NPORT-EX 2 NPORT_9W89_33109959_0921.htm

 

Schedule of Investments International Equity Portfolio^

(Unaudited) September 30, 2021 

 

NUMBER OF
SHARES
   VALUE 
           
Common Stocks 98.9% 
Austria 1.7%   
 14,995   BAWAG Group AG  $948,983*(a)
Belgium 1.5%     
 7,707   Azelis Group NV   242,825*
 6,562   KBC Group NV   591,922 
         834,747 
Canada 1.0%     
 24,363   Softchoice Corp.   568,201(b)
China 3.2%     
 6,245   NXP Semiconductors NV   1,223,208 
 27,000   Shenzhou International Group Holdings Ltd.   573,034 
         1,796,242 
Finland 1.4%     
 63,211   Nordea Bank Abp   814,554(b)
France 6.6%     
 2,282   Air Liquide SA   365,485 
 3,118   Arkema SA   411,161 
 20,735   Exclusive Networks SA   480,368*
 981   Kering SA   696,766 
 4,767   Pernod-Ricard SA   1,050,947 
 1,848   Teleperformance   726,882 
         3,731,609 
Germany 8.2%     
 2,157   adidas AG   677,851 
 9,395   Brenntag SE   872,745 
 2,249   Deutsche Boerse AG   364,937 
 7,040   Gerresheimer AG   688,840 
 788   SAP SE   106,560 
 6,619   SAP SE ADR   893,830 
 8,873   Scout24 AG   614,567(a)
 5,577   Stabilus SA   389,424 
         4,608,754 
Hong Kong 4.1%     
 46,600   AIA Group Ltd.   536,105 
 239,400   HKBN Ltd.   282,550 
 75,300   Techtronic Industries Co. Ltd.   1,488,044 
         2,306,699 
India 1.0%     
 24,619   Infosys Ltd. ADR   547,773 
Ireland 6.2%     
 11,470   AerCap Holdings NV   663,081*
 25,135   CRH PLC   1,179,483 
 6,452   Kerry Group PLC Class A   866,946 
 14,352   Smurfit Kappa Group PLC   755,610 
         3,465,120 
Israel 1.0%     
 5,073   Check Point Software Technologies Ltd.   573,452*
Italy 1.0%     
 29,524   Nexi SpA   550,554*(a)
Japan 15.3%     
 14,600   Bridgestone Corp.  690,743 
 3,300   Daikin Industries Ltd.   719,526 
 2,800   Fujitsu Ltd.   505,989 
 4,900   Hoya Corp.   764,492 
 1,600   Nitori Holdings Co. Ltd.   315,315 
 11,300   Otsuka Corp.   581,078 
 62,700   Sanwa Holdings Corp.   815,150 
 26,700   SCSK Corp.   564,726 
 5,900   Sony Group Corp.   655,010 
 22,100   Subaru Corp.   408,402 
 29,100   TechnoPro Holdings, Inc.   875,138 
 14,200   Terumo Corp.   670,501 
 7,800   Tokio Marine Holdings, Inc.   418,119 
 35,500   Toyota Motor Corp.   632,517 
         8,616,706 
Netherlands 5.0%     
 661   ASML Holding NV   493,805 
 9,706   Heineken NV   1,013,062(b)
 2,266   Koninklijke DSM NV   453,145 
 18,540   Koninklijke Philips NV   823,675 
         2,783,687 
Norway 2.2%     
 200,736   Elopak ASA   619,998*
 54,713   Sbanken ASA   630,889(a)
         1,250,887 
Singapore 1.2%     
 29,543   DBS Group Holdings Ltd.   654,632 
Sweden 2.9%     
 31,491   Assa Abloy AB Class B   913,447 
 8,393   Autoliv, Inc.   719,448 
         1,632,895 
Switzerland 9.5%     
 8,873   Julius Baer Group Ltd.   589,520 
 870   Lonza Group AG   652,595 
 7,854   Novartis AG   644,021 
 2,865   Roche Holding AG   1,045,638 
 153   SGS SA   445,358 
 19,769   SIG Combibloc Group AG   525,647*
 1,911   Sonova Holding AG   722,183 
 44,026   UBS Group AG   702,726 
         5,327,688 
United Kingdom 19.6%     
 28,103   Barratt Developments PLC   248,425 
 37,154   Bunzl PLC   1,225,877 
 41,456   Clinigen Group PLC   354,697 
 11,788   DCC PLC   982,717 
 18,379   Diageo PLC   889,819 
 38,381   Electrocomponents PLC   555,627 
 16,531   Fevertree Drinks PLC   518,758 
 88,371   Ibstock PLC   245,269(a)
 6,835   London Stock Exchange Group PLC   684,923 
 94,700   Petershill Partners PLC   446,596*(a)(c)
 44,913   Prudential PLC   871,555 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments International Equity Portfolio^

(Unaudited) (cont’d)

 

NUMBER OF
SHARES
      VALUE 
 35,462   RELX PLC  $1,020,818 
 16,947   Savills PLC   307,328 
 31,350   Smith & Nephew PLC   540,093 
 31,838   St. James's Place PLC   642,246 
 16,229   Unilever PLC   876,627 
 25,979   Weir Group PLC   586,436*
         10,997,811 
United States 6.3%     
 2,896   Aon PLC Class A   827,590 
 8,647   Ferguson PLC   1,200,393 
 12,878   QIAGEN NV   665,535*
 5,175   Schneider Electric SE   861,916 
         3,555,434 
Total Common Stocks
(Cost $43,215,210)
   55,566,428 
Short-Term Investments 3.7%     
Investment Companies 3.7%     
 949,744   State Street Institutional Treasury Money Market Fund Premier Class, 0.01%(d)   949,744(e)
 1,146,977   State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(d)   1,146,977(f)
Total Short-Term Investments
(Cost $2,096,721)
   2,096,721 
Total Investments 102.6%
(Cost $45,311,931)
   57,663,149 
Liabilities Less Other Assets (2.6)%   (1,441,622)
      
Net Assets 100.0%  $56,221,527 

 

* 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, 2021 amounted to $3,436,858, 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, 2021. Total value of all such securities at September 30, 2021 amounted to $1,095,093 for the Fund.
(c) All or a portion of this security was purchased on a delayed delivery basis.
(d) Represents 7-day effective yield as of September 30, 2021.
(e) All or a portion of this security is segregated in connection with obligations for delayed delivery securities with a total value of $949,744.
(f) 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  $4,760,548    8.4%
Banks   3,640,980    6.4%
Health Care Equipment & Supplies   3,520,944    6.3%
Beverages   3,472,586    6.2%
Professional Services   3,068,196    5.5%
Capital Markets   2,984,352    5.3%
IT Services   2,750,120    4.9%
Insurance   2,653,369    4.7%
Machinery   2,463,904    4.4%
Building Products   2,448,123    4.4%
Life Sciences Tools & Services   2,361,667    4.2%
Textiles, Apparel & Luxury Goods   1,947,651    3.5%
Containers & Packaging   1,901,255    3.4%
Semiconductors & Semiconductor Equipment   1,717,013    3.1%
Pharmaceuticals   1,689,659    3.0%
Software   1,573,842    2.8%
Construction Materials   1,424,752    2.5%
Auto Components   1,410,191    2.5%
Chemicals   1,229,791    2.2%
Automobiles   1,040,919    1.9%
Industrial Conglomerates   982,717    1.7%
Household Durables   903,435    1.6%
Personal Products   876,627    1.6%
Food Products   866,946    1.5%
Electrical Equipment   861,916    1.5%
Interactive Media & Services   614,567    1.1%
Electronic Equipment, Instruments & Components   568,201    1.0%
Computers   480,368    0.9%
Investment Companies   446,596    0.8%
Specialty Retail   315,315    0.6%
Real Estate Management & Development   307,328    0.5%
Diversified Telecommunication Services   282,550    0.5%
Short-Term Investments and Other Assets-Net   655,099    1.1%
   $56,221,527    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, 2021:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
                 
Investments:                    
Common Stocks                    
Austria  $   $948,983   $   $948,983 
Belgium   242,825    591,922        834,747 
China   1,223,208    573,034        1,796,242 
Finland       814,554        814,554 
France   480,368    3,251,241        3,731,609 
Germany   893,830    3,714,924        4,608,754 
Hong Kong       2,306,699        2,306,699 
Ireland   1,530,027    1,935,093        3,465,120 
Italy       550,554        550,554 
Japan       8,616,706        8,616,706 
Netherlands       2,783,687        2,783,687 
Singapore       654,632        654,632 
Sweden   719,448    913,447        1,632,895 
Switzerland       5,327,688        5,327,688 
United Kingdom   1,320,051    9,677,760        10,997,811 
United States   1,493,125    2,062,309        3,555,434 
Other Common Stocks(a)   2,940,313            2,940,313 
Total Common Stocks   10,843,195    44,723,233        55,566,428 
Short-Term Investments       2,096,721        2,096,721 
Total Investments  $10,843,195   $46,819,954   $   $57,663,149 

 

(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.

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Growth Portfolio^

(Unaudited) September 30, 2021

 

NUMBER OF
SHARES
   VALUE 
        
Common Stocks 96.2%    
Aerospace & Defense 1.9%    
34,400  Axon Enterprise, Inc.  $6,020,688*
50,300  HEICO Corp.   6,633,061 
       12,653,749 
Airlines 1.0%     
32,500  Allegiant Travel Co.   6,353,100*
Auto Components 0.9%     
39,300  Aptiv PLC   5,854,521*
Banks 5.6%     
100,000  Citizens Financial Group, Inc.   4,698,000 
75,000  Pinnacle Financial Partners, Inc.   7,056,000 
43,000  Signature Bank   11,708,040 
20,000  SVB Financial Group   12,937,600*
       36,399,640 
Biotechnology 4.4%     
80,000  Exact Sciences Corp.   7,636,000*
60,000  Fate Therapeutics, Inc.   3,556,200*
102,800  Horizon Therapeutics PLC   11,260,712*
37,500  Seagen, Inc.   6,367,500*
       28,820,412 
Building Products 0.5%     
40,000  Fortune Brands Home & Security, Inc.   3,576,800 
Capital Markets 0.5%     
75,000  Carlyle Group, Inc.   3,546,000 
Commercial Services & Supplies 3.2%     
29,500  Cintas Corp.   11,229,470 
75,000  Waste Connections, Inc.   9,444,750 
       20,674,220 
Diversified Consumer Services 0.7%     
66,400  Chegg, Inc.   4,516,528*
Electrical Equipment 3.2%     
66,400  AMETEK, Inc.   8,234,264 
30,000  Generac Holdings, Inc.   12,260,100*
       20,494,364 
Electronic Equipment, Instruments & Components 4.6%     
68,800  Amphenol Corp. Class A   5,038,224 
35,000  CDW Corp.   6,370,700 
20,000  Teledyne Technologies, Inc.   8,591,600*
19,700  Zebra Technologies Corp. Class A   10,153,774*
       30,154,298 
Entertainment 1.6%     
228,944  Lions Gate Entertainment Corp. Class A   3,248,715*
22,500  Roku, Inc.   7,050,375*
       10,299,090 
Food & Staples Retailing 1.3%     
152,400  BJ's Wholesale Club Holdings, Inc.   8,369,808*
Health Care Equipment & Supplies 7.0%     
9,500  Align Technology, Inc.   6,321,585*
14,000  IDEXX Laboratories, Inc.   8,706,600*
34,400  Insulet Corp.   9,777,512*
12,500  Masimo Corp.   3,383,875*
35,000  Penumbra, Inc.   9,327,500*
21,100  Teleflex, Inc.   7,945,205 
       45,462,277 
Health Care Technology 1.0%     
22,500  Veeva Systems, Inc. Class A   6,483,825*
Hotels, Restaurants & Leisure 4.7%     
40,500  Caesars Entertainment, Inc.   4,547,340*
4,900  Chipotle Mexican Grill, Inc.   8,905,848*
50,000  Darden Restaurants, Inc.   7,573,500 
110,000  DraftKings, Inc. Class A   5,297,600*
25,000  Expedia Group, Inc.   4,097,500*
       30,421,788 
Household Products 0.8%     
63,900  Church & Dwight Co., Inc.   5,276,223 
Interactive Media & Services 2.4%     
32,000  IAC/InterActiveCorp.   4,169,280*
25,000  Match Group, Inc.   3,924,750*
150,000  Pinterest, Inc. Class A   7,642,500*
       15,736,530 
IT Services 7.1%     
55,000  Cloudflare, Inc. Class A   6,195,750*
16,500  EPAM Systems, Inc.   9,412,920*
20,000  MongoDB, Inc.   9,430,200*
35,000  Okta, Inc.   8,306,900*
17,500  Twilio, Inc. Class A   5,583,375*
40,000  WEX, Inc.   7,045,600*
       45,974,745 
Leisure Products 0.8%     
45,000  Polaris, Inc.   5,384,700 
Life Sciences Tools & Services 4.8%     
180,000  Adaptive Biotechnologies Corp.   6,118,200*
275,000  Avantor, Inc.   11,247,500*
13,006  Bio-Rad Laboratories, Inc. Class A   9,701,826*
16,000  IQVIA Holdings, Inc.   3,832,640*
       30,900,166 
Machinery 1.3%     
39,300  IDEX Corp.   8,133,135 
Multiline Retail 0.4%     
45,000  Ollie's Bargain Outlet Holdings, Inc.   2,712,600*(a)
Oil, Gas & Consumable Fuels 0.5%     
100,000  Devon Energy Corp.   3,551,000 
Pharmaceuticals 1.1%     
54,100  Catalent, Inc.   7,199,087*
Professional Services 1.5%     
110,000  CoStar Group, Inc.   9,466,600*
Road & Rail 1.4%     
32,000  Old Dominion Freight Line, Inc.   9,151,360 
Semiconductors & Semiconductor Equipment 9.4%     
40,000  Enphase Energy, Inc.   5,998,800*
80,000  Entegris, Inc.   10,072,000 
22,500  KLA Corp.   7,526,475 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Growth Portfolio^

(Unaudited) (cont’d)

 

NUMBER OF
SHARES
     VALUE 
65,000   Lattice Semiconductor Corp.  $4,202,250*
125,000   Marvell Technology, Inc.   7,538,750 
20,000   Monolithic Power Systems, Inc.   9,693,600 
200,000   ON Semiconductor Corp.   9,154,000*
65,000   Teradyne, Inc.   7,096,050 
        61,281,925 
Software 14.2%     
47,500   Avalara, Inc.   8,301,575*
36,000   Crowdstrike Holdings, Inc. Class A   8,848,080*
38,000   Descartes Systems Group, Inc.   3,087,880*
45,000   DocuSign, Inc.   11,584,350*
16,000   HubSpot, Inc.   10,817,440*
72,500   Manhattan Associates, Inc.   11,094,675*
12,500   Palo Alto Networks, Inc.   5,987,500*
35,000   Paylocity Holding Corp.   9,814,000*
30,000   RingCentral, Inc. Class A   6,525,000*
125,000   Trade Desk, Inc. Class A   8,787,500*
27,500   Zscaler, Inc.   7,211,050*
        92,059,050 
Specialty Retail 6.5%     
34,400   Best Buy Co., Inc.   3,636,424 
30,000   Burlington Stores, Inc.   8,507,100*
54,100   CarMax, Inc.   6,922,636*
75,000   Dick's Sporting Goods, Inc.   8,982,750 
30,000   Five Below, Inc.   5,304,300*
14,800   O'Reilly Automotive, Inc.   9,043,688*
        42,396,898 
Trading Companies & Distributors 1.9%     
34,400   United Rentals, Inc.   12,071,992*
Total Common Stocks
(Cost $397,849,746)
  625,376,431 
Short-Term Investments 4.0%     
Investment Companies 4.0%     
22,673,612   State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(b)   22,673,612 
2,969,670   State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(b)   2,969,670(c)
Total Short-Term Investments
(Cost $25,643,282)
   25,643,282 
Total Investments 100.2%
(Cost $423,493,028)
   651,019,713 
Liabilities Less Other Assets (0.2)%   (986,170)
      
Net Assets 100.0%  $650,033,543 

 

* Non-income producing security.
(a) The security or a portion of this security is on loan at September 30, 2021. Total value of all such securities at September 30, 2021 amounted to $2,712,299 for the Fund.
(b) Represents 7-day effective yield as of September 30, 2021.
(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, 2021:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
Common Stocks(a)  $625,376,431   $   $   $625,376,431 
Short-Term Investments       25,643,282        25,643,282 
Total Investments  $625,376,431   $25,643,282   $   $651,019,713 

 

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

 

^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, 2021 

 

NUMBER OF
SHARES
    VALUE 
        
Common Stocks 98.7%
Aerospace & Defense 3.0%
 22,292   General Dynamics Corp.  $4,369,901 
Auto Components 2.9%
 28,280   Aptiv PLC   4,212,872*
Banks 10.8%
 67,842   BankUnited, Inc.   2,837,152 
 41,357   Comerica, Inc.   3,329,239 
 130,106   First Horizon Corp.   2,119,427 
 185,966   Huntington Bancshares, Inc.   2,875,034 
 14,666   M&T Bank Corp.   2,190,220 
 37,987   Truist Financial Corp.   2,227,938 
         15,579,010 
Beverages 2.4%
 73,500   Molson Coors Brewing Co. Class B   3,408,930 
Biotechnology 0.6%
 16,736   Emergent BioSolutions, Inc.   837,972*
Building Products 6.2%
 19,160   Carlisle Cos, Inc.   3,808,816 
 22,610   Fortune Brands Home & Security, Inc.   2,021,786 
 46,723   Johnson Controls International PLC   3,180,902 
         9,011,504 
Chemicals 1.0%
 17,019   Ashland Global Holdings, Inc.   1,516,733 
Commercial Services & Supplies 2.3%
 113,900   KAR Auction Services, Inc.   1,866,821*
 21,978   Stericycle, Inc.   1,493,845*
         3,360,666 
Communications Equipment 3.1%
 42,100   Ciena Corp.   2,161,835*
 10,032   Motorola Solutions, Inc.   2,330,634 
         4,492,469 
Containers & Packaging 1.8%
 46,172   Sealed Air Corp.   2,529,764 
Electric Utilities 3.3%
 59,100   Evergy, Inc.   3,676,020 
 32,100   OGE Energy Corp.   1,058,016 
         4,734,036 
Electronic Equipment, Instruments & Components 2.9%
 14,819   CDW Corp.   2,697,354 
 13,988   II-VI, Inc.   830,328*
 9,070   Itron, Inc.   685,964*
         4,213,646 
Energy Equipment & Services 1.2%
 69,965   Baker Hughes Co.   1,730,234 
Entertainment 2.6%
 283,750   Lions Gate Entertainment Corp. Class B   3,688,750*
Equity Real Estate Investment Trusts 3.0%
 65,379   Regency Centers Corp.   4,401,968 
Food & Staples Retailing 1.4%
 35,694   BJ's Wholesale Club Holdings, Inc.   1,960,314*
Food Products 3.7%
 56,300   Hain Celestial Group, Inc.   2,408,514*
 74,200   TreeHouse Foods, Inc.   2,959,096*
         5,367,610 
Health Care Equipment & Supplies 4.1%
 22,637   Avanos Medical, Inc.   706,274*
 18,400   Cardiovascular Systems, Inc.   604,072*
 17,252   Haemonetics Corp.   1,217,819*
 22,893   Zimmer Biomet Holdings, Inc.   3,350,620 
         5,878,785 
Health Care Providers & Services 1.5%
 7,600   McKesson Corp.   1,515,288 
 24,099   MEDNAX, Inc.   685,135*
         2,200,423 
Hotels, Restaurants & Leisure 6.2%
 130,633   MGM Resorts International   5,636,814 
 60,884   Travel & Leisure Co.   3,320,004 
         8,956,818 
Independent Power and Renewable Electricity Producers 2.8%
 118,404   AES Corp.   2,703,163 
 81,800   Vistra Corp.   1,398,780 
         4,101,943 
Insurance 1.0%
 15,900   Globe Life, Inc.   1,415,577 
IT Services 2.4%
 10,900   Alliance Data Systems Corp.   1,099,701 
 351,300   Conduent, Inc.   2,315,067*
         3,414,768 
Metals & Mining 0.6%
 41,490   Cleveland-Cliffs, Inc.   821,917*
Mortgage Real Estate Investment Trusts 2.2%
 131,628   Starwood Property Trust, Inc.   3,213,039 
Multi-Utilities 2.1%
 122,121   CenterPoint Energy, Inc.   3,004,177 
Multiline Retail 1.5%
 22,279   Dollar Tree, Inc.   2,132,546*
Oil, Gas & Consumable Fuels 7.7%
 66,694   Devon Energy Corp.   2,368,304 
 31,299   EOG Resources, Inc.   2,512,371 
 58,709   ONEOK, Inc.   3,404,535 
 16,400   Phillips 66   1,148,492 
 66,139   Williams Cos., Inc.   1,715,645 
         11,149,347 
Professional Services 1.8%
 83,974   Dun & Bradstreet Holdings, Inc.   1,411,603*
 30,062   KBR, Inc.   1,184,443 
         2,596,046 
Semiconductors & Semiconductor Equipment 5.2%
 17,295   CMC Materials, Inc.   2,131,263 

 

See Notes to Schedule of Investments

 

 

 

 

Schedule of Investments Mid Cap Intrinsic Value Portfolio^

(Unaudited) (cont’d)

 

NUMBER OF
SHARES
       VALUE 
13,954   NXP Semiconductors NV  $2,733,170 
15,564   Skyworks Solutions, Inc.   2,564,636 
        7,429,069 
Software 1.5%
72,858   Dropbox, Inc. Class A   2,128,911*
Specialty Retail 2.4%
431,400   Chico's FAS, Inc.   1,936,986*
19,897   Children's Place, Inc.   1,497,448*
        3,434,434 
Trading Companies & Distributors 3.5%
86,400   AerCap Holdings NV   4,994,784*
Total Common Stocks
(Cost $107,065,954)
   142,288,963 
Short-Term Investments 0.7%
Investment Companies 0.7%
985,708   State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(a)
(Cost $985,708)
   985,708 
Total Investments 99.4%
(Cost $108,051,662)
   143,274,671 
Other Assets Less Liabilities 0.6%   859,498 
      
Net Assets 100.0%  $144,134,169 

 

*Non-income producing security.
(a)Represents 7-day effective yield as of September 30, 2021.

 

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, 2021:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                    
Common Stocks(a)  $142,288,963   $   $   $142,288,963 
Short-Term Investments       985,708        985,708 
Total Investments  $142,288,963   $985,708   $   $143,274,671 

 

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

 

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

 

 

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) September 30, 2021

 

PRINCIPAL
AMOUNT
    VALUE 
        
U.S. Treasury Obligations 1.9%    
$2,220,000   U.S. Treasury Note, 0.13%, due 4/30/2023
(Cost  $2,218,677)
  $2,217,052 
Mortgage-Backed Securities 31.8%    
Adjustable Mixed Balance 0.1%    
 111,346   Harborview Mortgage Loan Trust, Ser. 2004-4, Class 3A, (1M USD LIBOR + 1.13%), 1.21%, due 6/19/2034   117,002(a)
Collateralized Mortgage Obligations 12.5%    
 357,100   Angel Oak Mortgage Trust, Ser. 2019-6, Class A1, 2.62%, due 11/25/2059   358,059(b)(c)
 1,035,503   Brass No. 10 PLC, Ser. 10A, Class A1, 0.67%, due 4/16/2069   1,035,929(b)(c)
 165,097   Connecticut Avenue Securities Trust, Ser. 2019-R02, Class 1M2, (1M USD LIBOR + 2.30%), 2.39%, due 8/25/2031   166,220(a)(b)
     Fannie Mae Connecticut Avenue Securities     
 1,013,965   Ser. 2016-C02, Class 1M2, (1M USD LIBOR + 6.00%), 6.09%, due 9/25/2028   1,060,241(a)
 317,808   Ser. 2016-C03, Class 1M2, (1M USD LIBOR + 5.30%), 5.39%, due 10/25/2028   333,816(a)
 1,065,420   Ser. 2016-C04, Class 1M2, (1M USD LIBOR + 4.25%), 4.34%, due 1/25/2029   1,104,424(a)
 745,893   Ser. 2016-C06, Class 1M2, (1M USD LIBOR + 4.25%), 4.34%, due 4/25/2029   772,808(a)
 269,110   Ser. 2016-C07, Class 2M2, (1M USD LIBOR + 4.35%), 4.44%, due 5/25/2029   280,414(a)
 1,089,620   Ser. 2017-C03, Class 1M2, (1M USD LIBOR + 3.00%), 3.09%, due 10/25/2029   1,119,843(a)
 894,974   Ser. 2017-C05, Class 1M2, (1M USD LIBOR + 2.20%), 2.29%, due 1/25/2030   914,572(a)
 923,132   Ser. 2018-C01, Class 1M2, (1M USD LIBOR + 2.25%), 2.34%, due 7/25/2030   935,196(a)
     Freddie Mac Structured Agency Credit Risk Debt Notes     
 1,141,284   Ser. 2017-DNA1, Class M2, (1M USD LIBOR + 3.25%), 3.34%, due 7/25/2029   1,177,986(a)
 670,000   Ser. 2017-DNA3, Class M2, (1M USD LIBOR + 2.50%), 2.59%, due 3/25/2030   687,143(a)
 1,076,966   Ser. 2017-HQA3, Class M2, (1M USD LIBOR + 2.35%), 2.44%, due 4/25/2030   1,099,184(a)
 264,744   Ser. 2019-DNA2, Class M2, (1M USD LIBOR + 2.45%), 2.54%, due 3/25/2049   268,717(a)(b)
 526,608   Freddie Mac Structured Agency Credit Risk Debt Notes Real Estate Mortgage Investment Conduits, Ser. 2021-DNA1, Class M1, (SOFR30A + 0.65%), 0.70%, due 1/25/2051   526,608(a)(b)
 644,000   GCAT, Ser. 2021-NQM5, Class A1, 1.26%, due 7/25/2066   643,987(b)(c)(d)
     GCAT Trust     
 343,621   Ser. 2019-NQM2, Class A1, 2.86%, due 9/25/2059   344,549(b)(e)
 421,069   Ser. 2019-NQM3, Class A1, 2.69%, due 11/25/2059   429,928(b)(c)
 118,680   Starwood Mortgage Residential Trust, Ser. 2019-INV1, Class A1, 2.61%, due 9/27/2049   120,024(b)(c)
 775,070   Verus Securitization Trust, Ser. 2021-3, Class A3, 1.44%, due 6/25/2066   774,189(b)(c)
         14,153,837 
Commercial Mortgage-Backed 17.7%    
 1,386,456   BANK, Ser. 2020-BN30, Class A1, 0.45%, due 12/15/2053   1,379,598 
 510,000   BB-UBS Trust, Ser. 2012-SHOW, Class A , 3.43%, due 11/5/2036   537,578(b)
 5,403,000   BBCMS Mortgage Trust, Ser. 2021-C11, Class XA, 1.39%, due 9/15/2054   563,606(c)(f)
 1,150,000   BX Commercial Mortgage Trust, Ser. 2021-VOLT, Class D, (1M USD LIBOR + 1.65%), 1.75%, due 9/15/2036   1,150,721(a)(b)

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT
     VALUE 
$252,047   BX Commercial Mortgage Trust, Ser. 2018-IND, Class A, (1M USD LIBOR + 0.75%), 0.83%, due 11/15/2035  $252,200(a)(b)
 587,000   BX Trust, Ser. 2021-SDMF, Class E, (1M USD LIBOR + 1.59%), 1.69%, due 9/15/2023   585,175(a)(b)
 320,000   BXMT Ltd., Ser. 2020-FL2, Class A, (SOFR30A + 1.01%), 1.06%, due 2/15/2038   319,699(a)(b)
 340,640   CD Mortgage Trust, Ser. 2017-CD5, Class A1, 2.03%, due 8/15/2050   342,670 
     Citigroup Commercial Mortgage Trust     
 240,048   Ser. 2012-GC8, Class AAB, 2.61%, due 9/10/2045   241,423 
 830,000   Ser. 2015-P1, Class A5, 3.72%, due 9/15/2048   905,873 
 293,515   Ser. 2016-P3, Class A2, 2.74%, due 4/15/2049   293,365 
     Commercial Mortgage Trust     
 1,111,000   Ser. 2012-CR4, Class AM, 3.25%, due 10/15/2045   1,118,605 
 12,197,487   Ser. 2014-CR18, Class XA, 1.16%, due 7/15/2047   279,644(c)(f)
     CSAIL Commercial Mortgage Trust     
 16,468,726   Ser. 2016-C5, Class XA, 1.09%, due 11/15/2048   530,275(c)(f)
 403,135   Ser. 2017-CX10, Class A1, 2.23%, due 11/15/2050   405,561 
 800,000   Eleven Madison Mortgage Trust, Ser. 2015-11MD, Class A, 3.67%, due 9/10/2035   863,729(b)(c)
     Freddie Mac Multiclass Certificates     
 2,420,000   Ser. 2020-RR03, Class X1, 1.71%, due 7/27/2028   251,347(f)
 1,500,000   Ser. 2020-RR02, Class DX, 1.82%, due 9/27/2028   168,692(c)(f)
 1,535,000   Ser. 2020-RR02, Class CX, 1.27%, due 3/27/2029   127,934(c)(f)
 26,707,215   Freddie Mac Multifamily Structured Pass Through Certificates, Ser. K737, Class X1, 0.75%, due 10/25/2026   744,862(c)(f)
     GS Mortgage Securities Trust     
 520,000   Ser. 2019-BOCA, Class A, (1M USD LIBOR + 1.20%), 1.28%, due 6/15/2038   520,480(a)(b)
 915,000   Ser. 2010-C1, Class B, 5.15%, due 8/10/2043   919,103(b)
 95,000   Ser. 2012-GCJ7, Class B, 4.74%, due 5/10/2045   96,740 
 176,916,158   Ser. 2013-GC13, Class XA, 0.10%, due 7/10/2046   196,271(c)(f)
 1,000,000   Ser. 2014-GC22, Class A4, 3.59%, due 6/10/2047   1,046,280 
 18,345,731   Ser. 2015-GC30, Class XA, 0.88%, due 5/10/2050   437,118(c)(f)
     JP Morgan Chase Commercial Mortgage Securities Trust     
 285,000   Ser. 2012-HSBC, Class B, 3.72%, due 7/5/2032   288,752(b)
 285,000   Ser. 2012-HSBC, Class C, 4.02%, due 7/5/2032   288,912(b)
     JPMBB Commercial Mortgage Securities Trust     
 423,705   Ser. 2013-C12, Class ASB, 3.16%, due 7/15/2045   427,433 
 345,303   Ser. 2015-C29, Class ASB, 3.30%, due 5/15/2048   360,198 
 166,000   Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C9, Class B, 3.71%, due 5/15/2046   171,009(c)
 172,423   Morgan Stanley Capital I Trust, Ser. 2012-C4, Class A4, 3.24%, due 3/15/2045   173,375 
 165,000   ONE Mortgage Trust, Ser. 2021-PARK, Class E, (1M USD LIBOR + 1.75%), 1.83%, due 3/15/2036   165,000(a)(b)
 377,306   UBS Commercial Mortgage Trust, Ser. 2018-C14, Class A1, 3.38%, due 12/15/2051   384,826 
 893,000   VNDO Mortgage Trust, Ser. 2012-6AVE, Class E, 3.45%, due 11/15/2030   907,918(b)(c)
     Wells Fargo Commercial Mortgage Trust     
 293,780   Ser. 2012-LC5, Class A3, 2.92%, due 10/15/2045   297,777 
 674,693   Ser. 2020-C58, Class A1, 0.55%, due 7/15/2053   672,158 
     WF-RBS Commercial Mortgage Trust     
 16,987,674   Ser. 2014-LC14, Class XA, 1.43%, due 3/15/2047   406,933(c)(f)
 1,130,000   Ser. 2014-C25, Class A5, 3.63%, due 11/15/2047   1,216,184 
         20,039,024 

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT
     VALUE 
        
Fannie Mae 0.8%    
$786,433   Pass-Through Certificates, 4.50%, due 5/1/2041 – 5/1/2044  $875,193 
Freddie Mac 0.7%    
     Pass-Through Certificates     
 312,460   3.50%, due 5/1/2026   333,423 
 404,666   4.50%, due 11/1/2039   452,255 
         785,678 
     Total Mortgage-Backed Securities (Cost $36,906,628)   35,970,734 
Corporate Bonds 44.6%    
Advertising 0.1%    
 140,000   Outfront Media Capital LLC/Outfront Media Capital Corp., 6.25%, due 6/15/2025   147,875(b)
Aerospace & Defense 1.8%    
 1,400,000   Boeing Co., 2.20%, due 2/4/2026   1,410,321 
 410,000   Spirit AeroSystems, Inc., 7.50%, due 4/15/2025   434,087(b)
 230,000   TransDigm, Inc., 6.25%, due 3/15/2026   239,775(b)
         2,084,183 
Agriculture 0.5%    
 535,000   BAT Capital Corp., 2.26%, due 3/25/2028   531,000 
Airlines 3.1%    
 1,160,000   American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, due 4/20/2026   1,219,450(b)
 140,000   Delta Air Lines, Inc., 7.00%, due 5/1/2025   163,275(b)
 535,000   Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/2025   572,450(b)
 255,000   United Airlines, Inc., 4.38%, due 4/15/2026   261,694(b)
     United Continental Holdings, Inc.     
 170,000   4.25%, due 10/1/2022   173,347 
 1,090,000   4.88%, due 1/15/2025   1,117,250(g)
         3,507,466 
Auto Manufacturers 2.0%    
     General Motors Financial Co., Inc.     
 530,000   2.75%, due 6/20/2025   554,115 
 400,000   2.70%, due 8/20/2027   415,572 
 250,000   Jaguar Land Rover Automotive PLC, 7.75%, due 10/15/2025   269,863(b)
     Volkswagen Group of America Finance LLC     
 610,000   0.88%, due 11/22/2023   613,059(b)
 370,000   3.35%, due 5/13/2025   395,571(b)
         2,248,180 
Auto Parts & Equipment 0.1%    
 60,000   Meritor, Inc., 6.25%, due 6/1/2025   63,072(b)
Banks 7.9%    
 550,000   Banco Santander SA, 2.75%, due 5/28/2025   576,932 
 650,000   Bank of America Corp., Ser. L, 3.95%, due 4/21/2025   708,345 
 1,070,000   Citigroup, Inc., 3.35%, due 4/24/2025   1,136,501(h)
 1,895,000   Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60%), 1.72%, due 11/29/2023   1,950,012(a)
 700,000   JPMorgan Chase & Co., 2.30%, due 10/15/2025   726,049(h)
 1,065,000   Lloyds Banking Group PLC, 1.33%, due 6/15/2023   1,071,840(h)
 1,700,000   Morgan Stanley, 0.79%, due 5/30/2025   1,694,781(h)
 1,060,000   Wells Fargo & Co., 3.75%, due 1/24/2024   1,133,221 
         8,997,681 

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT
      VALUE 
         
Chemicals 1.0%    
$1,080,000   LYB International Finance III LLC, (3M USD LIBOR + 1.00%), 1.13%, due 10/1/2023  $1,080,629(a)
Commercial Services 0.2%    
 240,000   Prime Security Services Borrower LLC/Prime Finance, Inc., 5.25%, due 4/15/2024   255,972(b)
Distribution - Wholesale 0.3%    
 290,000   KAR Auction Services, Inc., 5.13%, due 6/1/2025   293,262(b)
Diversified Financial Services 2.4%    
     AerCap Ireland Capital DAC/AerCap Global Aviation Trust     
 800,000   4.50%, due 9/15/2023   852,327 
 540,000   6.50%, due 7/15/2025   626,077 
 1,290,000   Global Aircraft Leasing Co. Ltd., 6.50% Cash/7.25% PIK, due 9/15/2024   1,267,425(b)(i)
         2,745,829 
Electric 0.1%    
 150,000   Talen Energy Supply LLC, 10.50%, due 1/15/2026   82,500(b)
Entertainment 0.9%    
 250,000   Cinemark USA, Inc., 8.75%, due 5/1/2025   268,125(b)
 215,000   Int'l Game Technology PLC, 4.13%, due 4/15/2026   223,465(b)
 260,000   Live Nation Entertainment, Inc., 4.88%, due 11/1/2024   262,904(b)
 230,000   Six Flags Theme Parks, Inc., 7.00%, due 7/1/2025   244,950(b)
         999,444 
Food Service 0.2%    
     Aramark Services, Inc.     
 150,000   5.00%, due 4/1/2025   153,517(b)(g)
 80,000   6.38%, due 5/1/2025   84,100(b)
         237,617 
Gas 1.4%    
 550,000   Atmos Energy Corp., (3M USD LIBOR + 0.38%), 0.50%, due 3/9/2023   550,075(a)
 1,035,000   CenterPoint Energy Resources Corp., (3M USD LIBOR + 0.50%), 0.62%, due 3/2/2023   1,035,165(a)
         1,585,240 
Housewares 0.2%    
 180,000   CD&R Smokey Buyer, Inc., 6.75%, due 7/15/2025   190,435(b)
Leisure Time 1.3%    
     Carnival Corp.     
 785,000   10.50%, due 2/1/2026   910,757(b)
 280,000   5.75%, due 3/1/2027   289,450(b)
 220,000   NCL Corp. Ltd., 12.25%, due 5/15/2024   259,600(b)
         1,459,807 
Lodging 0.2%    
 260,000   Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 3/1/2025   265,200(b)
Machinery - Diversified 1.2%    
 1,385,000   Otis Worldwide Corp., (3M USD LIBOR + 0.45%), 0.59%, due 4/5/2023   1,385,141(a)
Media 2.2%    
     Charter Communications Operating LLC/Charter Communications Operating Capital     
 430,000   4.91%, due 7/23/2025   483,589 
 535,000   2.25%, due 1/15/2029   534,579(j)
 343,000   Cumulus Media New Holdings, Inc., 6.75%, due 7/1/2026   355,005(b)(g) 
 550,000   Fox Corp., 3.05%, due 4/7/2025   585,374 

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT
      VALUE 
$180,000   iHeartCommunications, Inc., 6.38%, due 5/1/2026  $189,927 
 310,000   Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, due 9/15/2026   320,075(b)
         2,468,549 
Mining 0.3%    
 320,000   First Quantum Minerals Ltd., 7.50%, due 4/1/2025   328,266(b)
Miscellaneous Manufacturer 1.9%    
 2,185,000   General Electric Capital Corp., (3M USD LIBOR + 1.00%), 1.12%, due 3/15/2023   2,208,907(a)
Oil & Gas 1.3%    
 260,000   Apache Corp., 4.63%, due 11/15/2025   279,500 
 210,000   Occidental Petroleum Corp., 5.50%, due 12/1/2025   232,575 
 90,000   PDC Energy, Inc., 5.75%, due 5/15/2026   93,713 
 550,000   Petroleos Mexicanos, (3M USD LIBOR + 3.65%), 3.76%, due 3/11/2022   552,871(a)
 250,000   Range Resources Corp., 9.25%, due 2/1/2026   272,512 
         1,431,171 
Oil & Gas Services 0.1%    
 150,000   USA Compression Partners L.P./USA Compression Finance Corp., 6.88%, due 4/1/2026   156,180 
Pharmaceuticals 0.5%    
 370,000   Upjohn, Inc., 1.65%, due 6/22/2025   373,702(b)
 140,000   Valeant Pharmaceuticals Int’l, Inc., 5.50%, due 11/1/2025   142,100(b)
         515,802 
Pipelines 2.3%    
 365,000   Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/2025   394,656(b)
 130,000   EQM Midstream Partners L.P., 6.00%, due 7/1/2025   142,506(b)
 160,000   Genesis Energy L.P./Genesis Energy Finance Corp., 6.50%, due 10/1/2025   159,200 
 660,000   MPLX L.P., 4.88%, due 6/1/2025   737,566 
     New Fortress Energy, Inc.     
 260,000   6.75%, due 9/15/2025   250,250(b)
 720,000   6.50%, due 9/30/2026   688,500(b)
 90,000   Rattler Midstream L.P., 5.63%, due 7/15/2025   93,717(b)
 140,000   Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp., 7.50%, due 10/1/2025   151,550(b)
         2,617,945 
Real Estate 0.2%    
 215,000   Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, due 6/15/2025   229,609(b)
Real Estate Investment Trusts 1.6%    
     American Tower Corp.     
 645,000   1.60%, due 4/15/2026   647,634 
 805,000   1.45%, due 9/15/2026   801,257 
 115,000   MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., 4.63%, due 6/15/2025   123,913(b)
 250,000   Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, due 2/15/2025   264,150(b)
         1,836,954 
Retail 1.0%    
 1,100,000   Lowe's Cos., Inc., 1.70%, due 9/15/2028   1,090,375(g)
Semiconductors 0.7%    
 750,000   Broadcom, Inc., 3.15%, due 11/15/2025   801,587 
Software 2.5%    
 540,000   Infor, Inc., 1.45%, due 7/15/2023   545,682(b)
 1,700,000   Oracle Corp., 1.65%, due 3/25/2026   1,724,154 

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT
      VALUE 
$530,000   VMware, Inc., 1.00%, due 8/15/2024  $531,770 
         2,801,606 
Telecommunications 5.1%    
     AT&T, Inc.     
 1,370,000   1.70%, due 3/25/2026   1,386,960 
 550,000   1.65%, due 2/1/2028   545,595 
 1,400,000   Crown Castle Towers LLC, 3.66%, due 5/15/2025   1,472,117(b)
 200,000   Numericable-SFR SA, 7.38%, due 5/1/2026   207,520(b)
 550,000   T-Mobile USA, Inc., 3.50%, due 4/15/2025   592,519 
     Verizon Communications, Inc.     
 1,025,000   1.45%, due 3/20/2026   1,034,235 
 550,000   2.63%, due 8/15/2026   581,740 
         5,820,686 
     Total Corporate Bonds (Cost $49,765,946)   50,468,170 
Municipal Notes 1.3%    
Illinois 1.3%    
 1,500,000   Chicago Midway Arpt. Rev. (Second Lien), Ser. 2014-C, (LOC: Barclays Bank PLC), 0.10%, due 1/1/2044 (Cost $1,500,000)   1,500,000(k)
Asset-Backed Securities 10.1%    
 1,000,000   AM Capital Funding LLC, Ser. 2018-1, Class A, 4.98%, due 12/15/2023   1,039,949(b)
 438,000   Aqua Finance Trust, Ser. 2021-A, Class A, 1.54%, due 7/17/2046   437,286(b)(j)
 500,000   Benefit Street Partners CLO XIX Ltd., Ser. 2019-19A, Class D, (3M USD LIBOR + 3.80%), 3.93%, due 1/15/2033   500,835(a)(b)
 1,072,819   Chase Auto Credit Linked Notes, Ser. 2021-3, Class B, 0.76%, due 2/26/2029   1,072,226(b)
 280,094   Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Ser. 2019-HP1, Class A, 2.59%, due 12/15/2026   281,842(b)
 565,000   Fort Washington CLO Ltd., Ser. 2021-2A, Class A, (3M USD LIBOR + 1.22%), 1.34%, due 10/20/2034   564,962(a)(b)
 500,000   Milos CLO Ltd., Ser. 2017-1A, Class DR, (3M USD LIBOR + 2.75%), 2.88%, due 10/20/2030   497,589(a)(b)
 145,366   Marriott Vacations Worldwide Owners Trust LLC, Ser. 2021-1WA, Class B, 1.44%, due 1/22/2041   145,227(b)
 550,108   Navient Private Ed. Refi Loan Trust, Ser. 2021-EA, Class A, 0.97%, due 12/16/2069   548,126(b)
 500,000   OHA Loan Funding Ltd., Ser. 2016-1A, Class DR, (3M USD LIBOR + 3.00%), 3.13%, due 1/20/2033   499,995(a)(b)
 500,000   Palmer Square CLO Ltd., Ser. 2015-2A, Class CR2, (3M USD LIBOR + 2.75%), 2.88%, due 7/20/2030   499,501(a)(b)
 1,195,000   PFS Financing Corp., Ser. 2021-A, Class A, 0.71%, due 4/15/2026   1,192,435(b)
     Sierra Timeshare Receivables Funding LLC     
 160,476   Ser. 2019-2A, Class A, 2.59%, due 5/20/2036   164,299(b)
 191,855   Ser. 2020-2A, Class C, 3.51%, due 7/20/2037   196,809(b)
 500,000   Signal Peak CLO LLC, Ser. 2015-1A, Class DR2, (3M USD LIBOR + 2.85%), 2.98%, due 4/20/2029   493,190 (a)(b)
 537,452   SLM Student Loan Trust, Ser. 2013-2, Class A, (1M USD LIBOR + 0.45%), 0.54%, due 6/25/2043   534,360(a)
 199,025   SoFi Consumer Loan Program Trust, Ser. 2020-1, Class A, 2.02%, due 1/25/2029   200,267(b)
 531,331   SoFi Professional Loan Program Trust, Ser. 2021-A, Class AFX, 1.03%, due 8/17/2043   530,616(b)
 500,000   Symphony CLO XXII Ltd., Ser. 2020-22A, Class D, (3M USD LIBOR + 3.15%), 3.28%, due 4/18/2033   498,757(a)(b)
 500,000   TICP CLO VII Ltd., Ser. 2017-7A, Class DR, (3M USD LIBOR + 3.20%), 3.33%, due 4/15/2033   500,751(a)(b)
 500,000   TICP CLO XV Ltd., Ser. 2020-15A, Class D, (3M USD LIBOR + 3.15%), 3.28%, due 4/20/2033   500,990(a)(b)

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

PRINCIPAL
AMOUNT
      VALUE 
$500,000   TRESTLES CLO III Ltd., Ser. 2020-3A, Class D, (3M USD LIBOR + 3.25%), 3.38%, due 1/20/2033  $499,994(a)(b)
     Total Asset-Backed Securities (Cost $11,418,625)   11,400,006 
           
NUMBER OF
SHARES
         
          
Exchange-Traded Funds 6.5%    
 267,245   SPDR Bloomberg Barclays Short Term High Yield Bond ETF
(Cost $7,244,965)
   7,319,841 
Short-Term Investments 7.3%    
Investment Companies 7.3%    
 6,207,456   State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(l)   6,207,456(m)
 2,024,965   State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(l)   2,024,965(n)
     Total Short-Term Investments (Cost $8,232,421)   8,232,421 
           
     Total Investments 103.5% (Cost $117,287,262)   117,108,224 
           
     Liabilities Less Other Assets (3.5)%   (3,912,421)(o)
           
     Net Assets 100.0%  $113,195,803 

 

(a) Variable or floating rate security. The interest rate shown was the current rate as of September 30, 2021 and changes periodically.
(b) 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, 2021, these securities amounted to $37,848,274, which represents 33.4% of net assets of the Fund.
(c) 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, 2021.
(d) Security fair valued as of September 30, 2021 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2021 amounted to $643,987, which represents 0.6% of net assets of the Fund.
(e) 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, 2021.
(f) 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.
(g) The security or a portion of this security is on loan at September 30, 2021. Total value of all such securities at September 30, 2021 amounted to $1,981,386 for the Fund.
(h) 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.
(i) Payment-in-kind (PIK) security.
(j) When-issued security. Total value of all such securities at September 30, 2021 amounted to $971,865, which represents 0.9% of net assets of the Fund.
(k) Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at September 30, 2021.
(l) Represents 7-day effective yield as of September 30, 2021.
(m) All or a portion of this security is segregated in connection with obligations for when-issued securities and/or futures contracts with a total value of $6,207,456.
(n) Represents investment of cash collateral received from securities lending.
(o) Includes the impact of the Fund's open positions in derivatives at September 30, 2021.

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

POSITIONS BY COUNTRY

 

Country  Investments at
Value
   Percentage of
Net Assets
 
United States  $95,664,050    84.5%
Cayman Islands   6,150,498    5.4%
United Kingdom   2,908,632    2.6%
Ireland   1,478,404    1.3%
Germany   1,008,630    0.9%
Spain   576,932    0.5%
Mexico   552,871    0.5%
Zambia   328,266    0.3%
France   207,520    0.2%
Short-Term Investments and Other Liabilities-Net   4,320,000    3.8%
   $113,195,803    100.0%

 

See Notes to Schedule of Investments

 

 

Schedule of Investments Short Duration Bond Portfolio^

(Unaudited) (cont’d)

 

Derivative Instruments

 

Futures contracts ("futures")

 

At September 30, 2021, 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)
 
12/2021  259  U.S. Treasury Note, 2 Year  $56,994,164   $(31,062)
Total Long Positions        $56,994,164   $(31,062)

 

Short Futures:  

 

Expiration
Date
  Number of
Contracts
  Open Contracts  Notional
Amount
   Value and
Unrealized
Appreciation/
(Depreciation)
 
12/2021  140  U.S. Treasury Note, 5 Year   (17,183,906)   83,323 
12/2021  23  U.S. Treasury Note, 10 Year  $(3,027,016)  $27,891 
Total Short Positions        $(20,210,922)  $111,214 
Total Futures             $80,152 

 

At September 30, 2021, the Fund had $176,748 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, 2021:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
U.S. Treasury Obligations  $   $2,217,052   $   $2,217,052 
Mortgage-Backed Securities(a)       35,970,734        35,970,734 
Corporate Bonds(a)       50,468,170        50,468,170 
Municipal Notes(a)       1,500,000        1,500,000 
Asset-Backed Securities       11,400,006        11,400,006 
Exchange-Traded Funds   7,319,841            7,319,841 
Short-Term Investments       8,232,421        8,232,421 
Total Investments  $7,319,841   $109,788,383   $   $117,108,224 

 

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

 

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, 2021:

 

Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Futures(a)                    
Assets  $111,214   $   $   $111,214 
Liabilities   (31,062)           (31,062)
Total  $80,152   $   $   $80,152 

 

(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, 2021

 

NUMBER OF
SHARES
     VALUE 
        
Common Stocks 98.6%    
Auto Components 2.8%    
138,014  Aptiv PLC  $20,559,946*
Banks 3.3%          
146,639  JPMorgan Chase & Co.   24,003,338 
Capital Markets 3.0%       
190,137  Intercontinental Exchange, Inc.   21,831,530 
Communications Equipment 2.2%       
47,314  Arista Networks, Inc.   16,258,983*
Electrical Equipment 2.3%       
416,432  Vestas Wind Systems A/S   16,706,443 
Electronic Equipment, Instruments & Components 2.5%       
35,385  Zebra Technologies Corp. Class A   18,238,137*
Health Care Equipment & Supplies 7.7%       
81,507  Becton, Dickinson & Co.   20,036,051 
66,283  Danaher Corp.   20,179,196 
125,449  Medtronic PLC   15,725,032 
       55,940,279 
Health Care Providers & Services 5.4%       
134,888  AmerisourceBergen Corp.   16,112,372 
116,578  Cigna Corp.   23,334,252 
       39,446,624 
Hotels, Restaurants & Leisure 4.2%       
946,745  Compass Group PLC   19,362,046*
100,430  Starbucks Corp.   11,078,433 
       30,440,479 
Household Products 2.2%       
212,490  Colgate-Palmolive Co.   16,059,994 
Insurance 3.0%       
242,796  Progressive Corp.   21,946,331 
Interactive Media & Services 5.3%       
14,512  Alphabet, Inc. Class A   38,798,122*
IT Services 10.8%       
39,494  Accenture PLC Class A   12,634,920 
260,848  Cognizant Technology Solutions Corp. Class A   19,357,530 
103,459  Fiserv, Inc.   11,225,302*
165,242  GoDaddy, Inc. Class A   11,517,367*
69,422  MasterCard, Inc. Class A   24,136,641 
       78,871,760 
Machinery 3.6%       
101,605  Otis Worldwide Corp.   8,360,060 
101,691  Stanley Black & Decker, Inc.   17,827,449 
       26,187,509 
Materials 1.9%       
49,953  Sherwin-Williams Co.   13,973,353 
Media 5.3%       
513,818  Comcast Corp. Class A   28,737,841 
401,351  Discovery, Inc. Class A   10,186,288*
       38,924,129 
Multi-Utilities 2.2%     
1,338,606  National Grid PLC  15,950,449 
Personal Products 2.4%     
327,795  Unilever PLC ADR   17,773,045 
Pharmaceuticals 2.9%     
57,659  Roche Holding AG   21,043,791 
Professional Services 1.6%     
132,924  CoStar Group, Inc.   11,439,439*
Road & Rail 1.9%     
454,764  CSX Corp.   13,524,681 
Semiconductors & Semiconductor Equipment 4.8%     
181,014  Texas Instruments, Inc.   34,792,701 
Software 8.7%     
18,284  ANSYS, Inc.   6,224,788*
35,317  Intuit, Inc.   19,053,875 
133,986  Microsoft Corp.   37,773,333 
       63,051,996 
Specialty Retail 3.3%     
115,917  Advance Auto Parts, Inc.   24,213,902 
Trading Companies & Distributors 5.3%     
54,043  United Rentals, Inc.   18,965,310*
49,216  W.W. Grainger, Inc.   19,344,841 
       38,310,151 
Total Common Stocks
(Cost $418,716,021)
   718,287,112 
     
Short-Term Investments 1.4%     
      
PRINCIPAL
AMOUNT
        
         
Certificates of Deposit 0.0%(a)     
$ 100,000  Self Help Credit Union, 0.10%, due 10/29/2021   100,000 
100,000  Self Help Federal Credit Union, 0.10%, due 12/8/2021   100,000 
       200,000 

  

NUMBER OF
SHARES
     
           
Investment Companies 1.4%     
 10,369,852   State Street Institutional Treasury Money Market Fund Premier Class, 0.01%(b)   10,369,852 
Total Short-Term Investments
(Cost $10,569,852)
   10,569,852 
Total Investments 100.0%
(Cost $429,285,873)
   728,856,964 
Liabilities Less Other Assets (0.0)%(a)   (205,856)
      
Net Assets 100.0%  $728,651,108 

 

*   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, 2021.  

  

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  $627,451,338    86.1%
United Kingdom   53,085,540    7.3%
Switzerland   21,043,791    2.9%
Denmark   16,706,443    2.3%
Short-Term Investments and Other Liabilities-Net   10,363,996    1.4%
   $728,651,108    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, 2021:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3   Total 
Investments:                
Common Stocks                    
Electrical Equipment  $   $16,706,443   $   $16,706,443 
Hotels, Restaurants & Leisure   11,078,433    19,362,046        30,440,479 
Multi-Utilities       15,950,449        15,950,449 
Pharmaceuticals       21,043,791        21,043,791 
Other Common Stocks(a)   634,145,950            634,145,950 
Total Common Stocks   645,224,383    73,062,729        718,287,112 
Short-Term Investments       10,569,852        10,569,852 
Total Investments  $645,224,383   $83,632,581   $   $728,856,964 

 

(a) The Schedule of Investments provides information on the industry or sector categorization as well as a Positions 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, 2021

 

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 and exchange-traded funds, 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”).

 

U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers 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)

 

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.

 

Municipal Debt Securities. Inputs used to value municipal debt securities include current trades, bid-wanted lists (which informs the market that a holder is interested in selling a position and that offers will be considered), offerings, general information on market movement, direction, trends, and specific data on specialty issues.

 

The value of futures 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 with readily determinable fair value 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 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 Services (“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.

 

In December 2020, the Securities and Exchange Commission (“SEC”) adopted Rule 2a-5 under the 1940 Act, which establishes requirements for determining fair value in good faith for purposes of the 1940 Act, including related oversight and reporting requirements. The rule also defines when market quotations are “readily available” for purposes of the 1940 Act, which is the threshold for determining whether a fund must fair value a security. The rule became effective on March 8, 2021, however, the SEC adopted an eighteen-month transition period beginning from the effective date. Management is currently evaluating this guidance.

 

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)

 

Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and 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. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. 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

September 30, 2021 (Unaudited)

 

Benchmarks:

LIBOR = London Interbank Offered Rate

SOFR30A = 30 Day Average 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, 2021

 

Investments  Principal
Amount ($)
   Value ($) 
         
U.S. GOVERNMENT AGENCY SECURITIES - 66.3%
         
Federal Agricultural Mortgage Corp.,          
1.59%, 1/10/2024   2,800,000    2,877,015 
2.62%, 2/26/2024(a)   1,200,000    1,263,541 
FFCB,          
1.60%, 1/21/2022   1,000,000    1,004,616 
0.25%, 5/6/2022   1,000,000    1,001,085 
FHLB,          
2.13%, 6/10/2022   5,000,000    5,071,102 
FHLMC,          
2.38%, 1/13/2022(b)   5,000,000    5,032,700 
0.13%, 7/25/2022   2,500,000    2,500,921 
FNMA,          
2.63%, 1/11/2022(a)   7,000,000    7,048,357 
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $25,777,801)
        25,799,337 
           
U.S. TREASURY OBLIGATIONS - 21.1%          
           
U.S. Treasury Notes,          
2.38%, 3/15/2022   1,500,000    1,515,937 
1.75%, 6/15/2022(a)   1,000,000    1,011,719 
1.50%, 9/15/2022(a)   3,100,000    3,141,414 
1.63%, 12/15/2022(a)   2,500,000    2,544,824 
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $8,212,925)
        8,213,894 

 

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

 

Investments  Shares   Value ($) 
SHORT-TERM INVESTMENTS - 15.3%          
           
INVESTMENT COMPANIES - 15.3%          
Invesco Government & Agency Portfolio, Institutional Class, 0.03% (e)   5,962,807    5,962,807 
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio, Institutional Class, 0.01% (b)(e)   1,591    1,591 
TOTAL INVESTMENT COMPANIES
(Cost $5,964,398)
        5,964,398 
           
Total Investments - 102.7%
(Cost $39,962,295)
        39,977,629 
Liabilities Less Other Assets - (2.7%)(f)        (1,061,877)
Net Assets - 100.0%        38,915,752 

 

* Non-income producing security.
(a) All or a portion of this security is pledged with the custodian for options written.
(b) All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $5,034,291.
(c) Security fair valued as of September 30, 2021, in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2021, amounted to $0, 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, 2021.
(f) Includes the impact of the Fund’s open positions in derivatives at September 30, 2021.

 

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, 2021, the Fund had outstanding options written as follows:  

 

Description  Number of
Contracts
  Notional
Amount
   Exercise
Price
   Expiration
Date
  Value 
Puts                     
Index                     
Russell 2000 Index  1  $(220,437)  $2,190   10/1/2021  $(780)
Russell 2000 Index  2   (440,874)   2,250   10/1/2021   (8,940)
Russell 2000 Index  1   (220,437)   2,290   10/1/2021   (8,360)
Russell 2000 Index  2   (440,874)   2,225   10/8/2021   (8,730)
Russell 2000 Index  5   (1,102,185)   2,250   10/8/2021   (29,200)
Russell 2000 Index  2   (440,874)   2,160   10/15/2021   (5,820)
Russell 2000 Index  1   (220,437)   2,220   10/15/2021   (5,165)
Russell 2000 Index  4   (881,748)   2,230   10/15/2021   (22,640)
Russell 2000 Index  1   (220,437)   2,160   10/22/2021   (3,940)
Russell 2000 Index  4   (881,748)   2,255   10/22/2021   (32,080)
Russell 2000 Index  1   (220,437)   2,260   10/22/2021   (8,310)
Russell 2000 Index  1   (220,437)   2,280   10/22/2021   (9,555)
Russell 2000 Index  1   (220,437)   2,210   10/29/2021   (4,530)
Russell 2000 Index  1   (220,437)   2,280   10/29/2021   (10,210)
S&P 500 Index  4   (1,723,016)   4,315   10/1/2021   (8,640)
S&P 500 Index  5   (2,153,770)   4,375   10/1/2021   (32,125)
S&P 500 Index  1   (430,754)   4,400   10/1/2021   (8,790)
S&P 500 Index  7   (3,015,278)   4,325   10/8/2021   (22,225)
S&P 500 Index  4   (1,723,016)   4,345   10/8/2021   (27,240)
S&P 500 Index  2   (861,508)   4,360   10/8/2021   (15,190)
S&P 500 Index  6   (2,584,524)   4,495   10/8/2021   (110,940)
S&P 500 Index  18   (7,753,572)   4,435   10/15/2021   (244,440)
S&P 500 Index  1   (430,754)   4,455   10/15/2021   (15,170)
S&P 500 Index  8   (3,446,032)   4,315   10/22/2021   (68,560)
S&P 500 Index  5   (2,153,770)   4,375   10/22/2021   (55,250)
S&P 500 Index  2   (861,508)   4,400   10/22/2021   (24,670)
S&P 500 Index  1   (430,754)   4,435   10/22/2021   (14,450)
S&P 500 Index  2   (861,508)   4,450   10/22/2021   (30,970)
S&P 500 Index  1   (430,754)   4,460   10/22/2021   (16,225)
S&P 500 Index  1   (430,754)   4,325   10/29/2021   (7,405)
S&P 500 Index  1   (430,754)   4,345   10/29/2021   (10,850)
S&P 500 Index  2   (861,508)   4,360   10/29/2021   (22,930)
S&P 500 Index  5   (2,153,770)   4,435   10/29/2021   (76,575)
S&P 500 Index  1   (430,754)   4,450   10/29/2021   (16,275)
                      
Total options written (premium received $736,093)               $(987,180)

 

At September 30, 2021, the Fund had securities pledged in the amount of $15,009,855 to cover collateral requirements for options written.

 

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, 2021:

 

Asset Valuation Inputs  Level 1   Level 2   Level 3*   Total 
Investments:                    
U.S. Government Agency Securities  $   $25,799,337   $   $25,799,337 
U.S. Treasury Obligations       8,213,894        8,213,894 
Rights(a)                
Short-Term Investments       5,964,398        5,964,398 
Total Long Positions  $   $39,977,629   $   $39,977,629 

 

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

 

See Notes to Sehedule of Investments

 

 

 

 

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

 

*   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, 2021  $13 
Transfers into Level 3    
Transfers out of Level 3    
Accrued discounts/(premiums)    
Realized gain/(loss)    
Change in unrealized appreciation/(depreciation)   (13)
Purchases    
Sales    
Balance as of September 30, 2021  $ 
Net change in unrealized appreciation/(depreciation) on investments still held as of September 30, 2021  $(13)

 

(a)As of the period ended September 30, 2021, 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, 2021:

 

Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Options Written                    
Liabilities  $(987,180)  $   $   $(987,180)

 

^ 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, 2021

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 equity securities, 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.

 

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)

 

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 with readily determinable fair value 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 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 has, among other things, disrupted global travel and supply chains, and 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. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. 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.