NPORT-EX 2 PI62360HighYieldBdPt.htm 603207 High Yield Bond
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
Long-Term Investments — 95.3%
Asset-Backed Securities — 5.1%
Collateralized Loan Obligations
Cathedral Lake CLO Ltd. (Cayman Islands),
Series 2016-04A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%)
1.522%(c)   10/20/28     5,000   $ 4,943,862
Elevation CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% (Cap N/A, Floor 0.000%)
1.505%(c)   10/15/29     5,000   4,955,861
Flatiron CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.890% (Cap N/A, Floor 0.000%)
1.165%(c)   04/15/27     1,004   1,002,058
JMP Credit Advisors CLO Ltd. (Cayman Islands),
Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
1.553%(c)   07/17/29     4,926   4,845,224
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     4,175   4,172,007
OZLM Ltd. (Cayman Islands),
Series 2015-13A, Class A1R, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%)
1.348%(c)   07/30/27     494   492,000
Regatta Funding LP (Cayman Islands),
Series 2013-02A, Class A1R2, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%)
1.525%(c)   01/15/29     3,500   3,484,303
Wellfleet CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)
1.552%(c)   07/20/29     1,983   1,974,690
 
Total Asset-Backed Securities

(cost $25,615,805)
   25,870,005
Bank Loans — 5.3%
Chemicals — 0.8%
Nouryon USA LLC (Netherlands),
Initial Dollar Term Loan, 1 Month LIBOR + 3.000%
3.151%(c)   10/01/25     594   573,029
Solenis International LP,
First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000%
4.256%(c)   06/26/25     1,557   1,518,202
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500%
8.756%(c)   06/26/26     1,931   1,796,063
              3,887,294
Commercial Services — 0.1%
MPH Acquisition Holdings LLC,
Initial Term Loan, 3 Month LIBOR + 2.750%
3.750%(c)   06/07/23     600   589,286
Computers — 1.0%
Everi Payments, Inc.,
Term Loan, 1 Month LIBOR + 10.500%
11.500%(c)   05/09/24^     100   101,246
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Bank Loans (continued)
Computers (cont’d.)
McAfee LLC,
Second Lien Initial Loan, 1 Month LIBOR + 8.500%
9.500%(c)   09/29/25     2,798   $ 2,807,337
Term B USD Loan, 1 Month LIBOR + 3.750%
3.896%(c)   09/30/24     2,147   2,127,692
              5,036,275
Electric — 0.5%
Calpine Corp.,
Term Loan (05/15), 1 Month LIBOR + 2.250%
2.400%(c)   01/15/24     733   712,308
Heritage Power LLC,
Term Loan B, 3 Month LIBOR + 6.000%
7.000%(c)   07/30/26     1,975   1,878,719
              2,591,027
Electronics — 0.1%
Tiger Merger Sub Co.,
Non-FILO Term Loan, 1 Month LIBOR + 3.500%
3.645%(c)   06/30/25     575   575,479
Engineering & Construction — 0.2%
Landry’s Finance Acquisition Co.,
2020 Initial Term Loan, 3 Month LIBOR + 12.000%
13.000%(c)   10/06/23^     716   823,960
13.000%(c)   10/06/23^     59   67,290
              891,250
Entertainment — 0.6%
Playtika Holding Corp.,
Term B Loan, 3 Month LIBOR + 6.000%
7.000%(c)   12/10/24     2,045   2,046,079
Scientific Games International, Inc.,
Initial Term B-5 Loan, 1 - 3 Month LIBOR + 2.750%
3.254%(c)   08/14/24     418   392,919
Twin River Worldwide Holdings, Inc.,
Term B-1 Facility Loan, 3 Month LIBOR + 8.000%
9.000%(c)   05/11/26     500   530,625
              2,969,623
Oil & Gas — 0.6%
Chesapeake Energy Corp.,
Class A Loan, 3 Month LIBOR + 8.000% (Cap N/A, Floor 1.000%)
9.000%(c)   06/24/24     3,600   2,520,000
Citgo Petroleum Corp.,
2019 Incremental Term B Loan, 3 Month LIBOR + 5.000%
6.000%(c)   03/27/24     764   722,652
              3,242,652
Pharmaceuticals — 0.3%
Mallinckrodt International Finance SA,
2017 Term B Loan, 3 Month LIBOR + 2.750%
3.500%(c)   09/24/24     520   434,091
2018 Incremental Term Loan, 3 - 6 Month LIBOR + 3.000%
3.750%(c)   02/24/25     173   146,049
A1
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Bank Loans (continued)
Pharmaceuticals (cont’d.)
Milano Acquisition Corp.,
Term Loan
—%(p)   08/17/27     800   $ 790,000
              1,370,140
Retail — 0.1%
EG America LLC (United Kingdom),
Second Lien Facility (USD), 3 Month LIBOR + 8.000%
9.000%(c)   04/20/26     467   450,949
Software — 0.7%
Boxer Parent Co., Inc.,
Initial Dollar Term Loan, 1 Month LIBOR + 4.250%
4.397%(c)   10/02/25     611   592,250
Championx Holding, Inc.,
Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250%
8.250%(c)   06/13/25     1,075   1,008,964
Informatica LLC,
Second Lien Initial Loan
7.125%   02/25/25     500   506,875
TIBCO Software, Inc.,
Second Lien Term Loan, 1 Month LIBOR + 7.250%
7.400%(c)   03/03/28     850   826,625
Term Loan B-3, 1 Month LIBOR + 3.750%
3.900%(c)   06/30/26     447   434,348
              3,369,062
Telecommunications — 0.3%
West Corp.,
Initial Term B Loan, 1 Month LIBOR + 4.000%
5.000%(c)   10/10/24     149   135,030
Xplornet Communications, Inc. (Canada),
Initial Term Loan, 1 Month LIBOR + 4.750%
4.897%(c)   06/10/27     1,371   1,342,989
              1,478,019
 
Total Bank Loans

(cost $27,478,430)
   26,451,056
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   49,873
(cost $8,312)        
Corporate Bonds — 84.1%
Advertising — 0.7%
Clear Channel International BV,
Sr. Sec’d. Notes, 144A
6.625%   08/01/25     200   204,837
National CineMedia LLC,
Sr. Sec’d. Notes, 144A
5.875%   04/15/28     575   481,319
Sr. Unsec’d. Notes
5.750%   08/15/26     1,625   1,113,059
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Advertising (cont’d.)
Terrier Media Buyer, Inc.,
Gtd. Notes, 144A
8.875%   12/15/27(a)     1,900   $ 1,914,665
              3,713,880
Aerospace & Defense — 1.7%
Boeing Co. (The),
Sr. Unsec’d. Notes
5.150%   05/01/30     1,900   2,144,957
5.805%   05/01/50     2,450   2,955,282
Howmet Aerospace, Inc.,
Sr. Unsec’d. Notes
6.875%   05/01/25     400   441,943
Spirit AeroSystems, Inc.,
Sec’d. Notes, 144A
7.500%   04/15/25(a)     800   810,183
SSL Robotics LLC,
Sr. Sec’d. Notes, 144A
9.750%   12/31/23     975   1,076,787
TransDigm UK Holdings PLC,
Gtd. Notes
6.875%   05/15/26     200   200,996
TransDigm, Inc.,
Gtd. Notes
6.375%   06/15/26     332   333,235
6.500%   07/15/24(a)     325   324,140
6.500%   05/15/25     175   174,446
              8,461,969
Agriculture — 0.5%
Vector Group Ltd.,
Gtd. Notes, 144A
10.500%   11/01/26     350   356,579
Sr. Sec’d. Notes, 144A
6.125%   02/01/25     1,925   1,925,821
              2,282,400
Apparel — 0.2%
William Carter Co. (The),
Gtd. Notes, 144A
5.500%   05/15/25(a)     575   605,115
Wolverine World Wide, Inc.,
Gtd. Notes, 144A
5.000%   09/01/26     150   150,344
6.375%   05/15/25     425   449,036
              1,204,495
Auto Manufacturers — 2.1%
Allison Transmission, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%   10/01/27     175   180,247
5.875%   06/01/29     225   243,282
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%   01/15/43     1,250   1,132,228
5.291%   12/08/46(a)     3,575   3,332,846
 
A2
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Auto Manufacturers (cont’d.)
9.000%   04/22/25     725   $ 830,620
9.625%   04/22/30(a)     440   568,348
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
5.584%   03/18/24     625   650,218
Navistar International Corp.,
Gtd. Notes, 144A
6.625%   11/01/25     2,575   2,642,239
Sr. Sec’d. Notes, 144A
9.500%   05/01/25     300   336,985
PM General Purchaser LLC,
Sr. Sec’d. Notes, 144A
9.500%   10/01/28     525   544,432
              10,461,445
Auto Parts & Equipment — 1.7%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
4.875%   08/15/26     2,175   2,071,688
Adient US LLC,
Sr. Sec’d. Notes, 144A
9.000%   04/15/25     200   221,495
American Axle & Manufacturing, Inc.,
Gtd. Notes
6.250%   03/15/26(a)     2,373   2,299,084
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625%   11/15/26     875   611,834
Dana Financing Luxembourg Sarl,
Gtd. Notes, 144A
5.750%   04/15/25(a)     475   487,179
6.500%   06/01/26(a)     1,775   1,851,371
Dana, Inc.,
Sr. Unsec’d. Notes
5.375%   11/15/27     175   179,474
5.625%   06/15/28     150   154,936
Titan International, Inc.,
Sr. Sec’d. Notes
6.500%   11/30/23     1,100   825,984
              8,703,045
Banks — 0.2%
CIT Group, Inc.,
Sub. Notes
6.125%   03/09/28(a)     975   1,115,066
Building Materials — 2.3%
Cornerstone Building Brands, Inc.,
Gtd. Notes, 144A
6.125%   01/15/29(a)     750   759,961
8.000%   04/15/26(a)     1,100   1,155,073
Forterra Finance LLC/FRTA Finance Corp.,
Sr. Sec’d. Notes, 144A
6.500%   07/15/25     225   237,714
Griffon Corp.,
Gtd. Notes
5.750%   03/01/28(a)     1,100   1,149,809
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Building Materials (cont’d.)
JELD-WEN, Inc.,
Gtd. Notes, 144A
4.625%   12/15/25     350   $ 352,176
Sr. Sec’d. Notes, 144A
6.250%   05/15/25     450   479,703
Masonite International Corp.,
Gtd. Notes, 144A
5.375%   02/01/28     375   400,330
5.750%   09/15/26     75   78,062
Patrick Industries, Inc.,
Gtd. Notes, 144A
7.500%   10/15/27     675   733,995
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
3.375%   01/15/31     600   591,945
4.375%   07/15/30     675   692,320
4.750%   01/15/28(a)     825   856,991
5.000%   02/15/27     790   822,092
Summit Materials LLC/Summit Materials Finance Corp.,
Gtd. Notes, 144A
5.250%   01/15/29(a)     720   749,363
6.500%   03/15/27     300   319,500
U.S. Concrete, Inc.,
Gtd. Notes
6.375%   06/01/24(a)     2,000   2,067,143
Gtd. Notes, 144A
5.125%   03/01/29     300   300,687
              11,746,864
Chemicals — 4.0%
Ashland LLC,
Gtd. Notes
6.875%   05/15/43     1,705   2,182,953
Atotech Alpha 2 BV (Germany),
Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500%
8.750%   06/01/23     875   881,034
Atotech Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom),
Gtd. Notes, 144A
6.250%   02/01/25     450   455,130
Chemours Co. (The),
Gtd. Notes
5.375%   05/15/27     1,190   1,181,546
6.625%   05/15/23(a)     490   496,401
7.000%   05/15/25(a)     1,355   1,377,441
Cornerstone Chemical Co.,
Sr. Sec’d. Notes, 144A
6.750%   08/15/24     1,110   1,041,434
Hexion, Inc.,
Gtd. Notes, 144A
7.875%   07/15/27(a)     1,400   1,409,818
Minerals Technologies, Inc.,
Gtd. Notes, 144A
5.000%   07/01/28     340   349,616
Nouryon Holding BV (Netherlands),
Sr. Unsec’d. Notes, 144A
8.000%   10/01/26(a)     1,365   1,448,976
 
A3
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Chemicals (cont’d.)
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
5.250%   06/01/27     1,486   $ 1,396,943
Olin Corp.,
Sr. Unsec’d. Notes, 144A
9.500%   06/01/25     530   617,324
Rain CII Carbon LLC/CII Carbon Corp.,
Sec’d. Notes, 144A
7.250%   04/01/25     1,180   1,133,557
TPC Group, Inc.,
Sr. Sec’d. Notes, 144A
10.500%   08/01/24     1,510   1,267,402
Tronox Finance PLC,
Gtd. Notes, 144A
5.750%   10/01/25(a)     1,700   1,676,829
Tronox, Inc.,
Gtd. Notes, 144A
6.500%   04/15/26(a)     820   821,285
Sr. Sec’d. Notes, 144A
6.500%   05/01/25     550   573,401
Venator Finance Sarl/Venator Materials LLC,
Gtd. Notes, 144A
5.750%   07/15/25(a)     1,155   998,398
Sr. Sec’d. Notes, 144A
9.500%   07/01/25     500   529,885
W.R. Grace & Co.-Conn.,
Gtd. Notes, 144A
4.875%   06/15/27     300   309,387
              20,148,760
Commercial Services — 3.2%
Allied Universal Holdco LLC/Allied Universal Finance Corp.,
Sr. Sec’d. Notes, 144A
6.625%   07/15/26(a)     510   542,228
Sr. Unsec’d. Notes, 144A
9.750%   07/15/27     1,325   1,441,002
AMN Healthcare, Inc.,
Gtd. Notes, 144A
4.625%   10/01/27     375   384,388
Brink’s Co. (The),
Gtd. Notes, 144A
5.500%   07/15/25(a)     655   682,239
Gartner, Inc.,
Gtd. Notes, 144A
3.750%   10/01/30     250   253,190
4.500%   07/01/28     220   230,265
Laureate Education, Inc.,
Gtd. Notes, 144A
8.250%   05/01/25(a)     2,260   2,401,764
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.625%   10/01/28(a)     550   566,201
5.875%   10/01/30     165   171,524
Refinitiv US Holdings, Inc.,
Gtd. Notes, 144A
8.250%   11/15/26(a)     62   67,954
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Commercial Services (cont’d.)
Sabre GLBL, Inc.,
Sr. Sec’d. Notes, 144A
7.375%   09/01/25(a)     425   $ 428,741
Service Corp. International,
Sr. Unsec’d. Notes
3.375%   08/15/30     255   255,339
United Rentals North America, Inc.,
Gtd. Notes
3.875%   02/15/31(a)     575   583,419
4.000%   07/15/30(a)     500   514,300
4.875%   01/15/28(a)     4,000   4,203,513
5.250%   01/15/30(a)     1,000   1,092,075
Verscend Escrow Corp.,
Sr. Unsec’d. Notes, 144A
9.750%   08/15/26(a)     2,165   2,354,473
              16,172,615
Computers — 1.4%
Banff Merger Sub, Inc.,
Sr. Unsec’d. Notes, 144A
9.750%   09/01/26(a)     2,820   2,979,502
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%   12/15/25(a)     1,417   1,387,718
NCR Corp.,
Gtd. Notes, 144A
5.000%   10/01/28(a)     425   425,109
5.250%   10/01/30     275   274,914
8.125%   04/15/25(a)     275   304,042
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.,
Sr. Sec’d. Notes, 144A
5.750%   06/01/25     300   313,911
Sr. Unsec’d. Notes, 144A
6.750%   06/01/25(a)     1,354   1,381,392
              7,066,588
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)     1,375   1,382,976
H&E Equipment Services, Inc.,
Gtd. Notes
5.625%   09/01/25(a)     475   495,035
Performance Food Group, Inc.,
Gtd. Notes, 144A
5.500%   10/15/27     50   51,477
              1,929,488
Diversified Financial Services — 2.9%
Alliance Data Systems Corp.,
Gtd. Notes, 144A
4.750%   12/15/24(a)     800   749,251
Fairstone Financial, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.875%   07/15/24     430   444,755
 
A4
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Diversified Financial Services (cont’d.)
LPL Holdings, Inc.,
Gtd. Notes, 144A
5.750%   09/15/25     725   $ 749,374
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
6.000%   01/15/27     1,050   1,071,137
9.125%   07/15/26     4,650   4,995,550
OneMain Finance Corp.,
Gtd. Notes
6.625%   01/15/28     1,125   1,247,603
6.875%   03/15/25(a)     1,100   1,221,441
7.125%   03/15/26     2,725   3,042,888
PennyMac Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%   10/15/25     650   657,840
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,
Gtd. Notes, 144A
3.875%   03/01/31(a)     550   545,209
              14,725,048
Electric — 3.0%
Calpine Corp.,
Sr. Unsec’d. Notes, 144A
4.625%   02/01/29     900   900,469
5.000%   02/01/31(a)     1,375   1,401,183
5.125%   03/15/28(a)     4,400   4,551,805
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   518,614
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   740,376
Gtd. Notes, 144A
5.250%   06/15/29(a)     500   545,680
PG&E Corp.,
Sr. Sec’d. Notes
5.000%   07/01/28(a)     935   906,308
5.250%   07/01/30(a)     2,705   2,615,995
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.000%   07/31/27     815   856,089
5.500%   09/01/26     1,350   1,410,677
5.625%   02/15/27     633   668,030
              15,278,333
Electrical Components & Equipment — 0.2%
WESCO Distribution, Inc.,
Gtd. Notes, 144A
7.125%   06/15/25     500   544,312
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Electrical Components & Equipment (cont’d.)
7.250%   06/15/28     585   $ 640,738
              1,185,050
Electronics — 0.2%
Itron, Inc.,
Gtd. Notes, 144A
5.000%   01/15/26(a)     450   459,001
Sensata Technologies, Inc.,
Gtd. Notes, 144A
3.750%   02/15/31     250   248,685
              707,686
Energy-Alternate Sources — 0.1%
Enviva Partners LP/Enviva Partners Finance Corp.,
Gtd. Notes, 144A
6.500%   01/15/26     450   473,737
Engineering & Construction — 0.6%
AECOM,
Gtd. Notes
5.125%   03/15/27(a)     775   836,455
5.875%   10/15/24     325   352,930
PowerTeam Services LLC,
Sr. Sec’d. Notes, 144A
9.033%   12/04/25     550   581,002
TopBuild Corp.,
Gtd. Notes, 144A
5.625%   05/01/26     1,275   1,321,598
              3,091,985
Entertainment — 4.3%
AMC Entertainment Holdings, Inc.,
Sec’d. Notes, 144A, Cash coupon 10.000% / PIK 12.000% or Cash coupon 5.000% and PIK 6.000%
12.000%   06/15/26     3,371   909,535
Sr. Sec’d. Notes, 144A
10.500%   04/24/26     397   285,840
Caesars Entertainment, Inc.,
Sr. Sec’d. Notes, 144A
6.250%   07/01/25(a)     505   526,665
Sr. Unsec’d. Notes, 144A
8.125%   07/01/27     785   831,658
Caesars Resort Collection LLC/CRC Finco, Inc.,
Gtd. Notes, 144A
5.250%   10/15/25(a)     2,875   2,778,153
Cedar Fair LP,
Gtd. Notes
5.250%   07/15/29(a)     500   474,506
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.,
Gtd. Notes
5.375%   06/01/24     75   71,853
Golden Entertainment, Inc.,
Sr. Unsec’d. Notes, 144A
7.625%   04/15/26(a)     2,025   1,998,670
International Game Technology PLC,
Sr. Sec’d. Notes, 144A
5.250%   01/15/29     400   405,162
 
A5
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Entertainment (cont’d.)
6.250%   01/15/27(a)     450   $ 482,364
6.500%   02/15/25(a)     975   1,038,902
Jacobs Entertainment, Inc.,
Sec’d. Notes, 144A
7.875%   02/01/24(a)     1,325   1,292,015
Merlin Entertainments Ltd. (United Kingdom),
Gtd. Notes, 144A
5.750%   06/15/26     200   190,494
Motion Bondco DAC (United Kingdom),
Gtd. Notes, 144A
6.625%   11/15/27     900   778,882
Penn National Gaming, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%   01/15/27(a)     1,525   1,582,121
Scientific Games International, Inc.,
Gtd. Notes, 144A
7.000%   05/15/28     500   501,531
7.250%   11/15/29     175   177,593
8.250%   03/15/26(a)     2,847   2,974,961
8.625%   07/01/25     1,075   1,121,844
Six Flags Entertainment Corp.,
Gtd. Notes, 144A
4.875%   07/31/24(a)     550   517,306
5.500%   04/15/27(a)     475   450,644
Twin River Worldwide Holdings, Inc.,
Sr. Unsec’d. Notes, 144A
6.750%   06/01/27     1,375   1,370,976
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.,
Gtd. Notes, 144A
5.125%   10/01/29(a)     470   455,606
Sr. Unsec’d. Notes, 144A
7.750%   04/15/25     225   238,142
              21,455,423
Foods — 1.9%
Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC,
Gtd. Notes, 144A
3.500%   03/15/29     900   873,111
4.875%   02/15/30     500   522,849
B&G Foods, Inc.,
Gtd. Notes
5.250%   09/15/27(a)     485   504,702
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%   06/15/25     1,325   1,366,569
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.,
Gtd. Notes, 144A
6.500%   04/15/29     455   505,182
Sr. Unsec’d. Notes, 144A
5.500%   01/15/30     2,100   2,288,928
Pilgrim’s Pride Corp.,
Gtd. Notes, 144A
5.750%   03/15/25     275   280,586
5.875%   09/30/27(a)     2,150   2,234,070
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Foods (cont’d.)
US Foods, Inc.,
Gtd. Notes, 144A
5.875%   06/15/24(a)     1,100   $ 1,108,089
              9,684,086
Gas — 0.9%
AmeriGas Partners LP/AmeriGas Finance Corp.,
Sr. Unsec’d. Notes
5.500%   05/20/25     1,475   1,583,276
5.625%   05/20/24     250   264,994
5.750%   05/20/27(a)     1,475   1,630,458
5.875%   08/20/26     975   1,072,370
              4,551,098
Healthcare-Services — 3.3%
Acadia Healthcare Co., Inc.,
Gtd. Notes
6.500%   03/01/24     150   153,854
DaVita, Inc.,
Gtd. Notes, 144A
4.625%   06/01/30     800   818,471
Encompass Health Corp.,
Gtd. Notes
4.625%   04/01/31     175   175,000
Hadrian Merger Sub, Inc.,
Sr. Unsec’d. Notes, 144A
8.500%   05/01/26(a)     375   373,445
MEDNAX, Inc.,
Gtd. Notes, 144A
5.250%   12/01/23     250   253,021
6.250%   01/15/27(a)     475   492,973
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.,
Gtd. Notes, 144A
9.750%   12/01/26(a)     3,425   3,648,971
Surgery Center Holdings, Inc.,
Gtd. Notes, 144A
6.750%   07/01/25(a)     575   573,205
10.000%   04/15/27(a)     625   665,228
Tenet Healthcare Corp.,
Gtd. Notes, 144A
6.125%   10/01/28(a)     1,925   1,875,637
Sec’d. Notes
5.125%   05/01/25     200   201,809
Sec’d. Notes, 144A
6.250%   02/01/27(a)     1,375   1,418,267
Sr. Sec’d. Notes, 144A
4.875%   01/01/26     225   227,862
Sr. Unsec’d. Notes
6.750%   06/15/23(a)     1,650   1,737,309
6.875%   11/15/31     2,025   1,987,488
7.000%   08/01/25(a)     1,840   1,893,474
              16,496,014
 
A6
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Home Builders — 4.8%
Ashton Woods USA LLC/Ashton Woods Finance Co.,
Sr. Unsec’d. Notes, 144A
6.750%   08/01/25     1,500   $ 1,534,814
9.875%   04/01/27     1,125   1,240,486
Beazer Homes USA, Inc.,
Gtd. Notes
5.875%   10/15/27     1,550   1,570,552
6.750%   03/15/25     850   877,280
7.250%   10/15/29     1,275   1,370,988
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),
Gtd. Notes, 144A
4.875%   02/15/30     800   748,497
6.250%   09/15/27(a)     625   630,786
6.375%   05/15/25     2,050   2,066,892
Century Communities, Inc.,
Gtd. Notes
6.750%   06/01/27(a)     1,075   1,148,492
Forestar Group, Inc.,
Gtd. Notes, 144A
5.000%   03/01/28     500   503,893
8.000%   04/15/24     750   794,742
KB Home,
Gtd. Notes
4.800%   11/15/29(a)     350   385,624
6.875%   06/15/27(a)     750   889,060
M/I Homes, Inc.,
Gtd. Notes
4.950%   02/01/28     625   641,110
5.625%   08/01/25     425   439,862
Mattamy Group Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.625%   03/01/30(a)     1,000   1,010,579
5.250%   12/15/27(a)     475   489,210
Meritage Homes Corp.,
Gtd. Notes
5.125%   06/06/27     675   746,979
6.000%   06/01/25     1,125   1,260,441
New Home Co., Inc. (The),
Gtd. Notes
7.250%   04/01/22     600   594,641
STL Holding Co. LLC,
Sr. Unsec’d. Notes, 144A
7.500%   02/15/26     425   425,189
Taylor Morrison Communities, Inc.,
Gtd. Notes, 144A
5.875%   06/15/27(a)     675   745,994
6.625%   07/15/27     1,875   2,017,708
Sr. Unsec’d. Notes, 144A
5.125%   08/01/30(a)     350   374,452
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%   03/01/24     275   293,295
5.875%   04/15/23     1,150   1,213,359
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Home Builders (cont’d.)
TRI Pointe Group, Inc.,
Gtd. Notes
5.700%   06/15/28     240   $ 262,187
              24,277,112
Household Products/Wares — 0.2%
Spectrum Brands, Inc.,
Gtd. Notes, 144A
5.000%   10/01/29     800   831,494
Internet — 0.1%
Cablevision Lightpath LLC,
Sr. Sec’d. Notes, 144A
3.875%   09/15/27     275   274,896
Sr. Unsec’d. Notes, 144A
5.625%   09/15/28     200   203,245
              478,141
Iron/Steel — 0.1%
Big River Steel LLC/BRS Finance Corp.,
Sr. Sec’d. Notes, 144A
6.625%   01/31/29(a)     500   505,385
Leisure Time — 0.6%
NCL Corp. Ltd.,
Sr. Sec’d. Notes, 144A
10.250%   02/01/26     755   791,807
12.250%   05/15/24     300   336,366
Sr. Unsec’d. Notes, 144A
3.625%   12/15/24(a)     900   630,601
Royal Caribbean Cruises Ltd.,
Gtd. Notes, 144A
9.125%   06/15/23     135   143,021
Sr. Sec’d. Notes, 144A
10.875%   06/01/23     230   256,505
Sr. Unsec’d. Notes
2.650%   11/28/20(a)     575   572,445
5.250%   11/15/22     150   133,744
              2,864,489
Lodging — 2.1%
Boyd Gaming Corp.,
Gtd. Notes
6.375%   04/01/26(a)     1,000   1,039,723
Gtd. Notes, 144A
8.625%   06/01/25     275   301,422
Hilton Domestic Operating Co., Inc.,
Gtd. Notes
5.125%   05/01/26     1,625   1,666,676
Gtd. Notes, 144A
5.375%   05/01/25     225   233,705
5.750%   05/01/28     250   263,442
Marriott International, Inc.,
Sr. Unsec’d. Notes, Series EE
5.750%   05/01/25     225   250,580
MGM Resorts International,
Gtd. Notes
5.500%   04/15/27(a)     450   469,596
 
A7
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Lodging (cont’d.)
6.000%   03/15/23     1,300   $ 1,349,834
6.750%   05/01/25     1,250   1,310,530
7.750%   03/15/22     500   527,156
Station Casinos LLC,
Gtd. Notes, 144A
4.500%   02/15/28     875   809,336
Wyndham Destinations, Inc.,
Sr. Sec’d. Notes, 144A
4.625%   03/01/30(a)     425   405,423
Wynn Macau Ltd. (Macau),
Sr. Unsec’d. Notes, 144A
5.125%   12/15/29(a)     925   887,766
5.500%   01/15/26     600   590,607
5.625%   08/26/28     200   194,225
              10,300,021
Machinery-Diversified — 0.5%
ATS Automation Tooling Systems, Inc. (Canada),
Gtd. Notes, 144A
6.500%   06/15/23     600   606,351
Maxim Crane Works Holdings Capital LLC,
Sec’d. Notes, 144A
10.125%   08/01/24     2,050   2,074,949
              2,681,300
Media — 7.2%
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
4.250%   02/01/31(a)     3,150   3,255,396
4.500%   08/15/30     250   262,474
4.500%   05/01/32     1,585   1,653,780
4.750%   03/01/30     2,375   2,514,295
5.000%   02/01/28     755   793,293
5.375%   06/01/29     200   216,691
Clear Channel Worldwide Holdings, Inc.,
Gtd. Notes
9.250%   02/15/24(a)     5,735   5,561,272
CSC Holdings LLC,
Gtd. Notes, 144A
4.125%   12/01/30(a)     575   585,067
Sr. Unsec’d. Notes, 144A
3.375%   02/15/31     790   765,566
4.625%   12/01/30     2,875   2,885,584
7.500%   04/01/28     275   303,455
Diamond Sports Group LLC/Diamond Sports Finance Co.,
Gtd. Notes, 144A
6.625%   08/15/27     5,640   2,932,870
Sr. Sec’d. Notes, 144A
5.375%   08/15/26     1,245   880,991
DISH DBS Corp.,
Gtd. Notes
5.000%   03/15/23     285   289,991
7.750%   07/01/26(a)     2,350   2,584,573
Gtd. Notes, 144A
7.375%   07/01/28     565   580,890
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Media (cont’d.)
Entercom Media Corp.,
Sec’d. Notes, 144A
6.500%   05/01/27(a)     875   $ 765,500
Gray Television, Inc.,
Gtd. Notes, 144A
5.875%   07/15/26(a)     1,335   1,381,008
7.000%   05/15/27(a)     335   363,154
iHeartCommunications, Inc.,
Gtd. Notes
8.375%   05/01/27(a)     1,475   1,456,258
Sr. Sec’d. Notes
6.375%   05/01/26(a)     325   338,721
Midcontinent Communications/Midcontinent Finance Corp.,
Gtd. Notes, 144A
5.375%   08/15/27     300   310,198
Nexstar Broadcasting, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%   11/01/28     400   408,000
Radiate Holdco LLC/Radiate Finance, Inc.,
Sr. Sec’d. Notes, 144A
4.500%   09/15/26     325   326,755
Sr. Unsec’d. Notes, 144A
6.500%   09/15/28     750   770,052
Scripps Escrow, Inc.,
Gtd. Notes, 144A
5.875%   07/15/27     310   300,710
Sinclair Television Group, Inc.,
Gtd. Notes, 144A
5.125%   02/15/27(a)     685   635,496
5.875%   03/15/26     275   271,160
TEGNA, Inc.,
Gtd. Notes, 144A
4.750%   03/15/26     275   281,264
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%   02/15/25(a)     1,760   1,660,538
6.625%   06/01/27     975   956,430
              36,291,432
Mining — 2.9%
Constellium SE,
Gtd. Notes, 144A
5.875%   02/15/26(a)     1,425   1,462,606
6.625%   03/01/25(a)     636   651,218
Eldorado Gold Corp. (Turkey),
Sec’d. Notes, 144A
9.500%   06/01/24     1,046   1,119,306
First Quantum Minerals Ltd. (Zambia),
Gtd. Notes, 144A
6.500%   03/01/24     720   689,667
6.875%   03/01/26     200   192,849
7.250%   05/15/22     850   851,219
7.250%   04/01/23     135   134,728
7.500%   04/01/25(a)     1,575   1,558,549
 
A8
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Mining (cont’d.)
Freeport-McMoRan, Inc.,
Gtd. Notes
4.375%   08/01/28(a)     825   $ 853,491
4.625%   08/01/30(a)     825   867,449
Hecla Mining Co.,
Gtd. Notes
7.250%   02/15/28(a)     475   514,294
Hudbay Minerals, Inc. (Peru),
Gtd. Notes, 144A
6.125%   04/01/29     400   395,867
IAMGOLD Corp. (Burkina Faso),
Gtd. Notes, 144A
5.750%   10/15/28     550   531,437
7.000%   04/15/25     1,270   1,331,724
New Gold, Inc. (Canada),
Gtd. Notes, 144A
6.375%   05/15/25(a)     1,265   1,305,758
Sr. Unsec’d. Notes, 144A
7.500%   07/15/27(a)     400   426,031
Novelis Corp.,
Gtd. Notes, 144A
5.875%   09/30/26     1,660   1,702,028
              14,588,221
Miscellaneous Manufacturing — 2.0%
Amsted Industries, Inc.,
Gtd. Notes, 144A
5.625%   07/01/27     425   451,475
Sr. Unsec’d. Notes, 144A
4.625%   05/15/30(a)     570   588,843
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.450%   05/01/34     375   276,664
7.500%   12/01/24     2,600   1,996,695
7.500%   03/15/25     950   712,278
7.875%   04/15/27(a)     3,975   2,993,686
8.750%   12/01/21     2,325   2,355,963
FXI Holdings, Inc.,
Sr. Sec’d. Notes, 144A
7.875%   11/01/24     644   614,938
              9,990,542
Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
3.250%   02/15/29     305   304,511
Oil & Gas — 6.5%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.,
Gtd. Notes
7.875%   12/15/24(d)     5,200   3,432
Antero Resources Corp.,
Gtd. Notes
5.000%   03/01/25     2,770   1,727,849
5.125%   12/01/22     775   641,111
5.375%   11/01/21     750   721,098
5.625%   06/01/23     1,450   1,065,666
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Oil & Gas (cont’d.)
Ascent Resources Utica Holdings LLC/ARU Finance Corp.,
Sr. Unsec’d. Notes, 144A
7.000%   11/01/26(a)     1,825   $ 1,398,317
10.000%   04/01/22     2,050   2,037,134
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
9.250%   08/01/24(a)     2,050   1,952,595
CITGO Petroleum Corp.,
Sr. Sec’d. Notes, 144A
7.000%   06/15/25     1,525   1,488,736
CNX Resources Corp.,
Gtd. Notes, 144A
7.250%   03/14/27     1,700   1,734,000
CrownRock LP/CrownRock Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%   10/15/25     350   330,327
Diamond Offshore Drilling, Inc.,
Sr. Unsec’d. Notes
7.875%   08/15/25(d)     1,025   85,164
Endeavor Energy Resources LP/EER Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.750%   01/30/28(a)     1,300   1,309,200
6.625%   07/15/25     230   236,238
EQT Corp.,
Sr. Unsec’d. Notes
3.900%   10/01/27(a)     1,025   934,449
8.750%   02/01/30     175   206,679
Extraction Oil & Gas, Inc.,
Gtd. Notes, 144A (original cost $1,934,000; purchased 01/18/18 - 02/25/19)(f)
5.625%   02/01/26(d)     2,000   510,344
Gtd. Notes, 144A (original cost $950,000; purchased 07/18/17)(f)
7.375%   05/15/24(d)     950   242,874
Hilcorp Energy I LP/Hilcorp Finance Co.,
Sr. Unsec’d. Notes, 144A
5.000%   12/01/24     75   67,877
5.750%   10/01/25     975   887,676
6.250%   11/01/28(a)     900   824,294
MEG Energy Corp. (Canada),
Gtd. Notes, 144A
7.000%   03/31/24     575   539,150
7.125%   02/01/27(a)     977   876,907
Nabors Industries Ltd.,
Gtd. Notes, 144A
7.250%   01/15/26     200   99,884
7.500%   01/15/28     750   362,756
Nabors Industries, Inc.,
Gtd. Notes
5.750%   02/01/25     3,150   1,062,637
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
2.700%   08/15/22(a)     344   320,240
2.700%   02/15/23(a)     1,425   1,304,524
2.900%   08/15/24(a)     1,025   869,862
3.125%   02/15/22     25   23,673
6.625%   09/01/30(a)     475   437,895
 
A9
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Oil & Gas (cont’d.)
PBF Holding Co. LLC/PBF Finance Corp.,
Sr. Sec’d. Notes, 144A
9.250%   05/15/25(a)     990   $ 1,019,667
Precision Drilling Corp. (Canada),
Gtd. Notes
7.750%   12/15/23     525   401,699
Gtd. Notes, 144A
7.125%   01/15/26     1,225   792,538
Range Resources Corp.,
Gtd. Notes
4.875%   05/15/25     775   698,969
5.000%   03/15/23     210   199,526
Gtd. Notes, 144A
9.250%   02/01/26(a)     1,025   1,052,858
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   851,276
5.875%   03/15/28     100   102,732
Transocean, Inc.,
Gtd. Notes, 144A
7.250%   11/01/25     1,875   523,852
7.500%   01/15/26     1,175   258,180
8.000%   02/01/27     825   230,921
WPX Energy, Inc.,
Sr. Unsec’d. Notes
5.250%   09/15/24     800   836,594
5.250%   10/15/27(a)     1,000   1,016,179
5.750%   06/01/26     275   284,199
8.250%   08/01/23     325   366,434
              32,938,215
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     950   944,191
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
Sr. Sec’d. Notes, 144A
4.125%   08/15/26(a)     375   379,420
Sr. Unsec’d. Notes, 144A
5.250%   08/15/27(a)     825   839,953
Graham Packaging Co., Inc.,
Gtd. Notes, 144A
7.125%   08/15/28     220   228,938
Owens-Brockway Glass Container, Inc.,
Gtd. Notes, 144A
6.375%   08/15/25     200   219,327
6.625%   05/13/27(a)     725   785,457
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu,
Gtd. Notes, 144A
7.000%   07/15/24     874   889,746
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Packaging & Containers (cont’d.)
TriMas Corp.,
Gtd. Notes, 144A
4.875%   10/15/25     337   $ 341,812
              4,628,844
Pharmaceuticals — 1.8%
AdaptHealth LLC,
Gtd. Notes, 144A
6.125%   08/01/28     320   331,370
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
5.000%   01/30/28(a)     1,350   1,311,968
5.250%   01/30/30(a)     275   270,328
6.125%   04/15/25(a)     2,615   2,676,519
6.250%   02/15/29(a)     1,250   1,286,676
7.000%   01/15/28(a)     775   821,845
7.250%   05/30/29(a)     1,510   1,628,000
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%   06/30/28(a)     631   466,213
Sec’d. Notes, 144A
9.500%   07/31/27(a)     413   431,622
              9,224,541
Pipelines — 3.5%
Antero Midstream Partners LP/Antero Midstream Finance Corp.,
Gtd. Notes
5.375%   09/15/24     375   320,556
Gtd. Notes, 144A
5.750%   01/15/28(a)     1,825   1,501,994
Cheniere Energy, Inc.,
Sr. Sec’d. Notes, 144A
4.625%   10/15/28(a)     2,450   2,516,907
DCP Midstream Operating LP,
Gtd. Notes
5.625%   07/15/27(a)     395   402,862
Gtd. Notes, 144A
6.450%   11/03/36     200   190,408
Energy Transfer Operating LP,
Jr. Sub. Notes, Series G
7.125%(ff)   –(rr)     775   611,483
EQM Midstream Partners LP,
Sr. Unsec’d. Notes
5.500%   07/15/28     50   50,317
Sr. Unsec’d. Notes, 144A
6.000%   07/01/25     275   283,610
6.500%   07/01/27     385   407,807
Global Partners LP/GLP Finance Corp.,
Gtd. Notes
7.000%   06/15/23     950   968,560
7.000%   08/01/27     260   265,969
Gtd. Notes, 144A
6.875%   01/15/29     300   303,039
Hess Midstream Operations LP,
Gtd. Notes, 144A
5.625%   02/15/26     75   76,290
 
A10
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Pipelines (cont’d.)
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
7.768%   12/15/37(a)     675   $ 858,833
Rattler Midstream LP,
Gtd. Notes, 144A
5.625%   07/15/25(a)     255   257,011
Rockies Express Pipeline LLC,
Sr. Unsec’d. Notes, 144A
6.875%   04/15/40(a)     2,269   2,359,499
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,
Gtd. Notes, 144A
5.500%   09/15/24     875   822,531
5.500%   01/15/28(a)     2,025   1,832,220
7.500%   10/01/25     100   100,911
Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
Gtd. Notes
5.000%   01/15/28     300   292,668
5.375%   02/01/27     275   275,585
5.875%   04/15/26(a)     375   384,831
Gtd. Notes, 144A
4.875%   02/01/31(a)     450   436,276
5.500%   03/01/30     125   124,309
Western Midstream Operating LP,
Sr. Unsec’d. Notes
3.950%   06/01/25(a)     575   542,180
4.100%   02/01/25     650   618,586
5.050%   02/01/30(a)     850   828,369
              17,633,611
Real Estate — 1.1%
Five Point Operating Co. LP/Five Point Capital Corp.,
Gtd. Notes, 144A
7.875%   11/15/25(a)     1,675   1,672,231
Greystar Real Estate Partners LLC,
Sr. Sec’d. Notes, 144A
5.750%   12/01/25(a)     1,825   1,842,894
Howard Hughes Corp. (The),
Gtd. Notes, 144A
5.375%   08/01/28     320   318,880
Hunt Cos., Inc.,
Sr. Sec’d. Notes, 144A
6.250%   02/15/26     1,825   1,758,514
              5,592,519
Real Estate Investment Trusts (REITs) — 2.1%
Diversified Healthcare Trust,
Gtd. Notes
9.750%   06/15/25     1,675   1,862,336
ESH Hospitality, Inc.,
Gtd. Notes, 144A
5.250%   05/01/25(a)     1,325   1,337,264
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%   04/15/26     230   254,970
5.750%   06/01/28     275   313,503
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Real Estate Investment Trusts (REITs) (cont’d.)
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
Gtd. Notes
4.500%   01/15/28     1,175   $ 1,197,766
Gtd. Notes, 144A
4.625%   06/15/25     185   188,738
MPT Operating Partnership LP/MPT Finance Corp.,
Gtd. Notes
5.000%   10/15/27(a)     1,075   1,122,511
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer,
Sr. Sec’d. Notes, 144A
5.875%   10/01/28(a)     350   351,114
7.500%   06/01/25(a)     1,810   1,929,448
RHP Hotel Properties LP/RHP Finance Corp.,
Gtd. Notes
4.750%   10/15/27     125   115,238
5.000%   04/15/23     75   73,434
Sabra Health Care LP,
Gtd. Notes
5.125%   08/15/26     400   433,175
VICI Properties LP/VICI Note Co., Inc.,
Gtd. Notes, 144A
4.625%   12/01/29     1,475   1,507,224
              10,686,721
Retail — 3.6%
1011778 BC ULC/New Red Finance, Inc. (Canada),
Sec’d. Notes, 144A
4.000%   10/15/30     725   730,488
Brinker International, Inc.,
Gtd. Notes, 144A
5.000%   10/01/24     275   279,904
Sr. Unsec’d. Notes
3.875%   05/15/23     850   829,961
Caleres, Inc.,
Gtd. Notes
6.250%   08/15/23     100   91,740
CEC Entertainment, Inc.,
Gtd. Notes
8.000%   02/15/22(d)     2,000   183,347
eG Global Finance PLC (United Kingdom),
Sr. Sec’d. Notes, 144A
8.500%   10/30/25(a)     1,075   1,131,977
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   766,406
Sr. Unsec’d. Notes (original cost $590,875; purchased 02/11/14 - 08/28/19)(f)
6.500%   05/01/21     625   570,127
Sr. Unsec’d. Notes (original cost $940,625; purchased 01/06/15 - 04/10/19)(f)
6.750%   01/15/22     975   850,125
 
A11
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Retail (cont’d.)
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes (original cost $1,657,688; purchased 10/05/17 - 04/08/20)(f)
8.625%   10/31/20     2,100   $ 442,693
Sr. Unsec’d. Notes (original cost $2,414,760; purchased 01/30/17 - 04/08/20)(f)
8.625%   10/31/20     2,875   575,000
Golden Nugget, Inc.,
Gtd. Notes, 144A
8.750%   10/01/25(a)     550   433,692
Sr. Unsec’d. Notes, 144A
6.750%   10/15/24     1,450   1,209,381
PetSmart, Inc.,
Gtd. Notes, 144A
7.125%   03/15/23     950   958,743
Sr. Sec’d. Notes, 144A
5.875%   06/01/25(a)     2,037   2,086,354
Rite Aid Corp.,
Sr. Sec’d. Notes, 144A
8.000%   11/15/26(a)     1,116   1,114,495
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%   12/01/25(a)     2,600   2,632,603
Suburban Propane Partners LP/Suburban Energy Finance Corp.,
Sr. Unsec’d. Notes
5.500%   06/01/24(a)     1,600   1,616,651
5.750%   03/01/25     175   178,101
5.875%   03/01/27     150   154,180
Superior Plus LP/Superior General Partner, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.000%   07/15/26(a)     1,075   1,156,979
              17,992,947
Semiconductors — 0.1%
Microchip Technology, Inc.,
Gtd. Notes, 144A
4.250%   09/01/25(a)     330   342,255
Software — 0.6%
Black Knight InfoServ LLC,
Gtd. Notes, 144A
3.625%   09/01/28(a)     700   707,900
Boxer Parent Co., Inc.,
Sr. Sec’d. Notes, 144A
7.125%   10/02/25     325   347,103
BY Crown Parent LLC,
Gtd. Notes, 144A
7.375%   10/15/24     1,555   1,581,079
Dun & Bradstreet Corp. (The),
Sr. Sec’d. Notes, 144A
6.875%   08/15/26     169   181,619
              2,817,701
Telecommunications — 6.9%
C&W Senior Financing DAC (Ireland),
Sr. Unsec’d. Notes, 144A
6.875%   09/15/27(a)     775   802,464
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Telecommunications (cont’d.)
CenturyLink, Inc.,
Sr. Unsec’d. Notes, Series P
7.600%   09/15/39     165   $ 186,552
CommScope Technologies LLC,
Gtd. Notes, 144A
6.000%   06/15/25(a)     2,098   2,125,947
CommScope, Inc.,
Gtd. Notes, 144A
7.125%   07/01/28(a)     610   626,775
8.250%   03/01/27(a)     435   452,266
Consolidated Communications, Inc.,
Sr. Sec’d. Notes, 144A
6.500%   10/01/28     350   357,357
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     1,617   1,238,427
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% or PIK 8.000%
8.000%   04/01/25     614   215,229
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. (Jamaica),
Gtd. Notes, 144A
8.000%   12/31/26(a)     363   279,381
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000%
13.000%   12/31/25     1,400   1,278,459
Sr. Sec’d. Notes, 144A
8.750%   05/25/24(a)     1,050   1,054,763
8.750%   05/25/24     1,058   1,064,166
Digicel Ltd. (Jamaica),
Gtd. Notes, 144A
6.750%   03/01/23     4,710   2,972,989
Embarq Corp.,
Sr. Unsec’d. Notes
7.995%   06/01/36     6,175   7,306,531
Intelsat Jackson Holdings SA (Luxembourg),
Gtd. Notes
5.500%   08/01/23(d)     1,945   1,219,499
Gtd. Notes, 144A
9.750%   07/15/25(d)     3,955   2,585,034
Intelsat Luxembourg SA (Luxembourg),
Gtd. Notes
8.125%   06/01/23(d)     1,690   71,488
Intrado Corp.,
Gtd. Notes, 144A
8.500%   10/15/25(a)     4,009   3,488,027
Northwestern Bell Telephone,
Sr. Unsec’d. Notes
7.750%   05/01/30     100   110,540
ORBCOMM, Inc.,
Sr. Sec’d. Notes, 144A
8.000%   04/01/24     730   710,835
Sprint Capital Corp.,
Gtd. Notes
6.875%   11/15/28     430   535,540
8.750%   03/15/32     1,266   1,853,530
 
A12
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Corporate Bonds (continued)
Telecommunications (cont’d.)
Sprint Corp.,
Gtd. Notes
7.625%   02/15/25     1,385   $ 1,627,131
7.625%   03/01/26     500   604,199
T-Mobile USA, Inc.,
Gtd. Notes
6.500%   01/15/26     120   125,305
Windstream Escrow LLC/Windstream Escrow Finance Corp.,
Sr. Sec’d. Notes, 144A
7.750%   08/15/28(a)     675   663,343
Zayo Group Holdings, Inc.,
Sr. Sec’d. Notes, 144A
4.000%   03/01/27     115   113,221
Sr. Unsec’d. Notes, 144A
6.125%   03/01/28(a)     1,125   1,160,662
              34,829,660
Transportation — 0.6%
XPO Logistics, Inc.,
Gtd. Notes, 144A
6.250%   05/01/25     170   181,749
6.750%   08/15/24     2,650   2,804,999
              2,986,748
 
Total Corporate Bonds

(cost $438,557,694)
   423,441,485
Residential Mortgage-Backed Securities — 0.0%
Adjustable Rate Mortgage Trust,
Series 2005-07, Class 1A1
3.178%(cc)   10/25/35     5   3,754
Alternative Loan Trust,
Series 2005-43, Class 4A3
2.702%(cc)   10/25/35     2   2,051
Series 2006-HY13, Class 4A1
3.839%(cc)   02/25/37     3   2,614
Series 2006-OA09, Class 2A1A, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)
0.366%(c)   07/20/46     3   2,624
American Home Mortgage Assets Trust,
Series 2006-04, Class 1A12, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)
0.358%(c)   10/25/46     20   13,415
American Home Mortgage Investment Trust,
Series 2005-02, Class 4A1, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%)
1.810%(c)   09/25/45     1   544
Banc of America Funding Trust,
Series 2006-B, Class 2A1
3.513%(cc)   03/20/36     5   4,437
Citigroup Mortgage Loan Trust,
Series 2007-10, Class 22AA
3.355%(cc)   09/25/37     11   10,786
HarborView Mortgage Loan Trust,
Series 2006-05, Class 2A1A, 1 Month LIBOR + 0.180% (Cap N/A, Floor 0.180%)
0.336%(c)   07/19/46     5   3,083
Interest
Rate 		  Maturity
Date 		  Principal
Amount
(000)# 		  Value
 
Residential Mortgage-Backed Securities
(continued)
IndyMac INDX Mortgage Loan Trust,
Series 2006-AR12, Class A1, 1 Month LIBOR + 0.190% (Cap N/A, Floor 0.190%)
0.338%(c)   09/25/46     5   $ 4,193
JPMorgan Mortgage Trust,
Series 2007-S03, Class 1A96
6.000%   08/25/37     13   9,330
MASTR Adjustable Rate Mortgages Trust,
Series 2006-OA01, Class 1A1, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%)
0.358%(c)   04/25/46     3   2,583
RALI Trust,
Series 2006-QA02, Class 3A1
5.546%(cc)   02/25/36     14   11,105
Residential Asset Securitization Trust,
Series 2007-A05, Class 2A3
6.000%   05/25/37     3   2,590
WaMu Mortgage Pass-Through Certificates Trust,
Series 2007-HY01, Class 2A3
3.627%(cc)   02/25/37     3   2,426
Series 2007-HY01, Class 4A1
3.552%(cc)   02/25/37     3   3,185
 
Total Residential Mortgage-Backed Securities

(cost $73,194)
   78,720
    
      Shares  
Common Stocks — 0.7%
Chemicals — 0.0%
Hexion Holdings Corp. (Class B Stock)*
 23,260 238,415
Electric Utilities — 0.5%
GenOn Energy Holdings, Inc. (Class A Stock)*^
 11,836 2,189,660
Keycon Power Holdings LLC*^
 2,150 382,700
          2,572,360
Entertainment — 0.0%
AMC Entertainment Holdings, Inc. (Class A Stock)
 16,000 75,360
Independent Power & Renewable Electricity Producers — 0.2%
Vistra Corp.
 44,042 830,632
Oil, Gas & Consumable Fuels — 0.0%
Frontera Energy Corp. (Colombia)
 7,600 12,236
 
Total Common Stocks

(cost $2,142,242)
 3,729,003
Preferred Stocks — 0.1%
Capital Markets — 0.1%
Goldman Sachs Group, Inc. (The), Series K, 6.375%(a)
 11,850 333,696
Construction Materials — 0.0%
New Millennium Homes LLC^
 408 4,085
 
A13
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
      Shares   Value
 
Preferred Stocks (continued)
Media — 0.0%
Adelphia Communications Corp.^
 700   $ 1
 
Total Preferred Stocks

(cost $296,917)
   337,782
    
      Units  
Warrants* — 0.0%
Media
Mood Media Corp., expiring 07/31/25^
 341,746 34
Mood Media Corp., expiring 07/31/25^
 341,746 34
Mood Media Corp., expiring 07/31/25^
 341,746 34
 
Total Warrants

(cost $1)
 102
 
Total Long-Term Investments

(cost $494,172,595)
 479,958,026
    
      Shares  
Short-Term Investments — 32.0%
Affiliated Mutual Funds
PGIM Core Ultra Short Bond Fund(w)
 18,723,059 18,723,059
PGIM Institutional Money Market Fund

(cost $142,514,344; includes $142,480,588 of cash collateral for securities on loan)(b)(w)
 142,583,156 142,554,639
 
Total Short-Term Investments

(cost $161,237,403)
 161,277,698
 
TOTAL INVESTMENTS—127.3%

(cost $655,409,998)
 641,235,724
 
Liabilities in excess of other assets(z) — (27.3)%
 (137,545,180 )
 
Net Assets — 100.0%
 $ 503,690,544
    
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings:
USD US Dollar
    
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.
CDX Credit Derivative Index
CLO Collateralized Loan Obligation
LIBOR London Interbank Offered Rate
LP Limited Partnership
MASTR Morgan Stanley Structured Asset Security
PIK Payment-in-Kind
Q Quarterly payment frequency for swaps
REITs Real Estate Investment Trust
    
* 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 $3,569,297 and 0.7% 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 $140,073,508; cash collateral of $142,480,588 (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.
(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 $9,227,698. The aggregate value of $3,957,569 is 0.8% 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 September 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:
 
Futures contracts outstanding at September 30, 2020:
Number
of
Contracts 		  Type   Expiration
Date 		  Current
Notional
Amount 		  Value /
Unrealized
Appreciation
(Depreciation)
Long Positions:
116   2 Year U.S. Treasury Notes   Dec. 2020   $25,631,469   $ 9,969
30   5 Year U.S. Treasury Notes   Dec. 2020   3,780,937   3,609
47   10 Year U.S. Treasury Notes   Dec. 2020   6,557,969   8,202
A14
HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of September 30, 2020 (unaudited)
Futures contracts outstanding at September 30, 2020 (continued):
Number
of
Contracts 		  Type   Expiration
Date 		  Current
Notional
Amount 		  Value /
Unrealized
Appreciation
(Depreciation)
Long Positions (cont’d):
37   20 Year U.S. Treasury Bonds   Dec. 2020   $ 6,522,406   $(30,784 )
                (9,004 )
Short Position:
9   30 Year U.S. Ultra Treasury Bonds   Dec. 2020   1,996,313   17,779
                $ 8,775
Credit default swap agreements outstanding at September 30, 2020:
Reference Entity/
Obligation 		Termination
Date 		  Fixed
Rate 		  Notional
Amount
(000)#(3) 		  Value at
Trade Date 		  Value at
September 30,
2020 		  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1):
CDX.NA.HY.35.V1 12/20/25   5.000%(Q)     15,910   $(655,943)   $(688,215)   $(32,272)
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.
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).
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