NPORT-EX 2 NPORT_5649220427189057.htm

 

Schedule of Investments International Equity Portfolio^

(Unaudited) September 30, 2020

 

NUMBER OF
SHARES		      VALUE 
         
Common Stocks 96.9%     
Austria 1.2%     
 25,905   BAWAG Group AG  $936,585(a)
           
Belgium 0.7%     
 11,337   KBC Group NV   568,506 
           
Canada 0.8%     
 4,458   Kinaxis, Inc.   656,237*
           
China 1.2%     
 25,272   Alibaba Group Holding Ltd.   927,763*
           
France 7.3%     
 3,942   Air Liquide SA   624,845 
 3,372   Arkema SA   357,514 
 8,232   Pernod-Ricard SA   1,312,476 
 8,941   Schneider Electric SE   1,111,356 
 5,393   Teleperformance   1,662,672 
 16,748   TOTAL SE   575,169(b)
         5,644,032 
Germany 11.4%     
 2,683   adidas AG   866,453*
 16,232   Brenntag AG   1,032,060 
 14,354   CTS Eventim AG & Co. KGaA   693,774*
 3,278   Deutsche Boerse AG   574,700 
 14,886   Gerresheimer AG   1,665,184 
 34,241   Infineon Technologies AG   965,109 
 1,331   SAP SE   207,261 
 10,020   SAP SE ADR   1,561,216 
 11,712   Scout24 AG   1,021,602(a)
 5,316   Stabilus SA   311,196 
         8,898,555 
Hong Kong 3.9%     
 80,800   AIA Group Ltd.   803,159 
 189,400   HKBN Ltd.   361,445 
 141,300   Techtronic Industries Co. Ltd.   1,878,682 
         3,043,286 
India 1.3%     
 72,624   Infosys Ltd. ADR   1,002,938 
           
Ireland 5.6%     
 10,884   AerCap Holdings NV   274,168*
 43,422   CRH PLC   1,565,989 
 12,935   Kerry Group PLC Class A   1,656,786 
 20,941   Smurfit Kappa Group PLC   821,682 
         4,318,625 
Israel 2.1%     
 13,227   Check Point Software Technologies Ltd.   1,591,737*
           
Italy 1.3%     
 51,010   Nexi SpA   1,022,353*(a)
           
Japan 11.5%     
 25,200   Bridgestone Corp.   796,550 
 5,600   Daikin Industries Ltd.   1,034,735 
 10,200   Hoya Corp.   1,151,747 
 128,600   Ichigo, Inc.   375,278 
 4,600   Kao Corp.   345,325 
 108,300   Sanwa Holdings Corp.  1,148,343 
 11,400   SCSK Corp.   637,818 
 9,400   Shionogi & Co. Ltd.   503,128 
 8,700   TechnoPro Holdings, Inc.   544,720 
 17,700   Terumo Corp.   704,720 
 15,100   Tokio Marine Holdings, Inc.   660,694 
 16,100   Toyota Motor Corp.   1,068,557 
         8,971,615 
Luxembourg 0.4%     
 7,570   Befesa SA   303,705(a)
           
Netherlands 6.6%     
 4,488   ASML Holding NV   1,657,746 
 11,265   Heineken NV   1,002,887(b)
 28,494   Intertrust NV   485,031(a)
 23,067   Koninklijke Philips NV   1,089,203*
 7,280   NXP Semiconductors NV   908,617 
         5,143,484 
Norway 0.7%     
 73,154   Sbanken ASA   528,710*(a)
           
Singapore 0.8%     
 44,000   DBS Group Holdings Ltd.   646,859 
           
Sweden 2.1%     
 55,536   Assa Abloy AB Class B   1,298,438(b)
 4,993   Autoliv, Inc.   363,890 
         1,662,328 
Switzerland 13.7%     
 17,093   Julius Baer Group Ltd.   725,980 
 1,503   Lonza Group AG   927,554 
 13,572   Novartis AG   1,178,380 
 969   Partners Group Holding AG   891,290 
 4,827   Roche Holding AG   1,653,443 
 264   SGS SA   707,477 
 68,428   SIG Combibloc Group AG   1,368,226 
 5,334   Sonova Holding AG   1,351,716*
 2,537   Tecan Group AG   1,261,689 
 52,787   UBS Group AG   589,784 
         10,655,539 
United Kingdom 20.5%     
 47,982   Barratt Developments PLC   294,260 
 12,113   Biffa PLC   33,906(a)
 58,931   Bunzl PLC   1,902,670 
 71,625   Clinigen Group PLC   647,366 
 15,698   DCC PLC   1,215,225 
 24,115   Diageo PLC   828,318 
 134,068   Electrocomponents PLC   1,228,893 
 35,461   Fevertree Drinks PLC   1,059,866 
 224,010   Ibstock PLC   450,018*(a)
 6,814   London Stock Exchange Group PLC   781,680 
 50,524   Prudential PLC   724,934 
 13,993   Reckitt Benckiser Group PLC   1,364,391 
 52,670   RELX PLC   1,172,331 
 48,414   Rightmove PLC   391,396 
 15,164   Savills PLC   152,416*
 43,245   Smith & Nephew PLC   847,140 

  

See Notes to Schedule of Investments

 

 

 

   

Schedule of Investments International Equity Portfolio^

(Unaudited) (cont’d)

  

NUMBER OF
SHARES		      VALUE 
 18,773   Spectris PLC  $589,377 
 44,666   St. James's Place PLC   537,349 
 22,991   Unilever NV   1,396,182 
 18,300   Weir Group PLC   294,592 
         15,912,310 
United States 3.8%     
 7,040   Aon PLC Class A   1,452,352 
 14,675   Ferguson PLC   1,476,751 
         2,929,103 
Total Common Stocks
(Cost $60,479,941)		   75,364,270 
Short-Term Investments 3.9%     
Investment Companies 3.9%     
 2,237,356   State Street Institutional Treasury Money Market Fund Premier Class, 0.02%(c)   2,237,356 
 811,222   State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(c)   811,222(d)
Total Short-Term Investments
(Cost $3,048,578)		   3,048,578 
Total Investments 100.8%
(Cost $63,528,519)		   78,412,848 
Liabilities Less Other Assets (0.8)%   (639,861)
      
Net Assets 100.0%  $77,772,987 

 

* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at September 30, 2020 amounted to $4,781,910, which represents 6.1% of net assets of the Fund.
(b) The security or a portion of this security is on loan at September 30, 2020. Total value of all such securities at September 30, 2020 amounted to $785,886 for the Fund.
(c) Represents 7-day effective yield as of September 30, 2020.
(d) Represents investment of cash collateral received from securities lending.

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments International Equity Portfolio^

(Unaudited) (cont’d)

  

POSITIONS BY INDUSTRY

  

Industry  Investments at
Value		   Percentage of
Net Assets		 
Trading Companies & Distributors  $5,914,542    7.5%
Health Care Equipment & Supplies   5,144,526    6.6%
Professional Services   4,572,231    5.9%
Life Sciences Tools & Services   4,501,793    5.8%
Beverages   4,203,547    5.4%
Capital Markets   4,100,783    5.3%
Software   4,016,451    5.2%
Insurance   3,641,139    4.7%
Semiconductors & Semiconductor Equipment   3,531,472    4.5%
Building Products   3,481,516    4.5%
Pharmaceuticals   3,334,951    4.3%
Banks   2,680,660    3.4%
IT Services   2,663,109    3.4%
Machinery   2,484,470    3.2%
Containers & Packaging   2,189,908    2.8%
Construction Materials   2,016,007    2.6%
Personal Products   1,741,507    2.2%
Food Products   1,656,786    2.1%
Interactive Media & Services   1,412,998    1.8%
Household Products   1,364,391    1.8%
Industrial Conglomerates   1,215,225    1.6%
Auto Components   1,160,440    1.5%
Electrical Equipment   1,111,356    1.4%
Automobiles   1,068,557    1.4%
Chemicals   982,359    1.3%
Internet & Direct Marketing Retail   927,763    1.2%
Textiles, Apparel & Luxury Goods   866,453    1.1%
Entertainment   693,774    0.9%
Electronic Equipment, Instruments & Components   589,377    0.8%
Oil, Gas & Consumable Fuels   575,169    0.7%
Real Estate Management & Development   527,694    0.7%
Diversified Telecommunication Services   361,445    0.5%
Commercial Services & Supplies   337,611    0.4%
Household Durables   294,260    0.4%
Short-Term Investments and Other Liabilities-Net   2,408,717    3.1%
           
   $77,772,987    100.0%

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments International Equity Portfolio^

(Unaudited) (cont’d)

 

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2020:

  

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
Common Stocks                    
Austria  $—   $936,585   $—   $936,585 
Belgium   —    568,506    —    568,506 
China   —    927,763    —    927,763 
France   —    5,644,032    —    5,644,032 
Germany   1,561,216    7,337,339    —    8,898,555 
Hong Kong   —    3,043,286    —    3,043,286 
Ireland   274,168    4,044,457    —    4,318,625 
Italy   —    1,022,353    —    1,022,353 
Japan   —    8,971,615    —    8,971,615 
Luxembourg   —    303,705    —    303,705 
Netherlands   908,617    4,234,867    —    5,143,484 
Norway   —    528,710    —    528,710 
Singapore   —    646,859    —    646,859 
Sweden   363,890    1,298,438    —    1,662,328 
Switzerland   —    10,655,539    —    10,655,539 
United Kingdom   —    15,912,310    —    15,912,310 
United States   1,452,352    1,476,751    —    2,929,103 
Other Common Stocks(a)   3,250,912    —    —    3,250,912 
Total Common Stocks   7,811,155    67,553,115    —    75,364,270 
Short-Term Investments   —    3,048,578    —    3,048,578 
Total Investments  $7,811,155   $70,601,693   $—   $78,412,848 

 

(a) The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
   
^ A balance indicated with a “-”, reflects either a zero balance or an amount that rounds to less than 1.

 

 

 

 

 

Schedule of Investments Mid Cap Growth Portfolio^

(Unaudited) September 30, 2020

  

NUMBER OF
SHARES		      VALUE 
         
Common Stocks 99.3%     
Aerospace & Defense 2.2%     
 35,000   Axon Enterprise, Inc.  $3,174,500*
 45,000   HEICO Corp.   4,709,700 
 12,500   Teledyne Technologies, Inc.   3,877,625*
         11,761,825 
Auto Components 0.7%     
 40,000   Aptiv PLC   3,667,200 
           
Banks 1.1%     
 25,000   SVB Financial Group   6,015,500*
           
Beverages 1.1%     
 6,500   Boston Beer Co., Inc. Class A   5,741,840*
           
Biotechnology 4.8%     
 75,000   ACADIA Pharmaceuticals, Inc.   3,093,750*
 27,500   Ascendis Pharma A/S ADR   4,243,800*
 65,000   Exact Sciences Corp.   6,626,750*
 45,000   Global Blood Therapeutics, Inc.   2,481,300*
 37,500   Moderna, Inc.   2,653,125*
 32,500   Seattle Genetics, Inc.   6,359,925*
         25,458,650 
Capital Markets 2.1%     
 40,000   Cboe Global Markets, Inc.   3,509,600 
 50,000   Houlihan Lokey, Inc.   2,952,500 
 9,000   MarketAxess Holdings, Inc.   4,334,310 
         10,796,410 
Commercial Services & Supplies 3.2%     
 30,000   Cintas Corp.   9,984,900 
 65,000   Waste Connections, Inc.   6,747,000 
         16,731,900 
Containers & Packaging 1.0%     
 65,000   Ball Corp.   5,402,800 
           
Diversified Consumer Services 2.1%     
 40,000   Bright Horizons Family Solutions, Inc.   6,081,600*
 67,500   Chegg, Inc.   4,822,200*
         10,903,800 
Electrical Equipment 2.5%     
 67,500   AMETEK, Inc.   6,709,500 
 34,000   Generac Holdings, Inc.   6,583,760*
        13,293,260 
Electronic Equipment, Instruments & Components 2.8%     
 35,000   Amphenol Corp. Class A   3,789,450 
 50,000   CDW Corp.   5,976,500 
 20,000   Zebra Technologies Corp. Class A   5,049,200*
        14,815,150 
Entertainment 1.9%     
 17,500   Roku, Inc.   3,304,000*
 27,500   Spotify Technology SA   6,670,675*
        9,974,675 
Equity Real Estate Investment Trusts 0.6%     
 10,000   SBA Communications Corp.   3,184,800 
           
Food & Staples Retailing 1.2%     
 155,000   BJ's Wholesale Club Holdings, Inc.  6,440,250*
           
Health Care Equipment & Supplies 7.2%     
 19,000   IDEXX Laboratories, Inc.   7,469,090*
 35,000   Insulet Corp.   8,280,650*
 15,000   Masimo Corp.   3,540,900*
 26,500   Penumbra, Inc.   5,151,070*
 15,000   Quidel Corp.   3,290,700*
 17,500   Teleflex, Inc.   5,957,350 
 15,000   West Pharmaceutical Services, Inc.   4,123,500 
         37,813,260 
Health Care Providers & Services 1.3%     
 50,000   Encompass Health Corp.   3,249,000 
 32,500   Quest Diagnostics, Inc.   3,720,925 
         6,969,925 
Health Care Technology 3.2%     
 27,500   Teladoc Health, Inc.   6,029,100*(a)
 37,500   Veeva Systems, Inc. Class A   10,544,625*
         16,573,725 
Hotels, Restaurants & Leisure 1.9%     
 5,000   Chipotle Mexican Grill, Inc.   6,218,550*
 40,000   Darden Restaurants, Inc.   4,029,600 
         10,248,150 
Household Products 1.2%     
 65,000   Church & Dwight Co., Inc.   6,091,150 
           
Industrial Conglomerates 0.9%     
 12,500   Roper Technologies, Inc.   4,938,875 
           
Interactive Media & Services 2.5%     
 32,500   IAC/InterActiveCorp.   3,892,850*
 30,000   Match Group, Inc.   3,319,500*
 140,000   Pinterest, Inc. Class A   5,811,400*
         13,023,750 
Internet & Direct Marketing Retail 0.5%     
 22,500   Etsy, Inc.   2,736,675*
           
IT Services 8.7%     
 27,500   EPAM Systems, Inc.   8,890,200*
 20,000   Jack Henry & Associates, Inc.   3,251,800 
 32,500   MongoDB, Inc.   7,524,075*
 45,000   Okta, Inc.   9,623,250*
 42,500   Twilio, Inc. Class A   10,501,325*
 22,500   Wix.com Ltd.   5,734,125*
         45,524,775 
Life Sciences Tools & Services 3.6%     
 225,000   Avantor, Inc.   5,060,250*
 16,000   Bio-Rad Laboratories, Inc. Class A   8,247,360*
 155,000   PPD, Inc.   5,733,450*
         19,041,060 
Machinery 2.0%     
 40,000   IDEX Corp.   7,296,400 
 20,000   Stanley Black & Decker, Inc.   3,244,000 
         10,540,400 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Growth Portfolio^

(Unaudited) (cont’d)

 

NUMBER OF
SHARES		      VALUE 
Media 0.7%        
 40,000   Nexstar Media Group, Inc. Class A  $3,597,200 
           
Multiline Retail 0.6%     
 35,000   Ollie's Bargain Outlet Holdings, Inc.   3,057,250*
           
Pharmaceuticals 2.0%     
 55,000   Catalent, Inc.   4,711,300*
 72,500   Horizon Therapeutics PLC   5,631,800*
         10,343,100 
Professional Services 2.7%     
 150,000   Clarivate PLC   4,648,500*
 11,000   CoStar Group, Inc.   9,333,610*
         13,982,110 
Road & Rail 1.1%     
 32,500   Old Dominion Freight Line, Inc.   5,879,900 
           
Semiconductors & Semiconductor Equipment 7.8%     
 60,000   Entegris, Inc.   4,460,400 
 55,000   Inphi Corp.   6,173,750*
 35,000   KLA Corp.   6,780,900 
 225,000   Marvell Technology Group Ltd.   8,932,500 
 32,500   Monolithic Power Systems, Inc.   9,087,325 
 70,000   Teradyne, Inc.   5,562,200 
         40,997,075 
Software 16.8%     
 45,000   Avalara, Inc.   5,730,300*
 140,000   Cloudflare, Inc. Class A   5,748,400*
 25,000   Coupa Software, Inc.   6,856,000*
 50,000   Crowdstrike Holdings, Inc. Class A   6,866,000*
 45,000   DocuSign, Inc.   9,685,800*
 55,000   Everbridge, Inc.   6,915,150*
 42,500   Five9, Inc.   5,511,400*
 15,000   HubSpot, Inc.   4,383,450*
 42,500   Paylocity Holding Corp.   6,860,350*
 55,000   Q2 Holdings, Inc.   5,019,300*
 32,500   RingCentral, Inc. Class A   8,924,825*
 45,000   Splunk, Inc.   8,465,850*
 14,500   Trade Desk, Inc. Class A   7,522,310*
         88,489,135 
Specialty Retail 5.9%     
 25,000   Best Buy Co., Inc.   2,782,250 
 37,500   Burlington Stores, Inc.   7,728,375*
 55,000   CarMax, Inc.   5,055,050*
 50,000   Dick's Sporting Goods, Inc.   2,894,000 
 45,000   Five Below, Inc.   5,715,000*
 15,000   O'Reilly Automotive, Inc.   6,916,200*
         31,090,875 
Textiles, Apparel & Luxury Goods 0.2%     
 10,000   Columbia Sportswear Co.   869,800 
Trading Companies & Distributors 1.2%     
 35,000   United Rentals, Inc.   6,107,500*
Total Common Stocks
(Cost $345,509,836)		   522,103,750 
Short-Term Investments 1.5%     
Investment Companies 1.5%     
 1,606,040   State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(b)   1,606,040 
 6,097,460   State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(b)  6,097,460(c)
Total Short-Term Investments
(Cost $7,703,500)		   7,703,500 
Total Investments 100.8%
(Cost $353,213,336)		   529,807,250 
Liabilities Less Other Assets (0.8)%   (4,066,196)
      
Net Assets 100.0%  $525,741,054 

 

* Non-income producing security.
(a) The security or a portion of this security is on loan at September 30, 2020. Total value of all such securities at September 30, 2020 amounted to $6,028,442 for the Fund.
(b) Represents 7-day effective yield as of September 30, 2020.
(c) Represents investment of cash collateral received from securities lending.

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Growth Portfolio^

(Unaudited) (cont’d)

 

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2020:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
Common Stocks(a)  $522,103,750   $—   $—   $522,103,750 
Short-Term Investments   —    7,703,500    —    7,703,500 
Total Investments  $522,103,750   $7,703,500   $—   $529,807,250 

 

(a) The Schedule of Investments provides information on the industry categorization for the portfolio.
   
^ A balance indicated with a “-”, reflects either a zero balance or an amount that rounds to less than 1.

 

See Notes to Schedule of Investments

 

 

 

 

 

Schedule of Investments Mid Cap Intrinsic Value Portfolio^

(Unaudited) September 30, 2020

 

NUMBER OF
SHARES		      VALUE 
         
Common Stocks 94.5%     
Aerospace & Defense 4.4%     
 27,550   General Dynamics Corp.  $3,813,746 
 28,600   Hexcel Corp.   959,530 
         4,773,276 
Auto Components 3.4%     
 40,500   Aptiv PLC   3,713,040 
           
Banks 4.7%     
 105,400   BankUnited, Inc.   2,309,314 
 44,100   Comerica, Inc.   1,686,825 
 28,000   Truist Financial Corp.   1,065,400 
         5,061,539 
Beverages 2.2%     
 69,300   Molson Coors Brewing Co. Class B   2,325,708 
           
Biotechnology 3.6%     
 34,000   Alexion Pharmaceuticals, Inc.   3,890,620*
           
Building Products 2.7%     
 70,510   Johnson Controls International PLC   2,880,333 
           
Capital Markets 1.0%     
 18,400   State Street Corp.   1,091,672 
           
Chemicals 2.8%     
 43,100   Ashland Global Holdings, Inc.   3,056,652 
           
Commercial Services & Supplies 1.5%     
 113,900   KAR Auction Services, Inc.   1,640,160 
           
Communications Equipment 3.1%     
 39,700   Ciena Corp.   1,575,693*
 11,500   Motorola Solutions, Inc.   1,803,315 
        3,379,008 
Construction & Engineering 1.0%     
 8,700   Valmont Industries, Inc.   1,080,366 
           
Electric Utilities 3.6%     
 59,100   Evergy, Inc.   3,003,462 
 30,300   OGE Energy Corp.   908,697 
         3,912,159 
Electronic Equipment, Instruments & Components 3.2%     
 20,000   CDW Corp.   2,390,600 
 17,500   Itron, Inc.   1,062,950*
         3,453,550 
Entertainment 2.6%     
 53,050   Lions Gate Entertainment Corp. Class A   502,914*
 267,650   Lions Gate Entertainment Corp. Class B   2,333,908*
         2,836,822 
Equity Real Estate Investment Trusts 2.0%     
 57,100   Regency Centers Corp.   2,170,942 
           
Food & Staples Retailing 1.5%     
 39,400   BJ's Wholesale Club Holdings, Inc.   1,637,070*
           
Food Products 4.3%     
 53,100   Hain Celestial Group, Inc.   1,821,330*
 70,000   TreeHouse Foods, Inc.  2,837,100*
         4,658,430 
Health Care Equipment & Supplies 4.2%     
 33,700   Zimmer Biomet Holdings, Inc.   4,587,918 
           
Health Care Providers & Services 2.2%     
 75,400   MEDNAX, Inc.   1,227,512*
 6,400   Molina Healthcare, Inc.   1,171,456*
         2,398,968 
Hotels, Restaurants & Leisure 5.6%     
 141,700   MGM Resorts International   3,081,975 
 97,000   Wyndham Destinations, Inc.   2,983,720 
         6,065,695 
Independent Power and Renewable Electricity Producers 3.4%     
 124,400   AES Corp.   2,252,884 
 77,200   Vistra Energy Corp.   1,455,992 
         3,708,876 
Industrial Conglomerates 1.0%     
 8,700   Carlisle Cos, Inc.   1,064,619 
           
IT Services 4.1%     
 32,300   Amdocs Ltd.   1,854,343 
 331,400   Conduent, Inc.   1,053,852*
 75,900   Perspecta, Inc.   1,476,255 
         4,384,450 
Machinery 0.9%     
 6,300   Stanley Black & Decker, Inc.   1,021,860 
           
Mortgage Real Estate Investment Trusts 1.9%     
 138,900   Starwood Property Trust, Inc.   2,096,001 
           
Multi-Utilities 1.5%     
 84,800   CenterPoint Energy, Inc.   1,640,880 
           
Multiline Retail 1.9%     
 22,200   Dollar Tree, Inc.   2,027,748*
           
Oil, Gas & Consumable Fuels 5.4%     
 37,900   EOG Resources, Inc.   1,362,126 
 89,900   ONEOK, Inc.   2,335,602 
 15,500   Phillips 66   803,520 
 69,000   Williams Cos., Inc.   1,355,850 
         5,857,098 
Semiconductors & Semiconductor Equipment 5.7%     
 15,900   Entegris, Inc.   1,182,006 
 16,800   NXP Semiconductors NV   2,096,808 
 20,100   Skyworks Solutions, Inc.   2,924,550 
         6,203,364 
Software 2.3%     
 76,200   Nuance Communications, Inc.   2,529,078*
           
Specialty Retail 1.5%     
 407,000   Chico's FAS, Inc.   395,808 
 43,900   Children's Place, Inc.   1,244,565 
         1,640,373 
Technology Hardware, Storage & Peripherals 1.7%     
 51,621   Western Digital Corp.   1,886,748 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Intrinsic Value Portfolio^

(Unaudited) (cont’d)

 

NUMBER OF
SHARES		      VALUE 
Trading Companies & Distributors 3.6%     
 91,400   AerCap Holdings NV  $2,302,366*
 37,700   HD Supply Holdings, Inc.   1,554,748*
         3,857,114 
Total Common Stocks
(Cost $100,293,731)		   102,532,137 
Short-Term Investments 5.0%     
Investment Companies 5.0%     
 5,401,993   State Street  Institutional U.S.  Government Money  Market Fund  Premier Class, 0.03%(a)
(Cost  $5,401,993)		   5,401,993 
Total Investments 99.5%
(Cost $105,695,724)		   107,934,130 
Other Assets Less Liabilities 0.5%   506,043 
      
Net Assets 100.0%  $108,440,173 

 

* Non-income producing security.
(a) Represents 7-day effective yield as of September 30, 2020.

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Intrinsic Value Portfolio^

(Unaudited) (cont’d)

 

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2020:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
Common Stocks(a)  $102,532,137   $—   $—   $102,532,137 
Short-Term Investments   —    5,401,993    —    5,401,993 
Total Investments  $102,532,137   $5,401,993   $—   $107,934,130 

  

(a) The Schedule of Investments provides information on the industry categorization for the portfolio.

 

^A balance indicated with a “-”, reflects either a zero balance or an amount that rounds to less than 1.

 

See Notes to Schedule of Investments

 

 

 

 

  

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) September 30, 2020

 

PRINCIPAL
AMOUNT		      VALUE 
Mortgage-Backed Securities 44.1%     
Adjustable Mixed Balance 0.1%     
$119,949   Harborview Mortgage Loan Trust, Ser. 2004-4, Class 3A, (1M USD LIBOR + 1.13%), 1.28%, due 6/19/2034  $121,196(a)
           
Collateralized Mortgage Obligations 8.6%     
 812,964   Angel Oak Mortgage Trust, Ser. 2019-6, Class A1, 2.62%, due 11/25/2059   821,028(b)(c)
     Fannie Mae Connecticut Avenue Securities     
 478,742   Ser. 2017-C04, Class 2M2, (1M USD LIBOR + 2.85%), 3.00%, due 11/25/2029   475,138(a)
 400,389   Ser. 2017-C06, Class 2M2, (1M USD LIBOR + 2.80%), 2.95%, due 2/25/2030   399,347(a)
 381,828   Ser. 2017-C07, Class 2M2, (1M USD LIBOR + 2.50%), 2.65%, due 5/25/2030   377,969(a)
 348,539   Ser. 2018-C02, Class 2M2, (1M USD LIBOR + 2.20%), 2.35%, due 8/25/2030   337,165(a)
 738,070   Ser. 2018-C04, Class 2M2, (1M USD LIBOR + 2.55%), 2.70%, due 12/25/2030   724,923(a)
 444,251   Ser. 2018-C05, Class 1M2, (1M USD LIBOR + 2.35%), 2.50%, due 1/25/2031   435,746(a)
 871,870   Ser. 2020-R02, Class 2M1, (1M USD LIBOR + 0.75%), 0.90%, due 1/25/2040   869,655(a)(c)
 714,110   Ser. 2020-R01, Class 1M1, (1M USD LIBOR + 0.80%), 0.95%, due 1/25/2040   711,147(a)(c)
     Freddie Mac Structured Agency Credit Risk Debt Notes     
 630,996   Ser. 2017-DNA1, Class M2, (1M USD LIBOR + 3.25%), 3.40%, due 7/25/2029   646,191(a)
 465,322   Ser. 2018-HQA1, Class M2, (1M USD LIBOR + 2.30%), 2.45%, due 9/25/2030   457,712(a)
 205,268   Ser. 2020-DNA1, Class M1, (1M USD LIBOR + 0.70%), 0.85%, due 1/25/2050   205,041(a)(c)
 334,494   Freddie Mac Structured Agency Credit Risk Debt Notes Real Estate Mortgage Investment Conduits, Ser. 2020-HQA1, Class M1, (1M USD LIBOR + 0.75%), 0.90%, due 1/25/2050   333,895(a)(c)
     GCAT Trust     
 739,544   Ser. 2019-NQM2, Class A1, 2.86%, due 9/25/2059   753,393(c)(d)
 882,719   Ser. 2019-NQM3, Class A1, 2.69%, due 11/25/2059   901,565(b)(c)
 299,662   Starwood Mortgage Residential Trust, Ser. 2019-INV1, Class A1, 2.61%, due 9/27/2049   304,043(b)(c)
         8,753,958 
Commercial Mortgage-Backed 21.4%     
 372,379   BBCMS Mortgage Trust, Ser. 2017-C1, Class A1, 2.01%, due 2/15/2050   374,102 
 1,110,000   BBCMS Trust, Ser. 2013-TYSN, Class B, 4.04%, due 9/5/2032   1,094,622(c)
 512,386   BX Commercial Mortgage Trust, Ser. 2018-IND, Class A, (1M USD LIBOR + 0.75%), 0.90%, due 11/15/2035   512,386(a)(c)
 320,000   BXMT Ltd., Ser. 2020-FL2, Class A, (1M USD LIBOR + 0.90%), 1.05%, due 2/16/2037   314,415(a)(c)

 

See Notes to Schedule of Investments

  

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

  

PRINCIPAL
AMOUNT		      VALUE 
    CD Mortgage Trust     
$236,017   Ser. 2017-CD3, Class A1, 1.97%, due 2/10/2050  $236,955 
 720,585   Ser. 2017-CD5, Class A1, 2.03%, due 8/15/2050   725,975 
     Citigroup Commercial Mortgage Trust     
 569,273   Ser. 2012-GC8, Class AAB, 2.61%, due 9/10/2045   576,842 
 605,564   Ser. 2016-P3, Class A2, 2.74%, due 4/15/2049   607,439 
 467,967   Ser. 2016-P6, Class A1, 1.88%, due 12/10/2049   469,090 
 1,052,672   Ser. 2018-C5, Class A1, 3.13%, due 6/10/2051   1,073,227 
     Commercial Mortgage Trust     
 1,111,000   Ser. 2012 -CR4, Class AM, 3.25%, due 10/15/2045   1,116,674 
 13,064,359   Ser. 2014-CR18, Class XA, 1.15%, due 7/15/2047   402,939(b)(e)
     CSAIL Commercial Mortgage Trust     
 20,154,503   Ser. 2016-C5, Class XA, 1.06%, due 11/15/2048   666,586(b)(e)
 783,272   Ser. 2017-CX10, Class A1, 2.23%, due 11/15/2050   791,047 
 412,707   DBJPM Mortgage Trust, Ser. 2016-C3, Class A1, 1.50%, due 8/10/2049   413,293 
 450,050   DBUBS Mortgage Trust, Ser. 2011-LC1A, Class A3, 5.00%, due 11/10/2046   451,147(c)
     Freddie Mac Multiclass Certificates     
 2,420,000   Ser. 2020-RR03, Class X1, 1.71%, due 7/27/2028   272,362(e)
 1,500,000   Ser. 2020-RR02, Class DX, 1.82%, due 9/27/2028   181,553(b)(e)
 1,535,000   Ser. 2020-RR02, Class CX, 1.27%, due 3/27/2029   136,992(b)(e)
 26,765,225   Freddie Mac Multifamily Structured Pass Through Certificates, Ser. K737, Class X1, 0.75%, due 10/25/2026   903,640(b)(e)
 1,000,000   FREMF Mortgage Trust, Ser. 2014-K714, Class B, 4.40%, due 1/25/2047   999,089(b)(c)
     GS Mortgage Securities Trust     
 520,000   Ser. 2019-BOCA, Class A, (1M USD LIBOR + 1.20%), 1.35%, due 6/15/2038   507,063(a)(c)
 915,000   Ser. 2010-C1, Class B, 5.15%, due 8/10/2043   830,588(c)
 381,802   Ser. 2011-GC3, Class A4, 4.75%, due 3/10/2044   382,940(c)
 95,000   Ser. 2012-GCJ7, Class B, 4.74%, due 5/10/2045   97,541 
 109,919,835   Ser. 2013-GC13, Class XA, 0.10%, due 7/10/2046   252,991(b)(e)
 37,861   Ser. 2015-GS1, Class A1, 1.94%, due 11/10/2048   37,867 
 928,591   JPMBB Commercial Mortgage Securities Trust, Ser. 2013-C12, Class ASB, 3.16%, due 7/15/2045   944,549 
     Morgan Stanley Bank of America Merrill Lynch Trust     
 166,000   Ser. 2013-C9, Class B, 3.71%, due 5/15/2046   170,141(b)
 560,318   Ser. 2017-C33, Class A1, 2.03%, due 5/15/2050   563,632 
     Morgan Stanley Capital I Trust     
 1,423,851   Ser. 2011-C2, Class A4, 4.66%, due 6/15/2044   1,458,693(c)
 764,000   Ser. 2022-C4, Class A4, 3.24%, due 3/15/2045   777,437 
 172,785   Ser. 2011-C1, Class A4, 5.03%, due 9/15/2047   173,613(b)(c)
 242,345   SG Commercial Mortgage Securities Trust, Ser. 2016-C5, Class A1, 1.35%, due 10/10/2048   242,446 
 114,879   UBS Commercial Mortgage Trust, Ser. 2017-C1, Class A1, 1.89%, due 6/15/2050   115,198 
     Wells Fargo Commercial Mortgage Trust     
 407,763   Ser. 2016-NXS6, Class A1, 1.42%, due 11/15/2049   408,126 
 1,785,037   Ser. 2018-C45, Class A1, 3.13%, due 6/15/2051   1,832,555 
 19,869,765   WF-RBS Commercial Mortgage Trust, Ser. 2014-LC14, Class XA, 1.36%, due 3/15/2047   612,829(b)(e)
         21,728,584 
Fannie Mae 4.8%     
     Pass-Through Certificates     
 1,024,490   3.00%, due 9/1/2027   1,074,706 
 1,232,703   4.50%, due 5/1/2041 – 5/1/2044   1,380,319 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

  

PRINCIPAL
AMOUNT		      VALUE 
$2,311,877   2.50%, due 5/1/2050  $2,426,683 
         4,881,708 
Freddie Mac 9.2%     
     Pass-Through Certificates     
 497,991   3.50%, due 5/1/2026   526,764 
 674,920   3.00%, due 1/1/2027   708,964 
 639,468   4.50%, due 11/1/2039   717,609 
 7,012,464   2.50%, due 6/1/2050 – 8/1/2050   7,360,696 
        9,314,033 
Total Mortgage-Backed Securities (Cost $44,602,336)   44,799,479 
Corporate Bonds 36.2%     
Advertising 0.1%     
 140,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 6.25%, due 6/15/2025   144,200(c)
           
Aerospace & Defense 1.7%     
 1,290,000   Boeing Co., 4.88%, due 5/1/2025   1,407,210 
 35,000   Howmet Aerospace, Inc., 6.88%, due 5/1/2025   38,675 
 230,000   TransDigm, Inc., 6.25%, due 3/15/2026   241,166(c)
         1,687,051 
Agriculture 0.5%     
 535,000   BAT Capital Corp., 2.26%, due 3/25/2028   536,304 
           
Airlines 0.9%     
 140,000   Delta Air Lines, Inc., 7.00%, due 5/1/2025   153,695(c)
 535,000   Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/2025   549,044(c)
 170,000   United Airlines Holdings, Inc., 4.25%, due 10/1/2022   157,250(f)
        859,989 
Auto Manufacturers 2.3%     
    Ford Motor Credit Co. LLC     
 500,000   3.81%, due 10/12/2021   501,250 
 435,000   5.13%, due 6/16/2025   448,594 
    General Motors Financial Co., Inc.     
 530,000   2.75%, due 6/20/2025   542,889 
 400,000   2.70%, due 8/20/2027   398,178 
 370,000   Volkswagen Group of America Finance LLC, 3.35%, due 5/13/2025   403,938(c)
        2,294,849 
Auto Parts & Equipment 0.4%     
 40,000   Adient U.S. LLC, 9.00%, due 4/15/2025   44,100(c)
 230,000   Goodyear Tire & Rubber Co., 9.50%, due 5/31/2025   249,557 
 60,000   Meritor, Inc., 6.25%, due 6/1/2025   62,700(c)
        356,357 
Banks 7.6%     
 550,000   Banco Santander SA, 2.75%, due 5/28/2025   577,957 
 650,000   Bank of America Corp., Ser. L, 3.95%, due 4/21/2025   721,787 
 1,070,000   Citigroup, Inc., 3.35%, due 4/24/2025   1,157,474(g)
 1,925,000   Goldman Sachs Group, Inc., (3M USD LIBOR + 0.75%), 1.01%, due 2/23/2023   1,931,233(a)
 700,000   JPMorgan Chase & Co., 2.30%, due 10/15/2025   736,354(g)
 1,065,000   Lloyds Banking Group PLC, 1.33%, due 6/15/2023   1,072,716(g)
 1,510,000   Morgan Stanley, (SOFR + 0.70%), 0.78%, due 1/20/2023   1,513,065(a)
         7,710,586 

  

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

  

PRINCIPAL
AMOUNT		      VALUE 
Biotechnology 1.1%     
    Gilead Sciences, Inc.     
$565,000   (3M USD LIBOR + 0.52%), 0.74%, due 9/29/2023  $565,670(a)
 535,000   1.20%, due 10/1/2027   535,865 
         1,101,535 
Chemicals 0.4%     
 250,000   NOVA Chemicals Corp., 5.25%, due 8/1/2023   246,250(c)
 190,000   Valvoline, Inc., 4.38%, due 8/15/2025   195,463 
         441,713 
Commercial Services 0.6%     
 95,000   Jaguar Holding Co. II/PPD Development L.P., 4.63%, due 6/15/2025   97,850(c)
 240,000   Nielsen Co. Luxembourg S.a.r.l., 5.00%, due 2/1/2025   243,900(c)(f)
 240,000   Prime Security Services Borrower LLC/Prime Finance, Inc., 5.25%, due 4/15/2024   251,400(c)
         593,150 
Distribution - Wholesale 0.3%     
 290,000   KAR Auction Services, Inc., 5.13%, due 6/1/2025   289,994(c)
 50,000   Performance Food Group, Inc., 6.88%, due 5/1/2025   53,250(c)
         343,244 
Diversified Financial Services 1.6%     
    AerCap Ireland Capital DAC/AerCap Global Aviation Trust     
 800,000   4.50%, due 9/15/2023   824,189 
 540,000   6.50%, due 7/15/2025   582,854 
 240,000   Springleaf Finance Corp., 6.13%, due 3/15/2024   251,400 
         1,658,443 
Electric 0.2%     
 280,000   Talen Energy Supply LLC, 10.50%, due 1/15/2026   212,800(c)
           
Entertainment 0.5%     
 260,000   Live Nation Entertainment, Inc., 4.88%, due 11/1/2024   251,550(c)
 230,000   Six Flags Theme Parks, Inc., 7.00%, due 7/1/2025   244,663(c)
         496,213 
Food Service 0.2%     
    Aramark Services, Inc.     
 150,000   5.00%, due 4/1/2025   152,160(c)(f)
 80,000   6.38%, due 5/1/2025   83,334(c)
         235,494 
Healthcare - Services 0.3%     
 255,000   MEDNAX, Inc., 5.25%, due 12/1/2023   257,430(c)
           
Home Builders 0.2%     
 230,000   TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, due 6/15/2024   248,400 
           
Housewares 0.0%(h)     
 40,000   CD&R Smokey Buyer, Inc., 6.75%, due 7/15/2025   42,200(c)
           
Leisure Time 0.1%     
 95,000   Carnival Corp., 10.50%, due 2/1/2026   105,213(c)
           
Machinery - Construction & Mining 0.2%     
 240,000   Terex Corp., 5.63%, due 2/1/2025   237,600(c)
           
Machinery-Diversified 0.6%     
 585,000   Otis Worldwide Corp., (3M USD LIBOR + 0.45%), 0.75%, due 4/5/2023   585,355(a)
           
Media 1.9%     
 430,000   Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, due 7/23/2025   497,024 
 380,000   Cumulus Media New Holdings, Inc., 6.75%, due 7/1/2026   352,021(c)

  

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

   

PRINCIPAL
AMOUNT		      VALUE 
$550,000   Fox Corp., 3.05%, due 4/7/2025  $602,143 
 180,000   iHeartCommunications, Inc., 6.38%, due 5/1/2026   187,519 
 310,000   Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, due 9/15/2026   309,935(c)
         1,948,642 
Miscellaneous Manufacturer 1.1%     
 1,000,000   General Electric Capital Corp., (3M USD LIBOR + 1.00%), 1.25%, due 3/15/2023   998,190(a)
 70,000   Hillenbrand, Inc., 5.75%, due 6/15/2025   74,987 
         1,073,177 
Oil & Gas 3.2%     
 260,000   Apache Corp., 4.63%, due 11/15/2025   247,813 
 1,000,000   BP Capital Markets America, Inc., (3M USD LIBOR + 0.65%), 0.88%, due 9/19/2022   1,001,358(a)
    Occidental Petroleum Corp.     
 100,000   3.13%, due 2/15/2022   94,516 
 1,750,000   2.70%, due 8/15/2022   1,635,147 
 90,000   PDC Energy, Inc., 5.75%, due 5/15/2026   83,925 
 150,000   WPX Energy, Inc., 5.25%, due 9/15/2024   156,750 
         3,219,509 
Pharmaceuticals 2.5%     
 1,980,000   AbbVie, Inc., (3M USD LIBOR + 0.65%), 0.90%, due 11/21/2022   1,989,084(a)(c)
 370,000   Upjohn, Inc., 1.65%, due 6/22/2025   378,668(c)
 140,000   Valeant Pharmaceuticals Int’l, Inc., 5.50%, due 11/1/2025   143,325(c)
         2,511,077 
Pipelines 2.7%     
 340,000   Buckeye Partners L.P., 4.35%, due 10/15/2024   333,625 
 250,000   DCP Midstream Operating L.P., 3.88%, due 3/15/2023   247,300 
 130,000   EQM Midstream Partners L.P., 6.00%, due 7/1/2025   134,062(c)
 210,000   Genesis Energy L.P./Genesis Energy Finance Corp., 6.00%, due 5/15/2023   190,575 
 604,000   Kinder Morgan, Inc., 5.63%, due 11/15/2023   680,508(c)
 660,000   MPLX L.P., 4.88%, due 6/1/2025   748,108 
 90,000   Rattler Midstream L.P., 5.63%, due 7/15/2025   90,675(c)
 140,000   Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 7.50%, due 10/1/2025   140,567(c)
 140,000   Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.13%, due 2/1/2025   139,650 
         2,705,070 
Real Estate 0.3%     
    Realogy Group LLC/Realogy Co-Issuer Corp.     
 220,000   4.88%, due 6/1/2023   217,800(c)
 115,000   7.63%, due 6/15/2025   120,463(c)
         338,263 
Real Estate Investment Trusts 0.5%     
 240,000   ESH Hospitality, Inc., 5.25%, due 5/1/2025   242,400(c)
 115,000   MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 4.63%, due 6/15/2025   117,300(c)
 150,000   RHP Hotel Properties L.P./RHP Finance Corp., 5.00%, due 4/15/2023   146,890 
         506,590 
Retail 0.3%     
 150,000   Penske Automotive Group, Inc., 5.38%, due 12/1/2024   152,327 
 190,000   Staples, Inc., 7.50%, due 4/15/2026   175,077(c)
         327,404 
Semiconductors 1.0%     
 750,000   Broadcom, Inc., 3.15%, due 11/15/2025   808,928 

  

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT		      VALUE 
$225,000   Microchip Technology, Inc., 4.25%, due 9/1/2025  $233,411(c)
         1,042,339 
Software 0.7%     
 145,000   BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, due 1/31/2026   147,628(c)
 540,000   Infor, Inc., 1.45%, due 7/15/2023   547,385(c)
        695,013 
Telecommunications 2.2%     
 550,000   AT&T, Inc., 1.65%, due 2/1/2028   550,593 
 450,000   Numericable-SFR SA, 7.38%, due 5/1/2026   471,555(c)
 550,000   T-Mobile USA, Inc., 3.50%, due 4/15/2025   603,471(c)
 550,000   Verizon Communications, Inc., 2.63%, due 8/15/2026   600,010 
         2,225,629 
Total Corporate Bonds (Cost $36,392,929)   36,740,839 
Asset-Backed Securities 8.0%     
 234,948   Ally Auto Receivables Trust, Ser. 2018-1, Class A3, 2.35%, due 6/15/2022   236,161 
 500,000   Benefit Street Partners CLO XIX Ltd., Ser. 2019-19A, Class D, (3M USD LIBOR + 3.80%), 4.08%, due 1/15/2033   496,175(a)(c)
 916,317   Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Ser. 2019-HP1, Class A, 2.59%, due 12/15/2026   926,697(c)
 456,985   Fannie Mae Grantor Trust, Ser. 2003-T4, Class 1A, (1M USD LIBOR + 0.22%), 0.36%, due 9/26/2033   453,493(a)
 475,073   Lending Point Asset Securitization Trust, Ser. 2020-1, Class A, 2.51%, due 2/10/2026   475,354(c)
 500,000   Mariner CLO LLC, Ser. 2015-1A, Class DR2, (3M USD LIBOR + 2.85%), 3.12%, due 4/20/2029   477,008(a)(c)
 574,551   Marlette Funding Trust, Ser. 2020-1A, Class A, 2.24%, due 3/15/2030   578,902(c)
 500,000   Milos CLO Ltd., Ser. 2017-1A, Class DR, (3M USD LIBOR + 2.75%), 3.02%, due 10/20/2030   463,608(a)(c)
 500,000   OHA Loan Funding Ltd., Ser. 2016-1A, Class DR, (3M USD LIBOR + 3.00%), 3.27%, due 1/20/2033   464,569(a)(c)
 500,000   Palmer Square CLO Ltd., Ser. 2015-2A, Class CR2, (3M USD LIBOR + 2.75%), 3.02%, due 7/20/2030   467,902(a)(c)
 583,743   SLM Student Loan Trust, Ser. 2013-2, Class A, (1M USD LIBOR + 0.45%), 0.60%, due 6/25/2043   568,252(a)
 652,716   SoFi Consumer Loan Program Trust, Ser. 2020-1, Class A, 2.02%, due 1/25/2029   659,674(c)
 500,000   Symphony CLO XXII Ltd., Ser. 2020-22A, Class D, (3M USD LIBOR + 3.15%), 4.46%, due 4/18/2033   470,252(a)(c)
 500,000   TICP CLO VII Ltd., Ser. 2017-7A, Class DR, (3M USD LIBOR + 3.20%), 3.48%, due 4/15/2033   470,294(a)(c)
 500,000   TICP CLO XV Ltd., Ser. 2020-15A, Class D, (3M USD LIBOR + 3.15%), 4.79%, due 4/20/2033   488,558(a)(c)
 500,000   TRESTLES CLO III Ltd., Ser. 2020-3A, Class D, (3M USD LIBOR + 3.25%), 3.52%, due 1/20/2033   476,866(a)(c)
Total Asset-Backed Securities (Cost $8,337,043)   8,173,765 

 

NUMBER OF
SHARES		        
Short-Term Investments 11.4%     
Investment Companies 11.4%     
 10,989,674   State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(i)
   10,989,674(j)

  

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

NUMBER OF
SHARES		      VALUE 
 568,595   State Street Navigator Securities Lending Government Money Market Portfolio, 0.09%(i)  $568,595(k)
           
    Total Short-Term Investments (Cost $11,558,269)   11,558,269 
           
    Total Investments 99.7% (Cost $100,890,577)   101,272,352 
           
    Other Assets Less Liabilities 0.3%   306,636(l)
           
    Net Assets 100.0%  $101,578,988 

  

(a) Variable or floating rate security. The interest rate shown was the current rate as of September 30, 2020 and changes periodically.
(b) Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of September 30, 2020.
(c) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At September 30, 2020, these securities amounted to $30,003,954, which represents 29.5% of net assets of the Fund.
(d) Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of September 30, 2020.
(e) Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
(f) The security or a portion of this security is on loan at September 30, 2020. Total value of all such securities at September 30, 2020 amounted to $560,186 for the Fund.
(g) Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.
(h) Represents less than 0.05% of net assets of the Fund.
(i) Represents 7-day effective yield as of September 30, 2020.
(j) All or a portion of this security is segregated in connection with obligations for futures with a total value of $10,989,674.
(k) Represents investment of cash collateral received from securities lending.
(l) Includes the impact of the Fund's open positions in derivatives at September 30, 2020.

  

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

  

Derivative Instruments

  

Futures contracts ("futures")

  

At September 30, 2020, open positions in futures for the Fund were as follows:

  

Long Futures:

  

Expiration
Date		  Number of Contracts   Open Contracts  Notional
Amount		   Value and
Unrealized
Appreciation/
(Depreciation)		 
12/2020   239   U.S. Treasury Note, 2 Year  $52,809,664   $26,576 
Total Long Positions          $52,809,664   $26,576 

 

Short Futures:

  

Expiration
Date		  Number of
Contracts		   Open Contracts  Notional
Amount		   Value and
Unrealized
Appreciation/
(Depreciation)		 
12/2020   4   U.S. Treasury Bond, Ultra 10 Year  $(639,688)  $(1,687)
12/2020   125   U.S. Treasury Note, 5 Year   (15,753,906)   (16,508)
12/2020   6   U.S. Treasury Note, 10 Year   (837,188)   (922)
Total Short Positions          $(17,230,782)  $(19,117)
Total Futures               $7,459 

 

At September 30, 2020, the Fund had $188,760 deposited in a segregated account to cover margin requirements on open futures.

  

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2020:

  

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
Mortgage-Backed Securities(a)  $—   $44,799,479   $—   $44,799,479 
Corporate Bonds(a)   —    36,740,839    —    36,740,839 
Asset-Backed Securities   —    8,173,765    —    8,173,765 
Short-Term Investments   —    11,558,269    —    11,558,269 
Total Investments  $—   $101,272,352   $—   $101,272,352 

 

(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.

 

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of September 30, 2020:

 

Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Futures(a)                
Assets  $26,576   $—   $—   $26,576 
Liabilities   (19,117)   —    —    (19,117)
Total  $7,459   $—   $—   $7,459 

  

(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
   
^ A balance indicated with a "-", reflects either a zero balance or an amount that rounds to less than 1.

 

See Notes to Schedule of Investments

 

 

 

 

 

Schedule of Investments Sustainable Equity Portfolio^

(Unaudited) September 30, 2020

 

NUMBER OF
SHARES		       VALUE 
Common Stocks 98.7%     
Auto Components 2.5%     
 159,759   Aptiv PLC  $14,646,705 
           
Banks 4.5%     
 176,900   JPMorgan Chase & Co.   17,030,163 
 273,427   U.S. Bancorp   9,802,358 
         26,832,521 
Biotechnology 1.3%     
 13,575   Regeneron Pharmaceuticals, Inc.   7,599,014*
           
Capital Markets 2.9%     
 173,662   Intercontinental Exchange, Inc.   17,374,883 
           
Communications Equipment 1.7%     
 48,256   Arista Networks, Inc.   9,985,614*
           
Electric Utilities 0.9%     
 65,464   Eversource Energy   5,469,517 
           
Electrical Equipment 4.8%     
 174,653   Vestas Wind Systems A/S   28,225,054 
           
Electronic Equipment, Instruments & Components 2.9%     
 67,255   Zebra Technologies Corp. Class A   16,979,197*
           
Health Care Equipment & Supplies 7.7%     
 61,510   Becton, Dickinson & Co.   14,312,147 
 81,535   Danaher Corp.   17,556,932 
 129,344   Medtronic PLC   13,441,428 
         45,310,507 
Health Care Providers & Services 5.1%     
 139,075   AmerisourceBergen Corp.   13,479,149 
 99,848   Cigna Corp.   16,915,250 
         30,394,399 
Hotels, Restaurants & Leisure 3.2%     
 666,583   Compass Group PLC   10,013,252 
 103,547   Starbucks Corp.   8,896,758 
         18,910,010 
Household Products 1.4%     
 104,461   Colgate-Palmolive Co.   8,059,166 
           
Insurance 2.7%     
 166,710   Progressive Corp.   15,782,436 
           
Interactive Media & Services 3.7%     
 14,962   Alphabet, Inc. Class A   21,928,307*
           
Internet & Direct Marketing Retail 1.0%     
 3,487   Booking Holdings, Inc.   5,965,141*
           
IT Services 8.7%     
 55,112   Accenture PLC Class A   12,454,761 
 268,942   Cognizant Technology Solutions Corp. Class A   18,669,954 
 60,161   MasterCard, Inc. Class A   20,344,645 
         51,469,360 
Machinery 4.0%     
 103,628   Otis Worldwide Corp.   6,468,460 
 104,847   Stanley Black & Decker, Inc.   17,006,183 
         23,474,643 
Materials 2.0%     
 17,168   Sherwin-Williams Co.   11,961,632 
           
Media 5.9%     
 487,152   Comcast Corp. Class A   22,535,652 
 556,768   Discovery, Inc. Class A   12,120,839*
         34,656,491 
Multi-Utilities 1.8%     
 913,047   National Grid PLC   10,487,387 
           
Personal Products 3.0%     
 297,152   Unilever NV   17,947,981 
           
Pharmaceuticals 3.0%     
 51,813   Roche Holding AG   17,748,054 
           
Road & Rail 2.1%     
 156,293   CSX Corp.   12,139,277 
           
Semiconductors & Semiconductor Equipment 4.5%     
 186,633   Texas Instruments, Inc.   26,649,326 
           
Software 9.1%     
 18,496   ANSYS, Inc.   6,052,446*
 44,576   Intuit, Inc.   14,541,137 
 157,584   Microsoft Corp.   33,144,643 
         53,738,226 
Specialty Retail 2.6%     
 101,786   Advance Auto Parts, Inc.   15,624,151 
           
Trading Companies & Distributors 5.7%     
 107,240   United Rentals, Inc.   18,713,380*
 41,363   W.W. Grainger, Inc.   14,757,078 
         33,470,458 
Total Common Stocks
(Cost $400,403,286)		   582,829,457 
Short-Term Investments 0.9%     

 

PRINCIPAL
AMOUNT

Certificates of Deposit 0.0%(a)     
$100,000   Self Help Credit Union, 0.25%, due 10/29/2020   100,000 
 100,000   Self Help Federal Credit Union, 0.25%, due 12/13/2020   100,000 
         200,000 

 

NUMBER OF
SHARES

Investment Companies 0.9%     
 5,244,786   State Street Institutional Treasury Money Market Fund Premier Class, 0.02%(b)   5,244,786 
Total Short-Term Investments
(Cost $5,444,786)		   5,444,786 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Sustainable Equity Portfolio^

(Unaudited) (cont’d)

 

   VALUE 
Total Investments 99.6%
(Cost $405,848,072)		  $588,274,243 
Other Assets Less Liabilities 0.4%   2,610,182 
Net Assets 100.0%  $590,884,425 

 

*   Non-income producing security.
(a)   Represents less than 0.05% of net assets of the Fund.
(b)   Represents 7-day effective yield as of September 30, 2020.

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Sustainable Equity Portfolio^

(Unaudited) (cont’d)

 

POSITIONS BY COUNTRY

 

Country  Investments at
Value		   Percentage of
Net Assets		 
United States  $498,407,729    84.4%
United Kingdom   38,448,620    6.5%
Denmark   28,225,054    4.8%
Switzerland   17,748,054    3.0%
Short-Term Investments and Other Assets-Net   8,054,968    1.3%
   $590,884,425    100.0%

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Sustainable Equity Portfolio^

(Unaudited) (cont’d)

 

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2020:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                    
Common Stocks                    
Electrical Equipment  $—   $28,225,054   $—   $28,225,054 
Hotels, Restaurants & Leisure   8,896,758    10,013,252    —    18,910,010 
Multi-Utilities   —    10,487,387    —    10,487,387 
Pharmaceuticals   —    17,748,054    —    17,748,054 
Other Common Stocks(a)   507,458,952    —    —    507,458,952 
Total Common Stocks   516,355,710    66,473,747    —    582,829,457 
Short-Term Investments   —    5,444,786    —    5,444,786 
Total Investments  $516,355,710   $71,918,533   $—   $588,274,243 

 

(a)The Schedule of Investments provides information on the industry categorization as well as a Position by Country summary.

 

^A balance indicated with a "-", reflects either a zero balance or an amount that rounds to less than 1.

 

See Notes to Schedule of Investments

 

 

 

 

 

September 30, 2020

 

Notes to Schedule of Investments Advisers Management Trust

(Unaudited)

 

In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by each of Neuberger Berman Advisers Management Trust: International Equity Portfolio, Mid Cap Growth Portfolio, Mid Cap Intrinsic Value Portfolio, Short Duration Bond Portfolio, and Sustainable Equity Portfolio, (each individually a “Fund,” and collectively, the “Funds”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds’ investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.

 

ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

•Level 1 – unadjusted quoted prices in active markets for identical investments

 

•Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)

 

•Level 3 – unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

 

The value of the Funds’ investments in equity securities, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.

 

The value of the Funds’ investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:

 

Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available (“Other Market Information”).

 

High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.

 

Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.

 

For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.

 

 

 

 

Notes to Schedule of Investments Advisers Management Trust

(Unaudited) (cont’d)

 

The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).

 

Management has developed a process to periodically review information provided by independent pricing services for all types of securities.

 

Certificates of deposit are valued at amortized cost. (Level 2 inputs).

 

Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).

 

If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Advisers Management Trust's Board of Trustees (the “Board”) has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.

 

The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange is open for business. The Board has approved the use of ICE Data Pricing & Reference Data, LLC (“ICE”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). In the absence of precise information about the market values of these foreign securities as of the time as of which a Fund’s share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.

 

Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.

 

Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries, which is a rapidly evolving situation, has, among other things, disrupted global travel and supply chains, and has adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility, in ways that cannot necessarily be foreseen at the present time. The rapid development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on economic and market conditions and trigger a period of global economic slowdown. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Funds.

 

For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.

 

 

 

 

Notes to Schedule of Investments Advisers Management Trust

(Unaudited) (cont’d)

 

Legend  
   
Benchmarks:  
LIBOR =  London Interbank Offered Rate
SOFR =  Secured Overnight Financing Rate
   
Currency Abbreviations:  
USD = United States Dollar  
   
Index Periods/Payment Frequencies:  
1M =  1 Month  
3M =  3 Months  
             

For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.

 

 

 

 

 

Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio^ (Unaudited) September 30, 2020

 

Investments  Principal
Amount ($)		   Value ($) 
U.S. GOVERNMENT AGENCY SECURITIES - 75.3%
         
Federal Agricultural Mortgage Corp.,          
1.59%, 1/10/2024   2,800,000    2,916,178 
2.62%, 2/26/2024   1,200,000    1,293,047 
FFCB,          
2.23%, 4/5/2021   500,000    505,365 
1.90%, 6/24/2021   1,000,000    1,012,735 
1.60%, 1/21/2022   1,000,000    1,018,730 
FHLB,          
2.38%, 9/10/2021(a)   4,500,000    4,594,290 
FHLMC,          
2.38%, 2/16/2021   5,000,000    5,041,780 
1.13%, 8/12/2021   2,000,000    2,017,112 
FNMA,          
2.75%, 6/22/2021(a)   6,500,000    6,623,188 
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $24,769,740)		        25,022,425 

 

Investments  Principal
Amount ($)		   Value ($) 
U.S. TREASURY OBLIGATIONS - 18.5%
         
U.S. Treasury Notes,          
2.38%, 3/15/2021(a)   2,500,000    2,525,000 
2.75%, 9/15/2021   2,000,000    2,049,219 
2.38%, 3/15/2022   1,500,000    1,548,750 
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $6,107,548)		        6,122,969 

 

Investments  No. of Rights   Value ($) 
RIGHTS - 0.0%(b)
         
Biotechnology - 0.0%(b)
Tobira Therapeutics, Inc., CVR *(c)(d)   225    13 
Media - 0.0%          
Media General, Inc., CVR *(c)(d)   2,550    — 
TOTAL RIGHTS
(Cost $7,171)		        13 

 

Investments  Shares   Value ($) 
SHORT-TERM INVESTMENTS - 7.7%          
           
INVESTMENT COMPANIES - 7.7%          
Invesco Government & Agency Portfolio, Institutional Class, 0.01%(e)   2,564,028    2,564,028 
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 0.01%(e)(f)   468    468 
TOTAL INVESTMENT COMPANIES
(Cost $2,564,496)		        2,564,496 
           
Total Investments - 101.5%
 (Cost $33,448,955)		        33,709,903 
Liabilities Less Other Assets - (1.5%)(g)        (505,816)
Net Assets - 100.0%        33,204,087 

 

* Non-income producing security.
(a) All or a portion of this security is pledged with the custodian for options written.
(b) Represents less than 0.05% of net assets of the Fund.
(c) Security fair valued as of September 30, 2020 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2020 amounted to $13, which represents 0.0% of net assets of the Fund.
(d) Value determined using significant unobservable inputs.
(e) Represents 7-day effective yield as of September 30, 2020.
(f) All or a portion of this security is segregated in connection with obligations for options written with a total value of $468.
(g) Includes the impact of the Fund’s open positions in derivatives at September 30, 2020.

 

Abbreviations
CVR Contingent Value Rights
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association

 

See Notes to Schedule of Investments

 

 1 

 

 

Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio^ (Unaudited) (cont'd)

 

Derivative Instruments

 

Written option contracts ("options written")

 

At September 30, 2020, the Fund had outstanding options written as follows:

 

 

Description  Number of
Contracts		   Notional
Amount		   Exercise
Price		   Expiration
Date		   Value 
Puts                    
                     
Index                    
Russell 2000 Index   2   $(301,538)  $1,460    10/2/2020   $(1,110)
Russell 2000 Index   1    (150,769)   1,465    10/2/2020    (630)
Russell 2000 Index   1    (150,769)   1,480    10/2/2020    (950)
Russell 2000 Index   2    (301,538)   1,545    10/2/2020    (9,050)
Russell 2000 Index   1    (150,769)   1,495    10/9/2020    (2,855)
Russell 2000 Index   1    (150,769)   1,510    10/9/2020    (3,290)
Russell 2000 Index   4    (603,077)   1,520    10/9/2020    (15,940)
Russell 2000 Index   2    (301,538)   1,525    10/9/2020    (8,160)
Russell 2000 Index   1    (150,769)   1,520    10/16/2020    (4,755)
Russell 2000 Index   7    (1,055,384)   1,530    10/16/2020    (36,750)
Russell 2000 Index   1    (150,769)   1,460    10/23/2020    (3,225)
Russell 2000 Index   1    (150,769)   1,465    10/23/2020    (3,390)
Russell 2000 Index   5    (753,846)   1,480    10/23/2020    (18,650)
Russell 2000 Index   2    (301,538)   1,485    10/23/2020    (7,830)
Russell 2000 Index   1    (150,769)   1,520    10/30/2020    (6,320)
S&P 500 Index   1    (336,300)   3,245    10/2/2020    (425)
S&P 500 Index   1    (336,300)   3,290    10/2/2020    (1,030)
S&P 500 Index   1    (336,300)   3,295    10/2/2020    (1,130)
S&P 500 Index   4    (1,345,200)   3,320    10/2/2020    (7,020)
S&P 500 Index   4    (1,345,200)   3,340    10/2/2020    (9,840)
S&P 500 Index   9    (3,026,700)   3,400    10/2/2020    (53,505)
S&P 500 Index   11    (3,699,300)   3,325    10/9/2020    (44,715)
S&P 500 Index   6    (2,017,800)   3,355    10/9/2020    (31,860)
S&P 500 Index   1    (336,300)   3,380    10/9/2020    (6,580)
S&P 500 Index   1    (336,300)   3,400    10/9/2020    (7,765)
S&P 500 Index   3    (1,008,900)   3,405    10/9/2020    (24,255)
S&P 500 Index   20    (6,726,000)   3,320    10/16/2020    (106,600)
S&P 500 Index   1    (336,300)   3,395    10/16/2020    (8,730)
S&P 500 Index   7    (2,354,100)   3,245    10/23/2020    (31,115)
S&P 500 Index   2    (672,600)   3,255    10/23/2020    (9,410)
S&P 500 Index   8    (2,690,400)   3,265    10/23/2020    (39,800)
S&P 500 Index   3    (1,008,900)   3,290    10/23/2020    (17,115)
S&P 500 Index   2    (672,600)   3,295    10/23/2020    (11,720)
S&P 500 Index   1    (336,300)   3,380    10/30/2020    (10,330)
                          
Total options written (premium received $888,117)                      $(545,850)

 

At September 30, 2020, the Fund had securities pledged in the amount of $12,718,584 to cover collateral requirements for options written.

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio^ (Unaudited) (cont'd)

 

The following is a summary, categorized by Level (See Notes to Schedule of Investments), of inputs used to value the Fund's investments as of September 30, 2020:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3*   Total 
Investments:                
U.S. Government Agency Securities  $—   $25,022,425   $—   $25,022,425 
U.S. Treasury Obligations   —    6,122,969    —    6,122,969 
Rights(a)   —    —    13    13 
Short-Term Investments   —    2,564,496    —    2,564,496 
Total Investments  $—   $33,709,890   $13   $33,709,903 

 

(a)The Schedule of Investments provides information on the industry categorization for the portfolio.

 

* The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:

 

   Rights(a) 
Assets:    
Investments in Securities:     
Beginning Balance as of January 1, 2020  $13 
Transfers into Level 3   — 
Transfers out of Level 3   — 
Accrued discounts/(premiums)   — 
Net realized gain/(loss)   — 
Change in unrealized appreciation/(depreciation)   — 
Purchases   — 
Sales   — 
Balance as of September 30, 2020  $13 
Net change in unrealized appreciation/(depreciation) on investments still held as of September 30, 2020  $— 

 

(a)As of the period ended September 30, 2020, these investments were fair valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund’s net assets; therefore, disclosure of unobservable inputs used in formulating valuations is not presented.

 

The following is a summary, categorized by level (See Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of September 30, 2020:

 

Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Options Written                    
Liabilities  $(545,850)  $—   $—   $(545,850)

 

^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.

 

See Notes to Schedule of Investments

 

 

 

 

 

September 30, 2020

 

Notes to Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (Unaudited)

 

In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman Advisers Management Trust U.S. Equity Index PutWrite Strategy Portfolio (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.

 

ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

·Level 1 – unadjusted quoted prices in active markets for identical investments

·Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)

·Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

 

The value of the Fund’s investments in exchange-traded options written and rights for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.

 

The value of the Fund’s investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:

 

U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and other market information which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities and reference data, such as market research publications, when available (“Other Market Information”).

 

U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.

 

Management has developed a process to periodically review information provided by independent pricing services for all types of securities.

 

Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).

 

For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.

 

 

 

 

Notes to Schedule of Investments U.S. Equity Index PutWrite Strategy Portfolio (cont’d)

 

If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Advisers Management Trust's Board of Trustees has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.

 

Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.

 

Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries, which is a rapidly evolving situation, has, among other things, disrupted global travel and supply chains, and has adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility, in ways that cannot necessarily be foreseen at the present time. The rapid development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on economic and market conditions and trigger a period of global economic slowdown. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Fund.

 

For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.