NPORT-EX 2 PI62350GovernmentIncPt.htm 38832 - Government Income
GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
Long-Term Investments — 100.8%
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%)
1.662%(c)   04/20/32     1,000   $ 999,043
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   1,999,962
Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
1.531%(c)   07/16/29     1,236   1,218,495
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%)
1.571%(c)   01/16/30     250   248,357
Battalion CLO Ltd.,
Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%)
1.623%(c)   01/17/33     2,500   2,491,646
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),
Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%)
1.592%(c)   01/20/32     750   745,295
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%)
1.518%(c)   04/22/30     1,990   1,959,133
Elevation CLO Ltd. (Cayman Islands),
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%)
1.495%(c)   07/15/30     2,000   1,983,546
Mountain View CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%)
1.765%(c)   04/15/29     2,000   1,998,566
Octagon Investment Partners 45 Ltd. (Cayman Islands),
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%)
1.605%(c)   10/15/32     2,250   2,249,995
OZLM Ltd. (Cayman Islands),
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
1.518%(c)   10/30/30     3,709   3,685,971
Race Point CLO Ltd. (Cayman Islands),
Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%)
1.485%(c)   10/15/30     995   993,241
Sound Point CLO Ltd. (Cayman Islands),
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.506%(c)   10/23/31     1,000   990,089
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%)
1.642%(c)   01/20/32     1,000   996,999
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
Asset-Backed Securities (continued)
Collateralized Loan Obligations (cont’d.)
Trimaran Cavu Ltd. (Cayman Islands),
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%)
1.732%(c)   07/20/32     2,500   $ 2,493,540
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%)
1.332%(c)   10/20/29     1,250   1,233,495
 
Total Asset-Backed Securities

(cost $25,762,711)
   26,287,373
Commercial Mortgage-Backed Securities —
15.2%
Barclays Commercial Mortgage Trust,
Series 2019-C04, Class A4
2.661%   08/15/52     3,000   3,255,578
CD Mortgage Trust,
Series 2019-CD08, Class A3
2.657%   08/15/57     4,000   4,349,559
Fannie Mae-Aces,
Series 2012-M02, Class A2
2.717%   02/25/22     99   100,912
Series 2018-M14, Class A1
3.697%(cc)   08/25/28     873   983,395
Series 2019-M01, Class A2
3.673%(cc)   09/25/28     1,100   1,303,932
FHLMC Multifamily Structured Pass-Through Certificates,
Series K0019, Class X1, IO
1.730%(cc)   03/25/22     15,189   287,225
Series K0020, Class X1, IO
1.493%(cc)   05/25/22     7,990   143,480
Series K0021, Class X1, IO
1.543%(cc)   06/25/22     8,644   158,705
Series K0025, Class X1, IO
0.929%(cc)   10/25/22     24,199   325,999
Series K0060, Class AM
3.300%(cc)   10/25/26     1,930   2,190,024
Series K0064, Class AM
3.327%(cc)   03/25/27     1,100   1,255,531
Series K0068, Class AM
3.315%   08/25/27     1,700   1,953,652
Series K0076, Class AM
3.900%   04/25/28     425   508,832
Series K0077, Class AM
3.850%(cc)   05/25/28     180   214,448
Series K0078, Class AM
3.920%   06/25/28     525   631,412
Series K0079, Class AM
3.930%   06/25/28     675   806,326
Series K0080, Class AM
3.986%(cc)   07/25/28     1,900   2,277,262
Series K0081, Class AM
3.900%(cc)   08/25/28     1,500   1,804,086
Series K0083, Class AM
4.030%(cc)   10/25/28     250   304,351
A1
GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Commercial Mortgage-Backed Securities
(continued)
Series K0084, Class AM
3.880%(cc)   10/25/28     1,300   $ 1,531,949
Series K0085, Class AM
4.060%(cc)   10/25/28     650   781,269
Series K0086, Class A2
3.859%(cc)   11/25/28     1,400   1,685,737
Series K0086, Class AM
3.919%(cc)   12/25/28     200   240,922
Series K0087, Class AM
3.832%(cc)   12/25/28     200   239,027
Series K0088, Class AM
3.761%(cc)   01/25/29     520   621,089
Series K0090, Class AM
3.492%(cc)   03/25/29     800   942,950
Series K0091, Class AM
3.566%   03/25/29     850   1,005,542
Series K0151, Class A3
3.511%   04/25/30     400   478,254
Series K0152, Class A2
3.080%   01/25/31     140   160,645
Series K0157, Class A2
3.990%(cc)   05/25/33     1,700   2,112,533
Series K0157, Class A3
3.990%(cc)   08/25/33     280   349,571
Series K1514, Class A2
2.859%   10/25/34     2,720   3,116,396
Series KC03, Class A2
3.499%   01/25/26     650   709,539
Series W5FX, Class AFX
3.336%(cc)   04/25/28     1,100   1,245,011
 
Total Commercial Mortgage-Backed Securities

(cost $33,569,381)
   38,075,143
Corporate Bonds — 1.1%
Diversified Financial Services
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%   02/16/21     1,445   1,458,076
U.S. Gov’t. Gtd. Notes, Series BB
4.300%   12/15/21     1,255   1,311,648
 
Total Corporate Bonds

(cost $2,736,826)
   2,769,724
Residential Mortgage-Backed Securities — 0.2%
Government National Mortgage Assoc.,
Series 2015-143, Class WA
4.000%   10/20/45     407   446,920
Merrill Lynch Mortgage Investors Trust,
Series 2003-E, Class A1, 1 Month LIBOR + 0.620% (Cap 11.750%, Floor 0.310%)
0.768%(c)   10/25/28     12   11,389
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Residential Mortgage-Backed Securities
(continued)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
3.170%(cc)   02/25/34     55   $ 54,354
 
Total Residential Mortgage-Backed Securities

(cost $494,992)
   512,663
U.S. Government Agency Obligations — 44.3%
Fannie Mae Principal Strips, MTN
2.001%(s)   10/08/27     350   323,054
Federal Home Loan Bank
3.250%   11/16/28     1,025   1,229,238
Federal Home Loan Mortgage Corp.
2.000%   01/01/32     235   245,191
2.500%   02/01/28     501   528,256
2.500%   03/01/30     411   436,256
2.500%   11/01/46     501   533,446
3.000%   06/01/29     294   314,909
3.000%   01/01/37     598   629,702
3.000%   10/01/39     500   523,575
3.000%   06/01/45     273   289,239
3.000%   01/01/48     602   630,041
3.500%   12/01/32     538   572,681
3.500%   07/01/42     476   514,906
3.500%   10/01/42     713   765,965
3.500%   08/01/43     933   1,011,384
3.500%   09/01/45     354   381,489
3.500%   10/01/45     379   403,684
3.500%   02/01/47     377   400,464
3.500%   07/01/47     881   936,152
3.500%   03/01/48     1,188   1,256,837
4.000%   06/01/26     35   36,694
4.000%   09/01/26     133   141,146
4.000%   09/01/40     274   300,724
4.000%   12/01/40     297   327,597
4.000%   12/01/40     317   350,185
4.000%   11/01/43     541   597,149
4.500%   09/01/39     1,028   1,156,619
4.500%   08/01/48     461   498,495
5.000%   06/01/33     238   272,483
5.000%   05/01/34     183   207,420
5.500%   05/01/37     43   49,865
5.500%   02/01/38     139   160,816
5.500%   05/01/38     61   70,449
6.000%   09/01/34     68   76,082
6.000%   01/01/37     69   80,772
6.000%   09/01/38     40   47,053
6.000%   08/01/39     49   57,910
6.250%   07/15/32     30   47,028
6.500%   09/01/32     19   21,346
Federal Home Loan Mortgage Corp., MTN
1.846%(s)   11/15/38     600   431,021
Federal National Mortgage Assoc.
0.875%   08/05/30     250   246,445
2.000%   TBA     500   519,531
2.000%   TBA     12,500   12,890,988
 
A2
GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
U.S. Government Agency Obligations (continued)
2.000%   08/01/31     227   $ 236,820
2.000%   10/01/34     97   100,505
2.500%   TBA     5,000   5,233,349
2.500%   03/01/24     45   46,894
2.500%   06/01/28     1,289   1,369,319
2.500%   02/01/43     161   171,731
2.500%   12/01/46     588   626,493
2.500%   05/01/50     1,474   1,546,918
2.500%   10/01/50     2,248   2,359,634
3.000%   TBA     2,000   2,095,547
3.000%   02/01/31     686   719,955
3.000%   11/01/36     536   560,714
3.000%   04/01/38     500   525,817
3.000%   03/01/43     735   782,890
3.000%   07/01/43     712   768,456
3.000%   07/01/43     899   958,711
3.000%   09/01/46     843   884,019
3.000%   11/01/46     334   351,482
3.000%   11/01/46     442   464,959
3.000%   11/01/46     1,902   1,994,959
3.000%   12/01/47     970   1,026,991
3.000%   02/01/50     500   523,532
3.000%   06/01/50     572   599,525
3.500%   07/01/31     777   835,905
3.500%   02/01/33     144   152,013
3.500%   06/01/39     226   244,731
3.500%   04/01/42     389   425,074
3.500%   06/01/42     638   696,158
3.500%   07/01/42     402   435,167
3.500%   07/01/42     725   791,184
3.500%   06/01/45     1,308   1,395,488
3.500%   07/01/46     563   598,351
3.500%   12/01/46     348   371,135
3.500%   12/01/46     784   849,303
3.500%   11/01/48     920   975,709
4.000%   09/01/40     998   1,095,389
4.000%   06/01/42     730   796,780
4.000%   09/01/44     493   535,982
4.000%   09/01/44     782   850,268
4.000%   04/01/45     466   504,998
4.000%   07/01/45     412   445,525
4.000%   10/01/45     584   631,022
4.000%   10/01/46     202   218,350
4.000%   02/01/47     245   261,955
4.000%   06/01/47     337   361,944
4.000%   07/01/47     357   382,614
4.000%   10/01/47     1,051   1,124,645
4.000%   11/01/47     276   296,182
4.000%   11/01/47     444   476,118
4.500%   05/01/40     1,622   1,824,749
4.500%   04/01/42     586   659,268
5.000%   12/01/31     25   27,133
5.000%   03/01/34     259   297,174
5.000%   06/01/35     114   130,765
5.000%   07/01/35     57   65,391
5.000%   05/01/36     77   88,117
5.500%   02/01/34     183   215,425
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
U.S. Government Agency Obligations (continued)
5.500%   09/01/34     193   $ 227,340
5.500%   02/01/35     199   229,439
5.500%   06/01/35     34   37,774
5.500%   06/01/35     101   113,046
5.500%   09/01/35     37   40,503
5.500%   09/01/35     97   109,419
5.500%   10/01/35     176   201,396
5.500%   11/01/35     101   112,879
5.500%   11/01/35     249   288,224
5.500%   11/01/35     346   407,826
6.000%   05/01/21     2   1,802
6.000%   12/01/33     10   11,158
6.000%   02/01/34     89   105,379
6.000%   08/01/34     —(r )   423
6.000%   11/01/34     —(r )   541
6.000%   12/01/34     1   1,003
6.000%   01/01/35     19   21,408
6.000%   01/01/36     58   65,294
6.000%   05/01/38     35   40,676
6.500%   07/01/32     157   186,450
6.500%   08/01/32     64   73,608
6.500%   10/01/32     200   239,279
6.500%   10/01/37     102   122,597
6.625%   11/15/30     435   668,071
7.000%   12/01/31     —(r )   500
7.000%   12/01/31     66   77,170
7.000%   01/01/36     15   18,311
8.000%   10/01/23     —(r )   88
8.000%   09/01/24     1   765
8.000%   11/01/24     1   889
8.000%   01/01/26     —(r )   189
9.000%   02/01/25     6   6,344
9.000%   04/01/25     3   3,119
Government National Mortgage Assoc.
2.500%   TBA     5,500   5,764,473
2.500%   12/20/46     206   216,874
3.000%   03/15/45     949   988,089
3.000%   07/20/46     963   1,017,312
3.000%   09/20/46     1,036   1,095,703
3.000%   10/20/46     257   270,758
3.000%   04/20/47     1,093   1,156,156
3.000%   12/20/48     701   735,229
3.000%   04/20/49     769   806,443
3.500%   01/20/43     807   875,853
3.500%   04/20/43     393   426,815
3.500%   03/20/45     617   659,256
3.500%   04/20/45     511   545,586
3.500%   04/20/46     871   931,328
3.500%   07/20/46     1,326   1,415,967
3.500%   07/20/48     1,233   1,308,778
3.500%   11/20/48     321   338,322
3.500%   01/20/49     536   568,023
3.500%   05/20/49     1,312   1,381,147
3.500%   12/20/49     713   749,505
4.000%   06/15/40     132   142,694
4.000%   08/20/46     511   550,248
4.000%   11/20/46     308   331,028
 
A3
GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
U.S. Government Agency Obligations (continued)
4.000%   09/20/47     501   $ 537,995
4.000%   02/20/49     854   909,294
4.500%   02/20/41     377   423,509
4.500%   03/20/41     320   355,473
4.500%   06/20/44     242   268,776
4.500%   09/20/46     301   332,039
4.500%   11/20/46     596   661,385
4.500%   01/20/47     76   83,852
5.000%   07/15/33     112   128,669
5.000%   09/15/33     171   194,577
5.000%   04/15/34     76   83,112
5.000%   10/20/48     189   207,046
5.500%   03/15/34     212   247,751
5.500%   03/15/36     46   52,639
6.500%   07/15/32     16   17,997
6.500%   08/15/32     2   2,229
6.500%   08/15/32     3   3,450
6.500%   08/15/32     11   12,651
6.500%   08/15/32     69   81,807
7.000%   05/15/23     2   1,826
7.000%   06/15/23     1   559
7.000%   06/15/23     3   2,647
7.000%   06/15/23     3   3,248
7.000%   07/15/23     —(r )   311
7.000%   07/15/23     8   7,805
7.000%   08/15/23     1   1,018
7.000%   08/15/23     3   2,651
7.000%   09/15/23     1   845
7.000%   10/15/23     2   1,667
7.000%   10/15/23     2   1,690
7.000%   11/15/23     2   1,996
7.000%   11/15/23     5   5,206
7.000%   01/15/24     31   32,898
7.000%   05/15/24     21   21,801
7.000%   08/15/28     30   35,379
7.500%   12/15/25     2   1,610
7.500%   12/15/25     22   24,651
7.500%   02/15/26     4   4,393
8.500%   09/15/24     32   34,430
8.500%   04/15/25     4   4,021
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes
2.938%(s)   05/15/26     355   334,611
5.500%   09/18/33     300   450,179
Resolution Funding Corp., Interest Strips, Bonds
1.636%(s)   04/15/28     500   468,522
2.197%(s)   01/15/30     140   125,176
2.477%(s)   01/15/29     300   270,310
3.624%(s)   04/15/30     500   442,174
Resolution Funding Corp., Principal Strips, Bonds, PO
1.875%(s)   01/15/30     285   255,794
3.143%(s)   04/15/30     2,305   2,061,193
Tennessee Valley Authority, Sr. Unsec’d. Notes
0.750%   05/15/25     325   329,110
2.875%   02/01/27     175   198,701
5.880%   04/01/36     230   359,351
6.750%   11/01/25     510   668,206
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
U.S. Government Agency Obligations (continued)
7.125%   05/01/30     530   $ 815,950
 
Total U.S. Government Agency Obligations

(cost $106,585,101)
   110,786,196
U.S. Treasury Obligations — 29.5%
U.S. Treasury Bonds
2.875%   05/15/43(a)(k)     4,290   5,601,131
3.000%   11/15/44(a)     170   227,162
3.125%   02/15/43     130   176,130
3.625%   08/15/43     6,090   8,879,030
3.750%   11/15/43(a)     21,640   32,145,544
U.S. Treasury Notes
0.250%   09/30/25     370   369,509
0.375%   09/30/27     70   69,530
0.625%   08/15/30     770   765,548
U.S. Treasury Strips Coupon
0.807%(s)   11/15/29     15   13,989
1.020%(s)   05/15/33     375   328,887
1.123%(s)   05/15/36     350   291,307
1.159%(s)   02/15/36     120   100,341
1.225%(s)   02/15/41     130   98,338
1.351%(s)   08/15/43     205   146,407
1.450%(s)   08/15/42     60   43,936
1.463%(s)   11/15/42     155   112,877
1.488%(s)   11/15/41     730   541,968
1.982%(s)   08/15/39     2,120   1,657,244
1.990%(s)   02/15/39     2,900   2,286,922
2.010%(s)   08/15/30     1,060   975,655
2.022%(s)   02/15/37     240   196,959
2.056%(s)   11/15/38     345   273,736
2.169%(s)   05/15/39     990   777,421
2.172%(s)   02/15/28(k)     550   525,830
2.334%(s)   08/15/41     3,115   2,333,330
2.353%(s)   02/15/44     780   550,052
2.365%(s)   05/15/44     2,860   2,002,782
2.370%(s)   05/15/29     565   531,188
2.380%(s)   05/15/41     1,855   1,394,148
2.434%(s)   11/15/45     345   234,371
2.436%(s)   02/15/46     390   262,138
2.506%(s)   11/15/43     4,315   3,060,447
2.741%(s)   08/15/27     2,575   2,476,929
2.857%(s)   05/15/31     500   453,887
3.019%(s)   11/15/35     695   583,718
3.176%(s)   08/15/40     800   611,969
4.096%(s)   02/15/42(k)     3,725   2,759,119
 
Total U.S. Treasury Obligations

(cost $63,903,645)
   73,859,479
 
Total Long-Term Investments

(cost $233,052,656)
   252,290,578
    
 
A4
GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
      Shares   Value
Short-Term Investments — 24.9%
Affiliated Mutual Funds — 24.8%
PGIM Core Ultra Short Bond Fund(w)
 27,533,576   $ 27,533,576
PGIM Institutional Money Market Fund

(cost $34,505,981; includes $34,499,571 of cash collateral for securities on loan)(b)(w)
 34,515,369   34,508,466
 
Total Affiliated Mutual Funds

(cost $62,039,557)
   62,042,042
Options Purchased*~ — 0.1%
(cost $7,009)
   426,115
 
Total Short-Term Investments

(cost $62,046,566)
   62,468,157
 
TOTAL INVESTMENTS—125.7%

(cost $295,099,222)
   314,758,735
 
Liabilities in excess of other assets(z) — (25.7)%
   (64,347,262 )
 
Net Assets — 100.0%
   $ 250,411,473
    
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings:
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
Aces Alternative Credit Enhancements Securities
CLO Collateralized Loan Obligation
CMS Constant Maturity Swap
IO Interest Only (Principal amount represents notional)
LIBOR London Interbank Offered Rate
MTN Medium Term Note
PO Principal Only
Strips Separate Trading of Registered Interest and Principal of Securities
TBA To Be Announced
USAID United States Agency for International Development
USOIS United States Overnight Index Swap
    
* 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 $33,567,174; cash collateral of $34,499,571 (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 September 30, 2020.
(cc) Variable rate instrument. The rate shown is based on the latest available information as of September 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.
(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%   —   1,227   $ 29,287
2-Year 10 CMS Curve CAP   Call   Barclays Bank PLC   07/13/21   0.11%   —   1,193   28,477
2-Year 10 CMS Curve CAP   Call   Bank of America, N.A.   08/16/21   0.15%   —   2,982   67,559
2-Year 10 CMS Curve CAP   Call   Bank of America, N.A.   08/20/21   0.15%   —   5,920   134,350
2-Year 10 CMS Curve CAP   Call   Bank of America, N.A.   09/13/21   0.14%   —   6,000   140,902
2-Year 10 CMS Curve CAP   Call   Barclays Bank PLC   11/09/21   0.21%   —   1,193   25,540
Total Options Purchased (cost $7,009)       $426,115
A5
GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Futures contracts outstanding at September 30, 2020:
Number
of
Contracts 		  Type   Expiration
Date 		  Current
Notional
Amount 		  Value /
Unrealized
Appreciation
(Depreciation)
Long Positions:
166   2 Year U.S. Treasury Notes   Dec. 2020   $36,679,516   $ 14,291
326   5 Year U.S. Treasury Notes   Dec. 2020   41,086,187   31,341
1   10 Year U.S. Treasury Notes   Dec. 2020   139,531   92
8   10 Year U.S. Ultra Treasury Notes   Dec. 2020   1,279,375   (1,220 )
                44,504
Short Positions:
309   20 Year U.S. Treasury Bonds   Dec. 2020   54,470,906   360,542
31   30 Year U.S. Ultra Treasury Bonds   Dec. 2020   6,876,188   68,050
                428,592
                $473,096
Interest rate swap agreements outstanding at September 30, 2020:
Notional
Amount
(000)# 		  Termination
Date 		  Fixed
Rate 		  Floating
Rate 		  Value at
Trade Date 		  Value at
September 30,
2020 		  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Interest Rate Swap Agreement:
  730   08/09/49   1.508%(A)   1 Day USOIS(1)(A)   $(107,931)   $(112,832)   $(4,901)
    
(1) The Portfolio pays the fixed rate and receives the floating rate.
(2) The Portfolio pays the floating rate and receives the fixed rate.
Other information regarding the Portfolio is available in the Portfolio’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
A6