  
        

 

 

  

(cost $3,074,047)

 

    
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.

(r)

Less than $500 par.

(rr)

Perpetual security with no stated maturity date.

(s)

Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)

Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A28

 
   CONSERVATIVE BALANCED PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Options Purchased (continued):

Exchange Traded

 

Description

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

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

      Call        07/24/20      $ 142.00        897        897      $ (28,031 ) 
                 

 

 

  

(premiums received $82,739)

                  

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)

    1 Month
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 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 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  

 

 

(1)

Cost.

(2)

Notional Amount in USD.

(3)

Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A35

 
   CONSERVATIVE BALANCED PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

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.)

 

   

Citigroup, Inc., (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  
 

 

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.)

 

   

JPMorgan Chase & Co., (cont’d.)

 

Sub. Notes

 

4.250%

      10/01/27                       420      $ 487,229  

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  

Interest

Rate

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

 

Building Materials (cont’d.)

 

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.375%

      11/15/24          2,550      $ 2,620,113  

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  
 

 

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.)

 

ERAC USA Finance LLC, (cont’d.)

 

7.000%

      10/15/37 (a)                      770      $ 987,156  

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.)

 

Comcast Corp., (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.)

 

Occidental Petroleum Corp., (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.)

 

Energy Transfer Operating LP, (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.)

 

AT&T, Inc., (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 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of 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   

 

 

(1)

Cost.

(2)

Notional Amount in USD.

(3)

Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

      Gross Market
Value of
Recognized
Assets/(Liabilities)		      Collateral
Pledged/(Received)(2)		    Net
Amount

Securities on Loan

        $ 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

 
   EQUITY PORTFOLIO  
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 & iHoldings 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
(cost $297,717)

      6,088        370,576  
     

 

 

  
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)#		         
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

      Call        07/24/20      $ 142.00        1,269        1,269      $ (39,656 ) 
                 

 

 

  

(premiums received $117,053)

                  

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 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

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

 

 

(1)

Cost.

(2)

Notional Amount in USD.

(3)

Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

      Gross Market
Value of
Recognized
Assets/(Liabilities)		      Collateral
Pledged/(Received)(2)		    Net
Amount

Securities on Loan

        $ 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

 
   GLOBAL PORTFOLIO  
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 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:

 

Derivatives not accounted for as hedging        

instruments, carried at fair value                        

     

Asset Derivatives

       

Liability Derivatives

  
    

Statement of

Assets and
        Liabilities Location        

      Fair
Value		       

Statement of

Assets and
        Liabilities Location        

      Fair
Value		  

Equity contracts

      Unaffiliated investments      $ 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.

Offsetting of financial instrument/transaction assets and liabilities:

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A113

 
   GLOBAL PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

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 (con’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 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 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  
    

 

 

       

 

 

  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A122

 
   GOVERNMENT INCOME PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

*

Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 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

 

(1)

Cost.

(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

 
   HIGH YIELD BOND PORTFOLIO   
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest

Rate

        Maturity    
Date		          Principal    
Amount
(000)#		              Value          
LONG-TERM INVESTMENTS — 97.1%

 

ASSET-BACKED SECURITIES — 10.8%

 

Collateralized Loan Obligations

 

   

Adams Mill CLO Ltd. (Cayman Islands),

 

Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)

 

2.319%(c)

      07/15/26                        1,078      $ 1,069,297  

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           4,200        4,153,890  

Cathedral Lake CLO Ltd. (Cayman Islands),

 

Series 2016-04A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)

 

2.385%(c)

      10/20/28           5,000        4,897,832  

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           5,000        4,899,972  

Flatiron CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.890% (Cap N/A, Floor 0.000%)

 

2.109%(c)

      04/15/27           1,061        1,053,787  

JMP Credit Advisors CLO Ltd. (Cayman Islands),

 

Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

 

2.415%(c)

      07/17/29           4,963        4,847,873  

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           4,175        4,114,038  

OZLM Ltd. (Cayman Islands),

 

Series 2015-13A, Class A1R, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%)

 

1.840%(c)

      07/30/27           495        487,830  

Regatta Funding LP (Cayman Islands),

 

Series 2013-02A, Class A1R2, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)

 

2.469%(c)

      01/15/29           5,000        4,957,557  

Riserva CLO Ltd. (Cayman Islands),

 

Series 2016-03A, Class AR, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%)

 

2.275%(c)

      10/18/28           5,000        4,938,611  

Sound Point CLO Ltd. (Cayman Islands),

 

Series 2016-02A, Class AR, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 1.290%)

 

2.425%(c)

      10/20/28           2,500        2,480,183  

Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%)

 

2.193%(c)

      01/23/29           5,000        4,921,027  

TICP CLO Ltd. (Cayman Islands),

 

Series 2016-06A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%)

 

2.419%(c)

      01/15/29           2,500        2,478,607  

Series 2018-IA, Class A1, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.830%)

 

1.821%(c)

      04/26/28           4,981        4,924,048  

Interest

Rate

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

 

Collateralized Loan Obligations (cont’d.)

 

Wellfleet CLO Ltd. (Cayman Islands),

 

Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

 

2.415%(c)

      07/20/29                        1,991      $ 1,970,963  
           

 

 

  

TOTAL ASSET-BACKED SECURITIES
(cost $52,434,010)

 

      52,195,515  
           

 

 

  
BANK LOANS — 5.2%

 

Chemicals — 0.8%

 

Nouryon USA LLC (Netherlands),

 

Initial Dollar Term Loan, 1 Month LIBOR + 3.000%

 

3.188%(c)

      10/01/25           596        557,405  

Solenis International LP,

 

First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000%

 

4.363%(c)

      06/26/25           1,561        1,493,142  

Second Lien Initial Term Loan, 3 Month LIBOR + 8.500%

 

8.863%(c)

      06/26/26           1,931        1,652,899  
           

 

 

  
              3,703,446  
           

 

 

  

Commercial Services — 0.1%

 

MPH Acquisition Holdings LLC,

 

Initial Term Loan, 3 Month LIBOR + 2.750%

 

3.750%(c)

      06/07/23           600        568,000  
           

 

 

  

Computers — 1.0%

 

Everi Payments, Inc.,

 

Term Loan, 3 Month LIBOR + 10.500%

 

11.500%(c)

      05/09/24^           100        101,000  

McAfee LLC,

 

Second Lien Initial Loan, 1 Month LIBOR + 8.500%

 

9.500%(c)

      09/29/25           2,798        2,760,706  

Term B USD Loan, 1 Month LIBOR + 3.750%

 

3.934%(c)

      09/30/24           2,152        2,087,719  
           

 

 

  
              4,949,425  
           

 

 

  

Electric — 0.5%

 

Calpine Corp.,

 

Term Loan (05/15), 1 Month LIBOR + 2.250%

 

2.430%(c)

      01/15/24           734        707,150  

Heritage Power LLC,

 

Term Loan B, 3 Month LIBOR + 6.000%

 

7.771%(c)

      07/30/26^           1,985        1,846,050  
           

 

 

  
              2,553,200  
           

 

 

  

Electronics — 0.1%

 

Tiger Merger Sub Co.,

 

Term Loan

 

—%(p)

      06/30/25           575        568,531  
           

 

 

  

Engineering & Construction — 0.2%

 

Landry’s Finance Acquisition Co.,

 

B Term Loan, 3 Month LIBOR + 12.000%

 

13.000%(c)

      10/06/23^           775        813,750  
           

 

 

  

Entertainment — 0.6%

 

Playtika Holding Corp.,

 

Term B Loan, 3 Month LIBOR + 6.000%

 

7.072%(c)

      12/10/24           2,072        2,067,559  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A130

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest
Rate

    Maturity
Date		      Principal
Amount
(000)#		      Value  
BANK LOANS (continued)

 

   

Entertainment (cont’d.)

 

   

Scientific Games International, Inc.,

 

Initial Term B-5 Loan, 1 - 3 Month LIBOR + 2.750%

 

3.302%(c)

      08/14/24                        419      $ 367,923  

Twin River Worldwide Holdings, Inc.,

 

Term B-1 Facility Loan, 3 Month LIBOR + 8.000%

 

9.000%(c)

      05/11/26^           500        517,500  
           

 

 

  
                2,952,982  
           

 

 

  

Oil & Gas — 0.6%

 

Chesapeake Energy Corp.,

 

Term Loan

 

—%(p)

      06/23/24           3,600        2,043,000  

Citgo Petroleum Corp.,

 

2019 Incremental Term B Loan, 3 Month LIBOR + 5.000%

 

6.000%(c)

      03/27/24^           766        731,186  
           

 

 

  
              2,774,186  
           

 

 

  

Pharmaceuticals — 0.1%

 

Mallinckrodt International Finance SA,

 

2017 Term B Loan, 6 Month LIBOR + 2.750%

 

3.500%(c)

      09/24/24           521        386,352  

2018 Incremental Term Loan, 3 Month LIBOR + 3.000%

 

3.750%(c)

      02/24/25           174        126,488  
           

 

 

  
              512,840  
           

 

 

  

Retail — 0.1%

 

EG America LLC (United Kingdom),

 

Second Lien Facility (USD), 1 - 6 Month LIBOR + 8.000%

 

9.072%(c)

      04/20/26^           467        420,574  
           

 

 

  

Software — 0.8%

 

Boxer Parent Co., Inc.,

 

Initial Dollar Term Loan, 1 Month LIBOR + 4.250% (Cap N/A, Floor 0.000%)

 

4.428%(c)

      10/02/25           613        578,474  

Finastra USA, Inc.,

 

Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250%

 

8.250%(c)

      06/13/25           1,075        927,571  

Informatica LLC,

 

Second Lien Initial Loan

 

7.125%

      02/25/25           500        499,375  

Kronos, Inc.,

 

Second Lien Initial Term Loan, 1 Month LIBOR + 8.250%

 

9.250%(c)

      11/01/24           525        522,562  

TIBCO Software, Inc.,

 

Second Lien Term Loan, 1 Month LIBOR + 7.250%

 

7.430%(c)

      03/03/28           850        812,813  

Term Loan B-3, 1 Month LIBOR + 3.750%

 

3.930%(c)

      06/30/26           448        426,762  
           

 

 

  
              3,767,557  
           

 

 

  

Telecommunications — 0.3%

 

West Corp.,

 

Initial Term B Loan, 3 Month LIBOR + 4.000%

 

5.000%(c)

      10/10/24           149        127,073  

Interest
Rate

    Maturity
Date		     Principal
Amount
(000)#		      Value  
BANK LOANS (continued)

 

   

Telecommunications (cont’d.)

 

   

Xplornet Communications, Inc. (Canada),

 

Initial Term Loan, 1 Month LIBOR + 4.750%

 

4.928%(c)

      06/10/27                       1,375      $ 1,310,833  
          

 

 

  
             1,437,906  
          

 

 

  

TOTAL BANK LOANS
(cost $27,242,188)

 

        25,022,397  
          

 

 

  
CONVERTIBLE BOND — 0.0%

 

Telecommunications

           

Digicel Group 0.5 Ltd. (Jamaica),

 

Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A

 

7.000%

      – (rr)         416        29,093  
          

 

 

  

(cost $8,312)

 

        
CORPORATE BONDS — 80.2%

 

Advertising — 0.8%

 

Mood Media Borrower LLC/Mood Media Co-Issuer, Inc.,

 

Sec’d. Notes, 144A, Cash pays ((6 Month LIBOR + 14.000%)/(1—Statutory Reserves)) or PIK 8.000%

 

15.909%(c)

      12/31/23^          317        88,639  

National CineMedia LLC,

 

Sr. Sec’d. Notes, 144A

 

5.875%

      04/15/28          575        481,099  

Sr. Unsec’d. Notes

 

5.750%

      08/15/26          1,625        1,138,101  

Outfront Media Capital LLC/Outfront Media Capital Corp.,

 

Gtd. Notes, 144A

 

6.250%

      06/15/25          475        481,779  

Terrier Media Buyer, Inc.,

 

Gtd. Notes, 144A

 

8.875%

      12/15/27 (a)         1,900        1,826,957  
          

 

 

  
             4,016,575  
          

 

 

  

Aerospace & Defense — 3.3%

 

Boeing Co. (The),

 

Sr. Unsec’d. Notes

 

5.150%

      05/01/30          1,900        2,117,558  

5.805%

      05/01/50          2,450        2,888,787  

Bombardier, Inc. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

7.450%

      05/01/34          375        235,650  

7.500%

      12/01/24          3,225        2,096,320  

7.500%

      03/15/25          1,150        749,350  

7.875%

      04/15/27 (a)         3,825        2,497,330  

8.750%

      12/01/21          2,325        1,892,328  

Howmet Aerospace, Inc.,

 

Sr. Unsec’d. Notes

 

6.875%

      05/01/25 (a)         400        434,477  

Spirit AeroSystems, Inc.,

 

Sec’d. Notes, 144A

 

7.500%

      04/15/25 (a)         800        793,779  

SSL Robotics LLC,

 

Sr. Sec’d. Notes, 144A

 

9.750%

      12/31/23          975        1,044,350  

TransDigm UK Holdings PLC,

 

Gtd. Notes

 

6.875%

      05/15/26          200        186,298  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A131

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest
Rate

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

 

Aerospace & Defense (cont’d.)

 

TransDigm, Inc.,

 

Gtd. Notes

 

6.375%

      06/15/26                       332      $ 303,025  

6.500%

      07/15/24 (a)         625        600,667  

6.500%

      05/15/25          175        163,945  
          

 

 

  
               16,003,864  
          

 

 

  

Agriculture — 0.5%

 

Vector Group Ltd.,

 

Gtd. Notes, 144A

 

10.500%

      11/01/26          350        351,681  

Sr. Sec’d. Notes, 144A

 

6.125%

      02/01/25          1,925        1,848,501  
          

 

 

  
             2,200,182  
          

 

 

  

Apparel — 0.2%

 

William Carter Co. (The),

 

Gtd. Notes, 144A

 

5.500%

      05/15/25          575        592,411  

Wolverine World Wide, Inc.,

 

Gtd. Notes, 144A

 

5.000%

      09/01/26          150        145,166  

6.375%

      05/15/25          425        446,353  
          

 

 

  
             1,183,930  
          

 

 

  

Auto Manufacturers — 1.9%

 

Allison Transmission, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

4.750%

      10/01/27          175        173,698  

5.875%

      06/01/29          225        234,117  

Ford Motor Co.,

 

Sr. Unsec’d. Notes

 

4.750%

      01/15/43          1,250        985,864  

5.291%

      12/08/46          3,575        2,945,812  

9.000%

      04/22/25          725        783,931  

9.625%

      04/22/30          440        521,560  

Ford Motor Credit Co. LLC,

 

Sr. Unsec’d. Notes

 

5.584%

      03/18/24          625        631,200  

Navistar International Corp.,

 

Gtd. Notes, 144A

 

6.625%

      11/01/25          2,575        2,441,472  

Sr. Sec’d. Notes, 144A

 

9.500%

      05/01/25          600        644,037  
          

 

 

  
             9,361,691  
          

 

 

  

Auto Parts & Equipment — 1.9%

 

Adient Global Holdings Ltd.,

 

Gtd. Notes, 144A

 

4.875%

      08/15/26          2,175        1,802,383  

Adient US LLC,

 

Sr. Sec’d. Notes, 144A

 

9.000%

      04/15/25          200        215,525  

American Axle & Manufacturing, Inc.,

 

Gtd. Notes

 

6.250%

      04/01/25 (a)         725        712,286  

6.250%

      03/15/26 (a)         2,373        2,304,430  

Interest
Rate

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

 

Auto Parts & Equipment (cont’d.)

 

Cooper-Standard Automotive, Inc.,

 

Gtd. Notes, 144A

 

5.625%

      11/15/26          1,175      $ 745,867  

Dana Financing Luxembourg Sarl,

 

Gtd. Notes, 144A

 

5.750%

      04/15/25 (a)         475        482,232  

6.500%

      06/01/26 (a)         1,775        1,839,015  

Dana, Inc.,

 

Sr. Unsec’d. Notes

 

5.375%

      11/15/27                       175        173,827  

5.625%

      06/15/28          150        148,800  

Titan International, Inc.,

 

Sr. Sec’d. Notes

 

6.500%

      11/30/23          1,100        719,622  
          

 

 

  
               9,143,987  
          

 

 

  

Banks — 0.2%

 

CIT Group, Inc.,

 

Sub. Notes

 

6.125%

      03/09/28 (a)         975        1,054,025  
          

 

 

  

Building Materials — 1.8%

 

Cornerstone Building Brands, Inc.,

 

Gtd. Notes, 144A

 

8.000%

      04/15/26 (a)         1,250        1,261,971  

Griffon Corp.,

 

Gtd. Notes

 

5.750%

      03/01/28 (a)         1,625        1,606,053  

JELD-WEN, Inc.,

 

Gtd. Notes, 144A

 

4.625%

      12/15/25          350        335,964  

Sr. Sec’d. Notes, 144A

 

6.250%

      05/15/25          225        235,187  

Masonite International Corp.,

 

Gtd. Notes, 144A

 

5.375%

      02/01/28          450        460,657  

Patrick Industries, Inc.,

 

Gtd. Notes, 144A

 

7.500%

      10/15/27          675        697,266  

Standard Industries, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

4.375%

      07/15/30          675        667,894  

4.750%

      01/15/28 (a)         825        836,417  

5.000%

      02/15/27          290        296,088  

Summit Materials LLC/Summit Materials Finance Corp.,

 

Gtd. Notes, 144A

 

6.500%

      03/15/27 (a)         300        307,242  

U.S. Concrete, Inc.,

 

Gtd. Notes

 

6.375%

      06/01/24 (a)         2,000        1,984,989  
          

 

 

  
             8,689,728  
          

 

 

  

Chemicals — 4.2%

 

Ashland LLC,

 

Gtd. Notes

 

6.875%

      05/15/43          1,705        1,969,286  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A132

 
   HIGH YIELD BOND 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.)

 

Atotech Alpha 2 BV (Germany),

 

Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500%

 

8.750%

      06/01/23 (a)         1,375      $ 1,373,221  

Atotech Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom),

 

Gtd. Notes, 144A

 

6.250%

      02/01/25                       450        445,450  

Chemours Co. (The),

 

Gtd. Notes

 

5.375%

      05/15/27 (a)         1,690        1,531,379  

6.625%

      05/15/23 (a)         490        469,012  

7.000%

      05/15/25 (a)         1,355          1,294,847  

Cornerstone Chemical Co.,

 

Sr. Sec’d. Notes, 144A

 

6.750%

      08/15/24          1,110        996,831  

Element Solutions, Inc.,

 

Gtd. Notes, 144A

 

5.875%

      12/01/25 (a)         390        394,284  

Hexion, Inc.,

 

Gtd. Notes, 144A

 

7.875%

      07/15/27 (a)         1,400        1,301,596  

Minerals Technologies, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.000%

      07/01/28          290        294,345  

NOVA Chemicals Corp. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

5.250%

      06/01/27          1,486        1,307,427  

Olin Corp.,

 

Sr. Unsec’d. Notes, 144A

 

9.500%

      06/01/25          625        696,869  

Rain CII Carbon LLC/CII Carbon Corp.,

 

Sec’d. Notes, 144A

 

7.250%

      04/01/25          1,180        1,150,997  

Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands),

 

Sr. Unsec’d. Notes, 144A

 

8.000%

      10/01/26 (a)         1,365        1,402,666  

TPC Group, Inc.,

 

Sr. Sec’d. Notes, 144A

 

10.500%

      08/01/24          1,220        1,097,170  

Tronox Finance PLC,

 

Gtd. Notes, 144A

 

5.750%

      10/01/25 (a)         1,700        1,569,346  

Tronox, Inc.,

 

Gtd. Notes, 144A

 

6.500%

      04/15/26          820        767,271  

Sr. Sec’d. Notes, 144A

 

6.500%

      05/01/25          550        556,221  

Venator Finance Sarl/Venator Materials LLC,

 

Gtd. Notes, 144A

 

5.750%

      07/15/25 (a)         1,155        822,840  

Sr. Sec’d. Notes, 144A

 

9.500%

      07/01/25          500        511,382  

WR Grace & Co-Conn,

 

Gtd. Notes, 144A

 

4.875%

      06/15/27          300        303,880  
          

 

 

  
             20,256,320  
          

 

 

  

Interest
Rate

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

 

Commercial Services — 2.8%

 

   

Allied Universal Holdco LLC/Allied Universal Finance Corp.,

 

Sr. Sec’d. Notes, 144A

 

6.625%

      07/15/26          375      $ 393,537  

Sr. Unsec’d. Notes, 144A

 

9.750%

      07/15/27 (a)         1,325        1,395,921  

AMN Healthcare, Inc.,

 

Gtd. Notes, 144A

 

4.625%

      10/01/27                       375        365,271  

Brink’s Co. (The),

 

Gtd. Notes, 144A

 

5.500%

      07/15/25          655        666,817  

Gartner, Inc.,

 

Gtd. Notes, 144A

 

4.500%

      07/01/28          220        222,226  

Laureate Education, Inc.,

 

Gtd. Notes, 144A

 

8.250%

      05/01/25 (a)         1,845        1,918,405  

Nielsen Co. Luxembourg SARL (The),

 

Gtd. Notes, 144A

 

5.500%

      10/01/21          258        257,879  

Refinitiv US Holdings, Inc.,

 

Gtd. Notes, 144A

 

8.250%

      11/15/26 (a)         62        67,110  

United Rentals North America, Inc.,

 

Gtd. Notes

 

4.000%

      07/15/30 (a)         500        484,139  

4.875%

      01/15/28 (a)         4,000        4,098,667  

5.250%

      01/15/30 (a)         1,000        1,033,735  

5.500%

      05/15/27 (a)         650        672,830  

6.500%

      12/15/26          450        472,589  

Verscend Escrow Corp.,

 

Sr. Unsec’d. Notes, 144A

 

9.750%

      08/15/26 (a)         1,640        1,766,940  
          

 

 

  
               13,816,066  
          

 

 

  

Computers — 1.1%

 

Banff Merger Sub, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

9.750%

      09/01/26 (a)         2,820        2,840,781  

Everi Payments, Inc.,

 

Gtd. Notes, 144A

 

7.500%

      12/15/25 (a)         1,417        1,374,534  

NCR Corp.,

 

Gtd. Notes, 144A

 

8.125%

      04/15/25 (a)         275        291,596  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp.,

 

Sr. Sec’d. Notes, 144A

 

5.750%

      06/01/25          300        307,347  

Sr. Unsec’d. Notes, 144A

 

6.750%

      06/01/25 (a)         529        536,522  
          

 

 

  
             5,350,780  
          

 

 

  

Distribution/Wholesale — 0.4%

 

Core & Main Holdings LP,

 

Sr. Unsec’d. Notes, 144A, Cash coupon 8.625% or PIK 9.375%

 

8.625%

      09/15/24 (a)         1,275        1,276,123  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A133

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest
Rate

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

 

Distribution/Wholesale (cont’d.)

 

H&E Equipment Services, Inc.,

 

Gtd. Notes

 

5.625%

      09/01/25 (a)         475      $ 481,018  

Performance Food Group, Inc.,

 

Gtd. Notes, 144A

 

5.500%

      10/15/27 (a)         125        120,639  
          

 

 

  
     1,877,780  
          

 

 

  

Diversified Financial Services — 2.9%

 

Alliance Data Systems Corp.,

 

Gtd. Notes, 144A

 

4.750%

      12/15/24                       800        719,036  

Fairstone Financial, Inc. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

7.875%

      07/15/24          755        750,992  

LPL Holdings, Inc.,

 

Gtd. Notes, 144A

 

5.750%

      09/15/25          1,125        1,139,269  

Nationstar Mortgage Holdings, Inc.,

 

Gtd. Notes, 144A

 

6.000%

      01/15/27          1,050        1,008,735  

9.125%

      07/15/26 (a)         4,650        4,917,096  

Springleaf Finance Corp.,

 

Gtd. Notes

 

6.625%

      01/15/28          1,125        1,111,744  

6.875%

      03/15/25          1,100        1,130,212  

7.125%

      03/15/26 (a)         2,975        3,077,936  
          

 

 

  
       13,855,020  
          

 

 

  

Electric — 3.1%

 

Calpine Corp.,

           

Sr. Unsec’d. Notes

 

5.750%

      01/15/25 (a)         5,570        5,624,674  

Sr. Unsec’d. Notes, 144A

 

5.125%

      03/15/28 (a)         4,400        4,301,714  

Keystone Power Pass-Through Holders LLC/Conemaugh Power Pass-Through Holders,

 

Gtd. Notes, 144A

 

9.000%

      12/01/23          171        162,857  

Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A

 

13.000%

      06/01/24          580        579,742  

Mirant Corp.,

 

Sr. Unsec’d. Notes, 144A

 

0.000%(cc)

      07/15/49^          250        250  

NRG Energy, Inc.,

 

Gtd. Notes

 

6.625%

      01/15/27          700        733,225  

PG&E Corp.,

 

Sr. Sec’d. Notes

 

5.000%

      07/01/28          385        382,891  

5.250%

      07/01/30          305        306,478  

Vistra Operations Co. LLC,

 

Gtd. Notes, 144A

           

5.000%

      07/31/27          815        826,591  

5.500%

      09/01/26          1,350        1,381,745  

5.625%

      02/15/27 (a)         633        649,622  
          

 

 

  
             14,949,789  
          

 

 

  

Interest
Rate

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

 

Electrical Components & Equipment — 0.2%

 

WESCO Distribution, Inc.,

 

Gtd. Notes, 144A

 

7.125%

      06/15/25          500      $ 527,225  

7.250%

      06/15/28          585        616,585  
          

 

 

  
             1,143,810  
          

 

 

  

Electronics — 0.1%

 

Itron, Inc.,

 

Gtd. Notes, 144A

 

5.000%

      01/15/26                       450        448,388  
          

 

 

  

Energy-Alternate Sources — 0.1%

 

Enviva Partners LP/Enviva Partners Finance Corp.,

 

Gtd. Notes, 144A

 

6.500%

      01/15/26          450        467,966  
          

 

 

  

Engineering & Construction — 0.7%

 

AECOM,

 

Gtd. Notes

 

5.125%

      03/15/27 (a)         775        832,516  

5.875%

      10/15/24          525        567,850  

PowerTeam Services LLC,

 

Sr. Sec’d. Notes, 144A

 

9.033%

      12/04/25          550        560,128  

TopBuild Corp.,

 

Gtd. Notes, 144A

 

5.625%

      05/01/26          1,275        1,310,815  
          

 

 

  
               3,271,309  
          

 

 

  

Entertainment — 3.9%

 

AMC Entertainment Holdings, Inc.,

 

Gtd. Notes

 

5.750%

      06/15/25          2,325        734,855  

5.875%

      11/15/26          2,250        718,185  

Caesars Resort Collection LLC/CRC Finco, Inc.,

 

Gtd. Notes, 144A

 

5.250%

      10/15/25 (a)         3,025        2,632,821  

Colt Merger Sub, Inc.,

 

Sr. Sec’d. Notes, 144A

 

6.250%

      07/01/25          505        508,185  

Sr. Unsec’d. Notes, 144A

 

8.125%

      07/01/27          535        520,287  

Eldorado Resorts, Inc.,

 

Gtd. Notes

 

6.000%

      04/01/25          350        365,852  

7.000%

      08/01/23 (a)         600        616,601  

Golden Entertainment, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

7.625%

      04/15/26 (a)         2,025        1,887,119  

International Game Technology PLC,

 

Sr. Sec’d. Notes, 144A

 

5.250%

      01/15/29 (a)         400        390,670  

6.250%

      01/15/27 (a)         450        458,996  

6.500%

      02/15/25          975        996,063  

Jacobs Entertainment, Inc.,

 

Sec’d. Notes, 144A

 

7.875%

      02/01/24          1,325        1,144,230  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A134

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest
Rate

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

 

Entertainment (cont’d.)

 

   

Merlin Entertainments Ltd. (United Kingdom),

 

Gtd. Notes, 144A

 

5.750%

      06/15/26          200      $ 192,784  

Motion Bondco DAC (United Kingdom),

 

Gtd. Notes, 144A

 

6.625%

      11/15/27                       900        797,084  

Penn National Gaming, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.625%

      01/15/27 (a)         1,525        1,428,323  

Scientific Games International, Inc.,

 

Gtd. Notes, 144A

 

7.250%

      11/15/29 (a)         525        421,248  

8.250%

      03/15/26 (a)         1,752          1,554,757  

Sr. Unsec’d. Notes, 144A

 

8.625%

      07/01/25          1,075        1,005,218  

Six Flags Entertainment Corp.,

 

Gtd. Notes, 144A

 

4.875%

      07/31/24 (a)         550        493,158  

Twin River Worldwide Holdings, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

6.750%

      06/01/27          1,375        1,306,658  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.,

 

Gtd. Notes, 144A

 

5.125%

      10/01/29 (a)         470        420,025  

Sr. Unsec’d. Notes, 144A

 

7.750%

      04/15/25          175        176,317  
          

 

 

  
             18,769,436  
          

 

 

  

Food Service — 0.1%

 

   

Aramark Services, Inc.,

 

Gtd. Notes, 144A

 

6.375%

      05/01/25 (a)         400        413,015  
          

 

 

  

Foods — 2.0%

 

   

B&G Foods, Inc.,

 

Gtd. Notes

 

5.250%

      09/15/27 (a)         485        485,634  

JBS USA LUX SA/JBS USA Finance, Inc.,

 

Gtd. Notes, 144A

 

5.750%

      06/15/25 (a)         1,325        1,342,593  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.,

 

Gtd. Notes, 144A

 

6.500%

      04/15/29 (a)         655        694,709  

Sr. Unsec’d. Notes, 144A

 

5.500%

      01/15/30 (a)         2,100        2,151,234  

Pilgrim’s Pride Corp.,

 

Gtd. Notes, 144A

 

5.750%

      03/15/25          275        274,167  

5.875%

      09/30/27 (a)         2,150        2,151,170  

Post Holdings, Inc.,

 

Gtd. Notes, 144A

 

5.500%

      12/15/29          1,700        1,759,660  

US Foods, Inc.,

 

Gtd. Notes, 144A

 

5.875%

      06/15/24 (a)         1,100        1,045,755  
          

 

 

  
             9,904,922  
          

 

 

  

Interest
Rate

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

 

Gas — 0.9%

 

AmeriGas Partners LP/AmeriGas Finance Corp.,

 

Sr. Unsec’d. Notes

 

5.500%

      05/20/25          1,475      $ 1,522,594  

5.625%

      05/20/24          250        259,602  

5.750%

      05/20/27 (a)         1,475        1,562,962  

5.875%

      08/20/26          975        1,037,204  
          

 

 

  
             4,382,362  
          

 

 

  

Healthcare-Services — 3.5%

 

Acadia Healthcare Co., Inc.,

 

Gtd. Notes

 

6.500%

      03/01/24          150        152,499  

DaVita, Inc.,

 

Gtd. Notes, 144A

 

4.625%

      06/01/30 (a)         800        793,929  

Hadrian Merger Sub, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

8.500%

      05/01/26                       375        341,036  

MEDNAX, Inc.,

 

Gtd. Notes, 144A

 

5.250%

      12/01/23          250        248,615  

6.250%

      01/15/27 (a)         825        825,073  

Polaris Intermediate Corp.,

 

Sr. Unsec’d. Notes, 144A, Cash coupon 8.500% or PIK 9.250%

 

8.500%

      12/01/22 (a)         2,935          2,585,505  

RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.,

 

Gtd. Notes, 144A

 

9.750%

      12/01/26 (a)         3,425        3,532,981  

Surgery Center Holdings, Inc.,

 

Gtd. Notes, 144A

 

6.750%

      07/01/25 (a)         575        519,316  

10.000%

      04/15/27 (a)         725        732,821  

Tenet Healthcare Corp.,

 

Sec’d. Notes

 

5.125%

      05/01/25          200        193,533  

Sec’d. Notes, 144A

 

6.250%

      02/01/27 (a)         1,375        1,363,966  

Sr. Sec’d. Notes, 144A

 

4.625%

      06/15/28          230        225,424  

Sr. Unsec’d. Notes

 

6.750%

      06/15/23          1,650        1,637,389  

6.875%

      11/15/31          2,025        1,824,951  

7.000%

      08/01/25 (a)         1,840        1,807,392  
          

 

 

  
             16,784,430  
          

 

 

  

Home Builders — 4.9%

 

Ashton Woods USA LLC/Ashton Woods Finance Co.,

 

Sr. Unsec’d. Notes, 144A

 

6.750%

      08/01/25          1,500        1,493,291  

9.875%

      04/01/27          1,125        1,193,340  

Beazer Homes USA, Inc.,

 

Gtd. Notes

 

5.875%

      10/15/27 (a)         1,550        1,480,476  

6.750%

      03/15/25          850        836,014  

7.250%

      10/15/29          1,025        991,451  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A135

 
   HIGH YIELD BOND 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.)

 

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),

 

Gtd. Notes, 144A

 

4.875%

      02/15/30                       800      $ 667,106  

6.250%

      09/15/27 (a)         625        597,322  

6.375%

      05/15/25          2,050        2,034,223  

Century Communities, Inc.,

 

Gtd. Notes

 

6.750%

      06/01/27 (a)         1,100        1,134,435  

Forestar Group, Inc.,

 

Gtd. Notes, 144A

 

5.000%

      03/01/28 (a)         500        482,914  

8.000%

      04/15/24          750        776,064  

KB Home,

 

Gtd. Notes

 

4.800%

      11/15/29 (a)         350        343,738  

6.875%

      06/15/27          750        820,241  

M/I Homes, Inc.,

 

Gtd. Notes

 

4.950%

      02/01/28          625        624,405  

5.625%

      08/01/25          425        433,469  

Mattamy Group Corp. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

4.625%

      03/01/30 (a)         1,000        964,150  

5.250%

      12/15/27 (a)         475        474,147  

Meritage Homes Corp.,

 

Gtd. Notes

 

5.125%

      06/06/27          675        696,582  

6.000%

      06/01/25          1,125        1,200,829  

New Home Co., Inc. (The),

 

Gtd. Notes

 

7.250%

      04/01/22          700        650,886  

Taylor Morrison Communities, Inc.,

 

Gtd. Notes, 144A

 

5.875%

      01/31/25          875        887,276  

5.875%

      06/15/27          675        700,974  

6.000%

      09/01/23          375        385,405  

6.625%

      07/15/27          1,875        1,965,110  

Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,

 

Gtd. Notes, 144A

 

5.625%

      03/01/24          275        284,165  

5.875%

      04/15/23          1,150        1,183,800  

TRI Pointe Group, Inc.,

 

Gtd. Notes

 

5.700%

      06/15/28          240        245,313  
          

 

 

  
             23,547,126  
          

 

 

  

Household Products/Wares — 0.2%

 

Spectrum Brands, Inc.,

 

Gtd. Notes, 144A

 

5.000%

      10/01/29          800        790,055  

5.500%

      07/15/30          150        150,119  
          

 

 

  
             940,174  
          

 

 

  

Interest

Rate

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

 

Housewares — 0.0%

 

CD&R Smokey Buyer, Inc.,

 

Sr. Sec’d. Notes, 144A

 

6.750%

      07/15/25                       30      $ 31,280  
          

 

 

  

Iron/Steel — 0.2%

 

Cleveland-Cliffs, Inc.,

 

Sr. Sec’d. Notes, 144A

 

6.750%

      03/15/26          200        193,806  

9.875%

      10/17/25          610        638,509  
          

 

 

  
             832,315  
          

 

 

  

Leisure Time — 0.5%

 

NCL Corp. Ltd.,

 

Sr. Sec’d. Notes, 144A

 

12.250%

      05/15/24          300        313,547  

Sr. Unsec’d. Notes, 144A

 

3.625%

      12/15/24 (a)         900        550,472  

Royal Caribbean Cruises Ltd.,

 

Gtd. Notes, 144A

 

9.125%

      06/15/23          135        133,837  

Sr. Sec’d. Notes, 144A

 

10.875%

      06/01/23          230        236,303  

11.500%

      06/01/25          125        130,275  

Sr. Unsec’d. Notes

 

2.650%

      11/28/20 (a)         575        557,753  

5.250%

      11/15/22          150        117,871  

Viking Cruises Ltd.,

 

Gtd. Notes, 144A

 

5.875%

      09/15/27          950        566,678  
          

 

 

  
             2,606,736  
          

 

 

  

Lodging — 2.0%

 

Boyd Gaming Corp.,

 

Gtd. Notes

 

6.375%

      04/01/26          1,000        950,345  

Sr. Unsec’d. Notes, 144A

 

8.625%

      06/01/25          275        287,500  

Hilton Domestic Operating Co., Inc.,

 

Gtd. Notes

 

5.125%

      05/01/26 (a)         1,425        1,415,677  

Gtd. Notes, 144A

 

5.375%

      05/01/25          225        224,999  

5.750%

      05/01/28          250        253,361  

Marriott International, Inc.,

 

Sr. Unsec’d. Notes, Series EE

 

5.750%

      05/01/25          225        244,905  

MGM Resorts International,

 

Gtd. Notes

 

5.500%

      04/15/27          450        434,207  

6.000%

      03/15/23          1,300        1,309,989  

6.750%

      05/01/25 (a)         1,250        1,242,105  

7.750%

      03/15/22 (a)         500        508,652  

Station Casinos LLC,

 

Gtd. Notes, 144A

 

4.500%

      02/15/28 (a)         950        797,753  

5.000%

      10/01/25          350        308,347  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A136

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest

Rate

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

 

Lodging (cont’d.)

 

Wyndham Destinations, Inc.,

 

Sr. Sec’d. Notes, 144A

 

4.625%

      03/01/30                       425      $ 395,217  

Wynn Macau Ltd. (Macau),

 

Sr. Unsec’d. Notes, 144A

 

5.125%

      12/15/29 (a)         925        903,537  

5.500%

      01/15/26          600        591,611  
          

 

 

  
             9,868,205  
          

 

 

  

Machinery-Diversified — 0.5%

 

ATS Automation Tooling Systems, Inc. (Canada),

 

Gtd. Notes, 144A

 

6.500%

      06/15/23          600        605,758  

Maxim Crane Works Holdings Capital LLC,

 

Sec’d. Notes, 144A

 

10.125%

      08/01/24          2,050        2,016,928  
          

 

 

  
             2,622,686  
          

 

 

  

Media — 6.3%

 

CCO Holdings LLC/CCO Holdings Capital Corp.,

 

Sr. Unsec’d. Notes, 144A

 

4.500%

      05/01/32 (a)         1,300        1,317,368  

4.750%

      03/01/30          2,375        2,432,844  

5.000%

      02/01/28          755        779,715  

5.375%

      06/01/29          200        210,986  

Clear Channel Worldwide Holdings, Inc.,

 

Gtd. Notes

 

9.250%

      02/15/24 (a)         7,635        7,082,715  

CSC Holdings LLC,

 

Gtd. Notes, 144A

 

4.125%

      12/01/30 (a)         575        571,475  

Sr. Unsec’d. Notes, 144A

 

7.500%

      04/01/28          275        300,025  

10.875%

      10/15/25          560        602,103  

Cumulus Media New Holdings, Inc.,

 

Sr. Sec’d. Notes, 144A

 

6.750%

      07/01/26 (a)         490        452,235  

Diamond Sports Group LLC/Diamond Sports Finance Co.,

 

Gtd. Notes, 144A

 

6.625%

      08/15/27          4,220        2,258,655  

Sr. Sec’d. Notes, 144A

 

5.375%

      08/15/26          1,020        744,767  

DISH DBS Corp.,

 

Gtd. Notes

 

5.000%

      03/15/23          285        284,761  

7.750%

      07/01/26 (a)         2,350        2,490,662  

Sr. Unsec’d. Notes, 144A

 

7.375%

      07/01/28          565        565,535  

Entercom Media Corp.,

 

Sec’d. Notes, 144A

 

6.500%

      05/01/27 (a)         875        786,841  

Gray Television, Inc.,

 

Gtd. Notes, 144A

 

5.875%

      07/15/26 (a)         1,335        1,329,978  

7.000%

      05/15/27 (a)         335        345,584  

Interest

Rate

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

 

Media (cont’d.)

 

iHeartCommunications, Inc.,

 

Gtd. Notes

 

8.375%

      05/01/27 (a)                      1,150      $ 1,054,948  

Sr. Sec’d. Notes

 

6.375%

      05/01/26          325        323,769  

Midcontinent Communications/Midcontinent Finance Corp.,

 

Gtd. Notes, 144A

 

5.375%

      08/15/27          300        306,047  

Radiate Holdco LLC/Radiate Finance, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

6.625%

      02/15/25 (a)         900        900,235  

6.875%

      02/15/23          1,735        1,761,287  

Scripps Escrow, Inc.,

 

Gtd. Notes, 144A

 

5.875%

      07/15/27 (a)         310        293,738  

Sinclair Television Group, Inc.,

 

Gtd. Notes, 144A

 

5.125%

      02/15/27 (a)         685        623,409  

5.875%

      03/15/26          275        270,511  

Univision Communications, Inc.,

 

Sr. Sec’d. Notes, 144A

 

5.125%

      02/15/25 (a)         1,760        1,658,281  

6.625%

      06/01/27 (a)         975        930,841  
          

 

 

  
             30,679,315  
          

 

 

  

Mining — 2.6%

 

Constellium SE,

 

Gtd. Notes, 144A

 

5.875%

      02/15/26 (a)         1,175        1,184,489  

6.625%

      03/01/25 (a)         636        645,514  

Eldorado Gold Corp. (Turkey),

 

Sec’d. Notes, 144A

 

9.500%

      06/01/24          1,300        1,392,001  

First Quantum Minerals Ltd. (Zambia),

 

Gtd. Notes, 144A

 

6.500%

      03/01/24          720        679,330  

7.250%

      05/15/22 (a)         600        586,868  

7.250%

      04/01/23          135        128,774  

7.500%

      04/01/25 (a)         1,575        1,496,503  

Freeport-McMoRan, Inc.,

 

Gtd. Notes

 

3.875%

      03/15/23          1,100        1,101,512  

Hecla Mining Co.,

 

Gtd. Notes

 

7.250%

      02/15/28 (a)         625        634,415  

IAMGOLD Corp. (Burkina Faso),

 

Gtd. Notes, 144A

 

7.000%

      04/15/25          1,385        1,400,804  

New Gold, Inc. (Canada),

 

Gtd. Notes, 144A

 

6.375%

      05/15/25 (a)         1,015        1,028,622  

Sr. Unsec’d. Notes, 144A

 

7.500%

      07/15/27          725        747,124  

Novelis Corp.,

 

Gtd. Notes, 144A

 

5.875%

      09/30/26 (a)         1,660        1,659,974  
          

 

 

  
             12,685,930  
          

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A137

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest

Rate

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

 

Miscellaneous Manufacturing — 0.3%

 

Amsted Industries, Inc.,

 

Gtd. Notes, 144A

 

5.625%

      07/01/27                       425      $ 438,582  

Sr. Unsec’d. Notes, 144A

 

4.625%

      05/15/30 (a)         570        563,297  

FXI Holdings, Inc.,

 

Sr. Sec’d. Notes, 144A

 

7.875%

      11/01/24          644        560,605  
          

 

 

  
             1,562,484  
          

 

 

  

Oil & Gas — 6.5%

 

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.,

 

Gtd. Notes

 

7.875%

      12/15/24 (d)         5,200        52  

Antero Resources Corp.,

 

Gtd. Notes

 

5.000%

      03/01/25          2,770        1,644,518  

5.125%

      12/01/22          775        559,804  

5.375%

      11/01/21          750        693,557  

5.625%

      06/01/23          1,450        936,918  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.,

 

Sr. Unsec’d. Notes, 144A

 

7.000%

      11/01/26          1,825        1,184,123  

10.000%

      04/01/22          2,050        1,762,359  

Citgo Holding, Inc.,

 

Sr. Sec’d. Notes, 144A

 

9.250%

      08/01/24 (a)         2,050        2,042,824  

CITGO Petroleum Corp.,

 

Sr. Sec’d. Notes, 144A

 

7.000%

      06/15/25          875        876,028  

CNX Resources Corp.,

 

Gtd. Notes

 

5.875%

      04/15/22          711        701,978  

Gtd. Notes, 144A

 

7.250%

      03/14/27          1,700        1,564,284  

CrownRock LP/CrownRock Finance, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.625%

      10/15/25          350        313,857  

Diamond Offshore Drilling, Inc.,

 

Sr. Unsec’d. Notes

 

7.875%

      08/15/25 (d)         1,025        102,500  

Endeavor Energy Resources LP/EER Finance, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

5.750%

      01/30/28          1,250        1,204,216  

6.625%

      07/15/25          230        231,771  

Extraction Oil & Gas, Inc.,

 

Gtd. Notes, 144A

 

5.625%

      02/01/26 (d)         2,000        387,282  

7.375%

      05/15/24 (d)         950        183,839  

Hilcorp Energy I LP/Hilcorp Finance Co.,

 

Sr. Unsec’d. Notes, 144A

 

5.000%

      12/01/24          75        63,074  

5.750%

      10/01/25 (a)         1,275        1,059,985  

6.250%

      11/01/28          900        715,090  

MEG Energy Corp. (Canada),

 

Gtd. Notes, 144A

 

7.000%

      03/31/24          225        192,788  

Interest

Rate

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

 

Oil & Gas (cont’d.)

 

   

MEG Energy Corp. (Canada), (cont’d.)

 

Sr. Unsec’d. Notes, 144A

 

7.125%

      02/01/27 (a)                      675      $ 560,726  

Nabors Industries Ltd.,

 

Gtd. Notes, 144A

 

7.500%

      01/15/28          700        432,377  

Nabors Industries, Inc.,

 

Gtd. Notes

 

5.750%

      02/01/25          2,750        1,112,709  

Occidental Petroleum Corp.,

 

Sr. Unsec’d. Notes

 

2.700%

      08/15/22 (a)         375        349,382  

2.700%

      02/15/23 (a)         1,425        1,311,886  

2.900%

      08/15/24 (a)         1,025        876,243  

3.125%

      02/15/22          25        24,087  

4.850%

      03/15/21          50        50,020  

PBF Holding Co. LLC/PBF Finance Corp.,

 

Sr. Sec’d. Notes, 144A

 

9.250%

      05/15/25          990        1,056,310  

Precision Drilling Corp. (Canada),

 

Gtd. Notes

 

7.750%

      12/15/23          525        366,294  

Gtd. Notes, 144A

 

7.125%

      01/15/26          1,225        762,913  

Range Resources Corp.,

 

Gtd. Notes

 

4.875%

      05/15/25          775        584,905  

5.000%

      03/15/23          380        324,110  

5.875%

      07/01/22          799        738,788  

Gtd. Notes, 144A

 

9.250%

      02/01/26          850        765,222  

Seventy Seven Energy, Inc.,

 

Sr. Unsec’d. Notes

 

6.500%

      07/15/22^ (d)         275        3  

Sunoco LP/Sunoco Finance Corp.,

 

Gtd. Notes

 

5.500%

      02/15/26          850        825,640  

5.875%

      03/15/28          100        99,594  

Transocean, Inc.,

 

Gtd. Notes, 144A

 

7.250%

      11/01/25          1,875        1,045,816  

7.500%

      01/15/26          1,175        640,414  

8.000%

      02/01/27          825        455,670  

Valaris PLC (Saudi Arabia),

 

Sr. Unsec’d. Notes

 

5.750%

      10/01/44          400        29,464  

7.375%

      06/15/25          75        7,287  

7.750%

      02/01/26          2,050        152,952  

WPX Energy, Inc.,

 

Sr. Unsec’d. Notes

 

5.250%

      09/15/24 (a)         800        790,695  

5.250%

      10/15/27          1,000        935,346  

5.750%

      06/01/26          275        265,669  

8.250%

      08/01/23          325        362,436  
          

 

 

  
             31,347,805  
          

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A138

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest

Rate

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

 

Packaging & Containers — 0.9%

 

ARD Finance SA (Luxembourg),

 

Sr. Sec’d. Notes, 144A, Cash coupon 6.500% or PIK 7.250%

 

6.500%

      06/30/27 (a)                      950      $ 940,722  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,

 

Sr. Sec’d. Notes, 144A

 

4.125%

      08/15/26 (a)         375        368,769  

Sr. Unsec’d. Notes, 144A

 

5.250%

      08/15/27          825        809,698  

Owens-Brockway Glass Container, Inc.,

 

Gtd. Notes, 144A

 

6.375%

      08/15/25          200        210,120  

6.625%

      05/13/27 (a)         725        764,971  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu,

 

Gtd. Notes, 144A

 

7.000%

      07/15/24 (a)         900        903,925  

TriMas Corp.,

           

Gtd. Notes, 144A

           

4.875%

      10/15/25          337        337,992  
          

 

 

  
             4,336,197  
          

 

 

  

Pharmaceuticals — 1.7%

 

Bausch Health Cos., Inc.,

 

Gtd. Notes, 144A

 

5.000%

      01/30/28 (a)         725        683,158  

5.250%

      01/30/30 (a)         250        238,348  

6.125%

      04/15/25 (a)         2,615        2,649,502  

6.250%

      02/15/29 (a)         1,225        1,231,834  

7.000%

      01/15/28          775        799,150  

7.250%

      05/30/29          1,510        1,585,055  

Endo Dac/Endo Finance LLC/Endo Finco, Inc.,

 

Gtd. Notes, 144A

 

6.000%

      06/30/28          631        406,995  

Sec’d. Notes, 144A

 

9.500%

      07/31/27 (a)         413        435,305  

Par Pharmaceutical, Inc.,

 

Sr. Sec’d. Notes, 144A

 

7.500%

      04/01/27          154        157,905  
          

 

 

  
             8,187,252  
          

 

 

  

Pipelines — 2.7%

 

Antero Midstream Partners LP/Antero Midstream Finance Corp.,

 

Gtd. Notes

 

5.375%

      09/15/24          375        319,787  

Gtd. Notes, 144A

 

5.750%

      01/15/28 (a)         1,825        1,454,866  

DCP Midstream Operating LP,

 

Gtd. Notes

 

5.625%

      07/15/27 (a)         395        398,466  

Gtd. Notes, 144A

 

6.450%

      11/03/36          200        180,016  

Energy Transfer Operating LP,

 

Jr. Sub. Notes, Series G

 

7.125%(ff)

      – (rr)         775        664,946  

EQM Midstream Partners LP,

 

Sr. Unsec’d. Notes, 144A

 

6.000%

      07/01/25          250        252,547  

Interest

Rate

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

 

Pipelines (cont’d.)

 

   

EQM Midstream Partners LP, (cont’d.)

 

6.500%

      07/01/27                       310      $ 317,366  

Global Partners LP/GLP Finance Corp.,

 

Gtd. Notes

 

7.000%

      06/15/23          950        912,604  

7.000%

      08/01/27          260        240,589  

NGPL PipeCo LLC,

 

Sr. Unsec’d. Notes, 144A

 

7.768%

      12/15/37          675        825,608  

Rockies Express Pipeline LLC,

 

Sr. Unsec’d. Notes, 144A

 

6.875%

      04/15/40          2,269        2,181,852  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,

 

Gtd. Notes, 144A

 

5.500%

      09/15/24          875        794,175  

5.500%

      01/15/28 (a)         2,025        1,731,951  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,

 

Gtd. Notes

 

5.875%

      04/15/26 (a)         375        372,684  

6.750%

      03/15/24          675        679,111  

Western Midstream Operating LP,

 

Sr. Unsec’d. Notes

 

3.100%(cc)

      02/01/25          200        190,220  

3.950%

      06/01/25 (a)         575        539,397  

4.050%(cc)

      02/01/30 (a)         850        817,619  
          

 

 

  
             12,873,804  
          

 

 

  

Real Estate — 1.0%

 

Five Point Operating Co. LP/Five Point Capital Corp.,

 

Gtd. Notes, 144A

 

7.875%

      11/15/25 (a)         1,675        1,602,552  

Greystar Real Estate Partners LLC,

 

Sr. Sec’d. Notes, 144A

 

5.750%

      12/01/25 (a)         1,825        1,826,728  

Hunt Cos., Inc.,

 

Sr. Sec’d. Notes, 144A

 

6.250%

      02/15/26          1,825        1,663,040  
          

 

 

  
             5,092,320  
          

 

 

  

Real Estate Investment Trusts (REITs) — 1.5%

 

Diversified Healthcare Trust,

 

Gtd. Notes

 

9.750%

      06/15/25 (a)         700        752,298  

ESH Hospitality, Inc.,

 

Gtd. Notes, 144A

 

5.250%

      05/01/25          1,325        1,281,825  

GLP Capital LP/GLP Financing II, Inc.,

 

Gtd. Notes

 

5.375%

      04/15/26 (a)         230        251,334  

5.750%

      06/01/28          275        304,894  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,

 

Gtd. Notes

 

4.500%

      01/15/28 (a)         1,175        1,146,773  

Gtd. Notes, 144A

 

4.625%

      06/15/25          185        182,090  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A139

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Interest

Rate

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

 

Real Estate Investment Trusts (REITs) (cont’d.)

 

MPT Operating Partnership LP/MPT Finance Corp.,

 

Gtd. Notes

 

5.000%

      10/15/27 (a)                      1,225      $   1,260,503  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer,

 

Sr. Sec’d. Notes, 144A

 

7.500%

      06/01/25 (a)         935        956,026  

RHP Hotel Properties LP/RHP Finance Corp.,

 

Gtd. Notes

 

5.000%

      04/15/23          75        70,804  

Ryman Hospitality Properties, Inc.,

 

Gtd. Notes, 144A

 

4.750%

      10/15/27          125        111,209  

Sabra Health Care LP,

 

Gtd. Notes

 

5.125%

      08/15/26          400        404,716  

VICI Properties LP/VICI Note Co., Inc.,

 

Gtd. Notes, 144A

 

4.625%

      12/01/29          745        730,354  
          

 

 

  
             7,452,826  
          

 

 

  

Retail — 4.0%

 

Brinker International, Inc.,

 

Gtd. Notes, 144A

 

5.000%

      10/01/24          175        163,374  

Sr. Unsec’d. Notes

 

3.875%

      05/15/23          850        786,058  

CEC Entertainment, Inc.,

 

Gtd. Notes

 

8.000%

      02/15/22 (d)         2,000        226,849  

eG Global Finance PLC (United Kingdom),

 

Sr. Sec’d. Notes, 144A

 

8.500%

      10/30/25 (a)         1,075        1,104,898  

Ferrellgas LP/Ferrellgas Finance Corp.,

 

Gtd. Notes, (original cost $ 739,750; purchased 06/02/16 - 01/28/19)(f)

 

6.750%

      06/15/23          850        705,779  

Sr. Unsec’d. Notes, (original cost $ 590,875; purchased 02/11/14 -

 

08/28/19)(f)

           

6.500%

      05/01/21          625        520,461  

Sr. Unsec’d. Notes, (original cost $ 940,625; purchased 01/06/15 -

 

04/10/19)(f)

           

6.750%

      01/15/22          975        811,119  

Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,

 

Sr. Unsec’d. Notes

 

8.625%

      07/31/20          2,100        523,461  

8.625%

      07/31/20          2,875        715,156  

Golden Nugget, Inc.,

 

Gtd. Notes, 144A

 

8.750%

      10/01/25          2,350        1,382,232  

Sr. Unsec’d. Notes, 144A

 

6.750%

      10/15/24          1,550        1,110,286  

Michaels Stores, Inc.,

 

Gtd. Notes, 144A

 

8.000%

      07/15/27 (a)         1,300        1,130,362  

PetSmart, Inc.,

 

Gtd. Notes, 144A

 

7.125%

      03/15/23          950        937,102  

Interest

Rate

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

 

Retail (cont’d.)

 

PetSmart, Inc., (cont’d.)

 

Sr. Sec’d. Notes, 144A

 

5.875%

      06/01/25 (a)                      2,037      $ 2,044,166  

Rite Aid Corp.,

 

Gtd. Notes, 144A

 

6.125%

      04/01/23          1,396        1,356,627  

Sr. Sec’d. Notes, 144A

 

7.500%

      07/01/25          504        505,470  

Sally Holdings LLC/Sally Capital, Inc.,

 

Gtd. Notes

 

5.625%

      12/01/25 (a)         2,600        2,525,081  

Sec’d. Notes, 144A

 

8.750%

      04/30/25          175        190,699  

Suburban Propane Partners LP/Suburban Energy Finance Corp.,

 

Sr. Unsec’d. Notes

 

5.500%

      06/01/24 (a)         1,175        1,166,238  

5.750%

      03/01/25          175        175,463  

5.875%

      03/01/27          150        149,185  

Superior Plus LP/Superior General Partner, Inc. (Canada),

 

Sr. Unsec’d. Notes, 144A

 

7.000%

      07/15/26 (a)         1,075        1,112,754  
          

 

 

  
             19,342,820  
          

 

 

  

Semiconductors — 0.1%

 

Microchip Technology, Inc.,

 

Gtd. Notes, 144A

 

4.250%

      09/01/25 (a)         330        332,063  
          

 

 

  

Software — 0.5%

 

Boxer Parent Co., Inc.,

 

Sr. Sec’d. Notes, 144A

 

7.125%

      10/02/25 (a)         325        340,912  

Dun & Bradstreet Corp. (The),

 

Sr. Sec’d. Notes, 144A

 

6.875%

      08/15/26          285        302,050  

RP Crown Parent LLC,

 

Gtd. Notes, 144A

 

7.375%

      10/15/24 (a)         1,555        1,556,325  
          

 

 

  
             2,199,287  
          

 

 

  

Telecommunications — 6.6%

 

C&W Senior Financing DAC (Ireland),

 

Sr. Unsec’d. Notes, 144A

 

6.875%

      09/15/27 (a)         775        767,731  

CenturyLink, Inc.,

 

Sr. Unsec’d. Notes, Series P

 

7.600%

      09/15/39          165        177,597  

CommScope Technologies LLC,

 

Gtd. Notes, 144A

 

6.000%

      06/15/25 (a)         2,140        2,064,521  

CommScope, Inc.,

 

Gtd. Notes, 144A

 

7.125%

      07/01/28          610        609,697  

8.250%

      03/01/27 (a)         435        446,821  

Digicel Group 0.5 Ltd. (Jamaica),

 

Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% or PIK 10.000%

 

10.000%

      04/01/24          1,227        844,682  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A140

 
   HIGH YIELD 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.)

 

   

Digicel Group 0.5 Ltd. (Jamaica), (cont’d.)

 

   

Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% or PIK 8.000%

 

   

8.000%

      04/01/25                       614      $ 151,571  

Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. (Jamaica),

 

   

Gtd. Notes, 144A

 

   

8.000%

      12/31/26          363        219,794  

Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000%

 

13.000%

      12/31/25          735        623,480  

Sr. Sec’d. Notes, 144A

 

   

8.750%

      05/25/24          850        829,144  

8.750%

      05/25/24 (a)         908        885,491  

Digicel Ltd. (Jamaica),

 

Gtd. Notes, 144A

 

   

6.750%

      03/01/23          4,710        2,424,610  

Embarq Corp.,

 

Sr. Unsec’d. Notes

 

   

7.995%

      06/01/36 (a)         6,775        7,612,375  

Intelsat Jackson Holdings SA (Luxembourg),

 

Gtd. Notes

 

   

5.500%

      08/01/23 (d)         1,945        1,109,628  

Gtd. Notes, 144A

 

   

9.750%

      07/15/25 (d)         3,955        2,425,284  

Intelsat Luxembourg SA (Luxembourg),

 

Gtd. Notes

 

   

8.125%

      06/01/23 (d)         1,690        92,950  

Intrado Corp.,

 

   

Gtd. Notes, 144A

 

8.500%

      10/15/25 (a)         3,884        3,094,221  

Northwestern Bell Telephone,

 

Sr. Unsec’d. Notes

 

   

7.750%

      05/01/30          100        104,963  

ORBCOMM, Inc.,

 

Sr. Sec’d. Notes, 144A

 

   

8.000%

      04/01/24          1,255        1,198,464  

Sprint Capital Corp.,

 

Gtd. Notes

 

   

6.875%

      11/15/28 (a)         430        524,441  

8.750%

      03/15/32          1,991        2,847,744  

Sprint Corp.,

 

Gtd. Notes

 

   

7.625%

      02/15/25 (a)         1,385        1,597,611  

Zayo Group Holdings, Inc.,

 

Sr. Unsec’d. Notes, 144A

 

   

6.125%

      03/01/28 (a)         1,125        1,093,407  
          

 

 

  
             31,746,227  
          

 

 

  

Transportation — 0.6%

 

   

XPO Logistics, Inc.,

 

Gtd. Notes, 144A

 

   

6.250%

      05/01/25          170        178,010  

6.750%

      08/15/24 (a)         2,650        2,775,920  
          

 

 

  
             2,953,930  
          

 

 

  

TOTAL CORPORATE BONDS
(cost $420,513,742)

 

      388,586,157  
          

 

 

  

Interest

Rate

    Maturity
Date		      Principal
Amount
(000)#		      Value  
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.0%

 

Adjustable Rate Mortgage Trust,

 

Series 2005-07, Class 1A1

 

   

3.180%(cc)

      10/25/35                        5      $ 3,724  

Alternative Loan Trust,

 

Series 2005-43, Class 4A3

 

   

3.354%(cc)

      10/25/35           2        2,061  

Series 2006-HY13, Class 4A1

 

   

3.843%(cc)

      02/25/37           3        2,637  

Series 2006-OA09, Class 2A1A, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)

 

0.400%(c)

      07/20/46           4        2,652  

American Home Mortgage Assets Trust,

 

Series 2006-04, Class 1A12, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)

 

0.395%(c)

      10/25/46           21        13,381  

American Home Mortgage Investment Trust,

 

Series 2005-02, Class 4A1, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%)

 

2.015%(c)

      09/25/45           1        637  

Banc of America Funding Trust,

 

Series 2006-B, Class 2A1

 

   

3.687%(cc)

      03/20/36           5        4,744  

Citigroup Mortgage Loan Trust,

 

Series 2007-10, Class 22AA

 

   

3.934%(cc)

      09/25/37           13        11,800  

HarborView Mortgage Loan Trust,

 

Series 2006-05, Class 2A1A, 1 Month LIBOR + 0.180% (Cap N/A, Floor 0.180%)

 

0.374%(c)

      07/19/46           6        3,218  

IndyMac INDX Mortgage Loan Trust,

 

Series 2006-AR12, Class A1, 1 Month LIBOR + 0.190% (Cap N/A, Floor 0.190%)

 

0.375%(c)

      09/25/46           5        4,197  

JPMorgan Mortgage Trust,

 

Series 2007-S03, Class 1A96

 

   

6.000%

      08/25/37           13        9,833  

MASTR Adjustable Rate Mortgages Trust,

 

Series 2006-OA01, Class 1A1, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)

 

0.395%(c)

      04/25/46           3        2,639  

RALI Trust,

 

Series 2006-QA02, Class 3A1

 

   

5.760%(cc)

      02/25/36           14        10,994  

Residential Asset Securitization Trust,

 

Series 2007-A05, Class 2A3

 

   

6.000%

      05/25/37           3        2,677  

WaMu Mortgage Pass-Through Certificates Trust,

 

Series 2007-HY01, Class 2A3

 

   

3.611%(cc)

      02/25/37           3        2,613  

Series 2007-HY01, Class 4A1

 

   

3.592%(cc)

      02/25/37           4        3,267  
           

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $76,541)

 

      81,074  
           

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A141

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
COMMON STOCKS — 0.9%      

Chemicals — 0.0%

 

Hexion Holdings Corp. (Class B Stock)*

      23,260      $ 157,005  
     

 

 

  

Electric Utilities — 0.7%

 

GenOn Energy Holdings, Inc. (Class A Stock)*^

      11,836        2,663,100  

Keycon Power Holdings LLC*^

      2,150        533,200  
     

 

 

  
        3,196,300  
     

 

 

  

Independent Power & Renewable Electricity Producers — 0.2%

 

Vistra Energy Corp

      44,042        820,062  
     

 

 

  

Media — 0.0%

 

Mood Media Corp.*^

      71,972        7  

Mood Media Corp., (OOTC)*^

      88,166        9  
     

 

 

  
        16  
     

 

 

  

Oil, Gas & Consumable Fuels — 0.0%

 

Frontera Energy Corp. (Colombia)

      7,600        18,901  
     

 

 

  

TOTAL COMMON STOCKS
(cost $2,769,310)

 

      4,192,284  
     

 

 

  
PREFERRED STOCKS — 0.0%

 

Capital Markets — 0.0%

 

Goldman Sachs Group, Inc. (The), Series K, 6.375%

      11,850        309,996  
     

 

 

  

Construction Materials — 0.0%

 

New Millennium Homes LLC^

      408        4,493  
     

 

 

  

Media — 0.0%

 

Adelphia Communications Corp.^

      700        1  
     

 

 

  

TOTAL PREFERRED STOCKS
(cost $296,917)

 

      314,490  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $503,341,020)

 

      470,421,010  
     

 

 

  
SHORT-TERM INVESTMENTS — 30.3%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Ultra Short Bond
Fund(w)

      3,149,429        3,149,429  

PGIM Institutional Money Market Fund (cost $143,298,851; includes $143,237,589 of cash collateral for securities on
loan)(b)(w)

      143,351,923        143,351,923  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $146,448,280)

 

      146,501,352  
     

 

 

  

TOTAL INVESTMENTS—127.4%
(cost $649,789,300)

 

      616,922,362  

Liabilities in excess of other assets(z) — (27.4)%

 

      (132,567,538 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 484,354,824  
     

 

 

  

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

 

*

Non-income producing security.

#

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

^

Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $7,719,762 and 1.6% 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 $140,435,276; cash collateral of $143,237,589 (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.

(f)

Indicates a restricted security; the aggregate original cost of such securities is $2,271,250. The aggregate value of $2,037,359 is 0.4% of net assets.

(ff)

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

(p)

Interest rate not available as of June 30, 2020.

(rr)

Perpetual security with no stated maturity date.

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)

Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A142

 
   HIGH YIELD 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:

      
135  

2 Year U.S. Treasury Notes

     Sep. 2020     $ 29,811,797     $ 6,879  
32  

5 Year U.S. Treasury Notes

     Sep. 2020       4,023,750       8,599  
135  

10 Year U.S. Treasury Notes

     Sep. 2020       18,788,204       60,720  
24  

20 Year U.S. Treasury Bonds

     Sep. 2020       4,285,500       24,869  
       

 

 

  
          101,067  
       

 

 

  

Short Position:

      
4  

30 Year U.S. Ultra Treasury Bonds

     Sep. 2020       872,625       (44,127 ) 
       

 

 

  
        $ 56,940  
       

 

 

  

Credit default swap agreements outstanding at June 30, 2020:

 

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.HY.34.V6

      06/20/25        5.000%(Q)        32,286      $ 1,741,202      $ 161,276      $ (1,579,926 ) 
           

 

 

     

 

 

     

 

 

  

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.

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

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

 

Broker

            Cash and/or Foreign Currency                        Securities Market Value             

Citigroup Global Markets, Inc.

      $ 3,433,000      $ —
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A143

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Fair Value Measurements:

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

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

 

     Level 1     Level 2     Level 3  

Investments in Securities

       

Assets

       

Asset-Backed Securities

       

Collateralized Loan Obligations

    $ —     $ 52,195,515     $ —  

Bank Loans

      —       20,592,337       4,430,060  

Convertible Bond

      —       29,093       —  

Corporate Bonds

      —       388,497,265       88,892  

Residential Mortgage-Backed Securities

      —       81,074       —  

Common Stocks

      995,968       —       3,196,316  

Preferred Stocks

      309,996       —       4,494  

Affiliated Mutual Funds

      146,501,352       —       —  
  

 

 

    

 

 

    

 

 

  

Total

    $ 147,807,316     $ 461,395,284     $ 7,719,762  
  

 

 

    

 

 

    

 

 

  

Other Financial Instruments*

       

Assets

       

Futures Contracts

    $ 101,067     $ —     $ —  
  

 

 

    

 

 

    

 

 

  

Liabilities

       

Futures Contracts

    $ (44,127 )    $ —     $ —  

Centrally Cleared Credit Default Swap Agreement

      —       (1,579,926 )      —  
  

 

 

    

 

 

    

 

 

  

Total

    $ (44,127 )    $ (1,579,926 )    $ —  
  

 

 

    

 

 

    

 

 

  

 

*

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:

 

     Bank
Loan		     Corporate
Bonds		     Common
Stocks		     Preferred
stocks		     Warrants  

Balance as of 12/31/19

    $ 4,999,235     $ 253     $ 2,433,876     $ 7,762       5,508  

Realized gain (loss)

      404       —       (13,090 )      —       (6,838 ) 

Change in unrealized appreciation (depreciation)

      5,550       (138,877 )      131,449       (3,268 )      1,335  

Purchases/Exchanges/Issuances

      1,327,000       24,105       —       —       —  

Sales/Paydowns

      (187,983 )      —       (919 )      —       (5 ) 

Accrued discount/premium

      4,667       (38,589 )      —       —       —  

Transfers into Level 3

      —       242,000       645,000       —       —  

Transfers out of Level 3

      (1,718,813 )      —       —       —       —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Balance as of 06/30/20

    $ 4,430,060     $ 88,892     $ 3,196,316     $ 4,494     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end

    $ 5,550     $ (138,877 )    $ 124,904     $ (3,268 )    $ —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

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         

Bank Loans

    $ 4,430,060      Market Approach    Single Broker Indicative Quote

Corporate Bonds

      88,639      Enterprise Value    Estimated EBITDA

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A144

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Level 3 Securities

   

Fair Value as of

June 30, 2020

     

Valuation

Methodology

    Unobservable Inputs

Corporate Bonds

      $          253      Worthless    Estimated Future Distributions

Common Stocks

      533,200      Enterprise Value    Discounted Cash Flow

Common Stocks

      16      Stale Pricing    Unadjusted Last Trade Price

Common Stocks

      2,663,100      Market Approach    Single Broker Indicative Quote

Preferred Stocks

      1      Worthless    Estimated Future Distributions

Preferred Stocks

      4,493      Formula Pricing    Estimated Future Distributions
  

 

 

        
     $7,719,762        
  

 

 

        

 

Investments in Securities            

   

Amount Transferred

   

Level Transfer

   

Logic

Bank Loans

    $1,718,813    L3 to L2    Single Broker Indicative Quote to Multiple Broker Quotes

Corporate Bonds

    $   242,000    L2 to L3    Proxy Price to Enterprise Value Evaluated Bid to Enterprise

Common Stocks

    $   645,000    L2 to L3    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 (29.6% represents investments purchased with collateral from securities on loan)

      30.3 % 

Collateralized Loan Obligations

      10.8  

Oil & Gas

      7.1  

Telecommunications

      6.9  

Media

      6.3  

Chemicals

      5.0  

Home Builders

      4.9  

Entertainment

      4.5  

Retail

      4.1  

Electric

      3.6  

Healthcare-Services

      3.5  

Aerospace & Defense

      3.3  

Commercial Services

      2.9  

Diversified Financial Services

      2.9  

Pipelines

      2.7  

Mining

      2.6  

Computers

      2.1  

Foods

      2.0  

Lodging

      2.0  

Auto Manufacturers

      1.9  

Auto Parts & Equipment

      1.9  

Pharmaceuticals

      1.8  

Building Materials

      1.8  

Real Estate Investment Trusts (REITs)

      1.5  

Software

      1.3  

Real Estate

      1.0  

Gas

      0.9  

Packaging & Containers

      0.9  

Engineering & Construction

      0.9  

Advertising

      0.8 % 

Electric Utilities

      0.7  

Transportation

      0.6  

Machinery-Diversified

      0.5  

Leisure Time

      0.5  

Agriculture

      0.5  

Distribution/Wholesale

      0.4  

Miscellaneous Manufacturing

      0.3  

Apparel

      0.2  

Electrical Components & Equipment

      0.2  

Banks

      0.2  

Electronics

      0.2  

Household Products/Wares

      0.2  

Iron/Steel

      0.2  

Independent Power & Renewable Electricity Producers

      0.2  

Energy-Alternate Sources

      0.1  

Food Service

      0.1  

Semiconductors

      0.1  

Capital Markets

      0.0 * 

Residential Mortgage-Backed Securities

      0.0 * 

Housewares

      0.0 * 

Oil, Gas & Consumable Fuels

      0.0 * 

Construction Materials

      0.0 * 
  

 

 

  
     127.4  

Liabilities in excess of other assets

      (27.4 ) 
  

 

 

  
     100.0 % 
  

 

 

  
*

Less than +/- 0.05%

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A145

 
   HIGH YIELD BOND 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 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    $ 1,579,926 * 

Interest rate contracts

    Due from/to broker-variation margin futures      101,067 *    Due from/to broker-variation margin futures      44,127 * 
     

 

 

       

 

 

  
      $ 101,067        $ 1,624,053  
     

 

 

       

 

 

  

                                 

*

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

      Warrants(1)    Futures      Swaps

Credit contracts

        $ —      $ —        $ 6,863,583

Equity contracts

          (6,838 )        —          —

Interest rate contracts

          —        2,356,283          —
      

 

 

       

 

 

         

 

 

  

Total

        $ (6,838 )      $ 2,356,283        $ 6,863,583
      

 

 

       

 

 

         

 

 

  

                                 

(1)

Included in net realized gain (loss) on investment transactions in the Statement of Operations.

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

Derivatives not accounted for

as hedging instruments,

carried at fair value

      Warrants(2)      Futures      Swaps

Credit contracts.

        $ —        $ —        $ (725,241 )

Equity contracts

          1,335          —          —

Interest rate contracts

          —          138,254          —
      

 

 

         

 

 

         

 

 

  

Total

        $ 1,335        $ 138,254        $ (725,241 )
      

 

 

         

 

 

         

 

 

  

                                 

(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:

 

Futures

Contracts—
Long

Positions(1)

      

Futures

Contracts—

Short

Positions(1)

$46,116,040     $1,199,156

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A146

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Credit Default

Swap Agreements—

Buy Protection(1)

$22,083,250

                                 

(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

      $ 140,435,276      $ (140,435,276 )     $ —
    

 

 

       

 

 

      

 

 

  

                                 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A147

 
   HIGH YIELD BOND PORTFOLIO  (CONTINUED)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS  

Investments at value, including securities on loan of $140,435,276:

  

Unaffiliated investments (cost $503,341,020)

   $ 470,421,010  

Affiliated investments (cost $146,448,280)

     146,501,352  

Cash

     445,602  

Dividends and interest receivable

     7,520,601  

Receivable for investments sold

     4,181,056  

Deposit with broker for centrally cleared/exchange-traded derivatives

     3,433,000  

Receivable for Portfolio shares sold

     13,224  

Tax reclaim receivable

     4,019  

Prepaid expenses

     544  
 

 

 

  

Total Assets

     632,520,408  
 

 

 

  
LIABILITIES  

Payable to broker for collateral for securities on loan

     143,237,589  

Payable for investments purchased

     3,986,375  

Due to broker-variation margin swaps

     289,101  

Accrued expenses and other liabilities

     241,656  

Management fee payable

     202,922  

Payable for Portfolio shares repurchased

     180,166  

Due to broker-variation margin futures

     22,830  

Payable to affiliate

     4,019  

Affiliated transfer agent fee payable

     926  
 

 

 

  

Total Liabilities

     148,165,584  
 

 

 

  
NET ASSETS   $ 484,354,824  
 

 

 

  

Net assets were comprised of:

  

Partners’ Equity

   $ 484,354,824  
 

 

 

  

Net asset value and redemption price per share, $484,354,824 / 87,572,437 outstanding shares of beneficial interest

   $ 5.53  
 

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)
INCOME		  

Interest income

   $ 17,077,552  

Income from securities lending, net (including affiliated income of $167,990)

     173,745  

Affiliated dividend income.

     72,459  

Unaffiliated dividend income (net of $468 foreign withholding tax, of which $110 is reimbursable by an affiliate)

     25,440  
 

 

 

  

Total income

     17,349,196  
 

 

 

  
EXPENSES  

Management fee

     1,327,019  

Shareholders’ reports

     58,410  

Custodian and accounting fees

     56,785  

Audit fee

     22,029  

Trustees’ fees

     7,889  

Legal fees and expenses

     6,682  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

     5,312  

Miscellaneous

     11,688  
 

 

 

  

Total expenses

     1,495,814  

Less: Fee waiver and/or expense reimbursement

     (120,535 ) 
 

 

 

  

Net expenses

     1,375,279  
 

 

 

  
NET INVESTMENT INCOME (LOSS)     15,973,917  
 

 

 

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

Net realized gain (loss) on:

  

Investment transactions (including affiliated of $(81,888))

     (2,378,551 ) 

Futures transactions

     2,356,283  

Swap agreements transactions

     6,863,583  
 

 

 

  
    6,841,315  
 

 

 

  

Net change in unrealized appreciation (depreciation) on:

  

Investments (including affiliated of $34,359)

     (43,989,209 ) 

Futures

     138,254  

Swap agreements

     (725,241 ) 

Foreign currencies

     (1 ) 
 

 

 

  
    (44,576,197 ) 
 

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS     (37,734,882 ) 
 

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ (21,760,965 ) 
 

 

 

  
 

 

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)

      $ 15,973,917     $ 31,788,697

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

        6,841,315       8,036,970

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

        (44,576,197 )       35,874,540
    

 

 

      

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

        (21,760,965 )       75,700,207
    

 

 

      

 

 

  
PORTFOLIO SHARE TRANSACTIONS         

Portfolio shares sold [1,611,031 and 2,682,266 shares, respectively]

        8,870,658       14,608,943

Portfolio shares repurchased [4,551,496 and 7,713,371 shares, respectively]

        (24,756,556 )       (41,998,343 )
    

 

 

      

 

 

  

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

        (15,885,898 )       (27,389,400 )
    

 

 

      

 

 

  
TOTAL INCREASE (DECREASE)        (37,646,863 )       48,310,807
NET ASSETS:         

Beginning of period

        522,001,687       473,690,880
    

 

 

      

 

 

  

End of period

      $ 484,354,824     $ 522,001,687
    

 

 

      

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A148

 
  

JENNISON PORTFOLIO

 

  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
LONG-TERM INVESTMENTS — 99.1%

 

COMMON STOCKS      

Aerospace & Defense — 0.9%

      

Boeing Co. (The)

      130,222      $ 23,869,693  
     

 

 

  

Automobiles — 4.0%

      

Tesla, Inc.*(a)

      97,353        105,122,743  
     

 

 

  

Biotechnology — 2.2%

      

BioMarin Pharmaceutical, Inc.*(a)

      165,843        20,455,076  

Vertex Pharmaceuticals, Inc.*

      126,213        36,640,896  
     

 

 

  
        57,095,972  
     

 

 

  

Capital Markets — 2.5%

      

Goldman Sachs Group, Inc. (The)

      162,303        32,074,319  

S&P Global, Inc.

      106,206        34,992,753  
     

 

 

  
        67,067,072  
     

 

 

  

Entertainment — 5.1%

      

Netflix, Inc.*

      240,710        109,532,679  

Spotify Technology SA*

      101,181        26,123,922  
     

 

 

  
        135,656,601  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 0.7%

 

American Tower Corp.

      67,381        17,420,684  
     

 

 

  

Food & Staples Retailing — 1.5%

      

Costco Wholesale Corp.

      134,325        40,728,683  
     

 

 

  

Health Care Equipment & Supplies — 2.0%

 

Danaher Corp.

      85,431        15,106,764  

DexCom, Inc.*

      67,761        27,470,309  

Intuitive Surgical, Inc.*

      17,585        10,020,461  
     

 

 

  
        52,597,534  
     

 

 

  

Health Care Providers & Services — 0.6%

 

   

Guardant Health, Inc.*

      89,580        7,267,626  

Humana, Inc.

      20,847        8,083,424  
     

 

 

  
        15,351,050  
     

 

 

  

Health Care Technology — 0.6%

      

Teladoc Health, Inc.*(a)

      88,685        16,924,645  
     

 

 

  

Hotels, Restaurants & Leisure — 1.4%

 

Chipotle Mexican Grill, Inc.*

      35,775        37,648,179  
     

 

 

  

Interactive Media & Services — 10.0%

 

Alphabet, Inc. (Class A Stock)*

      43,498        61,682,339  

Alphabet, Inc. (Class C Stock)*

      43,396        61,345,019  

Facebook, Inc. (Class A Stock)*

      409,400        92,962,458  

Match Group, Inc.*

      26,308        2,816,271  

Tencent Holdings Ltd. (China)

      716,954        46,230,302  
     

 

 

  
        265,036,389  
     

 

 

  

Internet & Direct Marketing Retail — 9.4%

 

   

Alibaba Group Holding Ltd. (China), ADR*

      239,037        51,560,281  

Amazon.com, Inc.*

      71,744        197,928,782  
     

 

 

  
             249,489,063  
     

 

 

  

IT Services — 14.3%

 

   

Adyen NV (Netherlands), 144A*

      37,932        55,467,129  

Mastercard, Inc. (Class A Stock)

      295,382        87,344,457  

PayPal Holdings, Inc.*

      356,353        62,087,383  
     Shares      Value  
COMMON STOCKS (continued)

 

IT Services (cont’d.)

      

Shopify, Inc. (Canada)
(Class A Stock)*

      73,432      $ 69,701,654  

Twilio, Inc. (Class A Stock)*

      157,928        34,652,562  

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

      367,762        71,040,586  
     

 

 

  
        380,293,771  
     

 

 

  

Life Sciences Tools & Services — 0.6%

 

Illumina, Inc.*(a)

      43,497        16,109,114  
     

 

 

  

Personal Products — 1.5%

      

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

      217,971        41,126,768  
     

 

 

  

Pharmaceuticals — 3.5%

      

AstraZeneca PLC (United Kingdom), ADR

      1,025,310        54,228,646  

Eli Lilly & Co.

      242,716        39,849,113  
     

 

 

  
        94,077,759  
     

 

 

  

Road & Rail — 2.5%

      

Uber Technologies, Inc.*

      1,388,175        43,144,479  

Union Pacific Corp.

      141,006        23,839,884  
     

 

 

  
        66,984,363  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.0%

 

NVIDIA Corp.

      209,925        79,752,607  
     

 

 

  

Software — 20.6%

      

Adobe, Inc.*

      182,215        79,320,012  

Atlassian Corp. PLC (Class A Stock)*

      144,554        26,058,750  

Coupa Software, Inc.*(a)

      115,150        31,901,156  

Crowdstrike Holdings, Inc.
(Class A Stock)*

      241,788        24,248,918  

Microsoft Corp.

      773,673        157,450,192  

RingCentral, Inc. (Class A Stock)*

      98,654        28,117,377  

salesforce.com, Inc.*

      422,491        79,145,239  

ServiceNow, Inc.*

      59,442        24,077,576  

Splunk, Inc.*(a)

      216,976        43,113,131  

Trade Desk, Inc. (The)
(Class A Stock)*(a)

      53,090        21,581,085  

Workday, Inc. (Class A Stock)*

      160,316        30,036,806  
     

 

 

  
        545,050,242  
     

 

 

  

Specialty Retail — 2.0%

      

Carvana Co.*(a)

      85,328        10,256,425  

Home Depot, Inc. (The)

      168,572        42,228,972  
     

 

 

  
        52,485,397  
     

 

 

  

Technology Hardware, Storage & Peripherals — 5.5%

 

Apple, Inc.

      397,419        144,978,451  
     

 

 

  

Textiles, Apparel & Luxury Goods — 4.7%

 

   

Kering SA (France)

      50,114        27,390,637  

Lululemon Athletica, Inc.*

      195,985        61,149,280  

NIKE, Inc. (Class B Stock)

      358,863        35,186,517  
     

 

 

  
        123,726,434  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $1,027,076,023)

 

        2,628,593,214  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A149

 
   JENNISON PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
SHORT-TERM INVESTMENTS — 10.5%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Ultra Short Bond Fund(w)

      26,283,839      $ 26,283,839  

PGIM Institutional Money Market Fund (cost $250,835,397; includes $250,744,265 of cash collateral for securities on
loan)(b)(w)

      251,299,684        251,299,684  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $277,119,236)

 

      277,583,523  
     

 

 

  

TOTAL INVESTMENTS—109.6%
(cost $1,304,195,259)

 

      2,906,176,737  

Liabilities in excess of other assets — (9.6)%

 

      (254,506,038 ) 
     

 

 

  

NET ASSETS — 100.0%

       $   2,651,670,699  
     

 

 

  

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 $252,621,915; cash collateral of $250,744,265 (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

         

Aerospace & Defense

    $ 23,869,693      $ —      $ —  

Automobiles

      105,122,743        —        —  

Biotechnology

      57,095,972        —        —  

Capital Markets

      67,067,072        —        —  

Entertainment

      135,656,601        —        —  

Equity Real Estate Investment Trusts (REITs)

      17,420,684        —        —  

Food & Staples Retailing

      40,728,683        —        —  

Health Care Equipment & Supplies

      52,597,534        —        —  

Health Care Providers & Services

      15,351,050        —        —  

Health Care Technology

      16,924,645        —        —  

Hotels, Restaurants & Leisure

      37,648,179        —        —  

Interactive Media & Services

      218,806,087        46,230,302        —  

Internet & Direct Marketing Retail

      249,489,063        —        —  

IT Services

      324,826,642        55,467,129        —  

Life Sciences Tools & Services

      16,109,114        —        —  

Personal Products

      41,126,768        —        —  

Pharmaceuticals

      94,077,759        —        —  

Road & Rail

      66,984,363        —        —  

Semiconductors & Semiconductor Equipment

      79,752,607        —        —  

Software

      545,050,242        —        —  

Specialty Retail

      52,485,397        —        —  

Technology Hardware, Storage & Peripherals

      144,978,451        —        —  

Textiles, Apparel & Luxury Goods

      96,335,797        27,390,637        —  

Affiliated Mutual Funds

      277,583,523        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 2,777,088,669      $ 129,088,068      $ —  
  

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A150

 
   JENNISON PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

 

Software

      20.6 % 

IT Services

      14.3  

Affiliated Mutual Funds (9.5% represents investments purchased with collateral from securities on loan)

      10.5  

Interactive Media & Services

      10.0  

Internet & Direct Marketing Retail

      9.4  

Technology Hardware, Storage & Peripherals

      5.5  

Entertainment

      5.1  

Textiles, Apparel & Luxury Goods

      4.7  

Automobiles

      4.0  

Pharmaceuticals

      3.5  

Semiconductors & Semiconductor Equipment

      3.0  

Capital Markets

      2.5  

Road & Rail

      2.5  

Biotechnology

      2.2  

Health Care Equipment & Supplies

      2.0 % 

Specialty Retail

      2.0  

Personal Products

      1.5  

Food & Staples Retailing

      1.5  

Hotels, Restaurants & Leisure

      1.4  

Aerospace & Defense

      0.9  

Equity Real Estate Investment Trusts (REITs)

      0.7  

Health Care Technology

      0.6  

Life Sciences Tools & Services

      0.6  

Health Care Providers & Services

      0.6  
  

 

 

  
     109.6  

Liabilities in excess of other assets

      (9.6 ) 
  

 

 

  
     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

        $ 252,621,915        $ (250,744,265 )      $ 1,877,650
      

 

 

         

 

 

       

 

 

  

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A151

 
   JENNISON PORTFOLIO  (CONTINUED)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS   

Investments at value, including securities on loan of $252,621,915:

   

Unaffiliated investments (cost $1,027,076,023)

    $ 2,628,593,214  

Affiliated investments (cost $277,119,236)

      277,583,523  

Receivable for investments sold

      6,495,732  

Tax reclaim receivable

      295,506  

Dividends receivable

      190,380  

Receivable for Portfolio shares sold

      46,527  

Prepaid expenses

      2,209  
  

 

 

  

Total Assets

      2,913,207,091  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      250,744,265  

Payable for investments purchased

      7,877,258  

Management fee payable

      1,261,618  

Payable for Portfolio shares repurchased

      1,106,690  

Accrued expenses and other liabilities

      395,353  

Payable to affiliate

      127,577  

Distribution fee payable

      14,127  

Administration fee payable

      8,578  

Affiliated transfer agent fee payable

      926  
  

 

 

  

Total Liabilities

      261,536,392  
  

 

 

  
NET ASSETS    $ 2,651,670,699  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 2,651,670,699  
  

 

 

  
Class I:   

Net asset value and redemption price per share, $2,580,674,514 / 26,478,198 outstanding shares of beneficial interest

    $ 97.46  
  

 

 

  
Class II:   

Net asset value and redemption price per share, $70,996,185 / 764,357 outstanding shares of beneficial interest

    $ 92.88  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net of $79,628 foreign withholding tax)

    $ 6,658,357  

Income from securities lending, net (including affiliated income of $433,945)

      448,421  

Affiliated dividend income

      98,071  
  

 

 

  

Total income

      7,204,849  
  

 

 

  
EXPENSES   

Management fee

      6,922,552  

Distribution fee—Class II

      80,020  

Administration fee—Class II

      48,012  

Custodian and accounting fees

      97,637  

Shareholders’ reports

      69,160  

Trustees’ fees

      18,063  

Audit fee

      14,221  

Legal fees and expenses

      9,356  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      24,731  
  

 

 

  

Total expenses

      7,289,064  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      (84,215 ) 
  

 

 

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

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $(199,722))

      73,219,177  

Foreign currency transactions

      99,037  
  

 

 

  
     73,318,214  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $420,208)

      360,145,980  

Foreign currencies

      (222 ) 
  

 

 

  
     360,145,758  
  

 

 

  

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS

      433,463,972  
  

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 433,379,757  
  

 

 

  
 

 

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)

            $ (84,215 )                  $ 2,474,359  

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

       73,318,214          202,672,704  

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

       360,145,758          396,791,561  
   

 

 

       

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       433,379,757          601,938,624  
   

 

 

       

 

 

  
PORTFOLIO SHARE TRANSACTIONS         

Portfolio shares sold

       22,810,560          23,869,409  

Portfolio shares repurchased

       (112,336,231 )         (182,369,022 ) 
   

 

 

       

 

 

  

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

       (89,525,671 )         (158,499,613 ) 
   

 

 

       

 

 

  
CAPITAL CONTRIBUTIONS       —          8,215  
   

 

 

       

 

 

  
TOTAL INCREASE (DECREASE)       343,854,086          443,447,226  
NET ASSETS:         

Beginning of period

       2,307,816,613          1,864,369,387  
   

 

 

       

 

 

  

End of period

     $ 2,651,670,699        $ 2,307,816,613  
   

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A152

 
   NATURAL RESOURCES PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
LONG-TERM INVESTMENTS — 99.6%

 

COMMON STOCKS — 97.0%

 

Automobile Manufacturers — 0.8%

      

Tesla, Inc.*(a)

      2,400      $ 2,591,544  
     

 

 

  

Commodity Chemicals — 2.1%

      

Dow, Inc.(a)

      49,740        2,027,402  

LG Chem Ltd. (South Korea)

      7,430        3,049,776  

Methanex Corp. (Canada)(a)

      68,435        1,237,305  
     

 

 

  
        6,314,483  
     

 

 

  

Construction Materials — 1.2%

      

HeidelbergCement AG (Germany)

      65,630        3,534,170  
     

 

 

  

Copper — 5.1%

      

Antofagasta PLC (Chile)

      315,905        3,687,734  

First Quantum Minerals Ltd. (Zambia)

      522,924        4,167,676  

Freeport-McMoRan, Inc.

      359,220        4,156,175  

Lundin Mining Corp. (Chile)

      679,514        3,643,829  
     

 

 

  
        15,655,414  
     

 

 

  

Diversified Chemicals — 0.8%

      

BASF SE (Germany)

      41,665        2,345,716  
     

 

 

  

Diversified Metals & Mining — 7.5%

 

BHP Group Ltd. (Australia)

      469,692        11,704,071  

Rio Tinto PLC (Australia)

      201,556        11,440,031  
     

 

 

  
            23,144,102  
     

 

 

  

Electric Utilities — 3.6%

      

Enel SpA (Italy)

      396,125        3,430,985  

NextEra Energy, Inc.

      10,205        2,450,935  

Orsted A/S (Denmark), 144A

      25,280        2,937,344  

Xcel Energy, Inc.

      35,950        2,246,875  
     

 

 

  
        11,066,139  
     

 

 

  

Electrical Components & Equipment — 3.2%

 

AMETEK, Inc.

      18,465        1,650,217  

Generac Holdings, Inc.*

      12,755        1,555,217  

Schneider Electric SE (France)

      22,845        2,556,814  

Sunrun, Inc.*

      108,955        2,148,592  

Varta AG (Germany)*(a)

      16,690        1,894,663  
     

 

 

  
        9,805,503  
     

 

 

  

Electronic Components — 1.0%

      

Samsung SDI Co. Ltd. (South Korea)

      10,500        3,214,842  
     

 

 

  

Fertilizers & Agricultural Chemicals — 1.9%

 

FMC Corp.

      57,685        5,746,580  
     

 

 

  

Gold — 3.4%

      

Barrick Gold Corp. (Canada)

      199,720        5,380,457  

Newmont Corp.

      83,655        5,164,860  
     

 

 

  
        10,545,317  
     

 

 

  

Heavy Electrical Equipment — 2.4%

 

NEL ASA (Norway)*(a)

      1,364,305        2,675,781  

TPI Composites, Inc.*

      71,735        1,676,447  

Vestas Wind Systems A/S (Denmark)

      30,342        3,104,785  
     

 

 

  
        7,457,013  
     

 

 

  

Industrial Gases — 5.9%

      

Air Liquide SA (France)

      48,267        6,996,551  

Air Products & Chemicals, Inc.

      7,635        1,843,547  
     Shares      Value  
COMMON STOCKS (continued)

 

Industrial Gases (cont’d.)

      

Linde PLC (United Kingdom)

      44,020      $ 9,337,082  
     

 

 

  
            18,177,180  
     

 

 

  

Industrial Machinery — 1.1%

      

Chart Industries, Inc.*

      70,975        3,441,578  
     

 

 

  

Integrated Oil & Gas — 20.1%

      

BP PLC (United Kingdom)

      1,938,926        7,439,639  

Chevron Corp.

      135,870        12,123,680  

Equinor ASA (Norway)

      190,440        2,723,010  

Exxon Mobil Corp.

      327,710        14,655,191  

Occidental Petroleum Corp.(a)

      142,490        2,607,567  

Repsol SA (Spain)

      265,080        2,346,090  

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

      441,360        7,081,483  

Suncor Energy, Inc. (Canada)

      197,939        3,337,377  

TOTAL SA (France)

      248,126        9,588,757  
     

 

 

  
        61,902,794  
     

 

 

  

Metal & Glass Containers — 2.1%

      

Ball Corp.

      46,345        3,220,514  

Crown Holdings, Inc.*

      48,410        3,152,943  
     

 

 

  
        6,373,457  
     

 

 

  

Oil & Gas Equipment & Services — 0.9%

 

   

Baker Hughes Co.

      185,360        2,852,690  
     

 

 

  

Oil & Gas Exploration & Production — 9.1%

 

   

Concho Resources, Inc.

      46,315        2,385,223  

ConocoPhillips

      143,520        6,030,710  

Diamondback Energy, Inc.

      69,235        2,895,408  

EOG Resources, Inc.

      77,961        3,949,504  

Hess Corp.

      55,145        2,857,063  

Noble Energy, Inc.

      156,535        1,402,554  

Parsley Energy, Inc. (Class A Stock)

      170,240        1,818,163  

Pioneer Natural Resources Co.

      45,786        4,473,292  

WPX Energy, Inc.*

      342,030        2,182,151  
     

 

 

  
        27,994,068  
     

 

 

  

Oil & Gas Refining & Marketing — 9.9%

 

Marathon Petroleum Corp.

      218,580        8,170,520  

Neste OYJ (Finland)

      118,007        4,633,854  

Phillips 66

      80,055        5,755,955  

Reliance Industries Ltd. (India)

      132,356        2,995,901  

Renewable Energy Group, Inc.*(a)

      68,105        1,687,642  

Valero Energy Corp.

      123,667        7,274,093  
     

 

 

  
        30,517,965  
     

 

 

  

Oil & Gas Storage & Transportation — 3.9%

 

   

Kinder Morgan, Inc.

      284,665        4,318,368  

TC Energy Corp. (Canada)

      59,771        2,553,563  

Williams Cos., Inc. (The)

      264,540        5,031,551  
     

 

 

  
        11,903,482  
     

 

 

  

Precious Metals & Minerals — 0.0%

 

Sedibelo Platinum Mines Ltd. (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*^(f)

      129,100        —  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A153

 
   NATURAL RESOURCES PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
COMMON STOCKS (continued)

 

Railroads — 1.8%

      

Kansas City Southern

      19,395      $ 2,895,480  

Union Pacific Corp.

      16,045        2,712,728  
     

 

 

  
        5,608,208  
     

 

 

  

Renewable Electricity — 0.9%

      

Scatec Solar ASA (Norway), 144A*

      70,310        1,149,171  

Sunnova Energy International,
Inc.*(a)

      92,330        1,576,073  
     

 

 

  
        2,725,244  
     

 

 

  

Semiconductor Equipment — 1.6%

      

Enphase Energy, Inc.*

      54,165        2,576,629  

SolarEdge Technologies, Inc.*(a)

      16,330        2,266,277  
     

 

 

  
        4,842,906  
     

 

 

  

Specialty Chemicals — 6.7%

      

Axalta Coating Systems Ltd.*

      65,225        1,470,824  

DuPont de Nemours, Inc.

      23,635        1,255,728  

Ecolab, Inc.

      34,688        6,901,178  

PPG Industries, Inc.

      31,190        3,308,011  

Sherwin-Williams Co. (The)

      7,950        4,593,907  

Shin-Etsu Chemical Co. Ltd. (Japan)

      25,000        2,925,971  
     

 

 

  
        20,455,619  
     

 

 

  

TOTAL COMMON STOCKS
(cost $264,952,925)

           298,216,014  
     

 

 

  
EXCHANGE-TRADED FUND — 2.6%

 

   

Invesco Solar ETF(a)

      217,235        7,842,184  
     

 

 

  

(cost $5,300,381)

      
     Units         
RIGHTS* — 0.0%      

Integrated Oil & Gas

      

Repsol SA (Spain), expiring 07/07/20

      265,080        134,673  
     

 

 

  

(cost $146,559)

      

TOTAL LONG-TERM INVESTMENTS
(cost $270,399,865)

         306,192,871  
     

 

 

  
     Shares      Value  
SHORT-TERM INVESTMENTS — 6.0%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Ultra Short Bond Fund(w)

      1,638,651      $ 1,638,651  

PGIM Institutional Money Market Fund (cost $16,708,789; includes $16,699,852 of cash collateral for securities on loan)(b)(w)

      16,735,788        16,735,788  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $18,347,440)

 

      18,374,439  
     

 

 

  

TOTAL INVESTMENTS—105.6%
(cost $288,747,305)

 

      324,567,310  

Liabilities in excess of other assets — (5.6)%

 

      (17,212,915 ) 
     

 

 

  

NET ASSETS — 100.0%

       $   307,354,395  
     

 

 

  

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

 

*

Non-income producing security.

^

Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $0 and 0.0% of net assets.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $16,521,161; cash collateral of $16,699,852 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)

Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(f)

Indicates a restricted security; the original cost of such security is $1,102,975. The value of $0 is 0.0% of net assets.

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

 

 

Fair Value Measurements:

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

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:

 

    

  Level 1  

     

  Level 2  

     

Level 3

  

Investments in Securities

         

Assets

         

Common Stocks

         

Australia

    $ —      $   23,144,102        $—    

Canada

        12,508,702        —        —    

Chile

      3,643,829        3,687,734        —    

Denmark

      —        6,042,129        —    

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A154

 
   NATURAL RESOURCES 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)

         

Finland

    $ —      $ 4,633,854        $—      

France

      —        19,142,122        —      

Germany

      —        7,774,549        —      

India

      —        2,995,901        —      

Italy

      —        3,430,985        —      

Japan

      —        2,925,971        —      

Netherlands

      —        7,081,483        —      

Norway

      —        6,547,962        —      

South Africa

      —        —        —      

South Korea

      —        6,264,618        —      

Spain

      —        2,346,090        —      

United Kingdom

      9,337,082        7,439,639        —      

United States

      165,101,586        —        —      

Zambia

      4,167,676        —        —      

Exchange-Traded Fund

         

United States

      7,842,184        —        —      

Rights

         

Spain

      —        134,673        —      

Affiliated Mutual Funds

      18,374,439        —        —      
  

 

 

     

 

 

     

 

 

  

Total

    $ 220,975,498      $ 103,591,812        $—      
  

 

 

     

 

 

     

 

 

  

Country Classification:

The country 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:

United States (including 5.4% of collateral for securities on loan)

      62.2 % 

Australia

      7.5  

France

      6.2  

United Kingdom

      5.4  

Canada

      4.0  

Germany

      2.6  

Chile

      2.4  

Netherlands

      2.3  

Norway

      2.2  

South Korea

      2.0  

Denmark

      2.0  

Finland

      1.5  

Zambia

      1.4 % 

Italy

      1.1  

India

      1.0  

Japan

      1.0  

Spain

      0.8  

South Africa

      0.0 * 
  

 

 

  
     105.6  

Liabilities in excess of other assets

      (5.6 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 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    $ 134,673      —    $—
     

 

 

        

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A155

 
   NATURAL RESOURCES 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:

For the six months ended June 30, 2020, the Portfolio did not have any 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

          $(11,886 ) 
      

 

 

  

 

 

(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.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

    Gross Market
Value of
Recognized
Assets/(Liabilities)		    Collateral
Pledged/(Received)(1)		   Net
Amount

Securities on Loan

      $ 16,521,161      $ (16,521,161 )     $   —
    

 

 

       

 

 

      

 

 

  

 

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A156

 
   NATURAL RESOURCES PORTFOLIO  (CONTINUED)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS   

Investments at value, including securities on loan of $16,521,161:

   

Unaffiliated investments (cost $270,399,865)

    $ 306,192,871  

Affiliated investments (cost $18,347,440)

      18,374,439  

Cash

      2,026  

Foreign currency, at value (cost $1,428)

      1,437  

Tax reclaim receivable

      770,862  

Dividends receivable

      343,503  

Receivable for Portfolio shares sold

      11,089  

Prepaid expenses

      441  
  

 

 

  

Total Assets

      325,696,668  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      16,699,852  

Payable for investments purchased

      604,908  

Payable to affiliate

      566,532  

Payable for Portfolio shares repurchased

      191,779  

Accrued expenses and other liabilities

      150,391  

Management fee payable

      113,705  

Distribution fee payable

      8,861  

Administration fee payable

      5,319  

Affiliated transfer agent fee payable

      926  
  

 

 

  

Total Liabilities

      18,342,273  
  

 

 

  
NET ASSETS    $ 307,354,395  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 307,354,395  
  

 

 

  
Class I:   

Net asset value and redemption price per share, $265,132,793 / 13,321,799 outstanding shares of beneficial interest

    $ 19.90  
  

 

 

  
Class II:   

Net asset value and redemption price per share, $42,221,602 / 2,207,473 outstanding shares of beneficial interest

    $ 19.13  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net of $245,471 foreign withholding tax, of which $4,544 is reimbursable by an affiliate)

    $ 5,515,993  

Income from securities lending, net (including affiliated income of $61,912)

      172,131  

Affiliated dividend income

      51,491  
  

 

 

  

Total income

      5,739,615  
  

 

 

  
EXPENSES   

Management fee

      699,413  

Distribution fee—Class II

      53,420  

Administration fee—Class II

      32,052  

Shareholders’ reports

      61,737  

Custodian and accounting fees

      46,430  

Audit fee

      15,918  

Trustees’ fees

      6,720  

Legal fees and expenses

      6,257  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      10,682  
  

 

 

  

Total expenses

      937,941  

Less: Fee waivers and/or expense reimbursement

      (12,434 ) 
  

 

 

  

Net expenses

      925,507  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      4,814,108  
  

 

 

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

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $(17,818))

      (47,453,453 ) 

Foreign currency transactions

      (152,745 ) 
  

 

 

  
     (47,606,198 ) 
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $25,007)

      (25,056,092 ) 

Foreign currencies

      738  
  

 

 

  
     (25,055,354 ) 
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      (72,661,552 ) 
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ (67,847,444 ) 
  

 

 

  
 

 

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)

      $ 4,814,108     $ 11,602,931

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

        (47,606,198 )       (12,742,060 )

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

        (25,055,354 )       40,509,829
    

 

 

      

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

        (67,847,444 )       39,370,700
    

 

 

      

 

 

  
PORTFOLIO SHARE TRANSACTIONS         

Portfolio shares sold

        14,602,549       11,326,229

Portfolio shares repurchased

        (21,068,392 )       (41,844,684 )
    

 

 

      

 

 

  

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

        (6,465,843 )       (30,518,455 )
    

 

 

      

 

 

  
CAPITAL CONTRIBUTIONS        —       6,508
    

 

 

      

 

 

  
TOTAL INCREASE (DECREASE)        (74,313,287 )       8,858,753
NET ASSETS:         

Beginning of period

        381,667,682       372,808,929
    

 

 

      

 

 

  

End of period

      $ 307,354,395     $ 381,667,682
    

 

 

      

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A157

 
   SMALL CAPITALIZATION STOCK PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
LONG-TERM INVESTMENTS — 99.7%

 

COMMON STOCKS — 99.6%

 

Aerospace & Defense — 1.5%

      

AAR Corp.

      33,371      $ 689,779  

Aerojet Rocketdyne Holdings, Inc.*

      73,355        2,907,792  

AeroVironment, Inc.*

      21,934        1,746,604  

Cubic Corp.(a)

      31,803        1,527,498  

Moog, Inc. (Class A Stock)

      30,474        1,614,513  

National Presto Industries, Inc.

      5,169        451,719  

Park Aerospace Corp.

      19,594        218,277  

Triumph Group, Inc.

      52,600        473,926  
     

 

 

  
        9,630,108  
     

 

 

  

Air Freight & Logistics — 0.7%

      

Atlas Air Worldwide Holdings, Inc.*

      26,540        1,142,016  

Echo Global Logistics, Inc.*

      27,030        584,389  

Forward Air Corp.

      28,406        1,415,187  

Hub Group, Inc. (Class A Stock)*

      34,030        1,628,676  
     

 

 

  
        4,770,268  
     

 

 

  

Airlines — 0.6%

      

Allegiant Travel Co.(a)

      13,404        1,463,851  

Hawaiian Holdings, Inc.(a)

      46,630        654,685  

SkyWest, Inc.

      50,910        1,660,684  
     

 

 

  
        3,779,220  
     

 

 

  

Auto Components — 2.1%

      

American Axle & Manufacturing Holdings, Inc.*

      114,740        872,024  

Cooper Tire & Rubber Co.(a)

      51,040        1,409,214  

Cooper-Standard Holdings, Inc.*

      16,980        224,985  

Dorman Products, Inc.*(a)

      29,320        1,966,492  

Fox Factory Holding Corp.*(a)

      41,650        3,440,707  

Garrett Motion, Inc. (Switzerland)*

      76,700        424,918  

Gentherm, Inc.*

      33,100        1,287,590  

LCI Industries

      25,529        2,935,324  

Motorcar Parts of America, Inc.*(a)

      19,280        340,678  

Standard Motor Products, Inc.

      20,399        840,439  
     

 

 

  
        13,742,371  
     

 

 

  

Automobiles — 0.3%

      

Winnebago Industries, Inc.

      34,281        2,283,800  
     

 

 

  

Banks — 7.5%

      

Allegiance Bancshares, Inc.

      19,050        483,679  

Ameris Bancorp

      66,240        1,562,602  

Banc of California, Inc.

      44,870        485,942  

Banner Corp.

      35,680        1,355,840  

Berkshire Hills Bancorp, Inc.

      43,800        482,676  

Boston Private Financial Holdings, Inc.

      83,012        571,123  

Brookline Bancorp, Inc.

      80,082        807,227  

Cadence BanCorp.

      127,800        1,132,308  

Central Pacific Financial Corp.

      28,320        453,970  

City Holding Co.(a)

      16,424        1,070,352  

Columbia Banking System, Inc.(a)

      72,648        2,059,207  

Community Bank System, Inc.(a)

      52,906        3,016,700  

Customers Bancorp, Inc.*

      29,350        352,787  

CVB Financial Corp.

      130,650        2,448,381  

Dime Community Bancshares, Inc.

      29,071        399,145  

Eagle Bancorp, Inc.

      32,700        1,070,925  

First BanCorp. (Puerto Rico)

      220,822        1,234,395  
     Shares      Value  
COMMON STOCKS (continued)

 

Banks (cont’d.)

      

First Commonwealth Financial Corp.

      99,510      $ 823,943  

First Financial Bancorp

      99,403        1,380,708  

First Midwest Bancorp, Inc.

      115,920        1,547,532  

Franklin Financial Network, Inc.

      13,800        355,350  

Great Western Bancorp, Inc.(a)

      55,830        768,221  

Hanmi Financial Corp.

      30,836        299,418  

Heritage Financial Corp.(a)

      36,400        728,000  

Hope Bancorp, Inc.

      125,004        1,152,537  

Independent Bank Corp.

      33,436        2,243,221  

Independent Bank Group, Inc.

      37,150        1,505,318  

National Bank Holdings Corp.
(Class A Stock)

      31,040        838,080  

NBT Bancorp, Inc.(a)

      44,260        1,361,438  

OFG Bancorp (Puerto Rico)

      52,070        696,176  

Old National Bancorp

      167,227        2,301,043  

Pacific Premier Bancorp, Inc.(a)

      82,015        1,778,085  

Preferred Bank

      13,850        593,472  

S&T Bancorp, Inc.

      38,623        905,709  

Seacoast Banking Corp. of Florida*(a)

      53,500        1,091,400  

ServisFirst Bancshares, Inc.(a)

      47,050        1,682,508  

Simmons First National Corp. (Class A Stock)

      110,596        1,892,297  

Southside Bancshares, Inc.

      31,486        872,792  

Tompkins Financial Corp.

      12,434        805,350  

Triumph Bancorp, Inc.*(a)

      22,500        546,075  

United Community Banks, Inc.

      79,477        1,599,077  

Veritex Holdings, Inc.

      46,520        823,404  

Westamerica BanCorp

      27,350        1,570,437  
     

 

 

  
        49,148,850  
     

 

 

  

Beverages — 0.3%

      

Coca-Cola Consolidated, Inc.(a)

      4,750        1,088,653  

MGP Ingredients, Inc.(a)

      13,450        493,682  

National Beverage Corp.*(a)

      11,900        726,138  
     

 

 

  
        2,308,473  
     

 

 

  

Biotechnology — 2.5%

      

Anika Therapeutics, Inc.*

      14,400        543,312  

Coherus Biosciences, Inc.*(a)

      61,900        1,105,534  

Cytokinetics, Inc.*(a)

      60,350        1,422,449  

Eagle Pharmaceuticals, Inc.*

      10,340        496,113  

Emergent BioSolutions, Inc.*(a)

      45,257        3,578,924  

Enanta Pharmaceuticals, Inc.*(a)

      16,470        826,959  

Momenta Pharmaceuticals, Inc.*

      119,480        3,975,100  

Myriad Genetics, Inc.*

      75,600        857,304  

REGENXBIO, Inc.*

      32,150        1,184,084  

Spectrum Pharmaceuticals, Inc.*

      116,200        392,756  

Vanda Pharmaceuticals, Inc.*

      54,670        625,425  

Xencor, Inc.*(a)

      50,420        1,633,104  
     

 

 

  
        16,641,064  
     

 

 

  

Building Products — 2.6%

      

AAON, Inc.(a)

      41,219        2,237,779  

American Woodmark Corp.*

      15,880        1,201,322  

Apogee Enterprises, Inc.

      26,708        615,352  

Gibraltar Industries, Inc.*

      32,958        1,582,314  

Griffon Corp.(a)

      43,829        811,713  

Insteel Industries, Inc.

      18,550        353,748  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A158

 
   SMALL CAPITALIZATION STOCK PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
COMMON STOCKS (continued)

 

   

Building Products (cont’d.)

      

Patrick Industries, Inc.

      22,450      $ 1,375,062  

PGT Innovations, Inc.*

      59,820        937,978  

Quanex Building Products Corp.

      33,278        461,899  

Resideo Technologies, Inc.*

      124,650        1,460,898  

Simpson Manufacturing Co., Inc.

      40,153        3,387,307  

UFP Industries, Inc.

      62,052        3,072,195  
     

 

 

  
        17,497,567  
     

 

 

  

Capital Markets — 0.9%

      

Blucora, Inc.*

      48,562        554,578  

Brightsphere Investment Group, Inc.(a)

      63,250        788,095  

Donnelley Financial Solutions, Inc.*

      30,687        257,771  

Greenhill & Co., Inc.

      14,520        145,055  

INTL. FCStone, Inc.*

      16,600        913,000  

Piper Sandler Cos

      14,715        870,539  

Virtus Investment Partners, Inc.

      7,360        855,894  

Waddell & Reed Financial, Inc. (Class A Stock)(a)

      66,600        1,032,966  

WisdomTree Investments, Inc.

      120,400        417,788  
     

 

 

  
        5,835,686  
     

 

 

  

Chemicals — 2.8%

      

AdvanSix, Inc.*

      28,230        331,420  

American Vanguard Corp.

      26,898        370,117  

Balchem Corp.

      32,813        3,112,641  

Ferro Corp.*

      83,440        996,274  

FutureFuel Corp.

      26,000        310,700  

GCP Applied Technologies, Inc.*

      54,650        1,015,397  

Hawkins, Inc.

      9,550        406,639  

HB Fuller Co.

      52,188        2,327,585  

Innospec, Inc.

      24,920        1,925,070  

Koppers Holdings, Inc.*

      21,280        400,915  

Kraton Corp.*

      32,340        558,835  

Livent Corp.*(a)

      148,060        912,050  

Quaker Chemical Corp.(a)

      13,248        2,459,491  

Rayonier Advanced Materials, Inc.*

      50,520        141,961  

Stepan Co.(a)

      20,340        1,975,014  

Tredegar Corp.

      25,135        387,079  

Trinseo SA(a)

      38,800        859,808  
     

 

 

  
        18,490,996  
     

 

 

  

Commercial Services & Supplies — 1.8%

 

   

ABM Industries, Inc.

      67,633        2,455,078  

Brady Corp. (Class A Stock)(a)

      49,162        2,301,765  

Harsco Corp.*

      79,750        1,077,422  

Interface, Inc.

      59,262        482,393  

Matthews International Corp.
(Class A Stock)

      31,770        606,807  

Pitney Bowes, Inc.(a)

      173,650        451,490  

RR Donnelley & Sons Co.

      70,083        83,399  

Team, Inc.*(a)

      30,860        171,890  

UniFirst Corp.

      15,510        2,775,514  

US Ecology, Inc.

      25,950        879,186  

Viad Corp.

      20,577        391,375  
     

 

 

  
        11,676,319  
     

 

 

  

Communications Equipment — 1.1%

      

ADTRAN, Inc.

      48,460        529,668  
     Shares      Value  
COMMON STOCKS (continued)

 

   

Communications Equipment (cont’d.)

      

Applied Optoelectronics, Inc.*(a)

      19,350      $ 210,334  

CalAmp Corp.*

      34,440        275,864  

Comtech Telecommunications Corp.

      25,159        424,936  

Digi International, Inc.*

      29,364        342,091  

Extreme Networks, Inc.*

      122,000        529,480  

Harmonic, Inc.*

      97,324        462,289  

NETGEAR, Inc.*

      30,016        777,114  

Plantronics, Inc.(a)

      33,850        496,918  

Viavi Solutions, Inc.*

      231,390        2,947,909  
     

 

 

  
        6,996,603  
     

 

 

  

Construction & Engineering — 0.8%

      

Aegion Corp.*

      30,907        490,494  

Arcosa, Inc.

      48,950        2,065,690  

Comfort Systems USA, Inc.

      37,034        1,509,135  

Granite Construction, Inc.(a)

      47,440        908,002  

MYR Group, Inc.*

      16,920        539,917  
     

 

 

  
        5,513,238  
     

 

 

  

Construction Materials — 0.1%

      

U.S. Concrete, Inc.*

      16,150        400,520  
     

 

 

  

Consumer Finance — 1.0%

      

Encore Capital Group, Inc.*(a)

      28,190        963,534  

Enova International, Inc.*

      30,489        453,372  

EZCORP, Inc. (Class A Stock)*

      52,421        330,252  

Green Dot Corp. (Class A Stock)*

      49,500        2,429,460  

PRA Group, Inc.*(a)

      46,207        1,786,363  

World Acceptance Corp.*(a)

      5,352        350,663  
     

 

 

  
        6,313,644  
     

 

 

  

Containers & Packaging — 0.1%

      

Myers Industries, Inc.

      36,270        527,729  
     

 

 

  

Distributors — 0.2%

      

Core-Mark Holding Co., Inc.

      45,790        1,142,689  
     

 

 

  

Diversified Consumer Services — 0.3%

      

American Public Education, Inc.*

      14,983        443,497  

Perdoceo Education Corp.*

      70,080        1,116,374  

Regis Corp.*(a)

      24,300        198,774  
     

 

 

  
        1,758,645  
     

 

 

  

Diversified Telecommunication Services — 1.5%

 

   

ATN International, Inc.

      11,100        672,327  

Cincinnati Bell, Inc.*

      51,130        759,280  

Cogent Communications Holdings, Inc.(a)

      42,600        3,295,536  

Consolidated Communications Holdings, Inc.*(a)

      74,140        501,928  

Iridium Communications, Inc.*(a)

      99,320        2,526,701  

Vonage Holdings Corp.*

      234,100        2,355,046  
     

 

 

  
        10,110,818  
     

 

 

  

Electric Utilities — 0.4%

      

El Paso Electric Co.

      41,368        2,771,656  
     

 

 

  

Electrical Equipment — 0.8%

      

AZZ, Inc.

      26,642        914,353  

Encore Wire Corp.

      20,891        1,019,899  

Powell Industries, Inc.

      8,972        245,743  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A159

 
   SMALL CAPITALIZATION STOCK PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
COMMON STOCKS (continued)

 

   

Electrical Equipment (cont’d.)

      

Sunrun, Inc.*

      80,600      $ 1,589,432  

Vicor Corp.*(a)

      18,781        1,351,293  
     

 

 

  
        5,120,720  
     

 

 

  

Electronic Equipment, Instruments & Components — 3.8%

 

Arlo Technologies, Inc.*(a)

      78,554        202,669  

Badger Meter, Inc.(a)

      29,614        1,863,313  

Bel Fuse, Inc. (Class B Stock)

      9,972        106,999  

Benchmark Electronics, Inc.

      36,970        798,552  

CTS Corp.

      32,754        656,390  

Daktronics, Inc.(a)

      37,408        162,725  

ePlus, Inc.*

      13,710        969,023  

Fabrinet (Thailand)*

      37,280        2,327,018  

FARO Technologies, Inc.*(a)

      17,984        963,942  

Insight Enterprises, Inc.*(a)

      35,815        1,762,098  

Itron, Inc.*(a)

      36,280        2,403,550  

Knowles Corp.*

      87,150        1,329,909  

Methode Electronics, Inc.

      37,696        1,178,377  

MTS Systems Corp.

      18,035        317,236  

OSI Systems, Inc.*

      17,000        1,268,880  

PC Connection, Inc.

      11,200        519,232  

Plexus Corp.*

      29,680        2,094,221  

Rogers Corp.*

      18,981        2,365,033  

Sanmina Corp.*

      69,240        1,733,770  

ScanSource, Inc.*

      25,703        619,185  

TTM Technologies, Inc.*(a)

      100,249        1,188,953  
     

 

 

  
        24,831,075  
     

 

 

  

Energy Equipment & Services — 1.5%

      

Archrock, Inc.

      130,360        846,036  

Bristow Group, Inc.*

      6,707        93,429  

Core Laboratories NV(a)

      45,050        915,416  

DMC Global, Inc.(a)

      14,950        412,620  

Dril-Quip, Inc.*(a)

      35,600        1,060,524  

Exterran Corp.*

      28,230        152,160  

Geospace Technologies Corp.*

      13,450        101,144  

Helix Energy Solutions Group, Inc.*

      144,410        501,103  

Helmerich & Payne, Inc.

      109,050        2,127,565  

Matrix Service Co.*

      26,513        257,706  

Nabors Industries Ltd.(a)

      6,936        256,771  

Newpark Resources, Inc.*

      89,750        200,143  

Oceaneering International, Inc.*

      100,250        640,597  

Oil States International, Inc.*(a)

      61,350        291,412  

Patterson-UTI Energy, Inc.(a)

      188,200        653,054  

ProPetro Holding Corp.*

      83,150        427,391  

RPC, Inc.*(a)

      51,950        160,006  

SEACOR Holdings, Inc.*

      17,891        506,673  

US Silica Holdings, Inc.(a)

      73,820        266,490  

Valaris PLC (Saudi Arabia)*(a)

      200,400        130,641  
     

 

 

  
        10,000,881  
     

 

 

  

Entertainment — 0.2%

      

Glu Mobile, Inc.*

      133,550        1,238,009  

Marcus Corp. (The)

      23,308        309,297  
     

 

 

  
        1,547,306  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 7.8%

 

Acadia Realty Trust

      87,365        1,133,998  
     Shares      Value  
COMMON STOCKS (continued)

 

   

Equity Real Estate Investment Trusts (REITs) (cont’d.)

 

Agree Realty Corp.(a)

      54,660      $ 3,591,709  

Alexander & Baldwin, Inc.

      68,800        838,672  

American Assets Trust, Inc.(a)

      48,780        1,358,035  

Armada Hoffler Properties, Inc.

      57,320        570,334  

Brandywine Realty Trust

      171,900        1,871,991  

CareTrust REIT, Inc.

      97,205        1,668,038  

Cedar Realty Trust, Inc.

      85,616        84,760  

Chatham Lodging Trust

      47,600        291,312  

Community Healthcare Trust, Inc.

      20,900        854,810  

DiamondRock Hospitality Co.

      202,220        1,118,277  

Diversified Healthcare Trust

      240,450        1,063,991  

Easterly Government Properties, Inc.

      76,250        1,762,900  

Essential Properties Realty Trust, Inc.

      93,350        1,385,314  

Four Corners Property Trust, Inc.

      71,409        1,742,380  

Franklin Street Properties Corp.(a)

      108,852        554,057  

Getty Realty Corp.

      34,814        1,033,280  

Global Net Lease, Inc.

      90,660        1,516,742  

Hersha Hospitality Trust

      36,390        209,606  

Independence Realty Trust, Inc.(a)

      96,100        1,104,189  

Industrial Logistics Properties Trust(a)

      66,200        1,360,410  

Innovative Industrial Properties, Inc.(a)

      18,900        1,663,578  

Investors Real Estate Trust

      12,350        870,551  

iStar, Inc.(a)

      73,750        908,600  

Kite Realty Group Trust(a)

      85,122        982,308  

Lexington Realty Trust

      280,036        2,954,380  

LTC Properties, Inc.(a)

      39,796        1,499,115  

National Storage Affiliates Trust(a)

      62,950        1,804,147  

NexPoint Residential Trust, Inc.(a)

      22,200        784,770  

Office Properties Income Trust(a)

      49,000        1,272,530  

Pennsylvania Real Estate Investment
Trust(a)

      59,522        80,950  

Retail Opportunity Investments Corp.

      117,860        1,335,354  

Retail Properties of America, Inc.
(Class A Stock)

      216,000        1,581,120  

RPT Realty

      81,280        565,709  

Safehold, Inc.(a)

      13,450        773,240  

Saul Centers, Inc.

      12,070        389,499  

SITE Centers Corp.

      143,400        1,161,540  

Summit Hotel Properties, Inc.(a)

      106,800        633,324  

Tanger Factory Outlet Centers, Inc.(a)

      94,850        676,280  

Uniti Group, Inc.

      197,000        1,841,950  

Universal Health Realty Income Trust(a)

      12,930        1,027,806  

Urstadt Biddle Properties, Inc. (Class A Stock)

      30,290        359,845  

Washington Prime Group, Inc.(a)

      187,700        157,818  

Washington Real Estate Investment Trust

      83,550        1,854,810  

Whitestone REIT

      42,750        310,792  

Xenia Hotels & Resorts, Inc.

      115,150        1,074,349  
     

 

 

  
        51,679,170  
     

 

 

  

Food & Staples Retailing — 0.6%

      

Andersons, Inc. (The)

      33,374        459,226  

Chefs’ Warehouse, Inc. (The)*

      31,350        425,733  

PriceSmart, Inc.

      22,750        1,372,507  

SpartanNash Co.

      36,226        769,803  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A160

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

        Shares             Value      
COMMON STOCKS (continued)

 

Food & Staples Retailing (cont’d.)

    

United Natural Foods, Inc.*(a)

     54,450     $ 991,535  
   

 

 

  
      4,018,804  
   

 

 

  

Food Products — 1.2%

    

B&G Foods, Inc.(a)

     65,130       1,587,869  

Calavo Growers, Inc.(a)

     16,630       1,046,193  

Cal-Maine Foods, Inc.*(a)

     30,810       1,370,429  

Fresh Del Monte Produce, Inc.

     30,500       750,910  

J&J Snack Foods Corp.

     15,158       1,927,037  

John B. Sanfilippo & Son, Inc.

     9,120       778,210  

Seneca Foods Corp. (Class A Stock)*

     6,920       233,965  
   

 

 

  
      7,694,613  
   

 

 

  

Gas Utilities — 0.6%

    

Northwest Natural Holding Co.

     31,055       1,732,559  

South Jersey Industries, Inc.(a)

     93,764       2,343,162  
   

 

 

  
      4,075,721  
   

 

 

  

Health Care Equipment & Supplies — 3.8%

 

AngioDynamics, Inc.*

     37,900       385,443  

Cardiovascular Systems, Inc.*

     35,790       1,129,174  

CONMED Corp.

     28,979       2,086,198  

CryoLife, Inc.*

     38,203       732,352  

Cutera, Inc.*

     17,700       215,409  

Glaukos Corp.*(a)

     40,400       1,552,168  

Heska Corp.*(a)

     8,600       801,262  

Inogen, Inc.*

     18,600       660,672  

Integer Holdings Corp.*

     33,354       2,436,510  

Invacare Corp.

     34,902       222,326  

Lantheus Holdings, Inc.*(a)

     67,000       958,100  

LeMaitre Vascular, Inc.(a)

     16,850       444,840  

Meridian Bioscience, Inc.*

     43,505       1,013,231  

Merit Medical Systems, Inc.*(a)

     56,258       2,568,178  

Mesa Laboratories, Inc.(a)

     4,140       897,552  

Natus Medical, Inc.*

     34,315       748,753  

Neogen Corp.*

     53,723       4,168,905  

OraSure Technologies, Inc.*(a)

     72,270       840,500  

Orthofix Medical, Inc.*

     19,450       622,400  

Surmodics, Inc.*

     13,792       596,366  

Tactile Systems Technology, Inc.*(a)

     19,550       809,956  

Varex Imaging Corp.*(a)

     39,650       600,698  

Zynex, Inc.*(a)

     15,550       386,729  
   

 

 

  
      24,877,722  
   

 

 

  

Health Care Providers & Services — 2.8%

 

Addus HomeCare Corp.*

     13,800       1,277,328  

AMN Healthcare Services, Inc.*(a)

     47,719       2,158,808  

BioTelemetry, Inc.*

     34,720       1,568,997  

Community Health Systems, Inc.*(a)

     121,110       364,541  

CorVel Corp.*

     8,970       635,883  

Covetrus, Inc.*

     98,850       1,768,426  

Cross Country Healthcare, Inc.*

     38,023       234,222  

Ensign Group, Inc. (The)(a)

     51,230       2,143,975  

Hanger, Inc.*

     38,350       635,076  

Magellan Health, Inc.*

     22,561       1,646,502  

Owens & Minor, Inc.(a)

     63,650       485,013  

Pennant Group, Inc. (The)*

     26,665       602,629  

Providence Service Corp. (The)*

     11,650       919,302  
        Shares             Value      

COMMON STOCKS (continued)

 

Health Care Providers & Services (cont’d.)

 

  

RadNet, Inc.*

     42,450     $ 673,682  

Select Medical Holdings Corp.*

     108,810       1,602,771  

Tivity Health, Inc.*(a)

     44,268       501,556  

US Physical Therapy, Inc.(a)

     13,040       1,056,501  
   

 

 

  
      18,275,212  
   

 

 

  

Health Care Technology — 1.6%

    

Allscripts Healthcare Solutions, Inc.*

     164,350       1,112,650  

Computer Programs & Systems, Inc.

     12,886       293,672  

HealthStream, Inc.*

     25,660       567,856  

HMS Holdings Corp.*(a)

     89,770       2,907,650  

NextGen Healthcare, Inc.*

     49,634       544,981  

Omnicell, Inc.*

     43,282       3,056,575  

Simulations Plus, Inc.(a)

     12,450       744,759  

Tabula Rasa HealthCare, Inc.*(a)

     20,800       1,138,384  
   

 

 

  
      10,366,527  
   

 

 

  

Hotels, Restaurants & Leisure — 1.9%

 

BJ’s Restaurants, Inc.

     22,612       473,495  

Bloomin’ Brands, Inc.(a)

     88,780       946,395  

Brinker International, Inc.

     45,650       1,095,600  

Cheesecake Factory, Inc. (The)(a)

     42,450       972,954  

Chuy’s Holdings, Inc.*(a)

     16,900       251,472  

Dave & Buster’s Entertainment, Inc.(a)

     48,070       640,773  

Dine Brands Global, Inc.(a)

     16,675       702,018  

El Pollo Loco Holdings, Inc.*(a)

     20,000       295,200  

Fiesta Restaurant Group, Inc.*

     20,150       128,557  

Monarch Casino & Resort, Inc.*

     12,131       413,424  

Red Robin Gourmet Burgers, Inc.*(a)

     13,063       133,243  

Ruth’s Hospitality Group, Inc.

     31,898       260,288  

Shake Shack, Inc. (Class A Stock)*(a)

     35,640       1,888,207  

Wingstop, Inc.(a)

     30,050       4,176,048  
   

 

 

  
      12,377,674  
   

 

 

  

Household Durables — 2.5%

    

Cavco Industries, Inc.*

     8,800       1,697,080  

Century Communities, Inc.*(a)

     29,050       890,673  

Ethan Allen Interiors, Inc.(a)

     23,389       276,692  

Installed Building Products, Inc.*

     21,500       1,478,770  

iRobot Corp.*(a)

     28,310       2,375,209  

La-Z-Boy, Inc.(a)

     46,721       1,264,270  

LGI Homes, Inc.*(a)

     22,180       1,952,505  

M/I Homes, Inc.*

     28,970       997,727  

MDC Holdings, Inc.

     51,215       1,828,376  

Meritage Homes Corp.*

     35,887       2,731,718  

Tupperware Brands Corp.(a)

     49,000       232,750  

Universal Electronics, Inc.*

     14,144       662,222  
   

 

 

  
      16,387,992  
   

 

 

  

Household Products — 0.7%

    

Central Garden & Pet Co.*

     9,750       350,903  

Central Garden & Pet Co. (Class A
Stock)*

     39,808       1,345,112  

WD-40 Co.(a)

     13,879       2,752,206  
   

 

 

  
      4,448,221  
   

 

 

  

Industrial Conglomerates — 0.1%

    

Raven Industries, Inc.

     36,430       783,609  
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A161

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

        Shares             Value      
COMMON STOCKS (continued)

 

Insurance — 3.1%

    

Ambac Financial Group, Inc.*

     46,450     $ 665,164  

American Equity Investment Life Holding Co.

     92,920       2,296,053  

AMERISAFE, Inc.

     19,614       1,199,592  

eHealth, Inc.*

     26,041       2,558,268  

Employers Holdings, Inc.

     30,815       929,072  

HCI Group, Inc.(a)

     6,430       296,937  

Horace Mann Educators Corp.

     41,920       1,539,722  

James River Group Holdings Ltd.(a)

     31,050       1,397,250  

Kinsale Capital Group, Inc.(a)

     21,050       3,267,170  

Palomar Holdings, Inc.*(a)

     18,000       1,543,680  

ProAssurance Corp.

     54,546       789,281  

Safety Insurance Group, Inc.

     14,760       1,125,598  

Stewart Information Services Corp.

     24,062       782,256  

Third Point Reinsurance Ltd. (Bermuda)*

     81,400       611,314  

United Fire Group, Inc.

     21,651       599,949  

United Insurance Holdings Corp.

     20,800       162,656  

Universal Insurance Holdings, Inc.

     30,240       536,760  
   

 

 

  
      20,300,722  
   

 

 

  

Interactive Media & Services — 0.1%

 

  

QuinStreet, Inc.*

     47,450       496,327  
   

 

 

  

Internet & Direct Marketing Retail — 0.7%

 

Liquidity Services, Inc.*

     27,200       162,112  

PetMed Express, Inc.(a)

     20,531       731,725  

Shutterstock, Inc.(a)

     19,500       681,915  

Stamps.com, Inc.*

     16,560       3,041,906  
   

 

 

  
      4,617,658  
   

 

 

  

IT Services — 2.2%

    

Cardtronics PLC (Class A Stock)*(a)

     36,460       874,311  

CSG Systems International, Inc.

     33,554       1,388,800  

EVERTEC, Inc. (Puerto Rico)(a)

     60,550       1,701,455  

ExlService Holdings, Inc.*

     34,850       2,209,490  

ManTech International Corp. (Class A Stock)

     27,500       1,883,475  

NIC, Inc.

     68,050       1,562,428  

Perficient, Inc.*(a)

     33,614       1,202,709  

Sykes Enterprises, Inc.*

     38,260       1,058,272  

TTEC Holdings, Inc.

     17,947       835,612  

Unisys Corp.*(a)

     53,050       578,775  

Virtusa Corp.*

     30,600       993,582  
   

 

 

  
      14,288,909  
   

 

 

  

Leisure Products — 1.0%

    

Callaway Golf Co.(a)

     95,390       1,670,279  

Sturm Ruger & Co., Inc.(a)

     16,867       1,281,892  

Vista Outdoor, Inc.*

     58,650       847,492  

YETI Holdings, Inc.*(a)

     68,000       2,905,640  
   

 

 

  
      6,705,303  
   

 

 

  

Life Sciences Tools & Services — 1.1%

 

  

Luminex Corp.

     43,220       1,405,947  

Medpace Holdings, Inc.*(a)

     27,300       2,539,446  

NeoGenomics, Inc.*(a)

     111,450       3,452,721  
   

 

 

  
      7,398,114  
   

 

 

  
        Shares             Value      
COMMON STOCKS (continued)

 

Machinery — 5.7%

    

Alamo Group, Inc.

     9,860     $ 1,012,030  

Albany International Corp. (Class A Stock)

     31,214       1,832,574  

Astec Industries, Inc.

     22,990       1,064,667  

Barnes Group, Inc.

     48,166       1,905,447  

Chart Industries, Inc.*

     35,750       1,733,518  

CIRCOR International, Inc.*

     20,278       516,683  

Enerpac Tool Group Corp.

     53,984       950,118  

EnPro Industries, Inc.

     20,828       1,026,612  

ESCO Technologies, Inc.

     26,441       2,235,058  

Federal Signal Corp.

     61,180       1,818,881  

Franklin Electric Co., Inc.

     38,930       2,044,604  

Greenbrier Cos., Inc. (The)(a)

     33,080       752,570  

Hillenbrand, Inc.

     75,868       2,053,747  

John Bean Technologies Corp.(a)

     32,217       2,771,306  

Lindsay Corp.(a)

     11,029       1,016,984  

Lydall, Inc.*

     17,806       241,449  

Meritor, Inc.*

     73,330       1,451,934  

Mueller Industries, Inc.

     57,618       1,531,486  

Proto Labs, Inc.*(a)

     27,050       3,042,314  

SPX Corp.*

     45,220       1,860,803  

SPX FLOW, Inc.*

     43,280       1,620,403  

Standex International Corp.

     12,620       726,281  

Tennant Co.

     18,760       1,219,588  

Titan International, Inc.(a)

     48,900       71,394  

Wabash National Corp.(a)

     53,640       569,657  

Watts Water Technologies, Inc. (Class A Stock)

     27,911       2,260,791  
   

 

 

  
      37,330,899  
   

 

 

  

Marine — 0.2%

    

Matson, Inc.

     43,650       1,270,215  
   

 

 

  

Media — 0.4%

    

EW Scripps Co. (The) (Class A Stock)(a)

     55,661       487,034  

Gannett Co., Inc.(a)

     131,620       181,635  

Meredith Corp.(a)

     40,800       593,640  

Scholastic Corp.

     30,770       921,254  

TechTarget, Inc.*

     23,200       696,696  
   

 

 

  
      2,880,259  
   

 

 

  

Metals & Mining — 1.2%

    

Arconic Corp.*

     97,400       1,356,782  

Century Aluminum Co.*(a)

     50,843       362,511  

Cleveland-Cliffs, Inc.(a)

     404,596       2,233,370  

Haynes International, Inc.(a)

     12,680       296,205  

Kaiser Aluminum Corp.

     16,060       1,182,337  

Materion Corp.

     20,628       1,268,416  

Olympic Steel, Inc.

     9,018       105,961  

SunCoke Energy, Inc.

     82,650       244,644  

TimkenSteel Corp.*(a)

     40,510       157,584  

Warrior Met Coal, Inc.(a)

     51,900       798,741  
   

 

 

  
      8,006,551  
   

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 1.2%

 

Apollo Commercial Real Estate Finance, Inc.(a)

     145,200       1,424,412  

ARMOUR Residential REIT, Inc.

     65,550       615,514  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A162

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

        Shares             Value      
COMMON STOCKS (continued)

 

Mortgage Real Estate Investment Trusts (REITs) (cont’d.)

 

Capstead Mortgage Corp.

     97,100     $ 533,079  

Granite Point Mortgage Trust, Inc.(a)

     55,950       401,721  

Invesco Mortgage Capital, Inc.(a)

     182,551       682,740  

KKR Real Estate Finance Trust, Inc.(a)

     23,650       392,117  

New York Mortgage Trust, Inc.(a)

     382,600       998,586  

PennyMac Mortgage Investment Trust

     101,330       1,776,315  

Ready Capital Corp.

     38,403       333,722  

Redwood Trust, Inc.(a)

     116,550       815,850  
   

 

 

  
      7,974,056  
   

 

 

  

Multiline Retail — 0.6%

    

Big Lots, Inc.(a)

     39,850       1,673,700  

Macy’s, Inc.(a)

     314,300       2,162,384  
   

 

 

  
      3,836,084  
   

 

 

  

Multi-Utilities — 0.4%

    

Avista Corp.

     68,323       2,486,274  
   

 

 

  

Oil, Gas & Consumable Fuels — 1.5%

 

Bonanza Creek Energy, Inc.*

     18,850       279,357  

Callon Petroleum Co.*(a)

     399,600       459,540  

CONSOL Energy, Inc.*

     26,130       132,479  

Denbury Resources, Inc.*(a)

     502,350       138,699  

Dorian LPG Ltd.*

     27,300       211,302  

Green Plains, Inc.*(a)

     33,690       344,143  

Gulfport Energy Corp.*(a)

     145,550       158,650  

Laredo Petroleum, Inc.*(a)

     9,162       126,985  

Matador Resources Co.*(a)

     111,200       945,200  

Oasis Petroleum, Inc.*(a)

     291,900       218,925  

Par Pacific Holdings, Inc.*

     38,900       349,711  

PDC Energy, Inc.*(a)

     96,988       1,206,531  

Penn Virginia Corp.*

     13,650       130,085  

QEP Resources, Inc.(a)

     243,500       314,115  

Range Resources Corp.(a)

     215,450       1,212,983  

Renewable Energy Group, Inc.*(a)

     39,600       981,288  

REX American Resources Corp.*

     5,580       387,085  

Ring Energy, Inc.*(a)

     58,000       67,280  

SM Energy Co.(a)

     107,250       402,187  

Southwestern Energy Co.*(a)

     548,900       1,405,184  

Talos Energy, Inc.*

     20,350       187,220  
   

 

 

  
      9,658,949  
   

 

 

  

Paper & Forest Products — 0.8%

    

Boise Cascade Co.

     39,790       1,496,502  

Clearwater Paper Corp.*

     16,900       610,597  

Mercer International, Inc. (Germany)

     40,600       331,296  

Neenah, Inc.

     17,038       842,699  

P.H. Glatfelter Co.

     44,750       718,238  

Schweitzer-Mauduit International, Inc.

     31,696       1,058,963  
   

 

 

  
      5,058,295  
   

 

 

  

Personal Products — 0.5%

    

Inter Parfums, Inc.

     17,900       861,885  

Medifast, Inc.(a)

     11,990       1,663,852  

USANA Health Sciences, Inc.*

     12,400       910,532  
   

 

 

  
      3,436,269  
   

 

 

  

Pharmaceuticals — 1.4%

    

AMAG Pharmaceuticals, Inc.*(a)

     34,750       265,837  
        Shares             Value      
COMMON STOCKS (continued)

 

Pharmaceuticals (cont’d.)

 

  

Amphastar Pharmaceuticals, Inc.*(a)

     34,250     $ 769,255  

ANI Pharmaceuticals, Inc.*

     9,590       310,141  

Corcept Therapeutics, Inc.*(a)

     104,600       1,759,372  

Endo International PLC*

     207,300       711,039  

Innoviva, Inc.*

     67,800       947,844  

Lannett Co., Inc.*(a)

     33,700       244,662  

Pacira BioSciences, Inc.*(a)

     42,780       2,244,667  

Phibro Animal Health Corp. (Class A Stock)

     20,500       538,535  

Supernus Pharmaceuticals, Inc.*

     53,310       1,266,112  
   

 

 

  
      9,057,464  
   

 

 

  

Professional Services — 1.2%

    

Exponent, Inc.

     52,340       4,235,876  

Forrester Research, Inc.*

     10,932       350,261  

Heidrick & Struggles International, Inc.

     19,624       424,271  

Kelly Services, Inc. (Class A Stock)

     33,739       533,583  

Korn Ferry

     55,900       1,717,807  

Resources Connection, Inc.

     30,500       365,085  

TrueBlue, Inc.*

     36,648       559,615  
   

 

 

  
      8,186,498  
   

 

 

  

Real Estate Management & Development — 0.4%

 

Marcus & Millichap, Inc.*

     23,950       691,197  

RE/MAX Holdings, Inc. (Class A Stock)

     18,400       578,312  

Realogy Holdings Corp.(a)

     117,100       867,711  

St. Joe Co. (The)*(a)

     31,650       614,643  
   

 

 

  
      2,751,863  
   

 

 

  

Road & Rail — 0.8%

    

ArcBest Corp.

     25,645       679,849  

Heartland Express, Inc.

     47,048       979,539  

Marten Transport Ltd.

     39,600       996,336  

Saia, Inc.*(a)

     26,500       2,946,270  
   

 

 

  
      5,601,994  
   

 

 

  

Semiconductors & Semiconductor Equipment — 4.1%

 

Advanced Energy Industries, Inc.*

     38,837       2,632,760  

Axcelis Technologies, Inc.*

     33,350       928,798  

Brooks Automation, Inc.

     74,895       3,313,355  

CEVA, Inc.*

     22,400       838,208  

Cohu, Inc.

     42,297       733,430  

Diodes, Inc.*(a)

     42,370       2,148,159  

DSP Group, Inc.*

     23,578       374,419  

FormFactor, Inc.*

     77,300       2,267,209  

Ichor Holdings Ltd.*

     23,150       615,327  

Kulicke & Soffa Industries, Inc. (Singapore)

     63,382       1,320,247  

MaxLinear, Inc.*(a)

     66,850       1,434,601  

Onto Innovation, Inc.*(a)

     48,287       1,643,689  

PDF Solutions, Inc.*

     28,600       559,416  

Photronics, Inc.*

     66,080       735,470  

Power Integrations, Inc.(a)

     30,330       3,582,883  

Rambus, Inc.*

     114,970       1,747,544  

SMART Global Holdings, Inc.*(a)

     13,900       377,802  

Ultra Clean Holdings, Inc.*

     40,570       918,099  

Veeco Instruments, Inc.*(a)

     50,143       676,429  
   

 

 

  
      26,847,845  
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A163

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

        Shares             Value      
COMMON STOCKS (continued)

 

Software — 2.7%

    

8x8, Inc.*(a)

     105,200     $ 1,683,200  

Agilysys, Inc.*

     20,282       363,859  

Alarm.com Holdings, Inc.*(a)

     43,090       2,792,663  

Bottomline Technologies DE, Inc.*

     38,560       1,957,691  

Ebix, Inc.(a)

     22,597       505,269  

LivePerson, Inc.*(a)

     62,510       2,589,790  

MicroStrategy, Inc. (Class A Stock)*

     7,870       930,942  

OneSpan, Inc.*

     33,100       924,483  

Progress Software Corp.

     45,447       1,761,071  

SPS Commerce, Inc.*

     35,450       2,663,004  

Xperi Holding Corp.

     116,735       1,723,009  
   

 

 

  
      17,894,981  
   

 

 

  

Specialty Retail — 3.4%

    

Abercrombie & Fitch Co. (Class A
Stock)(a)

     62,500       665,000  

America’s Car-Mart, Inc.*

     6,400       562,368  

Asbury Automotive Group, Inc.*

     19,660       1,520,308  

Barnes & Noble Education, Inc.*

     38,526       61,642  

Bed Bath & Beyond, Inc.(a)

     128,450       1,361,570  

Boot Barn Holdings, Inc.*(a)

     29,320       632,139  

Buckle, Inc. (The)(a)

     28,959       454,077  

Caleres, Inc.

     40,454       337,386  

Cato Corp. (The) (Class A Stock)(a)

     21,253       173,850  

Chico’s FAS, Inc.

     120,050       165,669  

Children’s Place, Inc. (The)(a)

     14,815       554,377  

Conn’s, Inc.*(a)

     19,400       195,746  

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

     55,100       373,027  

Express, Inc.*(a)

     63,930       98,452  

GameStop Corp. (Class A Stock)*(a)

     65,730       285,268  

Genesco, Inc.*(a)

     14,162       306,749  

Group 1 Automotive, Inc.

     17,354       1,144,843  

Guess?, Inc.(a)

     44,620       431,476  

Haverty Furniture Cos., Inc.(a)

     17,511       280,176  

Hibbett Sports, Inc.*(a)

     16,796       351,708  

Lithia Motors, Inc. (Class A Stock)

     22,540       3,410,978  

Lumber Liquidators Holdings, Inc.*(a)

     29,022       402,245  

MarineMax, Inc.*

     21,742       486,803  

Michaels Cos., Inc. (The)*(a)

     77,300       546,511  

Monro, Inc.(a)

     33,852       1,859,829  

Office Depot, Inc.

     532,550       1,251,493  

Rent-A-Center, Inc.(a)

     49,150       1,367,353  

Shoe Carnival, Inc.(a)

     8,960       262,259  

Signet Jewelers Ltd.(a)

     53,100       545,337  

Sleep Number Corp.*(a)

     28,050       1,168,002  

Sonic Automotive, Inc. (Class A Stock)

     24,447       780,104  

Zumiez, Inc.*

     20,400       558,552  
   

 

 

  
      22,595,297  
   

 

 

  

Technology Hardware, Storage & Peripherals — 0.2%

 

3D Systems Corp.*(a)

     120,100       839,499  

Diebold Nixdorf, Inc.*(a)

     78,650       476,619  
   

 

 

  
      1,316,118  
   

 

 

  

Textiles, Apparel & Luxury Goods — 1.8%

 

  

Capri Holdings Ltd.*

     151,600       2,369,508  

Crocs, Inc.*(a)

     68,393       2,518,230  
        Shares             Value      
COMMON STOCKS (continued)

 

Textiles, Apparel & Luxury Goods (cont’d.)

 

Fossil Group, Inc.*(a)

     47,000     $ 218,550  

G-III Apparel Group Ltd.*(a)

     43,900       583,431  

Kontoor Brands, Inc.

     47,370       843,660  

Movado Group, Inc.(a)

     16,467       178,502  

Oxford Industries, Inc.(a)

     17,066       751,075  

Steven Madden Ltd.(a)

     77,635       1,916,808  

Unifi, Inc.*

     14,780       190,366  

Vera Bradley, Inc.*

     23,200       103,008  

Wolverine World Wide, Inc.

     82,424       1,962,516  
   

 

 

  
      11,635,654  
   

 

 

  

Thrifts & Mortgage Finance — 1.4%

 

  

Axos Financial, Inc.*(a)

     52,690       1,163,395  

Flagstar Bancorp, Inc.

     35,200       1,035,936  

HomeStreet, Inc.

     23,760       584,734  

Meta Financial Group, Inc.

     32,300       586,891  

NMI Holdings, Inc. (Class A Stock)*

     86,000       1,382,880  

Northfield Bancorp, Inc.

     43,700       503,424  

Northwest Bancshares, Inc.

     120,160       1,228,636  

Provident Financial Services, Inc.

     60,860       879,427  

TrustCo Bank Corp.

     97,295       615,877  

Walker & Dunlop, Inc.

     29,320       1,489,749  
   

 

 

  
      9,470,949  
   

 

 

  

Tobacco — 0.3%

    

Universal Corp.

     24,800       1,054,248  

Vector Group Ltd.

     121,182       1,219,091  
   

 

 

  
      2,273,339  
   

 

 

  

Trading Companies & Distributors — 1.0%

 

Applied Industrial Technologies, Inc.

     39,338       2,454,298  

DXP Enterprises, Inc.*

     16,450       327,520  

Foundation Building Materials, Inc.*

     17,850       278,639  

GMS, Inc.*

     42,850       1,053,681  

Kaman Corp.

     28,052       1,166,963  

NOW, Inc.*

     110,950       957,498  

Veritiv Corp.*

     12,590       213,526  
   

 

 

  
      6,452,125  
   

 

 

  

Water Utilities — 0.8%

    

American States Water Co.

     37,482       2,947,210  

California Water Service Group

     49,460       2,359,242  
   

 

 

  
      5,306,452  
   

 

 

  

Wireless Telecommunication Services — 0.4%

 

Shenandoah Telecommunications Co.

     47,560       2,344,232  

Spok Holdings, Inc.

     17,520       163,812  
   

 

 

  
      2,508,044  
   

 

 

  

TOTAL COMMON STOCKS
(cost $538,609,280)

 

     655,469,018  
   

 

 

  
EXCHANGE-TRADED FUND — 0.1%

 

iShares Core S&P Small-Cap
ETF, Class E(a)

     14,100       962,889  
   

 

 

  

(cost $723,161)

    

TOTAL LONG-TERM INVESTMENTS
(cost $539,332,441)

 

     656,431,907  
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A164

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

        Shares             Value      
SHORT-TERM INVESTMENTS — 29.7%

 

AFFILIATED MUTUAL FUNDS — 29.7%

 

PGIM Core Ultra Short Bond
Fund(w)

     792,289     $ 792,289  

PGIM Institutional Money Market Fund (cost $194,095,254; includes $194,012,291 of cash collateral for securities on
loan)(b)(w)

     194,381,939       194,381,939  
   

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $194,887,543)

 

     195,174,228  
   

 

 

  

Interest

Rate

   Maturity
Date		    

 

Principal

Amount

(000)#

      
U.S. TREASURY OBLIGATION(k)(n) — 0.0%

 

U.S. Treasury Bills

 

    

0.150%

     09/17/20     250     249,924  
     

 

 

  

(cost $249,919)

 

    

TOTAL SHORT-TERM INVESTMENTS
(cost $195,137,462)

     195,424,152  
     

 

 

  

TOTAL INVESTMENTS—129.4%
(cost $734,469,903)

     851,856,059  

Liabilities in excess of other assets(z) — (29.4)%

     (193,704,599 ) 
     

 

 

  

NET ASSETS — 100.0%

   $ 658,151,460  
     

 

 

  

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 $191,215,870; cash collateral of $194,012,291 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day.

(b)

Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(k)

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

(n)

Rate shown is the effective yield at purchase date.

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)

Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

 

 

Futures contracts outstanding at June 30, 2020:

 

Number

of

Contracts

  

Type

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

Long Position:

 

       
22  

    Russell 2000 E-Mini Index

        Sep. 2020     $ 1,581,360          $(221)  

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

   

$—

 

   

$249,924

 

Fair Value Measurements:

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

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A165

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

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

    $ 9,630,108      $ —        $—   

Air Freight & Logistics

      4,770,268        —        —  

Airlines

      3,779,220        —        —  

Auto Components

      13,742,371        —        —  

Automobiles

      2,283,800        —        —  

Banks

      49,148,850        —        —  

Beverages

      2,308,473        —        —  

Biotechnology

      16,641,064        —        —  

Building Products

      17,497,567        —        —  

Capital Markets

      5,835,686        —        —  

Chemicals

      18,490,996        —        —  

Commercial Services & Supplies

      11,676,319        —        —  

Communications Equipment

      6,996,603        —        —  

Construction & Engineering

      5,513,238        —        —  

Construction Materials

      400,520        —        —  

Consumer Finance

      6,313,644        —        —  

Containers & Packaging

      527,729        —        —  

Distributors

      1,142,689        —        —  

Diversified Consumer Services

      1,758,645        —        —  

Diversified Telecommunication Services

      10,110,818        —        —  

Electric Utilities

      2,771,656        —        —  

Electrical Equipment

      5,120,720        —        —  

Electronic Equipment, Instruments & Components

      24,831,075        —        —  

Energy Equipment & Services

      10,000,881        —        —  

Entertainment

      1,547,306        —        —  

Equity Real Estate Investment Trusts (REITs)

      51,679,170        —        —  

Food & Staples Retailing

      4,018,804        —        —  

Food Products

      7,694,613        —        —  

Gas Utilities

      4,075,721        —        —  

Health Care Equipment & Supplies

      24,877,722        —        —  

Health Care Providers & Services

      18,275,212        —        —  

Health Care Technology

      10,366,527        —        —  

Hotels, Restaurants & Leisure

      12,377,674        —        —  

Household Durables

      16,387,992        —        —  

Household Products

      4,448,221        —        —  

Industrial Conglomerates

      783,609        —        —  

Insurance

      20,300,722        —        —  

Interactive Media & Services

      496,327        —        —  

Internet & Direct Marketing Retail

      4,617,658        —        —  

IT Services

      14,288,909        —        —  

Leisure Products

      6,705,303        —        —  

Life Sciences Tools & Services

      7,398,114        —        —  

Machinery

      37,330,899        —        —  

Marine

      1,270,215        —        —  

Media

      2,880,259        —        —  

Metals & Mining

      8,006,551        —        —  

Mortgage Real Estate Investment Trusts (REITs)

      7,974,056        —        —  

Multiline Retail

      3,836,084        —        —  

Multi-Utilities

      2,486,274        —        —  

Oil, Gas & Consumable Fuels

      9,658,949        —        —  

Paper & Forest Products

      5,058,295        —        —  

Personal Products

      3,436,269        —        —  

Pharmaceuticals

      9,057,464        —        —  

Professional Services

      8,186,498        —        —  

Real Estate Management & Development

      2,751,863        —        —  

Road & Rail

      5,601,994        —        —  

Semiconductors & Semiconductor Equipment

      26,847,845        —        —  

Software

      17,894,981          —          —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A166

 
   SMALL CAPITALIZATION STOCK 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)

        

Specialty Retail

    $ 22,595,297     $ —        $—   

Technology Hardware, Storage & Peripherals

      1,316,118       —        —  

Textiles, Apparel & Luxury Goods

      11,635,654       —        —  

Thrifts & Mortgage Finance

      9,470,949       —        —  

Tobacco

      2,273,339       —        —  

Trading Companies & Distributors

      6,452,125       —        —  

Water Utilities

      5,306,452       —        —  

Wireless Telecommunication Services

      2,508,044       —        —  

Exchange-Traded Fund

      962,889       —        —  

Affiliated Mutual Funds

      195,174,228       —        —  

U.S. Treasury Obligation

      —       249,924        —  
  

 

 

    

 

 

     

 

 

 

Total

    $ 851,606,135     $ 249,924        $—  
  

 

 

    

 

 

     

 

 

 

Other Financial Instruments*

        

Liabilities

        

Futures Contracts

    $ (221 )    $ —        $—  
  

 

 

    

 

 

     

 

 

 

 

*

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 (29.5% represents investments purchased with collateral from securities on loan)

      29.7 % 

Equity Real Estate Investment Trusts (REITs)

      7.8  

Banks

      7.5  

Machinery

      5.7  

Semiconductors & Semiconductor Equipment

      4.1  

Health Care Equipment & Supplies

      3.8  

Electronic Equipment, Instruments & Components

      3.8  

Specialty Retail

      3.4  

Insurance

      3.1  

Chemicals

      2.8  

Health Care Providers & Services

      2.8  

Software

      2.7  

Building Products

      2.6  

Biotechnology

      2.5  

Household Durables

      2.5  

IT Services

      2.2  

Auto Components

      2.1  

Hotels, Restaurants & Leisure

      1.9  

Commercial Services & Supplies

      1.8  

Textiles, Apparel & Luxury Goods

      1.8  

Health Care Technology

      1.6  

Diversified Telecommunication Services

      1.5  

Energy Equipment & Services

      1.5  

Oil, Gas & Consumable Fuels

      1.5  

Aerospace & Defense

      1.5  

Thrifts & Mortgage Finance

      1.4  

Pharmaceuticals

      1.4  

Professional Services

      1.2  

Metals & Mining

      1.2  

Mortgage Real Estate Investment Trusts (REITs)

      1.2  

Food Products

      1.2  

Life Sciences Tools & Services

      1.1 % 

Communications Equipment

      1.1  

Leisure Products

      1.0  

Trading Companies & Distributors

      1.0  

Consumer Finance

      1.0  

Capital Markets

      0.9  

Road & Rail

      0.8  

Construction & Engineering

      0.8  

Water Utilities

      0.8  

Electrical Equipment

      0.8  

Paper & Forest Products

      0.8  

Air Freight & Logistics

      0.7  

Internet & Direct Marketing Retail

      0.7  

Household Products

      0.7  

Gas Utilities

      0.6  

Food & Staples Retailing

      0.6  

Multiline Retail

      0.6  

Airlines

      0.6  

Personal Products

      0.5  

Media

      0.4  

Electric Utilities

      0.4  

Real Estate Management & Development

      0.4  

Wireless Telecommunication Services

      0.4  

Multi-Utilities

      0.4  

Beverages

      0.3  

Automobiles

      0.3  

Tobacco

      0.3  

Diversified Consumer Services

      0.3  

Entertainment

      0.2  

Technology Hardware, Storage & Peripherals

      0.2  

Marine

      0.2  

Distributors

      0.2  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A167

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Industry Classification (continued):

 

Exchange-Traded Fund

      0.1 % 

Industrial Conglomerates

      0.1  

Containers & Packaging

      0.1  

Interactive Media & Services

      0.1  

Construction Materials

      0.1  

U.S. Treasury Obligation

      0.0 * 
  

 

 

  
     129.4  

Liabilities in excess of other assets

      (29.4 ) 
  

 

 

  
     100.0 % 
  

 

 

  
*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is 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    $221*
     

 

      

 

 

 

*

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

        Futures    

Equity contracts

      $ (363,009 ) 
    

 

 

  

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

Derivatives not accounted for

as hedging instruments,

carried at fair value

       Rights(1)       Futures  

Equity contracts

        $ 16,987      $ (29,990 )
      

 

 

       

 

 

  

 

 

(1)

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:

 

Futures

Contracts—

Long

Positions(1)

$2,662,090

 

 

(1)

Notional Amount in USD.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A168

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

      Gross Market
Value of
Recognized
Assets/(Liabilities)		      Collateral
Pledged/(Received)(1)		    Net
Amount

Securities on Loan

      $191,215,870      $(191,215,870)    $—

 

 

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A169

 
   SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS

   

Investments at value, including securities on loan of $191,215,870:

   

Unaffiliated investments (cost $539,582,360)

    $ 656,681,831  

Affiliated investments (cost $194,887,543)

      195,174,228  

Receivable for investments sold

      6,010,161  

Dividends and interest receivable

      688,749  

Due from broker-variation margin futures

      15,840  

Receivable for Portfolio shares sold

      14,176  

Tax reclaim receivable

      1,309  

Prepaid expenses

      817  
  

 

 

  

Total Assets

      858,587,111  
  

 

 

  

LIABILITIES

   

Payable to broker for collateral for securities on loan

      194,012,291  

Payable for investments purchased

      5,438,738  

Payable for Portfolio shares repurchased

      423,729  

Accrued expenses and other liabilities

      304,584  

Management fee payable

      189,966  

Payable to custodian

      64,108  

Payable to affiliate

      1,309  

Affiliated transfer agent fee payable

      926  
  

 

 

  

Total Liabilities

      200,435,651  
  

 

 

  

NET ASSETS

    $ 658,151,460  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 658,151,460  
  

 

 

  

Net asset value and redemption price per share, $658,151,460 / 18,638,510 outstanding shares of beneficial interest

    $ 35.31  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)

INCOME

   

Unaffiliated dividend income (net of $5,490 foreign withholding tax)

    $ 4,116,783  

Income from securities lending, net (including affiliated income of $189,621)

      473,212  

Affiliated dividend income

      10,155  

Interest income

      417  
  

 

 

  

Total income

      4,600,567  
  

 

 

  

EXPENSES

   

Management fee

      1,174,178  

Shareholders’ reports

      55,711  

Custodian and accounting fees

      50,619  

Audit fee

      12,730  

Trustees’ fees

      9,152  

Legal fees and expenses

      7,095  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      12,728  
  

 

 

  

Total expenses

      1,327,525  
  

 

 

  

NET INVESTMENT INCOME (LOSS)

      3,273,042  
  

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS   

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $(139,466))

      506,900  

Futures transactions

      (363,009 ) 
  

 

 

  
     143,891  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $252,965)

      (151,856,052 ) 

Futures

      (29,990 ) 
  

 

 

  
     (151,886,042 ) 
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      (151,742,151 ) 
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ (148,469,109 ) 
  

 

 

  
 

 

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)

      $ 3,273,042         $ 9,157,915

Net realized gain (loss) on investment transactions

        143,891           51,329,626

Net change in unrealized appreciation (depreciation) on investments

        (151,886,042 )           98,364,111
    

 

 

          

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

        (148,469,109 )           158,851,652
    

 

 

          

 

 

  

PORTFOLIO SHARE TRANSACTIONS

             

Portfolio shares sold [233,043 and 457,311 shares, respectively]

        7,775,086           18,453,240

Portfolio shares repurchased [973,874 and 1,807,785 shares, respectively]

        (35,115,507 )           (71,967,512 )
    

 

 

          

 

 

  

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

        (27,340,421 )           (53,514,272 )
    

 

 

          

 

 

  

TOTAL INCREASE (DECREASE)

        (175,809,530 )           105,337,380

NET ASSETS:

             

Beginning of period

        833,960,990           728,623,610
    

 

 

          

 

 

  

End of period

      $ 658,151,460         $ 833,960,990
    

 

 

          

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A170

 
   STOCK INDEX PORTFOLIO  
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.

 

A171

 
   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.

 

A172

 
   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.

 

A173

 
   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.

 

A174

 
   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.

 

A175

 
   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.

 

A176

 
   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.

 

A177

 
   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.

 

A178

 
   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.

 

A179

 
   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 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 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.

 

A180

 
   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.

 

A181

 
   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.

 

A182

 
   VALUE PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

          
     Shares      Value  

LONG-TERM INVESTMENTS — 99.2%

 

COMMON STOCKS

      

Aerospace & Defense — 2.7%

      

Northrop Grumman Corp.

      50,350      $ 15,479,604  

Raytheon Technologies Corp.

      255,549        15,746,930  
     

 

 

  
        31,226,534  
     

 

 

  

Automobiles — 1.2%

      

General Motors Co.

      568,110        14,373,183  
     

 

 

  

Banks — 11.2%

      

Bank of America Corp.

      916,221        21,760,249  

Citigroup, Inc.

      489,394        25,008,034  

JPMorgan Chase & Co.

      453,423        42,648,967  

PNC Financial Services Group, Inc. (The)

      162,401        17,086,209  

Truist Financial Corp.

      521,133        19,568,544  

Wells Fargo & Co.

      190,309        4,871,910  
     

 

 

  
        130,943,913  
     

 

 

  

Beverages — 1.7%

      

PepsiCo, Inc.

      151,559        20,045,193  
     

 

 

  

Biotechnology — 1.3%

      

AbbVie, Inc.

      156,213        15,336,992  
     

 

 

  

Building Products — 1.8%

      

Johnson Controls International PLC

      606,485        20,705,398  
     

 

 

  

Capital Markets — 2.0%

      

Goldman Sachs Group, Inc. (The)

      119,360        23,587,923  
     

 

 

  

Chemicals — 5.9%

      

Dow, Inc.(a)

      440,609        17,959,223  

FMC Corp.

      200,514        19,975,205  

Linde PLC (United Kingdom)

      146,712        31,119,082  
     

 

 

  
        69,053,510  
     

 

 

  

Communications Equipment — 1.0%

      

Cisco Systems, Inc.

      258,199        12,042,401  
     

 

 

  

Consumer Finance — 2.1%

      

Capital One Financial Corp.

      220,443        13,797,528  

SLM Corp.(a)

      1,526,236        10,729,439  
     

 

 

  
        24,526,967  
     

 

 

  

Containers & Packaging — 1.0%

      

Crown Holdings, Inc.*

      181,169        11,799,537  
     

 

 

  

Diversified Telecommunication Services — 3.7%

 

AT&T, Inc.(a)

      558,698        16,889,441  

Verizon Communications, Inc.

      473,753        26,118,003  
     

 

 

  
        43,007,444  
     

 

 

  

Electric Utilities — 1.8%

      

American Electric Power Co., Inc.

      266,172        21,197,938  
     

 

 

  

Electrical Equipment — 1.2%

      

Emerson Electric Co.

      229,773        14,252,819  
     

 

 

  

Entertainment — 1.5%

      

Walt Disney Co. (The)

      162,608        18,132,418  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.2%

 

Alexandria Real Estate Equities, Inc.

      60,257        9,776,698  

American Campus Communities, Inc.

      313,051        10,944,263  
     Shares      Value  

COMMON STOCKS (continued)

 

Equity Real Estate Investment Trusts (REITs) (cont’d.)

 

American Tower Corp.

      65,299      $ 16,882,404  
     

 

 

  
        37,603,365  
     

 

 

  

Food & Staples Retailing — 2.3%

      

Walmart, Inc.

      223,812        26,808,201  
     

 

 

  

Food Products — 1.7%

      

Mondelez International, Inc. (Class A Stock)

      388,287        19,853,114  
     

 

 

  

Health Care Equipment & Supplies — 1.4%

 

Zimmer Biomet Holdings, Inc.

      141,160        16,848,858  
     

 

 

  

Health Care Providers & Services — 3.1%

 

Cigna Corp.

      86,505        16,232,663  

Laboratory Corp. of America Holdings*

      119,427        19,838,019  
     

 

 

  
        36,070,682  
     

 

 

  

Hotels, Restaurants & Leisure — 1.2%

      

McDonald’s Corp.

      78,171        14,420,204  
     

 

 

  

Household Durables — 1.4%

      

D.R. Horton, Inc.

      294,790        16,346,106  
     

 

 

  

Household Products — 2.7%

      

Procter & Gamble Co. (The)

      147,739        17,665,152  

Reckitt Benckiser Group PLC (United Kingdom)

      149,619        13,771,906  
     

 

 

  
        31,437,058  
     

 

 

  

Insurance — 5.4%

      

Chubb Ltd.

      204,273        25,865,047  

Marsh & McLennan Cos., Inc.

      112,756        12,106,612  

MetLife, Inc.

      452,906        16,540,127  

RenaissanceRe Holdings Ltd. (Bermuda)

      51,772        8,854,565  
     

 

 

  
        63,366,351  
     

 

 

  

Interactive Media & Services — 2.0%

      

Alphabet, Inc. (Class A Stock)*

      16,130        22,873,147  
     

 

 

  

Machinery — 1.2%

      

Otis Worldwide Corp.

      249,848        14,206,357  
     

 

 

  

Media — 1.0%

      

Comcast Corp. (Class A Stock)

      299,140        11,660,477  
     

 

 

  

Multi-Utilities — 3.5%

      

Ameren Corp.(a)

      271,793        19,123,355  

Dominion Energy, Inc.

      269,904        21,910,807  
     

 

 

  
        41,034,162  
     

 

 

  

Oil, Gas & Consumable Fuels — 5.7%

      

Chevron Corp.

      340,666        30,397,627  

ConocoPhillips

      328,012        13,783,064  

Suncor Energy, Inc. (Canada)(a)

      598,657        10,093,357  

Williams Cos., Inc. (The)

      630,846        11,998,691  
     

 

 

  
        66,272,739  
     

 

 

  

Pharmaceuticals — 5.7%

      

AstraZeneca PLC (United Kingdom), ADR

      483,095        25,550,894  

Bristol-Myers Squibb Co.

      340,842        20,041,510  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A183

 
   VALUE PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  

COMMON STOCKS (continued)

 

Pharmaceuticals (cont’d.)

      

Eli Lilly & Co.

      130,254      $ 21,385,102  
     

 

 

  
        66,977,506  
     

 

 

  

Road & Rail — 2.3%

      

Union Pacific Corp.

      162,018        27,392,383  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.8%

 

Broadcom, Inc.

      69,200        21,840,212  

QUALCOMM, Inc.

      182,409        16,637,525  

Texas Instruments, Inc.(a)

      139,782        17,748,121  
     

 

 

  
        56,225,858  
     

 

 

  

Software — 3.4%

      

Microsoft Corp.

      121,245        24,674,570  

SAP SE (Germany), ADR(a)

      105,922        14,829,080  
     

 

 

  
        39,503,650  
     

 

 

  

Specialty Retail — 3.9%

      

Advance Auto Parts, Inc.

      69,520        9,903,124  

Lowe’s Cos., Inc.

      165,340        22,340,741  

Ross Stores, Inc.

      151,218        12,889,822  
     

 

 

  
        45,133,687  
     

 

 

  

Technology Hardware, Storage & Peripherals — 1.8%

 

Apple, Inc.

      58,864        21,473,587  
     

 

 

  

Trading Companies & Distributors — 1.4%

 

   

United Rentals, Inc.*

      111,411        16,604,696  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $899,608,177)

 

      1,162,344,358  
     

 

 

  
SHORT-TERM INVESTMENTS — 8.8%

 

AFFILIATED MUTUAL FUNDS

 

   

PGIM Core Ultra Short Bond
Fund(w)

      8,168,033        8,168,033  
     Shares      Value  

AFFILIATED MUTUAL FUNDS (continued)

 

PGIM Institutional Money Market Fund (cost $94,069,138; includes $94,028,094 of cash collateral for securities on loan)(b)(w)

      94,282,248      $ 94,282,248  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $102,237,171)

 

      102,450,281  
     

 

 

  

TOTAL INVESTMENTS—108.0%
(cost $1,001,845,348)

 

      1,264,794,639  

Liabilities in excess of other assets — (8.0)%

 

      (93,312,686 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 1,171,481,953  
     

 

 

  

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 $92,292,469; cash collateral of $94,028,094 (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

         

Aerospace & Defense

    $ 31,226,534      $             —        $—    

Automobiles

      14,373,183        —        —    

Banks

          130,943,913        —        —    

Beverages

      20,045,193        —        —    

Biotechnology

      15,336,992        —        —    

Building Products

      20,705,398        —        —    

Capital Markets

      23,587,923        —        —    

Chemicals

      69,053,510        —        —    

Communications Equipment

      12,042,401        —        —    

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A184

 
   VALUE 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)

         

Consumer Finance

    $ 24,526,967      $ —        $—    

Containers & Packaging

      11,799,537        —        —    

Diversified Telecommunication Services

      43,007,444        —        —    

Electric Utilities

      21,197,938        —        —    

Electrical Equipment

      14,252,819        —        —    

Entertainment

      18,132,418        —        —    

Equity Real Estate Investment Trusts (REITs)

      37,603,365        —        —    

Food & Staples Retailing

      26,808,201        —        —    

Food Products

      19,853,114        —        —    

Health Care Equipment & Supplies

      16,848,858        —        —    

Health Care Providers & Services

      36,070,682        —        —    

Hotels, Restaurants & Leisure

      14,420,204        —        —    

Household Durables

      16,346,106        —        —    

Household Products

      17,665,152        13,771,906        —    

Insurance

      63,366,351        —        —    

Interactive Media & Services

      22,873,147        —        —    

Machinery

      14,206,357        —        —    

Media

      11,660,477        —        —    

Multi-Utilities

      41,034,162        —        —    

Oil, Gas & Consumable Fuels

      66,272,739        —        —    

Pharmaceuticals

      66,977,506        —        —    

Road & Rail

      27,392,383        —        —    

Semiconductors & Semiconductor Equipment

      56,225,858        —        —    

Software

      39,503,650        —        —    

Specialty Retail

      45,133,687        —        —    

Technology Hardware, Storage & Peripherals

      21,473,587        —        —    

Trading Companies & Distributors

      16,604,696        —        —    

Affiliated Mutual Funds

      102,450,281        —        —    
  

 

 

     

 

 

     

 

 

  

Total

    $ 1,251,022,733      $ 13,771,906        $—    
  

 

 

     

 

 

     

 

 

  

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:

Banks

      11.2 % 

Affiliated Mutual Funds (8.0% represents investments purchased with collateral from securities on loan)

      8.8  

Chemicals

      5.9  

Pharmaceuticals

      5.7  

Oil, Gas & Consumable Fuels

      5.7  

Insurance

      5.4  

Semiconductors & Semiconductor Equipment

      4.8  

Specialty Retail

      3.9  

Diversified Telecommunication Services

      3.7  

Multi-Utilities

      3.5  

Software

      3.4  

Equity Real Estate Investment Trusts (REITs)

      3.2  

Health Care Providers & Services

      3.1  

Household Products

      2.7  

Aerospace & Defense

      2.7  

Road & Rail

      2.3  

Food & Staples Retailing

      2.3  

Consumer Finance

      2.1  

Capital Markets

      2.0  

Interactive Media & Services

      2.0  

Technology Hardware, Storage & Peripherals

      1.8  

 

Electric Utilities

      1.8 % 

Building Products

      1.8  

Beverages

      1.7  

Food Products

      1.7  

Entertainment

      1.5  

Health Care Equipment & Supplies

      1.4  

Trading Companies & Distributors

      1.4  

Household Durables

      1.4  

Biotechnology

      1.3  

Hotels, Restaurants & Leisure

      1.2  

Automobiles

      1.2  

Electrical Equipment

      1.2  

Machinery

      1.2  

Communications Equipment

      1.0  

Containers & Packaging

      1.0  

Media

      1.0  
  

 

 

  
     108.0  

Liabilities in excess of other assets

      (8.0 ) 
  

 

 

  
     100.0 % 
  

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A185

 
   VALUE PORTFOLIO  (CONTINUED)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:

 

Description

   Gross Market
Value of
Recognized
Assets/(Liabilities)		   Collateral
Pledged/(Received)(1)		   Net
Amount

Securities on Loan

   $92,292,469   $(92,292,469)   $—

 

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A186

 
   VALUE PORTFOLIO  (CONTINUED)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS   

Investments at value, including securities on loan of $92,292,469:

   

Unaffiliated investments (cost $899,608,177)

    $ 1,162,344,358  

Affiliated investments (cost $102,237,171)

      102,450,281  

Cash

      18,170  

Receivable for investments sold

      7,682,394  

Tax reclaim receivable

      972,245  

Dividends receivable

      773,880  

Receivable for Portfolio shares sold

      16,279  

Prepaid expenses

      1,398  
  

 

 

  

Total Assets

      1,274,259,005  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      94,028,094  

Payable for investments purchased

      7,098,551  

Payable to affiliate

      702,904  

Payable for Portfolio shares repurchased

      414,045  

Management fee payable

      392,484  

Accrued expenses and other liabilities

      137,536  

Distribution fee payable

      1,570  

Administration fee payable

      942  

Affiliated transfer agent fee payable

      926  
  

 

 

  

Total Liabilities

      102,777,052  
  

 

 

  
NET ASSETS    $ 1,171,481,953  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 1,171,481,953  
  

 

 

  
Class I:   

Net asset value and redemption price per share, $1,163,975,213 / 38,134,082 outstanding shares of beneficial interest

    $ 30.52  
  

 

 

  
Class II:   

Net asset value and redemption price per share, $7,506,740 / 251,633 outstanding shares of beneficial interest.

    $ 29.83  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net of $127,981 foreign withholding tax)

    $ 16,694,782  

Affiliated dividend income

      173,954  

Income from securities lending, net (including affiliated income of $108,747)

      119,271  
  

 

 

  

Total income

      16,988,007  
  

 

 

  
EXPENSES   

Management fee

      2,430,457  

Distribution fee—Class II

      9,455  

Administration fee—Class II

      5,673  

Shareholders’ reports

      63,591  

Custodian and accounting fees

      51,883  

Audit fee

      14,221  

Trustees’ fees

      12,333  

Legal fees and expenses

      7,992  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      17,448  
  

 

 

  

Total expenses

      2,618,365  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      14,369,642  
  

 

 

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

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $(25,274))

      (20,952,138 ) 

Foreign currency transactions

      29,826  
  

 

 

  
     (20,922,312 ) 
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $203,312)

      (208,634,349 ) 
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      (229,556,661 ) 
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ (215,187,019 ) 
  

 

 

  

 

 

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)

    $ 14,369,642     $ 27,742,089  

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

      (20,922,312 )      77,291,466  

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

      (208,634,349 )      205,709,175  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      (215,187,019 )      310,742,730  
  

 

 

    

 

 

  
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold

      7,774,270       9,202,811  

Portfolio shares repurchased

      (59,727,731 )      (113,897,764 ) 
  

 

 

    

 

 

  

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

      (51,953,461 )      (104,694,953 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       1,759  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      (267,140,480 )      206,049,536  
NET ASSETS:     

Beginning of period

      1,438,622,433       1,232,572,897  
  

 

 

    

 

 

  

End of period

    $ 1,171,481,953     $ 1,438,622,433  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A187

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(unaudited)

The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 13 Portfolios listed below together with their investment objectives. Each Portfolio is a diversified portfolio for purposes of the 1940 Act, except for Natural Resources Portfolio which is a non-diversified portfolio for purposes of the 1940 Act, and therefore, may invest a greater percentage of its assets in the securities of a single company or other issuer than 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.

High Yield Bond Portfolio:    High total return.

Jennison Portfolio:    Long-term growth of capital.

Natural Resources Portfolio:    Long-term growth of capital.

Small Capitalization Stock Portfolio:    Long-term growth of capital.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

Value Portfolio:    Capital appreciation.

1. Accounting Policies

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

Securities Valuation:    Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit 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

 

B1

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 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

 

B2

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.

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

 

B3

portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (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

 

B4

realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Bank Loans: Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios 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

 

B5

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.

Inflation Swaps: Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered 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

 

B6

permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

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.

Warrants and Rights: Certain Portfolios held warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind: Certain fixed income Portfolios invested in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions: Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the

 

B7

customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending: Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.

The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.

Mortgage Dollar Rolls: Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s

 

B8

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.

2. Agreements

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.), Allianz Global Investors U.S. LLC (“Allianz”), 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.

The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.

 

Portfolio

    Management Fee   Effective
Management Fee,
Net of Waiver,
if Applicable

Conservative Balanced Portfolio

       0.55%     0.55 % 

Diversified Bond Portfolio

    0.40     0.40  

Equity Portfolio

    0.45     0.45  

Flexible Managed Portfolio

    0.60     0.60  

Global Portfolio

    0.75     0.72 * 

Government Income Portfolio

    0.40     0.40  

Government Money Market Portfolio

    0.30     0.26 ** 

High Yield Bond Portfolio

    0.55     0.50 *** 

Jennison Portfolio

    0.60     0.60  

Natural Resources Portfolio

    0.45     0.44 **** 

Small Capitalization Stock Portfolio

    0.35     0.35  

Stock Index Portfolio

    0.30% up to $ 4 billion  
   0.25% over $ 4 billion     0.29  

Value Portfolio

    0.40     0.40  

* The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.0323% of the average daily net assets of the Portfolio. Effective March 1, 2020, the Manager has contractually agreed to waive an additional 0.004% of its investment management fee through June 30, 2021.

** The Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Manager at any time without notice. During the 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.

 

B9

*** The Manager has contractually agreed through June 30, 2021 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, acquired fund fees and expenses, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of the Portfolio to 0.57% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.

**** The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio.

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

High Yield Bond Portfolio

    PFI & PGIM Limited

Jennison Portfolio

    Jennison

Natural Resources Portfolio

    Allianz

Small Capitalization Stock Portfolio

    QMA

Stock Index Portfolio

    QMA

Value Portfolio

    Jennison

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I, Class II and Class III shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II and Class III shares pursuant to a plan of distribution (the “Class II Plan” and “Class III Plan”, together, the Plans), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Plans, the Class II and Class III shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II and Class III shares.

The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was as follows:

 

Portfolio

    Amount  

Equity Portfolio

    $ 84,072  

Global Portfolio

      14,456  

Jennison Portfolio

      37,350  

Value Portfolio

      23,422  

PIMS, PGIM Investments, PGIM, Inc., PGIM Limited, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential.

 

B10

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, 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

 

B11

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

High Yield Bond Portfolio

        110

Natural Resources Portfolio

        4,544

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

Flexible Managed Portfolio

        3,066

Global Portfolio

        87,287

High Yield Bond Portfolio

        119

Natural Resources Portfolio

        28,888

Value Portfolio

        17,182

 

B12

The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.

 

Portfolio

    Capital Contributions    

Conservative Balance Portfolio

      $ 13,184  

Equity Portfolio

        3  

Flexible Managed Portfolio

        14,632  

Global Portfolio

        85,664  

Jennison Portfolio

        8,215  

Natural Resources Portfolio

        6,508  

Value Portfolio

        1,759  

4. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 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  

High Yield Bond Portfolio

      155,218,798        146,905,113  

Jennison Portfolio

      706,251,086        798,873,404  

Natural Resources Portfolio

      247,015,278        244,251,213  

Small Capitalization Stock Portfolio

      69,004,669        86,638,623  

Stock Index Portfolio

      124,300,604        42,273,613  

Value Portfolio

      261,342,529        275,822,466  

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  

 

B13

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 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  

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  
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  

 

B14

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 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  

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  
High Yield 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*

 

      

$    2,970,312

    $ 73,838,704      $ 73,659,587      $ —     $ —     $ 3,149,429        3,149,429      $ 72,459  

PGIM Institutional Money Market Fund*

 

      

82,327,001

      195,026,611        133,954,160        34,359       (81,888 )      143,351,923        143,351,923        167,990 ** 

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  

$  85,297,313

    $ 268,865,315      $ 207,613,747      $ 34,359     $ (81,888 )    $ 146,501,352         $ 240,449  

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  
Jennison 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*

 

      

$    5,324,539

    $ 340,567,940      $ 319,608,640      $ —     $ —     $ 26,283,839        26,283,839      $ 98,071  

PGIM Institutional Money Market Fund*

 

      

199,541,309

      1,053,901,222        1,002,363,333        420,208       (199,722 )      251,299,684        251,299,684        433,945 ** 

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  

$204,865,848

    $ 1,394,469,162      $ 1,321,971,973      $ 420,208     $ (199,722 )    $ 277,583,523         $ 532,016  

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  
Natural Resources 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*

 

      

$    5,623,570

    $ 101,419,012      $ 105,403,931      $ —     $ —     $ 1,638,651        1,638,651      $ 51,491  

PGIM Institutional Money Market Fund*

 

      

19,123,729

      153,847,136        156,242,266        25,007       (17,818 )      16,735,788        16,735,788        61,912 ** 

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  

$  24,747,299

    $ 255,266,148      $ 261,646,197      $ 25,007     $ (17,818 )    $ 18,374,439         $ 113,403  

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  
Small Capitalization Stock 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*

 

      

$    1,885,364

    $ 22,914,564      $ 24,007,639      $ —     $ —     $ 792,289        792,289      $ 10,155  

PGIM Institutional Money Market Fund*

 

      

170,444,676

      341,340,362        317,516,598        252,965       (139,466 )      194,381,939        194,381,939        189,621 ** 

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  

$172,330,040

    $ 364,254,926      $ 341,524,237      $ 252,965     $ (139,466 )    $ 195,174,228         $ 199,776  

 

   

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

  

 

B15

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  

 

   

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  
Value 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*

 

   

$  30,863,588

    $ 128,867,687      $ 151,563,242      $ —      $ —     $ 8,168,033        8,168,033      $ 173,954  

PGIM Institutional Money Market Fund*

 

   

34,639,237

      456,771,801        397,306,828        203,312        (25,274 )      94,282,248        94,282,248        108,747 ** 

 

   

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  

$  65,502,825

    $ 585,639,488      $ 548,870,070      $ 203,312      $ (25,274 )    $ 102,450,281         $ 282,701  

 

   

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  

 

*

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.

5. Tax Information

All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions.After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. 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.

6. Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“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

 

B16

     SCA
* 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. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

 

Portfolio

    Average
Balance
Outstanding		    Weighted
Average
Interest Rates		   Number
of Days
Outstanding		    Maximum
Balance
Outstanding		    Balance
Outstanding at
June 30, 2020
Government Income Portfolio      $ 789,000        2.86 %       3      $ 789,000      $ —
High Yield Bond Portfolio        103,000        1.38       1        103,000        —
Jennison Portfolio        615,667        1.95       9        1,230,000        —
Natural Resources Portfolio        286,364        1.88       11        823,000        —
Small Capitalization Stock Portfolio        552,667        2.08       3        895,000        —

7. Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer Class II and/or Class III shares. All share classes are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I and Class III shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

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%

High Yield Bond Portfolio

   87,572,437   100.0%

Jennison Portfolio - Class I

   26,478,198   100.0%

Natural Resources Portfolio - Class I

   13,321,799   100.0%

Small Capitalization Stock Portfolio

   18,638,510   100.0%

Stock Index Portfolio

   64,690,052   100.0%

Value Portfolio - Class I

   38,134,082   100.0%

 

B17

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               —   —               

High Yield Bond Portfolio

   3   100.0               —   —               

Jennison Portfolio

   2   93.1               —   —               

Natural Resources Portfolio

   2   84.0                 1   10.9               

Small Capitalization Stock Portfolio

   2   96.4               —   —               

Stock Index Portfolio

   3   100.0               —   —               

Value Portfolio

   2   95.2               —   —               

Transactions in shares of beneficial interest of the Equity, Government Money Market, Jennison, Natural Resources and Value 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 ) 
  

 

 

    

 

 

  

Class II:

             

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 ) 
  

 

 

    

 

 

  

 

B18

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.

Jennison Portfolio

 

Class I:

    Shares     Amount  

Six months ended June 30, 2020:

     

Portfolio shares sold

      235,369     $ 19,011,674  

Portfolio shares repurchased

      (1,221,086 )      (101,710,521 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (985,717 )    $ (82,698,847 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      235,080     $ 17,277,706  

Portfolio shares repurchased

      (2,232,184 )      (162,672,928 ) 

Capital contributions

      —       7,972  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (1,997,104 )    $ (145,387,250 ) 
  

 

 

    

 

 

  

Class II:

             

Six months ended June 30, 2020:

     

Portfolio shares sold

      47,594     $ 3,798,886  

Portfolio shares repurchased

      (134,035 )      (10,625,710 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (86,441 )    $ (6,826,824 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      95,620     $ 6,591,703  

Portfolio shares repurchased

      (286,365 )      (19,696,094 ) 

Capital contributions

      —       243  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (190,745 )    $ (13,104,148 ) 
  

 

 

    

 

 

  

 

B19

Natural Resources Portfolio

 

Class I:

    Shares     Amount  

Six months ended June 30, 2020:

     

Portfolio shares sold

      236,075     $ 4,222,445  

Portfolio shares repurchased

      (561,902 )      (11,630,080 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (325,827 )    $ (7,407,635 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      141,517     $ 3,361,228  

Portfolio shares repurchased

      (1,244,941 )      (29,748,209 ) 

Capital contributions

      —       5,677  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (1,103,424 )    $ (26,381,304 ) 
  

 

 

    

 

 

  

Class II:

             

Six months ended June 30, 2020:

     

Portfolio shares sold

      607,046     $ 10,380,104  

Portfolio shares repurchased

      (509,212 )      (9,438,312 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      97,834     $ 941,792  
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      350,913     $ 7,965,001  

Portfolio shares repurchased

      (520,257 )      (12,096,475 ) 

Capital contributions

      —       831  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (169,344 )    $ (4,130,643 ) 
  

 

 

    

 

 

  

Value Portfolio

 

Class I:

    Shares     Amount  

Six months ended June 30, 2020:

     

Portfolio shares sold

      250,582     $ 7,543,560  

Portfolio shares repurchased

      (1,844,798 )      (59,626,647 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (1,594,216 )    $ (52,083,087 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      236,977     $ 7,891,251  

Portfolio shares repurchased

      (3,462,544 )      (113,465,025 ) 

Capital contributions

      —       1,750  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (3,225,567 )    $ (105,572,024 ) 
  

 

 

    

 

 

  

Class II:

             

Six months ended June 30, 2020:

     

Portfolio shares sold

      8,674     $ 230,710  

Portfolio shares repurchased

      (3,326 )      (101,084 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      5,348     $ 129,626  
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      41,074     $ 1,311,560  

Portfolio shares repurchased

      (13,237 )      (432,739 ) 

Capital contributions

      —       9  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      27,837     $ 878,830  
  

 

 

    

 

 

  

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.

 

B20

Bond Obligations Risk: The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.

Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.

Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market 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

 

B21

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 reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.

Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.

Non-diversification Risk: A non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any 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

 

B22

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.

 

B23

Financial Highlights

(unaudited)

 

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.

(i)

Annualized.

(j)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s 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   Year Ended December 31,
    June 30, 2020   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   Year Ended December 31,
    June 30, 2020   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.

(j)

Annualized.

(k)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2

Financial Highlights

(unaudited)

 

Flexible Managed Portfolio

    
    Six Months Ended   Year Ended December 31,
    June 30, 2020   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   Year Ended December 31,
    June 30, 2020   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.

(i)

Annualized.

(j)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s 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   Year Ended December 31,
    June 30, 2020   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.

(h)

Annualized.

(i)

The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate.

(j)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s 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,

   Year Ended December 31,
    2020   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.

(e)

Less than 0.005%.

(f)

Does not include expenses of the underlying funds in which the Portfolio invests.

(g)

Annualized.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C5

Financial Highlights

(unaudited)

 

High Yield Bond Portfolio

    
    Six Months Ended   Year Ended December 31,
    June 30, 2020   2019   2018   2017   2016   2015

Per Share Operating Performance(a):

                        

Net Asset Value, beginning of period

     $ 5.77     $ 4.96     $ 5.17     $ 5.10     $ 4.68     $ 5.11
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       0.18       0.34       0.33       0.32       0.32       0.31

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

       (0.42 )       0.47       (0.39 )       0.07       0.42       (0.42 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       (0.24 )       0.81       (0.06 )       0.39       0.74       (0.11 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less Dividends and Distributions

       —       —       (0.15 )       (0.32 )       (0.32 )       (0.32 )

Capital Contributions

       —       —       — (b)(c)        —       — (c)(d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 5.53     $ 5.77     $ 4.96     $ 5.17     $ 5.10     $ 4.68
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (4.16 )%       16.33 %       (1.26 )%(f)       7.80 %       16.24 %(f)       (2.45 )%

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 484     $ 522     $ 474     $ 508     $ 3,568     $ 3,160

Average net assets (in millions)

     $ 485     $ 507     $ 499     $ 3,549     $ 3,362     $ 3,251

Ratios to average net assets(g):

                        

Expenses after waivers and/or expense reimbursement

       0.57 %(h)       0.57 %       0.57 %       0.57 %       0.57 %       0.57 %

Expenses before waivers and/or expense reimbursement

       0.62 %(h)       0.62 %       0.62 %       0.57 %       0.57 %       0.57 %

Net investment income (loss)

       6.62 %(h)       6.28 %       6.50 %       6.17 %       6.61 %       6.21 %

Portfolio turnover rate(i)

       31 %       58 %       47 %       54 %(j)       39 %       46 %

 

(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.

(h)

Annualized.

(i)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

(j)

The Portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities transferred as a result of in-kind transactions. If such transactions were included, the portfolio turnover rate may be higher.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C6

Financial Highlights

(unaudited)

 

Jennison 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

     $ 81.62     $ 61.21     $ 61.69     $ 45.13     $ 45.54     $ 40.85
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       — (b)        0.09       0.13       0.13       0.10       0.06

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

       15.84       20.32       (0.61 )       16.43       (0.55 )       4.63
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       15.84       20.41       (0.48 )       16.56       (0.45 )       4.69
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —       — (b)(c)        — (b)(c)        —       0.04 (d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 97.46     $ 81.62     $ 61.21     $ 61.69     $ 45.13     $ 45.54
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       19.41 %       33.34 %(f)       (0.78 )%(f)       36.69 %       (0.90 )%(g)       11.48 %

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 2,581     $ 2,242     $ 1,803     $ 1,937     $ 1,520     $ 1,655

Average net assets (in millions)

     $ 2,256     $ 2,073     $ 2,052     $ 1,761     $ 1,529     $ 1,651

Ratios to average net assets(h):

                        

Expenses after waivers and/or expense reimbursement

       0.62 %(i)       0.62 %       0.62 %       0.63 %       0.63 %       0.63 %

Expenses before waivers and/or expense reimbursement

       0.62 %(i)       0.62 %       0.62 %       0.63 %       0.63 %       0.63 %

Net investment income (loss)

       0.00 %(i)(j)       0.13 %       0.19 %       0.25 %       0.23 %       0.14 %

Portfolio turnover rate(k)

       31 %       41 %       38 %       51 %       35 %       31 %

Jennison 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

     $ 77.94     $ 58.68     $ 59.38     $ 43.62     $ 44.19     $ 39.80
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       (0.16 )       (0.19 )       (0.14 )       (0.08 )       (0.07 )       (0.11 )

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

       15.10       19.45       (0.56 )       15.84       (0.54 )       4.50
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       14.94       19.26       (0.70 )       15.76       (0.61 )       4.39
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —       — (b)(c)        — (b)(c)        —       0.04 (d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 92.88     $ 77.94     $ 58.68     $ 59.38     $ 43.62     $ 44.19
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       19.17 %       32.82 %(f)       (1.18 )%(f)       36.13 %       (1.29 )%(g)       11.03 %

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 71     $ 66     $ 61     $ 60     $ 41     $ 60

Average net assets (in millions)

     $ 64     $ 64     $ 70     $ 49     $ 50     $ 50

Ratios to average net assets(h):

                        

Expenses after waivers and/or expense reimbursement

       1.02 %(i)       1.02 %       1.02 %       1.03 %       1.03 %       1.03 %

Expenses before waivers and/or expense reimbursement

       1.02 %(i)       1.02 %       1.02 %       1.03 %       1.03 %       1.03 %

Net investment income (loss)

       (0.40 )%(i)       (0.27 )%       (0.22 )%       (0.16 )%       (0.17 )%       (0.26 )%

Portfolio turnover rate(k)

       31 %       41 %       38 %       51 %       35 %       31 %

 

(a)

Calculated based on average shares outstanding during the period.

(b)

Less than $0.005 per share.

(c)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(d)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

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 (0.99)% and (1.38)% for Class I and Class II, respectively

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

(i)

Annualized.

(j)

Less than 0.005%.

(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.

 

C7

Financial Highlights

(unaudited)

 

Natural Resources 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

     $ 24.34     $ 21.99     $ 26.84     $ 26.89     $ 21.45     $ 29.87
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       0.31       0.72       0.60       0.40       0.26       0.29

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

       (4.75 )       1.63       (5.46 )       (0.45 )       5.15       (8.71 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       (4.44 )       2.35       (4.86 )       (0.05 )       5.41       (8.42 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —       — (b)(c)        0.01 (b)        —       0.03 (d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 19.90     $ 24.34     $ 21.99     $ 26.84     $ 26.89     $ 21.45
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (18.24 )%       10.69 %(f)       (18.07 )%(g)       (0.19 )%       25.36 %(h)       (28.19 )%

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 265     $ 332     $ 324     $ 425     $ 456     $ 386

Average net assets (in millions)

     $ 270     $ 339     $ 398     $ 410     $ 416     $ 515

Ratios to average net assets(i):

                        

Expenses after waivers and/or expense reimbursement

       0.54 %(j)       0.53 %       0.51 %       0.52 %       0.56 %       0.48 %

Expenses before waivers and/or expense reimbursement

       0.55 %(j)       0.54 %       0.52 %       0.53 %       0.57 %       0.51 %

Net investment income (loss)

       3.15 %(j)       3.04 %       2.30 %       1.60 %       1.08 %       1.06 %

Portfolio turnover rate(k)

       79 %       132 %       108 %       114 %       140 %       29 %

Natural Resources 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

     $ 23.44     $ 21.26     $ 26.06     $ 26.20     $ 20.99     $ 29.35
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       0.26       0.61       0.49       0.29       0.15       0.18

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

       (4.57 )       1.57       (5.30 )       (0.43 )       5.03       (8.54 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       (4.31 )       2.18       (4.81 )       (0.14 )       5.18       (8.36 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —       — (b)(c)        0.01 (b)        —       0.03 (d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 19.13     $ 23.44     $ 21.26     $ 26.06     $ 26.20     $ 20.99
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (18.39 )%       10.25 %(f)       (18.42 )%(g)       (0.53 )%       24.82 %(h)       (28.48 )%

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 42     $ 49     $ 48     $ 53     $ 42     $ 30

Average net assets (in millions)

     $ 43     $ 50     $ 52     $ 48     $ 38     $ 41

Ratios to average net assets(i):

                        

Expenses after waivers and/or expense reimbursement

       0.94 %(j)       0.93 %       0.91 %       0.92 %       0.96 %       0.88 %

Expenses before waivers and/or expense reimbursement

       0.95 %(j)       0.94 %       0.92 %       0.93 %       0.97 %       0.91 %

Net investment income (loss)

       2.78 %(j)       2.63 %       1.93 %       1.21 %       0.64 %       0.66 %

Portfolio turnover rate(k)

       79 %       132 %       108 %       114 %       140 %       29 %

 

(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 (18.11)% and (18.46)% for Class I and Class II, respectively.

(h)

Total return for the period includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 25.22% and 24.68% for Class I and Class II, respectively.

(i)

Does not include expenses of the underlying funds in which the Portfolio invests.

(j)

Annualized.

(k)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C8

Financial Highlights

(unaudited)

 

Small Capitalization Stock 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

     $ 43.03         $ 35.15     $ 38.51     $ 34.08     $ 26.94     $ 27.57
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                            

Net investment income (loss)

       0.17           0.46       0.40       0.39       0.35       0.30

Net realized and unrealized gain (loss) on investment transactions

       (7.89 )           7.42       (3.76 )       4.04       6.72       (0.93 )
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       (7.72 )           7.88       (3.36 )       4.43       7.07       (0.63 )
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —           —       — (b)(c)        —       0.07 (d)        —
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 35.31         $ 43.03     $ 35.15     $ 38.51     $ 34.08     $ 26.94
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (17.94 )%           22.42 %       (8.73 )%(f)       13.00 %       26.50 %(g)       (2.29 )%

Ratios/Supplemental Data:

                            

Net assets, end of period (in millions)

     $ 658         $ 834     $ 729     $ 850     $ 811     $ 682

Average net assets (in millions)

     $ 675         $ 794     $ 871     $ 811     $ 704     $ 732

Ratios to average net assets(h):

                            

Expenses after waivers and/or expense reimbursement

       0.40 %(i)           0.39 %       0.39 %       0.40 %       0.40 %       0.40 %

Expenses before waivers and/or expense reimbursement

       0.40 %(i)           0.39 %       0.39 %       0.40 %       0.42 %       0.45 %

Net investment income (loss)

       0.98 %(i)           1.15 %       0.98 %       1.11 %       1.21 %       1.06 %

Portfolio turnover rate(j)

       10 %           19 %       18 %       17 %       20 %       16 %

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 (d)        —
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 71.87         $ 74.24     $ 56.64     $ 59.38     $ 50.70     $ 48.59
   

 

 

          

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (3.19 )%           31.07 %       (4.61 )%       21.46 %       11.83 %(k)       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(h):

                            

Expenses after waivers and/or expense reimbursement

       0.31 %(i)           0.31 %       0.31 %       0.32 %       0.32 %       0.32 %

Expenses before waivers and/or expense reimbursement

       0.31 %(i)           0.31 %       0.31 %       0.32 %       0.34 %       0.37 %

Net investment income (loss)

       1.72 %(i)           1.69 %       1.63 %       1.69 %       1.84 %       1.74 %

Portfolio turnover rate(j)

       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 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 26.24%.

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

(i)

Annualized.

(j)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s 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 11.69%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C9

Financial Highlights

(unaudited)

 

Value 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

     $ 35.99     $ 28.55     $ 31.68     $ 27.08     $ 24.31     $ 26.48
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       0.37       0.67       0.56       0.47       0.46       0.39
Net realized and unrealized gain (loss) on investment and foreign currency transactions       (5.84 )       6.77       (3.71 )       4.13       2.28       (2.56 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       (5.47 )       7.44       (3.15 )       4.60       2.74       (2.17 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —       — (b)(c)        0.02 (b)        —       0.03 (d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 30.52     $ 35.99     $ 28.55     $ 31.68     $ 27.08     $ 24.31
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (15.20 )%       26.06 %(f)       (9.88 )%(g)       16.99 %       11.39 %(h)       (8.19 )%

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 1,164     $ 1,430     $ 1,226     $ 1,480     $ 1,375     $ 1,355

Average net assets (in millions)

     $ 1,214     $ 1,354     $ 1,417     $ 1,413     $ 1,290     $ 1,493

Ratios to average net assets(i):

                        

Expenses after waivers and/or expense reimbursement

       0.43 %(j)       0.43 %       0.43 %       0.43 %       0.42 %       0.43 %

Expenses before waivers and/or expense reimbursement

       0.43 %(j)       0.43 %       0.43 %       0.43 %       0.42 %       0.43 %

Net investment income (loss)

       2.37 %(j)       2.04 %       1.76 %       1.63 %       1.90 %       1.52 %

Portfolio turnover rate(k)

       22 %       25 %       23 %       16 %       24 %       32 %

Value 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

     $ 35.25     $ 28.07     $ 31.27     $ 26.84     $ 24.19     $ 26.45
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Income (Loss) From Investment Operations:

                        

Net investment income (loss)

       0.30       0.53       0.42       0.35       0.37       0.29
Net realized and unrealized gain (loss) on investment and foreign currency transactions       (5.72 )       6.65       (3.64 )       4.08       2.25       (2.55 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

       (5.42 )       7.18       (3.22 )       4.43       2.62       (2.26 )
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Capital Contributions

       —       — (b)(c)        0.02 (b)        —       0.03 (d)        —
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net Asset Value, end of period

     $ 29.83     $ 35.25     $ 28.07     $ 31.27     $ 26.84     $ 24.19
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(e)

       (15.38 )%       25.58 %(f)       (10.23 )%(g)       16.51 %       10.95 %(h)       (8.54 )%

Ratios/Supplemental Data:

                        

Net assets, end of period (in millions)

     $ 8     $ 9     $ 6     $ 8     $ 7     $ 10

Average net assets (in millions)

     $ 8     $ 7     $ 7     $ 7     $ 8     $ 10

Ratios to average net assets(i):

                        

Expenses after waivers and/or expense reimbursement

       0.83 %(j)       0.83 %       0.83 %       0.83 %       0.82 %       0.83 %

Expenses before waivers and/or expense reimbursement

       0.83 %(j)       0.83 %       0.83 %       0.83 %       0.82 %       0.83 %

Net investment income (loss)

       1.97 %(j)       1.63 %       1.36 %       1.23 %       1.53 %       1.12 %

Portfolio turnover rate(k)

       22 %       25 %       23 %       16 %       24 %       32 %

 

(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 (9.94)% and (10.29)% for Class I and Class II, respectively.

(h)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.27% and 10.83% for Class I and Class II, respectively.

(i)

Does not include expenses of the underlying funds in which the Portfolio invests.

(j)

Annualized.

(k)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C10

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.

 

C11

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.

 

High Yield Bond Portfolio    

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

•  

The Board noted that PGIM Investments had contractually agreed to cap Portfolio expenses (exclusive of certain fees and expenses) at 0.57% through June 30, 2021.

 

•  

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.

 

Jennison Portfolio    

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   2nd Quartile    2nd Quartile    2nd Quartile    2nd Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 2nd Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, though it underperformed its benchmark index over the remaining period.

 

•  

The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

 

Natural Resources Portfolio

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   3rd Quartile    2nd Quartile    3rd Quartile    4th Quartile
Actual Management Fee: 1st Quartile
Net Total Expenses: 1st Quartile

 

•  

The Board noted that the Portfolio underperformed its benchmark index over all periods.

 

•  

The Board noted that in February 2016, the Portfolio appointed a new subadviser to replace the Portfolio’s prior subadviser, and that as a result, the Portfolio’s longer-term performance was not solely attributable to the Portfolio’s current subadviser.

 

•  

The Board considered information provided by the Manager indicating that the Portfolio’s recent performance had improved, with the Portfolio outperforming its benchmark index for the trailing one-year period and the median of its Peer Universe for the trailing one-, three-, and five-year periods, each through March 31, 2020.

 

•  

The Board noted that the Manager had contractually agreed to waive 0.008% of its management fee through June 30, 2021.

 

•  

The Board concluded that, after considering a variety of information, including the factors set forth above, it would be prudent to allow the new subadviser time to develop a performance record, and that it would be in the best interests of the Portfolio and its shareholders to renew the management agreement, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Small Capitalization Stock 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 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.

 

Value Portfolio

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   3rd Quartile    3rd Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over the one- and three-year periods, though it underperformed its benchmark index over the five- and ten-year periods.

 

•  

The Board noted the Manager’s belief that the underperformance was temporary and considered information provided by the Manager indicating that the Portfolio’s three-year performance improved.

 

•  

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 prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

 

 

 

 

 

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

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The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3777

 

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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

©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.

PSF-SAR-A

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The Prudential Series Fund

 

 

SEMIANNUAL REPORT    June 30, 2020

 

 

LOGO

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

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

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. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

SP International Growth Portfolio

 

 

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The Prudential Series Fund

 

Table of Contents

   Semiannual Report   June 30, 2020

 

  ∎  

LETTER TO CONTRACT OWNERS

 

  ∎  

PRESENTATION OF PORTFOLIO HOLDINGS

 

  ∎  

FEES AND EXPENSES

 

  ∎  

FINANCIAL REPORTS

 

Section A   Schedule of Investments and Financial Statements
Section B   Notes to Financial Statements   
Section C   Financial Highlights   

 

  ∎  

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

 

Letter to Contract Owners

   Semiannual Report   June 30, 2020

 

∎  

DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Prudential Series Fund 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,

 

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2020

The Prudential Series Fund

 

Presentation of Portfolio Holdings — unaudited

   June 30, 2020

 

SP International Growth Portfolio

 

Ten Largest Holdings   Line of Business   Country     (% of Net Assets ) 
Adyen NV, 144A   IT Services   Netherlands     3.2%  
Tencent Holdings Ltd.   Interactive Media & Services   China     2.8%  
LVMH Moet Hennessy Louis Vuitton SE   Textiles, Apparel & Luxury Goods   France     2.5%  
Shopify, Inc. (Class A Stock)   IT Services   Canada     2.4%  
MercadoLibre, Inc.   Internet & Direct Marketing Retail   Argentina     2.4%  
L’Oreal SA   Personal Products   France     2.1%  
Lululemon Athletica, Inc.   Textiles, Apparel & Luxury Goods   United States     2.0%  
Experian PLC   Professional Services   United Kingdom     1.9%  
Sea Ltd., ADR   Entertainment   Taiwan     1.7%  
Meituan Dianping (Class B Stock)   Internet & Direct Marketing Retail   China     1.6%  

 

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

 

The Prudential Series Fund Portfolio     

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*		  

SP International Growth

(Class I)

    Actual      $ 1,000.00        $ 1,035.60          1.01 %     $ 5.11  
   Hypothetical      $ 1,000.00        $ 1,019.84          1.01 %     $ 5.07  

SP International Growth

(Class II)

    Actual      $ 1,000.00        $ 1,033.60          1.41 %     $ 7.13  
   Hypothetical      $ 1,000.00        $ 1,017.85          1.41 %     $ 7.07  

* 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.

 
   SP INTERNATIONAL GROWTH PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

LONG-TERM INVESTMENTS — 98.7%         
COMMON STOCKS — 97.2%    Shares      Value  

Argentina — 2.4%

      

MercadoLibre, Inc.*

      2,021      $ 1,992,241  
     

 

 

  

Australia — 1.5%

      

Aristocrat Leisure Ltd.

      14,960        266,981  

Cochlear Ltd.

      3,824        503,151  

CSL Ltd.

      2,508        501,080  
     

 

 

  
        1,271,212  
     

 

 

  

Austria — 0.4%

      

BAWAG Group AG, 144A*

      8,996        312,003  
     

 

 

  

Belgium — 0.3%

      

KBC Group NV

      3,814        220,450  
     

 

 

  

Canada — 4.0%

      

Alimentation Couche-Tard, Inc. (Class B Stock)

      3,739        117,243  

Brookfield Asset Management, Inc. (Class A Stock)

      12,676        417,041  

Canadian National Railway Co.

      6,257        553,571  

Dollarama, Inc.

      8,747        290,965  

Shopify, Inc. (Class A Stock)*

      2,143        2,034,136  
     

 

 

  
        3,412,956  
     

 

 

  

China — 11.9%

      

Alibaba Group Holding Ltd.*

      47,840        1,295,261  

Alibaba Group Holding Ltd., ADR*

      5,918        1,276,513  

China Merchants Bank Co. Ltd. (Class H Stock)

      92,500        426,947  

Jiangsu Hengrui Medicine Co. Ltd. (Class A Stock)

      56,802        744,055  

Kweichow Moutai Co. Ltd. (Class A Stock)

      3,392        702,471  

Meituan Dianping (Class B Stock)*

      62,169        1,387,181  

NetEase, Inc., ADR

      1,271        545,742  

TAL Education Group, ADR*

      9,383        641,609  

Tencent Holdings Ltd.

      35,994        2,320,949  

Wuxi Biologics Cayman, Inc., 144A*

      37,567        690,921  
     

 

 

  
        10,031,649  
     

 

 

  

Denmark — 3.3%

      

Chr Hansen Holding A/S

      1,381        142,632  

Coloplast A/S (Class B Stock)

      3,426        532,641  

DSV Panalpina A/S

      2,454        300,902  

Novo Nordisk A/S (Class B Stock)

      21,199        1,381,931  

Orsted A/S, 144A

      3,932        456,869  
     

 

 

  
        2,814,975  
     

 

 

  

Finland — 0.4%

      

Neste OYJ

      8,188        321,523  
     

 

 

  

France — 11.5%

      

Air Liquide SA

      1,311        190,036  

Airbus SE*

      4,511        323,175  

Arkema SA

      1,133        108,873  

Capgemini SE

      3,949        455,741  

Dassault Systemes SE

      4,963        859,920  

Kering SA

      916        500,655  

L’Oreal SA*

      5,479        1,762,075  

COMMON STOCKS

(continued)

    Shares      Value  

France (continued)

      

LVMH Moet Hennessy Louis Vuitton SE

      4,684      $ 2,082,943  

Pernod Ricard SA

      6,710        1,059,109  

Remy Cointreau SA(a)

      3,472        473,372  

Safran SA*

      4,272        430,477  

Schneider Electric SE

      3,506        392,392  

Teleperformance*

      3,109        792,797  

TOTAL SA(a)

      7,809        301,777  
     

 

 

  
        9,733,342  
     

 

 

  

Germany — 5.1%

      

adidas AG*

      635        167,793  

Brenntag AG

      5,510        290,635  

CTS Eventim AG & Co. KGaA*

      5,145        215,327  

Deutsche Boerse AG

      1,521        276,383  

Gerresheimer AG

      5,817        538,857  

Infineon Technologies AG

      36,679        870,691  

Rational AG(a)

      539        303,504  

SAP SE

      4,989        701,150  

SAP SE, ADR(a)

      3,693        517,020  

Scout24 AG, 144A

      3,974        309,878  

TeamViewer AG, 144A*

      2,748        151,258  
     

 

 

  
        4,342,496  
     

 

 

  

Hong Kong — 1.6%

 

   

AIA Group Ltd.

      94,400        882,456  

Techtronic Industries Co. Ltd.

      49,700        490,309  
     

 

 

  
        1,372,765  
     

 

 

  

India — 1.3%

 

   

HDFC Bank Ltd., ADR

      6,717        305,355  

Infosys Ltd., ADR(a)

      26,876        259,622  

Reliance Industries Ltd., 144A, GDR

      10,724        495,368  
     

 

 

  
        1,060,345  
     

 

 

  

Ireland — 2.0%

 

   

AerCap Holdings NV*

      3,645        112,266  

CRH PLC

      14,622        502,291  

Kerry Group PLC (Class A Stock)

      3,455        429,834  

Kingspan Group PLC

      8,556        553,978  

Smurfit Kappa Group PLC

      3,662        123,323  
     

 

 

  
        1,721,692  
     

 

 

  

Israel — 1.4%

 

   

Check Point Software Technologies Ltd.*(a)

      4,962        533,067  

Nice Ltd., ADR*(a)

      3,307        625,817  
     

 

 

  
        1,158,884  
     

 

 

  

Italy — 2.3%

 

   

Brunello Cucinelli SpA*

      19,063        569,003  

Ferrari NV

      6,490        1,112,134  

Nexi SpA, 144A*

      17,075        296,879  
     

 

 

  
        1,978,016  
     

 

 

  

Japan — 7.9%

 

   

Asahi Intecc Co. Ltd.

      7,500        212,528  

Bridgestone Corp.

      10,400        334,328  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1

 
   SP INTERNATIONAL GROWTH PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

COMMON STOCKS

(continued)

    Shares      Value  

Japan (continued)

 

Daikin Industries Ltd.

      4,900      $ 788,851  

Freee KK*

      4,476        203,252  

GMO Payment Gateway, Inc.

      5,240        546,062  

Hoya Corp.

      8,400        799,950  

Kao Corp.

      2,300        182,186  

Keyence Corp.

      1,900        794,433  

Menicon Co. Ltd.

      10,087        496,213  

Sanwa Holdings Corp.

      28,900        259,440  

SCSK Corp.

      2,400        116,786  

Shionogi & Co. Ltd.

      4,200        262,937  

Shiseido Co. Ltd.

      6,300        400,250  

SMC Corp.

      1,000        512,307  

Terumo Corp.

      5,700        216,327  

Tokio Marine Holdings, Inc.

      4,000        174,183  

Toyota Motor Corp.

      5,800        363,678  
     

 

 

  
        6,663,711  
     

 

 

  

Luxembourg — 0.1%

 

Tenaris SA

      15,122        98,535  
     

 

 

  

Netherlands — 6.0%

 

Adyen NV, 144A*

      1,857        2,715,450  

ASML Holding NV

      3,705        1,368,979  

Heineken NV

      4,377        405,377  

Koninklijke Philips NV*

      6,150        288,493  

NXP Semiconductors NV

      2,473        282,021  
     

 

 

  
        5,060,320  
     

 

 

  

Singapore — 0.3%

 

DBS Group Holdings Ltd.

      18,600        278,880  
     

 

 

  

Spain — 0.4%

 

Amadeus IT Group SA

      6,412        335,390  
     

 

 

  

Sweden — 2.0%

 

Assa Abloy AB (Class B Stock)

      19,204        393,811  

Atlas Copco AB (Class A Stock)

      15,038        640,625  

Autoliv, Inc.

      930        59,995  

Hexagon AB (Class B Stock)*

      10,525        619,209  
     

 

 

  
        1,713,640  
     

 

 

  

Switzerland — 9.9%

 

Alcon, Inc.*

      12,464        721,630  

Givaudan SA

      273        1,021,650  

Julius Baer Group Ltd.

      6,607        279,630  

Lonza Group AG

      1,929        1,022,380  

Novartis AG

      5,805        508,167  

Partners Group Holding AG

      848        773,097  

Roche Holding AG

      3,796        1,322,225  

SGS SA

      113        277,804  

SIG Combibloc Group AG*

      22,409        363,769  

Sika AG

      2,258        437,091  

Sonova Holding AG*

      2,129        426,274  

Straumann Holding AG

      555        479,609  

Temenos AG

      3,056        478,843  

UBS Group AG

      22,421        261,127  
     

 

 

  
        8,373,296  
     

 

 

  

Taiwan — 3.3%

 

Sea Ltd., ADR*(a)

      13,128        1,407,847  
COMMON STOCKS
(continued)		    Shares      Value  

Taiwan (continued)

 

Taiwan Semiconductor Manufacturing Co. Ltd.

      67,000      $ 713,567  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

      11,644        661,030  
     

 

 

  
        2,782,444  
     

 

 

  

United Kingdom — 13.0%

 

Abcam PLC

      23,694        390,949  

Ashtead Group PLC

      10,306        349,006  

AstraZeneca PLC

      6,447        676,543  

Barratt Developments PLC

      24,242        150,031  

Bunzl PLC

      23,467        632,716  

Compass Group PLC

      22,072        305,691  

DCC PLC

      6,503        544,556  

Diageo PLC

      17,078        568,240  

Electrocomponents PLC

      47,135        393,577  

Experian PLC

      45,622        1,607,101  

Fevertree Drinks PLC

      15,282        389,353  

Halma PLC

      10,263        293,468  

London Stock Exchange Group PLC

      7,411        769,676  

Prudential PLC

      20,371        309,085  

Reckitt Benckiser Group PLC

      5,475        503,955  

RELX PLC

      37,768        879,593  

Rentokil Initial PLC

      72,731        460,566  

Rightmove PLC

      24,653        167,613  

Segro PLC, REIT

      36,677        407,183  

Smith & Nephew PLC

      14,243        267,145  

Spectris PLC

      6,758        211,477  

Spirax-Sarco Engineering PLC

      2,472        306,563  

St. James’s Place PLC

      22,032        261,260  

Unilever NV

      3,324        177,385  
     

 

 

  
        11,022,732  
     

 

 

  

United States — 4.9%

 

Aon PLC (Class A Stock)

      2,149        413,897  

Atlassian Corp. PLC (Class A Stock)*

      6,758        1,218,265  

Ferguson PLC

      5,266        431,060  

Lululemon Athletica, Inc.*

      5,330        1,663,013  

QIAGEN NV*

      4,287        184,307  

Samsonite International SA, 144A*

      95,092        96,940  

Sensata Technologies Holding PLC*

      2,317        86,262  
     

 

 

  
        4,093,744  
     

 

 

  

TOTAL COMMON STOCKS
(cost $55,307,952)

         82,167,241  
     

 

 

  
PREFERRED STOCK — 1.5%

 

Germany

 

   

Sartorius AG (PRFC)

      3,947        1,306,475  
     

 

 

  

(cost $299,482)

      

TOTAL LONG-TERM INVESTMENTS
(cost $55,607,434)

 

      83,473,716  
     

 

 

  
SHORT-TERM INVESTMENTS — 6.0%

 

AFFILIATED MUTUAL FUNDS — 5.3%

 

PGIM Core Ultra Short Bond Fund(w)

      453,403        453,403  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2

 
   SP INTERNATIONAL GROWTH PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

     Shares      Value  
AFFILIATED MUTUAL FUNDS (continued)

 

PGIM Institutional Money Market Fund (cost $3,973,441; includes $3,972,033 of cash collateral for securities on loan)(b)(w)

      3,979,390      $ 3,979,390  
     

 

 

  

TOTAL AFFILIATED MUTUAL FUNDS
(cost $4,426,844)

 

      4,432,793  
     

 

 

  
UNAFFILIATED FUND — 0.7%

 

BlackRock Liquidity FedFund

      604,575        604,575  
     

 

 

  

(cost $604,575)

      

TOTAL SHORT-TERM INVESTMENTS
(cost $5,031,419)

 

      5,037,368  
     

 

 

  

TOTAL INVESTMENTS—104.7%
(cost $60,638,853)

 

      88,511,084  

Liabilities in excess of other assets — (4.7)%

 

      (3,936,761 ) 
     

 

 

  

NET ASSETS — 100.0%

 

    $ 84,574,323  
     

 

 

  

Below is a list of the abbreviation(s) used in the semiannual report:

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.

ADR — American Depositary Receipt

GDR — Global Depositary Receipt

LIBOR — London Interbank Offered Rate

OTC — Over-the-counter

PRFC — Preference Shares

REITs — Real Estate Investment Trust

 

*

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 $3,866,428; cash collateral of $3,972,033 (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

    $  1,992,241      $ —      $  —  

Australia

      —        1,271,212        —  

Austria

      —        312,003        —  

Belgium

      —        220,450        —  

Canada

      3,412,956        —        —  

China

      2,463,864        7,567,785        —  

Denmark

      —        2,814,975        —  

Finland

      —        321,523        —  

France

      —        9,733,342        —  

Germany

      517,020        3,825,476        —  

Hong Kong

      —        1,372,765        —  

India

      564,977        495,368        —  

Ireland

      112,266        1,609,426        —  

Israel

      1,158,884        —        —  

Italy

      —        1,978,016        —  

Japan

      —        6,663,711        —  

Luxembourg

      —        98,535        —  

Netherlands

      282,021        4,778,299        —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3

 
   SP INTERNATIONAL GROWTH 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)

         

Singapore

    $   —      $ 278,880      $   —  

Spain

      —        335,390        —  

Sweden

      59,995        1,653,645        —  

Switzerland

      —        8,373,296        —  

Taiwan

      2,068,877        713,567        —  

United Kingdom

      —        11,022,732        —  

United States

      3,381,437        712,307        —  

Preferred Stock

         

Germany

      —        1,306,475        —  

Affiliated Mutual Funds

      4,432,793        —        —  

Unaffiliated Fund

      604,575        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 21,051,906      $ 67,459,178      $   —  
  

 

 

     

 

 

     

 

 

  

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:

 

IT Services

      7.9 % 

Health Care Equipment & Supplies

      7.6  

Internet & Direct Marketing Retail

      7.0  

Software

      6.3  

Textiles, Apparel & Luxury Goods

      6.1  

Pharmaceuticals

      5.8  

Affiliated Mutual Funds (4.7% represents investments purchased with collateral from securities on loan)

      5.3  

Semiconductors & Semiconductor Equipment

      4.5  

Beverages

      4.3  

Professional Services

      4.1  

Capital Markets

      3.5  

Interactive Media & Services

      3.4  

Personal Products

      3.0  

Life Sciences Tools & Services

      2.8  

Machinery

      2.7  

Entertainment

      2.7  

Electronic Equipment, Instruments & Components

      2.6  

Building Products

      2.4  

Chemicals

      2.2  

Insurance

      2.1  

Trading Companies & Distributors

      2.0  

Banks

      1.9  

Automobiles

      1.7  

Oil, Gas & Consumable Fuels

      1.4  

Biotechnology

      1.1  

Aerospace & Defense

      0.9 % 

Diversified Consumer Services

      0.8  

Hotels, Restaurants & Leisure

      0.7  

Road & Rail

      0.7  

Unaffiliated Fund

      0.7  

Industrial Conglomerates

      0.6  

Household Products

      0.6  

Construction Materials

      0.6  

Electrical Equipment

      0.6  

Containers & Packaging

      0.5  

Commercial Services & Supplies

      0.5  

Electric Utilities

      0.5  

Food Products

      0.5  

Equity Real Estate Investment Trusts (REITs)

      0.5  

Auto Components

      0.5  

Air Freight & Logistics

      0.4  

Multiline Retail

      0.3  

Household Durables

      0.2  

Food & Staples Retailing

      0.1  

Energy Equipment & Services

      0.1  
  

 

 

  
     104.7  

Liabilities in excess of other assets

      (4.7 ) 
  

 

 

  
     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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4

 
   SP INTERNATIONAL GROWTH 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

      $ 3,866,428        $ (3,866,428 )     $   —  
    

 

 

       

 

 

     

 

 

  

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5

 
   SP INTERNATIONAL GROWTH PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS   

Investments at value, including securities on loan of $3,866,428:

   

Unaffiliated investments (cost $56,212,009)

    $ 84,078,291  

Affiliated investments (cost $4,426,844)

      4,432,793  

Foreign currency, at value (cost $63,390)

      64,367  

Cash

      1,157  

Tax reclaim receivable

      324,327  

Dividends receivable

      59,007  

Receivable for investments sold

      28,963  

Receivable from affiliate

      768  

Receivable for Portfolio shares sold

      450  

Prepaid expenses

      155  
  

 

 

  

Total Assets

      88,990,278  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      3,972,033  

Payable to affiliate

      155,930  

Accrued expenses and other liabilities

      100,318  

Payable for Portfolio shares repurchased

      88,567  

Payable for investments purchased

      51,367  

Management fee payable

      46,769  

Affiliated transfer agent fee payable

      926  

Distribution fee payable

      28  

Administration fee payable

      17  
  

 

 

  

Total Liabilities

      4,415,955  
  

 

 

  
NET ASSETS    $ 84,574,323  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 84,574,323  
  

 

 

  
Class I:   

Net asset value and redemption price per share, $84,433,564 / 8,785,250 outstanding shares of beneficial interest

    $ 9.61  
  

 

 

  
Class II:   

Net asset value and redemption price per share, $140,759 / 15,246 outstanding shares of beneficial interest

    $ 9.23  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net of $72,597 foreign withholding tax, of which $10,465 is reimbursable by an affiliate)

    $ 545,678  

Income from securities lending, net (including affiliated income of $4,807)

      5,838  

Affiliated dividend income

      5,813  
  

 

 

  

Total income

      557,329  
  

 

 

  
EXPENSES   

Management fee

      332,286  

Distribution fee—Class II

      161  

Administration fee—Class II

      97  

Custodian and accounting fees

      73,560  

Shareholders’ reports

      18,855  

Audit fee

      15,068  

Legal fees and expenses

      5,847  

Trustees’ fees

      5,361  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      13,457  
  

 

 

  

Total expenses

      470,004  

Less: Fee waivers and/or expense reimbursement

      (74,958 ) 
  

 

 

  

Net expenses

      395,046  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      162,283  
  

 

 

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

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $(3,474))

      1,370,271  

Foreign currency transactions

      (9,288 ) 
  

 

 

  
     1,360,983  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $5,638)

      1,137,285  

Foreign currencies

      2,830  
  

 

 

  
     1,140,115  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      2,501,098  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 2,663,381  
  

 

 

  
 

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)

    $ 162,283     $ 511,862  

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

      1,360,983       4,000,687  

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

      1,140,115       17,472,656  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      2,663,381       21,985,205  
  

 

 

    

 

 

  
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold

      2,118,957       2,564,427  

Portfolio shares repurchased

      (5,952,479 )      (9,145,577 ) 
  

 

 

    

 

 

  

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

      (3,833,522 )      (6,581,150 ) 
  

 

 

    

 

 

  
CAPITAL CONTRIBUTIONS      —       87,941  
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      (1,170,141 )      15,491,996  
NET ASSETS:     

Beginning of period

      85,744,464       70,252,468  
  

 

 

    

 

 

  

End of period

    $ 84,574,323     $ 85,744,464  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A6

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 (“Portfolios”). The information presented in these financial statements pertains to the SP International Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.

The investment objective of the Portfolio is long-term growth of capital.

 

1.   Accounting Policies

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

Securities Valuation:    The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the 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 Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time the 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

 

B1

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 Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

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

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Portfolio 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 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.

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 Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s 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.

Master Netting Arrangements:    The Series Fund, on behalf of the Portfolio, 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 the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting

 

B2

arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Lending:    The Portfolio lends its 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.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs):    The Portfolio 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. 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, the Portfolio is treated as a separate taxpaying entity. The 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

 

B3

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

 

2.   Agreements

The Series Fund, on behalf of the Portfolio, has entered into an investment management agreement with the Manager. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadviser’s performance of such services. The Manager has entered into separate subadvisory agreements with each of Jennison Associates LLC (“Jennison”), Neuberger Berman Investment Advisors, LLC and William Blair & Company LLC (collectively, the “subadvisers”), under which the subadvisers provide investment advisory services for the Portfolio. The Manager pays for the services of the subadvisers, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets of the Fund. The Manager has contractually agreed through June 30, 2021 to waive a portion of its management fee equal to an annual rate of 0.019% of the average daily net assets of the Portfolio. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.

The Manager has contractually agreed through June 30, 2021 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 1.01% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year. The effective management fee rate net of waivers and/or expense reimbursements was 0.66% for the reporting period ended June 30, 2020.

The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolio. 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 Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was $1,837.

PGIM Investments, PIMS 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 Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

 

B4

The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s 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 Fund 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.

The Portfolio 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 Securities Exchange Commission (“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 Portfolio.

In March 2019, the following Portfolio was reimbursed by the Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for the affected Portfolio is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the year ended December 31, 2019.

 

Portfolio

    Capital Contributions  

SP International Growth Portfolio

    $ 12  

b.) 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 Portfolio.

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 Portfolio’s “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Series Fund’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Series Fund’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status

 

B5

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 Portfolio relating to the opportunity loss upon the final review of the methodology used for the Portfolio’s rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payment for the Portfolio are disclosed in the Portfolio’s “Statements of Changes in NetAssets” 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 amount has been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolio’s status as a partnership for tax purposes.

 

Portfolio

    2020 Payments  

SP International Growth Portfolio

    $ 10,465  

The following amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as a partnership for tax purposes.

 

Portfolio

    2020 Payments  

SP International Growth Portfolio

    $ 1,545  

The following capital contributions, as described above, has 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 Portfolio’s status as a partnership for tax purposes.

 

Portfolio

    Capital Contributions  

SP International Growth Portfolio

    $ 87,929  

 

4.   Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were $17,785,004 and $20,532,783, respectively.

 

B6

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:

 

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*

  
  $1,090,611      $ 7,654,250      $ 8,291,458      $ —      $ —     $ 453,403        453,403      $ 5,813  
 

PGIM Institutional Money Market Fund*

  
  2,068,861        13,147,652        11,239,287        5,638        (3,474 )      3,979,390        3,979,390        4,807 ** 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  
  $3,159,472      $ 20,801,902      $ 19,530,745      $ 5,638      $ (3,474 )    $ 4,432,793         $ 10,620  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  

 

*

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.

 

5.   Tax Information

The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolio’s 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.

 

6.   Borrowings

The Series Fund, on behalf of the 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 Portfolio did not utilize the SCA during the reporting period ended June 30, 2020.

 

B7

7.   Capital and Ownership

The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio 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 Portfolio 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		  

SP International Growth Portfolio—Class I

      8,785,250        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		  

SP International Growth Portfolio

      3        95.1 %      —        — % 

Transactions in shares of beneficial interest were as follows:

 

Class I:

    Shares     Amount  

Six months ended June 30, 2020:

     

Portfolio shares sold

      241,699     $ 2,118,946  

Portfolio shares repurchased

      (682,707 )      (5,949,389 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (441,008 )    $ (3,830,443 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      315,282     $ 2,564,427  

Portfolio shares repurchased

      (1,100,350 )      (9,130,186 ) 

Capital contributions

      —       87,795  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (785,068 )    $ (6,477,964 ) 
  

 

 

    

 

 

  

Class II:

             

Six months ended June 30, 2020:

     

Portfolio shares sold

      1     $ 11  

Portfolio shares repurchased

      (370 )      (3,090 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (369 )    $ (3,079 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares repurchased

      (1,885 )    $ (15,391 ) 

Capital contributions

      —       146  
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (1,885 )    $ (15,245 ) 
  

 

 

    

 

 

  

 

8.   Risks of Investing in the Portfolio

The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.

Emerging Markets and Foreign Securities 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

 

B8

less fully developed, and can be expected to be less stable, than those of more developed countries. The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets.

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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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.

Geographic Concentration Risk:    The Portfolio’s performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Market and Credit Risk:    Securities markets may be volatile and the market prices of the Portfolio’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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.

 

B9

Financial Highlights

(Unaudited)

 

       SP International Growth 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

      $ 9.28     $ 7.01     $ 8.05     $ 5.92      $ 6.14     $ 5.94  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Income (Loss) From Investment Operations:

                

Net investment income (loss)

        0.02       0.05       0.07       0.05        0.05       0.03  

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

        0.31       2.21       (1.12 )      2.08        (0.28 )      0.17  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from investment operations

        0.33       2.26       (1.05 )      2.13        (0.23 )      0.20  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Capital Contributions

        —       0.01 (c)(d)      0.01 (d)      —        0.01 (e)      —  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net Asset Value, end of period

      $ 9.61     $ 9.28     $ 7.01     $ 8.05      $ 5.92     $ 6.14  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(f)

        3.56 %      32.38 %(g)      (12.92 )%(h)      35.98 %       (3.58 )%(i)      3.37 % 

Ratios/Supplemental Data:

                

Net assets, end of period (in millions)

      $ 84.4     $ 85.6     $ 70.1     $ 84.3      $ 63.9     $ 71.5  

Average net assets (in millions)

      $ 78.5     $ 79.6     $ 81.8     $ 75.1      $ 66.7     $ 76.2  

Ratios to average net assets(j):

                

Expenses after waivers and/or expense reimbursement

        1.01 %(k)      1.01 %      1.01 %      1.01 %       1.03 %      1.22 % 

Expenses before waivers and/or expense reimbursement

        1.20 %(k)      1.24 %      1.20 %      1.34 %       1.25 %      1.23 % 

Net investment income (loss)

        0.42 %(k)      0.64 %      0.83 %      0.67 %       0.80 %      0.51 % 

Portfolio turnover rate(l)

        23 %      26 %      37 %      45 %       57 %      48 % 

 

       SP International Growth 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

      $ 8.93     $ 6.77     $ 7.81     $ 5.76      $ 6.01     $ 5.83  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Income (Loss) From Investment Operations:

                

Net investment income (loss)

        — (b)      0.02       0.03       0.03        0.04       0.01  

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

        0.30       2.13       (1.08 )      2.02        (0.30 )      0.17  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from investment operations

        0.30       2.15       (1.05 )      2.05        (0.26 )      0.18  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Capital Contributions

        —       0.01 (c)(d)      0.01 (d)      —        0.01 (e)      —  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net Asset Value, end of period

      $ 9.23     $ 8.93     $ 6.77     $ 7.81      $ 5.76     $ 6.01  
    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Return(f)

        3.36 %      31.91 %(g)      (13.32 )%(h)      35.59 %       (4.16 )%(i)      3.09 % 

Ratios/Supplemental Data:

                

Net assets, end of period (in millions)

      $ 0.1     $ 0.1     $ 0.1     $ 0.1      $ 0.3     $ 6.1  

Average net assets (in millions)

      $ 0.1     $ 0.1     $ 0.1     $ 0.3      $ 4.3     $ 6.8  

Ratios to average net assets(j):

                

Expenses after waivers and/or expense reimbursement

        1.41 %(k)      1.41 %      1.41 %      1.41 %       1.43 %      1.62 % 

Expenses before waivers and/or expense reimbursement

        1.60 %(k)      1.64 %      1.60 %      1.72 %       1.65 %      1.63 % 

Net investment income (loss)

        0.02 %(k)      0.24 %      0.44 %      0.39 %       0.61 %      0.13 % 

Portfolio turnover rate(l)

        23 %      26 %      37 %      45 %       57 %      48 % 

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Less than $0.005 per share.

 

(c)

Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error.

 

(d)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

 

(e)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(f)

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.

(g)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 32.24% and 31.76% for Class I and Class II, respectively.

 

(h)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (13.04)% and (13.45)% for Class I and Class II, respectively.

 

(i)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (3.74)% and (4.33)% for Class I and Class II, respectively.

 

(j)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(k)

Annualized.

 

(l)

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.

 

C1

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”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The 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 Portfolio’s investment manager, to serve as the administrator of the 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.

The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the 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 the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the 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 the Portfolio’s investment strategies continue to be appropriate given the 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 the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2

Approval of Advisory Agreements

Renewal of Management and Subadvisory Agreements: SP International Growth Portfolio

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) 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 the SP International Growth Portfolio’s (the Portfolio’s) subadvisory agreements. 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, the Portfolio and the 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 the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the 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, the Portfolio and the 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 the 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 Jennison Associates LLC (Jennison), which serves as a subadviser to the Portfolio, is 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 Portfolio’s 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 the 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 Portfolio by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affiliate 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 Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio 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 Portfolio / Fees and Expenses / Other Factors

With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio 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 the 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 the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for the 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 the 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 the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio 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 the 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.

 

SP International Growth Portfolio

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   1st Quartile    1st Quartile    1st Quartile    1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 3rd Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

•  

The Board noted that the Manager had contractually agreed to waive 0.019% of its management fee through June 30, 2021.

 

•  

The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 1.01% of the Portfolio’s average daily net assets through June 30, 2021.

 

•  

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, the Portfolio and its beneficial shareholders.

The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

 

 

 

 

 

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

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The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

 

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Prudential


 

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

©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.

PSF-SAR-SP INTL GROWTH

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The Prudential Series Fund

 

 

SEMIANNUAL REPORT    June 30, 2020

 

 

LOGO

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

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

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. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

SP Prudential U.S. Emerging Growth Portfolio

 

 

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The Prudential Series Fund

 

Table of Contents

   Semiannual Report   June 30, 2020

 

  ∎  

LETTER TO CONTRACT OWNERS

 

  ∎  

PRESENTATION OF PORTFOLIO HOLDINGS

 

  ∎  

FEES AND EXPENSES

 

  ∎  

FINANCIAL REPORTS

 

Section A   Schedule of investments and Financial Statements
Section B   Notes to Financial Statements   
Section C   Financial Highlights   

 

  ∎  

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

 

Letter to Contract Owners

   Semiannual Report   June 30, 2020

 

∎  

DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Prudential Series Fund 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,

 

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2020

The Prudential Series Fund

 

Presentation of Portfolio Holdings — unaudited

   June 30, 2020

 

SP Prudential U.S. Emerging Growth Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets ) 
O’Reilly Automotive, Inc.   Specialty Retail     2.4%  
Splunk, Inc.   Software     2.0%  
Tractor Supply Co.   Specialty Retail     1.9%  
Spotify Technology SA   Entertainment     1.9%  
Synopsys, Inc.   Software     1.8%  
Trade Desk, Inc. (The) (Class A Stock)   Software     1.8%  
ResMed, Inc.   Health Care Equipment & Supplies     1.7%  
Lululemon Athletica, Inc.   Textiles, Apparel & Luxury Goods     1.5%  
Teladoc Health, Inc.   Health Care Technology     1.4%  
Ball Corp.   Containers & Packaging     1.4%  

 

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

The Prudential Series Fund

 

Fees and Expenses — unaudited

   June 30, 2020

 

As a contract owner investing in the Portfolio 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 fees and charges were included, your costs would have been higher.

 

The Prudential Series Fund Portfolio      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*		  
SP Prudential US Emerging Growth (Class I)    Actual      $ 1,000.00        $ 1,115.60          0.68 %     $ 3.58  
   Hypothetical      $ 1,000.00        $ 1,021.48          0.68 %     $ 3.42  
SP Prudential US Emerging Growth (Class II)    Actual      $ 1,000.00        $ 1,113.30          1.08 %     $ 5.67  
   Hypothetical      $ 1,000.00        $ 1,019.49          1.08 %     $ 5.42  

* 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.

 
   SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

LONG-TERM INVESTMENTS — 99.2%  
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 0.7%

      

HEICO Corp. (Class A Stock)

      25,283      $ 2,053,991  
     

 

 

  

Automobiles — 1.4%

      

Tesla, Inc.*(a)

      1,823        1,968,494  

Thor Industries, Inc.(a)

      21,619        2,303,072  
     

 

 

  
        4,271,566  
     

 

 

  

Banks — 1.0%

      

East West Bancorp, Inc.

      23,232        841,928  

First Republic Bank

      21,062        2,232,361  
     

 

 

  
        3,074,289  
     

 

 

  

Biotechnology — 5.3%

      

Agios Pharmaceuticals, Inc.*

      28,882        1,544,610  

Alnylam Pharmaceuticals, Inc.*

      20,723        3,069,284  

BioMarin Pharmaceutical, Inc.*(a)

      12,451        1,535,706  

Exact Sciences Corp.*(a)

      35,331        3,071,677  

Exelixis, Inc.*

      94,568        2,245,044  

Intercept Pharmaceuticals, Inc.*(a)

      9,491        454,714  

Neurocrine Biosciences, Inc.*

      18,604        2,269,688  

Seattle Genetics, Inc.*

      9,009        1,530,809  
     

 

 

  
        15,721,532  
     

 

 

  

Building Products — 2.6%

      

AZEK Co., Inc. (The)*

      34,491        1,098,883  

Fortune Brands Home & Security, Inc.(a)

      34,981        2,236,335  

Trane Technologies PLC(a)

      23,724        2,110,962  

Trex Co., Inc.*(a)

      17,654        2,296,256  
     

 

 

  
        7,742,436  
     

 

 

  

Capital Markets — 5.0%

      

Blackstone Group, Inc. (The) (Class A Stock)(a)

      20,739        1,175,072  

Charles Schwab Corp. (The)

      40,004        1,349,735  

Evercore, Inc. (Class A Stock)

      19,900        1,172,508  

MarketAxess Holdings, Inc.

      6,691        3,351,656  

MSCI, Inc.

      10,289        3,434,674  

Nasdaq, Inc.

      14,527        1,735,540  

S&P Global, Inc.

      4,971        1,637,845  

TD Ameritrade Holding Corp.

      28,093        1,022,023  
     

 

 

  
        14,879,053  
     

 

 

  

Commercial Services & Supplies — 2.1%

      

Copart, Inc.*

      41,198        3,430,557  

Waste Connections, Inc.

      29,064        2,725,913  
     

 

 

  
        6,156,470  
     

 

 

  

Communications Equipment — 0.8%

      

Arista Networks, Inc.*(a)

      10,930        2,295,628  
     

 

 

  

Containers & Packaging — 2.0%

      

Avery Dennison Corp.

      16,711        1,906,558  

Ball Corp.

      58,342        4,054,186  
     

 

 

  
        5,960,744  
     

 

 

  

Electrical Equipment — 2.0%

      

AMETEK, Inc.

      26,994        2,412,454  
COMMON STOCKS
(continued)		    Shares      Value  

Electrical Equipment (cont’d.)

 

Generac Holdings, Inc.*

      28,043      $ 3,419,283  
     

 

 

  
        5,831,737  
     

 

 

  

Electronic Equipment, Instruments & Components — 3.6%

      

Amphenol Corp. (Class A Stock)

      35,720        3,422,333  

Keysight Technologies, Inc.*

      35,013        3,528,610  

Zebra Technologies Corp. (Class A Stock)*

      14,871        3,806,233  
     

 

 

  
        10,757,176  
     

 

 

  

Entertainment — 3.1%

      

Spotify Technology SA*(a)

      22,293        5,755,830  

Take-Two Interactive Software, Inc.*

      24,364        3,400,483  
     

 

 

  
        9,156,313  
     

 

 

  

Health Care Equipment & Supplies — 4.0%

      

Cooper Cos., Inc. (The)

      5,749        1,630,646  

DexCom, Inc.*

      5,787        2,346,050  

Insulet Corp.*

      14,430        2,803,172  

ResMed, Inc.

      26,757        5,137,344  
     

 

 

  
        11,917,212  
     

 

 

  

Health Care Providers & Services — 2.8%

      

Acadia Healthcare Co., Inc.*(a)

      34,337        862,545  

Amedisys, Inc.*

      9,891        1,963,759  

Centene Corp.*

      30,259        1,922,960  

McKesson Corp.

      23,374        3,586,039  
     

 

 

  
        8,335,303  
     

 

 

  

Health Care Technology — 2.7%

      

Teladoc Health, Inc.*(a)

      21,402        4,084,358  

Veeva Systems, Inc. (Class A Stock)*(a)

      17,133        4,016,318  
     

 

 

  
        8,100,676  
     

 

 

  

Hotels, Restaurants & Leisure — 1.9%

      

Chipotle Mexican Grill, Inc.*

      3,829        4,029,486  

Las Vegas Sands Corp.

      37,046        1,687,075  
     

 

 

  
        5,716,561  
     

 

 

  

Household Durables — 2.4%

      

Garmin Ltd.

      37,882        3,693,495  

Helen of Troy Ltd.*(a)

      8,105        1,528,279  

NVR, Inc.*

      602        1,961,767  
     

 

 

  
        7,183,541  
     

 

 

  

Industrial Conglomerates — 0.7%

      

Carlisle Cos., Inc.

      17,071        2,042,887  
     

 

 

  

Insurance — 1.1%

      

Progressive Corp. (The)

      29,027        2,325,353  

Selectquote, Inc.*(a)

      39,284        995,064  
     

 

 

  
        3,320,417  
     

 

 

  

Interactive Media & Services — 1.0%

      

Match Group, Inc.*(a)

      27,989        2,996,222  
     

 

 

  

Internet & Direct Marketing Retail — 0.7%

      

Booking Holdings, Inc.*

      1,350        2,149,659  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1

 
   SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

IT Services — 6.2%

 

Booz Allen Hamilton Holding Corp.

      51,761      $ 4,026,488  

FleetCor Technologies, Inc.*

      11,719        2,947,680  

Global Payments, Inc.

      18,760        3,182,071  

MongoDB, Inc.*(a)

      11,929        2,700,010  

Okta, Inc.*

      18,862        3,776,738  

Square, Inc. (Class A Stock)*

      15,990        1,677,991  
     

 

 

  
        18,310,978  
     

 

 

  

Leisure Products — 0.6%

      

Brunswick Corp.

      26,515        1,697,225  
     

 

 

  

Life Sciences Tools & Services — 1.5%

      

Illumina, Inc.*

      4,043        1,497,325  

Mettler-Toledo International, Inc.*

      3,759        3,028,062  
     

 

 

  
        4,525,387  
     

 

 

  

Machinery — 3.1%

      

Ingersoll Rand, Inc.*

      54,957        1,545,391  

ITT, Inc.

      30,737        1,805,491  

Nordson Corp.

      15,592        2,957,958  

Stanley Black & Decker, Inc.

      21,331        2,973,115  
     

 

 

  
        9,281,955  
     

 

 

  

Media — 0.8%

      

New York Times Co. (The) (Class A
Stock)(a)

      58,275        2,449,298  
     

 

 

  

Pharmaceuticals — 3.2%

      

Catalent, Inc.*

      32,464        2,379,611  

Horizon Therapeutics PLC*

      51,708        2,873,931  

Jazz Pharmaceuticals PLC*

      18,527        2,044,269  

Royalty Pharma PLC (Class A Stock)*

      43,146        2,094,738  
     

 

 

  
        9,392,549  
     

 

 

  

Professional Services — 4.3%

      

CoStar Group, Inc.*

      4,679        3,325,225  

Equifax, Inc.

      18,249        3,136,638  

FTI Consulting, Inc.*

      23,960        2,744,618  

IHS Markit Ltd

      49,513        3,738,232  
     

 

 

  
        12,944,713  
     

 

 

  

Real Estate Management & Development — 0.5%

      

CBRE Group, Inc. (Class A Stock)*(a)

      31,072        1,405,076  
     

 

 

  

Road & Rail — 1.6%

      

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

      38,418        1,268,178  

Old Dominion Freight Line, Inc.

      19,978        3,388,069  
     

 

 

  
        4,656,247  
     

 

 

  

Semiconductors & Semiconductor Equipment — 7.4%

      

Advanced Micro Devices, Inc.*

      50,164        2,639,128  

Cree, Inc.*(a)

      14,920        883,115  

Enphase Energy, Inc.*(a)

      67,918        3,230,859  

Entegris, Inc.(a)

      46,587        2,750,962  

KLA Corp.

      18,066        3,513,476  

Lam Research Corp.

      6,701        2,167,506  

Microchip Technology, Inc.(a)

      31,711        3,339,485  

Xilinx, Inc.

      36,686        3,609,536  
     

 

 

  
        22,134,067  
     

 

 

  
COMMON STOCKS
(continued)		    Shares      Value  

Software — 13.7%

 

Cadence Design Systems, Inc.*

      42,070      $ 4,037,037  

Coupa Software, Inc.*(a)

      7,497        2,076,969  

Crowdstrike Holdings, Inc. (Class A Stock)*

      33,142        3,323,811  

HubSpot, Inc.*

      10,676        2,395,161  

Intuit, Inc.

      6,024        1,784,248  

Medallia, Inc.*(a)

      31,474        794,404  

RingCentral, Inc. (Class A Stock)*

      13,957        3,977,884  

ServiceNow, Inc.*

      3,946        1,598,367  

Slack Technologies, Inc. (Class A Stock)*(a)

      44,264        1,376,168  

Splunk, Inc.*

      30,148        5,990,408  

Synopsys, Inc.*

      27,016        5,268,120  

Trade Desk, Inc. (The) (Class A
Stock)*(a)

      12,908        5,247,102  

Zscaler, Inc.*(a)

      25,020        2,739,690  
     

 

 

  
        40,609,369  
     

 

 

  

Specialty Retail — 7.9%

      

Burlington Stores, Inc.*

      12,338        2,429,722  

CarMax, Inc.*(a)

      27,473        2,460,207  

National Vision Holdings, Inc.*(a)

      53,058        1,619,330  

O’Reilly Automotive, Inc.*

      16,802        7,084,900  

Ross Stores, Inc.

      21,045        1,793,876  

Tractor Supply Co.

      43,780        5,769,766  

Ulta Beauty, Inc.*

      11,117        2,261,420  
     

 

 

  
        23,419,221  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.5%

 

Lululemon Athletica, Inc.*

      14,511        4,527,577  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $218,109,869)

 

      295,017,075  
     

 

 

  
SHORT-TERM INVESTMENTS — 16.3%

 

AFFILIATED MUTUAL FUNDS

      

PGIM Core Ultra Short Bond Fund(w)

      2,996,779        2,996,779  

PGIM Institutional Money Market Fund
(cost $45,194,061; includes $45,170,133 of cash collateral for securities on loan)(b)(w)

      45,300,307        45,300,307  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $48,190,840)

 

      48,297,086  
     

 

 

  

TOTAL INVESTMENTS—115.5%
(cost $266,300,709)

 

      343,314,161  

Liabilities in excess of other assets — (15.5)%

 

      (46,052,624 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 297,261,537  
     

 

 

  

Below is a list of the abbreviation(s) used in the semiannual report:

 

LIBOR   —   London Interbank Offered Rate
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2

 
   SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

*

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 $44,864,252; cash collateral of $45,170,133 (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

         

Aerospace & Defense

    $ 2,053,991      $ —      $ —  

Automobiles

      4,271,566        —        —  

Banks

      3,074,289        —        —  

Biotechnology

      15,721,532        —        —  

Building Products

      7,742,436        —        —  

Capital Markets

      14,879,053        —        —  

Commercial Services & Supplies

      6,156,470        —        —  

Communications Equipment

      2,295,628        —        —  

Containers & Packaging

      5,960,744        —        —  

Electrical Equipment

      5,831,737        —        —  

Electronic Equipment, Instruments & Components

      10,757,176        —        —  

Entertainment

      9,156,313        —        —  

Health Care Equipment & Supplies

      11,917,212        —        —  

Health Care Providers & Services

      8,335,303        —        —  

Health Care Technology

      8,100,676        —        —  

Hotels, Restaurants & Leisure

      5,716,561        —        —  

Household Durables

      7,183,541        —        —  

Industrial Conglomerates

      2,042,887        —        —  

Insurance

      3,320,417        —        —  

Interactive Media & Services

      2,996,222        —        —  

Internet & Direct Marketing Retail

      2,149,659        —        —  

IT Services

      18,310,978        —        —  

Leisure Products

      1,697,225        —        —  

Life Sciences Tools & Services

      4,525,387        —        —  

Machinery

      9,281,955        —        —  

Media

      2,449,298        —        —  

Pharmaceuticals

      9,392,549        —        —  

Professional Services

      12,944,713        —        —  

Real Estate Management & Development

      1,405,076        —        —  

Road & Rail

      4,656,247        —        —  

Semiconductors & Semiconductor Equipment

      22,134,067        —        —  

Software

      40,609,369        —        —  

Specialty Retail

      23,419,221        —        —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3

 
   SP PRUDENTIAL U.S. EMERGING GROWTH 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)

         

Textiles, Apparel & Luxury Goods

    $ 4,527,577      $ —      $ —  

Affiliated Mutual Funds

      48,297,086        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 343,314,161      $ —      $ —  
  

 

 

     

 

 

     

 

 

  

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 (15.2% represents investments purchased with collateral from securities on loan)

      16.3 % 

Software

      13.7  

Specialty Retail

      7.9  

Semiconductors & Semiconductor Equipment

      7.4  

IT Services

      6.2  

Biotechnology

      5.3  

Capital Markets

      5.0  

Professional Services

      4.3  

Health Care Equipment & Supplies

      4.0  

Electronic Equipment, Instruments & Components

      3.6  

Pharmaceuticals

      3.2  

Machinery

      3.1  

Entertainment

      3.1  

Health Care Providers & Services

      2.8  

Health Care Technology

      2.7  

Building Products

      2.6  

Household Durables

      2.4  

Commercial Services & Supplies

      2.1  

Containers & Packaging

      2.0  

Electrical Equipment

      2.0  

Hotels, Restaurants & Leisure

      1.9 % 

Road & Rail

      1.6  

Textiles, Apparel & Luxury Goods

      1.5  

Life Sciences Tools & Services

      1.5  

Automobiles

      1.4  

Insurance

      1.1  

Banks

      1.0  

Interactive Media & Services

      1.0  

Media

      0.8  

Communications Equipment

      0.8  

Internet & Direct Marketing Retail

      0.7  

Aerospace & Defense

      0.7  

Industrial Conglomerates

      0.7  

Leisure Products

      0.6  

Real Estate Management & Development

      0.5  
  

 

 

  
     115.5  

Liabilities in excess of other assets

      (15.5 ) 
  

 

 

  
     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

      $ 44,864,252        $ (44,864,252 )     $   —  
    

 

 

       

 

 

     

 

 

  

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4

 
   SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

 

ASSETS   

Investments at value, including securities on loan of $44,864,252:

   

Unaffiliated investments (cost $218,109,869)

    $ 295,017,075  

Affiliated investments (cost $48,190,840)

      48,297,086  

Cash

      42,812  

Dividends receivable

      71,424  

Tax reclaim receivable

      13,879  

Prepaid expenses

      304  
  

 

 

  

Total Assets

      343,442,580  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      45,170,133  

Payable for investments purchased

      485,321  

Payable for Portfolio shares repurchased

      193,669  

Accrued expenses and other liabilities

      176,961  

Management fee payable

      144,652  

Payable to affiliate

      9,253  

Affiliated transfer agent fee payable

      926  

Distribution fee payable

      80  

Administration fee payable

      48  
  

 

 

  

Total Liabilities

      46,181,043  
  

 

 

  
NET ASSETS    $ 297,261,537  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 297,261,537  
  

 

 

  
Class I:   

Net asset value and redemption price per share, $296,881,200 / 14,176,861 outstanding shares of beneficial interest

    $ 20.94  
  

 

 

  
Class II:   

Net asset value and redemption price per share, $380,337 / 19,441 outstanding shares of beneficial interest

    $ 19.56  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS) INCOME   

Unaffiliated dividend income (net of $2,049 foreign withholding tax)

    $ 773,426  

Income from securities lending, net (including affiliated income of $79,623)

      99,248  

Affiliated dividend income

      29,328  
  

 

 

  

Total income

      902,002  
  

 

 

  
EXPENSES   

Management fee

      808,480  

Distribution fee—Class II

      492  

Administration fee—Class II

      295  

Shareholders’ reports

      43,229  

Custodian and accounting fees

      31,204  

Audit fee

      13,774  

Trustees’ fees

      6,180  

Legal fees and expenses.

      6,124  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      8,539  
  

 

 

  

Total expenses

      923,629  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      (21,627 ) 
  

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS   

Net realized gain (loss) on investment transactions (including affiliated of $(63,953))

      23,841,610  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $102,222)

      7,127,438  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      30,969,048  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 30,947,421  
  

 

 

  
 

STATEMENTS OF CHANGES IN NET ASSETS (unaudited)

 

     Six Months Ended     Year Ended  
     June 30, 2020     December 31, 2019  
INCREASE (DECREASE) IN NET ASSETS     
OPERATIONS     

Net investment income (loss)

    $ (21,627 )    $ (20,214 ) 

Net realized gain (loss) on investment transactions

      23,841,610       49,633,228  

Net change in unrealized appreciation (depreciation) on investments

      7,127,438       29,910,391  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      30,947,421       79,523,405  
  

 

 

    

 

 

  
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold

      7,636,092       9,574,970  

Portfolio shares repurchased

      (21,572,137 )      (24,181,462 ) 
  

 

 

    

 

 

  

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

      (13,936,045 )      (14,606,492 ) 
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      17,011,376       64,916,913  
NET ASSETS:     

Beginning of period

      280,250,161       215,333,248  
  

 

 

    

 

 

  

End of period

    $ 297,261,537     $ 280,250,161  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5

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 (“Portfolios”). The information presented in these financial statements pertains to the SP Prudential U.S. Emerging Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.

The investment objective of the Portfolio is long-term capital appreciation.

 

1.   Accounting Policies

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

Securities Valuation:    The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the 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 Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 - Fair Value Measurements and Disclosures.

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.

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 Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s

 

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financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.

Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Portfolio 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 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.

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 Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.

Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, 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 the Portfolio. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Lending: The Portfolio lends its 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.

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

 

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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. 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, the Portfolio is treated as a separate taxpaying entity. The 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

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

 

2.   Agreements

The Series Fund, on behalf of the Portfolio, has entered into an investment management agreement with the Manager. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadviser’s performance of such services. The Manager has entered into a subadvisory agreement with J.P. Morgan Investment Management, Inc. (“J.P. Morgan”) (the “subadviser”), under which J.P. Morgan provides investment advisory services for the Portfolio. The Manager pays for the services of the subadviser, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.60% of the Portfolio’s average daily net assets of the Fund. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.

The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolio. 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 Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was $1,669.

PGIM Investments and PIMS are indirect, wholly-owned subsidiaries of Prudential.

 

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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 Portfolio. 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 Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s 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 Fund 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.

The Portfolio 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 Securities Exchange Commission (“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 Portfolio.

 

  b.)   Foreign Withholding Tax Reclaim Matters

As a result of the Portfolio’s tax status as a partnership, instead of a regulated investment company (RIC), the Portfolio is subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and is subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”).

Prudential has instituted a process to reimburse the Portfolio 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 Portfolio’s partnership tax status.

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the Portfolio has the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid the Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by the Portfolio from a foreign tax authority for reclaims for which the 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 Portfolio 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 the Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolio does 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 amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as a partnership for tax purposes.

 

Portfolio

    2020 Payments

SP Prudential U.S. Emerging Growth Portfolio

    $1,366

 

4.   Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were $105,762,245

 

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and $119,683,138, respectively.

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:

 

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*

                
$ 2,356,856      $ 44,357,429      $ 43,717,506      $ —      $ —     $ 2,996,779        2,996,779      $ 29,328  
 

PGIM Institutional Money Market Fund*

                
  38,479,925        191,237,604        184,455,491        102,222        (63,953 )      45,300,307        45,300,307        79,623 ** 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  
$ 40,836,781      $ 235,595,033      $ 228,172,997      $ 102,222      $ (63,953 )    $ 48,297,086         $ 108,951  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  

 

  *

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.

 

5.   Tax Information

The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolio’s 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.

 

6.   Borrowings

The Series Fund, on behalf of the 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.

 

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The Portfolio utilized the SCA during the reporting period ended June 30, 2020. The average daily balance for the 2 days that the Portfolio had loans outstanding during the period was approximately $273,000, borrowed at a weighted average interest rate of 2.87%. The maximum loan outstanding amount during the period was $416,000. At June 30, 2020, the Portfolio did not have an outstanding loan amount.

 

7.   Capital and Ownership

The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio 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 Portfolio 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		  

SP Prudential U.S. Emerging Growth Portfolio - Class I

    14,176,861      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		  

SP Prudential U.S. Emerging Growth Portfolio

   2     99.4 %      —       — % 

Transactions in shares of beneficial interest were as follows:

 

Class I:

    Shares     Amount  

Six months ended June 30, 2020:

     

Portfolio shares sold

      423,192     $ 7,636,092  

Portfolio shares repurchased

      (1,151,820 )      (21,437,442 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (728,628 )    $ (13,801,350 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      561,212     $ 9,543,598  

Portfolio shares repurchased

      (1,420,719 )      (23,926,134 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (859,507 )    $ (14,382,536 ) 
  

 

 

    

 

 

  

Class II:

             

Six months ended June 30, 2020:

     

Portfolio shares repurchased

      (7,430 )    $ (134,695 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (7,430 )    $ (134,695 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      1,978     $ 31,372  

Portfolio shares repurchased

      (16,204 )      (255,328 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (14,226 )    $ (223,956 ) 
  

 

 

    

 

 

  

 

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8.   Risks of Investing in the Portfolio

The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Portfolio’s risks, please refer to the Portfolio’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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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.

Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolio’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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.

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.

 

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Financial Highlights

(unaudited)

 

SP Prudential U.S. Emerging Growth Portfolio—Class I

                                     
     Six Months Ended     Year Ended December 31,  
     June 30, 2020     2019     2018     2017     2016     2015  
Per Share Operating Performance(a):             

Net Asset Value, beginning of period

    $ 18.77     $ 13.63     $ 14.79     $ 12.08     $ 11.58     $ 11.86  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
Income (Loss) From Investment Operations:             

Net investment income (loss)

      (— )(b)      (— )(b)      0.02       0.02       0.01       — (c) 

Net realized and unrealized gain (loss) on investment transactions

      2.17       5.14       (1.18 )      2.69       0.47       (0.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      2.17       5.14       (1.16 )      2.71       0.48       (0.28 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Capital Contributions

      —       —       — (c)(d)      —       0.02 (e)      —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $ 20.94     $ 18.77     $ 13.63     $ 14.79     $ 12.08     $ 11.58  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(f)

      11.56 %      37.71 %      (7.84 )%(g)      22.43 %      4.32 %(h)      (2.36 )% 
Ratios/Supplemental Data:             

Net assets, end of period (in millions)

    $ 296.9     $ 279.8     $ 214.8     $ 249.8     $ 217.7     $ 223.3  

Average net assets (in millions)

    $ 270.6     $ 257.0     $ 248.2     $ 235.7     $ 215.0     $ 244.7  

Ratios to average net assets(i):

             

Expenses after waivers and/or expense reimbursement

      0.68 %(j)      0.70 %      0.68 %      0.71 %      0.69 %      0.67 % 

Expenses before waivers and/or expense reimbursement

      0.68 %(j)      0.70 %      0.68 %      0.71 %      0.69 %      0.67 % 

Net investment income (loss)

      (0.02 )%(j)      (0.01 )%      0.15 %      0.18 %      0.10 %      (0.01 )% 

Portfolio turnover rate(k)

      39 %      106 %      43 %      39 %      35 %      34 % 

SP Prudential U.S. Emerging Growth Portfolio—Class II

                                     
     Six Months Ended     Year Ended December 31,  
     June 30, 2020     2019     2018     2017     2016     2015  
Per Share Operating Performance(a):             

Net Asset Value, beginning of period

    $ 17.57     $ 12.81     $ 13.95     $ 11.44     $ 11.02     $ 11.33  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
Income (Loss) From Investment Operations:             

Net investment income (loss)

      (0.04 )      (0.06 )      (0.03 )      (0.03 )      (0.03 )      (0.05 ) 

Net realized and unrealized gain (loss) on investment transactions

      2.03       4.82       (1.11 )      2.54       0.43       (0.26 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      1.99       4.76       (1.14 )      2.51       0.40       (0.31 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Capital Contributions

      —       —       — (c)(d)      —       0.02 (e)      —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $  19.56     $  17.57     $  12.81     $  13.95     $  11.44     $  11.02  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(f)

      11.33 %      37.16 %      (8.17 )%(g)      21.94 %      3.81 %(h)      (2.74 )% 
Ratios/Supplemental Data:             

Net assets, end of period (in millions)

    $ 0.4     $ 0.5     $ 0.5     $ 0.6     $ 0.8     $ 0.8  

Average net assets (in millions)

    $ 0.4     $ 0.6     $ 0.6     $ 0.8     $ 0.8     $ 1.0  

Ratios to average net assets(i):

             

Expenses after waivers and/or expense reimbursement

      1.08 %(j)      1.10 %      1.08 %      1.10 %      1.09 %      1.07 % 

Expenses before waivers and/or expense reimbursement

      1.08 %(j)      1.10 %      1.08 %      1.10 %      1.09 %      1.07 % 

Net investment income (loss)

      (0.42 )%(j)      (0.40 )%      (0.24 )%      (0.22 )%      (0.30 )%      (0.40 )% 

Portfolio turnover rate(k)

      39 %      106 %      43 %      39 %      35 %      34 % 

 

(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)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

 

(e)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(f)

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.

 

(g)

Total return for the year includes the impact of the capital contribution, which was not material to the total return.

 

(h)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.15% and 3.63% for Class I and Class II, respectively.

 

(i)

Does not include expenses of the investment companies in which the Portfolio invests.

 

(j)

Annualized.

 

(k)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1

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”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The 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 Portfolio’s investment manager, to serve as the administrator of the 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.

The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the 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 the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the 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 the Portfolio’s investment strategies continue to be appropriate given the 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 the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2

Approval of Advisory Agreements

Renewal of Management and Subadvisory Agreements: SP Prudential U.S. Emerging Growth

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) 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 the SP Prudential U.S. Emerging Growth Portfolio’s (the Portfolio’s) subadvisory agreement with J.P. Morgan Investment Management, Inc. (JPMorgan or the subadviser). 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, the Portfolio and the 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 the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the 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 the subadviser which serves as subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, the Portfolio and the 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 the 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 the Subadviser. 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 Portfolio’s 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 the 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 subadviser, to renew the subadvisory agreement.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the 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 the 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 Portfolio by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. 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 Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio 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 Subadviser

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, 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 subadviser, 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 subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolio / Fees and Expenses / Other Factors

With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio 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 the 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 the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for the 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 the 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 the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio 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 the 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.

 

SP Prudential U.S. Emerging Growth Portfolio

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   2nd Quartile    4th Quartile    4th Quartile    4th Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over the one-year period, though it underperformed its benchmark index over all other periods.

 

•  

The Board noted that in January 2019 the Portfolio appointed a new subadviser to replace the Portfolio’s prior subadviser, and that as a result, the Portfolio’s performance prior to January 2019 was not attributable to the Portfolio’s current subadviser and that the current subadviser should be afforded more time to have a meaningful influence on the Portfolio’s track record.

 

•  

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 management agreement, and that the management 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, the Portfolio and its beneficial shareholders.

The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

 

 

 

 

 

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

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The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

 

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Prudential


 

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

©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.

PSF-SAR-SP US EM GROWTH

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The Prudential Series Fund

 

 

SEMIANNUAL REPORT    June 30, 2020

 

 

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

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

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. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

SP Small Cap Value Portfolio

 

 

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The Prudential Series Fund

 

Table of Contents

   Semiannual Report   June 30, 2020

 

  ∎  

LETTER TO CONTRACT OWNERS

 

  ∎  

PRESENTATION OF PORTFOLIO HOLDINGS

 

  ∎  

FEES AND EXPENSES

 

  ∎  

FINANCIAL REPORTS

 

Section A   Schedule of Investments and Financial Statements
Section B   Notes to Financial Statements   
Section C   Financial Highlights   

 

  ∎  

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

 

Letter to Contract Owners

   Semiannual Report   June 30, 2020

 

∎  

DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Prudential Series Fund 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,

 

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2020

The Prudential Series Fund

 

Presentation of Portfolio Holdings — unaudited

   June 30, 2020

 

SP Small Cap Value Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets ) 
iShares Russell 2000 Value ETF   Exchange-Traded Fund     1.7%  
STAG Industrial, Inc.   Equity Real Estate Investment Trusts (REITs)     1.2%  
Rexnord Corp.   Machinery     1.0%  
ONE Gas, Inc.   Gas Utilities     1.0%  
Meritage Homes Corp.   Household Durables     1.0%  
Darling Ingredients, Inc.   Food Products     1.0%  
Portland General Electric Co.   Electric Utilities     1.0%  
KBR, Inc.   IT Services     1.0%  
Terreno Realty Corp.   Equity Real Estate Investment Trusts (REITs)     0.9%  
Stifel Financial Corp.   Capital Markets     0.9%  

 

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

The Prudential Series Fund

 

Fees and Expenses — unaudited

   June 30, 2020

 

As a contract owner investing in the Portfolio 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 fees and charges were included, your costs would have been higher.

 

The Prudential Series Fund Portfolio     

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*		  
SP Small Cap Value (Class I)    Actual      $ 1,000.00        $ 753.10          1.02 %     $ 4.45  
   Hypothetical      $ 1,000.00        $ 1,019.79          1.02 %     $ 5.12  

* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (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.

     
     SP SMALL CAP VALUE PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

LONG-TERM INVESTMENTS — 98.7%         
COMMON STOCKS — 97.0%    Shares      Value  

Aerospace & Defense — 1.0%

      

AAR Corp.

      17,243      $ 356,413  

Aerojet Rocketdyne Holdings, Inc.*

      13,293        526,935  

Curtiss-Wright Corp.

      4,980        444,614  

Ducommun, Inc.*

      11,528        401,981  
     

 

 

  
        1,729,943  
     

 

 

  

Air Freight & Logistics — 0.5%

      

Air Transport Services Group, Inc.*

      15,761        350,998  

Hub Group, Inc. (Class A Stock)*

      10,027        479,892  
     

 

 

  
        830,890  
     

 

 

  

Airlines — 0.6%

      

Allegiant Travel Co.

      3,446        376,338  

SkyWest, Inc.

      17,647        575,645  
     

 

 

  
        951,983  
     

 

 

  

Auto Components — 1.0%

      

Adient PLC*

      58,522        960,931  

American Axle & Manufacturing Holdings, Inc.*

      26,684        202,798  

Cooper Tire & Rubber Co.

      6,598        182,171  

Visteon Corp.*

      4,924        337,294  
     

 

 

  
        1,683,194  
     

 

 

  

Banks — 16.3%

      

Amalgamated Bank (Class A Stock)

      15,045        190,169  

Ameris Bancorp.

      46,975        1,108,140  

Atlantic Union Bankshares Corp.

      44,296        1,025,895  

BancorpSouth Bank

      51,644        1,174,385  

Bank of Hawaii Corp.

      4,338        266,397  

Banner Corp.

      30,527        1,160,026  

Brookline Bancorp, Inc.

      57,253        577,110  

Bryn Mawr Bank Corp.

      10,065        278,398  

Columbia Banking System, Inc.

      50,799        1,439,898  

Community Bank System, Inc.(a)

      23,577        1,344,361  

ConnectOne Bancorp, Inc.

      37,626        606,531  

CVB Financial Corp.

      69,325        1,299,150  

FB Financial Corp.(a)

      30,823        763,486  

First Financial Bankshares, Inc.(a)

      37,471        1,082,537  

First Merchants Corp.

      39,713        1,094,887  

First Midwest Bancorp, Inc.

      37,792        504,523  

First of Long Island Corp. (The)

      7,993        130,606  

German American Bancorp, Inc.

      17,164        533,800  

Glacier Bancorp, Inc.

      41,650        1,469,828  

Great Western Bancorp, Inc.

      31,132        428,376  

Heritage Financial Corp.

      26,807        536,140  

Home BancShares, Inc.

      51,326        789,394  

Independent Bank Corp.(a)

      21,758        1,459,744  

Lakeland Financial Corp.

      25,377        1,182,314  

OceanFirst Financial Corp.

      45,249        797,740  

Pacific Premier Bancorp, Inc.

      37,089        804,090  

Pinnacle Financial Partners, Inc.

      18,129        761,237  

Renasant Corp.

      49,825        1,240,643  

Sandy Spring Bancorp, Inc.

      11,913        295,204  

South State Corp.

      31,128        1,483,560  

Towne Bank

      24,331        458,396  

TriCo Bancshares

      22,986        699,924  
COMMON STOCKS
(continued)		    Shares      Value  

Banks (cont’d.)

      

United Community Banks, Inc.

      59,758      $ 1,202,331  
     

 

 

  
        28,189,220  
     

 

 

  

Biotechnology — 0.6%

      

Arena Pharmaceuticals, Inc.*

      9,742        613,259  

Emergent BioSolutions, Inc.*

      6,211        491,166  
     

 

 

  
        1,104,425  
     

 

 

  

Building Products — 1.3%

      

AZEK Co., Inc. (The)*

      13,632        434,315  

Gibraltar Industries, Inc.*

      10,665        512,027  

Griffon Corp.(a)

      32,333        598,807  

Patrick Industries, Inc.

      12,304        753,620  
     

 

 

  
        2,298,769  
     

 

 

  

Capital Markets — 2.2%

      

Hamilton Lane, Inc. (Class A Stock)

      11,292        760,742  

Houlihan Lokey, Inc.

      12,888        717,088  

PJT Partners, Inc. (Class A Stock)

      9,899        508,215  

Stifel Financial Corp.

      34,209        1,622,533  

Virtu Financial, Inc. (Class A Stock)

      10,958        258,609  
     

 

 

  
        3,867,187  
     

 

 

  

Chemicals — 1.8%

      

HB Fuller Co.

      13,010        580,246  

PolyOne Corp.

      57,493        1,508,041  

Quaker Chemical Corp.

      1,450        269,192  

Stepan Co.

      2,866        278,289  

W R Grace & Co.

      10,286        522,632  
     

 

 

  
        3,158,400  
     

 

 

  

Commercial Services & Supplies — 1.6%

 

   

ABM Industries, Inc.

      24,483        888,733  

Brady Corp. (Class A Stock)

      12,573        588,668  

Casella Waste Systems, Inc. (Class A Stock)*

      11,878        619,081  

Herman Miller, Inc.

      26,208        618,771  
     

 

 

  
        2,715,253  
     

 

 

  

Communications Equipment — 1.1%

      

InterDigital, Inc.

      5,472        309,880  

NetScout Systems, Inc.*(a)

      31,400        802,584  

Viavi Solutions, Inc.*

      57,161        728,231  
     

 

 

  
        1,840,695  
     

 

 

  

Construction & Engineering — 1.6%

      

AECOM*

      16,854        633,373  

EMCOR Group, Inc.

      15,929        1,053,544  

MasTec, Inc.*(a)

      24,031        1,078,271  
     

 

 

  
        2,765,188  
     

 

 

  

Construction Materials — 0.4%

      

Summit Materials, Inc. (Class A Stock)*

      47,064        756,789  
     

 

 

  

Consumer Finance — 0.5%

      

FirstCash, Inc.

      7,346        495,708  

Green Dot Corp. (Class A Stock)*

      6,039        296,394  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1

     
     SP SMALL CAP VALUE PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Consumer Finance (cont’d.)

      

Oportun Financial Corp.*

      10,861      $ 145,972  
     

 

 

  
        938,074  
     

 

 

  

Containers & Packaging — 0.4%

      

Graphic Packaging Holding Co.

      46,352        648,464  
     

 

 

  

Diversified Consumer Services — 0.3%

      

Laureate Education, Inc. (Class A Stock)*

      42,580        424,310  
     

 

 

  

Diversified Financial Services — 0.4%

      

Alerus Financial Corp.

      7,231        142,884  

Collier Creek Holdings (Class A Stock)*

      44,378        607,979  
     

 

 

  
        750,863  
     

 

 

  

Electric Utilities — 3.2%

      

ALLETE, Inc.

      23,939        1,307,309  

IDACORP, Inc.

      5,921        517,318  

MGE Energy, Inc.

      8,855        571,236  

PNM Resources, Inc.

      37,942        1,458,490  

Portland General Electric Co.

      39,055        1,632,890  
     

 

 

  
        5,487,243  
     

 

 

  

Electrical Equipment — 0.3%

      

nVent Electric PLC

      27,158        508,669  
     

 

 

  

Electronic Equipment, Instruments & Components — 2.2%

 

CTS Corp.

      19,757        395,930  

FARO Technologies, Inc.*

      11,356        608,682  

II-VI, Inc.*(a)

      7,148        337,529  

Knowles Corp.*

      42,979        655,859  

Rogers Corp.*

      4,461        555,841  

SYNNEX Corp.

      3,314        396,918  

TTM Technologies, Inc.*

      65,034        771,303  
     

 

 

  
        3,722,062  
     

 

 

  

Energy Equipment & Services — 0.9%

      

Cactus, Inc. (Class A Stock)

      30,788        635,156  

ChampionX Corp.*

      101,277        988,464  
     

 

 

  
        1,623,620  
     

 

 

  

Entertainment — 0.0%

      

Live Nation Entertainment, Inc.*

      1,659        73,543  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 9.6%

 

   

Acadia Realty Trust

      53,008        688,044  

Columbia Property Trust, Inc.

      60,864        799,753  

CyrusOne, Inc.

      19,791        1,439,795  

Healthcare Realty Trust, Inc.

      52,969        1,551,462  

Hudson Pacific Properties, Inc.

      30,941        778,476  

Life Storage, Inc.

      7,532        715,163  

National Health Investors, Inc.

      14,257        865,685  

Park Hotels & Resorts, Inc.

      51,815        512,450  

Pebblebrook Hotel Trust(a)

      69,772        953,086  

Physicians Realty Trust

      69,392        1,215,748  

Preferred Apartment Communities, Inc.
(Class A Stock)

      28,782        218,743  

PS Business Parks, Inc.

      10,948        1,449,515  

RLJ Lodging Trust

      90,781        856,973  

Safehold, Inc.(a)

      15,090        867,524  

STAG Industrial, Inc.

      69,164        2,027,889  
COMMON STOCKS
(continued)		    Shares      Value  

Equity Real Estate Investment Trusts (REITs) (cont’d.)

      

Terreno Realty Corp.

      30,899      $ 1,626,523  
     

 

 

  
        16,566,829  
     

 

 

  

Food & Staples Retailing — 1.2%

      

BJ’s Wholesale Club Holdings, Inc.*

      9,953        370,948  

Grocery Outlet Holding Corp.*

      9,424        384,499  

Performance Food Group Co.*

      43,576        1,269,805  
     

 

 

  
        2,025,252  
     

 

 

  

Food Products — 1.8%

      

Darling Ingredients, Inc.*

      67,547        1,663,007  

Hostess Brands, Inc.*

      62,237        760,536  

Nomad Foods Ltd. (United Kingdom)*

      24,301        521,257  

Simply Good Foods Co. (The)*

      9,049        168,130  
     

 

 

  
        3,112,930  
     

 

 

  

Gas Utilities — 1.5%

      

Chesapeake Utilities Corp.

      10,798        907,032  

ONE Gas, Inc.

      22,635        1,744,027  
     

 

 

  
        2,651,059  
     

 

 

  

Health Care Equipment & Supplies — 2.0%

      

Avanos Medical, Inc.*

      28,486        837,203  

CONMED Corp.

      11,788        848,618  

Globus Medical, Inc. (Class A Stock)*

      14,977        714,553  

Merit Medical Systems, Inc.*

      11,861        541,455  

Mesa Laboratories, Inc.(a)

      2,138        463,518  
     

 

 

  
        3,405,347  
     

 

 

  

Health Care Providers & Services — 1.2%

      

Acadia Healthcare Co., Inc.*(a)

      32,415        814,265  

AMN Healthcare Services, Inc.*

      6,463        292,386  

Magellan Health, Inc.*

      6,856        500,351  

Tenet Healthcare Corp.*

      26,381        477,760  
     

 

 

  
        2,084,762  
     

 

 

  

Health Care Technology — 0.7%

      

Allscripts Healthcare Solutions, Inc.*(a)

      45,283        306,566  

HMS Holdings Corp.*

      17,463        565,627  

Vocera Communications, Inc.*

      15,375        325,950  
     

 

 

  
        1,198,143  
     

 

 

  

Hotels, Restaurants & Leisure — 2.9%

      

Boyd Gaming Corp.

      31,994        668,675  

Brinker International, Inc.

      21,592        518,208  

Eldorado Resorts, Inc.*(a)

      13,599        544,776  

Jack in the Box, Inc.

      12,619        934,942  

Marriott Vacations Worldwide Corp.

      15,119        1,242,933  

Papa John’s International, Inc.(a)

      3,894        309,222  

Penn National Gaming, Inc.*(a)

      7,973        243,495  

Texas Roadhouse, Inc.

      8,833        464,351  
     

 

 

  
        4,926,602  
     

 

 

  

Household Durables — 2.1%

      

Helen of Troy Ltd.*

      2,830        533,625  

KB Home

      20,261        621,608  

Meritage Homes Corp.*

      22,691        1,727,239  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2

     
     SP SMALL CAP VALUE PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Household Durables (cont’d.)

      

TopBuild Corp.*

      6,685      $ 760,552  
     

 

 

  
        3,643,024  
     

 

 

  

Insurance — 4.4%

      

AMERISAFE, Inc.

      9,434        576,983  

BRP Group, Inc. (Class A Stock)*

      22,428        387,332  

CNO Financial Group, Inc.

      16,650        259,241  

Enstar Group Ltd. (Bermuda)*

      5,404        825,569  

Kemper Corp.

      10,743        779,082  

Kinsale Capital Group, Inc.

      6,277        974,253  

Palomar Holdings, Inc.*

      9,875        846,880  

Primerica, Inc.

      7,675        894,905  

RLI Corp.

      11,664        957,614  

Selective Insurance Group, Inc.

      22,113        1,166,240  
     

 

 

  
        7,668,099  
     

 

 

  

IT Services — 1.6%

      

CACI International, Inc. (Class A Stock)*

      2,600        563,888  

KBR, Inc.

      72,167        1,627,366  

ManTech International Corp. (Class A Stock)

      8,170        559,563  
     

 

 

  
        2,750,817  
     

 

 

  

Leisure Products — 0.9%

      

BRP, Inc.

      10,990        467,954  

Callaway Golf Co.(a)

      34,028        595,831  

Malibu Boats, Inc. (Class A Stock)*

      7,897        410,249  
     

 

 

  
        1,474,034  
     

 

 

  

Life Sciences Tools & Services — 1.1%

      

Luminex Corp.

      18,461        600,537  

PRA Health Sciences, Inc.*

      5,539        538,889  

Syneos Health, Inc.*

      12,108        705,291  
     

 

 

  
        1,844,717  
     

 

 

  

Machinery — 6.3%

      

Astec Industries, Inc.

      8,691        402,480  

Chart Industries, Inc.*

      10,906        528,832  

CIRCOR International, Inc.*

      12,680        323,086  

Colfax Corp.*(a)

      32,729        913,139  

Columbus McKinnon Corp.

      18,220        609,459  

Enerpac Tool Group Corp.

      28,233        496,901  

Federal Signal Corp.

      25,082        745,688  

Kennametal, Inc.

      42,436        1,218,338  

Navistar International Corp.*

      11,060        311,892  

Rexnord Corp.

      61,266        1,785,904  

SPX FLOW, Inc.*

      26,992        1,010,580  

Timken Co. (The)

      20,980        954,380  

TriMas Corp.*

      33,083        792,338  

Watts Water Technologies, Inc. (Class A Stock)

      9,344        756,864  
     

 

 

  
        10,849,881  
     

 

 

  

Media — 0.8%

      

Nexstar Media Group, Inc. (Class A Stock)

      12,250        1,025,202  
COMMON STOCKS
(continued)		    Shares      Value  

Media (cont’d.)

      

TEGNA, Inc.

      29,526      $ 328,920  
     

 

 

  
        1,354,122  
     

 

 

  

Metals & Mining — 1.7%

      

Cleveland-Cliffs, Inc.(a)

      82,544        455,643  

Commercial Metals Co.

      44,759        913,084  

Constellium SE*

      75,218        577,674  

Sandstorm Gold Ltd. (Canada)*

      69,403        667,657  

Warrior Met Coal, Inc.

      21,608        332,547  
     

 

 

  
        2,946,605  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 1.7%

 

Blackstone Mortgage Trust, Inc. (Class A Stock)

      3,198        77,040  

KKR Real Estate Finance Trust, Inc.

      50,852        843,126  

PennyMac Mortgage Investment Trust

      69,795        1,223,507  

Two Harbors Investment Corp.(a)

      160,630        809,575  
     

 

 

  
        2,953,248  
     

 

 

  

Multiline Retail — 0.1%

      

Big Lots, Inc.

      2,502        105,084  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.9%

      

Brigham Minerals, Inc. (Class A Stock)

      42,122        520,207  

Euronav NV (Belgium)

      58,184        474,200  

Falcon Minerals Corp.(a)

      61,745        197,584  

Golar LNG Ltd. (Cameroon)*(a)

      60,984        441,524  

Noble Energy, Inc.

      58,986        528,515  

Parsley Energy, Inc. (Class A Stock)

      77,689        829,718  

Rattler Midstream, MLP

      35,640        345,708  

Viper Energy Partners, MLP

      84,003        870,271  

WPX Energy, Inc.*

      118,601        756,674  
     

 

 

  
        4,964,401  
     

 

 

  

Personal Products — 0.3%

      

BellRing Brands, Inc. (Class A Stock)*

      20,111        401,013  

Edgewell Personal Care Co.*

      6,098        190,014  
     

 

 

  
        591,027  
     

 

 

  

Pharmaceuticals — 0.4%

      

Prestige Consumer Healthcare, Inc.*

      19,072        716,344  
     

 

 

  

Professional Services — 1.2%

      

ASGN, Inc.*

      17,814        1,187,838  

FTI Consulting, Inc.*

      3,208        367,476  

ICF International, Inc.

      8,750        567,262  
     

 

 

  
        2,122,576  
     

 

 

  

Real Estate Management & Development — 0.3%

 

   

Kennedy-Wilson Holdings, Inc.

      38,041        578,984  
     

 

 

  

Road & Rail — 1.3%

      

ArcBest Corp.

      10,208        270,614  

Marten Transport Ltd.

      28,427        715,223  

Saia, Inc.*

      8,384        932,133  

Werner Enterprises, Inc.

      8,024        349,285  
     

 

 

  
        2,267,255  
     

 

 

  

Semiconductors & Semiconductor Equipment — 1.7%

 

FormFactor, Inc.*

      7,700        225,841  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3

     
     SP SMALL CAP VALUE PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

COMMON STOCKS
(continued)		    Shares      Value  

Semiconductors & Semiconductor Equipment (cont’d.)

 

Lattice Semiconductor Corp.*

      22,677      $ 643,800  

MACOM Technology Solutions Holdings, Inc.*

      688        23,633  

MKS Instruments, Inc.

      4,825        546,383  

Onto Innovation, Inc.*

      24,896        847,460  

Semtech Corp.*

      11,098        579,537  
     

 

 

  
        2,866,654  
     

 

 

  

Software — 1.0%

      

Bottomline Technologies DE, Inc.*

      13,606        690,777  

Cloudera, Inc.*(a)

      34,384        437,364  

Verint Systems, Inc.*

      12,792        577,943  
     

 

 

  
        1,706,084  
     

 

 

  

Specialty Retail — 2.8%

      

Burlington Stores, Inc.*

      2,193        431,867  

Five Below, Inc.*

      4,274        456,933  

Lithia Motors, Inc. (Class A Stock)

      6,368        963,669  

Michaels Cos., Inc. (The)*

      83,622        591,208  

Rent-A-Center, Inc.

      25,150        699,673  

RH*(a)

      2,420        602,338  

Sally Beauty Holdings, Inc.*

      3,007        37,678  

Sonic Automotive, Inc. (Class A Stock)

      16,766        535,003  

Zumiez, Inc.*

      19,675        538,702  
     

 

 

  
        4,857,071  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.3%

 

Crocs, Inc.*

      21,468        790,452  

Deckers Outdoor Corp.*

      3,034        595,847  

Wolverine World Wide, Inc.

      32,058        763,301  
     

 

 

  
        2,149,600  
     

 

 

  

Thrifts & Mortgage Finance — 2.2%

      

MGIC Investment Corp.

      109,659        898,107  

NMI Holdings, Inc. (Class A Stock)*

      40,921        658,010  

Provident Financial Services, Inc.

      32,298        466,706  

Walker & Dunlop, Inc.

      13,960        709,308  

Washington Federal, Inc.

      42,443        1,139,170  
     

 

 

  
        3,871,301  
     

 

 

  

Trading Companies & Distributors — 1.4%

 

Beacon Roofing Supply, Inc.*

      21,784        574,444  

BMC Stock Holdings, Inc.*

      27,735        697,258  

Herc Holdings, Inc.*

      15,198        467,034  

Kaman Corp.

      18,126        754,042  
     

 

 

  
        2,492,778  
     

 

 

  

Water Utilities — 0.4%

      

SJW Group

      11,129        691,222  
     

 

 

  

TOTAL COMMON STOCKS
(cost $160,646,787)

         167,504,636  
     

 

 

  
EXCHANGE-TRADED FUND
— 1.7%		    Shares      Value  

iShares Russell 2000 Value ETF(a)
(cost $3,534,200)

      29,213      $ 2,847,099  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $164,180,987)

         170,351,735  
     

 

 

  
SHORT-TERM INVESTMENTS — 11.8%     

 

  

AFFILIATED MUTUAL FUNDS

      

PGIM Core Ultra Short Bond Fund(w)

      4,119,501        4,119,501  

PGIM Institutional Money Market Fund (cost $16,207,927; includes $16,201,005 of cash collateral for securities on loan)(b)(w)

      16,222,151        16,222,151  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $20,327,428)

 

      20,341,652  
     

 

 

  

TOTAL INVESTMENTS — 110.5%
(cost $184,508,415)

 

      190,693,387  

Liabilities in excess of
other assets — (10.5)%

 

      (18,055,189 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 172,638,198  
     

 

 

  

Below is a list of the abbreviation(s) used in the semiannual report:

ETF — Exchange-Traded Fund

LIBOR — London Interbank Offered Rate

MLP — Master Limited Partnership

REITs — Real Estate Investment Trust

 

*

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 $15,981,795; cash collateral of $16,201,005 (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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4

     
     SP SMALL CAP VALUE PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

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

    $ 1,729,943      $ —      $ —  

Air Freight & Logistics

      830,890        —        —  

Airlines

      951,983        —        —  

Auto Components

      1,683,194        —        —  

Banks

      28,189,220        —        —  

Biotechnology

      1,104,425        —        —  

Building Products

      2,298,769        —        —  

Capital Markets

      3,867,187        —        —  

Chemicals

      3,158,400        —        —  

Commercial Services & Supplies

      2,715,253        —        —  

Communications Equipment

      1,840,695        —        —  

Construction & Engineering

      2,765,188        —        —  

Construction Materials

      756,789        —        —  

Consumer Finance

      938,074        —        —  

Containers & Packaging

      648,464        —        —  

Diversified Consumer Services

      424,310        —        —  

Diversified Financial Services

      750,863        —        —  

Electric Utilities

      5,487,243        —        —  

Electrical Equipment

      508,669        —        —  

Electronic Equipment, Instruments & Components

      3,722,062        —        —  

Energy Equipment & Services

      1,623,620        —        —  

Entertainment

      73,543        —        —  

Equity Real Estate Investment Trusts (REITs)

      16,566,829        —        —  

Food & Staples Retailing

      2,025,252        —        —  

Food Products

      3,112,930        —        —  

Gas Utilities

      2,651,059        —        —  

Health Care Equipment & Supplies

      3,405,347        —        —  

Health Care Providers & Services

      2,084,762        —        —  

Health Care Technology

      1,198,143        —        —  

Hotels, Restaurants & Leisure

      4,926,602        —        —  

Household Durables

      3,643,024        —        —  

Insurance

      7,668,099        —        —  

IT Services

      2,750,817        —        —  

Leisure Products

      1,474,034        —        —  

Life Sciences Tools & Services

      1,844,717        —        —  

Machinery

      10,849,881        —        —  

Media

      1,354,122        —        —  

Metals & Mining

      2,946,605        —        —  

Mortgage Real Estate Investment Trusts (REITs)

      2,953,248        —        —  

Multiline Retail

      105,084        —        —  

Oil, Gas & Consumable Fuels

      4,964,401        —        —  

Personal Products

      591,027        —        —  

Pharmaceuticals

      716,344        —        —  

Professional Services

      2,122,576        —        —  

Real Estate Management & Development

      578,984        —        —  

Road & Rail

      2,267,255        —        —  

Semiconductors & Semiconductor Equipment

      2,866,654        —        —  

Software

      1,706,084        —        —  

Specialty Retail

      4,857,071        —        —  

Textiles, Apparel & Luxury Goods

      2,149,600        —        —  

Thrifts & Mortgage Finance

      3,871,301        —        —  

Trading Companies & Distributors

      2,492,778        —        —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5

     
     SP SMALL CAP VALUE 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)

         

Water Utilities

    $ 691,222      $ —      $ —  

Exchange-Traded Fund

      2,847,099        —        —  

Affiliated Mutual Funds

      20,341,652        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 190,693,387      $ —      $ —  
  

 

 

     

 

 

     

 

 

  

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:

 

Banks

      16.3 % 

Affiliated Mutual Funds (9.4% represents investments purchased with collateral from securities on loan)

      11.8  

Equity Real Estate Investment Trusts (REITs)

      9.6  

Machinery

      6.3  

Insurance

      4.4  

Electric Utilities

      3.2  

Oil, Gas & Consumable Fuels

      2.9  

Hotels, Restaurants & Leisure

      2.9  

Specialty Retail

      2.8  

Thrifts & Mortgage Finance

      2.2  

Capital Markets

      2.2  

Electronic Equipment, Instruments & Components

      2.2  

Household Durables

      2.1  

Health Care Equipment & Supplies

      2.0  

Chemicals

      1.8  

Food Products

      1.8  

Mortgage Real Estate Investment Trusts (REITs)

      1.7  

Metals & Mining

      1.7  

Semiconductors & Semiconductor Equipment

      1.7  

Exchange-Traded Fund

      1.7  

Construction & Engineering

      1.6  

IT Services

      1.6  

Commercial Services & Supplies

      1.6  

Gas Utilities

      1.5  

Trading Companies & Distributors

      1.4  

Building Products

      1.3  

Road & Rail

      1.3  

Textiles, Apparel & Luxury Goods

      1.3  

Professional Services

      1.2  

Health Care Providers & Services

      1.2  

Food & Staples Retailing

      1.2 % 

Life Sciences Tools & Services

      1.1  

Communications Equipment

      1.1  

Aerospace & Defense

      1.0  

Software

      1.0  

Auto Components

      1.0  

Energy Equipment & Services

      0.9  

Leisure Products

      0.9  

Media

      0.8  

Health Care Technology

      0.7  

Biotechnology

      0.6  

Airlines

      0.6  

Consumer Finance

      0.5  

Air Freight & Logistics

      0.5  

Construction Materials

      0.4  

Diversified Financial Services

      0.4  

Pharmaceuticals

      0.4  

Water Utilities

      0.4  

Containers & Packaging

      0.4  

Personal Products

      0.3  

Real Estate Management & Development

      0.3  

Electrical Equipment

      0.3  

Diversified Consumer Services

      0.3  

Multiline Retail

      0.1  

Entertainment

      0.0 * 
  

 

 

  
     110.5  

Liabilities in excess of other assets

      (10.5 ) 
  

 

 

  
     100.0 % 
  

 

 

  

 

*

Less than +/- 0.05%

 

 

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.

 

A6

     
     SP SMALL CAP VALUE 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

      $ 15,981,795        $ (15,981,795 )     $ —  
    

 

 

       

 

 

     

 

 

  

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A7

     
     SP SMALL CAP VALUE PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES (unaudited)

as of June 30, 2020

ASSETS   

Investments at value, including securities on loan of $15,981,795:

   

Unaffiliated investments (cost $164,180,987)

    $ 170,351,735  

Affiliated investments (cost $20,327,428)

      20,341,652  

Receivable for investments sold

      1,492,836  

Dividends receivable

      239,571  

Receivable for Portfolio shares sold

      108,161  

Tax reclaim receivable

      15,262  

Prepaid expenses

      254  
  

 

 

  

Total Assets

      192,549,471  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      16,201,005  

Payable for investments purchased

      3,497,236  

Management fee payable

      126,626  

Accrued expenses and other liabilities

      79,125  

Payable to affiliate

      5,668  

Affiliated transfer agent fee payable

      926  

Payable for Portfolio shares repurchased

      687  
  

 

 

  

Total Liabilities

      19,911,273  
  

 

 

  
NET ASSETS    $ 172,638,198  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 172,638,198  
  

 

 

  

Net asset value and redemption price per share, $172,638,198 / 8,227,370 outstanding shares of beneficial interest

    $ 20.98  
  

 

 

  

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)   
INCOME   

Unaffiliated dividend income (net of $9,595 foreign withholding tax)

    $ 1,408,047  

Income from securities lending, net (including affiliated income of $30,568)

      32,017  

Affiliated dividend income

      21,899  
  

 

 

  

Total income

      1,461,963  
  

 

 

  
EXPENSES   

Management fee

      793,586  

Shareholders’ reports

      36,506  

Custodian and accounting fees

      33,821  

Audit fee

      14,570  

Legal fees and expenses

      6,077  

Trustees’ fees

      6,007  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      8,465  
  

 

 

  

Total expenses

      904,344  

Less: Fee waiver and/or expense reimbursement

      (7,054 ) 
  

 

 

  

Net expenses

      897,290  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      564,673  
  

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS   

Net realized gain (loss) on investment transactions (including affiliated of $(10,220))

      (17,150,759 ) 

Net change in unrealized appreciation (depreciation) on investments (including affiliated of $9,312)

      (37,115,985 ) 
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS      (54,266,744 ) 
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ (53,702,071 ) 
  

 

 

  
 

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)

    $ 564,673     $ 1,561,898  

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

      (17,150,759 )      9,490,538  

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

      (37,115,985 )      30,049,911  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      (53,702,071 )      41,102,347  
  

 

 

    

 

 

  
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold [571,462 and 623,842 shares, respectively]

      11,802,143       16,249,716  

Portfolio shares repurchased [261,911 and 640,774 shares, respectively]

      (6,066,474 )      (16,750,272 ) 
  

 

 

    

 

 

  

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

      5,735,669       (500,556 ) 
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      (47,966,402 )      40,601,791  
NET ASSETS:     

Beginning of period

      220,604,600       180,002,809  
  

 

 

    

 

 

  

End of period

    $ 172,638,198     $ 220,604,600  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A8

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 (“Portfolios”). The information presented in these financial statements pertains to the SP Small Cap Value Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.

The investment objective of the Portfolio is long-term growth of capital.

 

1.   Accounting Policies

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

Securities Valuation:    The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the 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 Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 - Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time the 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

 

B1

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 Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

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

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Portfolio 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 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.

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 Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s 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.

Master Netting Arrangements:    The Series Fund, on behalf of the Portfolio, 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 the Portfolio. 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

 

B2

Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Lending:    The Portfolio lends its 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.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs):    The Portfolio 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.

Master Limited Partnerships (MLPs):    The Portfolio invested in MLPs. Distributions received from the Portfolio’s investment in MLPs generally are comprised of income and return of capital. The Portfolio records investment income and return of capital based on estimates made at the time such distributions are received. Such estimates are based on historical information available from each MLP and other industry sources. These estimates may subsequently be revised based on information received from MLPs after their respective tax reporting periods have concluded.

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.

Taxes:    For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

 

B3

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

 

2.   Agreements

The Series Fund, on behalf of the Portfolio, has entered into an investment management agreement with the Manager. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadviser’s performance of such services. The Manager has entered into a subadvisory agreement with Goldman Sachs Asset Management, L.P. (“GSAM”) (the “subadviser”), under which GSAM provides investment advisory services for the Portfolio. The Manager pays for the services of the subadviser, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.90% of the Portfolio’s average daily net assets of the Fund. The Manager has contractually agreed through June 30, 2020 to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio. The effective management fee rate net of waiver was 0.89% for the period ended June 30, 2020. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.

The Series Fund, on behalf of the Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was $0.

PGIM Investments is an indirect, wholly-owned subsidiary 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 Portfolio. 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 Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s 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 Fund 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.

The Portfolio 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 Securities Exchange Commission (“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 Portfolio.

 

  b.)   Foreign Withholding Tax Reclaim Matters

As a result of the Portfolio’s tax status as a partnership, instead of a regulated investment company (RIC), the Portfolio is subject to higher foreign withholding tax rates on dividend and interest income in certain foreign

 

B4

jurisdictions and is subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”).

Prudential has instituted a process to reimburse the Portfolio 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 Portfolio’s partnership tax status.

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the Portfolio has the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid the Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by the Portfolio from a foreign tax authority for reclaims for which the 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 Portfolio 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 the Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolio does 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.

 

4.   Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were $86,884,608 and $78,152,659, respectively.

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:

 

Value,
Beginning of
Period

      Cost of
Purchases		      Proceeds
from Sales		      Change in
Unrealized
Gain
(Loss)		      Realized
Gain
(Loss)		     Value,
End of
Period		      Shares,
End of
Period		      Income  
 

PGIM Core Ultra Short Bond Fund*

                
$ 4,283,369      $ 20,098,783      $ 20,262,651      $ —      $ —     $ 4,119,501        4,119,501      $ 21,899  
 

PGIM Institutional Money Market Fund*

             
  19,868,439        50,987,896        54,633,276        9,312        (10,220 )      16,222,151        16,222,151        30,568 ** 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  
$ 24,151,808      $ 71,086,679      $ 74,895,927      $ 9,312      $ (10,220 )    $ 20,341,652         $ 52,467  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  

 

  *

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.

 

5.   Tax Information

The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolio’s 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.

 

B5

6.   Borrowings

The Series Fund, on behalf of the 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 Portfolio did not utilize the SCA during the reporting period ended June 30, 2020.

 

7.   Capital and Ownership

The shares of the Portfolio are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio 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 Portfolio 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		  

SP Small Cap Value Portfolio

      8,227,370        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		  

SP Small Cap Value Portfolio

      2        99.3 %      —        — % 

 

8.   Risks of Investing in the Portfolio

The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Portfolio’s risks, please refer to the Portfolio’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 Portfolio invests could go down.    The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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.

 

B6

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 Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolio’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 Risk:    Securities markets may be volatile and the market prices of the Portfolio’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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has 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 Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which it invests, in addition to the expenses of the Portfolio. Since the Portfolio concentrates in the real estate industry, the holdings of such Portfolio can vary significantly from broad market indexes. As a result, the performance of such Portfolio can deviate from the performance of such indexes.

Small Company Risk:    Small company stocks present above-average risks in comparison to larger companies. Small companies usually offer a smaller range of products and services than larger companies. Smaller companies may also have limited financial resources and may lack management depth. As a result, stocks issued by smaller companies may be less liquid and fluctuate in value more than the stocks of larger, more established companies.

 

B7

Financial Highlights (unaudited)

 

SP Small Cap Value Portfolio

                                     
     Six Months Ended     Year Ended December 31,  
     June 30, 2020     2019     2018     2017     2016     2015  

Per Share Operating Performance(a):

             

Net Asset Value, beginning of period

    $ 27.86     $ 22.69     $ 26.32     $ 23.46     $ 18.70     $  19.76  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

             

Net investment income (loss)

      0.07       0.20       0.13       0.12       0.15       0.10  

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

      (6.95 )      4.97       (3.76 )      2.74       4.60       (1.16 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      (6.88 )      5.17       (3.63 )      2.86       4.75       (1.06 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Capital Contributions

      —       —       — (b)(c)      —       0.01 (d)      —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $ 20.98     $ 27.86     $ 22.69     $ 26.32     $ 23.46     $ 18.70  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(e)

      (24.69 )%      22.79 %      (13.79 )%(f)      12.19 %      25.45 %(g)      (5.36 )% 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

    $ 173     $ 221     $ 180     $ 214     $ 211     $ 190  

Average net assets (in millions)

    $ 177     $ 207     $ 211     $ 208     $ 189     $ 207  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

      1.02 %(i)      1.01 %      0.99 %      1.01 %      1.01 %      1.02 % 

Expenses before waivers and/or expense reimbursement

      1.03 %(i)      1.02 %      1.00 %      1.02 %      1.02 %      1.03 % 

Net investment income (loss)

      0.64 %(i)      0.76 %      0.48 %      0.51 %      0.75 %      0.54 % 

Portfolio turnover rate(j)

      44 %      56 %      58 %      62 %      57 %      94 % 

 

(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 25.40%.

 

(h)

Does not include expenses of the investment companies in which the Portfolio invests.

 

(i)

Annualized.

 

(j)

The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1

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”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The 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 Portfolio’s investment manager, to serve as the administrator of the 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.

The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the 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 the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the 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 the Portfolio’s investment strategies continue to be appropriate given the 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 the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2

Approval of Advisory Agreements

Renewal of Management and Subadvisory Agreements: SP Small Cap Value Portfolio

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) 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 the SP Small Cap Value Portfolio’s (the Portfolio’s) subadvisory agreement with Goldman Sachs Asset Management, L.P. (Goldman Sachs or the subadviser). 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, the Portfolio and the 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 the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the 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 Goldman Sachs, which serves as subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, the Portfolio and the 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 the 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 Goldman Sachs. 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 Portfolio’s liquidity risk management program. With respect to PGIM Investments’ oversight of Goldman Sachs, 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 Goldman Sachs, 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 Goldman Sachs, to renew the subadvisory agreement.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the 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 the 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 Portfolio by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. 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 Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio 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 Subadviser

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, 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 subadviser, 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 subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolio / Fees and Expenses / Other Factors

With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio 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 the 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 the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for the 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 the 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 the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio 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 the 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.

 

SP Small Cap Value Portfolio

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   2nd Quartile    1st Quartile    2nd Quartile    2nd Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 4th Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over all periods.

 

•  

The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

 

 

 

 

 

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

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751 Broad Street

Newark, NJ 07102-3714

 

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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

©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.

PSF-SAR-SP SMALL CAP VAL

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The Prudential Series Fund

 

 

SEMIANNUAL REPORT    June 30, 2020

 

 

LOGO

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

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

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. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

Jennison 20/20 Focus Portfolio

 

 

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The Prudential Series Fund

 

Table of Contents

   Semiannual Report   June 30, 2020

 

  ∎  

LETTER TO CONTRACT OWNERS

 

  ∎  

PRESENTATION OF PORTFOLIO HOLDINGS

 

  ∎  

FEES AND EXPENSES

 

  ∎  

FINANCIAL REPORTS

 

Section A   Schedule of Investments and Financial Statements
Section B   Notes to Financial Statements
Section C   Financial Highlights

 

  ∎  

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

 

Letter to Contract Owners

   Semiannual Report   June 30, 2020

 

∎  

DEAR CONTRACT OWNER

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Prudential Series Fund 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,

 

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2020

The Prudential Series Fund

 

Presentation of Portfolio Holdings — unaudited

   June 30, 2020

 

Jennison 20/20 Focus Portfolio

 

Ten Largest Holdings   Line of Business     (% of Net Assets ) 
Microsoft Corp.   Software     7.3%  
Alphabet, Inc. (Class A Stock)   Interactive Media & Services     5.0%  
Amazon.com, Inc.   Internet & Direct Marketing Retail     4.7%  
Apple, Inc.   Technology Hardware, Storage & Peripherals     4.6%  
AstraZeneca PLC (United Kingdom), ADR   Pharmaceuticals     4.2%  
Tesla, Inc.   Automobiles     3.6%  
Adobe, Inc.   Software     3.3%  
Facebook, Inc. (Class A Stock)   Interactive Media & Services     3.1%  
Netflix, Inc.   Entertainment     3.0%  
Lululemon Athletica, Inc.   Textiles, Apparel & Luxury Goods     2.9%  

 

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

The Prudential Series Fund

 

Fees and Expenses — unaudited

   June 30, 2020

 

As a contract owner investing in the Portfolio 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 fees and charges were included, your costs would have been higher.

 

The Prudential Series Fund Portfolio     

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*		  
Jennison 20/20 Focus (Class I)    Actual      $ 1,000.00        $ 1,029.70          0.86 %     $ 4.34  
     Hypothetical      $ 1,000.00        $ 1,020.59          0.86 %     $ 4.32  
Jennison 20/20 Focus (Class II)    Actual      $ 1,000.00        $ 1,027.60          1.26 %     $ 6.35  
     Hypothetical      $ 1,000.00        $ 1,018.60          1.26 %     $ 6.32  

* 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.

 
   JENNISON 20/20 FOCUS PORTFOLIO  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

LONG-TERM INVESTMENTS — 99.0%         
COMMON STOCKS    Shares      Value  

Aerospace & Defense — 1.8%

      

Raytheon Technologies Corp.

      55,616      $ 3,427,058  
     

 

 

  

Automobiles — 4.2%

      

General Motors Co.

      43,159        1,091,923  

Tesla, Inc.*(a)

      6,216        6,712,099  
     

 

 

  
        7,804,022  
     

 

 

  

Banks — 4.5%

      

JPMorgan Chase & Co.

      45,931        4,320,270  

PNC Financial Services Group, Inc. (The)

      38,685        4,070,049  
     

 

 

  
        8,390,319  
     

 

 

  

Capital Markets — 1.6%

      

Goldman Sachs Group, Inc. (The)

      14,861        2,936,831  
     

 

 

  

Chemicals — 2.3%

      

Linde PLC (United Kingdom)

      19,737        4,186,415  
     

 

 

  

Entertainment — 3.0%

      

Netflix, Inc.*

      12,099        5,505,529  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.1%

 

American Tower Corp.

      7,563        1,955,338  
     

 

 

  

Food & Staples Retailing — 1.9%

      

Walmart, Inc.

      29,712        3,558,903  
     

 

 

  

Food Products — 2.2%

      

Mondelez International, Inc. (Class A Stock)

      80,704        4,126,396  
     

 

 

  

Health Care Providers & Services — 1.7%

 

Cigna Corp.

      8,262        1,550,364  

Laboratory Corp. of America Holdings*

      9,878        1,640,835  
     

 

 

  
        3,191,199  
     

 

 

  

Health Care Technology — 1.3%

      

Teladoc Health, Inc.*(a)

      12,994        2,479,775  
     

 

 

  

Insurance — 3.6%

      

Chubb Ltd.

      24,188        3,062,685  

MetLife, Inc.

      101,016        3,689,104  
     

 

 

  
        6,751,789  
     

 

 

  

Interactive Media & Services — 10.6%

 

Alphabet, Inc. (Class A Stock)*

      6,542        9,276,883  

Facebook, Inc. (Class A Stock)*

      25,083        5,695,597  

Tencent Holdings Ltd. (China)

      72,587        4,680,522  
     

 

 

  
        19,653,002  
     

 

 

  

Internet & Direct Marketing Retail — 5.8%

 

Alibaba Group Holding Ltd. (China), ADR*

      9,837        2,121,841  

Amazon.com, Inc.*

      3,164        8,728,906  
     

 

 

  
          10,850,747  
     

 

 

  

IT Services — 10.7%

      

Adyen NV (Netherlands), 144A*

      3,492        5,106,275  

Mastercard, Inc. (Class A Stock)

      14,263        4,217,569  

PayPal Holdings, Inc.*

      29,684        5,171,843  
COMMON STOCKS
(continued)		    Shares      Value  

IT Services (cont’d.)

      

Shopify, Inc. (Canada)
(Class A Stock)*

      5,552      $ 5,269,959  
     

 

 

  
        19,765,646  
     

 

 

  

Multi-Utilities — 2.1%

      

Dominion Energy, Inc.

      48,639        3,948,514  
     

 

 

  

Oil, Gas & Consumable Fuels — 1.6%

 

Chevron Corp.

      34,080        3,040,958  
     

 

 

  

Pharmaceuticals — 6.1%

      

AstraZeneca PLC (United Kingdom), ADR

      148,079        7,831,898  

Eli Lilly & Co.

      21,110        3,465,840  
     

 

 

  
        11,297,738  
     

 

 

  

Road & Rail — 3.8%

      

Uber Technologies, Inc.*

      98,041        3,047,114  

Union Pacific Corp.

      23,976        4,053,623  
     

 

 

  
        7,100,737  
     

 

 

  

Semiconductors & Semiconductor Equipment — 5.6%

 

NVIDIA Corp.

      14,010        5,322,539  

Texas Instruments, Inc.(a)

      40,072        5,087,942  
     

 

 

  
        10,410,481  
     

 

 

  

Software — 12.9%

      

Adobe, Inc.*

      14,098        6,137,000  

Microsoft Corp.

      66,253        13,483,148  

salesforce.com, Inc.*

      22,797        4,270,562  
     

 

 

  
        23,890,710  
     

 

 

  

Specialty Retail — 3.1%

      

Lowe’s Cos., Inc.

      29,039        3,923,750  

Ross Stores, Inc.

      20,785        1,771,713  
     

 

 

  
        5,695,463  
     

 

 

  

Technology Hardware, Storage & Peripherals — 4.6%

 

Apple, Inc.

      23,319        8,506,771  
     

 

 

  

Textiles, Apparel & Luxury Goods — 2.9%

 

Lululemon Athletica, Inc.*

      17,095        5,333,811  
     

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $116,533,830)

         183,808,152  
     

 

 

  
SHORT-TERM INVESTMENTS — 8.3%

 

AFFILIATED MUTUAL FUNDS

 

PGIM Core Ultra Short Bond Fund(w)

      2,500,719        2,500,719  

PGIM Institutional Money Market Fund (cost $12,896,471; includes $12,892,477 of cash collateral for securities on loan)(b)(w)

      12,900,577        12,900,577  
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(cost $15,397,190)

 

      15,401,296  
     

 

 

  

TOTAL INVESTMENTS — 107.3%
(cost $131,931,020)

 

      199,209,448  

LIABILITIES IN EXCESS OF
OTHER ASSETS — (7.3)%

 

      (13,544,591 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 185,664,857  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A1

 
   JENNISON 20/20 FOCUS PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Below is a list of the abbreviation(s) used in the semiannual report:

 

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.
ADR   —   American Depositary Receipt
LIBOR   —   London Interbank Offered Rate
OTC   —   Over-the-counter
REITs   —   Real Estate Investment Trust

 

*

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 $13,162,161; cash collateral of $12,892,477 (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

         

Aerospace & Defense

    $ 3,427,058      $ —      $ —  

Automobiles

      7,804,022        —        —  

Banks

      8,390,319        —        —  

Capital Markets

      2,936,831        —        —  

Chemicals

      4,186,415        —        —  

Entertainment

      5,505,529        —        —  

Equity Real Estate Investment Trusts (REITs)

      1,955,338        —        —  

Food & Staples Retailing

      3,558,903        —        —  

Food Products

      4,126,396        —        —  

Health Care Providers & Services

      3,191,199        —        —  

Health Care Technology

      2,479,775        —        —  

Insurance

      6,751,789        —        —  

Interactive Media & Services

      14,972,480        4,680,522        —  

Internet & Direct Marketing Retail

      10,850,747        —        —  

IT Services

      14,659,371        5,106,275        —  

Multi-Utilities

      3,948,514        —        —  

Oil, Gas & Consumable Fuels

      3,040,958        —        —  

Pharmaceuticals

      11,297,738        —        —  

Road & Rail

      7,100,737        —        —  

Semiconductors & Semiconductor Equipment

      10,410,481        —        —  

Software

      23,890,710        —        —  

Specialty Retail

      5,695,463        —        —  

Technology Hardware, Storage & Peripherals

      8,506,771        —        —  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A2

 
   JENNISON 20/20 FOCUS 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)

         

Textiles, Apparel & Luxury Goods

    $ 5,333,811      $ —      $ —  

Affiliated Mutual Funds

      15,401,296        —        —  
  

 

 

     

 

 

     

 

 

  

Total

    $ 189,422,651      $ 9,786,797      $ —  
  

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A3

 
   JENNISON 20/20 FOCUS PORTFOLIO (continued)  
SCHEDULE OF INVESTMENTS    as of June 30, 2020 (unaudited)

 

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:

 

Software

      12.9 % 

IT Services

      10.7  

Interactive Media & Services

      10.6  

Affiliated Mutual Funds (6.9% represents investments purchased with collateral from securities on loan)

      8.3  

Pharmaceuticals

      6.1  

Internet & Direct Marketing Retail

      5.8  

Semiconductors & Semiconductor Equipment

      5.6  

Technology Hardware, Storage & Peripherals

      4.6  

Banks

      4.5  

Automobiles

      4.2  

Road & Rail

      3.8  

Insurance

      3.6  

Specialty Retail

      3.1  

Entertainment

      3.0  

Textiles, Apparel & Luxury Goods

      2.9  

 

Chemicals

      2.3 % 

Food Products

      2.2  

Multi-Utilities

      2.1  

Food & Staples Retailing

      1.9  

Aerospace & Defense

      1.8  

Health Care Providers & Services

      1.7  

Oil, Gas & Consumable Fuels

      1.6  

Capital Markets

      1.6  

Health Care Technology

      1.3  

Equity Real Estate Investment Trusts (REITs)

      1.1  
  

 

 

  
     107.3  

Liabilities in excess of other assets

      (7.3 ) 
  

 

 

  
     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

      $ 13,162,161        $ (12,892,477 )     $ 269,684  
    

 

 

       

 

 

     

 

 

  

 

(1)

Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A4

 
   JENNISON 20/20 FOCUS PORTFOLIO (continued)  

 

STATEMENT OF ASSETS AND LIABILITIES

(unaudited)

as of June 30, 2020

 

ASSETS   

Investments at value, including securities on loan of $13,162,161:

   

Unaffiliated investments (cost $116,533,830)

    $ 183,808,152  

Affiliated investments (cost $15,397,190)

      15,401,296  

Cash

      919  

Tax reclaim receivable

      51,592  

Dividends receivable

      50,424  

Receivable for Portfolio shares sold

      2,439  

Prepaid expenses

      235  
  

 

 

  

Total Assets

      199,315,057  
  

 

 

  
LIABILITIES   

Payable to broker for collateral for securities on loan

      12,892,477  

Payable for Portfolio shares repurchased

      352,347  

Loan payable

      157,000  

Management fee payable

      112,648  

Accrued expenses and other liabilities

      74,094  

Distribution fee payable

      23,284  

Payable to affiliate

      20,261  

Administration fee payable

      13,972  

Payable for investments purchased

      3,191  

Affiliated transfer agent fee payable

      926  
  

 

 

  

Total Liabilities

      13,650,200  
  

 

 

  
NET ASSETS    $ 185,664,857  
  

 

 

  

Net assets were comprised of:

   

Partners’ Equity

    $ 185,664,857  
  

 

 

  
Class I:   

Net asset value and redemption price per share, $71,290,433 / 1,818,956 outstanding shares of beneficial interest

    $ 39.19  
  

 

 

  
Class II:   

Net asset value and redemption price per share, $114,374,424 / 3,076,831 outstanding shares of beneficial interest

    $ 37.17  
  

 

 

  

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2020

 

NET INVESTMENT INCOME (LOSS)

INCOME

   

Unaffiliated dividend income (net of $10,944 foreign withholding tax)

    $ 1,306,061  

Affiliated dividend income

      23,516  

Income from securities lending, net (including affiliated income of $10,824)

      11,514  
  

 

 

  

Total income

      1,341,091  
  

 

 

  
EXPENSES   

Management fee

      663,463  

Distribution fee—Class II

      137,781  

Administration fee—Class II

      82,668  

Custodian and accounting fees

      44,072  

Shareholders’ reports

      18,207  

Audit fee

      12,232  

Trustees’ fees

      5,953  

Legal fees and expenses

      5,894  

Transfer agent’s fees and expenses (including affiliated expense of $2,887)

      5,312  

Miscellaneous

      9,101  
  

 

 

  

Total expenses

      984,683  
  

 

 

  
NET INVESTMENT INCOME (LOSS)      356,408  
  

 

 

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

Net realized gain (loss) on:

   

Investment transactions (including affiliated of $(1,823))

      182,081  

Foreign currency transactions

      3,234  
  

 

 

  
     185,315  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments (including affiliated of $3,952)

      4,086,281  

Foreign currencies

      17  
  

 

 

  
     4,086,298  
  

 

 

  
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS      4,271,613  
  

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS    $ 4,628,021  
  

 

 

  
 

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)

    $ 356,408     $ 750,998  

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

      185,315       17,370,193  

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

      4,086,298       28,286,096  
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

      4,628,021       46,407,287  
  

 

 

    

 

 

  
PORTFOLIO SHARE TRANSACTIONS     

Portfolio shares sold

      4,339,891       6,953,016  

Portfolio shares repurchased

      (16,348,950 )      (37,881,197 ) 
  

 

 

    

 

 

  

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

      (12,009,059 )      (30,928,181 ) 
  

 

 

    

 

 

  
TOTAL INCREASE (DECREASE)      (7,381,038 )      15,479,106  
NET ASSETS:     

Beginning of period

      193,045,895       177,566,789  
  

 

 

    

 

 

  

End of period

    $ 185,664,857     $ 193,045,895  
  

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

A5

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 (“Portfolios”). The information presented in these financial statements pertains to the Jennison 20/20 Focus Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.

The investment objective of the Portfolio is long-term growth of capital.

 

1.   Accounting Policies

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

Securities Valuation:    The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the 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 Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time the 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

 

B1

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 Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

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

Illiquid Securities:    Pursuant to Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Portfolio 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 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.

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 Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s 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.

Master Netting Arrangements:    The Series Fund, on behalf of the Portfolio, 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 the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting

 

B2

arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Lending:    The Portfolio lends its 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.

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. 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, the Portfolio is treated as a separate taxpaying entity. The 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

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

 

2.   Agreements

The Series Fund, on behalf of the Portfolio, has entered into an investment management agreement with the Manager. Pursuant to this agreement, the Manager has responsibility for all investment advisory services and

 

B3

supervises the subadviser’s performance of such services. The Manager has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “subadviser”), under which Jennison provides investment advisory services for the Portfolio. The Manager pays for the services of the subadviser, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.75% of the Portfolio’s average daily net assets of the Portfolio. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.

The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolio. 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 Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was $4,131.

PGIM Investments, PIMS 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 Portfolio. 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 Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s 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 Fund 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.

The Portfolio 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 Securities and Exchange Commission (“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 such transactions were entered into by the Portfolio.

b.) Foreign Withholding Tax Reclaim Matters

As a result of the Portfolio’s tax status as a partnership, instead of a regulated investment company (RIC), the Portfolio is subject to higher foreign withholding tax rates on dividend and interest income in certain foreign

 

B4

jurisdictions and is subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”).

Prudential has instituted a process to reimburse the Portfolio 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 Portfolio’s partnership tax status.

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the Portfolio has the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid the Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by the Portfolio from a foreign tax authority for reclaims for which the 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 Portfolio 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 the Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolio does 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 amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as a partnership for tax purposes.

 

Portfolio

    2020 Payments  

Jennison 20/20 Focus Portfolio

    $ 3,158  

 

4.   Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were $84,565,860 and $96,928,602, respectively.

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:

 

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*

 

              
$    1,649,184    $ 47,653,930      $ 46,802,395      $ —      $ —     $ 2,500,719        2,500,719      $ 23,516  

PGIM Institutional Money Market Fund*

 

              

550,015

      74,421,291        62,072,858        3,952        (1,823 )      12,900,577        12,900,577        10,824 ** 

 

   

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  
$    2,199,199    $ 122,075,221      $ 108,875,253      $ 3,952      $ (1,823 )    $ 15,401,296         $ 34,340  

 

   

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

  

 

  *

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.

 

5.   Tax Information

The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 Portfolio, book cost of assets differs from tax cost of assets as a result of the 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.

 

B5

The Manager has analyzed the Portfolio’s 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 Portfolio’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolio’s 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.

 

6.   Borrowings

The Series Fund, on behalf of the 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 Portfolio utilized the SCA during the reporting period ended June 30, 2020. The average daily balance for the 3 days that the Portfolio had loans outstanding during the period was approximately $205,333, borrowed at a weighted average interest rate of 2.48%. The maximum loan outstanding amount during the period was $336,000. At June 30, 2020, the Portfolio had an outstanding loan balance of $157,000.

 

7.   Capital and Ownership

The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio 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 Portfolio 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

Jennison 20/20 Focus Portfolio—Class l

    1,818,956    100.0%

 

B6

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

Jennison 20/20 Focus Portfolio

   1   33.6%   2   57.3%

Transactions in shares of beneficial interest were as follows:

 

Class I:

    Shares     Amount  

Six months ended June 30, 2020:

     

Portfolio shares sold

      68,909     $ 2,513,672  

Portfolio shares repurchased

      (133,486 )      (4,852,389 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (64,577 )    $ (2,338,717 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      98,778     $ 3,376,115  

Portfolio shares repurchased

      (212,525 )      (7,260,173 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (113,747 )    $ (3,884,058 ) 
  

 

 

    

 

 

  
Class II:             

Six months ended June 30, 2020:

     

Portfolio shares sold

      53,961     $ 1,826,219  

Portfolio shares repurchased

      (331,832 )      (11,496,561 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (277,871 )    $ (9,670,342 ) 
  

 

 

    

 

 

  

Year ended December 31, 2019:

     

Portfolio shares sold

      110,457     $ 3,576,901  

Portfolio shares repurchased

      (966,559 )      (30,621,024 ) 
  

 

 

    

 

 

  

Net increase (decrease) in shares outstanding

      (856,102 )    $ (27,044,123 ) 
  

 

 

    

 

 

  

 

8.   Risks of Investing in the Portfolio

The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Portfolio’s risks, please refer to the Portfolio’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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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 Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolio’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 Risk:    Securities markets may be volatile and the market prices of the Portfolio’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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer

 

B7

or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

 

B8

Financial Highlights

(Unaudited)

 

Jennison 20/20 Focus 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

    $ 38.06     $ 29.52     $ 31.19     $ 23.94     $ 23.56     $ 22.16  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

             

Net investment income (loss)

      0.12       0.23       0.26       0.10       0.09       0.07  

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

      1.01       8.31       (1.95 )      7.15       0.27       1.33  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      1.13       8.54       (1.69 )      7.25       0.36       1.40  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Capital Contributions

      —       —       0.02 (c)      —       0.02 (d)      —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $   39.19     $   38.06     $   29.52     $   31.19     $   23.94     $   23.56  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(e)

      2.97 %      28.93 %      (5.35 )%(f)     30.28 %      1.61 %(g)     6.32 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

    $ 71     $ 72     $ 59     $ 69     $ 59     $ 65  

Average net assets (in millions)

    $ 67     $ 66     $ 69     $ 65     $ 60     $ 67  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

      0.86 %(i)      0.87 %      0.82 %      0.82 %      0.83 %      0.83 % 

Expenses before waivers and/or expense reimbursement

      0.86 %(i)      0.87 %      0.84 %      0.87 %      0.83 %      0.83 % 

Net investment income (loss)

      0.65 %(i)      0.66 %      0.80 %      0.36 %      0.39 %      0.30 % 

Portfolio turnover rate(j)

      48 %      61 %      42 %      99 %      69 %      64 % 
Jennison 20/20 Focus 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

    $ 36.17     $ 28.17     $ 29.88     $ 23.03     $ 22.75     $ 21.49  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income (Loss) From Investment Operations:

             

Net investment income (loss)

      0.04       0.09       0.13       (0.01 )      — (b)      (0.02 ) 

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

      0.96       7.91       (1.86 )      6.86       0.26       1.28  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

      1.00       8.00       (1.73 )      6.85       0.26       1.26  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Capital Contributions

      —       —       0.02 (c)      —       0.02 (d)      —  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net Asset Value, end of period

    $ 37.17     $ 36.17     $ 28.17     $ 29.88     $ 23.03     $ 22.75  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(e)

      2.76 %      28.40 %      (5.72 )%(f)     29.74 %      1.23 %(g)     5.86 % 

Ratios/Supplemental Data:

             

Net assets, end of period (in millions)

    $ 114     $ 121     $ 119     $ 156     $ 143     $ 160  

Average net assets (in millions)

    $ 111     $ 118     $ 147     $ 151     $ 146     $ 169  

Ratios to average net assets(h):

             

Expenses after waivers and/or expense reimbursement

      1.26 %(i)      1.27 %      1.22 %      1.22 %      1.23 %      1.23 % 

Expenses before waivers and/or expense reimbursement

      1.26 %(i)      1.27 %      1.24 %      1.27 %      1.23 %      1.23 % 

Net investment income (loss)

      0.25 %(i)      0.26 %      0.40 %      (0.04 )%      (0.01 )%      (0.10 )% 

Portfolio turnover rate(j)

      48 %      61 %      42 %      99 %      69 %      64 % 

 

(a)

Calculated based on average shares outstanding during the period.

 

(b)

Less than $0.005 per share.

 

(c)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

 

(d)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

 

(e)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

 

(f)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (5.41)% and (5.79)% for Class I and Class II, respectively.

 

(g)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.53% and 1.14% for Class I and Class II, respectively.

 

(h)

Does not include expenses of the underlying funds in which the Portfolio invests.

 

(i)

Annualized.

 

(j)

The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C1

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”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The 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 Portfolio’s investment manager, to serve as the administrator of the 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.

The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the 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 the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the 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 the Portfolio’s investment strategies continue to be appropriate given the 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 the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

C2

Approval of Advisory Agreements

Renewal of Management and Subadvisory Agreements: Jennison 20/20 Focus Portfolio

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) 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 the Jennison 20/20 Focus Portfolio’s (the Portfolio’s) subadvisory agreement with Jennison Associates LLC (Jennison or the subadviser). 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, the Portfolio and the 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 the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the 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 the subadviser, which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, the Portfolio and the 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 the 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 the subadviser. The Board noted that Jennison, which serves as the Portfolio’s subadviser, is affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolio’s liquidity risk management program. With respect to PGIM Investments’ oversight of the subadviser, 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 subadviser. 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 subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and the 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 Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PGIM Investments

The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affiliate 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 Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio 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 Subadviser

The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, 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 subadviser, 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 subadviser 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 subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolio / Fees and Expenses / Other Factors

With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio 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 the 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 the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for the 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 the 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 the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio 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 the 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.

 

PSF Jennison 20/20 Focus Portfolio

Gross Performance

   

1 Year

    3 Years    5 Years    10 Years
   3rd Quartile    1st Quartile    1st Quartile    4th Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

 

•  

The Board noted that the Portfolio outperformed its benchmark index over the three- and five-year periods, 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 has outperformed its benchmark and ranked in the first quartile of its Peer Universe over the trailing three- and five-year periods; and that the Portfolio outperformed its benchmark by 327 bps and its peer median by 265 bps during the first quarter of 2020.

 

•  

The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

 

 

 

 

 

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

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The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

 

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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

©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.

PSF-SAR-20/20 Focus

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.
     (2)   Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
     (3)   Any written solicitation to purchase securities under Rule 23c-1 – Not applicable.
  (b)    Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant:        The Prudential Series Fund
By:        /s/ Andrew R. French
   Andrew R. French
   Secretary
Date:      August 14, 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/ Timothy S. Cronin
   Timothy S. Cronin
   Principal Executive Officer
Date:      August 14, 2020
By:    /s/ Christian J. Kelly
   Christian J. Kelly
   Treasurer and Principal Financial and Accounting Officer
Date:    August 14, 2020