NPORT-EX 2 NR701ProBlendModerateSer.htm HTML

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES  
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS - 39.2%

 

Communication Services - 6.3%

 

Entertainment - 2.5%

 

Activision Blizzard, Inc.1

     43,180      $ 2,525,166  

Electronic Arts, Inc.*1

     19,530        2,107,678  

Nexon Co. Ltd. (Japan)*

      355,100        4,809,096  

Sea Ltd. - ADR (Taiwan)*

      4,490        203,128  
     

 

 

  
        9,645,068  
     

 

 

  

Interactive Media & Services - 3.3%

 

Alphabet, Inc. - Class A*1

     1,490        2,134,842  

Alphabet, Inc. - Class C*

      1,490        2,137,003  

Auto Trader Group plc (United Kingdom)2

      8,055        59,436  

Facebook, Inc. - Class A*

      26,900        5,431,379  

Tencent Holdings Ltd. - Class H (China)

      66,928        3,191,810  
     

 

 

  
        12,954,470  
     

 

 

  

Media - 0.5%

 

Quebecor, Inc. - Class B (Canada)

      34,625        859,215  

Shaw Communications, Inc. - Class B (Canada)

      50,010        977,224  

ViacomCBS, Inc. - Class B

      361        12,321  
     

 

 

  
        1,848,760  
     

 

 

  

Total Communication Services

             24,448,298  
     

 

 

  

Consumer Discretionary - 4.5%

 

Distributors - 0.0%##

 

Genuine Parts Co.

      266        24,890  
     

 

 

  

Hotels, Restaurants & Leisure - 0.1%

 

Hilton Worldwide Holdings, Inc.

      455        49,049  

Restaurant Brands International, Inc. (Canada)

      4,335        264,478  

Wyndham Hotels & Resorts, Inc.

      810        46,308  
     

 

 

  
        359,835  
     

 

 

  

Household Durables - 0.8%

      

Sony Corp. - ADR (Japan)

      40,920        2,871,765  

Sony Corp. (Japan)

      3,700        258,730  
     

 

 

  
        3,130,495  
     

 

 

  

Internet & Direct Marketing Retail - 1.6%

 

Alibaba Group Holding Ltd. - ADR (China)*

      7,970        1,646,522  

Amazon.com, Inc.*1

     1,605        3,223,996  

Booking Holdings, Inc.*

      710        1,299,691  

Farfetch Ltd. - Class A (United Kingdom)*

      5,820        71,004  

Meituan Dianping - Class B (China)*

      4,700        59,501  
     

 

 

  
        6,300,714  
     

 

 

  
                  
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Consumer Discretionary (continued)

 

Multiline Retail - 0.4%

      

B&M European Value Retail S.A. (United Kingdom)

      33,580      $ 161,015  

Dollar Tree, Inc.*

      16,035        1,396,167  

Kohl’s Corp.

      290        12,398  
     

 

 

  
        1,569,580  
     

 

 

  

Specialty Retail - 0.7%

      

Best Buy Co., Inc.

      412        34,892  

The Gap, Inc.

      726        12,640  

The Home Depot, Inc.

      755        172,215  

Industria de Diseno Textil S.A. (Spain)

      76,805        2,582,736  
     

 

 

  
        2,802,483  
     

 

 

  

Textiles, Apparel & Luxury Goods - 0.9%

 

lululemon athletica, Inc.*

      13,470        3,224,583  

VF Corp.

      454        37,668  
     

 

 

  
        3,262,251  
     

 

 

  

Total Consumer Discretionary

             17,450,248  
     

 

 

  

Consumer Staples - 5.6%

 

Beverages - 2.9%

      

Ambev S.A. - ADR (Brazil)

      184,316        766,755  

Anheuser-Busch InBev S.A./N.V. (Belgium)

      37,940        2,862,204  

The Coca-Cola Co.

      50,890        2,971,976  

Diageo plc (United Kingdom)

      42,098        1,664,684  

Molson Coors Beverage Co. - Class B

      304        16,896  

PepsiCo, Inc.

      20,520        2,914,250  
     

 

 

  
        11,196,765  
     

 

 

  

Food & Staples Retailing - 0.1%

 

The Kroger Co.

      830        22,294  

Sysco Corp.

      627        51,502  

Walgreens Boots Alliance, Inc.

      896        45,562  

Walmart, Inc.

      1,812        207,456  
     

 

 

  
        326,814  
     

 

 

  

Food Products - 1.8%

 

Archer-Daniels-Midland Co.

      574        25,692  

Conagra Brands, Inc.

      562        18,501  

Danone S.A. (France)

      3,641        291,370  

General Mills, Inc.

      794        41,463  

The Hershey Co.

      285        44,223  

The J.M. Smucker Co.

      191        19,790  

Kellogg Co.

      444        30,285  

Mondelez International, Inc. - Class A

      54,798        3,144,309  

Nestle S.A. (Switzerland)

      30,564        3,370,986  
 

 

1

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES  
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Consumer Staples (continued)

 

Food Products (continued)

 

Tyson Foods, Inc. - Class A

      339      $ 28,012  
     

 

 

  
        7,014,631  
     

 

 

  

Household Products - 0.0%##

 

Colgate-Palmolive Co.

      895        66,033  

Kimberly-Clark Corp.

      404        57,869  
     

 

 

  
        123,902  
     

 

 

  

Personal Products - 0.8%

      

Beiersdorf AG (Germany)

      1,540        174,893  

Unilever plc - ADR (United Kingdom)

      48,564        2,902,670  
     

 

 

  
        3,077,563  
     

 

 

  

Tobacco - 0.0%##

      

British American Tobacco plc - ADR (United Kingdom)1

     2,835        124,882  
     

 

 

  

Total Consumer Staples

             21,864,557  
     

 

 

  

Energy - 1.4%

      

Energy Equipment & Services - 1.3%

 

Baker Hughes Co.

      984        21,313  

Core Laboratories N.V

      3,515        123,482  

The Drilling Co. of 1972 A/S (Denmark)*

      1,785        99,619  

Halliburton Co.

      78,291        1,707,527  

Oceaneering International, Inc.*

      79,000        980,390  

Schlumberger Ltd.

      56,848        1,904,977  

Transocean Ltd.*

      91,500        417,240  
     

 

 

  
        5,254,548  
     

 

 

  

Oil, Gas & Consumable Fuels - 0.1%

 

Cameco Corp. (Canada)

      18,784        151,587  

Chevron Corp.

      965        103,390  

Marathon Petroleum Corp.

      821        44,745  

Occidental Petroleum Corp.

      624        24,785  

Phillips 66

      408        37,279  

Valero Energy Corp.

      504        42,492  
     

 

 

  
        404,278  
     

 

 

  

Total Energy

         5,658,826  
     

 

 

  

Financials - 3.6%

      

Banks - 0.3%

      

Bank of America Corp.

      4,114        135,063  

The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)

      4,880        162,114  

Citigroup, Inc.

      1,163        86,539  

Fifth Third Bancorp

      1,000        28,450  

FinecoBank Banca Fineco S.p.A. (Italy)

      19,835        232,082  

JPMorgan Chase & Co.

      1,612        213,364  
               
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Financials (continued)

 

Banks (continued)

      

KeyCorp

      1,354      $ 25,333  

Regions Financial Corp.

      1,211        18,855  

Truist Financial Corp.

      1,317        67,918  

U.S. Bancorp

      1,488        79,191  

Wells Fargo & Co.

      3,187        149,598  
     

 

 

  
        1,198,507  
     

 

 

  

Capital Markets - 2.2%

      

BlackRock, Inc.1

     1,360        717,196  

Cboe Global Markets, Inc.

      12,110        1,492,194  

CME Group, Inc.

      7,080        1,537,139  

Deutsche Boerse AG (Germany)

      1,710        277,574  

Intercontinental Exchange, Inc.

      15,100        1,506,074  

Julius Baer Group Ltd. (Switzerland)

      2,915        145,656  

Moody’s Corp.

      5,720        1,468,839  

S&P Global, Inc.

      4,970        1,459,838  
     

 

 

  
        8,604,510  
     

 

 

  

Diversified Financial Services - 1.0%

 

Berkshire Hathaway, Inc. - Class B*1

     16,140        3,622,300  
     

 

 

  

Insurance - 0.1%

      

Admiral Group plc (United Kingdom)

      8,870        264,073  

The Allstate Corp.

      305        36,155  

Chubb Ltd.

      335        50,916  

The Hartford Financial Services Group, Inc.

      404        23,949  

The Travelers Companies, Inc.

      231        30,404  
     

 

 

  
        405,497  
     

 

 

  

Total Financials

             13,830,814  
     

 

 

  

Health Care - 6.7%

      

Biotechnology - 1.2%

      

AbbVie, Inc.

      1,276        103,382  

Amgen, Inc.

      562        121,420  

BioMarin Pharmaceutical, Inc.*

      21,940        1,831,990  

Gilead Sciences, Inc.

      1,294        81,781  

Incyte Corp.*

      10,820        790,617  

Seattle Genetics, Inc.*

      7,990        866,036  

Vertex Pharmaceuticals, Inc.*

      4,050        919,552  
     

 

 

  
        4,714,778  
     

 

 

  

Health Care Equipment & Supplies - 1.8%

 

Alcon, Inc. (Switzerland)*

      27,810        1,639,121  

Getinge AB - Class B (Sweden)

      8,070        137,434  

Medtronic plc

      42,356        4,889,577  

Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)

      156,000        186,023  
     

 

 

  
        6,852,155  
     

 

 

  
 

 

2

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES  
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Health Care (continued)

 

Health Care Providers & Services - 0.0%##

 

CVS Health Corp.

      1,169      $ 79,282  

Quest Diagnostics, Inc.

      201        22,245  
     

 

 

  
        101,527  
     

 

 

  

Life Sciences Tools & Services - 0.1%

 

Gerresheimer AG (Germany)

      2,255        178,690  

QIAGEN N.V.*1

     3,386        114,379  

QIAGEN N.V.*

      5,602        187,112  
     

 

 

  
        480,181  
     

 

 

  

Pharmaceuticals - 3.6%

      

Bristol-Myers Squibb Co.

      1,441        90,711  

Johnson & Johnson

      30,961        4,609,164  

Merck & Co., Inc.

      12,183        1,040,916  

Merck KGaA (Germany)

      24,050        3,083,930  

Novartis AG - ADR (Switzerland)

      50,875        4,808,196  

Perrigo Co. plc

      3,635        207,340  

Pfizer, Inc.

      3,996        148,811  
     

 

 

  
        13,989,068  
     

 

 

  

Total Health Care

         26,137,709  
     

 

 

  

Industrials - 1.4%

      

Aerospace & Defense - 0.2%

 

BAE Systems plc (United Kingdom)

      36,430        302,841  

The Boeing Co.

      381        121,261  

General Dynamics Corp.

      230        40,351  

Lockheed Martin Corp.

      239        102,321  

United Technologies Corp.

      691        103,788  
     

 

 

  
        670,562  
     

 

 

  

Air Freight & Logistics - 0.0%##

 

C.H. Robinson Worldwide, Inc.

      267        19,283  

United Parcel Service, Inc. - Class B

      867        89,752  
     

 

 

  
        109,035  
     

 

 

  

Airlines - 0.8%

 

easyJet plc (United Kingdom)

      88,095        1,617,117  

Ryanair Holdings plc - ADR (Ireland)*

      18,504        1,602,631  
     

 

 

  
        3,219,748  
     

 

 

  

Building Products - 0.0%##

      

Johnson Controls International plc

      1,005        39,647  
     

 

 

  

Commercial Services & Supplies - 0.0%##

 

Waste Management, Inc.

      479        58,294  
     

 

 

  

Electrical Equipment - 0.0%##

 

Eaton Corp. plc

      532        50,258  

Emerson Electric Co.

      733        52,505  
                  
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Industrials (continued)

 

Electrical Equipment (continued)

 

Rockwell Automation, Inc.

      119      $ 22,808  
     

 

 

  
        125,571  
     

 

 

  

Industrial Conglomerates - 0.1%

      

3M Co.

      521        82,662  

Honeywell International, Inc.

      578        100,121  
     

 

 

  
        182,783  
     

 

 

  

Machinery - 0.1%

      

Caterpillar, Inc.

      480        63,048  

Cummins, Inc.

      226        36,153  

FANUC Corp. (Japan)

      400        72,852  

Illinois Tool Works, Inc.

      323        56,519  

The Weir Group plc (United Kingdom)

      11,845        210,204  
     

 

 

  
        438,776  
     

 

 

  

Road & Rail - 0.0%##

      

Union Pacific Corp.

      577        103,525  
     

 

 

  

Trading Companies & Distributors - 0.1%

 

Brenntag AG (Germany)

      2,062        106,709  

Fastenal Co.

      854        29,788  
     

 

 

  
        136,497  
     

 

 

  

Transportation Infrastructure - 0.1%

      

Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)

      16,100        122,525  

Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)

      1,015        125,535  

Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)

      645        124,350  
     

 

 

  
        372,410  
     

 

 

  

Total Industrials

         5,456,848  
     

 

 

  

Information Technology - 6.3%

 

Communications Equipment - 0.0%##

 

Cisco Systems, Inc.

      2,770        127,337  
     

 

 

  

Electronic Equipment, Instruments & Components - 0.1%

 

Keyence Corp. (Japan)

      500        168,079  
     

 

 

  

IT Services - 2.7%

      

International Business Machines Corp.

      759        109,091  

InterXion Holding N.V. (Netherlands)*

      2,560        222,797  

Keywords Studios plc (Ireland)

      2,972        48,222  

Mastercard, Inc. - Class A

      14,470        4,571,652  

PayPal Holdings, Inc.*

      12,460        1,419,069  

Visa, Inc. - Class A

      20,670        4,112,710  
     

 

 

  
        10,483,541  
     

 

 

  
 

 

3

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES  
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Information Technology (continued)

 

Semiconductors & Semiconductor Equipment - 1.9%

 

Applied Materials, Inc.

      784      $ 45,464  

Broadcom, Inc.

      287        87,581  

Intel Corp.

      3,065        195,945  

KLA Corp.

      233        38,617  

Lam Research Corp.

      134        39,960  

Maxim Integrated Products, Inc.

      385        23,146  

Micron Technology, Inc.*

      75,520        4,009,357  

NVIDIA Corp.

      11,620        2,747,317  

Texas Instruments, Inc.

      806        97,244  
     

 

 

  
        7,284,631  
     

 

 

  

Software - 1.6%

      

Microsoft Corp.

      17,660        3,006,262  

ServiceNow, Inc.*1

     9,460        3,199,656  
     

 

 

  
        6,205,918  
     

 

 

  

Technology Hardware, Storage & Peripherals - 0.0%##

 

NetApp, Inc.

      289        15,433  

Western Digital Corp.

      383        25,086  
     

 

 

  
        40,519  
     

 

 

  

Total Information Technology

             24,310,025  
     

 

 

  

Materials - 0.5%

      

Chemicals - 0.1%

      

Akzo Nobel N.V. (Netherlands)

      1,758        165,899  

Dow, Inc.

      651        29,992  

Eastman Chemical Co.

      261        18,601  

LyondellBasell Industries N.V. - Class A

      485        37,762  
     

 

 

  
        252,254  
     

 

 

  

Containers & Packaging - 0.4%

 

Graphic Packaging Holding Co.

      89,150        1,393,414  

International Paper Co.

      466        18,976  
     

 

 

  
        1,412,390  
     

 

 

  

Metals & Mining - 0.0%##

      

First Quantum Minerals Ltd. (Zambia)

      6,220        48,692  

Lundin Mining Corp. (Chile)

      9,905        51,942  

Nucor Corp.

      514        24,410  
     

 

 

  
        125,044  
     

 

 

  

Total Materials

         1,789,688  
     

 

 

  

Real Estate - 2.9%

      

Equity Real Estate Investment Trusts (REITS) - 2.9%

 

Acadia Realty Trust1

     1,195        29,660  

Agree Realty Corp.1

     715        54,290  

Alexandria Real Estate Equities, Inc.1

     275        44,880  
               
               
    

SHARES

 

     

VALUE

 

  

COMMON STOCKS (continued)

 

Real Estate (continued)

 

Equity Real Estate Investment Trusts (REITS) (continued)

 

American Campus Communities, Inc.1

     1,905      $ 87,382  

American Homes 4 Rent - Class A1

     5,910        161,520  

American Tower Corp.

      6,140        1,422,884  

Americold Realty Trust1

     4,520        155,805  

Apartment Investment & Management Co. - Class A1

     3,216        169,515  

AvalonBay Communities, Inc.1

     1,130        244,860  

Boston Properties, Inc.

      1,219        174,744  

Brandywine Realty Trust1

     9,585        149,718  

BSR Real Estate Investment Trust (Canada)

      2,880        35,194  

Camden Property Trust1

     1,445        162,462  

Community Healthcare Trust, Inc.

      2,460        116,038  

Cousins Properties, Inc.1

     4,167        170,555  

Crown Castle International Corp.1

     825        123,618  

Digital Realty Trust, Inc.

      925        113,766  

Douglas Emmett, Inc.

      2,845        118,068  

Equinix, Inc.

      4,055            2,391,355  

Equity LifeStyle Properties, Inc.

      1,015        73,841  

Equity Residential

      1,565        130,020  

Essential Properties Realty Trust, Inc.

      3,600        99,396  

Essex Property Trust, Inc.

      315        97,575  

Extra Space Storage, Inc.

      385        42,612  

Federal Realty Investment Trust

      270        33,755  

First Industrial Realty Trust, Inc.

      1,335        57,004  

Getty Realty Corp.

      1,520        47,910  

Healthcare Realty Trust, Inc.

      3,075        110,884  

Healthcare Trust of America, Inc. - Class A

      1,965        62,939  

Healthpeak Properties, Inc.

      5,035        181,210  

Hibernia REIT plc (Ireland)

      36,120        54,961  

Host Hotels & Resorts, Inc.

      3,720        60,785  

Independence Realty Trust, Inc.

      2,640        38,729  

Innovative Industrial Properties, Inc.

      831        74,374  

Invitation Homes, Inc.

      8,374        263,530  

Jernigan Capital, Inc.

      6,720        134,333  

Kilroy Realty Corp.

      450        37,156  

Liberty Property Trust

      655        41,036  

Life Storage, Inc.

      340        38,481  

Mid-America Apartment Communities, Inc.

      535        73,407  

National Retail Properties, Inc.

      1,205        67,480  

Omega Healthcare Investors, Inc.

      1,730        72,574  

Physicians Realty Trust

      6,275        121,421  

Plymouth Industrial REIT, Inc.

      2,351        43,305  

Prologis, Inc.

      4,130        383,594  
 

 

4

Investment Portfolio - January 31, 2020

(unaudited)

 

 PRO-BLEND® MODERATE TERM SERIES   SHARES/        
    PRINCIPAL        
   

AMOUNT3

 

    

VALUE

 

  

COMMON STOCKS (continued)

    

Real Estate (continued)

    

Equity Real Estate Investment Trusts (REITS) (continued)

 

Public Storage

     610     $ 136,494  

Realty Income Corp.

     555       43,518  

Regency Centers Corp.

     1,090       67,624  

SBA Communications Corp.

     5,790       1,444,952  

Simon Property Group, Inc.

     1,345       179,087  

STAG Industrial, Inc.

     3,310       106,714  

STORE Capital Corp.

     2,925       114,806  

Sun Communities, Inc.

     1,095       177,576  

Sunstone Hotel Investors, Inc.

     3,115       39,498  

UDR, Inc.

     2,656       127,249  

UMH Properties, Inc.

     2,515       39,737  

Urban Edge Properties

     3,515       64,641  

Ventas, Inc.

     1,398       80,888  

VEREIT, Inc.

     6,805       66,417  

Vornado Realty Trust

     410       26,966  

Welltower, Inc.

     1,784       151,479  
   

 

 

  

Total Real Estate

       11,236,272  
   

 

 

  

TOTAL COMMON STOCKS
(Identified Cost $129,204,568)

       152,183,285  
   

 

 

  

CORPORATE BONDS - 14.5%

    

Non-Convertible Corporate Bonds - 14.5%

 

  

Communication Services - 3.3%

    

Diversified Telecommunication Services - 1.6%

 

  

AT&T, Inc., 4.25%, 3/1/2027

     2,130,000       2,373,883  

CenturyLink, Inc., 5.625%, 4/1/2020

     40,000       40,150  

Verizon Communications, Inc., 5.25%, 3/16/2037

     2,830,000       3,676,959  
   

 

 

  
      6,090,992  
   

 

 

  

Interactive Media & Services - 0.5%

    

Tencent Holdings Ltd. (China)2, 3.975%, 4/11/2029

     1,690,000       1,864,006  
   

 

 

  

Media - 1.2%

    

Comcast Corp., 3.25%, 11/1/2039

     1,760,000       1,870,264  

Diamond Sports Group LLC - Diamond Sports Finance Co.2, 6.625%, 8/15/2027

     60,000       56,100  

Discovery Communications LLC, 5.20%, 9/20/2047

     2,160,000       2,543,331  

Townsquare Media, Inc.2, 6.50%, 4/1/2023

     40,000       40,500  
   

 

 

  
      4,510,195  
   

 

 

  

Wireless Telecommunication Services - 0.0%##

 

  

Sprint Communications, Inc., 7.00%, 8/15/2020

     90,000       91,593  

Sprint Corp., 7.25%, 9/15/2021

     40,000       41,950  
                             
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

CORPORATE BONDS (continued)

      

Non-Convertible Corporate Bonds (continued)

 

   

Communication Services (continued)

      

Wireless Telecommunication Services (continued)

 

   

Sprint Corp., 7.125%, 6/15/2024

      35,000      $ 36,150  
     

 

 

  
        169,693  
     

 

 

  

Total Communication Services

         12,634,886  
     

 

 

  

Consumer Discretionary - 1.5%

      

Auto Components - 0.0%##

      

Techniplas LLC2, 10.00%, 5/1/2020

      50,000        41,750  
     

 

 

  

Diversified Consumer Services - 0.0%##

 

   

GEMS MENASA Cayman Ltd. -
GEMS Education Delaware LLC
(United Arab Emirates)2, 7.125%, 7/31/2026

      155,000        161,809  
     

 

 

  

Household Durables - 0.1%

 

   

Ashton Woods USA LLC - Ashton Woods Finance Co.2, 6.75%, 8/1/2025

      30,000        30,900  

LGI Homes, Inc.2, 6.875%, 7/15/2026

      80,000        84,500  

Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025

      55,000        57,337  
     

 

 

  
        172,737  
     

 

 

  

Internet & Direct Marketing Retail - 1.4%

 

Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027

      1,800,000        1,918,729  

Booking Holdings, Inc., 3.60%, 6/1/2026

      3,270,000        3,566,414  

Photo Holdings Merger Sub, Inc.2, 8.50%, 10/1/2026

      60,000        56,100  
     

 

 

  
        5,541,243  
     

 

 

  

Specialty Retail - 0.0%##

      

Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.2, 12.25%, 11/15/2026

      60,000        62,100  
     

 

 

  

Total Consumer Discretionary

         5,979,639  
     

 

 

  

Consumer Staples - 0.0%##

      

Food & Staples Retailing - 0.0%##

      

KeHE Distributors LLC - KeHE Finance Corp.2, 8.625%, 10/15/2026

      60,000        63,675  
     

 

 

  

Energy - 2.6%

      

Energy Equipment & Services - 0.0%##

 

   

Oceaneering International, Inc., 6.00%, 2/1/2028

      60,000        57,258  
 

 

5

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND®  MODERATE TERM SERIES  
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

CORPORATE BONDS (continued)

      

Non-Convertible Corporate Bonds (continued)

 

Energy (continued)

      

Energy Equipment & Services (continued)

 

Shelf Drilling Holdings Ltd.
(United Arab Emirates)2, 8.25%, 2/15/2025

      40,000      $ 37,200  
     

 

 

  
        94,458  
     

 

 

  

Oil, Gas & Consumable Fuels - 2.6%

 

   

Antero Midstream Partners LP -
Antero Midstream Finance Corp.2,
5.75%, 3/1/2027

      40,000        31,188  

Antero Midstream Partners LP -
Antero Midstream Finance Corp.2,
5.75%, 1/15/2028

      40,000        31,108  

Bruin E&P Partners LLC2,
8.875%, 8/1/2023

      40,000        25,750  

Calumet Specialty Products Partners
LP - Calumet Finance Corp.2,
11.00%, 4/15/2025

      60,000        66,301  

CVR Energy, Inc.2,
5.75%, 2/15/2028

      40,000        39,160  

Energy Transfer Operating LP,
6.50%, 2/1/2042

      1,470,000        1,778,164  

Enviva Partners LP - Enviva
Partners Finance Corp.2,
6.50%, 1/15/2026

      60,000        64,006  

Genesis Energy LP - Genesis
Energy Finance Corp.,
7.75%, 2/1/2028

      55,000        55,455  

Jonah Energy LLC - Jonah Energy
Finance Corp.2,
7.25%, 10/15/2025

      80,000        22,000  

Kinder Morgan Energy Partners LP,
6.95%, 1/15/2038

      1,910,000        2,549,352  

Laredo Petroleum, Inc.,
10.125%, 1/15/2028

      55,000        49,079  

Lonestar Resources America, Inc.2,
11.25%, 1/1/2023

      40,000        27,500  

Moss Creek Resources Holdings,
Inc.2, 7.50%, 1/15/2026

      40,000        29,350  

NuStar Logistics LP,
6.75%, 2/1/2021

      40,000        41,168  

Rockies Express Pipeline LLC2,
5.625%, 4/15/2020

      60,000        60,300  

Sabine Pass Liquefaction LLC,
5.875%, 6/30/2026

      2,690,000        3,123,380  

Whiting Petroleum Corp.,
5.75%, 3/15/2021

      40,000        37,400  

The Williams Companies, Inc.,
3.75%, 6/15/2027

      1,840,000        1,944,321  
     

 

 

  
        9,974,982  
     

 

 

  

Total Energy

         10,069,440  
     

 

 

  
                  
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

CORPORATE BONDS (continued)

      

Non-Convertible Corporate Bonds (continued)

 

Financials - 2.8%

      

Banks - 2.6%

      

Bank of America Corp.,
4.00%, 1/22/2025

      3,530,000      $ 3,826,169  

Citigroup, Inc., 8.125%, 7/15/2039

      1,080,000        1,858,932  

JPMorgan Chase & Co.4, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024

      1,730,000        1,865,638  

Santander Holdings USA, Inc.,
4.50%, 7/17/2025

      2,320,000        2,535,837  
     

 

 

  
        10,086,576  
     

 

 

  

Capital Markets - 0.0%##

      

AG Merger Sub II, Inc.2,
10.75%, 8/1/2027

      65,000        68,900  

Donnelley Financial Solutions, Inc.,
8.25%, 10/15/2024

      75,000        77,812  
     

 

 

  
        146,712  
     

 

 

  

Consumer Finance - 0.1%

      

Credit Acceptance Corp.2,
5.125%, 12/31/2024

      40,000        41,800  

Navient Corp., 5.00%, 10/26/2020

      60,000        60,840  

Navient Corp., 6.75%, 6/25/2025

      40,000        43,500  

SLM Corp., 5.125%, 4/5/2022

      80,000        82,600  
     

 

 

  
        228,740  
     

 

 

  

Diversified Financial Services - 0.1%

 

   

Fidelity & Guaranty Life Holdings, Inc.2, 5.50%, 5/1/2025

      40,000        42,600  

Global Aircraft Leasing Co. Ltd.
(Cayman Islands) 2,5,
6.50%, 9/15/2024

      85,000        86,959  

VistaJet Malta Finance plc - XO Management Holding, Inc.
(Switzerland)2, 10.50%, 6/1/2024

      60,000        56,850  
     

 

 

  
        186,409  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITS) - 0.0%##

 

Starwood Property Trust, Inc.,
3.625%, 2/1/2021

      60,000        60,225  
     

 

 

  

Thrifts & Mortgage Finance - 0.0%##

 

   

Acrisure LLC - Acrisure Finance, Inc.2, 7.00%, 11/15/2025

      65,000        63,700  

Radian Group, Inc.,
4.875%, 3/15/2027

      60,000        63,450  
     

 

 

  
        127,150  
     

 

 

  

Total Financials

         10,835,812  
     

 

 

  

Health Care - 0.5%

      

Health Care Providers & Services - 0.5%

 

   

HCA, Inc., 4.125%, 6/15/2029

      1,810,000        1,958,773  
     

 

 

  
 

 

6

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES

 

   
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

CORPORATE BONDS (continued)

      

Non-Convertible Corporate Bonds (continued)

 

Industrials - 1.7%

      

Air Freight & Logistics - 0.0%##

 

Cargo Aircraft Management, Inc.2, 4.75%, 2/1/2028

      40,000      $ 40,602  
     

 

 

  

Commercial Services & Supplies - 0.0%##

 

The ADT Security Corp., 6.25%, 10/15/2021

      40,000        42,334  

Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.25%, 4/15/2024

      40,000        41,700  

Prime Security Services Borrower LLC - Prime Finance, Inc.2, 5.75%, 4/15/2026

      40,000        42,200  
     

 

 

  
        126,234  
     

 

 

  

Construction & Engineering - 0.0%##

 

HC2 Holdings, Inc.2, 11.50%, 12/1/2021

      20,000        20,050  

Tutor Perini Corp.2, 6.875%, 5/1/2025

      100,000        94,000  
     

 

 

  
        114,050  
     

 

 

  

Industrial Conglomerates - 0.5%

 

General Electric Co.4,6, (3 mo. LIBOR US + 3.330%), 5.00%

      1,910,000        1,900,947  
     

 

 

  

Marine - 0.1%

 

American Tanker, Inc. (Norway)2, 9.25%, 2/22/2022

      100,000        104,027  

Borealis Finance LLC2, 7.50%, 11/16/2022

      85,000        82,238  

Global Ship Lease, Inc. (United Kingdom)2, 9.875%, 11/15/2022

      130,000        135,037  
     

 

 

  
        321,302  
     

 

 

  

Trading Companies & Distributors - 1.1%

 

AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025

      2,170,000          2,377,993  

Air Lease Corp., 3.625%, 4/1/2027

      535,000        567,777  

Avolon Holdings Funding Ltd.
(Ireland)2, 3.25%, 2/15/2027

      1,150,000        1,163,984  

Fortress Transportation & Infrastructure Investors LLC2, 6.50%, 10/1/2025

      40,000        42,467  
     

 

 

  
        4,152,221  
     

 

 

  

Total Industrials

 

      6,655,356  
     

 

 

  

Materials - 0.7%

 

Chemicals - 0.0%##

 

Olin Corp., 5.625%, 8/1/2029

      40,000        42,200  
     

 

 

  

    

 

   
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

CORPORATE BONDS (continued)

 

Non-Convertible Corporate Bonds (continued)

 

Materials (continued)

 

Metals & Mining - 0.7%

 

Compass Minerals International, Inc.2, 6.75%, 12/1/2027

      60,000      $ 64,262  

IAMGOLD Corp. (Canada)2, 7.00%, 4/15/2025

      65,000        66,950  

Infrabuild Australia Pty Ltd. (Australia)2, 12.00%, 10/1/2024

      60,000        60,850  

Mountain Province Diamonds, Inc. (Canada)2,
8.00%, 12/15/2022

      80,000        78,300  

Northwest Acquisitions ULC - Dominion Finco, Inc.2,
7.125%, 11/1/2022

      80,000        64,400  

Southern Copper Corp. (Peru), 5.375%, 4/16/2020

      2,270,000        2,284,755  

SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.2,
7.50%, 6/15/2025

      40,000        38,400  
     

 

 

  
        2,657,917  
     

 

 

  

Total Materials

 

      2,700,117  
     

 

 

  

Real Estate - 1.4%

 

Equity Real Estate Investment Trusts (REITS) - 1.4%

 

American Tower Corp.,
3.80%, 8/15/2029

      2,260,000        2,459,415  

Crown Castle International Corp., 3.10%, 11/15/2029

      2,270,000        2,350,395  

GTP Acquisition Partners I LLC2, 2.35%, 6/15/2020

      589,000        584,724  
     

 

 

  
        5,394,534  
     

 

 

  

Real Estate Management & Development - 0.0%##

 

Five Point Operating Co. LP - Five Point Capital Corp.2, 7.875%, 11/15/2025

      60,000        62,100  
     

 

 

  

Total Real Estate

 

      5,456,634  
     

 

 

  

TOTAL CORPORATE BONDS
(Identified Cost $52,927,076)

          56,354,332  
     

 

 

  

U.S. TREASURY SECURITIES - 20.3%

 

   

U.S. Treasury Bonds - 8.1%

 

   

U.S. Treasury Bond, 4.75%, 2/15/2037

      5,409,000        7,817,061  

U.S. Treasury Bond, 2.50%, 2/15/2045

      7,418,000        8,101,847  

U.S. Treasury Bond, 3.00%, 5/15/2047

      3,335,000        4,024,016  

U.S. Treasury Inflation Indexed Bond, 2.00%, 1/15/2026

      8,008,724        9,045,984  
 

 

7

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES

 

   
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

U.S. TREASURY SECURITIES (continued)

 

U.S. Treasury Bonds (continued)

 

U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042

      2,250,741      $ 2,485,674  
     

 

 

  

Total U.S. Treasury Bonds
(Identified Cost $27,637,356)

         31,474,582  
     

 

 

  

U.S. Treasury Notes - 12.2%

 

   

U.S. Treasury Floating Rate Note7,
(3 mo. US Treasury Bill Yield + 0.300%), 1.856%, 10/31/2021

      15,390,000        15,435,455  

U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020

      12,320,846        12,310,258  

U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024

      5,981,244        6,145,155  

U.S. Treasury Note, 2.375%, 8/15/2024

      12,565,000        13,142,696  
     

 

 

  

Total U.S. Treasury Notes
(Identified Cost $46,806,086)

           47,033,564  
     

 

 

  

TOTAL U.S. TREASURY SECURITIES
(Identified Cost $74,443,442)

         78,508,146  
     

 

 

  

ASSET-BACKED SECURITIES - 5.6%

 

   

Cazenovia Creek Funding II LLC, Series 2018-1A, Class A2, 3.561%, 7/15/2030

      694,118        700,161  

Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)2, 1.99%, 5/15/2029

      1,935,979        1,937,087  

Commonbond Student Loan Trust, Series 2019-AGS, Class A12, 2.54%, 1/25/2047

      1,704,011        1,725,283  

Invitation Homes Trust, Series 2017-SFR2, Class A2,7, (1 mo. LIBOR US + 0.850%), 2.519%, 12/17/2036

      501,266        501,110  

Invitation Homes Trust, Series 2017-SFR2, Class B2,7, (1 mo. LIBOR US + 1.150%), 2.819%, 12/17/2036

      400,000        399,558  

Navient Private Education Refi Loan Trust, Series 2019-CA, Class A12, 2.82%, 2/15/2068

      717,598        721,735  

Navient Student Loan Trust, Series 2014-1, Class A37,
(1 mo. LIBOR US + 0.510%), 2.171%, 6/25/2031

      1,200,809        1,181,654  

Navient Student Loan Trust, Series 2019-2A, Class A22,7,
(1 mo. LIBOR US + 1.000%), 2.661%, 2/27/2068

      2,590,000        2,611,261  

    

 

   
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

ASSET-BACKED SECURITIES (continued)

 

Oxford Finance Funding LLC, Series 2020-1A, Class A22, 3.101%, 2/15/2028

      1,035,000      $ 1,041,549  

Progress Residential Trust, Series 2019-SFR2, Class A2, 3.147%, 5/17/2036

      1,285,000        1,316,474  

SLM Student Loan Trust, Series 2005-7, Class A47, (3 mo. LIBOR US + 0.150%), 1.944%, 10/25/2029

      1,115,405        1,099,462  

SoFi Consumer Loan Program Trust, Series 2019-2, Class A2, 3.01%, 4/25/2028

      702,183        707,791  

SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX2, 2.05%, 1/25/2041

      66,879        66,874  

SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX2, 2.84%, 1/25/2041

      300,000        305,685  

SoFi Professional Loan Program LLC, Series 2018-A, Class A2A2, 2.39%, 2/25/2042

      269,149        269,662  

SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX2, 3.08%, 1/25/2048

      876,524        880,354  

SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX2, 2.54%, 5/15/2046

      880,000        892,425  

Tax Ease Funding LLC, Series 2016-1A, Class A2, 3.131%, 6/15/2028

      210,905        211,062  

Towd Point Mortgage Trust, Series 2016-5, Class A12,8, 2.50%, 10/25/2056

      1,057,278          1,062,665  

Towd Point Mortgage Trust, Series 2017-1, Class A12,8, 2.75%, 10/25/2056

      846,232        856,348  

Towd Point Mortgage Trust, Series 2019-HY1, Class A12,7, (1 mo. LIBOR US + 1.000%), 2.661%, 10/25/2048

      763,671        766,994  

Tricon American Homes Trust, Series 2016-SFR1, Class A2, 2.589%, 11/17/2033

      1,152,469        1,155,703  

Tricon American Homes Trust, Series 2017-SFR2, Class A2, 2.928%, 1/17/2036

      1,246,464        1,269,255  
     

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Identified Cost $21,488,531)

         21,680,152  
     

 

 

  
 

 

8

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES

 

   
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.0%

 

Americold LLC Trust, Series 2010-ARTA, Class A12, 3.847%, 1/14/2029

      51,330      $ 51,653  

CIM Trust, Series 2019-INV1, Class A12,8, 4.00%, 2/25/2049

      452,086        462,801  

Credit Suisse Mortgage Capital Trust, Series 2013-IVR2, Class A22,8, 3.00%, 4/25/2043

      879,357        896,245  

Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A12,8, 2.50%, 5/25/2043

      824,761        819,182  

Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A12,8, 2.13%, 2/25/2043

      569,362        556,774  

Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047

      1,122,768        1,181,624  

Fannie Mae-Aces, Series 2017-M15, Class A18, 3.058%, 9/25/2027

      1,237,569        1,300,590  

Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A2, 3.144%, 12/10/2036

      1,210,000        1,263,405  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)8, 1.427%, 8/25/2020

      12,294,699        48,943  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)8, 1.324%, 4/25/2021

      7,677,147        83,420  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)8, 1.635%, 10/25/2021

      4,933,367        104,976  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)8, 1.439%, 12/25/2021

      7,303,382        136,722  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)8, 1.556%, 6/25/2022

      9,566,284        271,260  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)8, 0.294%, 4/25/2023

      49,473,213        263,831  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)8, 0.21%, 5/25/2023

      37,320,818        136,064  

Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044

      1,117,280        1,141,505  

Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044

      891,124        911,608  

    

 

   
     PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)2, 0.10%, 6/25/2046

      123,199,111      $ 297,747  

FREMF Mortgage Trust, Series 2013-K713, Class B2,8, 3.313%, 4/25/2046

      1,350,000        1,348,523  

FREMF Mortgage Trust, Series 2014-K37, Class B2,8, 4.715%, 1/25/2047

      1,657,000        1,810,733  

Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056

      1,490,288        1,512,285  

GS Mortgage Securities Trust, Series 2010-C2, Class A12, 3.849%, 12/10/2043

      25,886        26,020  

JP Morgan Mortgage Trust, Series 2013-1, Class 1A22,8, 3.00%, 3/25/2043

      472,158        479,620  

JP Morgan Mortgage Trust, Series 2013-2, Class A22,8, 3.50%, 5/25/2043

      468,181        479,863  

JP Morgan Mortgage Trust, Series 2014-2, Class 1A12,8, 3.00%, 6/25/2029

      595,160        603,830  

JP Morgan Mortgage Trust, Series 2017-3, Class 1A52,8, 3.50%, 8/25/2047

      967,768        985,284  

JP Morgan Mortgage Trust, Series 2017-6, Class A52,8, 3.50%, 12/25/2048

      1,082,225        1,102,420  

New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX32,8, 3.75%, 11/25/2054

      464,407        486,230  

New Residential Mortgage Loan Trust, Series 2015-2A, Class A12,8, 3.75%, 8/25/2055

      613,805        643,082  

New Residential Mortgage Loan Trust, Series 2016-4A, Class A12,8, 3.75%, 11/25/2056

      655,864        684,942  

PMT Loan Trust, Series 2013-J1, Class A92,8, 3.50%, 9/25/2043

      1,040,118        1,069,476  

Sequoia Mortgage Trust, Series 2013-2, Class A8, 1.874%, 2/25/2043

      916,711        883,301  

Sequoia Mortgage Trust, Series 2013-7, Class A28, 3.00%, 6/25/2043

      605,329        612,321  

Sequoia Mortgage Trust, Series 2013-8, Class A18, 3.00%, 6/25/2043

      689,060        699,675  

Starwood Retail Property Trust, Series 2014-STAR, Class A2,7,(1 mo. LIBOR US + 1.470%), 3.146%, 11/15/2027

      1,572,370        1,569,470  
 

 

9

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES  
      PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

 

Vornado DP LLC Trust, Series 2010-VNO, Class A2FX2, 4.004%, 9/13/2028

      350,000      $ 350,748  

Waikiki Beach Hotel Trust, Series 2019-WBM, Class A2,7, (1 mo. LIBOR US + 1.050%), 2.726%, 12/15/2033

      965,000        965,011  

WinWater Mortgage Loan Trust, Series 2015-1, Class A12,8, 3.50%, 1/20/2045

      597,060        611,240  

WinWater Mortgage Loan Trust, Series 2015-3, Class A52,8, 3.50%, 3/20/2045

      353,283        353,644  
     

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $26,687,445)

 

        27,206,068  
     

 

 

  

FOREIGN GOVERNMENT BONDS - 1.3%

 

   

Canadian Government Bond (Canada), 2.75%, 6/1/2022

    CAD   433,000        337,065  

Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020

      3,700,000        3,727,192  

Mexican Government Bond (Mexico), 8.00%, 6/11/2020

    MXN   8,562,000        454,828  

Mexican Government Bond (Mexico), 6.50%, 6/10/2021

    MXN   3,460,000        182,591  

Mexican Government Bond (Mexico), 6.50%, 6/9/2022

    MXN   5,621,000        296,511  

Mexican Government Bond (Mexico), 7.75%, 5/29/2031

    MXN   1,081,000        61,897  
     

 

 

  

TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $5,524,176)

 

      5,060,084  
     

 

 

  

U.S. GOVERNMENT AGENCIES - 10.7%

 

   

Mortgage-Backed Securities - 10.7%

 

   

Fannie Mae, Pool #888468, UMBS, 5.50%, 9/1/2021

      51,676        52,304  

Fannie Mae, Pool #995233, UMBS, 5.50%, 10/1/2021

      1,296        1,306  

Fannie Mae, Pool #888017, UMBS, 6.00%, 11/1/2021

      9,230        9,399  

Fannie Mae, Pool #995329, UMBS, 5.50%, 12/1/2021

      41,129        41,593  

Fannie Mae, Pool #888136, UMBS, 6.00%, 12/1/2021

      10,640        10,862  

Fannie Mae, Pool #888810, UMBS, 5.50%, 11/1/2022

      63,464        64,152  

Fannie Mae, Pool #AD0462, UMBS, 5.50%, 10/1/2024

      13,526        14,167  
    
      PRINCIPAL         
    

AMOUNT3

 

     

VALUE

 

  

U.S. GOVERNMENT AGENCIES (continued)

 

Mortgage-Backed Securities (continued)

 

Fannie Mae, Pool #MA3463, UMBS, 4.00%, 9/1/2033

      1,842,757      $   1,930,576  

Fannie Mae, Pool #MA1834, UMBS, 4.50%, 2/1/2034

      479,896        518,212  

Fannie Mae, Pool #MA1903, UMBS, 4.50%, 5/1/2034

      462,031        498,924  

Fannie Mae, Pool #FM1158, UMBS, 3.50%, 6/1/2034

      1,545,746        1,613,016  

Fannie Mae, Pool #745418, UMBS, 5.50%, 4/1/2036

      391,284        441,489  

Fannie Mae, Pool #889576, UMBS, 6.00%, 4/1/2038

      341,041        392,666  

Fannie Mae, Pool #MA3412, UMBS, 3.50%, 7/1/2038

      1,417,964        1,478,466  

Fannie Mae, Pool #995196, UMBS, 6.00%, 7/1/2038

      753,064        866,434  

Fannie Mae, Pool #AD0207, UMBS, 6.00%, 10/1/2038

      111,244        128,008  

Fannie Mae, Pool #AD0220, UMBS, 6.00%, 10/1/2038

      36,849        42,406  

Fannie Mae, Pool #MA0258, UMBS, 4.50%, 12/1/2039

      655,722        716,110  

Fannie Mae, Pool #AL1595, UMBS, 6.00%, 1/1/2040

      470,797        542,008  

Fannie Mae, Pool #AL0152, UMBS, 6.00%, 6/1/2040

      566,460        652,217  

Fannie Mae, Pool #AS3622, UMBS, 3.50%, 10/1/2044

      1,992,140        2,111,689  

Fannie Mae, Pool #AX5234, UMBS, 4.50%, 11/1/2044

      713,333        763,384  

Fannie Mae, Pool #AZ9215, UMBS, 4.00%, 10/1/2045

      534,267        569,088  

Fannie Mae, Pool #BC3490, UMBS, 3.50%, 2/1/2046

      1,889,987        1,979,847  

Fannie Mae, Pool #MA2705, UMBS, 3.00%, 8/1/2046

      1,428,375        1,473,550  

Fannie Mae, Pool #BE7845, UMBS, 4.50%, 2/1/2047

      309,454        328,708  

Fannie Mae, Pool #CA1922, UMBS, 5.00%, 6/1/2048

      1,421,909        1,527,357  

Fannie Mae, Pool #CA2056, UMBS, 4.50%, 7/1/2048

      1,506,888        1,599,327  

Fannie Mae, Pool #MA3443, UMBS, 4.00%, 8/1/2048

      904,510        945,613  

Fannie Mae, Pool #BK9598, UMBS, 4.50%, 8/1/2048

      423,462        448,249  

Fannie Mae, Pool #CA2219, UMBS, 5.00%, 8/1/2048

      868,838        933,328  

Fannie Mae, Pool #CA2373, UMBS, 5.00%, 9/1/2048

      1,367,426        1,466,097  

Fannie Mae, Pool #BM5024, UMBS, 3.00%, 11/1/2048

      1,939,064        1,994,503  
 

 

10

Investment Portfolio - January 31, 2020

(unaudited)

 

  PRO-BLEND® MODERATE TERM SERIES  
    

PRINCIPAL
AMOUNT3

 

     

VALUE

 

  

U.S. GOVERNMENT AGENCIES (continued)

 

Mortgage-Backed Securities (continued)

 

Fannie Mae, Pool #MA3521, UMBS, 4.00%, 11/1/2048

      1,422,348      $ 1,486,209  

Fannie Mae, Pool #BN0622, UMBS, 4.50%, 1/1/2049

      1,209,724        1,280,415  

Fannie Mae, Pool #AL8674, 5.642%, 1/1/2049

      1,461,656        1,656,927  

Fannie Mae, Pool #MA3692, UMBS, 3.50%, 7/1/2049

      1,909,334        1,969,716  

Fannie Mae, Pool #BO5945, UMBS, 3.50%, 11/1/2049

      1,816,692        1,883,960  

Freddie Mac, Pool #G11850, 5.50%, 7/1/2020

      416        417  

Freddie Mac, Pool #G12610, 6.00%, 3/1/2022

      13,898        14,187  

Freddie Mac, Pool #G12655, 6.00%, 5/1/2022

      9,510        9,749  

Freddie Mac, Pool #G12988, 6.00%, 1/1/2023

      8,727        9,030  

Freddie Mac, Pool #G13078, 6.00%, 3/1/2023

      14,494        14,968  

Freddie Mac, Pool #G13331, 5.50%, 10/1/2023

      7,070        7,314  

Freddie Mac, Pool #C91762, 4.50%, 5/1/2034

      608,686        657,610  

Freddie Mac, Pool #QN0349, UMBS, 3.00%, 8/1/2034

      1,268,402        1,307,687  

Freddie Mac, Pool #G03696, 5.50%, 1/1/2038

      1,117        1,254  

Freddie Mac, Pool #G03781, 6.00%, 1/1/2038

      164,433        189,088  

Freddie Mac, Pool #G03926, 6.00%, 2/1/2038

      164,922        189,682  

Freddie Mac, Pool #G04731, 5.50%, 4/1/2038

      172,634        193,880  

Freddie Mac, Pool #G08273, 5.50%, 6/1/2038

      219,148        246,127  

Freddie Mac, Pool #G05900, 6.00%, 3/1/2040

      90,809        104,310  

Freddie Mac, Pool #G05906, 6.00%, 4/1/2040

      120,561        136,992  

Freddie Mac, Pool #A92889, 4.50%, 7/1/2040

      1,264,333        1,378,021  

Freddie Mac, Pool #G60183, 4.00%, 12/1/2044

      583,875        622,697  

Freddie Mac, Pool #ZM2525, UMBS, 3.00%, 12/1/2046

      1,171,823        1,208,715  

Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048

      675,466        715,699  
     

 

 

  

TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $40,405,082)

             41,439,709  
     

 

 

  
   
    

    

SHARES

 

     

VALUE

 

  

SHORT-TERM INVESTMENT - 1.5%

 

Dreyfus Government Cash Management, Institutional Shares, 1.50%9

     

(Identified Cost $5,827,528)

      5,827,528      $ 5,827,528  
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES - 100.1%
(Identified Cost $356,507,848)

 

      388,259,304  
     

 

 

  

TOTAL OPTIONS WRITTEN — 0.0%##
(Premiums Received $54,755)

 

      (104,548 ) 
     

 

 

  

TOTAL INVESTMENTS - 100.1%

 

      388,154,756  

LIABILITIES, LESS OTHER ASSETS - (0.1%)

 

      (237,611 ) 
     

 

 

  

NET ASSETS - 100%

       $     387,917,145  
     

 

 

  

ADR - American Depositary Receipt

CAD - Canadian Dollar

IO - Interest only

LIBOR - London InterBank Offer Rate

MXN - Mexican Peso

UMBS - Uniform Mortgage-Backed Securities

 

 

11

Investment Portfolio - January 31, 2020

(unaudited)

 

 EXCHANGE-TRADED OPTIONS WRITTEN                              
 DESCRIPTION    NUMBER
OF
CONTRACTS		      EXPIRATION
DATE		      EXERCISE
PRICE		     

NOTIONAL      
AMOUNT
(000)3

 

      VALUE  

 Call

               

 Electronic Arts, Inc.

      78            02/21/2020      $ 121.00        842      $ (780 ) 
              

 

 

  

 Put

               

 Amazon.com, Inc.

      5            02/07/2020        1,755.00        1,004        (475 ) 

 Activision Blizzard, Inc.

      177            02/14/2020        53.00        1,035        (4,425 ) 

 Schlumberger Ltd.

      262            02/14/2020        36.00        878        (86,460 ) 

 Electronic Arts, Inc.

      91            02/21/2020        103.00        982        (7,098 ) 

 PayPal Holdings, Inc.

      90            02/21/2020        105.00        1,025        (5,310 ) 
              

 

 

  
                                           (103,768 ) 

 TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (Premiums Received $54,755)

 

          $ (104,548 ) 
              

 

 

  

*Non-income producing security.

## Less than 0.1%.

1 

A portion of this security is designated as collateral for options contracts written. As of January 31, 2020, the total value of such securities was $11,907,700.

2 

Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $43,418,818, or 11.2% of the Series’ net assets as of January 31, 2020.

3 

Amount is stated in USD unless otherwise noted.

4 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of January 31, 2020.

5 

Represents a Payment-In-Kind bond.

6 

Security is perpetual in nature and has no stated maturity date.

7 

Floating rate security. Rate shown is the rate in effect as of January 31, 2020.

8 

Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of January 31, 2020.

9 

Rate shown is the current yield as of January 31, 2020.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of S&P Global Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to their fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

12

Investment Portfolio - January 31, 2020

(unaudited)

 

The following is a summary of the valuation levels used for major security types as of January 31, 2020 in valuing the Series’ assets or liabilities carried at fair value:

 

 DESCRIPTION

 

   

TOTAL

 

    

LEVEL 1

 

    

LEVEL 2#

 

     

LEVEL 3

 

  

 Assets:

          

Equity securities:

          

Communication Services

    $ 24,448,298     $ 16,387,956     $ 8,060,342      $ —  

Consumer Discretionary

      17,450,248       14,388,266       3,061,982        —  

Consumer Staples

      21,864,557       13,500,420       8,364,137        —  

Energy

      5,658,826       5,559,207       99,619        —  

Financials

      13,830,814       12,911,429       919,385        —  

Health Care

      26,137,709       22,364,520       3,773,189        —  

Industrials

      5,456,848       3,147,125       2,309,723        —  

Information Technology

      24,310,025       24,093,724       216,301        —  

Materials

      1,789,688       1,623,789       165,899        —  

Real Estate

      11,236,272       11,181,311       54,961        —  

Debt securities:

          

U.S. Treasury and other U.S. Government agencies

      119,947,855       —       119,947,855        —  

Corporate debt:

          

Communication Services

      12,634,886       —       12,634,886        —  

Consumer Discretionary

      5,979,639       —       5,979,639        —  

Consumer Staples

      63,675       —       63,675        —  

Energy

      10,069,440       —       10,069,440        —  

Financials

      10,835,812       —       10,835,812        —  

Health Care

      1,958,773       —       1,958,773        —  

Industrials

      6,655,356       —       6,655,356        —  

Materials

      2,700,117       —       2,700,117        —  

Real Estate

      5,456,634       —       5,456,634        —  

Asset-backed securities

      21,680,152       —       21,680,152        —  

Commercial mortgage-backed securities

      27,206,068       —       27,206,068        —  

Foreign government bonds

      5,060,084       —       5,060,084        —  

Short-Term Investment

      5,827,528       5,827,528       —        —  
  

 

 

    

 

 

    

 

 

     

 

 

  

 Total assets

      388,259,304       130,985,275       257,274,029        —  
  

 

 

    

 

 

    

 

 

     

 

 

  

 Liabilities:

          

Other financial instruments*:

          

Equity contracts

      (104,548 )      (104,548 )      —        —  
  

 

 

    

 

 

    

 

 

     

 

 

  

 Total liabilities

      (104,548 )      (104,548 )      —        —  
  

 

 

    

 

 

    

 

 

     

 

 

  

 Total

    $         388,154,756     $         130,880,727     $         257,274,029      $                 —  
  

 

 

    

 

 

    

 

 

     

 

 

  

#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

*Other financial instruments are exchange traded options (Level 1).

There were no Level 3 securities held by the Series as of October 31, 2019 or January 31, 2020.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

 

13