UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-03421 | |
Exact name of registrant as specified in charter: | The Prudential Variable Contract Account - 10 | |
Address of principal executive offices: | 655 Broad Street, 17th Floor Newark, New Jersey 07102 | |
Name and address of agent for service: | Andrew R. French 655 Broad Street, 17th Floor Newark, New Jersey 07102 | |
Registrant’s telephone number, including area code: | 800-225-1852 | |
Date of fiscal year end: | 12/31/2020 | |
Date of reporting period: | 12/31/2020 |
Item 1 – Reports to Stockholders
The MEDLEY Program
ANNUAL REPORT | December 31, 2020 |
The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.
The views expressed in this report and information about the Accounts’ portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this report may include prospectus supplements that are separate from and not a part of this report.
The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.
(800) 458-6333
Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.
This report includes the financial statements of VCA-10, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-11 and VCA-24.
This report does not include separate account financials for the VCA-11 and VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.
Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
Information regarding how the VCA-10 voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on VCA-10’s website.
The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.
VCA-10 will file with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-PORT. Form N-PORT will be available on the Commission’s website at www.sec.gov or call (800) 732-0330. MEDLEY participants may obtain copies of Form N-PORT filings by calling (800) 458-6333.
The Prudential MEDLEY Program
Table of Contents | Annual Report | December 31, 2020 |
∎ | LETTER TO PARTICIPANTS |
∎ | MARKET OVERVIEW |
∎ | REPORT OF THE INVESTMENT MANAGER AND PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | BENCHMARK GLOSSARY |
∎ | VCA-10 |
Financial Statements
∎ | VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS |
Glossary | A1 | |
Conservative Balanced Portfolio | A2 | |
Diversified Bond Portfolio | A36 | |
Equity Portfolio | A67 | |
Flexible Managed Portfolio | A72 | |
Global Portfolio | A104 | |
Government Income Portfolio | A113 | |
Government Money Market Portfolio | A121 | |
Stock Index Portfolio | A125 |
The Prudential MEDLEY Program Letter to Participants | December 31, 2020 |
∎ | DEAR PARTICIPANT, |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This MEDLEY Program annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Stuart Parker President, The Prudential Variable Contract Account 10 | Timothy S. Cronin President, The Prudential Series Fund |
January 31, 2021 |
Market Overview — unaudited | Annual Report | December 31, 2020 |
Equity Market Overview
A global pandemic caused by a novel coronavirus—followed by massive monetary and fiscal stimulus packages implemented by central banks and governments worldwide—whipsawed equity markets in 2020. When the chaos subsided, stocks in general closed the year higher, with several US indexes setting record highs as investors responded favorably to the stimulus and to new vaccines that they hoped would speed up the recovery.
Performance varied notably by investing style, market capitalization, geography, and sector. While some industries such as travel struggled during the pandemic, others such as online technology benefited from consumers working from home.
In the US, the broad-based Russell 3000 Index and the large-cap S&P 500 Index rose 20.89% and 18.40%, respectively, for the year. Meanwhile, the Dow Jones Industrial Average (Dow) surpassed 30,000 points with a return of 9.92%, and the tech-heavy Nasdaq Composite Index returned 43.64%. Internationally, the MSCI ACWI Ex-US Index, a broad measure of stock performance in developed and emerging markets outside the US, returned 10.65%. (All returns cited are in US dollars unless stated otherwise and assume reinvestment of dividends.)
Economies crashed, nations responded
When the year began, the outlook for the global economy and equity markets was generally upbeat. Sentiment swiftly shifted south in February and into March as concerns about the spread of COVID-19, the disease caused by the coronavirus, alarmed the markets. Many governments throughout the world rolled out restrictions such as stay-at-home orders, travel bans, and temporary business closures to help reduce transmission of COVID-19. These moves took a toll on the global economy, thrusting many countries into recession and sending stock markets sharply lower.
Lawmakers and central banks worldwide quickly implemented extraordinary stimulus to shore up liquidity. In the US, the Federal Reserve (the Fed) cut its federal funds rate target to a range of 0.00%-0.25%. Congress and the Fed rolled out trillions of dollars in combined stimulus. Real gross domestic product (GDP) in the US dropped at an annualized rate of 31.4% over the second quarter, and the national unemployment rate spiked to 14.7% in April. However, the economy responded favorably to the stimulus and reversed course, with GDP vaulting 33.4% over the third quarter.
Stocks retreated, rebounded, and rallied to record highs
Stock markets plunged in the first quarter as investors worried the recession would hamper growth and corporate profits, with the Dow posting its worst first-quarter performance in history. Stocks rebounded in the second quarter as national and state governments reopened their economies, and the Dow recorded its best performance for any quarter since 1987. Over the third quarter and through the end of the year, equity markets fluctuated yet continued their ascent, due in part to regulatory approval of two COVID-19 vaccines and better-than-expected economic data.
In December, the Fed committed to continue buying bonds until the US economy achieves full employment, provided that inflation stays at 2%, and the central bank also maintained its near-zero federal funds rate target. That same month, Congress approved $900 billion of additional fiscal stimulus, and the national unemployment rate dropped to 6.7%. A large number of countries outside the US also remained supportive of the markets. Many stock indexes closed the year at or near all-time highs.
S&P 500: leaders and laggards
Over the period, the top-performing sectors in the S&P 500 were information technology (+43.89%) and consumer discretionary (+33.30%). Many companies in the technology arena benefited from stronger demand for online shopping and delivery services as a result of the pandemic. Other sectors that posted gains were communication services (+23.61%), materials (+20.73%), health care (+13.45%), industrials (+11.06%), consumer staples (+10.75%), and utilities (+0.48%). Sectors that posted negative returns included financials (-1.69%), real estate (-2.17%), and energy (-33.68%). Energy stocks were dragged down by plunging oil prices during the first half of the year. Prices fell due to the onset of a price war between Russia and Saudi Arabia and lower oil demand after travel declined during the pandemic. Prices eventually stabilized but ended lower for the year.
Market Overview — unaudited (continued) | Annual Report | December 31, 2020 |
Growth outshined value, large caps edged out small caps
Over the year, the Russell 3000 Growth Index returned 38.26%, far surpassing the Russell 3000 Value Index, which rose 2.87%. The large-cap Russell 1000 Index gained 20.96%, the Russell Midcap Index returned 17.10%, and the small-cap Russell 2000 Index returned 19.96%. Although large caps outperformed smaller caps, the small-cap index topped its large-cap counterpart over the third and fourth quarters, with the indexes returning 37.85% and 24.46%, respectively, during that time.
Emerging market equities posted robust overall gains
Emerging market equities, as measured by the MSCI Emerging Markets Investable Market Index, dropped sharply in the first quarter but rebounded to return 18.40% for the year. The recovery was driven by a pickup in China’s economy fueled by aggressive stimulus and a surge in exports. Top-performing markets included Korea, Taiwan, China, and India, all of which posted double-digit returns. Latin American markets, Russia, and South Africa finished lower.
International developed market stocks rose, but regional results were mixed
For the year, stocks in developed markets outside the US and Canada, as measured by the MSCI EAFE Index, lagged those in emerging markets but advanced 7.82%. The MSCI Japan Index returned 14.48%, aided by substantial fiscal and monetary stimulus. The Japanese yen, often perceived as a “safe haven” currency, gained 5.3% against the US dollar. European equities, as measured by the MSCI Europe Index, ended in negative territory in local-currency terms yet returned 5.38% in US dollars. Concerns about the economy eased as the year ended after the European Union and the United Kingdom (UK) agreed to a post-Brexit trade deal. (Brexit refers to the UK’s exit from the European Union.) The MSCI UK Index returned -10.47%.
Fixed Income Market Overview
Government bond markets worldwide collectively rose in 2020 as central banks aggressively cut interest rates, amplified bond-buying programs, and enacted other stimulus measures to support their economies in response to a disruptive global pandemic caused by a novel coronavirus.
Higher-rated credits performed particularly well early in the year but gave back some gains later as investors gravitated toward riskier assets such as higher-yielding bonds, which plunged early in the year but rallied in the fourth quarter.
The global investment-grade bond market, as measured by the Bloomberg Barclays Global Aggregate Bond Index (unhedged), rose 9.20% for the year. Emerging market debt, based on the J.P. Morgan EMBI Global Diversified Index, returned 5.26%. In the US, the investment-grade Bloomberg Barclays US Aggregate Bond Index rose 7.51%, and high yield bonds (i.e., debt rated below investment grade), as measured by the ICE BofAML US Cash High Yield Index, returned 6.20%. (All returns cited are in US dollars unless stated otherwise.)
Massive stimulus supported global markets and economies
During the first few months of the year, many governments worldwide began to impose travel restrictions, stay-at-home orders, and social distancing guidelines to reduce the spread of COVID-19, the disease caused by the coronavirus. Many of these remedies crippled the travel, restaurant, energy, leisure, and various services industries.
To help buoy markets and local economies, policymakers and central banks responded with unprecedented levels of stimulus, beginning in the first quarter. In the US, the Federal Reserve (the Fed) slashed its federal funds rate target to virtually zero. Lawmakers and the Fed then rolled out trillions of dollars in combined stimulus. The central bank also implemented emergency lending facilities, expanded its asset-purchase program to include individual corporate bonds, and unveiled other bold initiatives. Although real gross domestic product (GDP) fell at an annualized rate of 31.4% in the second quarter and national unemployment spiked to 14.7% in April, the economy rebounded in the second half of the year. GDP rose 33.4% in the third quarter, and unemployment closed December at 6.7%—far below April’s peak but still above pre-pandemic levels. The dollar, as measured by the US Dollar Index, dropped 6.7%. Inflation remained subdued.
Market Overview — unaudited (continued) | Annual Report | December 31, 2020 |
Elsewhere, China’s economy weathered the COVID-19 crisis better than many other regional markets, largely due to severe lockdowns, stimulus packages, and a sharp rise in exports. The country’s exports soared almost 20% during the pandemic, surpassing exports of countries outside the region, including the US and eurozone. Latin America’s economy was a laggard, and many developed nations fell into recession as a result of the pandemic.
In December, the Fed maintained its near-zero federal funds rate target, and the central bank committed to continue buying bonds until the US economy achieves full employment, provided that inflation stays at 2%. Congress also approved $900 billion of additional fiscal stimulus. Outside the US, many nations maintained a stimulus mindset as they continued to deal with pandemic-related challenges.
A banner year for investment-grade bonds
During the first quarter, US investment-grade bond yields, which move opposite to bond prices, dropped in reaction to substantial monetary easing and a “flight to quality” from stocks and other riskier securities. At the time, investors favored higher-quality credits, particularly US Treasuries with longer maturities.
As investors’ risk appetite increased during the second half of year, yields on higher-rated debt such as Treasuries rose on worries that the implemented stimulus packages could lead to higher inflation. Higher-yielding assets fell into favor. The yield on the 10-year US Treasury dropped from approximately 1.88% at the beginning of 2020 to 0.70% at the end of the first quarter, and fell further to 0.58% during late April on strong demand. However, the yield subsequently rose to close 2020 at 0.93%, albeit notably lower than where it started the year.
Over the year, longer-dated US Treasury bonds returned 17.70%, while US Treasuries in general returned 8.00%. Treasury inflation-protected securities rose 10.99%. (Returns of US investment-grade bonds noted are based on Bloomberg Barclays bond indexes unless stated otherwise.)
Investment-grade corporate bonds delivered a stellar return of 9.89%. Central banks’ extraordinary moves to support markets, investors’ reaction to stimulus, expectations that US interest rates will remain low for some time, regulatory approval of two COVID-19 vaccines, and better-than-expected corporate earnings results fueled demand for corporates in the latter part of the year. Other notable performers included commercial mortgage-backed securities, which returned 8.11%, and municipal bonds, which rose 5.21%.
High yield bonds rebounded after a rocky start
As mentioned earlier, US high yield bonds returned 6.20% in 2020, thanks to a rebound late in the year. Earlier in 2020, high yield bond prices tumbled when concerns about the pandemic’s potential economic consequences were intensifying and crude oil prices were plunging. Prices fell due to the onset of a price war between Russia and Saudi Arabia and lower oil demand after travel declined during the pandemic. The lower prices hurt oil exporters, which constitute a significant chunk of the high yield issuer market.
Oil prices eventually stabilized but ended lower over the year. The price of a barrel of West Texas Intermediate crude oil traded above $61 when 2020 began and closed the year slightly above $48. The high yield market staged a comeback later in the year as investors applauded approval of the two COVID-19-vaccines. High yield bonds returned 6.50% over the fourth quarter.
Emerging market debt also rallied in the final quarter
Emerging market debt ended 2020 in positive territory, rising 5.26% for the year as mentioned earlier, including 5.80% in the fourth quarter. Like many high yield bond issuers, emerging market debt issuers include many exporters of crude oil.
The Prudential MEDLEY Program — VCA-10
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | Since Inception | ||||||||||||
VCA-101—Standard Contract | 17.77 | % | 12.32 | % | 10.24 | % | — | |||||||||
VCA-101—0.50% Contract | 18.36 | 12.88 | 10.79 | — | ||||||||||||
VCA-101—0.45% Contract | 18.42 | 12.94 | — | 11.25 | % | |||||||||||
S&P 500 Index | 18.40 | 15.21 | 13.87 | — |
Past performance does not guarantee future returns. Account performance is net of fund expenses. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
0.45% Contract inception: 4/1/2011. Index since inception returns reflect performance beginning the closest month-end date to the Account’s inception of the 0.45% Contract.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the value of the Standard Contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) returned 17.77%, the value of a contract with annual expenses of 0.50% returned 18.36%, and the value of a contract with annual expenses of 0.45% returned 18.42%.
What were the market conditions during the reporting period?
US equities experienced periods of elevated volatility in calendar-year 2020 (the reporting period), but generally posted strong returns. After reaching an all-time high in mid-February 2020, equity markets abruptly reversed course, falling sharply later that month as the rapidly spreading COVID-19 virus and efforts to contain its spread took a toll on the global economy. Stocks rebounded from late March through the end of the period after aggressive monetary policy was implemented by the Federal Reserve, meaningful and significant fiscal stimulus was passed by the US Congress, the November presidential election was resolved, and two COVID-19 vaccines received regulatory approval in December. These factors eclipsed a resurgence of COVID-19 infections that threatened the economy late in the period.
The S&P 500 Index (the Index) gained 18.40% during the period. By sector, performance was mixed as seven sectors in the Index posted positive returns while four declined. Index gains were led by the information technology, consumer discretionary, and communication services sectors, all of which rose more than 20% over the period. In contrast, the energy, real estate, and financials sectors were the worst-performing sectors. Individual stocks that were the Index’s top contributors to performance during the period included Apple, Inc., Amazon.com, Inc., and Microsoft Corp. Conversely, Exxon Mobil Corp., Wells Fargo & Co., and AT&T, Inc. were among its top detractors.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s positions among automobile manufacturers were the dominant driver of absolute gains during the reporting period, while holdings in the semiconductors and data processing & outsourced services industries contributed to a lesser degree. Meanwhile, positions in the diversified banks, aerospace defense, and trucking sectors hampered the Portfolio’s absolute gains.
Relative to the Index, the Portfolio’s security selection in data processing & outsourced services added the most value. Stock selection and an overweight position in automobile manufacturers, along with security selection among software names, also were beneficial. Conversely, stock selection in diversified banks was the largest detractor from relative performance. An underweight position in technology hardware storage & peripherals and security selection in health care equipment also detracted from relative performance.
The most notable individual stocks contributors to the Portfolio’s overall performance included electric car manufacturer Tesla, Inc., multinational technology company Apple, and technology company NVIDIA Corp. Tesla posted impressive financial results throughout the period, made possible by solid production, increased capacity, and strong execution. With its huge installed base, Apple continued to benefit from rapid growth in service
1 | The Account performance results is net of all contract charges but not including the effect of any sales charges. The standard VCA-10 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-10 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-10 contracts with reduced expenses will be higher than the performance of the standard VCA-10 contract. All total returns are for the periods indicated and are calculated based on changes in unit values. |
2 | The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to a lower fee structure. |
For a complete list of holdings please see the Statement of Net Assets sections of this report.
1
The Prudential MEDLEY Program — VCA-10
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
business subscriptions, a key source of recurring revenue. Nvidia announced a new generation of products called data processing units, which offload critical networking, storage, and security tasks from central processing units (CPUs). This rollout signaled the company’s pursuit of the highly profitable data center CPU business.
Top detractors for the period included ride-sharing company Uber Technologies, Inc., diversified bank JPMorgan Chase & Co., and Canadian integrated energy company Suncor Energy, Inc. Uber was hit hard by the pandemic and stay-at-home mandates, which led to sharply falling revenues. JPMorgan Chase was dragged down along with the overall financials sector. Financials was one of the worst-performing sectors during the period, as the contraction in the global economy triggered meaningfully diminished loan growth and payment transaction volumes. In addition, this sector experienced interest rate and credit-risk headwinds. Suncor Energy’s stock declined as investors reacted negatively to its weakening fundamentals, as the company’s balance sheet added a significant amount of debt.
Presentation of Portfolio Holdings — unaudited
VCA-10 (As of 12/31/2020) |
| |||||
Ten Largest Holdings | Line of Business | % of Net Assets | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 3.8% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 2.9% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 2.6% | ||||
Tesla, Inc. | Automobiles | 2.3% | ||||
JPMorgan Chase & Co. | Banks | 2.1% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.9% | ||||
PayPal Holdings, Inc. | IT Services | 1.9% | ||||
Shopify, Inc. (Class A Stock) | IT Services | 1.8% | ||||
Adyen NV, 144A | IT Services | 1.8% | ||||
Walt Disney Co. (The) | Entertainment | 1.8% |
For a complete list of holdings, please refer to the Statement of Net Assets section of this report. Holdings reflect only long-term investments.
2
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2020
LONG-TERM INVESTMENTS — 98.0% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 2.0% | ||||||||
Airbus SE (France) | 7,926 | $ | 871,186 | |||||
Northrop Grumman Corp. | 2,596 | 791,053 | ||||||
Raytheon Technologies Corp. | 25,018 | 1,789,037 | ||||||
|
| |||||||
3,451,276 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% | ||||||||
FedEx Corp. | 3,997 | 1,037,701 | ||||||
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| |||||||
Automobiles — 3.6% | ||||||||
General Motors Co. | 53,508 | 2,228,073 | ||||||
Tesla, Inc.* | 5,524 | 3,898,121 | ||||||
|
| |||||||
6,126,194 | ||||||||
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| |||||||
Banks — 6.9% | ||||||||
Bank of America Corp. | 86,614 | 2,625,270 | ||||||
Citigroup, Inc. | 31,927 | 1,968,619 | ||||||
JPMorgan Chase & Co. | 28,560 | 3,629,119 | ||||||
PNC Financial Services Group, Inc. (The) | 12,865 | 1,916,885 | ||||||
Truist Financial Corp. | 33,964 | 1,627,895 | ||||||
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11,767,788 | ||||||||
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| |||||||
Beverages — 1.0% | ||||||||
PepsiCo, Inc. | 11,827 | 1,753,944 | ||||||
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Biotechnology — 0.9% | ||||||||
AbbVie, Inc. | 14,353 | 1,537,924 | ||||||
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Building Products — 1.3% | ||||||||
Johnson Controls International PLC | 48,936 | 2,279,928 | ||||||
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Capital Markets — 2.0% | ||||||||
Blackstone Group, Inc. (The) | 15,146 | 981,612 | ||||||
Goldman Sachs Group, Inc. (The) | 9,539 | 2,515,530 | ||||||
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3,497,142 | ||||||||
|
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Chemicals — 3.8% | ||||||||
Dow, Inc. | 35,211 | 1,954,210 | ||||||
FMC Corp. | 16,356 | 1,879,795 | ||||||
Linde PLC (United Kingdom) | 10,262 | 2,704,140 | ||||||
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6,538,145 | ||||||||
|
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Communications Equipment — 0.5% | ||||||||
Cisco Systems, Inc. | 17,222 | 770,685 | ||||||
|
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Consumer Finance — 1.9% | ||||||||
Capital One Financial Corp. | 17,762 | 1,755,774 | ||||||
SLM Corp. | 120,914 | 1,498,124 | ||||||
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3,253,898 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% | ||||||||
Crown Holdings, Inc.* | 17,032 | 1,706,606 | ||||||
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Diversified Telecommunication Services — 1.3% |
| |||||||
Verizon Communications, Inc. | 38,458 | 2,259,408 | ||||||
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Electric Utilities — 0.8% | ||||||||
American Electric Power Co., Inc. | 15,435 | 1,285,273 | ||||||
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Electrical Equipment — 0.9% | ||||||||
Emerson Electric Co. | 20,203 | 1,623,715 | ||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Entertainment — 3.7% | ||||||||
Netflix, Inc.* | 4,154 | $ | 2,246,192 | |||||
Spotify Technology S.A. (Sweden)* | 3,449 | 1,085,262 | ||||||
Walt Disney Co. (The)* | 16,636 | 3,014,111 | ||||||
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6,345,565 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
Alexandria Real Estate Equities, Inc. | 4,775 | 851,000 | ||||||
American Campus Communities, Inc. | 25,241 | 1,079,558 | ||||||
American Tower Corp. | 5,013 | 1,125,218 | ||||||
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| |||||||
3,055,776 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% | ||||||||
Walmart, Inc. | 17,896 | 2,579,708 | ||||||
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Food Products — 1.1% | ||||||||
Mondelez International, Inc. (Class A Stock) | 31,299 | 1,830,053 | ||||||
|
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Health Care Equipment & Supplies — 1.0% |
| |||||||
Zimmer Biomet Holdings, Inc. | 11,438 | 1,762,481 | ||||||
|
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Health Care Providers & Services — 1.7% |
| |||||||
Cigna Corp. | 7,490 | 1,559,268 | ||||||
Laboratory Corp. of America Holdings* | 6,369 | 1,296,410 | ||||||
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2,855,678 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% | ||||||||
McDonald’s Corp. | 6,244 | 1,339,837 | ||||||
Royal Caribbean Cruises Ltd. | 9,768 | 729,572 | ||||||
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2,069,409 | ||||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
DR Horton, Inc. | 17,095 | 1,178,187 | ||||||
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Household Products — 0.7% | ||||||||
Procter & Gamble Co. (The) | 9,001 | 1,252,399 | ||||||
|
| |||||||
Insurance — 3.6% | ||||||||
Chubb Ltd. (Switzerland) | 16,238 | 2,499,353 | ||||||
Marsh & McLennan Cos., Inc. | 9,016 | 1,054,872 | ||||||
MetLife, Inc. | 34,825 | 1,635,034 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 5,432 | 900,734 | ||||||
|
| |||||||
6,089,993 | ||||||||
|
| |||||||
Interactive Media & Services — 6.3% | ||||||||
Alphabet, Inc. (Class A Stock)* | 2,853 | 5,000,282 | ||||||
Facebook, Inc. (Class A Stock)* | 11,845 | 3,235,580 | ||||||
Match Group, Inc.* | 16,358 | 2,473,166 | ||||||
|
| |||||||
10,709,028 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.9% |
| |||||||
Amazon.com, Inc.* | 1,379 | 4,491,306 | ||||||
Farfetch Ltd. (United Kingdom)* | 12,901 | 823,213 | ||||||
MercadoLibre, Inc. (Argentina)* | 816 | 1,366,980 | ||||||
|
| |||||||
6,681,499 | ||||||||
|
| |||||||
IT Services — 8.3% | ||||||||
Adyen NV (Netherlands), 144A* | 1,321 | 3,074,172 | ||||||
PayPal Holdings, Inc.* | 13,515 | 3,165,213 |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2020
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (continued) | ||||||||
Shopify, Inc. (Canada) (Class A Stock)* | 2,753 | $ | 3,116,258 | |||||
Snowflake, Inc.* | 3,367 | 947,474 | ||||||
Square, Inc. (Class A Stock)* | 7,533 | 1,639,482 | ||||||
Twilio, Inc.* | 6,909 | 2,338,697 | ||||||
|
| |||||||
14,281,296 | ||||||||
|
| |||||||
Leisure Products — 0.4% | ||||||||
Peloton Interactive, Inc.* | 4,737 | 718,698 | ||||||
|
| |||||||
Machinery — 2.2% | ||||||||
Deere & Co. | 4,325 | 1,163,641 | ||||||
Fortive Corp. | 14,413 | 1,020,729 | ||||||
Otis Worldwide Corp. | 22,170 | 1,497,583 | ||||||
|
| |||||||
3,681,953 | ||||||||
|
| |||||||
Media — 0.7% | ||||||||
Comcast Corp. (Class A Stock) | 23,986 | 1,256,866 | ||||||
|
| |||||||
Multi-Utilities — 2.2% | ||||||||
Ameren Corp. | 21,890 | 1,708,733 | ||||||
Dominion Energy, Inc. | 26,210 | 1,970,992 | ||||||
|
| |||||||
3,679,725 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
Chevron Corp. | 26,808 | 2,263,936 | ||||||
ConocoPhillips | 26,428 | 1,056,856 | ||||||
Suncor Energy, Inc. (Canada) | 46,995 | 788,576 | ||||||
Williams Cos., Inc. (The) | 51,288 | 1,028,324 | ||||||
|
| |||||||
5,137,692 | ||||||||
|
| |||||||
Pharmaceuticals — 2.8% | ||||||||
AstraZeneca PLC (United Kingdom), ADR | 26,962 | 1,347,830 | ||||||
Bristol-Myers Squibb Co. | 27,710 | 1,718,851 | ||||||
Eli Lilly & Co. | 10,558 | 1,782,613 | ||||||
|
| |||||||
4,849,294 | ||||||||
|
| |||||||
Road & Rail — 1.6% | ||||||||
Union Pacific Corp. | 13,044 | 2,716,022 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.4% |
| |||||||
Broadcom, Inc. | 5,528 | 2,420,435 | ||||||
NVIDIA Corp. | 4,728 | 2,468,961 | ||||||
QUALCOMM, Inc. | 15,893 | 2,421,140 | ||||||
Texas Instruments, Inc. | 11,361 | 1,864,681 | ||||||
|
| |||||||
9,175,217 | ||||||||
|
| |||||||
Software — 5.1% | ||||||||
Adobe, Inc.* | 6,026 | 3,013,723 | ||||||
Microsoft Corp. | 8,651 | 1,924,156 | ||||||
PTC, Inc.* | 9,410 | 1,125,530 | ||||||
RingCentral, Inc.* | 4,298 | 1,628,813 | ||||||
SAP SE (Germany), ADR | 7,702 | 1,004,264 | ||||||
|
| |||||||
8,696,486 | ||||||||
|
| |||||||
Specialty Retail — 2.8% | ||||||||
Advance Auto Parts, Inc. | 5,581 | 879,063 | ||||||
Lowe’s Cos., Inc. | 12,856 | 2,063,517 | ||||||
Ross Stores, Inc. | 14,844 | 1,822,992 | ||||||
|
| |||||||
4,765,572 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals — 3.8% |
| |||||||
Apple, Inc. | 49,604 | $ | 6,581,955 | |||||
|
| |||||||
Textiles,Apparel & Luxury Goods — 3.0% |
| |||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 3,522 | 2,208,206 | ||||||
NIKE, Inc. (Class B Stock) | 20,931 | 2,961,109 | ||||||
|
| |||||||
5,169,315 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
United Rentals, Inc.* | 7,117 | 1,650,504 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 167,659,998 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT — 2.0% |
| |||||||
AFFILIATED MUTUAL FUND | ||||||||
PGIM Core Ultra Short Bond Fund | 3,335,484 | 3,335,484 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% |
| 170,995,482 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% |
| |||||||
Receivable for Securities Sold |
| 1,163,825 | ||||||
Dividends and Interests Receivable |
| 97,135 | ||||||
Tax Reclaim Receivable |
| 6,701 | ||||||
Payable for Pending Capital Transactions |
| (752,532 | ) | |||||
Payable for Securities Purchased |
| (455,352 | ) | |||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 59,777 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 171,055,259 | |||||
|
| |||||||
NET ASSETS, representing: | ||||||||
Equity of Participants |
| $ | 171,055,294 | |||||
Equity of The Prudential Insurance Company of America |
| (35 | ) | |||||
|
| |||||||
$ | 171,055,259 | |||||||
|
|
The following abbreviations are used in the annual report:
144A | A Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. | |
ADR | American Depositary Receipt |
* | Non-income producing security. |
(a) | PGIM Investments LLC, the manager of the Account, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2020
Fair Value Measurements:
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted | quoted prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments In Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 2,580,090 | $ | 871,186 | $ | — | ||||||
Air Freight & Logistics | 1,037,701 | — | — | |||||||||
Automobiles | 6,126,194 | — | — | |||||||||
Banks | 11,767,788 | — | — | |||||||||
Beverages | 1,753,944 | — | — | |||||||||
Biotechnology | 1,537,924 | — | — | |||||||||
Building Products | 2,279,928 | — | — | |||||||||
Capital Markets | 3,497,142 | — | — | |||||||||
Chemicals | 6,538,145 | — | — | |||||||||
Communications Equipment | 770,685 | — | — | |||||||||
Consumer Finance | 3,253,898 | — | — | |||||||||
Containers & Packaging | 1,706,606 | — | — | |||||||||
Diversified Telecommunication Services | 2,259,408 | — | — | |||||||||
Electric Utilities | 1,285,273 | — | — | |||||||||
Electrical Equipment | 1,623,715 | — | — | |||||||||
Entertainment | 6,345,565 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 3,055,776 | — | — | |||||||||
Food & Staples Retailing | 2,579,708 | — | — | |||||||||
Food Products | 1,830,053 | — | — | |||||||||
Health Care Equipment & Supplies | 1,762,481 | — | — | |||||||||
Health Care Providers & Services | 2,855,678 | — | — | |||||||||
Hotels, Restaurants & Leisure | 2,069,409 | — | — | |||||||||
Household Durables | 1,178,187 | — | — | |||||||||
Household Products | 1,252,399 | — | — | |||||||||
Insurance | 6,089,993 | — | — | |||||||||
Interactive Media & Services | 10,709,028 | — | — | |||||||||
Internet & Direct Marketing Retail | 6,681,499 | — | — | |||||||||
IT Services | 11,207,124 | 3,074,172 | — | |||||||||
Leisure Products | 718,698 | — | — | |||||||||
Machinery | 3,681,953 | — | — | |||||||||
Media | 1,256,866 | — | — | |||||||||
Multi-Utilities | 3,679,725 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 5,137,692 | — | — | |||||||||
Pharmaceuticals | 4,849,294 | — | — | |||||||||
Road & Rail | 2,716,022 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 9,175,217 | — | — | |||||||||
Software | 8,696,486 | — | — | |||||||||
Specialty Retail | 4,765,572 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 6,581,955 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 2,961,109 | 2,208,206 | — | |||||||||
Trading Companies & Distributors | 1,650,504 | — | — | |||||||||
Affiliated Mutual Fund | 3,335,484 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 164,841,918 | $ | 6,153,564 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF NET ASSETS |
December 31, 2020
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
IT Services | 8.3 | % | ||
Banks | 6.9 | |||
Interactive Media & Services | 6.3 | |||
Semiconductors & Semiconductor Equipment | 5.4 | |||
Software | 5.1 | |||
Internet & Direct Marketing Retail | 3.9 | |||
Technology Hardware, Storage & Peripherals | 3.8 | |||
Chemicals | 3.8 | |||
Entertainment | 3.7 | |||
Automobiles | 3.6 | |||
Insurance | 3.6 | |||
Textiles, Apparel & Luxury Goods | 3.0 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Pharmaceuticals | 2.8 | |||
Specialty Retail | 2.8 | |||
Machinery | 2.2 | |||
Multi-Utilities | 2.2 | |||
Capital Markets | 2.0 | |||
Aerospace & Defense | 2.0 | |||
Affiliated Mutual Fund | 2.0 | |||
Consumer Finance | 1.9 | |||
Equity Real Estate Investment Trusts (REITs) | 1.8 | |||
Health Care Providers & Services | 1.7 |
Road & Rail | 1.6 | % | ||
Food & Staples Retailing | 1.5 | |||
Building Products | 1.3 | |||
Diversified Telecommunication Services | 1.3 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Food Products | 1.1 | |||
Health Care Equipment & Supplies | 1.0 | |||
Beverages | 1.0 | |||
Containers & Packaging | 1.0 | |||
Trading Companies & Distributors | 1.0 | |||
Electrical Equipment | 0.9 | |||
Biotechnology | 0.9 | |||
Electric Utilities | 0.8 | |||
Media | 0.7 | |||
Household Products | 0.7 | |||
Household Durables | 0.7 | |||
Air Freight & Logistics | 0.6 | |||
Communications Equipment | 0.5 | |||
Leisure Products | 0.4 | |||
|
| |||
100.0 | ||||
Other assets in excess of liabilities | 0.0 | * | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05%. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
STATEMENT OF OPERATIONS |
Year Ended December 31, 2020
INVESTMENT INCOME | ||||
Unaffiliated Dividend Income (net of $11,646 foreign withholding tax) | �� | $ | 2,707,720 | |
Affiliated Dividend Income | 28,188 | |||
Total Income | 2,735,908 | |||
EXPENSES | ||||
Fees Charged to Participants for Investment Management Services | (376,113 | ) | ||
Fees Charged to Participants for Administrative Expenses: | ||||
Standard Contract | (1,005,348 | ) | ||
0.50% Contract | (10,960 | ) | ||
0.45% Contract | (19,310 | ) | ||
Total Expenses | (1,411,731 | ) | ||
NET INVESTMENT INCOME | 1,324,177 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net Realized Gain (Loss) on: | ||||
Investment Transactions | 14,901,219 | |||
Foreign Currency Transactions | 2,355 | |||
14,903,574 | ||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Investments | 9,431,281 | |||
Foreign Currencies | 55 | |||
9,431,336 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 24,334,910 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 25,659,087 |
STATEMENT OF CHANGES IN NET ASSETS |
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
OPERATIONS | ||||||||
Net Investment Income | $ | 1,324,177 | $ | 1,594,290 | ||||
Net Realized Gain on Investment and Foreign Currency Transactions | 14,903,574 | 13,739,644 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 9,431,336 | 20,621,491 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 25,659,087 | 35,955,425 | ||||||
CAPITAL TRANSACTIONS | ||||||||
Purchase Payments and Transfers In | 1,447,977 | 851,274 | ||||||
Withdrawals and Transfers Out | (15,428,383 | ) | (16,770,545 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS | (13,980,406 | ) | (15,919,271 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS | (1,581 | ) | 31,493 | |||||
TOTAL INCREASE IN NET ASSETS | 11,677,100 | 20,067,647 | ||||||
NET ASSETS | ||||||||
Beginning of year | 159,378,159 | 139,310,512 | ||||||
End of year | $ | 171,055,259 | $ | 159,378,159 |
Accumulation Unit Values and Equity of Participants as of December 31, 2020
Standard Contract: | ||||
Accumulation Unit Value and Equity of Participants, $ 154,835,303/ 5,771,823 Accumulation Units | $ | 26.8261 | ||
|
| |||
0.50% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $ 4,998,636/ 164,902 Accumulation Units | $ | 30.3127 | ||
|
| |||
0.45% Contract: | ||||
Accumulation Unit Value and Equity of Participants, $ 11,221,355/ 368,362 Accumulation Units | $ | 30.4628 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
INCOME PER ACCUMULATION UNIT* |
(For an Accumulation Unit outstanding throughout the year)
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||||||||||||||||
Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | |||||||||||||||||||
Investment Income | $ | 0.4113 | $ | 0.4630 | $ | 0.4651 | $ | 0.4116 | $ | 0.4617 | $ | 0.4633 | ||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fee | (0.0563 | ) | (0.0634 | ) | (0.0637 | ) | (0.0516 | ) | (0.0579 | ) | (0.0581 | ) | ||||||||||||
Administrative expenses | (0.1684 | ) | (0.0634 | ) | (0.0510 | ) | (0.1544 | ) | (0.0579 | ) | (0.0465 | ) | ||||||||||||
Net Investment Income | 0.1866 | 0.3362 | 0.3504 | 0.2056 | 0.3459 | 0.3587 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 3.8615 | 4.3654 | 4.3873 | 4.6253 | 5.1859 | 5.2076 | ||||||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | 4.0481 | 4.7016 | 4.7377 | 4.8309 | 5.5318 | 5.5663 | ||||||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||
Beginning of year | 22.7780 | 25.6111 | 25.7251 | 17.9471 | 20.0793 | 20.1588 | ||||||||||||||||||
End of year | $ | 26.8261 | $ | 30.3127 | $ | 30.4628 | $ | 22.7780 | $ | 25.6111 | $ | 25.7251 | ||||||||||||
Total Return** | 17.77 | % | 18.36 | % | 18.42 | % | 26.89 | % | 27.52 | % | 27.58 | % | ||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | 0.50 | % | 0.45 | % | 1.00 | % | 0.50 | % | 0.45 | % | ||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | 0.83 | % | 1.32 | % | 1.37 | % | 1.00 | % | 1.50 | % | 1.55 | % | ||||||||||||
Portfolio Turnover Rate | 56 | % | 56 | % | 56 | % | 48 | % | 48 | % | 48 | % | ||||||||||||
Number of Accumulation Units Outstanding | 5,772 | 165 | 368 | 6,347 | 179 | 398 |
* | Calculated by accumulating the actual per unit amounts daily. |
** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
*** | These calculations exclude PICA’s equity in VCA-10. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
INCOME PER ACCUMULATION UNIT* |
(For an Accumulation Unit outstanding throughout the year)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | ||||||||||||||||||||||||||||||||||
Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | Standard Contract | 0.50% Contract | 0.45% Contract | ||||||||||||||||||||||||||||
Investment Income | $ | 0.3666 | $ | 0.4087 | $ | 0.4102 | $ | 0.2909 | $ | 0.3229 | $ | 0.3239 | $ | 0.2736 | $ | 0.3019 | $ | 0.3027 | ||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||
Investment management fee | (0.0500 | ) | (0.0558 | ) | (0.0560 | ) | (0.0440 | ) | (0.0489 | ) | (0.0491 | ) | (0.0369 | ) | (0.0407 | ) | (0.0408 | ) | ||||||||||||||||||
Administrative expenses | (0.1497 | ) | (0.0558 | ) | (0.0448 | ) | (0.1318 | ) | (0.0489 | ) | (0.0392 | ) | (0.1103 | ) | (0.0407 | ) | (0.0327 | ) | ||||||||||||||||||
Net Investment Income | 0.1669 | 0.2971 | 0.3094 | 0.1151 | 0.2251 | 0.2356 | 0.1264 | 0.2205 | 0.2292 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.7016 | ) | (1.9064 | ) | (1.9142 | ) | 3.4389 | 3.8193 | 3.8316 | 0.8068 | 0.8955 | 0.8983 | ||||||||||||||||||||||||
Net Increase (Decrease) in Accumulation Unit Value | (1.5347 | ) | (1.6093 | ) | (1.6048 | ) | 3.5540 | 4.0444 | 4.0672 | 0.9332 | 1.1160 | 1.1275 | ||||||||||||||||||||||||
Accumulation Unit Value | ||||||||||||||||||||||||||||||||||||
Beginning of year | 19.4818 | 21.6886 | 21.7635 | 15.9278 | 17.6442 | 17.6963 | 14.9946 | 16.5282 | 16.5688 | |||||||||||||||||||||||||||
End of year | $ | 17.9471 | $ | 20.0793 | $ | 20.1588 | $ | 19.4818 | $ | 21.6886 | $ | 21.7635 | $ | 15.9278 | $ | 17.6442 | $ | 17.6963 | ||||||||||||||||||
Total Return** | (7.88 | )% | (7.42 | )% | (7.37 | )% | 22.31 | % | 22.92 | % | 22.98 | % | 6.22 | % | 6.75 | % | 6.80 | % | ||||||||||||||||||
Ratio of Expenses To Average Net Assets*** | 1.00 | % | 0.50 | % | 0.45 | % | 1.00 | % | 0.50 | % | 0.45 | % | 1.00 | % | 0.50 | % | 0.45 | % | ||||||||||||||||||
Ratio of Net Investment Income To Average Net Assets*** | 0.84 | % | 1.34 | % | 1.39 | % | 0.65 | % | 1.15 | % | 1.20 | % | 0.85 | % | 1.34 | % | 1.39 | % | ||||||||||||||||||
Portfolio Turnover Rate | 36 | % | 36 | % | 36 | % | 49 | % | 49 | % | 49 | % | 42 | % | 42 | % | 42 | % | ||||||||||||||||||
Number of Accumulation Units Outstanding | 7,081 | 181 | 427 | 7,755 | 190 | 474 | 8,606 | 212 | 522 |
* | Calculated by accumulating the actual per unit amounts daily. |
** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
*** | These calculations exclude PICA’s equity in VCA-10. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO FINANCIAL STATEMENTS OF
VCA-10
Note 1: | Organization |
The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended. VCA-10 has been designed for use by employers (“Contractholders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital.
PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% Contracts”), and contracts with annual expenses of 0.45%, as a percentage of net assets, (the “0.45% Contracts”). The financial statements show separate Accumulation Unit Values for each type of contract.
Note 2: | Accounting Policies |
The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles (“GAAP”). The Account consistently follows such policies in the preparation of its financial statements.
Securities Valuation: The Account holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Committee’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting year-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Account’s foreign investments may change on days when investors cannot purchase or redeem Account shares.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Statement of Net Assets and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.
Common or preferred stocks, exchange-traded funds, and derivative instruments, if applicable, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated
adjustment factor for each security, which is applied to the local closing price to adjust it for post-closing market movements up to the time the Account is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end (other than exchange-traded funds) are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy. Altering one or more unobservable inputs may result in a significant change to a Level 3 security’s fair value measurement.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Foreign Currency Translation: The books and records of the Account are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Account becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain (losses) (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.
Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with management of the Account. PGIM Investments pays for the services of Jennison.
VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced administrative fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a contract.
Standard Contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s account of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge (explained below), and 0.25% is paid to PGIM Investments, for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s account of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s account of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PGIM Investments, for investment management services.
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s account or on the last business day of each calendar year. Such amounts are reflected as withdrawals on the Statements of Changes in Net Assets.
PICA, PGIM Investments and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc.
Note 4: | Other Transactions with Affiliates |
The Account may enter into certain securities purchase or sale transactions under Committee approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Committee. For the year ended December 31, 2020, no such transactions were entered into by the Account.
During the year ended December 31, 2020, the Account invested in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PGIM Investments. Through the Account’s investment in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated Dividend Income”.
Note 5: | Portfolio Securities |
For the year ended December 31, 2020, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $82,459,825 and $96,215,708, respectively.
A summary of the cost of purchases and proceeds from sales of shares of an affiliated mutual fund for the year ended December 31, 2020, is presented as follows:
Value, Beginning of Year | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain(Loss) | Realized Gain(Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||
$2,330,053 | $ | 37,936,388 | $ | (36,930,957 | ) | $ | — | $ | — | $ | 3,335,484 | 3,335,484 | $ | 28,188 | ||||||||||||||
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* | The Account did not have any capital gain distributions during reporting period. |
Note 6: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the year ended December 31, 2020 and the year ended December 31, 2019, respectively, are as follows:
Standard Contracts | Units | Amount | ||||||
Year ended December 31, 2020: | ||||||||
Account units issued | 66,701 | $ | 1,447,977 | |||||
Account units redeemed | (642,148 | ) | (14,359,678 | ) | ||||
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Net increase (decrease) in units outstanding | (575,447 | ) | $ | (12,911,701 | ) | |||
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Year ended December 31, 2019: | ||||||||
Account units issued | 40,120 | $ | 830,102 | |||||
Account units redeemed | (774,161 | ) | (16,004,104 | ) | ||||
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Net increase (decrease) in units outstanding | (734,041 | ) | $ | (15,174,002 | ) | |||
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0.50% Contracts | Units | Amount | ||||||
Year ended December 31, 2020: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (13,690 | ) | (360,835 | ) | ||||
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Net increase (decrease) in units outstanding | (13,690 | ) | $ | (360,835 | ) | |||
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Year ended December 31, 2019: | ||||||||
Account units issued | 1,004 | $ | 21,172 | |||||
Account units redeemed | (3,754 | ) | (84,307 | ) | ||||
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Net increase (decrease) in units outstanding | (2,750 | ) | $ | (63,135 | ) | |||
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0.45% Contracts | Units | Amount | ||||||
Year ended December 31, 2020: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (29,153 | ) | (707,870 | ) | ||||
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Net increase (decrease) in units outstanding | (29,153 | ) | $ | (707,870 | ) | |||
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Year ended December 31, 2019: | ||||||||
Account units issued | — | $ | — | |||||
Account units redeemed | (29,387 | ) | (682,134 | ) | ||||
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Net increase (decrease) in units outstanding | (29,387 | ) | $ | (682,134 | ) | |||
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Note 7: | Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account.
Note 8: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.
For the year ended December 31, 2020, $57,662 in participant loans were withdrawn from VCA-10 and $65,334 of principal and interest was repaid to VCA-10. For the year ended December 31, 2019, $114,485 in participant loans were withdrawn from VCA-10 and $54,004 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the year ended December 31, 2020, PICA has advised the Account that it received $633 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers within the Statement of Changes in Net Assets.
Note 9: | Risks of Investing in the Account |
The Account’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Account’s risk, please refer to the Account’s Prospectus and Statement of Additional Information.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Account invests could go down. The Account’s holdings can vary significantly from broad market indexes and the performance of the Account can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health emergencies (such as the spread of infectious diseases, epidemics or pandemics), natural disasters and other similar events, or widespread fear that such events may occur, could negatively affect the global economy, as well as the economies of individual countries, the financial performance of individual companies and sectors, and the markets in general in significant and unforeseen ways. Recent examples of such health emergencies include the outbreak of the coronavirus globally and the 2014 -2016 outbreak in West Africa of the Ebola virus, which could adversely affect the U.S. and foreign financial markets and may cause further long-term economic uncertainties in the United States and worldwide generally. The coronavirus pandemic and the related governmental and public responses have had and may continue to have an impact on the Account’s investments and net asset value and have led and may continue to lead to increased market volatility and the potential for illiquidity in certain classes of securities and sectors of the market. Preventative or protective actions that governments may take in respect of pandemic or epidemic diseases may result in periods of business disruption, business closures, inability to obtain raw materials, supplies and component parts, and reduced or disrupted operations for the issuers in which the Account invests. Government intervention in markets may impact interest rates, market volatility and security pricing. The occurrence, reoccurrence and pendency of such diseases could adversely affect the economies (including through changes in business activity and increased unemployment) and financial markets either in specific countries or worldwide.
Foreign Securities Risk: The Account’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Account may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Account’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Market and Credit Risks: Securities markets may be volatile and the market prices of the Account’s securities may move up and down, sometimes rapidly and unpredictably. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Account fall, the value of an investment in the Account will decline. Additionally, the Account may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Account has unsettled or open transactions defaults.
Note 10: | Recent Regulatory Developments |
On December 3, 2020, the SEC announced that it voted to adopt a new rule that establishes an updated regulatory framework for valuation practices (the “Rule”). The Rule, in part, provides (i) a framework for determining fair value in good faith and (ii) provides for the Account Committee’s assignment of its responsibility for the execution of valuation-related activities to the Account’s investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Rule will become effective 60 days after publication in the Federal Register, and will have a compliance date 18 months following the effective date. Management is currently evaluating the Rule and its impact to the Account.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Members of the VCA 10 Committee and Participants of The Prudential Variable Contract Account-10
Opinion on the Financial Statements
We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (the “Account”) as of December 31, 2020, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the year then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Account as of December 31, 2020, and the results of its operations, changes in its net assets, and the financial highlights for the year then ended in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Account as of and for the year ended December 31, 2019 and the financial highlights for each of the periods ended on or prior to December 31, 2019 (not presented herein, other than the statement of changes in net assets and the financial highlights) were audited by other auditors whose report dated February 19, 2020 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Account’s management. Our responsibility is to express an opinion on the Account’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Account in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
New York, New York
February 24, 2021
We have served as the auditor of one or more investment companies in the Prudential Variable Contract Accounts complex since 2020.
THE VCA 10 COMMITTEE AND OFFICERS
MANAGEMENT OF VCA 10
VCA 10 is managed by the VCA 10 Committee. The members of the VCA 10 Committee are elected by the persons having voting rights in respect of VCA 10. The affairs of VCA 10 are conducted in accordance with the Rules and Regulations of VCA 10.
Information pertaining to the Members of the VCA 10 Committee (hereafter referred to as “Board Members”) is set forth below. Board Members who are not deemed to be “interested persons” of VCA 10 as defined in the Investment Company Act are referred to as “Independent Board Members.” Board Members who are deemed to be “interested persons” of VCA 10 are referred to as “Interested Board Members.” “Fund Complex” consists of VCA 10 and any other investment companies managed by PGIM Investments. VCA 10 is also referred to as “Fund,” and together with certain registered investment companies overseen by the VCA 10 Committee, the “Funds.”
Independent Board Members | ||||||
Name Year of Birth Position(s) Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held During Past Five Years | Length of Board Service | |||
Ellen S. Alberding 1958 Board Member Portfolios Overseen: 95 | President and Board Member, The Joyce Foundation (charitable foundation) (since 2002); Vice Chair, City Colleges of Chicago (community college system) (2011-2015); Trustee, National Park Foundation (charitable foundation for national park system) (2009-2018); Trustee, Economic Club of Chicago (since 2009); Trustee, Loyola University (since 2018). | None. | Since September 2013 | |||
Kevin J. Bannon 1952 Board Member Portfolios Overseen: 95 | Retired; Managing Director (April 2008-May 2015) and Chief Investment Officer (October 2008-November 2013) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds. | Director of Urstadt Biddle Properties (equity real estate investment trust) (since September 2008). | Since July 2008 | |||
Linda W. Bynoe 1952 Board Member Portfolios Overseen: 95 | President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co. (broker-dealer). | Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009). | Since March 2005 | |||
Keith F. Hartstein 1956 Board Member & Independent Chair Portfolios Overseen: 95 | Executive Committee of the Independent Directors Council (IDC) Board of Governors (since October 2019); Retired; Member (since November 2014) of the Governing Council of the IDC (organization of independent mutual fund directors); formerly President and Chief Executive Officer (2005-2012), Senior Vice President (2004-2005), Senior Vice President of Sales and Marketing (1997-2004), and various executive management positions (1990-1997), John Hancock Funds, LLC (asset management); Chairman, Investment Company Institute’s Sales Force Marketing Committee (2003-2008). | None. | Since September 2013 | |||
Michael S. Hyland, CFA* 1945 Board Member Portfolios Overseen: 95*Retired 12/31/2020 | Retired (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999). | None. | Since July 2008 | |||
Interested Board Members | ||||||
Name Year of Birth Position(s) Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held During Past Five Years | Length of Board Service | |||
Stuart S. Parker 1962 Board Member & President Portfolios Overseen: 95 | Chief Executive Officer, Chief Operating Officer and Officer in Charge of PGIM Investments LLC (formerly known as Prudential Investments LLC) (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); formerly Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of PGIM Investments LLC (June 2005-December 2011); Investment Company Institute - Board of Governors (since May 2012). | None. | Since January 2012 |
Interested Board Members | ||||||
Name Year of Birth Position(s) Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held During Past Five Years | Length of Board Service | |||
Scott E. Benjamin 1973 Board Member & Vice President Portfolios Overseen:95 | Executive Vice President (since May 2009) of PGIM Investments LLC; Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, PGIM Investments (since February 2006); formerly Vice President of Product Development and Product Management, PGIM Investments LLC (2003-2006). | None. | Since March 2010 |
Fund Officers(a) | ||||
Name Year of Birth Fund Position | Principal Occupation(s) During Past Five Years | Length of Service as Fund Officer | ||
Claudia DiGiacomo 1974 Chief Legal Officer | Chief Legal Officer, Executive Vice President and Secretary of PGIM Investments LLC (since August 2020); Chief Legal Officer of Prudential Mutual Fund Services LLC (since August 2020); Chief Legal Officer of PIFM Holdco, LLC (since August 2020); Vice President and Corporate Counsel (since January 2005) of Prudential; and Corporate Counsel of AST Investment Services, Inc. (since August 2020); formerly Vice President and Assistant Secretary of PGIM Investments LLC (2005-2020); formerly Associate at Sidley Austin Brown & Wood LLP (1999-2004). | Since December 2005 | ||
Dino Capasso 1974 Chief Compliance Officer | Chief Compliance Officer (July 2019-Present) of PGIM Investments LLC; Chief Compliance Officer (July 2019-Present) of the PGIM Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global High Yield Fund, Inc., and PGIM High Yield Bond Fund, Inc.; Vice President and Deputy Chief Compliance Officer (June 2017-2019) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC. | Since March 2018 | ||
Andrew R. French 1962 Secretary | Vice President (since December 2018 - present) of PGIM Investments LLC; formerly, Vice President and Corporate Counsel (2010-2018) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | Since October 2006 | ||
Diana N. Huffman 1982 Assistant Secretary | Vice President and Corporate Counsel (since September 2015) of Prudential; Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; formerly Associate at Willkie Farr & Gallagher LLP (2009-2015). | Since March 2019 | ||
Melissa Gonzalez 1980 Assistant Secretary | Vice President and Corporate Counsel (since September 2018) of Prudential; Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; formerly Director and Corporate Counsel (March 2014-September 2018) of Prudential. | Since March 2020 | ||
Patrick E. McGuinness 1986 Assistant Secretary | Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; Director and Corporate Counsel (since February 2017) of Prudential; and Corporate Counsel (2012 – 2017) of IIL, Inc. | Since June 2020 | ||
Debra Rubano 1975 Assistant Secretary | Vice President and Corporate Counsel (since November 2020) of Prudential; formerly Director and Senior Counsel of Allianz Global Investors U.S. Holdings LLC (2010-2020) and Assistant Secretary of numerous funds in the Allianz fund complex (2015-2020). | Since December 2020 | ||
Kelly A. Coyne 1968 Assistant Secretary | Director, Investment Operations of Prudential Mutual Fund Services LLC (since 2010). | Since March 2015 | ||
Christian J. Kelly 1975 Treasurer and Principal Financial and Accounting Officer | Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007). | Since January 2019 | ||
Lana Lomuti 1967 Assistant Treasurer | Vice President (since 2007) and Director (2005-2007), within PGIM Investments Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | Since April 2014 | ||
Russ Shupak 1973 Assistant Treasurer | Vice President (since 2017) and Director (2013-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
Deborah Conway 1969 Assistant Treasurer | Vice President (since 2017) and Director (2007-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
Elyse M. McLaughlin 1974 Assistant Treasurer | Vice President (since 2017) and Director (2011-2017), within PGIM Investments Fund Administration. | Since October 2019 |
Fund Officers(a) | ||||
Name Year of Birth Fund Position | Principal Occupation(s) During Past Five Years | Length of Service as Fund Officer | ||
Charles H. Smith 1973 Anti-Money Laundering Compliance Officer | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). | Since January 2017 |
(a) Excludes Mr. Parker and Mr. Benjamin, interested Board Members who also serve as President and Vice President, respectively.
Explanatory Notes to Tables:
Board Members are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with PGIM Investments LLC and/or an affiliate of PGIM Investments LLC.
Unless otherwise noted, the address of all Board Members and Officers is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102-4410.
There is no set term of office for Board Members or Officers. The Board Members have adopted a retirement policy, which calls for the retirement of Board Members on December 31 of the year in which they reach the age of 75.
“Other Directorships Held” includes all directorships of companies required to register or file reports with the SEC under the 1934 Act (that is, “public companies”) or other investment companies registered under the 1940 Act.
“Portfolios Overseen” includes all investment companies managed by PGIM Investments LLC. The investment companies for which PGIM Investments LLC serves as manager include the PGIM Funds, The Prudential Variable Contract Accounts, PGIM ETF Trust, PGIM High Yield Bond Fund, Inc., PGIM Global High Yield Fund, Inc., PGIM Short Duration High Yield Opportunities Fund, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc. and the Advanced Series Trust.
As used in the Fund Officers table “Prudential” means The Prudential Insurance Company of America.
The Prudential Series Fund
The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.
Each Subaccount of VCA-11 and VCA-24 will invest in the corresponding Portfolio of the Prudential Series Fund (the “Fund”). Of the Portfolios comprising the Fund, eight Portfolios are presently available to The MEDLEY Program. The Conservative Balanced Subaccount invests in the Conservative Balanced Portfolio, the Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Equity Subaccount invests in the Equity Portfolio, the Flexible Managed Subaccount invests in the Flexible Managed Portfolio, the Global Subaccount invests in the Global Portfolio, the Government Income Subaccount invests in the Government Income Portfolio, the Government Money Market Subaccount invests in the Government Money Market Portfolio, and the Stock Index Subaccount invests in the Stock Index Portfolio.
There is no assurance that the investment objective of the Portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.
Important Note
This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.
Contract unit values increase or decrease based on the performance of each corresponding Portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of each Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.
The Prudential Series Fund, Conservative Balanced Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio | 11.43 | % | 9.19 | % | 8.64 | % | ||||||
Blended Index | 12.92 | 9.68 | 8.67 | |||||||||
S&P 500 Index | 18.40 | 15.21 | 13.87 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the Conservative Balanced Portfolio returned 11.43%. The Portfolio underperformed both its Blended Index and the S&P 500 Index.
What were the market conditions during the reporting period?
Following one of the quickest bear markets in US history during the first quarter of calendar-year 2020 (the reporting period), US equity markets bounced back dramatically later in the period, catching many investors off balance. Initial drivers of the recovery included positive reactions to robust fiscal and monetary stimulus, as well as a better understanding of the effects of the COVID-19 virus.
The rebound continued into the fourth quarter of 2020 as investment markets reacted strongly to positive vaccine news, with a sharp rotation into cyclical, value, and small-cap stocks that helped reduce their underperformance for the period. Pfizer-BioNTech and Moderna received regulatory approval for COVID-19 vaccines near the end of the period, with effectiveness rates exceeding 90% in final clinical trials. Performance was also helped by expectations of further federal stimulus packages following US election results.
Within fixed income markets, US interest rates dropped sharply in the first quarter of 2020, bottoming over the summer and recovering slightly by the end of the period. COVID-19 vaccination developments helped raise inflation estimates, which reflected the vast amounts of stimulus that had been injected into the economy over the period and also hopes for economic normalization. The Federal Reserve continued to communicate a loose monetary policy, ensuring investors that the central bank would continue to support the ongoing economic recovery. Complicating matters near the end of the period, however, were a rise in hospitalizations, renewed shutdowns, and the discovery of new variants of the virus. Production and mass distribution of vaccines are now the focus before economies are able to reopen and normalize.
What strategies or holdings affected the Portfolio’s performance?
Asset allocation decisions had a negative impact on the Portfolio’s performance during the period, driven by a slight overweight exposure to risk assets at the beginning of the first quarter of 2020. Although the Portfolio was quick to adjust its position, the speed of the drawdown in February and March made the impact material. Otherwise, the effects from asset allocation were slightly positive during the period.
The Portfolio shifted to an overweight position in equities for the remainder of the period, participating in the steady rebound in demand for risk assets. The overweight position was funded by allocations from both bonds and cash, which remained below the Portfolio’s benchmark index weight for the remaining quarters and underperformed the index. A small off-index diversifying exposure to international equities was a drag on performance as it trailed US equities during the period. The fixed income sleeve was a positive contributor during the period, bouncing back strongly following negative performance during the first quarter.
At period-end, the Portfolio was positioned with an overweight exposure to equities, a small position in international equity markets, and underweight exposures to fixed income investments and cash.
The Portfolio used equity futures and Treasury bond futures during the period to gain specific exposures to various markets. The use of these derivative instruments allowed the Portfolios to manage cash flows as well as risk. In aggregate, the derivative positions had a positive impact on the Portfolio’s performance during the period by allowing the portfolio management team to respond quickly to major market movements — such as the COVID crash — through the use of these highly liquid futures contracts.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
1
The Prudential Series Fund, Conservative Balanced Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
Conservative Balanced Portfolio (As of 12/31/2020) |
| |||||
Ten Largest Holdings | Line of Business | % of Net Assets | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 3.4% | ||||
Microsoft Corp. | Software | 2.7% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 2.2% | ||||
Federal National Mortgage Assoc., 2.000%, TBA | U.S. Government Agency Obligations | 2.0% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.1% | ||||
U.S. Treasury Notes, 0.125%, 09/30/22 | U.S. Treasury Obligations | 0.9% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 0.8% | ||||
Tesla, Inc. | Automobiles | 0.8% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 0.8% | ||||
Berkshire Hathaway, Inc. (Class B Stock) | Diversified Financial Services | 0.7% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
2
The Prudential Series Fund, Diversified Bond Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio | 8.45 | % | 6.29 | % | 5.53 | % | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.44 | 3.84 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the Diversified Bond Portfolio returned 8.45%. The Portfolio outperformed the Bloomberg Barclays U.S. Aggregate Bond Index.
What were the market conditions during the reporting period?
Markets in calendar-year 2020 (the reporting period) were dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. US Treasury yields dropped and spread sectors declined sharply in March before narrowing into the end of the first quarter following aggressive actions from the Federal Reserve (the Fed). With the economy decelerating rapidly and financial markets selling off sharply in the first quarter, the Fed quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period amid improving economic data and a gradual reopening of the economy. This optimism was somewhat offset by threats of a second COVID-19 wave. However, emergency regulatory approval of the Pfizer-BioNTech and Moderna vaccines supported markets into the end of the period.
US Treasury rates sold off and steepened during the period, with the 10-year/2-year Treasury spread rising from 0.34% to 0.80% over the period. In early August, the US 10-year Treasury yield dropped to its low for the period as COVID-19 cases flared up across the country, with the yield dropping to 50 basis points and the curve flattening amid uncertainty over the economic reopening. (One basis point equals 0.01%.) The Treasury curve then steepened in the last part of the period after the Fed adjusted its inflation-targeting framework to allow for overshoots of its 2% inflation target.
What strategies or holdings affected the Portfolio’s performance?
During the period, individual issue selection and sector allocation both contributed to outperformance. Overall sector allocation was positive, with overweights to high yield and collateralized loan obligations adding to the Portfolio’s performance. An underweight to mortgage-backed securities also added value. Overweights to emerging markets, investment-grade corporate bonds, municipal bonds, and bank loans detracted from the Portfolio’s performance. Strong security selection was highlighted by positioning in Treasuries, emerging markets, investment-grade corporates, and sovereigns. This was partially offset by selection in high yield and commercial mortgage-backed securities, which detracted from returns. Within credit, the Portfolio benefited from positions in the foreign non-corporate, healthcare & pharmaceutical, technology, and telecom sectors. Positions in the gaming & lodging & leisure, midstream energy, and aerospace & defense sectors detracted from the Portfolio’s performance. The Portfolio’s duration positioning added to performance for the period; however, this was somewhat offset by yield curve positioning, which detracted from the Portfolio’s performance. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on the Portfolio’s performance during the period. In addition, the Portfolio used futures to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures and options contributed to the Portfolio’s performance during the period. The Portfolio also used credit derivatives in the form of the Credit Default Swap Index (CDX) to manage credit risk. The use of CDX added to performance for the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
3
The Prudential Series Fund, Diversified Bond Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
Diversified Bond Portfolio (As of 12/31/2020) |
| |||||
Credit Quality | % of Net Assets | |||||
AAA | 36.7% | |||||
AA | 2.8% | |||||
A | 10.4% | |||||
BBB | 23.3% | |||||
BB | 10.7% | |||||
B | 5.6% | |||||
CCC | 1.9% | |||||
D | 0.1% | |||||
NR | 9.3% | |||||
Cash & Equivalents | -0.8% | |||||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
4
The Prudential Series Fund, Equity Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio: Class I | 29.00 | % | 15.61 | % | 12.80 | % | ||||||
Portfolio: Class II | 28.49 | 15.14 | 12.35 | |||||||||
Russell 1000® Index | 20.96 | 15.60 | 14.01 | |||||||||
S&P 500 Index | 18.40 | 15.21 | 13.87 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2020, Equity Portfolio Class I shares returned 29.00% and Class II shares returned 28.49%. The Portfolio’s Class I & II shares outperformed both the Russell 1000 Index and the S&P 500 Index.
What were the market conditions during the reporting period?
US equities experienced periods of elevated volatility in calendar-year 2020 (the reporting period), but generally posted strong returns. After reaching an all-time high in mid-February 2020, equity markets abruptly reversed course, falling sharply later that month as the rapidly spreading COVID-19 virus and efforts to contain its spread took a toll on the global economy. Stocks rebounded from late March through the end of the period after aggressive monetary policy was implemented by the Federal Reserve, meaningful and significant fiscal stimulus was passed by the US Congress, the November presidential election was resolved, and two COVID-19 vaccines received regulatory approval in December. These factors eclipsed a resurgence of COVID-19 infections that threatened the economy late in the period.
The S&P 500 Index (the Index) gained 18.40% during the period. By sector, performance was mixed as seven sectors in the Index posted positive returns while four declined. Index gains were led by the information technology, consumer discretionary, and communication services sectors, all of which rose more than 20% over the period. In contrast, the energy, real estate, and financials sectors were the worst-performing sectors. Individual stocks that were the Index’s top contributors to performance during the period included Apple, Inc., Amazon.com, Inc., and Microsoft Corp. Conversely, Exxon Mobil Corp., Wells Fargo & Co., and AT&T, Inc. were among its top detractors.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s positions among automobile manufacturers were the dominant driver of absolute gains during the period, while holdings in the application software and internet & direct marketing retail industries contributed to a lesser degree. Meanwhile, positions in the aerospace & defense, diversified banks, and health care equipment sectors hampered the Portfolio’s absolute gains.
Relative to the Index, the Portfolio’s security selection and overweight position in automobile manufactures added the most value. Security selection in both data processing & outsourced services and semiconductors also was beneficial. Conversely, an overweight position in apparel accessories & luxury goods, along with security selection in aerospace & defense and managed health care, were among the main detractors from performance.
The most notable individual stock contributors to the Portfolio’s overall performance included electric car manufacturer Tesla, Inc., multinational technology company Apple, and e-commerce retailer Amazon.com. Tesla posted impressive financial results throughout the period, made possible by solid production, increased capacity, and strong execution. With its huge installed base, Apple continued to benefit from rapid growth in service business subscriptions, a key source of recurring revenue. Amazon continued to benefit from economies of scale and its platform-based business model, and it continued to strengthen its competitive edge by reinvestment in its businesses. Its Amazon Web Services cloud-computing platform remained an additional driver of revenue and profit.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
For a complete list of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
5
The Prudential Series Fund, Equity Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
Top detractors for the period included airline manufacturer The Boeing Co., aerospace-component and defense company Safran S.A., and medical device company Zimmer Biomet Holdings, Inc. Boeing has been affected by the longer-than-anticipated 737 Max 8 jet recertification process and the effects of the COVID-19 outbreak, which restricted air travel and compromised the financial health of airlines. The Portfolio eliminated its Boeing position during the period. Safran was also hurt by the pandemic’s impact on air travel. However, as COVID-19 vaccines are distributed and administered, the travel and aircraft industries are expected to rebound. Zimmer Biomet’s second-quarter 2020 revenue fell sharply as elective surgeries were postponed due to the pandemic. However, results improved as the year progressed, and the company could benefit from the COVID-19 vaccines.
Presentation of Portfolio Holdings — unaudited
Equity Portfolio (As of 12/31/2020) |
| |||||
Ten Largest Holdings | Line of Business | % of Net Assets | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.8% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 4.2% | ||||
Tesla, Inc. | Automobiles | 4.1% | ||||
Microsoft Corp. | Software | 2.5% | ||||
Shopify, Inc. (Canada) (Class A Stock) | IT Services | 2.2% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.2% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 2.0% | ||||
Netflix, Inc. | Entertainment | 1.9% | ||||
Adyen NV (Netherlands), 144A | IT Services | 1.9% | ||||
Adobe, Inc. | Software | 1.8% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
6
The Prudential Series Fund, Flexible Managed Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio | 9.59 | % | 9.45 | % | 9.61 | % | ||||||
Blended Index | 14.36 | 10.92 | 9.84 | |||||||||
S&P 500 Index | 18.40 | 15.21 | 13.87 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the Flexible Managed Portfolio returned 9.59%. The Portfolio underperformed both its Blended Index and the S&P 500 Index.
What were the market conditions during the reporting period?
Following one of the quickest bear markets in US history during the first quarter of calendar-year 2020 (the reporting period), US equity markets bounced back dramatically later in the period, catching many investors off balance. Initial drivers of the recovery included positive reactions to robust fiscal and monetary stimulus, as well as a better understanding of the effects of the COVID-19 virus.
The rebound continued into the fourth quarter of 2020 as investment markets reacted strongly to positive vaccine news, with a sharp rotation into cyclical, value, and small-cap stocks that helped reduce their underperformance for the period. Pfizer-BioNTech and Moderna received regulatory approval for COVID-19 vaccines near the end of the period, with effectiveness rates exceeding 90% in final clinical trials. Performance was also helped by expectations of further federal stimulus packages following US election results.
Within fixed income markets, US interest rates dropped sharply in the first quarter of 2020, bottoming over the summer and recovering slightly by the end of the period. COVID-19 vaccination developments helped raise inflation estimates, which reflected the vast amounts of stimulus that had been injected into the economy over the period and also hopes for economic normalization. The Federal Reserve continued to communicate a loose monetary policy, ensuring investors that the central bank would continue to support the ongoing economic recovery. Complicating matters near the end of the period, however, were a rise in hospitalizations, renewed shutdowns, and the discovery of new variants of the virus. Production and mass distribution of vaccines are now the focus before economies are able to reopen and normalize.
What strategies or holdings affected the Portfolio’s performance?
Select Portfolio underlying investments detracted from Portfolio returns and accounted for the majority of underperformance over the period. Specifically, the core US equity manager had a difficult period as a preference for inexpensive, high-quality stocks failed to keep pace with the strong performance of growth equities during the period. The fixed income manager ended the period in positive territory.
Asset allocation decisions also had a negative impact on the Portfolio’s performance during the period, driven by a slight overweight exposure to risk assets at the beginning of the first quarter of 2020. Although the Portfolio was quick to adjust its position, the speed of the drawdown in February and March made the impact material. Otherwise, the effects from asset allocation were slightly positive during the period.
The Portfolio shifted to an overweight position in equities for the remainder of the period, participating in the steady rebound in demand for risk assets. The overweight position was funded by allocations from both bonds and cash, which remained below the Portfolio’s benchmark index weight for the remaining quarters and underperformed the index. A small off-index diversifying exposure to international equities was a drag on performance as it trailed US equities during the period.
At period-end, the Portfolio was positioned with an overweight exposure to equities, a small position in international equity markets, and underweight exposures to fixed income investments and cash.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
7
The Prudential Series Fund, Flexible Managed Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
The Portfolio used equity futures and Treasury bond futures during the period to gain specific exposures to various markets. The use of these derivative instruments allowed the Portfolios to manage cash flows as well as risk. In aggregate, the derivative positions had a positive impact on the Portfolio’s performance during the period by allowing the portfolio management team to respond quickly to major market movements — such as the COVID crash — through the use of these highly liquid futures contracts.
Presentation of Portfolio Holdings — unaudited
Flexible Managed Portfolio (As of 12/31/2020) |
| |||||
Ten Largest Holdings | Line of Business | % of Net Assets | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 3.8% | ||||
Microsoft Corp. | Software | 3.8% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 3.1% | ||||
Federal National Mortgage Assoc., 2.000%, TBA | U.S. Government Agency Obligations | 1.9% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.7% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 1.2% | ||||
Procter & Gamble Co. (The) | Household Products | 1.1% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 1.0% | ||||
Adobe, Inc. | Software | 0.8% | ||||
Home Depot, Inc. (The) | Specialty Retail | 0.8% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
8
The Prudential Series Fund, Global Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio | 15.84 | % | 12.79 | % | 10.38 | % | ||||||
MSCI World Index (GD) | 16.50 | 12.82 | 10.48 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the Global Portfolio returned 15.84%. The Portfolio underperformed the MSCI World Index (GD).
What were the market conditions during the reporting period?
It was a wild ride for markets in calendar-year 2020 (the reporting period), as the COVID-19 outbreak and subsequent lockdown/recession drove equity markets to the fastest plunge ever into a bear market. From its peak in early February to its low in March, the S&P 500 Index fell 34% in a month, with similar stock market declines in Europe, Japan, and emerging markets. US stocks saw a steeper decline of 57% during the 2008-09 global financial crisis; however, that drop occurred over a 17-month period. An unprecedented and timely policy response from the Federal Reserve helped equity markets rebound at the end of March and in April. Stocks also benefited from evidence that the initial lockdowns and quarantines succeeded in reducing the spread of COVID-19 in late spring, which enabled states to relax restrictions and reopen their economies over the summer.
What strategies or holdings affected the Portfolio’s performance?
The subadvisors’ performance during the period was mixed. The Portfolio’s international growth subadvisor significantly outperformed its style-specific benchmark and drove the Portfolio’s overall outperformance. The remaining subadvisors each underperformed their style-specific benchmarks during the period.
During the first quarter of 2020, the overall stock market was negatively impacted by the COVID-19 pandemic. The market’s subsequent recovery was driven mainly by technology stocks, which benefited from lockdowns and work-from-home policies by helping certain businesses that could continue to operate under such adverse conditions.
In this environment, the underlying international growth investments were uniquely positioned to outperform its benchmark index. Significant overweight exposure to the information technology sector relative to both the benchmark index, the MSCI EAFE Index, and the overall Portfolio’s benchmark index, the MSCI World Index.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
9
The Prudential Series Fund, Global Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
Global Portfolio (As of 12/31/2020) |
| |||||||
Ten Largest Holdings | Line of Business | Country | % of Net Assets | |||||
Microsoft Corp. | Software | United States | 2.2% | |||||
Thermo Fisher Scientific, Inc. | Life Sciences Tools & Services | United States | 1.5% | |||||
Intuitive Surgical, Inc. | Health Care Equipment & Supplies | United States | 1.5% | |||||
PayPal Holdings, Inc. | IT Services | United States | 1.3% | |||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | United States | 1.3% | |||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | United States | 1.3% | |||||
Autodesk, Inc. | Software | United States | 1.3% | |||||
Electronic Arts, Inc. | Entertainment | United States | 1.3% | |||||
Mastercard, Inc. (Class A Stock) | IT Services | United States | 1.3% | |||||
Intuit, Inc. | Software | United States | 1.2% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
10
The Prudential Series Fund, Government Income Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio | 7.16 | % | 3.87 | % | 3.45 | % | ||||||
Bloomberg Barclays Government Bond Index | 7.94 | 3.76 | 3.26 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the Government Income Portfolio returned 7.16%. The Portfolio underperformed the Bloomberg Barclays Government Bond Index.
What were the market conditions during the reporting period?
Markets in calendar-year 2020 (the reporting period) were dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. US Treasury yields dropped and spread sectors declined sharply in March before narrowing into the end of the first quarter following aggressive actions from the Federal Reserve (the Fed). With the economy decelerating rapidly and financial markets selling off sharply in the first quarter, the Fed quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing (QE) purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period amid improving economic data and a gradual reopening of the economy. This optimism was somewhat offset by threats of a second COVID-19 wave. However, emergency regulatory approval of the Pfizer-BioNTech and Moderna vaccines supported markets into the end of the period.
US Treasury rates sold off and steepened during the period, with the 10-year/2-year Treasury spread rising from 0.34% to 0.80% over the period. In early August, the US 10-year Treasury yield dropped to its low for the period as COVID-19 cases flared up across the country, with the yield dropping to 50 basis points and the curve flattening amid uncertainty over the economic reopening. (One basis point equals 0.01%.) The Treasury curve then steepened in the last part of the period after the Fed adjusted its inflation-targeting framework to allow for overshoots of its 2% inflation target. With central banks re-examining how to achieve the inflation targets that they’ve been missing and with plenty of slack in the global economy, PGIM Fixed Income expects the QE flood to continue, given its key role in underpinning the markets and the recovery. Thus, the fed funds rate can be expected to stay at its current level for some time.
What strategies or holdings affected the Portfolio’s performance?
During the period, both sector allocation and security selection contributed to the Portfolio’s outperformance. An allocation to collateralized loan obligations (CLOs), coupled with an underweight to mortgage-backed securities (MBS), contributed to the Portfolio’s performance. Strong security selection was highlighted by positioning in Treasuries, MBS, CLOs, and commercial mortgage-backed securities. The combined impact of the Portfolio’s duration and yield curve strategies detracted from performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the period. The Portfolio used futures to manage the Fund’s interest rate risk, which is a more efficient way of managing interest rate risk than through the purchases and sales of cash bonds. The use of futures helped the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
11
The Prudential Series Fund, Government Income Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
Government Income Portfolio (As of 12/31/2020) |
| |||||
Credit Quality | % of Net Assets | |||||
AAA | 98.6% | |||||
AA | 0.9% | |||||
Cash & Equivalents | 0.5% | |||||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/ Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
12
The Prudential Series Fund, Government Money Market Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 7-Day* Current Net Yield | 1 Year | 5 Years | 10 Years /Since | ||||||||||||
Portfolio: Class I | 0.00 | % | 0.30 | % | 0.88 | % | 0.44 | % | ||||||||
Portfolio: Class III | 0.00 | — | — | 0.00 | ||||||||||||
Lipper US Government Money Market Index | N/A | 0.25 | 0.73 | 0.37 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio Class III inception: 5/18/2020. The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
7-DAY CURRENT NET YIELD*
For the year ended December 31, 2020, the Government Money Market Portfolio Class I shares returned 0.30% and for the period ended December 31, 2020, Class III shares returned 0.00% from its inception of 5/18/2020. The Portfolio Class I shares outperformed the Lipper US Government Money Market Index.
What were the market conditions during the reporting period?
Markets in calendar-year 2020 (the reporting period) were dominated by the global outbreak of COVID-19, its economic impact, and the decline and subsequent rebound in risk sentiment. The optimism generated by the US-China trade deal at the beginning of the period quickly gave way to lockdowns, spiraling unemployment, and a sharp drop in US gross domestic product. The Federal Reserve (the Fed) quickly deployed — and then moved beyond — its playbook from the global financial crisis in 2008-09 by cutting its policy rate to a range of 0.00%-0.25%, reopening its swap lines, unleashing unlimited quantitative easing (QE) purchases, and injecting huge quantities of liquidity into the markets. Following a difficult first quarter, spread markets rebounded through the remainder of the period as the Fed’s unprecedented monetary responses significantly improved market liquidity. US Treasury rates sold off and steepened during the period, with the 10-year/2-year Treasury spread rising from 0.34% to 0.80% over the period. Meanwhile, the yield on the 3-month Treasury bill declined from 1.55% to 0.08% while the 3-month LIBOR (London Interbank Offered Rate) declined from 1.91% to 0.24%. In the short-term credit markets, investment-grade credit spreads tightened throughout the period. The Bloomberg Barclays 1-3 Year Credit Index, a proxy for the short-term spread market, outperformed similar short-duration Treasuries by 0.57% during the period. (Duration is a measure of a bond’s price sensitivity to interest rate changes over time.)
With central banks re-examining how to achieve the inflation targets that they’ve been missing and with plenty of slack in the global economy, PGIM Fixed Income expects the QE flood to continue, given its key role in underpinning the markets and the recovery. In a recently announced change to its framework for conducting monetary policy, the Fed confirmed that it will be targeting an inflation rate of 2% on average over time, while permitting periods of overshooting 2% to make up for previous undershoots. Thus, the fed funds rate can be expected to stay at its current level for some time.
What strategies or holdings affected the Portfolio’s performance?
For the first quarter of the period, the Portfolio’s weighted average maturity (WAM) remained longer than peers, shortening slightly following the Fed’s action. The Portfolio’s WAM remained longer than peers for the second quarter, then shortened versus peers during the third quarter, and remained shorter than peers throughout the remainder of the period. The Portfolio’s weighted average life remained extended through floating rate securities throughout the period.
Throughout the period, the Portfolio took advantage of changing floating rate spreads and shifted positioning across LIBOR floaters and secured overnight financing rate (SOFR) floaters accordingly. Floaters are bonds or other types of debt whose coupon rate changes with short-term interest rates.
Additionally, to take advantage of changing relative value between the sectors, the Portfolio shifted its positioning in agency discount notes, repurchase agreements, and US Treasuries throughout the period.
* Source: iMoneyNet, Inc. based on 87 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Government Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/31/2020. The graph is based on the 7-day current net yields of Class I shares.
An investment in the Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.
For a complete list of holdings, please refer to the Schedule of Investments section of this report.
13
The Prudential Series Fund, Government Money Market Portfolio
| December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
Government Money Market Portfolio (As of 12/31/2020) |
| |||||||
Ten Largest Holdings | Interest Rate | Maturity Date | % of Net Assets | |||||
U.S. Treasury Bills | 0.090% | 02/23/2021 | 4.1% | |||||
U.S. Treasury Bills | 0.085% | 02/04/2021 | 3.8% | |||||
U.S. Treasury Bills | 0.085% | 03/04/2021 | 3.2% | |||||
U.S. Cash Management Bills | 0.095% | 03/16/2021 | 2.9% | |||||
U.S. Treasury Bills | 0.096% | 04/01/2021 | 2.3% | |||||
U.S. Treasury Bills | 0.090% | 04/22/2021 | 2.3% | |||||
Federal Home Loan Bank | 0.114% | 01/13/2021 | 2.3% | |||||
Federal Home Loan Bank | 0.100% | 01/20/2021 | 2.3% | |||||
U.S. Treasury Bills | 0.091% | 01/26/2021 | 2.1% | |||||
Federal Home Loan Bank | 0.085% | 02/01/2021 | 1.9% |
Holdings reflect only short-term investments.
For a complete list of holdings, please refer to the Schedule of Investments section of this report.
14
The Prudential Series Fund, Stock Index Portfolio | December 31, 2020 |
Report of the Investment Manager - As of December 31, 2020 (Unaudited)
Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
Portfolio | 18.08 | % | 14.93 | % | 13.59 | % | ||||||
S&P 500 Index | 18.40 | 15.21 | 13.87 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2020, the Stock Index Portfolio returned 18.08%. The Portfolio underperformed the S&P 500 Index.
What were the market conditions during the reporting period?
The COVID-19 pandemic was the major headline during calendar-year 2020 (the reporting period). The pandemic had a significant negative impact on global economies during the first quarter of 2020. Fiscal and monetary stimulus policies led to a steep recovery in US stock prices in the second quarter, along with strong employment numbers as the US economy began to reopen. US equities ended the period in record-high territory, fueled by two vaccines that gained emergency use authorization from the US Food and Drug Administration in the fourth quarter and also by additional monetary stimulus and a resolution of the US presidential election.
What strategies or holdings affected the Portfolio’s performance?
Potential tracking error differences (i.e., the difference between the return of the Portfolio and the return of its benchmark index) — as well as brokerage and other costs and expenses — caused the Portfolio’s return to be slightly lower than the return of its benchmark index, the S&P 500 Index (the Index), during the period.
Information technology — the largest sector within the Portfolio and the Index — was the top sector contributor to the Portfolio’s performance during the period.
Apple Inc. and Amazon.com Inc. were the largest individual stock contributors to the Portfolio’s performance during the period, while Exxon Mobil Corp. and Wells Fargo & Co. were the largest detractors from the Portfolio’s performance.
The Portfolio had some exposure to derivative instruments to help enhance liquidity, but that position did not have a material impact on performance during the period.
Presentation of Portfolio Holdings — unaudited
Stock Index Portfolio (As of 12/31/2020) |
| |||||
Ten Largest Holdings | Line of Business | % of Net Assets | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 6.5% | ||||
Microsoft Corp. | Software | 5.2% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 4.3% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.0% | ||||
Tesla, Inc. | Automobiles | 1.6% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 1.6% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 1.6% | ||||
Berkshire Hathaway, Inc. (Class B Stock) | Diversified Financial Services | 1.4% | ||||
Johnson & Johnson | Pharmaceuticals | 1.3% | ||||
JPMorgan Chase & Co. | Banks | 1.2% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
15
The Prudential MEDLEY Program
Benchmark Glossary — unaudited | December 31, 2020 |
The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.
Bloomberg Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the US Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years.
Bloomberg Barclays US Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds.
Lipper US Government Money Market Index invests principally in financial instruments issued or guaranteed by the US government, its agencies, or its instrumentalities, with dollar-weighted average maturities of less than 90 days.
Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. Returns for the Lipper Average reflect the deduction of operating expenses.
PSF Conservative Balanced Portfolio Blended Index consists of the S&P 500 Index (50%), the Bloomberg Barclays US Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the US Treasury with maturities of three months, excluding zero coupon strips.
PSF Flexible Managed Portfolio Blended Index consists of the S&P 500 Index (60%), the Bloomberg Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips.
MSCI World Index (GD) — The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends.
Russell 1000® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market.
S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market.
For Russell Indexes: Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
The S&P 500 index is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by PGIM, Inc. and/or its affiliates. Copyright © 2020 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of S&P Global and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC.
The PSF Conservative Balanced Portfolio Blended Index and the PSF Flexible Managed Portfolio Blended Index are calculated by PGIM, Inc. and/or its affiliates with permission from S&P Dow Jones Indices LLC and/or its affiliates. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index, including the PSF Conservative Balanced Portfolio Blended Index and the PSF Flexible Managed Portfolio Blended Index, to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index, including the PSF Conservative Balanced Portfolio Blended Index and the PSF Flexible Managed Portfolio Blended Index, or the data included therein.
The Prudential Series Fund
Fees and Expenses — unaudited | December 31, 2020 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2020 through December 31, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2020 | Ending Account Value December 31, 2020 | Annualized Expense Ratio based on the Six-Month Period | Expenses Paid During the Six-Month Period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,117.20 | 0.57 | % | $ | 3.03 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.27 | 0.57 | % | $ | 2.90 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,046.40 | 0.43 | % | $ | 2.21 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.97 | 0.43 | % | $ | 2.19 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,267.10 | 0.47 | % | $ | 2.68 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.77 | 0.47 | % | $ | 2.39 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,264.70 | 0.87 | % | $ | 4.95 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.76 | 0.87 | % | $ | 4.42 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,120.70 | 0.62 | % | $ | 3.31 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.02 | 0.62 | % | $ | 3.15 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,230.70 | 0.76 | % | $ | 4.26 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.32 | 0.76 | % | $ | 3.86 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,007.60 | 0.51 | % | $ | 2.57 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.57 | 0.51 | % | $ | 2.59 | ||||||||||
Government Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,000.00 | 0.14 | % | $ | 0.70 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.43 | 0.14 | % | $ | 0.71 | ||||||||||
Government Money Market (Class III) | Actual | $ | 1,000.00 | $ | 1,000.00 | 0.13 | % | $ | 0.65 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.48 | 0.13 | % | $ | 0.66 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,219.70 | 0.30 | % | $ | 1.67 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.63 | 0.30 | % | $ | 1.53 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2020, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
Glossary | ||||||
The following abbreviations are used in the Portfolios’ descriptions:
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CNH | Chinese Renminbi | |
COP | Colombian Peso | |
EUR | Euro GBP British Pound | |
HUF | Hungarian Forint | |
NZD | New Zealand Dollar | |
USD | US Dollar | |
ZAR | South African Rand | |
144A — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A — | Annual payment frequency for swaps | |
ABS — | Asset-Backed Security | |
Aces — | Alternative Credit Enhancements Securities | |
ADR — | American Depositary Receipt | |
BABs — | Build America Bonds | |
BBR — | New Zealand Bank Bill Rate | |
BBSW — | Australian Bank Bill Swap Reference Rate | |
bps — | Basis Points | |
BROIS — | Brazil Overnight Index Swap | |
BUBOR — | Budapest Interbank Offered Rate | |
CDI — | Chess Depository Interest | |
CDX — | Credit Derivative Index | |
CLO — | Collateralized Loan Obligation | |
CMBS — | Collateralized Mortgage-Backed Security | |
CMBX — | Commercial Mortgage-Backed Index | |
COOIS — | Colombia Overnight Interbank Reference Rate | |
CVA — | Certificate Van Aandelen (Bearer) | |
CVT — | Convertible Security | |
EAFE — | Europe, Australasia, Far East | |
EMTN — | Euro Medium Term Note | |
EONIA — | Euro Overnight Index Average | |
ERISA — | Employee Retirement Income Security Act of 1974 |
ETF — | Exchange-Traded Fund | |
EURIBOR — | Euro Interbank Offered Rate | |
FHLMC — | Federal Home Loan Mortgage Corporation | |
FNMA — | Federal National Mortgage Association | |
GDR — | Global Depositary Receipt | |
GMTN — | Global Medium Term Note | |
GNMA — | Government National Mortgage Association | |
IO — | Interest Only (Principal amount represents notional) | |
JIBAR — | Johannesburg Interbank Agreed Rate | |
LIBOR — | London Interbank Offered Rate | |
LP — | Limited Partnership | |
M — | Monthly payment frequency for swaps | |
MSCI — | Morgan Stanley Capital International | |
MTN — | Medium Term Note | |
OTC — | Over-the-counter | |
PIK — | Payment-in-Kind | |
PJSC — | Public Joint-Stock Company | |
PO — | Principal Only | |
PRFC — | Preference Shares | |
Q — | Quarterly payment frequency for swaps | |
REITs — | Real Estate Investment Trust | |
REMICS — | Real Estate Mortgage Investment Conduit Security | |
RSP — | Savings Shares | |
S — | Semiannual payment frequency for swaps | |
S&P — | Standard & Poor’s | |
SOFR — | Secured Overnight Financing Rate | |
SONIA — | Sterling Overnight Index Average | |
SPDR — | Standard & Poor’s Depositary Receipts | |
Strips — | Separate Trading of Registered Interest and Principal of Securities | |
T — | Swap payment upon termination | |
TBA — | To Be Announced | |
USAID — | United States Agency for International Development | |
USOIS — | United States Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
CONSERVATIVE BALANCED PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
LONG-TERM INVESTMENTS — 89.2% | ||||||||
COMMON STOCKS — 51.2% | Shares | Value | ||||||
Aerospace & Defense — 0.8% | ||||||||
BAE Systems PLC (United Kingdom) | 7,305 | $ | 48,765 | |||||
Boeing Co. (The) | 22,550 | 4,827,053 | ||||||
General Dynamics Corp. | 10,100 | 1,503,082 | ||||||
Howmet Aerospace, Inc. | 15,080 | 430,383 | ||||||
Huntington Ingalls Industries, Inc. | 1,900 | 323,912 | ||||||
L3Harris Technologies, Inc. | 9,070 | 1,714,411 | ||||||
Lockheed Martin Corp. | 10,620 | 3,769,888 | ||||||
Northrop Grumman Corp. | 6,662 | 2,030,045 | ||||||
Raytheon Technologies Corp. | 65,155 | 4,659,234 | ||||||
Singapore Technologies Engineering Ltd. (Singapore) | 5,700 | 16,550 | ||||||
Teledyne Technologies, Inc.* | 1,580 | 619,328 | ||||||
Textron, Inc. | 8,800 | 425,304 | ||||||
TransDigm Group, Inc.* | 2,400 | 1,485,240 | ||||||
|
| |||||||
21,853,195 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.4% | ||||||||
C.H. Robinson Worldwide, Inc. | 5,800 | 544,446 | ||||||
Deutsche Post AG (Germany) | 6,232 | 314,056 | ||||||
Expeditors International of Washington, Inc. | 7,300 | 694,303 | ||||||
FedEx Corp. | 10,480 | 2,720,818 | ||||||
SG Holdings Co. Ltd. (Japan) | 7,700 | 210,187 | ||||||
United Parcel Service, Inc. (Class B Stock) | 30,600 | 5,153,040 | ||||||
Yamato Holdings Co. Ltd. (Japan) | 5,300 | 135,125 | ||||||
|
| |||||||
9,771,975 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
Alaska Air Group, Inc. | 4,300 | 223,600 | ||||||
American Airlines Group, Inc.(a) | 19,400 | 305,938 | ||||||
Delta Air Lines, Inc. | 26,600 | 1,069,586 | ||||||
Southwest Airlines Co. | 24,700 | 1,151,267 | ||||||
United Airlines Holdings, Inc.* | 11,100 | 480,075 | ||||||
|
| |||||||
3,230,466 | ||||||||
|
| |||||||
Auto Components — 0.1% | ||||||||
Aptiv PLC | 11,600 | 1,511,364 | ||||||
BorgWarner, Inc. | 9,600 | 370,944 | ||||||
Cie Generale des Etablissements | ||||||||
Michelin SCA (France) | 1,096 | 140,826 | ||||||
Continental AG (Germany) | 216 | 32,121 | ||||||
Toyota Industries Corp. (Japan) | 200 | 15,895 | ||||||
|
| |||||||
2,071,150 | ||||||||
|
| |||||||
Automobiles — 1.0% | ||||||||
Bayerische Motoren Werke AG (Germany) | 657 | 58,834 | ||||||
Daimler AG (Germany) | 4,979 | 353,232 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 2,124 | 38,184 | ||||||
Ford Motor Co. | 163,085 | 1,433,517 | ||||||
General Motors Co. | 53,100 | 2,211,084 | ||||||
Honda Motor Co. Ltd. (Japan) | 1,900 | 53,341 | ||||||
Mazda Motor Corp. (Japan) | 2,100 | 14,101 | ||||||
Peugeot SA (France)* | 1,149 | 31,597 | ||||||
Suzuki Motor Corp. (Japan) | 700 | 32,468 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Automobiles (cont’d.) | ||||||||
Tesla, Inc.*(a) | 32,100 | $ | 22,652,007 | |||||
Toyota Motor Corp. (Japan) | 3,900 | 300,812 | ||||||
Volkswagen AG (Germany) | 111 | 23,179 | ||||||
|
| |||||||
27,202,356 | ||||||||
|
| |||||||
Banks — 2.0% | ||||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 7,112 | 35,254 | ||||||
Bank of America Corp. | 327,141 | 9,915,644 | ||||||
Barclays PLC (United Kingdom)* | 33,440 | 67,285 | ||||||
BNP Paribas SA (France)* | 2,225 | 117,790 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 7,500 | 22,767 | ||||||
Chiba Bank Ltd. (The) (Japan) | 32,900 | 181,645 | ||||||
Citigroup, Inc. | 88,935 | 5,483,732 | ||||||
Citizens Financial Group, Inc. | 17,800 | 636,528 | ||||||
Comerica, Inc. | 5,600 | 312,816 | ||||||
Commonwealth Bank of Australia (Australia) | 3,427 | 217,968 | ||||||
Credit Agricole SA (France)* | 2,247 | 28,668 | ||||||
Danske Bank A/S (Denmark)* | 1,320 | 21,694 | ||||||
DBS Group Holdings Ltd. (Singapore) | 15,900 | 301,864 | ||||||
DNB ASA (Norway)* | 14,249 | 276,403 | ||||||
Fifth Third Bancorp | 30,521 | 841,464 | ||||||
First Republic Bank | 7,700 | 1,131,361 | ||||||
Huntington Bancshares, Inc. | 42,136 | 532,178 | ||||||
Intesa Sanpaolo SpA (Italy)* | 32,532 | 76,243 | ||||||
Japan Post Bank Co. Ltd. (Japan) | 1,400 | 11,477 | ||||||
JPMorgan Chase & Co. | 131,045 | 16,651,888 | ||||||
KBC Group NV (Belgium)* | 496 | 34,964 | ||||||
KeyCorp. | 41,800 | 685,938 | ||||||
M&T Bank Corp. | 5,400 | 687,420 | ||||||
Mebuki Financial Group, Inc. (Japan) | 97,000 | 190,687 | ||||||
Mediobanca Banca di Credito Finanziario SpA (Italy)* | 3,438 | 31,818 | ||||||
Mizuho Financial Group, Inc. (Japan) | 4,920 | 62,489 | ||||||
Nordea Bank Abp (Finland)* | 6,324 | 51,969 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 27,200 | 207,085 | ||||||
People’s United Financial, Inc. | 14,400 | 186,192 | ||||||
PNC Financial Services Group, Inc. (The) | 18,333 | 2,731,617 | ||||||
Regions Financial Corp. | 40,203 | 648,072 | ||||||
Resona Holdings, Inc. (Japan) | 4,000 | 13,969 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 2,400 | 74,052 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 600 | 18,470 | ||||||
SVB Financial Group* | 2,300 | 892,009 | ||||||
Swedbank AB (Sweden) (Class A Stock)* | 11,566 | 202,346 | ||||||
Truist Financial Corp. | 57,101 | 2,736,851 | ||||||
U.S. Bancorp | 57,985 | 2,701,521 | ||||||
United Overseas Bank Ltd. (Singapore) | 2,300 | 39,333 | ||||||
Wells Fargo & Co. | 176,164 | 5,316,630 | ||||||
Zions Bancorp NA | 6,350 | 275,844 | ||||||
|
| |||||||
54,653,945 | ||||||||
|
| |||||||
Beverages — 0.8% | ||||||||
Brown-Forman Corp. (Class B Stock) | 7,775 | 617,568 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Beverages (cont’d.) | ||||||||
Carlsberg A/S (Denmark) (Class B Stock) | 195 | $ | 31,064 | |||||
Coca-Cola Co. (The) | 165,901 | 9,098,011 | ||||||
Coca-Cola HBC AG (Switzerland)* | 720 | 23,472 | ||||||
Constellation Brands, Inc. (Class A Stock) | 7,300 | 1,599,065 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 1,500 | 35,369 | ||||||
Molson Coors Beverage Co. (Class B Stock) | 7,300 | 329,887 | ||||||
Monster Beverage Corp.* | 16,000 | 1,479,680 | ||||||
PepsiCo, Inc. | 59,407 | 8,810,058 | ||||||
|
| |||||||
22,024,174 | ||||||||
|
| |||||||
Biotechnology — 1.0% | ||||||||
AbbVie, Inc. | 75,901 | 8,132,792 | ||||||
Alexion Pharmaceuticals, Inc.* | 9,500 | 1,484,280 | ||||||
Amgen, Inc. | 25,037 | 5,756,507 | ||||||
Biogen, Inc.* | 6,660 | 1,630,768 | ||||||
CSL Ltd. (Australia) | 414 | 90,835 | ||||||
Gilead Sciences, Inc. | 54,100 | 3,151,866 | ||||||
Incyte Corp.* | 8,200 | 713,236 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4,540 | 2,193,319 | ||||||
Vertex Pharmaceuticals, Inc.* | 11,300 | 2,670,642 | ||||||
|
| |||||||
25,824,245 | ||||||||
|
| |||||||
Building Products — 0.2% | ||||||||
A.O. Smith Corp. | 5,600 | 306,992 | ||||||
AGC, Inc. (Japan) | 400 | 13,968 | ||||||
Allegion PLC | 3,833 | 446,084 | ||||||
Carrier Global Corp. | 34,202 | 1,290,099 | ||||||
Cie de Saint-Gobain (France)* | 3,054 | 140,911 | ||||||
Fortune Brands Home & Security, Inc. | 5,900 | 505,748 | ||||||
Geberit AG (Switzerland) | 128 | 80,799 | ||||||
Johnson Controls International PLC | 31,022 | 1,445,315 | ||||||
Kingspan Group PLC (Ireland)* | 527 | 37,060 | ||||||
Lixil Corp. (Japan) | 900 | 19,475 | ||||||
Masco Corp. | 10,900 | 598,737 | ||||||
Trane Technologies PLC | 10,400 | 1,509,664 | ||||||
|
| |||||||
6,394,852 | ||||||||
|
| |||||||
Capital Markets — 1.4% | ||||||||
3i Group PLC (United Kingdom) | 1,886 | 29,996 | ||||||
Ameriprise Financial, Inc. | 5,120 | 994,970 | ||||||
Bank of New York Mellon Corp. (The) | 34,958 | 1,483,618 | ||||||
BlackRock, Inc. | 6,100 | 4,401,394 | ||||||
Cboe Global Markets, Inc. | 4,500 | 419,040 | ||||||
Charles Schwab Corp. (The) | 64,150 | 3,402,516 | ||||||
CME Group, Inc. | 15,500 | 2,821,775 | ||||||
Credit Suisse Group AG (Switzerland) | 8,463 | 110,655 | ||||||
Franklin Resources, Inc.(a) | 9,300 | 232,407 | ||||||
Goldman Sachs Group, Inc. (The) | 14,900 | 3,929,279 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 2,100 | 115,541 | ||||||
Intercontinental Exchange, Inc. | 24,155 | 2,784,830 | ||||||
Invesco Ltd. | 16,000 | 278,880 | ||||||
Julius Baer Group Ltd. (Switzerland) | 440 | 25,298 | ||||||
Magellan Financial Group Ltd. (Australia) | 1,557 | 64,865 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Capital Markets (cont’d.) | ||||||||
MarketAxess Holdings, Inc. | 1,720 | $ | 981,363 | |||||
Moody’s Corp. | 7,050 | 2,046,192 | ||||||
Morgan Stanley | 61,619 | 4,222,750 | ||||||
MSCI, Inc. | 3,700 | 1,652,161 | ||||||
Nasdaq, Inc. | 5,000 | 663,700 | ||||||
Nomura Holdings, Inc. (Japan) | 30,200 | 159,774 | ||||||
Northern Trust Corp. | 8,900 | 828,946 | ||||||
Raymond James Financial, Inc. | 5,200 | 497,484 | ||||||
S&P Global, Inc. | 10,360 | 3,405,643 | ||||||
SBI Holdings, Inc. (Japan) | 400 | 9,493 | ||||||
Schroders PLC (United Kingdom) | 432 | 19,764 | ||||||
State Street Corp. | 15,000 | 1,091,700 | ||||||
T. Rowe Price Group, Inc. | 9,800 | 1,483,622 | ||||||
UBS Group AG (Switzerland) | 23,716 | 339,954 | ||||||
|
| |||||||
38,497,610 | ||||||||
|
| |||||||
Chemicals — 0.9% | ||||||||
Air Products & Chemicals, Inc. | 9,600 | 2,622,912 | ||||||
Akzo Nobel NV (Netherlands) | 368 | 39,631 | ||||||
Albemarle Corp. | 4,500 | 663,840 | ||||||
BASF SE (Germany) | 1,083 | 85,538 | ||||||
Celanese Corp. | 5,100 | 662,694 | ||||||
CF Industries Holdings, Inc. | 8,900 | 344,519 | ||||||
Corteva, Inc. | 31,347 | 1,213,756 | ||||||
Covestro AG (Germany), 144A | 594 | 36,842 | ||||||
Dow, Inc. | 31,847 | 1,767,509 | ||||||
DuPont de Nemours, Inc. | 31,647 | 2,250,418 | ||||||
Eastman Chemical Co. | 5,700 | 571,596 | ||||||
Ecolab, Inc. | 10,800 | 2,336,688 | ||||||
Evonik Industries AG (Germany) | 414 | 13,539 | ||||||
FMC Corp. | 5,600 | 643,608 | ||||||
International Flavors & Fragrances, Inc.(a) | 4,500 | 489,780 | ||||||
LANXESS AG (Germany) | 288 | 22,170 | ||||||
Linde PLC (United Kingdom) | 22,700 | 5,981,677 | ||||||
LyondellBasell Industries NV (Class A Stock) | 11,000 | 1,008,260 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 600 | 13,792 | ||||||
Mitsui Chemicals, Inc. (Japan) | 700 | 20,608 | ||||||
Mosaic Co. (The) | 12,800 | 294,528 | ||||||
Nitto Denko Corp. (Japan) | 600 | 53,728 | ||||||
PPG Industries, Inc. | 10,200 | 1,471,044 | ||||||
Sherwin-Williams Co. (The) | 3,550 | 2,608,930 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,000 | 175,053 | ||||||
Tosoh Corp. (Japan) | 3,900 | 61,023 | ||||||
Yara International ASA (Brazil) | 340 | 14,233 | ||||||
|
| |||||||
25,467,916 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Brambles Ltd. (Australia) | 2,993 | 24,608 | ||||||
Cintas Corp. | 3,900 | 1,378,494 | ||||||
Copart, Inc.* | 8,900 | 1,132,525 | ||||||
Dai Nippon Printing Co. Ltd. (Japan) | 400 | 7,191 | ||||||
Rentokil Initial PLC (United Kingdom)* | 3,573 | 24,935 | ||||||
Republic Services, Inc. | 8,965 | 863,329 | ||||||
Rollins, Inc. | 8,600 | 336,002 | ||||||
Secom Co. Ltd. (Japan) | 800 | 73,823 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Commercial Services & Supplies (cont’d.) |
| |||||||
Waste Management, Inc. | 16,842 | $ | 1,986,177 | |||||
|
| |||||||
5,827,084 | ||||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
Arista Networks, Inc.* | 2,400 | 697,368 | ||||||
Cisco Systems, Inc. | 181,600 | 8,126,600 | ||||||
F5 Networks, Inc.* | 2,600 | 457,444 | ||||||
Juniper Networks, Inc. | 11,900 | 267,869 | ||||||
Motorola Solutions, Inc. | 7,389 | 1,256,573 | ||||||
Nokia OYJ (Finland)* | 3,538 | 13,673 | ||||||
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) | 3,783 | 45,034 | ||||||
|
| |||||||
10,864,561 | ||||||||
|
| |||||||
Construction & Engineering — 0.0% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 975 | 32,436 | ||||||
Bouygues SA (France) | 800 | 32,911 | ||||||
Jacobs Engineering Group, Inc. | 5,600 | 610,176 | ||||||
Kajima Corp. (Japan) | 800 | 10,717 | ||||||
Obayashi Corp. (Japan) | 1,200 | 10,353 | ||||||
Quanta Services, Inc. | 6,100 | 439,322 | ||||||
Skanska AB (Sweden) (Class B Stock) | 437 | 11,157 | ||||||
Taisei Corp. (Japan) | 700 | 24,084 | ||||||
|
| |||||||
1,171,156 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
HeidelbergCement AG (Germany) | 1,085 | 82,909 | ||||||
James Hardie Industries PLC, CDI* | 824 | 24,339 | ||||||
LafargeHolcim Ltd. | 4,960 | 274,890 | ||||||
Martin Marietta Materials, Inc. | 2,800 | 795,116 | ||||||
Taiheiyo Cement Corp. (Japan) | 500 | 12,499 | ||||||
Vulcan Materials Co. | 5,600 | 830,536 | ||||||
|
| |||||||
2,020,289 | ||||||||
|
| |||||||
Consumer Finance — 0.3% | ||||||||
American Express Co. | 28,200 | 3,409,662 | ||||||
Capital One Financial Corp. | 19,761 | 1,953,375 | ||||||
Discover Financial Services | 13,140 | 1,189,564 | ||||||
Synchrony Financial | 22,872 | 793,887 | ||||||
|
| |||||||
7,346,488 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% | ||||||||
Amcor PLC | 65,850 | 775,054 | ||||||
Avery Dennison Corp. | 3,800 | 589,418 | ||||||
Ball Corp. | 14,100 | 1,313,838 | ||||||
International Paper Co. | 16,573 | 824,010 | ||||||
Packaging Corp. of America | 4,200 | 579,222 | ||||||
Sealed Air Corp. | 6,700 | 306,793 | ||||||
Smurfit Kappa Group PLC (Ireland) | 476 | 22,219 | ||||||
Westrock Co. | 10,444 | 454,627 | ||||||
|
| |||||||
4,865,181 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co. | 6,500 | 652,795 | ||||||
LKQ Corp.* | 11,800 | 415,832 | ||||||
Pool Corp. | 1,900 | 707,750 | ||||||
|
| |||||||
1,776,377 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Financial Services — 0.7% |
| |||||||
Berkshire Hathaway, Inc. | 83,700 | $ | 19,407,519 | |||||
Investor AB (Sweden) | 880 | 64,608 | ||||||
M&G PLC (United Kingdom) | 86,141 | 233,108 | ||||||
|
| |||||||
19,705,235 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
AT&T, Inc. | 305,936 | 8,798,719 | ||||||
BT Group PLC | 12,300 | 22,338 | ||||||
CenturyLink, Inc.(a) | 41,379 | 403,445 | ||||||
Deutsche Telekom AG (Germany) | 6,471 | 118,855 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 5,400 | 137,981 | ||||||
Orange SA (France) | 12,550 | 149,370 | ||||||
Proximus SADP (Belgium) | 560 | 11,115 | ||||||
Swisscom AG (Switzerland) | 52 | 28,088 | ||||||
Telecom Italia SpA (Italy), RSP | 22,010 | 11,419 | ||||||
Telefonica Deutschland Holding AG (Germany) | 1,869 | 5,166 | ||||||
Verizon Communications, Inc. | 177,876 | 10,450,215 | ||||||
|
| |||||||
20,136,711 | ||||||||
|
| |||||||
Electric Utilities — 0.9% | ||||||||
Alliant Energy Corp. | 10,200 | 525,606 | ||||||
American Electric Power Co., Inc. | 21,460 | 1,786,974 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 1,200 | 14,455 | ||||||
CK Infrastructure Holdings Ltd. (Hong Kong) | 6,000 | 32,188 | ||||||
Duke Energy Corp. | 31,461 | 2,880,569 | ||||||
Edison International | 15,900 | 998,838 | ||||||
Endesa SA (Spain) | 5,844 | 159,985 | ||||||
Enel SpA (Italy) | 16,295 | 165,226 | ||||||
Entergy Corp. | 8,900 | 888,576 | ||||||
Evergy, Inc. | 9,700 | 538,447 | ||||||
Eversource Energy | 14,600 | 1,263,046 | ||||||
Exelon Corp. | 42,013 | 1,773,789 | ||||||
FirstEnergy Corp. | 22,906 | 701,153 | ||||||
Fortum OYJ (Finland) | 10,965 | 265,085 | ||||||
Iberdrola SA (Spain) | 11,469 | 163,893 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 11,700 | 110,416 | ||||||
NextEra Energy, Inc. | 83,900 | 6,472,885 | ||||||
NRG Energy, Inc. | 10,400 | 390,520 | ||||||
Pinnacle West Capital Corp. | 4,700 | 375,765 | ||||||
Power Assets Holdings Ltd. (Hong Kong) | 2,500 | 13,527 | ||||||
PPL Corp. | 32,400 | 913,680 | ||||||
Red Electrica Corp. SA (Spain) | 810 | 16,622 | ||||||
Southern Co. (The) | 44,900 | 2,758,207 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 21,800 | 179,498 | ||||||
Xcel Energy, Inc. | 22,710 | 1,514,076 | ||||||
|
| |||||||
24,903,026 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% | ||||||||
ABB Ltd. (Switzerland) | 11,420 | 323,872 | ||||||
AMETEK, Inc. | 9,800 | 1,185,212 | ||||||
Eaton Corp. PLC | 17,337 | 2,082,867 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electrical Equipment (cont’d.) |
| |||||||
Emerson Electric Co. | 25,800 | $ | 2,073,546 | |||||
Fuji Electric Co. Ltd. (Japan) | 500 | 18,011 | ||||||
Legrand SA (France) | 516 | 46,247 | ||||||
Rockwell Automation, Inc. | 5,000 | 1,254,050 | ||||||
Schneider Electric SE (France) | 2,589 | 375,835 | ||||||
|
| |||||||
7,359,640 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Amphenol Corp. (Class A Stock) | 12,800 | 1,673,856 | ||||||
CDW Corp. | 6,100 | 803,919 | ||||||
Corning, Inc. | 32,600 | 1,173,600 | ||||||
FLIR Systems, Inc. | 4,600 | 201,618 | ||||||
Hirose Electric Co. Ltd. (Japan) | 100 | 15,171 | ||||||
Ibiden Co. Ltd. (Japan) | 200 | 9,346 | ||||||
IPG Photonics Corp.* | 1,700 | 380,443 | ||||||
Keysight Technologies, Inc.* | 8,000 | 1,056,720 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 3,500 | 316,256 | ||||||
Omron Corp. (Japan) | 300 | 26,778 | ||||||
TDK Corp. (Japan) | 1,400 | 211,387 | ||||||
TE Connectivity Ltd. | 14,300 | 1,731,301 | ||||||
Vontier Corp.* | 5,700 | 190,380 | ||||||
Zebra Technologies Corp. (Class A Stock)* | 2,430 | 933,922 | ||||||
|
| |||||||
8,724,697 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Baker Hughes Co.(a) | 27,398 | 571,248 | ||||||
Halliburton Co. | 37,100 | 701,190 | ||||||
National Oilwell Varco, Inc. | 14,100 | 193,593 | ||||||
Schlumberger NV | 57,824 | 1,262,298 | ||||||
TechnipFMC PLC | 17,200 | 161,680 | ||||||
|
| |||||||
2,890,009 | ||||||||
|
| |||||||
Entertainment — 1.2% | ||||||||
Activision Blizzard, Inc. | 33,300 | 3,091,905 | ||||||
Electronic Arts, Inc. | 12,500 | 1,795,000 | ||||||
Live Nation Entertainment, Inc.*(a) | 6,000 | 440,880 | ||||||
Netflix, Inc.* | 19,010 | 10,279,277 | ||||||
Nintendo Co. Ltd. (Japan) | 600 | 382,855 | ||||||
Take-Two Interactive Software, Inc.* | 5,000 | 1,038,950 | ||||||
Vivendi SA (France) | 1,598 | 51,565 | ||||||
Walt Disney Co. (The)* | 77,782 | 14,092,543 | ||||||
|
| |||||||
31,172,975 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
Alexandria Real Estate Equities, Inc. | 5,080 | 905,358 | ||||||
American Tower Corp. | 19,160 | 4,300,654 | ||||||
AvalonBay Communities, Inc. | 6,075 | 974,612 | ||||||
Boston Properties, Inc. | 6,000 | 567,180 | ||||||
Crown Castle International Corp. | 18,200 | 2,897,258 | ||||||
Digital Realty Trust, Inc. | 11,600 | 1,618,316 | ||||||
Duke Realty Corp. | 15,100 | 603,547 | ||||||
Equinix, Inc. | 3,854 | 2,752,450 | ||||||
Equity Residential | 14,800 | 877,344 | ||||||
Essex Property Trust, Inc. | 2,850 | 676,647 | ||||||
Extra Space Storage, Inc. | 5,800 | 671,988 | ||||||
Federal Realty Investment Trust | 2,700 | 229,824 | ||||||
Gecina SA (France) | 161 | 24,927 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||
Goodman Group (Australia) | 8,642 | $ | 125,955 | |||||
Healthpeak Properties, Inc. | 21,500 | 649,945 | ||||||
Host Hotels & Resorts, Inc. | 29,682 | 434,248 | ||||||
Iron Mountain, Inc.(a) | 12,002 | 353,819 | ||||||
Japan Real Estate Investment Corp. (Japan) | 2 | 11,568 | ||||||
Japan Retail Fund Investment Corp. (Japan) | 9 | 16,393 | ||||||
Kimco Realty Corp. | 17,900 | 268,679 | ||||||
Klepierre SA (France) | 10,423 | 234,992 | ||||||
Mid-America Apartment Communities, Inc. | 4,900 | 620,781 | ||||||
Nippon Building Fund, Inc. (Japan) | 2 | 11,594 | ||||||
Orix JREIT, Inc. (Japan) | 89 | 146,998 | ||||||
Prologis, Inc. | 31,877 | 3,176,862 | ||||||
Public Storage | 6,500 | 1,501,045 | ||||||
Realty Income Corp. | 14,800 | 920,116 | ||||||
Regency Centers Corp. | 6,500 | 296,335 | ||||||
SBA Communications Corp. | 4,900 | 1,382,437 | ||||||
Simon Property Group, Inc. | 13,693 | 1,167,739 | ||||||
SL Green Realty Corp.(a) | 3,300 | 196,614 | ||||||
Stockland (Australia) | 72,605 | 235,106 | ||||||
UDR, Inc. | 11,300 | 434,259 | ||||||
Ventas, Inc. | 16,318 | 800,235 | ||||||
Vornado Realty Trust | 6,325 | 236,175 | ||||||
Welltower, Inc. | 17,800 | 1,150,236 | ||||||
Weyerhaeuser Co. | 31,418 | 1,053,446 | ||||||
|
| |||||||
32,525,682 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
Coles Group Ltd. (Australia) | 1,656 | 23,220 | ||||||
Costco Wholesale Corp. | 19,100 | 7,196,498 | ||||||
Etablissements Franz Colruyt NV (Belgium) | 848 | 50,262 | ||||||
Kesko OYJ (Finland) (Class B Stock) | 528 | 13,607 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 8,922 | 255,130 | ||||||
Kroger Co. (The) | 31,892 | 1,012,890 | ||||||
Seven & iHoldings Co.Ltd. (Japan) | 1,800 | 63,832 | ||||||
Sysco Corp. | 21,700 | 1,611,442 | ||||||
Tesco PLC (United Kingdom) | 33,957 | 107,627 | ||||||
Walgreens Boots Alliance, Inc. | 29,700 | 1,184,436 | ||||||
Walmart, Inc. | 59,600 | 8,591,340 | ||||||
Wm Morrison Supermarkets PLC (United Kingdom) | 8,409 | 20,442 | ||||||
|
| |||||||
20,130,726 | ||||||||
|
| |||||||
Food Products — 0.5% | ||||||||
Archer-Daniels-Midland Co. | 24,026 | 1,211,151 | ||||||
Campbell Soup Co.(a) | 7,900 | 381,965 | ||||||
Conagra Brands, Inc. | 20,100 | 728,826 | ||||||
Danone SA (France) | 1,215 | 79,972 | ||||||
General Mills, Inc. | 26,400 | 1,552,320 | ||||||
Hershey Co. (The) | 6,300 | 959,679 | ||||||
Hormel Foods Corp.(a) | 12,200 | 568,642 | ||||||
J.M. Smucker Co. (The) | 5,100 | 589,560 | ||||||
Kellogg Co. | 11,000 | 684,530 | ||||||
Kraft Heinz Co. (The) | 26,417 | 915,613 | ||||||
Lamb Weston Holdings, Inc. | 6,600 | 519,684 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Food Products (cont’d.) |
| |||||||
McCormick & Co., Inc. | 10,840 | $ | 1,036,304 | |||||
MEIJI Holdings Co. Ltd. (Japan) | 200 | 14,073 | ||||||
Mondelez International, Inc. (Class A Stock) | 61,653 | 3,604,851 | ||||||
Nestle SA (Switzerland) | 4,106 | 484,114 | ||||||
NH Foods Ltd. (Japan) | 1,100 | 48,459 | ||||||
Orkla ASA (Norway) | 9,937 | 100,965 | ||||||
Tate & Lyle PLC (United Kingdom) | 7,241 | 66,757 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 300 | 14,606 | ||||||
Tyson Foods, Inc. | 12,400 | 799,056 | ||||||
WH Group Ltd. (Hong Kong), 144A | 239,500 | 201,248 | ||||||
Wilmar International Ltd. (China) | 23,300 | 82,237 | ||||||
|
| |||||||
14,644,612 | ||||||||
|
| |||||||
Gas Utilities — 0.0% | ||||||||
Atmos Energy Corp. | 5,300 | 505,779 | ||||||
Enagas SA (Spain) | 457 | 10,025 | ||||||
Naturgy Energy Group SA (Spain) | 564 | 13,077 | ||||||
Snam SpA (Italy) | 6,780 | 38,270 | ||||||
|
| |||||||
567,151 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.9% |
| |||||||
Abbott Laboratories | 76,200 | 8,343,138 | ||||||
ABIOMED, Inc.* | 2,060 | 667,852 | ||||||
Align Technology, Inc.* | 3,100 | 1,656,578 | ||||||
Baxter International, Inc. | 21,900 | 1,757,256 | ||||||
Becton, Dickinson & Co. | 12,510 | 3,130,252 | ||||||
Boston Scientific Corp.* | 60,267 | 2,166,599 | ||||||
Cooper Cos., Inc. (The) | 2,240 | 813,837 | ||||||
Danaher Corp. | 27,200 | 6,042,208 | ||||||
Dentsply Sirona, Inc. | 9,600 | 502,656 | ||||||
DexCom, Inc.* | 4,200 | 1,552,824 | ||||||
DiaSorin SpA (Italy) | 48 | 9,990 | ||||||
Edwards Lifesciences Corp.* | 26,900 | 2,454,087 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) | 1,035 | 24,531 | ||||||
Hologic, Inc.* | 10,800 | 786,564 | ||||||
Hoya Corp. (Japan) | 700 | 96,933 | ||||||
IDEXX Laboratories, Inc.* | 3,700 | 1,849,519 | ||||||
Intuitive Surgical, Inc.* | 5,120 | 4,188,672 | ||||||
Medtronic PLC | 58,090 | 6,804,663 | ||||||
ResMed, Inc. | 6,400 | 1,360,384 | ||||||
Sonova Holding AG (Switzerland)* | 106 | 27,615 | ||||||
STERIS PLC | 3,850 | 729,729 | ||||||
Stryker Corp. | 14,100 | 3,455,064 | ||||||
Teleflex, Inc. | 2,000 | 823,140 | ||||||
Varian Medical Systems, Inc.* | 4,100 | 717,541 | ||||||
West Pharmaceutical Services, Inc. | 3,200 | 906,592 | ||||||
Zimmer Biomet Holdings, Inc. | 9,000 | 1,386,810 | ||||||
|
| |||||||
52,255,034 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
Alfresa Holdings Corp. (Japan) | 700 | 12,812 | ||||||
AmerisourceBergen Corp. | 6,300 | 615,888 | ||||||
Anthem, Inc. | 10,700 | 3,435,663 | ||||||
Cardinal Health, Inc. | 12,050 | 645,398 | ||||||
Centene Corp.* | 25,050 | 1,503,751 | ||||||
Cigna Corp. | 15,600 | 3,247,608 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services (cont’d.) |
| |||||||
CVS Health Corp. | 56,483 | $ | 3,857,789 | |||||
DaVita, Inc.*(a) | 3,300 | 387,420 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 2,017 | 170,893 | ||||||
Fresenius SE & Co. KGaA (Germany) | 5,603 | 263,713 | ||||||
HCA Healthcare, Inc. | 11,600 | 1,907,736 | ||||||
Henry Schein, Inc.* | 6,000 | 401,160 | ||||||
Humana, Inc. | 5,750 | 2,359,052 | ||||||
Laboratory Corp. of America Holdings* | 4,200 | 854,910 | ||||||
McKesson Corp. | 7,030 | 1,222,658 | ||||||
Medipal Holdings Corp. (Japan) | 10,800 | 202,712 | ||||||
Quest Diagnostics, Inc. | 6,000 | 715,020 | ||||||
Sonic Healthcare Ltd. (Australia) | 839 | 20,795 | ||||||
UnitedHealth Group, Inc. | 40,860 | 14,328,785 | ||||||
Universal Health Services, Inc. (Class B Stock) | 3,400 | 467,500 | ||||||
|
| |||||||
36,621,263 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
Cerner Corp. | 13,100 | 1,028,088 | ||||||
M3, Inc. (Japan) | 400 | 37,828 | ||||||
|
| |||||||
1,065,916 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
Carnival Corp. | 25,900 | 560,994 | ||||||
Chipotle Mexican Grill, Inc.* | 1,270 | 1,761,122 | ||||||
Darden Restaurants, Inc. | 5,450 | 649,204 | ||||||
Domino’s Pizza, Inc. | 1,800 | 690,228 | ||||||
Evolution Gaming Group AB (Sweden), 144A | 1,181 | 120,442 | ||||||
Hilton Worldwide Holdings, Inc. | 11,800 | 1,312,868 | ||||||
La Francaise des Jeux SAEM (France), 144A | 4,316 | 198,725 | ||||||
Las Vegas Sands Corp. | 14,200 | 846,320 | ||||||
Marriott International, Inc. (Class A Stock) | 11,528 | 1,520,774 | ||||||
McDonald’s Corp. | 32,200 | 6,909,476 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | 1,500 | 72,745 | ||||||
MGM Resorts International | 15,900 | 501,009 | ||||||
Norwegian Cruise Line Holdings Ltd.*(a) | 11,600 | 294,988 | ||||||
Royal Caribbean Cruises Ltd. | 7,600 | 567,644 | ||||||
Starbucks Corp. | 50,500 | 5,402,490 | ||||||
Tabcorp Holdings Ltd. (Australia) | 7,236 | 21,854 | ||||||
Wynn Resorts Ltd. | 4,000 | 451,320 | ||||||
Yum! Brands, Inc. | 13,000 | 1,411,280 | ||||||
|
| |||||||
23,293,483 | ||||||||
|
| |||||||
Household Durables — 0.2% | ||||||||
Barratt Developments PLC (United Kingdom)* | 1,968 | 18,125 | ||||||
Berkeley Group Holdings PLC (United Kingdom) | 2,970 | 192,279 | ||||||
D.R. Horton, Inc. | 14,200 | 978,664 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 800 | 18,617 | ||||||
Garmin Ltd. | 6,500 | 777,790 |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Durables (cont’d.) |
| |||||||
Husqvarna AB (Sweden) (Class B Stock) | 19,351 | $ | 251,353 | |||||
Iida Group Holdings Co. Ltd. (Japan) | 5,800 | 117,232 | ||||||
Leggett & Platt, Inc. | 5,400 | 239,220 | ||||||
Lennar Corp. (Class A Stock) | 11,700 | 891,891 | ||||||
Mohawk Industries, Inc.* | 2,540 | 358,013 | ||||||
Newell Brands, Inc. | 15,914 | 337,854 | ||||||
NVR, Inc.* | 160 | 652,778 | ||||||
Persimmon PLC (United Kingdom) | 2,716 | 103,019 | ||||||
PulteGroup, Inc. | 11,422 | 492,517 | ||||||
Rinnai Corp. (Japan) | 100 | 11,624 | ||||||
Sekisui House Ltd. (Japan) | 1,100 | 22,388 | ||||||
Sony Corp. (Japan) | 3,800 | 382,231 | ||||||
Taylor Wimpey PLC (United Kingdom)* | 7,050 | 16,058 | ||||||
Whirlpool Corp.(a) | 2,726 | 492,016 | ||||||
|
| |||||||
6,353,669 | ||||||||
|
| |||||||
Household Products — 0.8% | ||||||||
Church & Dwight Co., Inc. | 10,500 | 915,915 | ||||||
Clorox Co. (The)(a) | 5,400 | 1,090,368 | ||||||
Colgate-Palmolive Co. | 37,000 | 3,163,870 | ||||||
Essity AB (Sweden) (Class B Stock) | 1,153 | 37,123 | ||||||
Henkel AG & Co. KGaA (Germany) | 198 | 19,100 | ||||||
Kimberly-Clark Corp. | 14,800 | 1,995,484 | ||||||
Procter & Gamble Co. (The) | 106,625 | 14,835,802 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 1,407 | 126,207 | ||||||
Unicharm Corp. (Japan) | 700 | 33,195 | ||||||
|
| |||||||
22,217,064 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.0% |
| |||||||
AES Corp. (The) | 26,400 | 620,400 | ||||||
Electric Power Development Co. Ltd. (Japan) | 4,500 | 62,090 | ||||||
|
| |||||||
682,490 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.6% |
| |||||||
3M Co. | 24,900 | 4,352,271 | ||||||
CK Hutchison Holdings Ltd. (United Kingdom) | 5,000 | 34,876 | ||||||
DCC PLC (United Kingdom) | 628 | 44,487 | ||||||
General Electric Co. | 373,330 | 4,031,964 | ||||||
Honeywell International, Inc. | 30,212 | 6,426,092 | ||||||
Roper Technologies, Inc. | 4,520 | 1,948,527 | ||||||
Siemens AG (Germany) | 173 | 25,293 | ||||||
|
| |||||||
16,863,510 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
Admiral Group PLC (United Kingdom) | 350 | 13,906 | ||||||
Aflac, Inc. | 27,400 | 1,218,478 | ||||||
Ageas SA/NV (Belgium) | 4,320 | 230,445 | ||||||
AIA Group Ltd. (Hong Kong) | 7,000 | 86,200 | ||||||
Allianz SE (Germany) | 809 | 198,592 | ||||||
Allstate Corp. (The) | 13,000 | 1,429,090 | ||||||
American International Group, Inc. | 36,539 | 1,383,367 | ||||||
Aon PLC (Class A Stock)(a) | 10,000 | 2,112,700 | ||||||
Arthur J. Gallagher & Co. | 8,300 | 1,026,793 | ||||||
Assicurazioni Generali SpA (Italy) | 5,221 | 91,161 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Insurance (cont’d.) |
| |||||||
Assurant, Inc. | 2,500 | $ | 340,550 | |||||
Aviva PLC (United Kingdom) | 28,010 | 125,071 | ||||||
AXA SA (France) | 1,450 | 34,967 | ||||||
Chubb Ltd. | 19,486 | 2,999,285 | ||||||
Cincinnati Financial Corp. | 6,437 | 562,401 | ||||||
CNP Assurances (France)* | 1,739 | 28,292 | ||||||
Everest Re Group Ltd. | 1,840 | 430,726 | ||||||
Gjensidige Forsikring ASA (Norway) | 705 | 15,853 | ||||||
Globe Life, Inc. | 4,325 | 410,702 | ||||||
Hartford Financial Services Group, Inc. (The) | 15,000 | 734,700 | ||||||
Japan Post Holdings Co. Ltd. (Japan) | 1,100 | 8,571 | ||||||
Japan Post Insurance Co. Ltd. (Japan) | 9,100 | 186,718 | ||||||
Lincoln National Corp. | 6,818 | 343,014 | ||||||
Loews Corp. | 9,775 | 440,071 | ||||||
Marsh & McLennan Cos., Inc. | 21,700 | 2,538,900 | ||||||
MetLife, Inc. | 32,150 | 1,509,443 | ||||||
NN Group NV (Netherlands) | 6,032 | 262,997 | ||||||
Poste Italiane SpA (Italy), 144A | 1,854 | 18,902 | ||||||
Principal Financial Group, Inc. | 10,900 | 540,749 | ||||||
Progressive Corp. (The) | 25,300 | 2,501,664 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 905 | 38,302 | ||||||
Sompo Holdings, Inc. (Japan) | 600 | 24,266 | ||||||
Swiss Life Holding AG (Switzerland) | 178 | 83,286 | ||||||
T&D Holdings, Inc. (Japan) | 2,000 | 23,643 | ||||||
Travelers Cos., Inc. (The) | 10,935 | 1,534,946 | ||||||
Tryg A/S (Denmark) | 434 | 13,605 | ||||||
Unum Group | 6,610 | 151,633 | ||||||
W.R. Berkley Corp. | 5,700 | 378,594 | ||||||
Willis Towers Watson PLC | 5,640 | 1,188,235 | ||||||
Zurich Insurance Group AG (Switzerland) | 289 | 122,527 | ||||||
|
| |||||||
25,383,345 | ||||||||
|
| |||||||
Interactive Media & Services — 2.8% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 12,990 | 22,766,793 | ||||||
Alphabet, Inc. (Class C Stock)* | 12,503 | 21,903,756 | ||||||
Facebook, Inc. | 103,330 | 28,225,623 | ||||||
REA Group Ltd. (Australia) | 100 | 11,546 | ||||||
SEEK Ltd. (Australia) | 651 | 14,395 | ||||||
Twitter, Inc.* | 33,900 | 1,835,685 | ||||||
|
| |||||||
74,757,798 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 2.5% |
| |||||||
Amazon.com, Inc.* | 18,330 | 59,699,527 | ||||||
Booking Holdings, Inc.* | 1,820 | 4,053,631 | ||||||
eBay, Inc. | 27,700 | 1,391,925 | ||||||
Etsy, Inc.* | 4,900 | 871,759 | ||||||
Expedia Group, Inc. | 6,150 | 814,260 | ||||||
HelloFresh SE (Germany)* | 136 | 10,526 | ||||||
Prosus NV (China)* | 985 | 107,286 | ||||||
Zalando SE (Germany), 144A* | 282 | 31,803 | ||||||
ZOZO, Inc. (Japan) | 400 | 9,873 | ||||||
|
| |||||||
66,990,590 | ||||||||
|
| |||||||
IT Services — 2.8% | ||||||||
Accenture PLC (Class A Stock) | 27,300 | 7,131,033 | ||||||
Adyen NV (Netherlands), 144A* | 37 | 86,331 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (cont’d.) | ||||||||
Afterpay Ltd. (Australia)* | 675 | $ | 62,059 | |||||
Akamai Technologies, | 7,000 | 734,930 | ||||||
Atos SE (France)* | 335 | 30,401 | ||||||
Automatic Data Processing, Inc. | 18,600 | 3,277,320 | ||||||
Bechtle AG (Germany) | 126 | 27,576 | ||||||
Broadridge Financial Solutions, Inc. | 5,000 | 766,000 | ||||||
Capgemini SE (France) | 319 | 49,675 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 22,700 | 1,860,265 | ||||||
Computershare Ltd. (Australia) | 969 | 10,948 | ||||||
DXC Technology Co. | 10,928 | 281,396 | ||||||
Fidelity National Information Services, Inc. | 26,800 | 3,791,128 | ||||||
Fiserv, Inc.* | 24,000 | 2,732,640 | ||||||
FleetCor Technologies, Inc.* | 3,600 | 982,188 | ||||||
Fujitsu Ltd. (Japan) | 1,900 | 274,934 | ||||||
Gartner, Inc.* | 3,900 | 624,741 | ||||||
Global Payments, Inc. | 12,977 | 2,795,505 | ||||||
GMO Payment Gateway, Inc. (Japan) | 100 | 13,413 | ||||||
International Business Machines Corp. | 38,500 | 4,846,380 | ||||||
Jack Henry & Associates, Inc. | 3,500 | 566,965 | ||||||
Leidos Holdings, Inc. | 5,700 | 599,184 | ||||||
Mastercard, Inc. (Class A Stock) | 37,800 | 13,492,332 | ||||||
NEC Corp. (Japan) | 500 | 26,838 | ||||||
Nomura Research Institute Ltd. (Japan) | 2,100 | 75,150 | ||||||
Obic Co. Ltd. (Japan) | 100 | 20,100 | ||||||
Paychex, Inc. | 13,800 | 1,285,884 | ||||||
PayPal Holdings, Inc.* | 50,200 | 11,756,840 | ||||||
VeriSign, Inc.* | 4,300 | 930,520 | ||||||
Visa, Inc. (Class A Stock)(a) | 72,800 | 15,923,544 | ||||||
Western Union Co. (The) | 17,610 | 386,364 | ||||||
|
| |||||||
75,442,584 | ||||||||
|
| |||||||
Leisure Products — 0.0% | ||||||||
Hasbro, Inc. | 5,700 | 533,178 | ||||||
Shimano, Inc. (Japan) | 300 | 70,090 | ||||||
|
| |||||||
603,268 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 13,314 | 1,577,576 | ||||||
Bio-Rad Laboratories, Inc. (Class A Stock)* | 1,000 | 582,940 | ||||||
Illumina, Inc.* | 6,300 | 2,331,000 | ||||||
IQVIA Holdings, Inc.* | 8,300 | 1,487,111 | ||||||
Mettler-Toledo International, Inc.* | 1,100 | 1,253,648 | ||||||
PerkinElmer, Inc. | 4,900 | 703,150 | ||||||
Sartorius Stedim Biotech (France) | 55 | 19,661 | ||||||
Thermo Fisher Scientific, Inc. | 17,040 | 7,936,891 | ||||||
Waters Corp.* | 2,800 | 692,776 | ||||||
|
| |||||||
16,584,753 | ||||||||
|
| |||||||
Machinery — 0.9% | ||||||||
Amada Co. Ltd. (Japan) | 1,200 | 13,186 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 754 | 33,677 | ||||||
Caterpillar, Inc. | 23,400 | 4,259,268 | ||||||
Cummins, Inc. | 6,400 | 1,453,440 | ||||||
Deere & Co. | 13,580 | 3,653,699 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (cont’d.) | ||||||||
Dover Corp. | 6,400 | $ | 808,000 | |||||
Epiroc AB (Sweden) (Class A Stock) | 7,936 | 143,576 | ||||||
Epiroc AB (Sweden) (Class B Stock) | 1,360 | 22,882 | ||||||
FANUC Corp. (Japan) | 400 | 98,703 | ||||||
Flowserve Corp. | 5,500 | 202,675 | ||||||
Fortive Corp. | 14,250 | 1,009,185 | ||||||
GEA Group AG (Germany) | 561 | 20,142 | ||||||
IDEX Corp. | 3,210 | 639,432 | ||||||
Illinois Tool Works, Inc. | 12,500 | 2,548,500 | ||||||
Ingersoll Rand, Inc.* | 14,600 | 665,176 | ||||||
Knorr-Bremse AG (Germany) | 168 | 22,968 | ||||||
Kone OYJ (Finland) (Class B Stock) | 1,346 | 109,328 | ||||||
Kubota Corp. (Japan) | 1,900 | 41,499 | ||||||
Kurita Water Industries Ltd. (Japan) | 1,100 | 42,109 | ||||||
Makita Corp. (Japan) | 400 | 20,041 | ||||||
MINEBEA MITSUMI, Inc. (Japan) | 700 | 13,904 | ||||||
Nabtesco Corp. (Japan) | 400 | 17,582 | ||||||
Otis Worldwide Corp. | 17,601 | 1,188,948 | ||||||
PACCAR, Inc. | 14,943 | 1,289,282 | ||||||
Parker-Hannifin Corp. | 5,565 | 1,515,962 | ||||||
Pentair PLC | 6,577 | 349,173 | ||||||
Schindler Holding AG (Switzerland) | 71 | 19,371 | ||||||
SKF AB (Sweden) (Class B Stock) | 750 | 19,491 | ||||||
SMC Corp. (Japan) | 100 | 61,087 | ||||||
Snap-on, Inc. | 2,400 | 410,736 | ||||||
Spirax-Sarco Engineering PLC (United Kingdom) | 141 | 21,860 | ||||||
Stanley Black & Decker, Inc. | 6,897 | 1,231,528 | ||||||
Techtronic Industries Co. Ltd. (Hong Kong) | 12,000 | 171,835 | ||||||
Volvo AB (Sweden) (Class B Stock)* | 2,897 | 68,271 | ||||||
Westinghouse Air Brake Technologies Corp. | 7,951 | 582,013 | ||||||
Xylem, Inc. | 7,800 | 793,962 | ||||||
|
| |||||||
23,562,491 | ||||||||
|
| |||||||
Marine — 0.0% | ||||||||
AP Moller - Maersk A/S (Denmark) (Class A Stock) | 6 | 12,469 | ||||||
AP Moller - Maersk A/S (Denmark) (Class B Stock) | 44 | 98,578 | ||||||
Kuehne + Nagel International AG (Switzerland) | 102 | 23,444 | ||||||
|
| |||||||
134,491 | ||||||||
|
| |||||||
Media — 0.7% | ||||||||
Charter Communications, Inc. (Class A Stock)* | 6,340 | 4,194,227 | ||||||
Comcast Corp. (Class A Stock) | 195,780 | 10,258,872 | ||||||
Discovery, Inc. (Class A | 6,000 | 180,540 | ||||||
Discovery, Inc. (Class C | 11,300 | 295,947 | ||||||
DISH Network Corp. (Class A | 9,017 | 291,610 | ||||||
Fox Corp. (Class A Stock) | 14,200 | 413,504 | ||||||
Fox Corp. (Class B Stock) | 6,633 | 191,561 | ||||||
Interpublic Group of Cos., Inc. (The) | 16,431 | 386,457 | ||||||
News Corp. (Class A Stock) | 16,175 | 290,665 | ||||||
News Corp. (Class B Stock) | 4,800 | 85,296 | ||||||
Omnicom Group, Inc. | 9,300 | 580,041 | ||||||
Publicis Groupe SA (France) | 420 | 21,010 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Media (cont’d.) | ||||||||
ViacomCBS, Inc. (Class B Stock)(a) | 23,830 | $ | 887,906 | |||||
WPP PLC (United Kingdom) | 8,318 | 90,735 | ||||||
|
| |||||||
18,168,371 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
Anglo American PLC | 2,413 | 80,368 | ||||||
Antofagasta PLC (Chile) | 750 | 14,739 | ||||||
ArcelorMittal SA (Luxembourg)* | 1,355 | 31,720 | ||||||
BHP Group Ltd. (Australia) | 5,616 | 183,529 | ||||||
BHP Group PLC (Australia) | 11,455 | 301,927 | ||||||
BlueScope Steel Ltd. (Australia) | 987 | 13,279 | ||||||
Boliden AB (Sweden) | 2,553 | 90,812 | ||||||
Fortescue Metals Group Ltd. (Australia) | 17,179 | 311,541 | ||||||
Freeport-McMoRan, Inc. | 60,888 | 1,584,306 | ||||||
Newcrest Mining Ltd. (Australia) | 1,513 | 29,957 | ||||||
Newmont Corp. | 34,700 | 2,078,183 | ||||||
Norsk Hydro ASA (Norway) | 2,565 | 11,928 | ||||||
Nucor Corp. | 12,900 | 686,151 | ||||||
Rio Tinto Ltd. (Australia) | 705 | 62,177 | ||||||
Rio Tinto PLC (Australia) | 5,305 | 397,929 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 400 | 17,850 | ||||||
|
| |||||||
5,896,396 | ||||||||
|
| |||||||
Multiline Retail — 0.3% | ||||||||
Dollar General Corp. | 10,500 | 2,208,150 | ||||||
Dollar Tree, Inc.* | 10,265 | 1,109,031 | ||||||
Next PLC (United Kingdom)* | 246 | 23,911 | ||||||
Target Corp. | 21,500 | 3,795,395 | ||||||
Wesfarmers Ltd. (Australia) | 5,196 | 202,416 | ||||||
|
| |||||||
7,338,903 | ||||||||
|
| |||||||
Multi-Utilities — 0.4% | ||||||||
AGL Energy Ltd. (Australia) | 2,317 | 21,368 | ||||||
Ameren Corp. | 10,700 | 835,242 | ||||||
CenterPoint Energy, Inc. | 22,500 | 486,900 | ||||||
CMS Energy Corp. | 12,300 | 750,423 | ||||||
Consolidated Edison, Inc. | 14,300 | 1,033,461 | ||||||
Dominion Energy, Inc. | 35,015 | 2,633,128 | ||||||
DTE Energy Co. | 8,300 | 1,007,703 | ||||||
NiSource, Inc. | 15,200 | 348,688 | ||||||
Public Service Enterprise Group, Inc. | 21,500 | 1,253,450 | ||||||
Sempra Energy | 12,519 | 1,595,046 | ||||||
WEC Energy Group, Inc. | 13,613 | 1,252,804 | ||||||
|
| |||||||
11,218,213 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.1% |
| |||||||
Apache Corp. | 13,914 | 197,440 | ||||||
Cabot Oil & Gas Corp. | 17,000 | 276,760 | ||||||
Chevron Corp. | 82,522 | 6,968,983 | ||||||
Concho Resources, Inc. | 7,700 | 449,295 | ||||||
ConocoPhillips | 45,077 | 1,802,629 | ||||||
Devon Energy Corp. | 13,500 | 213,435 | ||||||
Diamondback Energy, Inc. | 6,800 | 329,120 | ||||||
ENEOS Holdings, Inc. (Japan) | 10,800 | 38,692 | ||||||
EOG Resources, Inc. | 24,800 | 1,236,776 | ||||||
Equinor ASA (Norway) | 3,481 | 58,598 | ||||||
Exxon Mobil Corp. | 181,299 | 7,473,145 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (cont’d.) |
| |||||||
Hess Corp. | 11,300 | $ | 596,527 | |||||
HollyFrontier Corp. | 5,400 | 139,590 | ||||||
Inpex Corp. (Japan) | 1,900 | 10,258 | ||||||
Kinder Morgan, Inc. | 81,898 | 1,119,546 | ||||||
Koninklijke Vopak NV (Netherlands) | 256 | 13,508 | ||||||
Lundin Energy AB (Sweden) | 5,203 | 140,955 | ||||||
Marathon Oil Corp. | 28,782 | 191,976 | ||||||
Marathon Petroleum Corp. | 27,619 | 1,142,322 | ||||||
Neste OYJ (Finland) | 1,415 | 102,457 | ||||||
Occidental Petroleum Corp. | 33,704 | 583,416 | ||||||
OMV AG (Austria) | 6,338 | 256,067 | ||||||
ONEOK, Inc. | 17,500 | 671,650 | ||||||
Origin Energy Ltd. (Australia) | 3,423 | 12,564 | ||||||
Phillips 66 | 18,638 | 1,303,542 | ||||||
Pioneer Natural Resources Co. | 6,950 | 791,535 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 7,908 | 139,747 | ||||||
Santos Ltd. (Australia) | 3,381 | 16,398 | ||||||
TOTAL SE (France) | 4,821 | 208,014 | ||||||
Valero Energy Corp. | 17,500 | 989,975 | ||||||
Washington H Soul Pattinson & Co. Ltd. (Australia) | 3,510 | 81,629 | ||||||
Williams Cos., Inc. (The) | 50,300 | 1,008,515 | ||||||
|
| |||||||
28,565,064 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% |
| |||||||
Mondi PLC (United Kingdom) | 938 | 22,148 | ||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 9,800 | 2,608,662 | ||||||
L’Oreal SA (France) | 351 | 133,485 | ||||||
Unilever PLC (United Kingdom) | 7,451 | 448,832 | ||||||
|
| |||||||
3,190,979 | ||||||||
|
| |||||||
Pharmaceuticals — 2.1% | ||||||||
Astellas Pharma, Inc. (Japan) | 3,400 | 52,529 | ||||||
AstraZeneca PLC (United Kingdom) | 825 | 83,497 | ||||||
Bayer AG (Germany) | 832 | 49,174 | ||||||
Bristol-Myers Squibb Co. | 97,370 | 6,039,861 | ||||||
Catalent, Inc.* | 7,000 | 728,490 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 3,300 | 176,336 | ||||||
Eli Lilly & Co. | 34,300 | 5,791,212 | ||||||
GlaxoSmithKline PLC | 20,929 | 384,894 | ||||||
Hikma Pharmaceuticals PLC (Jordan) | 512 | 17,668 | ||||||
Johnson & Johnson | 113,158 | 17,808,806 | ||||||
Merck & Co., Inc. | 108,533 | 8,877,999 | ||||||
Novartis AG (Switzerland) | 5,936 | 561,512 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 6,084 | 422,424 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 1,400 | 42,190 | ||||||
Orion OYJ (Finland) (Class B Stock) | 2,255 | 103,530 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 3,300 | 141,280 | ||||||
Perrigo Co. PLC | 5,100 | 228,072 | ||||||
Pfizer, Inc. | 238,870 | 8,792,805 | ||||||
Roche Holding AG (Switzerland) | 1,399 | 489,662 | ||||||
Sanofi (France) | 4,258 | 411,902 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Pharmaceuticals (cont’d.) | ||||||||
Shionogi & Co. Ltd. (Japan) | 500 | $ | 27,341 | |||||
Viatris, Inc.* | 49,686 | 931,116 | ||||||
Zoetis, Inc. | 20,500 | 3,392,750 | ||||||
|
| |||||||
55,555,050 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
Adecco Group AG (Switzerland) | 1,620 | 108,705 | ||||||
Equifax, Inc. | 5,200 | 1,002,768 | ||||||
Experian PLC | 5,427 | 206,169 | ||||||
IHS Markit Ltd. | 16,100 | 1,446,263 | ||||||
Nielsen Holdings PLC | 13,200 | 275,484 | ||||||
Nihon M&A Center, Inc. (Japan) | 300 | 20,100 | ||||||
Persol Holdings Co. Ltd. (Japan) | 600 | 10,832 | ||||||
Randstad NV (Netherlands)* | 414 | 27,149 | ||||||
Robert Half International, Inc. | 4,700 | 293,656 | ||||||
Teleperformance (France) | 90 | 30,059 | ||||||
Verisk Analytics, Inc. | 7,000 | 1,453,130 | ||||||
|
| |||||||
4,874,315 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% |
| |||||||
Aroundtown SA (Germany) | 3,861 | 28,995 | ||||||
CBRE Group, Inc. (Class A Stock)* | 14,400 | 903,168 | ||||||
CK Asset Holdings Ltd. | 4,500 | 23,085 | ||||||
Daito Trust Construction Co. Ltd. (Japan) | 100 | 9,348 | ||||||
Deutsche Wohnen SE (Germany) | 665 | 35,597 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 6,000 | 23,439 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 2,300 | 36,883 | ||||||
Sino Land Co. Ltd. | 4,000 | 5,202 | ||||||
Sumitomo Realty & Development Co. Ltd. (Japan) | 600 | 18,469 | ||||||
Swire Properties Ltd. | 4,200 | 12,228 | ||||||
Vonovia SE (Germany) | 605 | 44,309 | ||||||
|
| |||||||
1,140,723 | ||||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
CSX Corp. | 33,000 | 2,994,750 | ||||||
J.B. Hunt Transport Services, Inc. | 3,600 | 491,940 | ||||||
Kansas City Southern | 4,000 | 816,520 | ||||||
Norfolk Southern Corp. | 11,100 | 2,637,471 | ||||||
Old Dominion Freight Line, Inc. | 4,265 | 832,443 | ||||||
Union Pacific Corp. | 28,960 | 6,030,051 | ||||||
|
| |||||||
13,803,175 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.6% |
| |||||||
Advanced Micro Devices, Inc.* | 50,700 | 4,649,697 | ||||||
Analog Devices, Inc. | 15,958 | 2,357,475 | ||||||
Applied Materials, Inc. | 39,400 | 3,400,220 | ||||||
ASML Holding NV (Netherlands) | 382 | 187,748 | ||||||
Broadcom, Inc. | 17,560 | 7,688,646 | ||||||
Intel Corp. | 176,100 | 8,773,302 | ||||||
KLA Corp. | 6,750 | 1,747,643 | ||||||
Lam Research Corp. | 6,370 | 3,008,360 | ||||||
Maxim Integrated Products, Inc. | 11,500 | 1,019,475 | ||||||
Microchip Technology, Inc. | 11,100 | 1,533,021 | ||||||
Micron Technology, Inc.* | 48,000 | 3,608,640 | ||||||
NVIDIA Corp. | 26,690 | 13,937,518 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (cont’d.) |
| |||||||
Qorvo, Inc.* | 5,007 | $ | 832,514 | |||||
QUALCOMM, Inc. | 48,600 | 7,403,724 | ||||||
Renesas Electronics Corp. (Japan)* | 1,500 | 15,794 | ||||||
Skyworks Solutions, Inc. | 7,200 | 1,100,736 | ||||||
STMicroelectronics NV (Switzerland) | 5,776 | 214,231 | ||||||
Teradyne, Inc. | 7,400 | 887,186 | ||||||
Texas Instruments, Inc. | 39,600 | 6,499,548 | ||||||
Tokyo Electron Ltd. (Japan) | 900 | 336,124 | ||||||
Xilinx, Inc. | 10,500 | 1,488,585 | ||||||
|
| |||||||
70,690,187 | ||||||||
|
| |||||||
Software — 4.3% | ||||||||
Adobe, Inc.* | 20,770 | 10,387,492 | ||||||
ANSYS, Inc.* | 3,700 | 1,346,060 | ||||||
Autodesk, Inc.* | 9,500 | 2,900,730 | ||||||
Cadence Design Systems, Inc.* | 12,100 | 1,650,803 | ||||||
Check Point Software Technologies Ltd. | ||||||||
(Israel)*(a) | 1,800 | 239,238 | ||||||
Citrix Systems, Inc. | 5,400 | 702,540 | ||||||
Fortinet, Inc.* | 5,700 | 846,621 | ||||||
Intuit, Inc. | 11,380 | 4,322,693 | ||||||
Microsoft Corp. | 325,020 | 72,290,949 | ||||||
NortonLifeLock, Inc. | 24,178 | 502,419 | ||||||
Oracle Corp. | 81,500 | 5,272,235 | ||||||
Paycom Software, Inc.* | 2,220 | 1,003,995 | ||||||
salesforce.com, Inc.* | 39,350 | 8,756,556 | ||||||
SAP SE (Germany) | 536 | 71,081 | ||||||
ServiceNow, Inc.* | 8,370 | 4,607,099 | ||||||
Synopsys, Inc.* | 6,600 | 1,710,984 | ||||||
Trend Micro, Inc. (Japan)* | 300 | 17,284 | ||||||
Tyler Technologies, Inc.* | 1,750 | 763,910 | ||||||
Xero Ltd. (New Zealand)* | 235 | 26,777 | ||||||
|
| |||||||
117,419,466 | ||||||||
|
| |||||||
Specialty Retail — 1.1% | ||||||||
Advance Auto Parts, Inc. | 3,100 | 488,281 | ||||||
AutoZone, Inc.* | 1,000 | 1,185,440 | ||||||
Best Buy Co., Inc. | 9,925 | 990,416 | ||||||
CarMax, Inc.*(a) | 6,900 | 651,774 | ||||||
Gap, Inc. (The) | 7,000 | 141,330 | ||||||
Home Depot, Inc. (The) | 46,350 | 12,311,487 | ||||||
Industria de Diseno Textil SA (Spain) | 249 | 7,948 | ||||||
JD Sports Fashion PLC | 20,566 | 241,874 | ||||||
Kingfisher PLC | 22,998 | 85,040 | ||||||
L Brands, Inc. | 9,106 | 338,652 | ||||||
Lowe’s Cos., Inc. | 31,500 | 5,056,065 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 300 | 62,872 | ||||||
O’Reilly Automotive, Inc.* | 3,200 | 1,448,224 | ||||||
Ross Stores, Inc. | 15,400 | 1,891,274 | ||||||
Shimamura Co. Ltd. (Japan) | 100 | 10,505 | ||||||
Tiffany & Co. | 4,720 | 620,444 | ||||||
TJX Cos., Inc. (The) | 51,800 | 3,537,422 | ||||||
Tractor Supply Co. | 4,900 | 688,842 | ||||||
Ulta Beauty, Inc.* | 2,400 | 689,184 | ||||||
Yamada Holdings Co. Ltd. (Japan) | 2,300 | 12,236 | ||||||
|
| |||||||
30,459,310 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals — 3.5% |
| |||||||
Apple, Inc. | 685,940 | $ | 91,017,379 | |||||
Brother Industries Ltd. (Japan) | 400 | 8,239 | ||||||
FUJIFILM Holdings Corp. (Japan) | 600 | 31,603 | ||||||
Hewlett Packard Enterprise Co. | 51,148 | 606,104 | ||||||
HP, Inc. | 57,148 | 1,405,269 | ||||||
Logitech International SA (Switzerland) | 2,573 | 252,579 | ||||||
NetApp, Inc. | 9,900 | 655,776 | ||||||
Seagate Technology PLC(a) | 9,200 | 571,872 | ||||||
Western Digital Corp. | 12,103 | 670,385 | ||||||
Xerox Holdings Corp. | 5,490 | 127,313 | ||||||
|
| |||||||
95,346,519 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
Hanesbrands, Inc. | 12,500 | 182,250 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 414 | 258,448 | ||||||
NIKE, Inc. (Class B Stock) | 53,800 | 7,611,086 | ||||||
Pandora A/S (Denmark) | 319 | 35,853 | ||||||
PVH Corp. | 2,800 | 262,892 | ||||||
Ralph Lauren Corp. | 1,800 | 186,732 | ||||||
Swatch Group AG (The) (Switzerland) | 77 | 4,074 | ||||||
Tapestry, Inc. | 10,900 | 338,772 | ||||||
Under Armour, Inc. (Class A Stock)* | 7,500 | 128,775 | ||||||
Under Armour, Inc. (Class C Stock)* | 7,374 | 109,725 | ||||||
VF Corp. | 13,800 | 1,178,658 | ||||||
|
| |||||||
10,297,265 | ||||||||
|
| |||||||
Tobacco — 0.4% | ||||||||
Altria Group, Inc. | 79,000 | 3,239,000 | ||||||
British American Tobacco PLC (United Kingdom) | 10,470 | 389,403 | ||||||
Imperial Brands PLC (United Kingdom) | 4,124 | 87,044 | ||||||
Japan Tobacco, Inc. (Japan) | 12,300 | 250,551 | ||||||
Philip Morris International, Inc. | 66,700 | 5,522,093 | ||||||
Swedish Match AB (Sweden) | 315 | 24,470 | ||||||
|
| |||||||
9,512,561 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 860 | 40,368 | ||||||
Brenntag AG (Germany) | 3,236 | 251,327 | ||||||
Bunzl PLC (United Kingdom) | 1,184 | 39,579 | ||||||
Fastenal Co. | 24,800 | 1,210,984 | ||||||
Ferguson PLC | 2,136 | 260,083 | ||||||
ITOCHU Corp. (Japan) | 2,500 | 71,933 | ||||||
Marubeni Corp. (Japan) | 9,400 | 62,654 | ||||||
Mitsubishi Corp. (Japan) | 2,500 | 61,670 | ||||||
Mitsui & Co. Ltd. (Japan) | 13,000 | 238,408 | ||||||
MonotaRO Co. Ltd. (Japan) | 200 | 10,186 | ||||||
United Rentals, Inc.* | 3,300 | 765,303 | ||||||
W.W. Grainger, Inc. | 2,040 | 833,013 | ||||||
|
| |||||||
3,845,508 | ||||||||
|
| |||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc. | 7,900 | 1,212,413 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
KDDI Corp. (Japan) | 3,300 | 98,098 | ||||||
SoftBank Corp. (Japan) | 18,200 | 227,908 | ||||||
SoftBank Group Corp. (Japan) | 3,000 | 234,925 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Wireless Telecommunication Services (cont’d.) |
| |||||||
T-Mobile US, Inc.* | 25,100 | $ | 3,384,735 | |||||
Vodafone Group PLC (United Kingdom) | 52,345 | 86,587 | ||||||
|
| |||||||
4,032,253 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,389,024,052 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.4% |
| |||||||
iShares Core S&P 500 ETF(a) | 27,350 | 10,266,916 | ||||||
iShares MSCI EAFE ETF | 1,659 | 121,041 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS | 10,387,957 | |||||||
|
| |||||||
PREFERRED STOCKS — 0.0% |
| |||||||
Automobiles — 0.0% | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 75 | 5,038 | ||||||
Volkswagen AG (Germany) (PRFC) | 366 | 68,555 | ||||||
|
| |||||||
73,593 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 6.638%, Maturing 10/30/40 | 20,000 | 570,000 | ||||||
|
| |||||||
Capital Markets — 0.0% | ||||||||
State Street Corp. 5.350%, | 30,000 | 868,800 | ||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 797 | 89,805 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | ||||||||
(cost $1,380,391) | 1,602,198 | |||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | ||||||||||||||
ASSET-BACKED SECURITIES — 6.9% |
| |||||||||||||||
Automobiles — 1.9% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-01, Class C |
| |||||||||||||||
3.500% | 01/18/24 | 1,200 | 1,243,160 | |||||||||||||
Series 2019-01, Class B |
| |||||||||||||||
3.130% | 02/18/25 | 600 | 621,000 | |||||||||||||
Series 2019-01, Class C |
| |||||||||||||||
3.360% | 02/18/25 | 700 | 737,130 | |||||||||||||
Series 2019-02, Class C |
| |||||||||||||||
2.740% | 04/18/25 | 1,400 | 1,458,182 | |||||||||||||
Series 2019-03, Class C |
| |||||||||||||||
2.320% | 07/18/25 | 2,300 | 2,382,785 | |||||||||||||
Series 2020-02, Class C |
| |||||||||||||||
1.480% | 02/18/26 | 400 | 405,412 | |||||||||||||
Series 2020-03, Class C |
| |||||||||||||||
1.060% | 08/18/26 | 700 | 702,943 | |||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
4.000% | 03/20/25 | 1,100 | 1,191,839 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
3.350% | 09/22/25 | 2,000 | 2,135,451 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Automobiles (cont’d.) |
| |||||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 2,700 | $ | 2,815,087 | ||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
2.330% | 08/20/26 | 1,300 | 1,341,603 | |||||||||||||
Ford Auto Securitization Trust (Canada), |
| |||||||||||||||
Series 2019-BA, Class A2, 144A |
| |||||||||||||||
2.321% | 10/15/23 | CAD | 1,551 | 1,233,790 | ||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A |
| |||||||||||||||
3.190% | 07/15/31 | 2,700 | 2,966,941 | |||||||||||||
Series 2018-02, Class A, 144A |
| |||||||||||||||
3.470% | 01/15/30 | 2,200 | 2,359,051 | |||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.520% | 07/15/30 | 3,300 | 3,599,011 | |||||||||||||
Series 2020-01, Class A, 144A |
| |||||||||||||||
2.040% | 08/15/31 | 2,500 | 2,635,541 | |||||||||||||
Series 2020-02, Class A, 144A |
| |||||||||||||||
1.060% | 04/15/33 | 4,400 | 4,442,148 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2017-03, Class A |
| |||||||||||||||
2.480% | 09/15/24 | 1,400 | 1,451,117 | |||||||||||||
Series 2018-02, Class A |
| |||||||||||||||
3.170% | 03/15/25 | 8,200 | 8,692,483 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 300 | 315,449 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 2,261 | 2,283,422 | |||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 3,600 | 3,953,109 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2020-02, Class C |
| |||||||||||||||
1.460% | 09/15/25 | 600 | 607,956 | |||||||||||||
Series 2020-03, Class C |
| |||||||||||||||
1.120% | 01/15/26 | 1,800 | 1,814,357 | |||||||||||||
Series 2020-04, Class C |
| |||||||||||||||
1.010% | 01/15/26 | 1,100 | 1,104,792 | |||||||||||||
|
| |||||||||||||||
52,493,759 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 3.2% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
1.606%(c) | 07/22/32 | 2,500 | 2,499,635 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.517%(c) | 07/15/29 | 500 | 499,412 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.487%(c) | 07/15/29 | 1,000 | 999,466 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.038%(c) | 01/17/28 | 840 | 835,182 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.487%(c) | 04/15/29 | 2,500 | $ | 2,499,995 | ||||||||||||
CBAM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%) |
| |||||||||||||||
1.578%(c) | 10/20/32 | 4,000 | 4,006,001 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.418%(c) | 10/17/31 | 7,000 | 6,979,417 | |||||||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.011%(c) | 11/15/26 | 664 | 662,203 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.247%(c) | 04/15/31 | 1,000 | 995,081 | |||||||||||||
HPS Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
1.536%(c) | 07/22/32 | 2,500 | 2,508,344 | |||||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.225%(c) | 02/05/31 | 248 | 247,074 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) |
| |||||||||||||||
1.358%(c) | 10/19/28 | 7,000 | 6,993,085 | |||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.489%(c) | 10/23/29 | 1,250 | 1,249,996 | |||||||||||||
Jamestown CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
1.688%(c) | 04/20/32 | 4,750 | 4,747,275 | |||||||||||||
Jefferson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.393%(c) | 10/20/31 | 4,237 | 4,211,307 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
| |||||||||||||||
1.329%(c) | 04/21/31 | 3,468 | 3,443,334 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.357%(c) | 07/15/31 | 2,500 | 2,487,571 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.618%(c) | 04/17/30 | 1,750 | 1,746,168 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
1.548%(c) | 07/20/32 | 7,000 | 7,003,269 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080% |
| |||||||||||||||
1.298%(c) | 04/17/31 | 2,956 | $ | 2,942,606 | ||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.464%(c) | 10/30/30 | 742 | 740,046 | |||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.608%(c) | 07/20/32 | 2,500 | 2,496,336 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-02A, Class A1R2, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.318%(c) | 07/20/30 | 5,000 | 4,994,406 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.441%(c) | 11/14/29 | 500 | 499,148 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
1.518%(c) | 07/17/26 | 693 | 693,340 | |||||||||||||
TIAA CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.418%(c) | 07/20/31 | 1,750 | 1,749,378 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) |
| |||||||||||||||
1.678%(c) | 07/20/32 | 7,500 | 7,489,054 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.425%(c) | 01/25/31 | 1,750 | 1,744,377 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.117%(c) | 07/15/27 | 731 | 730,324 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
1.368%(c) | 01/17/31 | 2,000 | 1,988,343 | |||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.418%(c) | 10/20/31 | 3,750 | 3,731,204 | |||||||||||||
York CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.566%(c) | 07/22/32 | 2,000 | 2,006,458 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.607%(c) | 07/15/29 | 1,214 | 1,204,193 | |||||||||||||
|
| |||||||||||||||
87,623,028 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Consumer Loans — 0.2% |
| |||||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.954%(c) | 09/14/32 | 488 | $ | 488,710 | ||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
3.840% | 05/14/32 | 800 | 843,740 | |||||||||||||
Series 2020-02A, Class A, 144A |
| |||||||||||||||
1.750% | 09/14/35 | 1,400 | 1,425,095 | |||||||||||||
Oportun Funding LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,100 | 1,117,702 | |||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 800 | 813,935 | |||||||||||||
|
| |||||||||||||||
4,689,182 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.2% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2017-B, Class A5, 144A |
| |||||||||||||||
2.720% | 06/15/40 | 2,100 | 2,164,920 | |||||||||||||
Series 2018-A, Class A5, 144A |
| |||||||||||||||
3.610% | 03/10/42 | 500 | 536,595 | |||||||||||||
Series 2019-A, Class A5, 144A |
| |||||||||||||||
3.080% | 11/12/41 | 1,600 | 1,717,345 | |||||||||||||
Series 2019-B, Class A5, 144A |
| |||||||||||||||
2.290% | 11/12/41 | 1,600 | 1,698,026 | |||||||||||||
|
| |||||||||||||||
6,116,886 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.0% |
| |||||||||||||||
CDC Mortgage Capital Trust, |
| |||||||||||||||
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.650%) |
| |||||||||||||||
1.798%(c) | 03/25/33 | 54 | 55,052 | |||||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||||
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) |
| |||||||||||||||
1.048%(c) | 07/25/32 | 7 | 7,086 | |||||||||||||
|
| |||||||||||||||
62,138 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% | ||||||||||||||||
Sierra Timeshare Receivables Funding LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
3.500% | 06/20/35 | 671 | 696,590 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
2.590% | 05/20/36 | 1,042 | 1,076,517 | |||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||||
2.948%(c) | 06/25/24 | 2,240 | 2,164,784 | |||||||||||||
|
| |||||||||||||||
3,937,891 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.4% |
| |||||||||||||||
Countrywide Asset-Backed Certificates, |
| |||||||||||||||
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.898%(c) | 03/25/34 | 370 | 368,594 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (cont’d.) |
| |||||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 975 | $ | 978,427 | ||||||||||||
Series 2020-11R, Class 1A1, 144A |
| |||||||||||||||
2.303% | 04/25/38^ | 1,605 | 1,605,000 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 148 | 148,857 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 915 | 919,267 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 91 | 92,345 | |||||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.795%) |
| |||||||||||||||
0.943%(c) | 06/25/34 | 143 | 139,530 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 01/25/61 | 937 | 960,995 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 04/16/23 | EUR | 1,740 | 1,913,103 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.748%(c) | 02/25/57 | 1,448 | 1,443,164 | |||||||||||||
Series 2020-04, Class A1, 144A |
| |||||||||||||||
1.750% | 10/25/60 | 976 | 998,153 | |||||||||||||
|
| |||||||||||||||
9,567,435 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.8% |
| |||||||||||||||
Commonbond Student Loan Trust, |
| |||||||||||||||
Series 2017-BGS, Class A1, 144A |
| |||||||||||||||
2.680% | 09/25/42 | 1,034 | 1,060,709 | |||||||||||||
Series 2018-AGS, Class A1, 144A |
| |||||||||||||||
3.210% | 02/25/44 | 778 | 807,651 | |||||||||||||
Series 2018-CGS, Class A1, 144A |
| |||||||||||||||
3.870% | 02/25/46 | 254 | 262,497 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2017-C, Class A2B, 144A |
| |||||||||||||||
2.810% | 11/25/42 | 625 | 636,332 | |||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.540% | 05/26/43 | 1,065 | 1,089,621 | |||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
2.730% | 10/25/48 | 730 | 747,327 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-A, Class A2, 144A |
| |||||||||||||||
3.190% | 02/18/42 | 2,137 | 2,179,418 | |||||||||||||
Series 2018-CA, Class A2, 144A |
| |||||||||||||||
3.520% | 06/16/42 | 927 | 944,763 | |||||||||||||
Series 2019-CA, Class A2, 144A |
| |||||||||||||||
3.130% | 02/15/68 | 1,400 | 1,442,403 | |||||||||||||
Series 2019-EA, Class A2A, 144A |
| |||||||||||||||
2.640% | 05/15/68 | 1,500 | 1,546,209 | |||||||||||||
Series 2020-BA, Class A2, 144A |
| |||||||||||||||
2.120% | 01/15/69 | 1,100 | 1,129,596 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (cont’d.) |
| |||||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
3.690% | 06/15/48 | 2,600 | $ | 2,709,839 | ||||||||||||
Series 2019-B, Class A2FX, 144A |
| |||||||||||||||
3.090% | 08/17/48 | 1,400 | 1,446,625 | |||||||||||||
Series 2019-C, Class A2FX, 144A |
| |||||||||||||||
2.370% | 11/16/48 | 1,629 | 1,692,289 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.340% | 08/25/47 | 1,930 | 1,986,077 | |||||||||||||
Series 2020-A, Class A2FX, 144A |
| |||||||||||||||
2.540% | 05/15/46 | 1,700 | 1,756,573 | |||||||||||||
|
| |||||||||||||||
21,437,929 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 185,928,248 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.8% |
| |||||||||||||||
Assurant Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-01A, Class AS, 144A |
| |||||||||||||||
3.172% | 05/15/49 | 3,100 | 3,295,378 | |||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2018-C02, Class A4 |
| |||||||||||||||
4.047% | 12/15/51 | 3,850 | 4,475,968 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B03, Class A4 |
| |||||||||||||||
3.761% | 04/10/51 | 3,600 | 4,106,933 | |||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C04, Class A3 |
| |||||||||||||||
3.014% | 05/10/58 | 2,500 | 2,679,123 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 974 | 1,028,398 | |||||||||||||
Series 2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 2,700 | 2,891,606 | |||||||||||||
Series 2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 4,000 | 4,503,940 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A2 |
| |||||||||||||||
2.928% | 02/10/47 | 590 | 588,299 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 1,998 | 2,165,070 | |||||||||||||
Series 2014-LC17, Class A4 |
| |||||||||||||||
3.648% | 10/10/47 | 5,000 | 5,410,790 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 2,483 | 2,723,218 | |||||||||||||
Series 2017-C08, Class A3 |
| |||||||||||||||
3.127% | 06/15/50 | 3,800 | 4,107,280 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2015-M08, Class AB2 |
| |||||||||||||||
2.829%(cc) | 01/25/25 | 684 | 731,374 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.345%(cc) | 05/25/22 | 17,824 | 262,819 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.404%(cc) | 06/25/22 | 5,064 | 74,798 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.362%(cc) | 03/25/26 | 4,535 | $ | 278,781 | ||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 4,200 | 4,786,535 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 4,100 | 4,701,354 | |||||||||||||
Series K069, Class AM |
| |||||||||||||||
3.248%(cc) | 09/25/27 | 750 | 854,919 | |||||||||||||
Series K070, Class AM |
| |||||||||||||||
3.364% | 12/25/27 | 1,100 | 1,271,500 | |||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 2,550 | 2,996,898 | |||||||||||||
Series K076, Class A2 |
| |||||||||||||||
3.900% | 04/25/28 | 6,200 | 7,409,162 | |||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 1,825 | 2,160,582 | |||||||||||||
Series K077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 690 | 821,982 | |||||||||||||
Series K080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 5,150 | 6,169,593 | |||||||||||||
Series K081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 2,600 | 3,114,550 | |||||||||||||
Series K086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 800 | 960,228 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 3,100 | 3,811,582 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.214%(cc) | 04/25/28 | 1,630 | 1,826,021 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC28, Class A4 |
| |||||||||||||||
3.136% | 02/10/48 | 3,000 | 3,207,220 | |||||||||||||
Series 2015-GC34, Class A3 |
| |||||||||||||||
3.244% | 10/10/48 | 4,715 | 5,026,648 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 4,200 | 4,482,292 | |||||||||||||
Series 2016-GS04, Class A3 |
| |||||||||||||||
3.178% | 11/10/49 | 4,000 | 4,335,102 | |||||||||||||
Series 2020-GSA02, Class A4 |
| |||||||||||||||
1.721% | 12/12/53 | 4,150 | 4,185,338 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C25, Class A4A1 |
| |||||||||||||||
3.408% | 11/15/47 | 656 | 698,346 | |||||||||||||
Series 2015-C27, Class A3A1 |
| |||||||||||||||
2.920% | 02/15/48 | 4,326 | 4,649,080 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP06, Class A3 |
| |||||||||||||||
3.109% | 07/15/50 | 5,581 | 5,866,247 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A3A |
| |||||||||||||||
2.881% | 06/15/49 | 2,500 | 2,663,673 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 498 | 518,403 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,081 | 1,119,941 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2015-UBS08, Class A3 |
| |||||||||||||||
3.540% | 12/15/48 | 5,000 | $ | 5,408,896 | ||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 6,300 | 6,686,976 | |||||||||||||
Series 2019-H06, Class A3 |
| |||||||||||||||
3.158% | 06/15/52 | 5,000 | 5,556,809 | |||||||||||||
Series 2019-H07, Class A2 |
| |||||||||||||||
2.492% | 07/15/52 | 9,400 | 9,841,926 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C02, Class ASB |
| |||||||||||||||
3.264% | 08/15/50 | 2,500 | 2,736,201 | |||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 5,000 | 5,521,839 | |||||||||||||
Series 2018-C09, Class A3 |
| |||||||||||||||
3.854% | 03/15/51 | 1,800 | 2,020,408 | |||||||||||||
Series 2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 2,900 | 3,391,013 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A4 |
| |||||||||||||||
2.792% | 12/10/45 | 1,400 | 1,435,058 | |||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 577 | 591,401 | |||||||||||||
Series 2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 1,455 | 1,507,621 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||||||
2.642% | 11/15/49 | 4,500 | 4,832,253 | |||||||||||||
Series 2017-C38, Class A4 |
| |||||||||||||||
3.190% | 07/15/50 | 3,300 | 3,677,123 | |||||||||||||
Series 2019-C49, Class A3 |
| |||||||||||||||
3.749% | 03/15/52 | 7,300 | 8,118,764 | |||||||||||||
Series 2020-C58, Class A3 |
| |||||||||||||||
1.810% | 07/15/53 | 5,000 | 5,104,982 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 183,392,241 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 11.9% |
| |||||||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/01/50 | 1,470 | 1,538,950 | |||||||||||||
Embraer Netherlands Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.050% | 06/15/25 | 551 | 584,484 | |||||||||||||
Embraer Overseas Ltd. (Brazil), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.696% | 09/16/23 | (a) | 765 | 814,878 | ||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 910 | 1,084,627 | |||||||||||||
|
| |||||||||||||||
4,022,939 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 2,685 | $ | 2,906,870 | ||||||||||||
Vector Group Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/01/25 | 1,000 | 1,016,269 | |||||||||||||
|
| |||||||||||||||
3,923,139 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.2% |
| |||||||||||||||
American Airlines 2015-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.375% | 11/01/28 | 1,916 | 1,795,465 | |||||||||||||
Continental Airlines 2001-1 Class A-1 Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.703% | 12/15/22 | 10 | 10,000 | |||||||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 287 | 287,591 | |||||||||||||
Continental Airlines 2012-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 04/29/26 | 264 | 266,449 | |||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 183 | 187,717 | |||||||||||||
Southwest Airlines Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 02/10/30 | (a) | 1,765 | 1,800,800 | ||||||||||||
|
| |||||||||||||||
4,348,022 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.5% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
0.631%(c) | 04/12/21 | 355 | 355,309 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.350% | 05/04/21 | 1,455 | 1,469,129 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 665 | 695,082 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.336% | 03/18/21 | 515 | 516,337 | |||||||||||||
3.350% | 11/01/22 | 2,845 | 2,888,569 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/02/43 | 740 | 997,944 | |||||||||||||
6.600% | 04/01/36 | 585 | 794,665 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
1.080%(c) | 04/09/21 | 820 | 820,635 | |||||||||||||
Gtd. Notes | ||||||||||||||||
3.550% | 04/09/21 | 620 | 624,611 | |||||||||||||
3.950% | 04/13/24 | 1,700 | 1,853,468 | |||||||||||||
Harley-Davidson Financial Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.850% | 01/15/21 | 2,300 | 2,301,755 | |||||||||||||
|
| |||||||||||||||
13,317,504 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks — 3.1% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
1.344%(c) | 04/12/23 | 400 | $ | 403,307 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 800 | 858,101 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | — | (rr) | 275 | 319,513 | ||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | — | (rr) | 1,145 | 1,206,951 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.898%(ff) | 07/23/31 | 1,805 | 1,825,575 | |||||||||||||
2.496%(ff) | 02/13/31 | 5,165 | 5,478,583 | |||||||||||||
3.194%(ff) | 07/23/30 | 1,050 | 1,174,478 | |||||||||||||
3.824%(ff) | 01/20/28 | 615 | 705,963 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,700 | 1,910,353 | |||||||||||||
4.200% | 08/26/24 | 745 | 834,041 | |||||||||||||
4.450% | 03/03/26 | 4,790 | 5,585,143 | |||||||||||||
Bank of America NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
6.000% | 10/15/36 | 805 | 1,203,793 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 610 | 673,486 | |||||||||||||
3.684% | 01/10/23 | 320 | 329,754 | |||||||||||||
4.375% | 01/12/26 | 323 | 372,432 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 705 | 847,226 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.219%(ff) | 06/09/26 | 1,650 | 1,726,826 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q, 3 Month LIBOR + 4.095% |
| |||||||||||||||
4.316%(c) | — | (a)(rr) | 1,590 | 1,588,927 | ||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | — | (rr) | 1,675 | 1,720,990 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 10/21/26 | 670 | 748,811 | |||||||||||||
3.700% | 01/12/26 | 1,610 | 1,830,479 | |||||||||||||
3.887%(ff) | 01/10/28 | 560 | 643,340 | |||||||||||||
8.125% | 07/15/39 | 365 | 653,062 | |||||||||||||
Sub. Notes | ||||||||||||||||
4.450% | 09/29/27 | 1,485 | 1,752,853 | |||||||||||||
4.750% | 05/18/46 | 440 | 582,668 | |||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.193%(ff) | 06/05/26 | 1,100 | 1,149,016 | |||||||||||||
4.282% | 01/09/28 | 980 | 1,135,050 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.129%(ff) | 11/24/26 | 460 | 470,744 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 1,240 | 1,250,310 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 1,350 | 1,411,165 |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 03/13/26 | 595 | $ | 685,397 | ||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.128%(c) | — | (rr) | 1,800 | 1,793,190 | ||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | — | (rr) | 560 | 615,560 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/25/26 | 1,165 | 1,324,498 | |||||||||||||
3.814%(ff) | 04/23/29 | 440 | 509,052 | |||||||||||||
3.850% | 01/26/27 | 2,625 | 2,998,157 | |||||||||||||
Sub. Notes |
| |||||||||||||||
6.750% | 10/01/37 | 225 | 342,110 | |||||||||||||
ING Groep NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 04/09/24 | 400 | 436,813 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series FF |
| |||||||||||||||
5.000%(ff) | — | (rr) | 540 | 567,241 | ||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
3.684%(c) | — | (rr) | 979 | 974,160 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | — | (rr) | 230 | 230,581 | ||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | — | (rr) | 1,175 | 1,286,613 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.782%(ff) | 02/01/28 | 270 | 310,094 | |||||||||||||
3.964%(ff) | 11/15/48 | 2,240 | 2,813,194 | |||||||||||||
4.005%(ff) | 04/23/29 | 1,360 | 1,594,759 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 09/10/24 | 3,525 | 3,945,436 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
3.847%(c) | — | (a)(rr) | 640 | 635,177 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | (a) | 930 | 1,262,461 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.750% | 02/25/23 | 610 | 653,921 | |||||||||||||
3.772%(ff) | 01/24/29 | 1,295 | 1,499,268 | |||||||||||||
3.875% | 01/27/26 | 550 | 630,363 | |||||||||||||
4.431%(ff) | 01/23/30 | 455 | 554,416 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.591%(ff) | 07/22/28 | 1,030 | 1,175,253 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 3,050 | 3,589,781 | |||||||||||||
Natwest Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.445%(ff) | 05/08/30 | 1,570 | 1,868,461 | |||||||||||||
Societe Generale SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.488%(ff) | 12/14/26 | 3,200 | 3,228,835 | |||||||||||||
State Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/24/24 | 1,255 | 1,358,565 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.364%(ff) | 01/30/27 | 2,250 | $ | 2,275,821 | ||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 2,895 | 3,071,201 | |||||||||||||
|
| |||||||||||||||
82,623,318 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 02/01/36 | 1,220 | 1,546,357 | |||||||||||||
|
| |||||||||||||||
Biotechnology — 0.0% |
| |||||||||||||||
Regeneron Pharmaceuticals, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.800% | 09/15/50 | 395 | 382,400 | |||||||||||||
|
| |||||||||||||||
Building Materials — 0.0% |
| |||||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | 300 | 316,707 | |||||||||||||
|
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
Celanese US Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 06/15/21 | 1,160 | 1,186,045 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 03/15/44 | 740 | 936,917 | |||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 07/19/22 | 2,675 | 2,700,802 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 11/15/41 | 350 | 463,796 | |||||||||||||
9.400% | 05/15/39 | 30 | 53,677 | |||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 07/15/43 | 620 | 807,314 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 875 | 913,546 | |||||||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 600 | 638,495 | |||||||||||||
6.500% | 09/27/28 | 405 | 438,871 | |||||||||||||
|
| |||||||||||||||
8,139,463 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.200% | 11/01/46 | 875 | 1,081,972 | |||||||||||||
7.000% | 10/15/37 | (a) | 390 | 603,519 | ||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | 735 | 786,876 | |||||||||||||
5.250% | 01/15/30 | 265 | 295,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services (cont’d.) |
| |||||||||||||||
5.875% | 09/15/26 | 150 | $ | 158,749 | ||||||||||||
|
| |||||||||||||||
2,926,279 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.1% |
| |||||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 07/24/24 | 445 | 487,478 | |||||||||||||
Charles Schwab Corp. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series H |
| |||||||||||||||
4.000%(ff) | — | (rr) | 1,080 | 1,133,747 | ||||||||||||
Discover Financial Services, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 11/21/22 | 900 | 957,609 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 465 | 642,293 | |||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
U.S. Gov’t. Gtd. Notes, Series NN |
| |||||||||||||||
3.250% | 06/15/25 | 255 | 282,372 | |||||||||||||
|
| |||||||||||||||
3,503,499 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.4% |
| |||||||||||||||
Arizona Public Service Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 05/15/46 | 910 | 1,108,766 | |||||||||||||
Avista Corp., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.350% | 06/01/48 | 845 | 1,074,574 | |||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.350% | 10/01/36 | 530 | 802,732 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.950% | 05/15/37 | 335 | 483,057 | |||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage, Series K2 |
| |||||||||||||||
6.950% | 03/15/33 | 300 | 446,978 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series 09-C |
| |||||||||||||||
5.500% | 12/01/39 | 145 | 200,427 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 2,470 | 2,491,517 | |||||||||||||
DTE Electric Co., |
| |||||||||||||||
General Ref. Mortgage, Series A |
| |||||||||||||||
4.050% | 05/15/48 | 1,075 | 1,407,141 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
6.050% | 04/15/38 | 530 | 793,195 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 845 | 1,165,449 | |||||||||||||
Enel Finance International NV (Italy), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 09/14/25 | 1,545 | 1,797,632 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Engie Energia Chile SA (Chile), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 01/28/30 | 400 | $ | 433,609 | ||||||||||||
Exelon Corp., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
3.497% | 06/01/22 | 2,397 | 2,493,025 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/01/39 | 1,375 | 1,658,008 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
5.950% | 10/01/33 | (a) | 380 | 549,191 | ||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 140 | 188,889 | |||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 05/15/28 | 2,105 | 2,442,735 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 575 | 663,873 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 1,560 | 1,679,454 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.600% | 09/15/47 | 1,035 | 1,267,875 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.000% | 12/02/25 | 225 | 233,109 | |||||||||||||
2.450% | 12/02/27 | 970 | 1,018,030 | |||||||||||||
Ohio Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/01/49 | 465 | 580,509 | |||||||||||||
PECO Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.800% | 06/15/50 | 785 | 833,994 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/15/47 | 980 | 1,145,003 | |||||||||||||
5.000% | 03/15/44 | 495 | 637,550 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/15/21 | 1,260 | 1,271,583 | |||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, MTN |
| |||||||||||||||
3.000% | 05/15/27 | 675 | 749,595 | |||||||||||||
3.700% | 05/01/28 | 850 | 986,964 | |||||||||||||
Sr. Sec’d. Notes, MTN |
| |||||||||||||||
5.800% | 05/01/37 | 515 | 745,610 | |||||||||||||
Public Service Enterprise Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.600% | 08/15/30 | (a) | 1,235 | 1,217,433 | ||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | 1,010 | 1,264,502 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 350 | $ | 411,156 | ||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 690 | 760,217 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 495 | 527,297 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.550% | 07/15/24 | 1,475 | 1,595,716 | |||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/41 | 480 | 613,146 | |||||||||||||
|
| |||||||||||||||
37,739,541 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
Roper Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.400% | 09/15/27 | 1,185 | 1,200,486 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
AECOM, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | 1,000 | 1,111,434 | |||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 07/31/47 | 1,350 | 1,414,031 | |||||||||||||
|
| |||||||||||||||
2,525,465 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.1% |
| |||||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 10/01/49 | (a) | 1,030 | 1,195,358 | ||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/49 | 1,120 | 1,431,685 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.375% | 07/16/40 | 535 | 547,913 | |||||||||||||
|
| |||||||||||||||
3,174,956 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/41 | 1,270 | 1,835,576 | |||||||||||||
|
| |||||||||||||||
Gas — 0.2% |
| |||||||||||||||
Eastern Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 12/15/44 | 45 | 56,680 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.700% | 02/15/31 | 835 | 829,783 | |||||||||||||
3.490% | 05/15/27 | (a) | 2,355 | 2,669,614 | ||||||||||||
Piedmont Natural Gas Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 06/01/29 | 2,090 | 2,390,891 | |||||||||||||
|
| |||||||||||||||
5,946,968 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Products — 0.1% |
| |||||||||||||||
Abbott Laboratories, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 11/30/46 | 720 | $ | 1,061,689 | ||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 1,125 | 1,478,589 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 200 | 278,206 | ||||||||||||
2.250% | 03/07/39 | EUR | 300 | 454,328 | ||||||||||||
|
| |||||||||||||||
3,272,812 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.2% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 06/15/36 | 480 | 712,057 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 05/15/42 | 330 | 430,254 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 02/01/29 | 575 | 692,356 | |||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.125% | 06/15/39 | 665 | 849,770 | |||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 670 | 868,026 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 160 | 164,780 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 12/01/23 | (a) | 725 | 734,338 | ||||||||||||
New York & Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.024% | 08/01/45 | 340 | 426,483 | |||||||||||||
|
| |||||||||||||||
4,878,064 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 405 | 458,693 | |||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 03/01/24 | 600 | 644,698 | |||||||||||||
|
| |||||||||||||||
1,103,391 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 04/01/26 | 2,010 | 2,216,059 | |||||||||||||
|
| |||||||||||||||
Insurance — 0.2% | ||||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 1,125 | 1,341,667 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (cont’d.) |
| |||||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 701 | $ | 969,340 | ||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/30/43 | 165 | 204,372 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/39 | 650 | 1,004,770 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 105 | 135,033 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 1,430 | 1,783,983 | |||||||||||||
6.850% | 12/16/39 | 122 | 190,780 | |||||||||||||
|
| |||||||||||||||
5,629,945 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.0% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | 805 | 827,367 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,060 | 1,093,222 | |||||||||||||
|
| |||||||||||||||
Media — 0.5% |
| |||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | 870 | 1,033,051 | |||||||||||||
6.384% | 10/23/35 | 1,695 | 2,321,448 | |||||||||||||
6.484% | 10/23/45 | 1,000 | 1,418,706 | |||||||||||||
Comcast Cable Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.875% | 06/15/22 | 1,440 | 1,617,173 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 10/15/28 | 1,455 | 1,745,064 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 09/15/55 | 823 | 916,382 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | 270 | 347,355 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/44 | 1,340 | 1,741,063 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 850 | 893,684 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 11/30/28 | 515 | 724,317 | |||||||||||||
|
| |||||||||||||||
12,758,243 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Miscellaneous Manufacturing — 0.1% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 800 | $ | 849,650 | ||||||||||||
Pentair Finance Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 07/01/29 | 2,415 | 2,866,937 | |||||||||||||
|
| |||||||||||||||
3,716,587 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.0% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 480 | 485,355 | |||||||||||||
2.750% | 01/06/23 | (a) | 385 | 399,073 | ||||||||||||
North American Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/26/22 | 226 | 232,486 | |||||||||||||
|
| |||||||||||||||
1,116,914 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.6% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | 950 | 891,849 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 850 | 996,491 | |||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/30/29 | 800 | 834,240 | |||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 150 | 203,923 | |||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 04/15/23 | (a) | 430 | 443,393 | ||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 225 | 274,544 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 255 | 268,913 | |||||||||||||
6.510% | 03/07/22 | 440 | 466,934 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,555 | 1,726,819 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 400 | 455,953 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 595 | 834,065 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 1,000 | 460,569 | |||||||||||||
6.450% | 09/15/36 | 1,040 | 1,084,031 | |||||||||||||
Ovintiv Exploration, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 01/30/22 | 80 | 83,026 |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
Ovintiv, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 02/01/38 | 240 | $ | 267,621 | ||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.093% | 01/15/30 | (a) | 577 | 645,204 | ||||||||||||
5.750% | 02/01/29 | 610 | 711,111 | |||||||||||||
6.900% | 03/19/49 | 600 | 764,136 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 01/21/21 | 205 | 205,368 | |||||||||||||
6.350% | 02/12/48 | 458 | 413,677 | |||||||||||||
6.490% | 01/23/27 | 346 | 364,919 | |||||||||||||
6.500% | 03/13/27 | 230 | 242,493 | |||||||||||||
7.690% | 01/23/50 | 1,682 | 1,699,055 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 561 | 525,415 | |||||||||||||
6.875% | 08/04/26 | 770 | 840,839 | |||||||||||||
Sinopec Group Overseas Development 2018 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.680% | 08/08/49 | 990 | 1,112,029 | |||||||||||||
Valero Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/01/29 | (a) | 580 | 651,655 | ||||||||||||
|
| |||||||||||||||
17,468,272 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.0% |
| |||||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 12/21/25 | 139 | 157,967 | |||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 675 | 710,114 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.8% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 950 | 1,059,000 | |||||||||||||
4.250% | 11/21/49 | 1,480 | 1,859,164 | |||||||||||||
4.500% | 05/14/35 | 1,595 | 2,005,044 | |||||||||||||
4.550% | 03/15/35 | 1,770 | 2,239,281 | |||||||||||||
4.700% | 05/14/45 | 855 | 1,113,651 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 12/15/25 | 1,150 | 1,315,631 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 372 | 411,889 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 06/15/39 | 280 | 358,281 | |||||||||||||
4.250% | 10/26/49 | 1,285 | 1,730,020 | |||||||||||||
5.000% | 08/15/45 | 745 | 1,072,822 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 10/15/28 | 1,870 | 2,256,892 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 03/15/40 | 530 | $ | 581,512 | ||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 08/21/40 | 500 | 506,374 | |||||||||||||
4.780% | 03/25/38 | 210 | 265,169 | |||||||||||||
5.125% | 07/20/45 | 991 | 1,327,962 | |||||||||||||
5.300% | 12/05/43 | 185 | 249,601 | |||||||||||||
Johnson & Johnson, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.100% | 09/01/40 | 2,515 | 2,534,962 | |||||||||||||
Viatris, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | 1,230 | 1,380,815 | |||||||||||||
|
| |||||||||||||||
22,268,070 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.7% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/15/28 | 795 | 914,931 | |||||||||||||
5.000% | 05/15/50 | (a) | 990 | 1,069,216 | ||||||||||||
6.125% | 12/15/45 | 120 | 141,647 | |||||||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 10/01/22 | 610 | 647,191 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 02/15/25 | (a) | 1,055 | 1,181,859 | ||||||||||||
Kinder Morgan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.250% | 08/01/50 | (a) | 1,575 | 1,577,301 | ||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | 1,140 | 1,270,067 | |||||||||||||
4.700% | 04/15/48 | 750 | 887,414 | |||||||||||||
4.875% | 06/01/25 | (a) | 2,275 | 2,627,647 | ||||||||||||
5.200% | 03/01/47 | 25 | 30,767 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.650% | 10/01/36 | 130 | 163,769 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 03/15/30 | (a) | 3,495 | 3,710,475 | ||||||||||||
4.500% | 03/15/50 | 245 | 259,683 | |||||||||||||
4.950% | 07/13/47 | 640 | 714,612 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 07/01/22 | 1,315 | 1,350,988 | |||||||||||||
5.300% | 03/01/48 | 80 | 79,208 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.850% | 03/01/48 | 230 | 282,646 | |||||||||||||
4.900% | 01/15/45 | 1,100 | 1,308,530 | |||||||||||||
|
| |||||||||||||||
18,217,951 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.375% | 04/15/26 | 725 | $ | 832,397 | ||||||||||||
Kimco Realty Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 10/01/30 | (a) | 2,420 | 2,608,924 | ||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.500% | 03/15/31 | 750 | 774,487 | |||||||||||||
Prologis LP, | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.250% | 10/15/30 | 2,385 | 2,360,111 | |||||||||||||
Realty Income Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 01/15/31 | 2,250 | 2,553,742 | |||||||||||||
|
| |||||||||||||||
9,129,661 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.3% |
| |||||||||||||||
AutoZone, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/18/29 | 1,820 | 2,095,564 | |||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | 3,395 | 3,832,127 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 10/15/23 | 500 | 539,297 | |||||||||||||
Macy’s Retail Holdings LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.875% | 01/15/22 | 168 | 166,676 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 12/01/25 | (a) | 1,020 | 1,052,482 | ||||||||||||
|
| |||||||||||||||
7,686,146 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,195 | 1,252,465 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 0.2% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.459% | 09/15/26 | 667 | 739,878 | |||||||||||||
4.750% | 04/15/29 | 3,650 | 4,362,786 | |||||||||||||
|
| |||||||||||||||
5,102,664 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
Activision Blizzard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 09/15/50 | 935 | 906,142 | |||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.675% | 06/01/60 | 360 | 390,553 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Software (cont’d.) |
| |||||||||||||||
ServiceNow, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.400% | 09/01/30 | 1,425 | $ | 1,389,657 | ||||||||||||
|
| |||||||||||||||
2,686,352 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.8% |
| |||||||||||||||
AT&T, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 02/01/43 | 1,070 | 1,085,474 | |||||||||||||
4.300% | 02/15/30 | 490 | 585,376 | |||||||||||||
4.500% | 05/15/35 | 225 | 272,482 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.550% | 12/01/33 | 1,371 | 1,409,466 | |||||||||||||
3.500% | 09/15/53 | 4,437 | 4,457,069 | |||||||||||||
3.650% | 09/15/59 | 4 | 4,027 | |||||||||||||
British Telecommunications PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
9.625% | 12/15/30 | 350 | 578,901 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/27 | 785 | 801,640 | |||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.375% | 01/15/24 | 1,000 | 1,010,254 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 250 | 271,383 | |||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 263 | 264,924 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/15/30 | 5,500 | 6,362,532 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 11/20/40 | 1,095 | 1,106,707 | |||||||||||||
4.016% | 12/03/29 | 1,365 | 1,619,356 | |||||||||||||
4.500% | 08/10/33 | 865 | 1,090,547 | |||||||||||||
4.862% | 08/21/46 | 615 | 825,365 | |||||||||||||
|
| |||||||||||||||
21,745,503 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 08/01/28 | 735 | 997,625 | |||||||||||||
CSX Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 05/01/37 | 690 | 1,021,350 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.590% | 05/17/25 | 120 | 143,109 | |||||||||||||
|
| |||||||||||||||
2,162,084 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 322,672,472 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS — 0.6% |
| |||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
4.263% | 09/15/32 | 180 | $ | 212,584 | ||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
2.574% | 04/01/31 | 415 | 447,092 | |||||||||||||
6.263% | 04/01/49 | 1,305 | 2,252,965 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,250 | 2,066,312 | |||||||||||||
7.500% | 04/01/34 | 350 | 583,230 | |||||||||||||
7.625% | 03/01/40 | 205 | 360,743 | |||||||||||||
|
| |||||||||||||||
5,710,342 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, Series B, BABs |
| |||||||||||||||
5.844% | 11/01/50 | 565 | 939,849 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.2% | ||||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.395% | 01/01/40 | 970 | 1,440,906 | |||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation |
| |||||||||||||||
5.100% | 06/01/33 | 200 | 213,628 | |||||||||||||
General Obligation, Series D, BABs |
| |||||||||||||||
5.000% | 11/01/22 | 2,305 | 2,448,532 | |||||||||||||
|
| |||||||||||||||
4,103,066 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
7.414% | 01/01/40 | 1,000 | 1,677,310 | |||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,100 | 1,470,216 | |||||||||||||
|
| |||||||||||||||
Ohio — 0.0% | ||||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.910% | 06/01/40 | 415 | 574,879 | |||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.879% | 12/01/34 | 275 | 330,074 | |||||||||||||
|
| |||||||||||||||
904,953 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.834% | 11/15/34 | 425 | 617,138 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, Series B, BABs |
| |||||||||||||||
5.511% | 12/01/45 | 505 | 751,076 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Revenue Bonds, Taxable, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 355 | $ | 475,910 | ||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 16,862,444 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.2% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/35 | 20 | 19,866 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series 2005-A, Class 2A1 |
| |||||||||||||||
3.672%(cc) | 02/25/35 | 80 | 81,014 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.748%(c) | 04/25/28 | 87 | 86,859 | |||||||||||||
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.748%(c) | 08/25/28 | 188 | 188,546 | |||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.798%(c) | 06/25/30 | 298 | 298,580 | |||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.548%(c) | 06/25/30 | 160 | 161,643 | |||||||||||||
Series 2020-04A, Class M2A, 144A, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%) |
| |||||||||||||||
2.750%(c) | 06/25/30 | 305 | 305,204 | |||||||||||||
BVRT Financing Trust, |
| |||||||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||||||
2.299% | 09/15/21^ | 2,945 | 2,924,181 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.655%(c) | 11/01/23 | 3,500 | 3,499,999 | |||||||||||||
Chase Mortgage Finance Trust, |
| |||||||||||||||
Series 2007-A01, Class 1A5 |
| |||||||||||||||
3.195%(cc) | 02/25/37 | 149 | 147,488 | |||||||||||||
CIM Trust, | ||||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.155%(c) | 01/25/57 | 1,563 | 1,574,159 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 1,651 | 1,652,585 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 876 | 944,785 | |||||||||||||
FHLMC REMICS, |
| |||||||||||||||
Series 4535, Class PA |
| |||||||||||||||
3.000% | 03/15/44 | 740 | 771,685 | |||||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.898%(c) | 03/25/30 | 479 | 479,719 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.682%(c) | 11/25/50 | 2,095 | $ | 2,108,032 | ||||||||||||
FHLMC Structured Agency Credit Risk REMIC Trust, |
| |||||||||||||||
Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.748%(c) | 07/25/50 | 1,080 | 1,087,473 | |||||||||||||
Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
5.398%(c) | 09/25/50 | 155 | 161,565 | |||||||||||||
FHLMC Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.898%(c) | 09/25/48 | 2 | 2,362 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.798%(c) | 05/25/29 | 116 | 114,714 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2007-A01, Class 4A1 |
| |||||||||||||||
2.956%(cc) | 07/25/35 | 58 | 57,353 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.655%(c) | 04/01/24 | 107 | 107,052 | |||||||||||||
Mello Warehouse Securitization Trust, |
| |||||||||||||||
Series 2020-01, Class A, 144A, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) |
| |||||||||||||||
1.048%(c) | 10/25/53 | 1,260 | 1,260,527 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, |
| |||||||||||||||
Series 2020-03, Class A1, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
1.399%(c) | 01/23/23 | 400 | 400,295 | |||||||||||||
Series 2020-04, Class A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.499%(c) | 04/23/23 | 380 | 380,013 | |||||||||||||
Series 2020-04, Class A2, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.499%(c) | 04/23/23 | 735 | 735,026 | |||||||||||||
Series 2020-05, Class A1, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.149%(c) | 08/10/23 | 1,090 | 1,090,213 | |||||||||||||
MRA Issuance Trust, |
| |||||||||||||||
Series 2020-15, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.500%(c) | 07/15/21 | 6,030 | 6,020,955 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.898%(c) | 01/25/48 | 332 | 332,434 | |||||||||||||
Oaktown Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.698%(c) | 07/25/28 | 103 | 103,092 | |||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.548%(c) | 07/25/29 | 29 | 28,737 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%) |
| |||||||||||||||
3.348%(c) | 07/25/30 | 128 | $ | 128,246 | ||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%) |
| |||||||||||||||
4.898%(c) | 07/25/30 | 600 | 606,078 | |||||||||||||
PMT Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%) |
| |||||||||||||||
3.967%(c) | 12/25/22 | 2,450 | 2,450,169 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 1,278 | 1,391,933 | |||||||||||||
Station Place Securitization Trust, |
| |||||||||||||||
Series 2020-10, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.643%(c) | 05/20/21 | 320 | 320,329 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.080%(cc) | 02/25/34 | 113 | 112,332 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 32,135,243 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 0.9% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 2,420 | 2,712,527 | |||||||||||||
Bermuda Government International Bond (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.375% | 08/20/30 | 465 | 488,119 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 220 | 237,957 | |||||||||||||
4.375% | 07/12/21 | 400 | 409,024 | |||||||||||||
5.000% | 06/15/45 | 430 | 525,694 | |||||||||||||
7.375% | 09/18/37 | 450 | 657,033 | |||||||||||||
Export-Import Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/01/28 | 745 | 823,045 | |||||||||||||
Finnvera OYJ (Finland), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 06/04/25 | 400 | 431,964 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/30/25 | EUR | 1,200 | 1,656,437 | ||||||||||||
4.450% | 02/11/24 | 355 | 393,728 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.875% | 01/15/24 | 750 | 861,674 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.150% | 07/18/24 | EUR | 1,510 | 1,959,731 | ||||||||||||
4.750% | 01/08/26 | 350 | 409,214 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
3.375% | 10/31/23 | 200 | 216,859 |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 10/25/23 | 1,000 | $ | 1,044,994 | ||||||||||||
2.625% | 04/20/22 | 1,400 | 1,440,543 | |||||||||||||
3.000% | 03/12/24 | 200 | 215,564 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/22/24 | 395 | 437,793 | |||||||||||||
4.500% | 04/16/50 | (a) | 340 | 437,130 | ||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 800 | 860,088 | |||||||||||||
4.817% | 03/14/49 | 200 | 272,985 | |||||||||||||
5.103% | 04/23/48 | 665 | 934,864 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 960 | 1,465,726 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 10/26/21 | 980 | 994,883 | |||||||||||||
2.875% | 03/04/23 | 1,285 | 1,343,130 | |||||||||||||
4.000% | 04/17/25 | 750 | 838,485 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 1,200 | 1,235,127 | |||||||||||||
3.250% | 06/01/23 | 600 | 639,262 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | 405 | 562,568 | |||||||||||||
5.100% | 06/18/50 | (a) | 395 | 553,359 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 25,059,507 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.1% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
5.500% | 07/15/36 | (k) | 850 | 1,310,616 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 674 | 707,654 | |||||||||||||
2.500% | 03/01/30 | 381 | 405,655 | |||||||||||||
3.000% | 10/01/28 | 273 | 292,297 | |||||||||||||
3.000% | 06/01/29 | 541 | 578,987 | |||||||||||||
3.000% | 01/01/37 | 163 | 172,188 | |||||||||||||
3.000% | 01/01/40 | 4,221 | 4,425,840 | |||||||||||||
3.000% | 06/01/42 | 257 | 272,257 | |||||||||||||
3.000% | 10/01/42 | 619 | 657,818 | |||||||||||||
3.000% | 01/01/43 | 572 | 607,858 | |||||||||||||
3.000% | 07/01/43 | 1,504 | 1,598,985 | |||||||||||||
3.000% | 05/01/50 | 686 | 719,644 | |||||||||||||
3.500% | 06/01/42 | 242 | 260,086 | |||||||||||||
3.500% | 01/01/47 | 517 | 551,720 | |||||||||||||
3.500% | 02/01/47 | 729 | 775,075 | |||||||||||||
4.000% | 06/01/26 | 301 | 320,144 | |||||||||||||
4.000% | 09/01/26 | 106 | 112,481 | |||||||||||||
4.000% | 03/01/38 | 327 | 353,801 | |||||||||||||
4.000% | 10/01/39 | 500 | 550,964 | |||||||||||||
4.000% | 09/01/40 | 677 | 740,753 | |||||||||||||
4.000% | 12/01/40 | 286 | 315,040 | |||||||||||||
4.000% | 10/01/41 | 313 | 345,211 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
4.000% | 01/01/42 | 96 | $ | 105,132 | ||||||||||||
4.500% | 02/01/39 | 66 | 74,559 | |||||||||||||
4.500% | 09/01/39 | 102 | 114,460 | |||||||||||||
4.500% | 10/01/39 | 920 | 1,032,493 | |||||||||||||
4.500% | 12/01/39 | 88 | 98,325 | |||||||||||||
4.500% | 07/01/41 | 90 | 98,072 | |||||||||||||
4.500% | 07/01/41 | 1,505 | 1,690,875 | |||||||||||||
4.500% | 08/01/41 | 120 | 130,222 | |||||||||||||
4.500% | 08/01/41 | 183 | 202,140 | |||||||||||||
4.500% | 08/01/41 | 244 | 270,236 | |||||||||||||
4.500% | 10/01/41 | 103 | 111,517 | |||||||||||||
4.500% | 12/01/47 | 235 | 256,912 | |||||||||||||
4.500% | 08/01/48 | 550 | 596,462 | |||||||||||||
5.000% | 05/01/34 | 16 | 18,031 | |||||||||||||
5.000% | 05/01/34 | 198 | 230,114 | |||||||||||||
5.000% | 10/01/35 | 5 | 6,088 | |||||||||||||
5.000% | 07/01/37 | 332 | 385,529 | |||||||||||||
5.000% | 05/01/39 | 45 | 51,848 | |||||||||||||
5.500% | 12/01/33 | 40 | 44,766 | |||||||||||||
5.500% | 01/01/34 | 38 | 44,057 | |||||||||||||
5.500% | 06/01/34 | 73 | 85,677 | |||||||||||||
5.500% | 07/01/34 | 140 | 163,726 | |||||||||||||
5.500% | 05/01/37 | 39 | 46,340 | |||||||||||||
5.500% | 02/01/38 | 305 | 358,452 | |||||||||||||
5.500% | 05/01/38 | 34 | 40,530 | |||||||||||||
5.500% | 07/01/38 | 82 | 95,764 | |||||||||||||
6.000% | 03/01/32 | 134 | 152,392 | |||||||||||||
6.000% | 12/01/33 | 48 | 54,100 | |||||||||||||
6.000% | 11/01/36 | 40 | 46,886 | |||||||||||||
6.000% | 01/01/37 | 37 | 43,735 | |||||||||||||
6.000% | 05/01/37 | 18 | 21,124 | |||||||||||||
6.000% | 02/01/38 | �� | 3 | 3,607 | ||||||||||||
6.000% | 08/01/39 | 48 | 57,449 | |||||||||||||
6.750% | 09/15/29 | 605 | 903,306 | |||||||||||||
6.750% | 03/15/31 | (k) | 550 | 847,037 | ||||||||||||
7.000% | 05/01/31 | 6 | 6,303 | |||||||||||||
7.000% | 06/01/31 | 12 | 13,331 | |||||||||||||
7.000% | 08/01/31 | 103 | 118,744 | |||||||||||||
7.000% | 10/01/31 | 6 | 6,519 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | TBA | 9,500 | 9,866,999 | |||||||||||||
2.000% | TBA | 51,000 | 52,876,575 | |||||||||||||
2.000% | 08/01/31 | 632 | 663,778 | |||||||||||||
2.500% | TBA | 5,000 | 5,269,915 | |||||||||||||
2.500% | TBA | 6,000 | 6,312,883 | |||||||||||||
2.500% | 01/01/28 | 532 | 556,111 | |||||||||||||
2.500% | 10/01/43 | 536 | 572,715 | |||||||||||||
2.500% | 12/01/46 | 1,101 | 1,178,071 | |||||||||||||
3.000% | 02/01/27 | 1,034 | 1,098,995 | |||||||||||||
3.000% | 08/01/30 | 710 | 747,028 | |||||||||||||
3.000% | 11/01/36 | 1,334 | 1,395,789 | |||||||||||||
3.000% | 04/01/40 | 405 | 424,831 | |||||||||||||
3.000% | 12/01/42 | 1,165 | 1,241,833 | |||||||||||||
3.000% | 03/01/43 | 237 | 252,580 | |||||||||||||
3.000% | 11/01/46 | 845 | 891,873 | |||||||||||||
3.000% | 01/01/47 | 1,223 | 1,280,712 | |||||||||||||
3.000% | 02/01/47 | 1,248 | 1,312,383 | |||||||||||||
3.000% | 03/01/47 | 634 | 667,554 |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
3.000% | 06/01/49 | 41 | $ | 43,389 | ||||||||||||
3.000% | 03/01/50 | 852 | 893,045 | |||||||||||||
3.000% | 04/01/50 | 844 | 884,876 | |||||||||||||
3.000% | 04/01/50 | 1,162 | 1,217,856 | |||||||||||||
3.000% | 05/01/50 | 525 | 549,708 | |||||||||||||
3.500% | 07/01/31 | 714 | 770,933 | |||||||||||||
3.500% | 02/01/33 | 1,752 | 1,872,099 | |||||||||||||
3.500% | 06/01/39 | 415 | 449,436 | |||||||||||||
3.500% | 01/01/42 | 2,982 | 3,220,110 | |||||||||||||
3.500% | 05/01/42 | 1,441 | 1,548,800 | |||||||||||||
3.500% | 07/01/42 | 655 | 711,734 | |||||||||||||
3.500% | 08/01/42 | 240 | 260,486 | |||||||||||||
3.500% | 08/01/42 | 706 | 762,095 | |||||||||||||
3.500% | 09/01/42 | 395 | 429,518 | |||||||||||||
3.500% | 09/01/42 | 1,372 | 1,491,721 | |||||||||||||
3.500% | 11/01/42 | 208 | 224,707 | |||||||||||||
3.500% | 03/01/43 | 1,963 | 2,146,437 | |||||||||||||
3.500% | 04/01/43 | 452 | 491,856 | |||||||||||||
3.500% | 04/01/43 | 602 | 654,718 | |||||||||||||
3.500% | 01/01/46 | 1,254 | 1,353,541 | |||||||||||||
3.500% | 07/01/46 | 1,171 | 1,246,830 | |||||||||||||
3.500% | 11/01/46 | 1,215 | 1,296,904 | |||||||||||||
3.500% | 09/01/47 | 656 | 696,536 | |||||||||||||
3.500% | 01/01/48 | 4,606 | 4,883,919 | |||||||||||||
3.500% | 05/01/48 | 1,193 | 1,261,662 | |||||||||||||
3.500% | 07/01/48 | 720 | 762,153 | |||||||||||||
4.000% | 10/01/41 | 1,779 | 1,945,671 | |||||||||||||
4.000% | 09/01/44 | 1,430 | 1,560,894 | |||||||||||||
4.000% | 10/01/46 | 359 | 386,453 | |||||||||||||
4.000% | 02/01/47 | 380 | 407,904 | |||||||||||||
4.000% | 09/01/47 | 1,100 | 1,180,413 | |||||||||||||
4.000% | 11/01/47 | 603 | 664,841 | |||||||||||||
4.000% | 11/01/47 | 1,780 | 1,913,374 | |||||||||||||
4.500% | 07/01/33 | 40 | 43,941 | |||||||||||||
4.500% | 08/01/33 | 33 | 36,416 | |||||||||||||
4.500% | 09/01/33 | 76 | 83,481 | |||||||||||||
4.500% | 10/01/33 | 6 | 6,372 | |||||||||||||
4.500% | 10/01/33 | 30 | 33,644 | |||||||||||||
4.500% | 10/01/33 | 88 | 97,667 | |||||||||||||
4.500% | 01/01/35 | 1 | 1,249 | |||||||||||||
4.500% | 07/01/39 | 662 | 743,345 | |||||||||||||
4.500% | 08/01/39 | 1,010 | 1,133,475 | |||||||||||||
4.500% | 03/01/41 | 318 | 355,557 | |||||||||||||
4.500% | 11/01/47 | 2,385 | 2,606,294 | |||||||||||||
4.500% | 01/01/49 | 481 | 521,794 | |||||||||||||
5.000% | 03/01/34 | 182 | 209,737 | |||||||||||||
5.000% | 06/01/35 | 67 | 77,619 | |||||||||||||
5.000% | 07/01/35 | 89 | 103,834 | |||||||||||||
5.000% | 09/01/35 | 63 | 72,937 | |||||||||||||
5.000% | 11/01/35 | 71 | 82,177 | |||||||||||||
5.000% | 02/01/36 | 83 | 96,187 | |||||||||||||
5.000% | 05/01/36 | 42 | 48,416 | |||||||||||||
5.500% | 09/01/33 | 174 | 202,720 | |||||||||||||
5.500% | 10/01/33 | 67 | 77,558 | |||||||||||||
5.500% | 12/01/33 | 40 | 46,306 | |||||||||||||
5.500% | 01/01/34 | 1 | 1,107 | |||||||||||||
5.500% | 12/01/34 | 142 | 166,547 | |||||||||||||
5.500% | 10/01/35 | 523 | 614,833 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
5.500% | 03/01/36 | 48 | $ | 54,585 | ||||||||||||
5.500% | 05/01/36 | 113 | 132,681 | |||||||||||||
5.500% | 04/01/37 | 74 | 86,820 | |||||||||||||
6.000% | 05/01/21 | 1 | 1,269 | |||||||||||||
6.000% | 08/01/22 | 12 | 12,512 | |||||||||||||
6.000% | 04/01/33 | 16 | 17,865 | |||||||||||||
6.000% | 06/01/33 | 5 | 5,474 | |||||||||||||
6.000% | 10/01/33 | 214 | 246,679 | |||||||||||||
6.000% | 11/01/33 | 4 | 5,266 | |||||||||||||
6.000% | 11/01/33 | 14 | 15,668 | |||||||||||||
6.000% | 11/01/33 | 44 | 49,930 | |||||||||||||
6.000% | 01/01/34 | 258 | 308,753 | |||||||||||||
6.000% | 02/01/34 | 53 | 63,067 | |||||||||||||
6.000% | 03/01/34 | 27 | 30,778 | |||||||||||||
6.000% | 03/01/34 | 40 | 45,685 | |||||||||||||
6.000% | 07/01/34 | 158 | �� | 189,966 | ||||||||||||
6.000% | 08/01/34 | 1 | 669 | |||||||||||||
6.000% | 10/01/34 | 3 | 3,485 | |||||||||||||
6.000% | 11/01/34 | 2 | 2,760 | |||||||||||||
6.000% | 11/01/34 | 18 | 20,474 | |||||||||||||
6.000% | 01/01/35 | 52 | 59,766 | |||||||||||||
6.000% | 01/01/35 | 146 | 167,376 | |||||||||||||
6.000% | 02/01/35 | 1 | 1,563 | |||||||||||||
6.000% | 02/01/35 | 72 | 81,377 | |||||||||||||
6.000% | 02/01/35 | 198 | 238,145 | |||||||||||||
6.000% | 03/01/35 | 2 | 2,061 | |||||||||||||
6.000% | 04/01/35 | 1 | 816 | |||||||||||||
6.000% | 07/01/36 | 30 | 36,332 | |||||||||||||
6.000% | 02/01/37 | 58 | 68,822 | |||||||||||||
6.000% | 05/01/37 | 21 | 25,212 | |||||||||||||
6.000% | 06/01/37 | — | (r) | 562 | ||||||||||||
6.000% | 08/01/37 | — | (r) | 107 | ||||||||||||
6.000% | 08/01/37 | 13 | 15,249 | |||||||||||||
6.000% | 09/01/37 | — | (r) | 367 | ||||||||||||
6.000% | 10/01/37 | 34 | 40,097 | |||||||||||||
6.000% | 05/01/38 | 51 | 60,554 | |||||||||||||
6.000% | 06/01/38 | 2 | 2,290 | |||||||||||||
6.250% | 05/15/29 | (a)(k) | 610 | 869,019 | ||||||||||||
6.500% | 07/01/32 | 39 | 44,761 | |||||||||||||
6.500% | 09/01/32 | 2 | 1,683 | |||||||||||||
6.500% | 09/01/32 | 49 | 57,009 | |||||||||||||
6.500% | 09/01/32 | 57 | 65,941 | |||||||||||||
6.500% | 09/01/32 | 68 | 77,980 | |||||||||||||
6.500% | 04/01/33 | 76 | 87,936 | |||||||||||||
6.500% | 11/01/33 | 20 | 23,739 | |||||||||||||
6.500% | 01/01/34 | 31 | 35,571 | |||||||||||||
6.500% | 09/01/34 | 58 | 66,047 | |||||||||||||
6.500% | 10/01/34 | 42 | 49,345 | |||||||||||||
6.500% | 09/01/36 | 48 | 55,494 | |||||||||||||
6.500% | 10/01/36 | 18 | 21,086 | |||||||||||||
6.500% | 11/01/36 | 20 | 22,817 | |||||||||||||
6.500% | 01/01/37 | 38 | 42,740 | |||||||||||||
6.500% | 01/01/37 | 100 | 115,431 | |||||||||||||
6.625% | 11/15/30 | (k) | 800 | 1,210,605 | ||||||||||||
7.000% | 02/01/32 | 22 | 25,813 | |||||||||||||
7.000% | 05/01/32 | 12 | 14,952 | |||||||||||||
7.000% | 06/01/32 | 18 | 21,163 | |||||||||||||
7.000% | 07/01/32 | 41 | 48,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
7.125% | 01/15/30 | (k) | 3,195 | $ | 4,879,774 | |||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.000% | 12/20/50 | 1,000 | 1,046,315 | |||||||||||||
2.500% | TBA | 4,000 | 4,225,471 | |||||||||||||
2.500% | 03/20/43 | 216 | 230,430 | |||||||||||||
2.500% | 12/20/46 | 478 | 508,784 | |||||||||||||
3.000% | 12/20/44 | 185 | 196,750 | |||||||||||||
3.000% | 03/15/45 | 590 | 619,600 | |||||||||||||
3.000% | 11/20/45 | 569 | 605,397 | |||||||||||||
3.000% | 03/20/46 | 1,265 | 1,347,667 | |||||||||||||
3.000% | 07/20/46 | 3,268 | 3,482,038 | |||||||||||||
3.000% | 08/20/46 | 866 | 922,931 | |||||||||||||
3.000% | 10/20/46 | 747 | 796,192 | |||||||||||||
3.000% | 11/20/46 | 447 | 476,378 | |||||||||||||
3.000% | 12/20/46 | 801 | 853,117 | |||||||||||||
3.000% | 01/20/47 | 229 | 243,632 | |||||||||||||
3.000% | 04/20/47 | 980 | 1,043,572 | |||||||||||||
3.000% | 12/20/49 | 439 | 459,108 | |||||||||||||
3.500% | 12/20/42 | 933 | 1,015,606 | |||||||||||||
3.500% | 05/20/43 | 286 | 312,044 | |||||||||||||
3.500% | 04/20/45 | 1,041 | 1,117,225 | |||||||||||||
3.500% | 07/20/46 | 4,050 | 4,373,853 | |||||||||||||
3.500% | 07/20/48 | 3,405 | 3,640,403 | |||||||||||||
3.500% | 11/20/48 | 1,114 | 1,182,793 | |||||||||||||
3.500% | 06/20/49 | 5,000 | 5,301,037 | |||||||||||||
4.000% | 06/15/40 | 54 | 58,451 | |||||||||||||
4.000% | 05/20/41 | 47 | 52,499 | |||||||||||||
4.000% | 12/20/42 | 492 | 544,915 | |||||||||||||
4.000% | 08/20/44 | 209 | 230,430 | |||||||||||||
4.000% | 11/20/45 | 454 | 498,212 | |||||||||||||
4.000% | 12/20/45 | 1,222 | 1,337,394 | |||||||||||||
4.000% | 09/20/47 | 4,173 | 4,497,643 | |||||||||||||
4.000% | 02/20/49 | 1,818 | 1,949,649 | |||||||||||||
4.500% | 04/15/40 | 351 | 390,511 | |||||||||||||
4.500% | 01/20/41 | 357 | 402,981 | |||||||||||||
4.500% | 02/20/41 | 573 | 646,194 | |||||||||||||
4.500% | 03/20/41 | 287 | 320,127 | |||||||||||||
4.500% | 06/20/44 | 425 | 473,316 | |||||||||||||
4.500% | 09/20/46 | 369 | 410,862 | |||||||||||||
4.500% | 11/20/46 | 548 | 610,215 | |||||||||||||
4.500% | 03/20/47 | 326 | 354,946 | |||||||||||||
4.500% | 05/20/48 | 695 | 752,238 | |||||||||||||
4.500% | 08/20/48 | 1,203 | 1,304,024 | |||||||||||||
5.000% | 10/20/37 | 69 | 78,984 | |||||||||||||
5.000% | 04/20/45 | 453 | 518,914 | |||||||||||||
5.500% | 08/15/33 | 171 | 189,565 | |||||||||||||
5.500% | 08/15/33 | 176 | 195,275 | |||||||||||||
5.500% | 09/15/33 | 38 | 42,239 | |||||||||||||
5.500% | 12/15/33 | 13 | 14,011 | |||||||||||||
5.500% | 03/15/34 | 144 | 161,143 | |||||||||||||
5.500% | 12/15/34 | 262 | 304,666 | |||||||||||||
5.500% | 07/15/35 | 47 | 54,201 | |||||||||||||
5.500% | 04/15/36 | 69 | 77,321 | |||||||||||||
6.000% | 11/15/23 | — | (r) | 139 | ||||||||||||
6.000% | 05/15/32 | — | (r) | 67 | ||||||||||||
6.000% | 04/15/33 | 6 | 7,645 | |||||||||||||
6.000% | 12/15/33 | 74 | 82,940 | |||||||||||||
6.000% | 01/15/34 | 20 | 22,382 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
6.000% | 01/15/34 | 27 | $ | 31,891 | ||||||||||||
6.000% | 01/15/34 | 45 | 53,170 | |||||||||||||
6.000% | 06/20/34 | 87 | 102,160 | |||||||||||||
6.000% | 07/15/34 | 61 | 73,914 | |||||||||||||
6.500% | 10/15/23 | 1 | 614 | |||||||||||||
6.500% | 12/15/23 | 2 | 2,028 | |||||||||||||
6.500% | 01/15/24 | — | (r) | 330 | ||||||||||||
6.500% | 01/15/24 | — | (r) | 485 | ||||||||||||
6.500% | 01/15/24 | 2 | 2,502 | |||||||||||||
6.500% | 01/15/24 | 7 | 7,988 | |||||||||||||
6.500% | 01/15/24 | 7 | 8,270 | |||||||||||||
6.500% | 01/15/24 | 10 | 11,517 | |||||||||||||
6.500% | 01/15/24 | 14 | 15,030 | |||||||||||||
6.500% | 01/15/24 | 32 | 34,988 | |||||||||||||
6.500% | 02/15/24 | 1 | 1,427 | |||||||||||||
6.500% | 02/15/24 | 3 | 2,860 | |||||||||||||
6.500% | 02/15/24 | 4 | 3,901 | |||||||||||||
6.500% | 02/15/24 | 4 | 4,057 | |||||||||||||
6.500% | 02/15/24 | 4 | 4,346 | |||||||||||||
6.500% | 02/15/24 | 5 | 5,255 | |||||||||||||
6.500% | 03/15/24 | — | (r) | 528 | ||||||||||||
6.500% | 03/15/24 | 1 | 615 | |||||||||||||
6.500% | 03/15/24 | 2 | 2,533 | |||||||||||||
6.500% | 04/15/24 | — | (r) | 274 | ||||||||||||
6.500% | 04/15/24 | 1 | 1,080 | |||||||||||||
6.500% | 04/15/24 | 1 | 1,259 | |||||||||||||
6.500% | 04/15/24 | 1 | 1,467 | |||||||||||||
6.500% | 04/15/24 | 5 | 5,340 | |||||||||||||
6.500% | 04/15/24 | 6 | 7,160 | |||||||||||||
6.500% | 05/15/24 | 3 | 2,920 | |||||||||||||
6.500% | 05/15/24 | 3 | 3,007 | |||||||||||||
6.500% | 05/15/24 | 10 | 11,327 | |||||||||||||
6.500% | 10/15/24 | 9 | 10,012 | |||||||||||||
6.500% | 11/15/28 | 4 | 4,599 | |||||||||||||
6.500% | 08/15/31 | 4 | 4,504 | |||||||||||||
6.500% | 12/15/31 | 10 | 10,971 | |||||||||||||
6.500% | 02/15/32 | 29 | 32,142 | |||||||||||||
6.500% | 06/15/32 | 13 | 14,394 | |||||||||||||
6.500% | 07/15/32 | 35 | 40,253 | |||||||||||||
6.500% | 08/15/32 | 4 | 3,977 | |||||||||||||
6.500% | 08/15/32 | 6 | 6,585 | |||||||||||||
6.500% | 08/15/32 | 7 | 7,881 | |||||||||||||
6.500% | 08/15/32 | 24 | 28,049 | |||||||||||||
6.500% | 08/15/32 | 140 | 165,699 | |||||||||||||
6.500% | 08/15/34 | 24 | 27,461 | |||||||||||||
6.500% | 06/15/35 | 31 | 36,176 | |||||||||||||
6.500% | 09/15/36 | 47 | 56,618 | |||||||||||||
8.000% | 01/15/24 | 5 | 4,869 | |||||||||||||
8.000% | 07/15/24 | — | (r) | 299 | ||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes |
| |||||||||||||||
7.125% | 05/01/30 | 510 | 777,579 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 219,113,295 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.625% | 02/15/44 | 490 | 693,197 | |||||||||||||
3.750% | 11/15/43 | 490 | 704,758 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS(continued) |
| |||||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.125% | 09/30/22 | 24,000 | $ | 24,000,000 | ||||||||||||
0.125% | 12/15/23 | 495 | 494,381 | |||||||||||||
0.375% | 11/30/25 | 1,905 | 1,907,530 | |||||||||||||
3.125% | 11/15/28 | (a) | 1,650 | 1,952,672 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.000%(s) | 08/15/39 | (k) | 360 | 270,858 | ||||||||||||
2.345%(s) | 11/15/43 | 3,600 | 2,465,718 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 32,489,114 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,418,666,771 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 17.1% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 17.0% |
| |||||||||||||||
PGIM Core Ultra Short Bond |
| 386,462,547 | 386,462,547 | |||||||||||||
PGIM Institutional Money Market Fund (cost $72,863,817; includes $72,854,789 of cash collateral for securities on loan)(b)(w) |
| 73,001,456 | 72,964,955 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 459,427,502 | ||||||||||||||
|
| |||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.1% |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.075% | 03/18/21 | 2,975 | 2,974,587 | |||||||||||||
|
| |||||||||||||||
(cost $2,974,526) | ||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 462,402,089 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 106.3% |
| 2,881,068,860 | ||||||||||||||
Liabilities in excess of other assets(z) — (6.3)% |
| (171,110,567 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 2,709,958,293 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $4,529,181 and 0.2% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $71,877,819; cash collateral of $72,854,789 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown reflects yield to maturity at purchased date. (r) Less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions: | ||||||||||||||
192 | 2 Year U.S. Treasury Notes | Mar. 2021 | $ | 42,427,500 | $ | 36,526 | ||||||||
279 | 5 Year U.S. Treasury Notes | Mar. 2021 | 35,199,773 | 22,087 | ||||||||||
93 | 10 Year U.S. Ultra Treasury Notes | Mar. 2021 | 14,541,422 | (32,675 | ) | |||||||||
134 | 20 Year U.S. Treasury Bonds | Mar. 2021 | 23,207,125 | (169,895 | ) | |||||||||
334 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2021 | 71,329,875 | (421,827 | ) | |||||||||
8 | Mini MSCI EAFE Index | Mar. 2021 | 852,320 | 11,699 |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Futures contracts outstanding at December 31, 2020 (continued):
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions (cont’d): | ||||||||||||||
185 | S&P 500 E-Mini Index | Mar. 2021 | $ | 34,676,400 | $ | 685,765 | ||||||||
|
| |||||||||||||
131,680 | ||||||||||||||
|
| |||||||||||||
Short Positions: | ||||||||||||||
23 | 10 Year Euro-Bund | Mar. 2021 | 4,991,320 | (13,485 | ) | |||||||||
277 | 10 Year U.S. Treasury Notes | Mar. 2021 | 38,247,642 | (43,482 | ) | |||||||||
|
| |||||||||||||
(56,967 | ) | |||||||||||||
|
| |||||||||||||
$ | 74,713 | |||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at December 31, 2020:
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||||
Expiring 01/20/21 | Morgan Stanley & Co. International PLC | CAD | 1,700 | $ | 1,295,332 | $ | 1,335,653 | $ | — | $ | (40,321 | ) | ||||||||||||||
Euro, | ||||||||||||||||||||||||||
Expiring 01/12/21 | Citibank, N.A. | EUR | 494 | 591,841 | 603,834 | — | (11,993 | ) | ||||||||||||||||||
Expiring 01/12/21 | HSBC Bank USA, N.A. | EUR | 6,957 | 8,266,203 | 8,501,815 | — | (235,612 | ) | ||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||
$ | 10,153,376 | $ | 10,441,302 | $ | — | $ | (287,926 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
Credit default swap agreement outstanding at December 31, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2): |
| |||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 2,800 | 0.723 | % | $ | 8,506 | $ | 14,728 | $ | (6,222 | ) | Bank of America, N.A. | |||||||||||||||||
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|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at December 31, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
EUR 790 | 05/11/39 | 1.100%(A) | 1 Day EONIA(1)(A) | $ | (7,175 | ) | $ | (224,642 | ) | $ | (217,467 | ) | ||||||||||||
2,120 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (164,197 | ) | (164,197 | ) | ||||||||||||||||
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| |||||||||||||||||||
$ | (7,175 | ) | $ | (388,839 | ) | $ | (381,664 | ) | ||||||||||||||||
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|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at December 31, 2020:
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized (Depreciation)(2) | |||||||||||||||||
OTC Total Return Swap Agreement: |
| |||||||||||||||||||||||
Bloomberg Barclays Capital U.S. CMBS (ERISA Only) Index(M) | 1 Month LIBOR - 15 bps(M) | Barclays Bank PLC | 5/01/21 | 11,035 | $ | 79,395 | $ | — | $79,395 | |||||||||||||||
|
|
|
|
|
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 14,728 | $ | — | $ | 79,395 | $ | (6,222 | ) | |||||||
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|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 10,000 | $ | 4,550,021 | ||||
Goldman Sachs & Co. LLC | — | 2,974,587 | ||||||
|
|
|
| |||||
Total | $ | 10,000 | $ | 7,524,608 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. | |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. | |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | $ | 1,358,167,232 | $ | 30,856,820 | $ | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Exchange-Traded Funds | $ | 10,387,957 | $ | — | $ | — | ||||||
Preferred Stocks | 1,438,800 | 163,398 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 52,493,759 | — | |||||||||
Collateralized Loan Obligations | — | 87,623,028 | — | |||||||||
Consumer Loans | — | 4,689,182 | — | |||||||||
Equipment | — | 6,116,886 | — | |||||||||
Home Equity Loans | — | 62,138 | — | |||||||||
Other | — | 3,937,891 | — | |||||||||
Residential Mortgage-Backed Securities | — | 7,962,435 | 1,605,000 | |||||||||
Student Loans | — | 21,437,929 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 183,392,241 | — | |||||||||
Corporate Bonds | — | 322,672,472 | — | |||||||||
Municipal Bonds | — | 16,862,444 | — | |||||||||
Residential Mortgage-Backed Securities | — | 29,211,062 | 2,924,181 | |||||||||
Sovereign Bonds | — | 25,059,507 | — | |||||||||
U.S. Government Agency Obligations | — | 219,113,295 | — | |||||||||
U.S. Treasury Obligations | — | 35,463,701 | — | |||||||||
Affiliated Mutual Funds | 459,427,502 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,829,421,491 | $ | 1,047,118,188 | $ | 4,529,181 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 756,077 | $ | — | $ | — | ||||||
OTC Credit Default Swap Agreement | — | 8,506 | — | |||||||||
OTC Total Return Swap Agreement | — | 79,395 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 756,077 | $ | 87,901 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (681,364 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (287,926 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (381,664 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (681,364 | ) | $ | (669,590 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
Affiliated Mutual Funds (2.7% represents investments purchased with collateral from securities on loan) | 17.0 | % | ||
U.S. Government Agency Obligations | 8.1 | |||
Commercial Mortgage-Backed Securities | 6.8 | |||
Banks | 5.1 | |||
Software | 4.4 | |||
Technology Hardware, Storage & Peripherals | 3.5 | |||
Collateralized Loan Obligations | 3.2 | |||
Automobiles | 2.9 | |||
Pharmaceuticals | 2.9 | |||
IT Services | 2.8 | |||
Interactive Media & Services | 2.8 | |||
Semiconductors & Semiconductor Equipment | 2.6 | |||
Internet & Direct Marketing Retail | 2.5 |
Health Care Equipment & Supplies | 1.9 | % | ||
Residential Mortgage-Backed Securities | 1.6 | |||
Capital Markets | 1.4 | |||
Electric | 1.4 | |||
Health Care Providers & Services | 1.4 | |||
U.S. Treasury Obligations | 1.3 | |||
Chemicals | 1.2 | |||
Equity Real Estate Investment Trusts (REITs) | 1.2 | |||
Entertainment | 1.2 | |||
Media | 1.2 | |||
Insurance | 1.1 | |||
Specialty Retail | 1.1 | |||
Oil, Gas & Consumable Fuels | 1.1 | |||
Biotechnology | 1.0 |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification (continued):
Aerospace & Defense | 1.0 | % | ||
Sovereign Bonds | 0.9 | |||
Electric Utilities | 0.9 | |||
Beverages | 0.9 | |||
Machinery | 0.9 | |||
Hotels, Restaurants & Leisure | 0.9 | |||
Diversified Financial Services | 0.8 | |||
Household Products | 0.8 | |||
Telecommunications | 0.8 | |||
Student Loans | 0.8 | |||
Diversified Telecommunication Services | 0.7 | |||
Food & Staples Retailing | 0.7 | |||
Pipelines | 0.7 | |||
Oil & Gas | 0.6 | |||
Industrial Conglomerates | 0.6 | |||
Municipal Bonds | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Food Products | 0.5 | |||
Road & Rail | 0.5 | |||
Auto Manufacturers | 0.5 | |||
Multi-Utilities | 0.4 | |||
Communications Equipment | 0.4 | |||
Exchange-Traded Funds | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Air Freight & Logistics | 0.4 | |||
Tobacco | 0.4 | |||
Real Estate Investment Trusts (REITs) | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Retail | 0.3 | |||
Airlines | 0.3 | |||
Electrical Equipment | 0.3 | |||
Consumer Finance | 0.3 | |||
Multiline Retail | 0.3 | |||
Building Products | 0.2 | |||
Household Durables | 0.2 | |||
Equipment | 0.2 | |||
Gas | 0.2 | |||
Metals & Mining | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Semiconductors | 0.2 | |||
Healthcare-Services | 0.2 | |||
Professional Services | 0.2 | |||
Containers & Packaging | 0.2 |
Consumer Loans | 0.2 | % | ||
Wireless Telecommunication Services | 0.2 | |||
Other | 0.2 | |||
Agriculture | 0.2 | |||
Trading Companies & Distributors | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Healthcare-Products | 0.1 | |||
Personal Products | 0.1 | |||
Foods | 0.1 | |||
Commercial Services | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Engineering & Construction | 0.1 | |||
Housewares | 0.1 | |||
Transportation | 0.1 | |||
Auto Components | 0.1 | |||
Construction Materials | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Distributors | 0.1 | |||
Savings & Loans | 0.1 | |||
Water Utilities | 0.1 | |||
Electronics | 0.0 | * | ||
Construction & Engineering | 0.0 | * | ||
Real Estate Management & Development | 0.0 | * | ||
Multi-National | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Machinery-Diversified | 0.0 | * | ||
Health Care Technology | 0.0 | * | ||
Lodging | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Independent Power & Renewable Electricity Producers | 0.0 | * | ||
Leisure Products | 0.0 | * | ||
Gas Utilities | 0.0 | * | ||
Building Materials | 0.0 | * | ||
Oil & Gas Services | 0.0 | * | ||
Marine | 0.0 | * | ||
Home Equity Loans | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
|
| |||
106.3 | ||||
Liabilities in excess of other assets | (6.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Credit contracts | Premiums paid for OTC swap agreements | $ | 14,728 | — | $ | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Credit contracts | — | $ | — | Unrealized depreciation on OTC swap agreements | $ | 6,222 | ||||||
Equity contracts | Due from/to broker-variation margin futures | 697,464 | * | — | — | |||||||
Foreign exchange contracts | — | — | Unrealized depreciation on OTC forward foreign currency exchange contracts | 287,926 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 58,613 | * | Due from/to broker-variation margin futures | 681,364 | * | ||||||
Interest rate contracts | — | — | Due from/to broker-variation margin swaps | 381,664 | * | |||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 79,395 | — | — | ||||||||
|
|
|
| |||||||||
$ | 850,200 | $ | 1,357,176 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(1) | Warrants(1) | Options Purchased(1) | Options Written | Futures | Forward Currency Contracts | Swaps | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 473,393 | ||||||||||||||
Equity contracts | 4,546 | 745 | — | — | 5,510,976 | — | — | |||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | — | (462,902 | ) | — | ||||||||||||||||||||
Interest rate contracts | — | — | 581,135 | 174,112 | 8,762,452 | — | (11,136,936 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
|
|
| |||||||||||||||
Total | $ | 4,546 | $ | 745 | $ | 581,135 | $ | 174,112 | $ | 14,273,428 | $ | (462,902 | ) | $ | (10,663,543 | ) | ||||||||||||
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|
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(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(2) | Options Purchased(2) | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 198,664 | ||||||||||
Equity contracts | (11 | ) | — | 213,987 | — | — | ||||||||||||||
Foreign exchange contracts | — | — | — | (166,006 | ) | — | ||||||||||||||
Interest rate contracts | — | (357,380 | ) | 768,878 | — | 6,054,447 | ||||||||||||||
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| |||||||||||
Total | $ | (11 | ) | $ | (357,380 | ) | $ | 982,865 | $ | (166,006 | ) | $ | 6,253,111 | |||||||
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(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Forward Foreign | ||||
$74,013 | $251,800 | $200,817,159 | $103,008,520 | $4,854,735 |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Forward Foreign | Interest Rate | Credit Default | ||
$14,550,785 | $139,707,920 | $12,480,000 |
Credit Default | Total Return | |
$14,064,142 | $11,006,922 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 71,877,819 | $ | (71,877,819 | ) | $ | — | |||||
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|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/ (Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 14,728 | $ | (6,222 | ) | $ | 8,506 | $ | (8,506 | ) | $ | — | ||||||||
Barclays Bank PLC | 79,395 | — | 79,395 | (10,000 | ) | 69,395 | ||||||||||||||
Citibank, N.A. | — | (11,993 | ) | (11,993 | ) | — | (11,993 | ) | ||||||||||||
HSBC Bank USA, N.A. | — | (235,612 | ) | (235,612 | ) | — | (235,612 | ) | ||||||||||||
Morgan Stanley & Co. International PLC | — | (40,321 | ) | (40,321 | ) | — | (40,321 | ) | ||||||||||||
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|
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|
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|
|
|
|
| |||||||||||
$ | 94,123 | $ | (294,148 | ) | $ | (200,025 | ) | $ | (18,506 | ) | $ | (218,531 | ) | |||||||
|
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|
|
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|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value, including securities on loan of $71,877,819: | ||||
Unaffiliated investments (cost $1,318,261,929) | $ | 2,421,641,358 | ||
Affiliated investments (cost $459,326,364) | 459,427,502 | |||
Foreign currency, at value (cost $319,185) | 322,325 | |||
Cash | 34 | |||
Dividends and interest receivable | 6,085,334 | |||
Due from broker-variation margin futures | 519,667 | |||
Tax reclaim receivable | 302,733 | |||
Unrealized appreciation on OTC swap agreements | 79,395 | |||
Premiums paid for OTC swap agreements | 14,728 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 10,000 | |||
Receivable for investments sold | 9,457 | |||
Receivable from affiliate | 8,339 | |||
Receivable for Portfolio shares sold | 326 | |||
Prepaid expenses | 23,407 | |||
|
| |||
Total Assets | 2,888,444,605 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 102,061,324 | |||
Payable to broker for collateral for securities on loan | 72,854,789 | |||
Payable for Portfolio shares purchased | 1,484,287 | |||
Management fee payable | 1,252,007 | |||
Accrued expenses and other liabilities | 430,522 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 287,926 | |||
Payable to affiliate | 90,660 | |||
Due to broker-variation margin swaps | 13,702 | |||
Unrealized depreciation on OTC swap agreements | 6,222 | |||
Trustees’ fees payable | 3,893 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 178,486,312 | |||
|
| |||
NET ASSETS | $ | 2,709,958,293 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 2,709,958,293 | ||
|
| |||
Net asset value and redemption price per share, $2,709,958,293 / 77,460,209 outstanding shares of beneficial interest | $ | 34.99 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Interest income | $ | 28,474,192 | ||
Unaffiliated dividend income (net of $179,581 foreign withholding tax, of which $53,243 is reimbursable by an affiliate) | 24,025,479 | |||
Affiliated dividend income | 2,110,405 | |||
Income from securities lending, net (including affiliated income of $225,356) | 238,085 | |||
|
| |||
Total income | 54,848,161 | |||
|
| |||
EXPENSES | ||||
Management fee | 13,971,305 | |||
Custodian and accounting fees | 321,298 | |||
Shareholders’ reports | 212,683 | |||
Audit fee | 51,472 | |||
Trustees’ fees | 41,930 | |||
Legal fees and expenses | 34,306 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,680 | |||
Miscellaneous | 64,742 | |||
|
| |||
Total expenses | 14,708,416 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 40,139,745 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(83,912)) | 106,715,735 | |||
Futures transactions | 14,273,428 | |||
Forward currency contract transactions | (462,902 | ) | ||
Options written transactions | 174,112 | |||
Swap agreements transactions | (10,663,543 | ) | ||
Foreign currency transactions | 29,015 | |||
|
| |||
110,065,845 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $87,449) | 122,654,929 | |||
Futures | 982,865 | |||
Forward currency contracts | (166,006 | ) | ||
Swap agreements | 6,253,111 | |||
Foreign currencies | 11,907 | |||
|
| |||
129,736,806 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 239,802,651 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 279,942,396 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 40,139,745 | $ | 50,692,568 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 110,065,845 | 92,944,851 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 129,736,806 | 279,582,716 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 279,942,396 | 423,220,135 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [401,718 and 246,721 shares, respectively] | 12,730,292 | 7,257,351 | ||||||
Portfolio shares purchased [5,642,700 and 6,977,375 shares, respectively] | (179,703,549 | ) | (203,275,054 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (166,973,257 | ) | (196,017,703 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 13,184 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 112,969,139 | 227,215,616 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 2,596,989,154 | 2,369,773,538 | ||||||
|
|
|
| |||||
End of year | $ | 2,709,958,293 | $ | 2,596,989,154 | ||||
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|
SEE NOTES TO FINANCIAL STATEMENTS.
A35
DIVERSIFIED BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 99.5% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 24.5% |
| |||||||||||||||
Automobiles — 1.2% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2020-02, Class D |
| |||||||||||||||
2.130% | 03/18/26 | 300 | $ | 309,181 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 1,000 | 1,042,625 | |||||||||||||
Series 2020-02A, Class A, 144A |
| |||||||||||||||
2.020% | 02/20/27 | 900 | 916,864 | |||||||||||||
Chase Auto Credit Linked Notes, |
| |||||||||||||||
Series 2020-01, Class R, 144A |
| |||||||||||||||
33.784% | 01/25/28 | 796 | 1,166,905 | |||||||||||||
Series 2020-02, Class D, 144A |
| |||||||||||||||
1.487% | 02/25/28 | 1,200 | 1,201,635 | |||||||||||||
Exeter Automobile Receivables Trust, |
| |||||||||||||||
Series 2020-03A, Class C |
| |||||||||||||||
1.320% | 07/15/25 | 300 | 302,368 | |||||||||||||
Series 2020-03A, Class D |
| |||||||||||||||
1.730% | 07/15/26 | 200 | 202,721 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2018-04, Class A |
| |||||||||||||||
4.060% | 11/15/30 | 2,400 | 2,827,166 | |||||||||||||
Hertz Vehicle Financing II LP, |
| |||||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
3.420% | 05/25/25 | 434 | 435,086 | |||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.670% | 12/26/25 | 491 | 491,638 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 3,500 | 3,843,300 | |||||||||||||
Series 2019-01A, Class B, 144A |
| |||||||||||||||
3.950% | 11/14/28 | 800 | 880,551 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2020-02, Class D |
| |||||||||||||||
2.220% | 09/15/26 | 400 | 411,265 | |||||||||||||
Series 2020-03, Class D |
| |||||||||||||||
1.640% | 11/16/26 | 1,400 | 1,420,646 | |||||||||||||
|
| |||||||||||||||
15,451,951 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 18.4% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
1.606%(c) | 07/22/32 | 4,000 | 3,999,416 | |||||||||||||
Anchorage Credit Opportunities CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 1.950%) |
| |||||||||||||||
2.168%(c) | 01/20/32 | 3,000 | 2,984,639 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.517%(c) | 07/15/29 | 250 | 249,706 | |||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.490%(c) | 07/16/29 | 493 | 490,161 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Atrium (Cayman Islands), |
| |||||||||||||||
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.046%(c) | 04/22/27 | 7,881 | $ | 7,855,252 | ||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
1.587%(c) | 10/15/28 | 2,500 | 2,499,995 | |||||||||||||
Battalion CLO Ltd., |
| |||||||||||||||
Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
1.292%(c) | 05/17/31 | 3,000 | 2,985,174 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.487%(c) | 10/15/30 | 4,500 | 4,496,928 | |||||||||||||
Series 2019-18A, Class A, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 1.340%) |
| |||||||||||||||
1.577%(c) | 10/15/32 | 2,500 | 2,499,995 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.568%(c) | 01/17/28 | 2,500 | 2,482,870 | |||||||||||||
Carlyle US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.417%(c) | 01/15/30 | 4,000 | 3,990,196 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.476%(c) | 04/22/30 | 7,710 | 7,691,377 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% (Cap N/A, Floor 0.980%) |
| |||||||||||||||
1.195%(c) | 04/24/31 | 1,500 | 1,490,769 | |||||||||||||
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
| |||||||||||||||
1.326%(c) | 01/22/31 | 3,750 | 3,740,742 | |||||||||||||
Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.088%(c) | 04/19/29 | 5,000 | 4,972,703 | |||||||||||||
Columbia Cent CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2020-29A, Class A2, 144A, 3 Month LIBOR + 2.100% (Cap N/A, Floor 2.100%) |
| |||||||||||||||
2.319%(c) | 07/20/31 | 3,500 | 3,507,925 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.467%(c) | 10/15/29 | 7,500 | 7,491,741 | |||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.457%(c) | 07/15/30 | 5,250 | 5,231,698 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.247%(c) | 04/15/31 | 6,000 | 5,970,485 |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.245%(c) | 04/26/31 | 3,500 | $ | 3,488,755 | ||||||||||||
Hayfin Emerald CLO (Ireland), |
| |||||||||||||||
Series 5A, Class A, 144A, 3 Month EURIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
1.100%(c) | 11/17/32 | EUR | 10,500 | 12,834,611 | ||||||||||||
HPS Loan Management Ltd. (Cayman Islands), |
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Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
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1.536%(c) | 07/22/32 | 4,000 | 4,013,350 | |||||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.225%(c) | 02/05/31 | 3,973 | 3,953,184 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
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Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
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1.245%(c) | 04/25/31 | 2,494 | 2,476,483 | |||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.489%(c) | 10/23/29 | 1,250 | 1,249,996 | |||||||||||||
Madison Park Funding Ltd. (Cayman Islands), |
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Series 2016-21A, Class A1AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
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1.587%(c) | 10/15/32 | 1,750 | 1,749,996 | |||||||||||||
Mariner CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
| |||||||||||||||
1.325%(c) | 04/25/31 | 5,750 | 5,728,659 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
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1.329%(c) | 04/21/31 | 9,662 | 9,592,145 | |||||||||||||
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.374%(c) | 02/20/31 | 4,000 | 3,996,085 | |||||||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.440%(c) | 01/16/31 | 4,000 | 3,986,463 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
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Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
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1.474%(c) | 10/12/30 | 7,483 | 7,469,245 | |||||||||||||
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.357%(c) | 07/15/31 | 6,000 | 5,970,170 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
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Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.497%(c) | 07/15/30 | 750 | 749,999 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
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Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
1.498%(c) | 10/20/31 | 2,720 | 2,717,802 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.464%(c) | 10/30/30 | 1,236 | $ | 1,233,411 | ||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.608%(c) | 07/20/32 | 4,000 | 3,994,138 | |||||||||||||
Romark WM-R Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.248%(c) | 04/20/31 | 3,958 | 3,927,154 | |||||||||||||
Shackleton CLO Ltd. (Cayman Islands), |
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Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.313%(c) | 05/07/31 | 4,955 | 4,937,866 | |||||||||||||
Sixth Street CLO Ltd. (Cayman Islands), |
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Series 2020-16A, Class A1A, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
1.513%(c) | 10/20/32 | 12,500 | 12,513,596 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
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Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
1.285%(c) | 01/26/31 | 3,500 | 3,484,962 | |||||||||||||
Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.438%(c) | 10/20/30 | 5,750 | 5,742,008 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.458%(c) | 01/17/30 | 3,470 | 3,461,750 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.518%(c) | 07/20/27 | 6,000 | 5,959,658 | |||||||||||||
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.358%(c) | 01/20/31 | 3,000 | 2,995,603 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.637%(c) | 07/15/27 | 5,000 | 4,955,668 | |||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.425%(c) | 01/25/31 | 4,000 | 3,987,147 | |||||||||||||
Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.815%(c) | 01/25/31 | 1,500 | 1,490,709 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.117%(c) | 07/15/27 | 3,655 | 3,651,622 | |||||||||||||
Voya CLO Ltd. (Cayman Islands), |
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Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.447%(c) | 10/15/30 | 7,469 | 7,465,831 | |||||||||||||
Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%) |
| |||||||||||||||
1.185%(c) | 04/25/31 | 3,000 | 2,977,745 |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
1.368%(c) | 01/17/31 | 6,500 | $ | 6,462,115 | ||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.418%(c) | 10/20/31 | 2,750 | 2,736,217 | |||||||||||||
York CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.366%(c) | 01/22/31 | 2,000 | 1,992,092 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.607%(c) | 07/15/29 | 971 | 963,355 | |||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.187%(c) | 04/15/29 | 8,220 | 8,117,981 | |||||||||||||
|
| |||||||||||||||
237,659,343 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 1.7% |
| |||||||||||||||
Fairstone Financial Issuance Trust (Canada), |
| |||||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
2.509% | 10/20/39 | CAD | 400 | 312,378 | ||||||||||||
Lending Funding Trust, |
| |||||||||||||||
Series 2020-02A, Class A, 144A |
| |||||||||||||||
2.320% | 04/21/31 | 300 | 303,827 | |||||||||||||
Lendmark Funding Trust, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
4.230% | 04/20/27 | 1,600 | 1,645,095 | |||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.000% | 12/20/27 | 2,000 | 2,059,233 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
2.780% | 04/20/28 | 1,000 | 1,026,923 | |||||||||||||
Mariner Finance Issuance Trust, |
| |||||||||||||||
Series 2019-AA, Class A, 144A |
| |||||||||||||||
2.960% | 07/20/32 | 700 | 715,591 | |||||||||||||
Series 2020-AA, Class A, 144A |
| |||||||||||||||
2.190% | 08/21/34 | 500 | 507,622 | |||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class B, 144A |
| |||||||||||||||
2.790% | 09/14/32 | 500 | 501,855 | |||||||||||||
Series 2017-01A, Class C, 144A |
| |||||||||||||||
3.350% | 09/14/32 | 500 | 501,278 | |||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.300% | 03/14/29 | 930 | 939,149 | |||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
3.840% | 05/14/32 | 1,000 | 1,054,675 | |||||||||||||
Series 2020-02A, Class A, 144A |
| |||||||||||||||
1.750% | 09/14/35 | 1,800 | 1,832,265 | |||||||||||||
Oportun Funding IX LLC, |
| |||||||||||||||
Series 2018-B, Class A, 144A |
| |||||||||||||||
3.910% | 07/08/24 | 1,200 | 1,209,204 | |||||||||||||
Series 2018-B, Class C, 144A |
| |||||||||||||||
5.430% | 07/08/24 | 500 | 503,805 | |||||||||||||
Oportun Funding VIII LLC, |
| |||||||||||||||
Series 2018-A, Class A, 144A |
| |||||||||||||||
3.610% | 03/08/24 | 1,140 | 1,140,000 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Consumer Loans (cont’d.) |
| |||||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,400 | $ | 1,422,530 | ||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 1,000 | 1,017,418 | |||||||||||||
Oportun Funding XIII LLC, |
| |||||||||||||||
Series 2019-A, Class A, 144A |
| |||||||||||||||
3.080% | 08/08/25 | 1,400 | 1,419,012 | |||||||||||||
Series 2019-A, Class D, 144A |
| |||||||||||||||
6.220% | 08/08/25 | 1,800 | 1,813,808 | |||||||||||||
PNMAC GMSR Issuer Trust, |
| |||||||||||||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) |
| |||||||||||||||
2.998%(c) | 02/25/23 | 1,280 | 1,258,361 | |||||||||||||
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.798%(c) | 08/25/25 | 1,200 | 1,158,600 | |||||||||||||
|
| |||||||||||||||
22,342,629 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.4% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series 2018-A07, Class A7 |
| |||||||||||||||
3.960% | 10/13/30 | 1,900 | 2,293,734 | |||||||||||||
Newday Partnership Funding PLC (United Kingdom), |
| |||||||||||||||
Series 2020-01A, Class A3, 144A, 1 Month Sterling Overnight Index Average + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.448%(c) | 11/15/28 | GBP | 1,625 | 2,227,987 | ||||||||||||
|
| |||||||||||||||
4,521,721 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.1% |
| |||||||||||||||
Centex Home Equity Loan Trust, |
| |||||||||||||||
Series 2004-B, Class AF6 |
| |||||||||||||||
4.686% | 03/25/34 | 23 | 22,987 | |||||||||||||
Floating Rate Mortgage Pass-Through Certificates, |
| |||||||||||||||
Series 2001-02, Class M3, 1 Month LIBOR + 2.925% (Cap N/A, Floor 2.925%) |
| |||||||||||||||
3.073%(c) | 10/25/31 | 199 | 210,621 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.348%(c) | 08/25/35 | 144 | 142,879 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) |
| |||||||||||||||
1.168%(c) | 10/25/33 | 263 | 262,374 | |||||||||||||
|
| |||||||||||||||
638,861 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% |
| |||||||||||||||
PNMAC FMSR Issuer Trust, |
| |||||||||||||||
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.498%(c) | 04/25/23 | 120 | 116,070 |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Other (cont’d.) |
| |||||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||||
2.948%(c) | 06/25/24 | 2,250 | $ | 2,174,449 | ||||||||||||
|
| |||||||||||||||
2,290,519 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.7% |
| |||||||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.780%) |
| |||||||||||||||
0.928%(c) | 10/25/34 | 830 | 816,677 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,108 | 1,112,169 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS01, Class A1, 144A |
| |||||||||||||||
4.000% | 01/25/59 | 728 | 739,315 | |||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 817 | 818,715 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 1,331 | 1,337,115 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 366 | 369,381 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520% (Cap N/A, Floor 0.520%) |
| |||||||||||||||
0.668%(c) | 06/25/35 | 401 | 396,765 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 04/16/23 | EUR | 3,578 | 3,933,484 | ||||||||||||
|
| |||||||||||||||
9,523,621 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 1.8% |
| |||||||||||||||
Earnest Student Loan Program LLC, |
| |||||||||||||||
Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.548%(c) | 01/25/41 | 66 | 65,800 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2018-A, Class A, 144A |
| |||||||||||||||
0.000% | 02/25/43 | 2,980 | 1,887,975 | |||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
0.000%(cc) | 08/25/43 | 1,848 | 1,900,563 | |||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
0.000% | 11/25/43 | 1,859 | 1,926,152 | |||||||||||||
Series 2019-A, Class R, 144A |
| |||||||||||||||
0.000% | 10/25/48 | 3,243 | 275,621 | |||||||||||||
SoFi Alternative Trust, |
| |||||||||||||||
Series 2019-B, Class PT, 144A |
| |||||||||||||||
0.000% | 12/15/45 | 4,363 | 4,505,142 | |||||||||||||
Series 2019-D, Class 1PT, 144A |
| |||||||||||||||
2.639%(cc) | 01/16/46 | 3,950 | 4,078,940 | |||||||||||||
Series 2019-F, Class PT1, 144A |
| |||||||||||||||
3.932%(cc) | 02/15/45 | 3,639 | 3,743,947 | |||||||||||||
SoFi RR Funding II Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
1.398%(c) | 11/29/24 | 3,305 | 3,266,035 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (cont’d.) |
| |||||||||||||||
SoFi RR Funding III Trust, |
| |||||||||||||||
Series 2020-01, Class A, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 3.750%) |
| |||||||||||||||
3.898%(c) | 11/29/24 | 1,939 | $ | 1,958,131 | ||||||||||||
|
| |||||||||||||||
23,608,306 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 316,036,951 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 0.8% |
| |||||||||||||||
Auto Manufacturers — 0.0% |
| |||||||||||||||
Navistar, Inc., |
| |||||||||||||||
Tranche B Term Loan, 1 Month LIBOR + 3.500% |
| |||||||||||||||
3.660%(c) | 11/06/24 | 250 | 249,453 | |||||||||||||
|
| |||||||||||||||
Commercial Services — 0.2% |
| |||||||||||||||
Financial & Risk Holdings, Inc., |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 3.250% |
| |||||||||||||||
3.397%(c) | 10/01/25 | 2,967 | 2,961,403 | |||||||||||||
|
| |||||||||||||||
Foods — 0.2% |
| |||||||||||||||
Sigma Bidco BV (Netherlands), |
| |||||||||||||||
Facility B4 Loan, 1 Month GBP LIBOR + 4.000% |
| |||||||||||||||
4.036%(c) | 07/02/25 | GBP | 1,550 | 2,068,989 | ||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.0% |
| |||||||||||||||
Vertiv Group Corp., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.153%(c) | 03/02/27 | 250 | 248,214 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.1% |
| |||||||||||||||
Ascent Resources Utica Holdings LLC, |
| |||||||||||||||
Second Lien Term Loan, 3 Month LIBOR + 9.000% |
| |||||||||||||||
10.000%(c) | 11/01/25 | 388 | 420,980 | |||||||||||||
Chesapeake Energy Corp., |
| |||||||||||||||
Class A Loan, 3 Month LIBOR + 8.000% (Cap N/A, Floor 1.000%) |
| |||||||||||||||
9.000%(c) | 06/24/24 | 1,525 | 1,227,625 | |||||||||||||
|
| |||||||||||||||
1,648,605 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.1% |
| |||||||||||||||
Nidda Healthcare Holding GmbH (Germany), |
| |||||||||||||||
Term Loan F(GBP), 3 Month GBP LIBOR + 4.500% |
| |||||||||||||||
4.551%(c) | 08/21/26 | GBP | 1,000 | 1,334,452 | ||||||||||||
|
| |||||||||||||||
Retail — 0.1% |
| |||||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD), 3 Month LIBOR + 8.000% |
| |||||||||||||||
9.000%(c) | 04/20/26 | 565 | 547,150 | |||||||||||||
EG Finco Ltd. (United Kingdom), |
| |||||||||||||||
Second Lien Term Loan, 3 Month EURIBOR + 7.750% |
| |||||||||||||||
8.750%(c) | 04/20/26 | EUR | 374 | 444,638 | ||||||||||||
|
| |||||||||||||||
991,788 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
Dun & Bradstreet Corp. (The), |
| |||||||||||||||
Term Loan B, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.898%(c) | 02/06/26 | 773 | 772,280 | |||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 10,275,184 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 15.3% |
| |||||||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-UB10, Class A3 |
| |||||||||||||||
2.903% | 07/15/49 | 2,300 | $ | 2,474,569 | ||||||||||||
BANK, | ||||||||||||||||
Series 2017-BNK05, Class A4 |
| |||||||||||||||
3.131% | 06/15/60 | 4,400 | 4,913,107 | |||||||||||||
Series 2017-BNK06, Class A4 |
| |||||||||||||||
3.254% | 07/15/60 | 920 | 1,024,065 | |||||||||||||
Series 2017-BNK08, Class A3 |
| |||||||||||||||
3.229% | 11/15/50 | 1,950 | 2,161,081 | |||||||||||||
Series 2019-BN18, Class A3 |
| |||||||||||||||
3.325% | 05/15/62 | 1,500 | 1,689,552 | |||||||||||||
Series 2020-BN29, Class A3 |
| |||||||||||||||
1.742% | 11/15/53 | 1,000 | 1,015,573 | |||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-ETC, Class A, 144A |
| |||||||||||||||
2.937% | 08/14/36 | 1,170 | 1,127,166 | |||||||||||||
Series 2016-ETC, Class B, 144A |
| |||||||||||||||
3.189% | 08/14/36 | 510 | 463,494 | |||||||||||||
Series 2016-ETC, Class C, 144A |
| |||||||||||||||
3.391% | 08/14/36 | 430 | 358,569 | |||||||||||||
Series 2016-ETC, Class D, 144A |
| |||||||||||||||
3.609%(cc) | 08/14/36 | 1,560 | 1,201,725 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2019-B09, Class A4 |
| |||||||||||||||
3.751% | 03/15/52 | 3,400 | 3,904,259 | |||||||||||||
Series 2020-B18, Class A4 |
| |||||||||||||||
1.672% | 07/15/53 | 2,900 | 2,936,704 | |||||||||||||
Series 2020-B21, Class A4 |
| |||||||||||||||
1.704% | 12/17/53 | 1,000 | 1,013,415 | |||||||||||||
BFLD Trust, |
| |||||||||||||||
Series 2020-OBRK, Class A, 144A, 1 Month LIBOR + 2.050% (Cap N/A, Floor 2.050%) |
| |||||||||||||||
2.209%(c) | 11/15/28 | 4,000 | 3,999,996 | |||||||||||||
BX Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-XL, Class G, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%) |
| |||||||||||||||
2.459%(c) | 10/15/36 | 1,519 | 1,506,630 | |||||||||||||
Series 2020-BXLP, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.159%(c) | 12/15/36 | 1,499 | 1,462,939 | |||||||||||||
Cantor Commercial Real Estate Lending, |
| |||||||||||||||
Series 2019-CF02, Class A3 |
| |||||||||||||||
2.647% | 11/15/52 | 7,700 | 8,029,437 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD05, Class A3 |
| |||||||||||||||
3.171% | 08/15/50 | 3,500 | 3,877,422 | |||||||||||||
CFK Trust, |
| |||||||||||||||
Series 2020-MF02, Class A, 144A |
| |||||||||||||||
2.387% | 03/15/39 | 6,550 | 6,824,154 | |||||||||||||
CityLine Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-CLNE, Class B, 144A |
| |||||||||||||||
2.778%(cc) | 11/10/31 | 2,400 | 2,431,006 | |||||||||||||
Series 2016-CLNE, Class C, 144A |
| |||||||||||||||
2.778%(cc) | 11/10/31 | 900 | 895,660 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Cold Storage Trust, |
| |||||||||||||||
Series 2020-ICE05, Class E, 144A, 1 Month LIBOR + 2.766% (Cap N/A, Floor 2.833%) |
| |||||||||||||||
2.924%(c) | 11/15/37 | 1,350 | $ | 1,346,614 | ||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-UBS04, Class A4 |
| |||||||||||||||
3.420% | 08/10/47 | 3,200 | 3,400,696 | |||||||||||||
Series 2014-UBS05, Class A4 |
| |||||||||||||||
3.838% | 09/10/47 | 3,600 | 3,972,785 | |||||||||||||
Series 2015-DC01, Class A4 |
| |||||||||||||||
3.078% | 02/10/48 | 5,000 | 5,269,163 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 820 | 917,250 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 730 | 816,486 | |||||||||||||
Series 2016-COR01, Class A3 |
| |||||||||||||||
2.826% | 10/10/49 | 2,500 | 2,674,502 | |||||||||||||
Series 2017-COR02, Class A2 |
| |||||||||||||||
3.239% | 09/10/50 | 4,500 | 5,017,234 | |||||||||||||
Credit Suisse Mortgage Capital Certificates, |
| |||||||||||||||
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%) |
| |||||||||||||||
2.309%(c) | 05/15/36 | 2,600 | 2,584,746 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-C16, Class A2 |
| |||||||||||||||
3.067% | 06/15/52 | 1,200 | 1,289,237 | |||||||||||||
DBWF Mortgage Trust, |
| |||||||||||||||
Series 2016-85T, Class D, 144A |
| |||||||||||||||
3.808%(cc) | 12/10/36 | 1,400 | 1,430,202 | |||||||||||||
Deutsche Bank Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C06, Class A4 |
| |||||||||||||||
3.071% | 06/10/50 | 2,800 | 3,118,953 | |||||||||||||
Eleven Madison Mortgage Trust, |
| |||||||||||||||
Series 2015-11MD, Class C, 144A |
| |||||||||||||||
3.555%(cc) | 09/10/35 | 3,000 | 3,193,898 | �� | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.345%(cc) | 05/25/22 | 24,456 | 360,613 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.404%(cc) | 06/25/22 | 14,334 | 211,717 | |||||||||||||
Series K025, Class X1, IO |
| |||||||||||||||
0.799%(cc) | 10/25/22 | 9,732 | 111,148 | |||||||||||||
Series K027, Class X1, IO |
| |||||||||||||||
0.738%(cc) | 01/25/23 | 123,200 | 1,455,777 | |||||||||||||
Series K044, Class X1, IO |
| |||||||||||||||
0.732%(cc) | 01/25/25 | 80,056 | 1,927,692 | |||||||||||||
Series K053, Class X1, IO |
| |||||||||||||||
0.886%(cc) | 12/25/25 | 87,569 | 3,400,494 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.362%(cc) | 03/25/26 | 13,606 | 836,342 | |||||||||||||
Series KG03, Class X1, IO |
| |||||||||||||||
1.381%(cc) | 06/25/30 | 29,350 | 3,107,948 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-GC18, Class A4 |
| |||||||||||||||
4.074% | 01/10/47 | 10,550 | 11,441,331 | |||||||||||||
Series 2015-GC30, Class A3 |
| |||||||||||||||
3.119% | 05/10/50 | 2,984 | 3,207,932 |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2017-GS06, Class A2 |
| |||||||||||||||
3.164% | 05/10/50 | 3,400 | $ | 3,747,716 | ||||||||||||
Series 2019-GC38, Class A3 |
| |||||||||||||||
3.703% | 02/10/52 | 5,800 | 6,751,570 | |||||||||||||
IMT Trust, | ||||||||||||||||
Series 2017-APTS, Class AFX, 144A |
| |||||||||||||||
3.478% | 06/15/34 | 310 | 333,078 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A3A |
| |||||||||||||||
2.881% | 06/15/49 | 1,070 | 1,140,052 | |||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.414% | 03/15/50 | 1,975 | 2,182,254 | |||||||||||||
Series 2017-C07, Class A4 |
| |||||||||||||||
3.147% | 10/15/50 | 3,600 | 3,998,264 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., |
| |||||||||||||||
Series 2018-AON, Class E, 144A |
| |||||||||||||||
4.613%(cc) | 07/05/31 | 5,875 | 5,960,932 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-JP02, Class A3 |
| |||||||||||||||
2.559% | 08/15/49 | 2,863 | 3,049,279 | |||||||||||||
KKR Industrial Portfolio Trust, |
| |||||||||||||||
Series 2020-AIP, Class E, 144A, 1 Month LIBOR + 2.626% (Cap N/A, Floor 2.626%) |
| |||||||||||||||
2.785%(c) | 03/15/37 | 771 | 761,697 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2012-C05, Class XA, IO, 144A |
| |||||||||||||||
1.414%(cc) | 08/15/45 | 34,433 | 537,072 | |||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,531 | 1,586,584 | |||||||||||||
Series 2013-C10, Class A3 |
| |||||||||||||||
3.967%(cc) | 07/15/46 | 4,340 | 4,611,730 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2017-H01, Class A4 |
| |||||||||||||||
3.259% | 06/15/50 | 2,750 | 3,066,917 | |||||||||||||
Series 2017-HR02, Class A3 |
| |||||||||||||||
3.330% | 12/15/50 | 5,500 | 6,152,084 | |||||||||||||
Series 2019-L03, Class A3 |
| |||||||||||||||
2.874% | 11/15/52 | 1,200 | 1,314,758 | |||||||||||||
Series 2019-MEAD, Class E, 144A |
| |||||||||||||||
3.177%(cc) | 11/10/36 | 575 | 450,890 | |||||||||||||
Shops at Crystals Trust, |
| |||||||||||||||
Series 2016-CSTL, Class A, 144A |
| |||||||||||||||
3.126% | 07/05/36 | 140 | 140,138 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C02, Class A3 |
| |||||||||||||||
3.225% | 08/15/50 | 4,400 | 4,784,557 | |||||||||||||
Series 2017-C07, Class A3 |
| |||||||||||||||
3.418% | 12/15/50 | 5,600 | 6,270,163 | |||||||||||||
Series 2018-C10, Class A3 |
| |||||||||||||||
4.048% | 05/15/51 | 2,200 | 2,542,698 | |||||||||||||
Series 2019-C17, Class A3 |
| |||||||||||||||
2.669% | 10/15/52 | 2,000 | 2,122,049 | |||||||||||||
Series 2019-C17, Class ASB |
| |||||||||||||||
2.866% | 10/15/52 | 600 | 662,243 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 830 | 850,139 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-LC16, Class A4 |
| |||||||||||||||
3.548% | 08/15/50 | 4,130 | $ | 4,398,310 | ||||||||||||
Series 2016-C32, Class A3 |
| |||||||||||||||
3.294% | 01/15/59 | 2,250 | 2,439,100 | |||||||||||||
Series 2016-C34, Class A3 |
| |||||||||||||||
2.834% | 06/15/49 | 2,500 | 2,658,895 | |||||||||||||
Series 2016-C35, Class A3 |
| |||||||||||||||
2.674% | 07/15/48 | 4,600 | 4,900,145 | |||||||||||||
Series 2017-C40, Class A3 |
| |||||||||||||||
3.317% | 10/15/50 | 1,370 | 1,492,270 | |||||||||||||
Series 2019-C54, Class A3 |
| |||||||||||||||
2.892% | 12/15/52 | 1,200 | 1,326,894 | |||||||||||||
Series 2020-C56, Class A4 |
| |||||||||||||||
2.194% | 06/15/53 | 3,600 | 3,759,548 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 198,395,309 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 39.3% |
| |||||||||||||||
Aerospace & Defense — 0.5% |
| |||||||||||||||
BAE Systems PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.900% | 02/15/31 | (a) | 2,770 | 2,797,376 | ||||||||||||
3.400% | 04/15/30 | 385 | 434,950 | |||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 08/01/59 | 1,450 | 1,545,706 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 1,115 | 1,328,966 | |||||||||||||
|
| |||||||||||||||
6,106,998 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.4% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.259% | 03/25/28 | (a) | 1,530 | 1,581,461 | ||||||||||||
3.222% | 08/15/24 | 2,810 | 3,042,199 | |||||||||||||
|
| |||||||||||||||
4,623,660 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.6% |
| |||||||||||||||
American Airlines 2016-1 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.575% | 07/15/29 | 1,485 | 1,471,276 | |||||||||||||
Continental Airlines 2001-1 Class A-1 Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.703% | 12/15/22 | — | (r) | 189 | ||||||||||||
Continental Airlines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
5.983% | 10/19/23 | 960 | 971,089 | |||||||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 219 | 219,117 | |||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 680 | 696,430 |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines (cont’d.) |
| |||||||||||||||
Southwest Airlines Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 06/15/27 | 3,255 | $ | 3,869,812 | ||||||||||||
United Airlines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.636% | 01/02/24 | 462 | 464,377 | |||||||||||||
|
| |||||||||||||||
7,692,290 | ||||||||||||||||
|
| |||||||||||||||
Apparel — 0.1% |
| |||||||||||||||
Levi Strauss & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 05/01/25 | 1,500 | 1,540,966 | |||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.9% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 04/12/21 | 570 | 574,103 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 01/15/43 | 1,125 | 1,140,212 | |||||||||||||
5.291% | 12/08/46 | 290 | 303,118 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 11/01/22 | 3,800 | 3,858,194 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/02/23 | 1,350 | 1,498,335 | |||||||||||||
5.150% | 04/01/38 | 1,000 | 1,198,948 | |||||||||||||
6.250% | 10/02/43 | 1,455 | 1,962,174 | |||||||||||||
6.600% | 04/01/36 | 210 | 285,264 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
1.080%(c) | 04/09/21 | 610 | 610,472 | |||||||||||||
Gtd. Notes |
| |||||||||||||||
3.550% | 04/09/21 | 460 | 463,421 | |||||||||||||
|
| |||||||||||||||
11,894,241 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.5% |
| |||||||||||||||
Adient Global Holdings Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 08/15/24 | EUR | 701 | 852,277 | ||||||||||||
Adient US LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/26 | 175 | 190,478 | |||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.500% | 04/01/27 | (a) | 1,225 | 1,289,235 | ||||||||||||
Cooper-Standard Automotive, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/26 | 1,150 | 1,060,134 | |||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/25 | (a) | 875 | 907,762 | ||||||||||||
Dana, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 11/15/27 | (a) | 350 | 371,342 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Parts & Equipment (cont’d.) |
| |||||||||||||||
LKQ Italia Bondco SpA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/24 | EUR | 1,275 | $ | 1,682,212 | |||||||||||
|
| |||||||||||||||
6,353,440 | ||||||||||||||||
|
| |||||||||||||||
Banks — 8.5% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
1.344%(c) | 04/12/23 | 400 | 403,307 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 600 | 643,575 | |||||||||||||
Sub. Notes |
| |||||||||||||||
2.749% | 12/03/30 | 1,000 | 1,031,164 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | — | (rr) | 1,655 | 1,744,544 | ||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | — | (rr) | 1,575 | 1,619,330 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.593%(ff) | 07/21/28 | 740 | 840,819 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.824%(ff) | 01/20/28 | 3,185 | 3,656,084 | |||||||||||||
3.974%(ff) | 02/07/30 | 685 | 806,885 | |||||||||||||
4.078%(ff) | 04/23/40 | 2,340 | 2,868,683 | |||||||||||||
4.125% | 01/22/24 | 3,750 | 4,162,705 | |||||||||||||
4.271%(ff) | 07/23/29 | 910 | 1,082,385 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,117 | 1,255,215 | |||||||||||||
4.450% | 03/03/26 | 1,735 | 2,023,011 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 700 | 772,853 | |||||||||||||
3.684% | 01/10/23 | 480 | 494,632 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | (a) | 475 | 570,826 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.836% | 05/09/28 | 720 | 832,690 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.904%(ff) | 09/30/28 | 2,200 | 2,240,990 | |||||||||||||
4.400% | 08/14/28 | 420 | 497,488 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.800% | 01/10/24 | (a) | 855 | 931,818 | ||||||||||||
BPCE SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.500% | 10/23/27 | 300 | 336,324 | |||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
4.500% | 03/15/25 | 1,120 | 1,265,170 | |||||||||||||
4.875% | 04/01/26 | (a) | 380 | 448,429 | ||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q, 3 Month LIBOR + 4.095% |
| |||||||||||||||
4.316%(c) | — | (a)(rr) | 1,355 | 1,354,086 | ||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | — | (rr) | 1,435 | 1,474,400 | ||||||||||||
Jr. Sub. Notes, Series W |
| |||||||||||||||
4.000%(ff) | — | (rr) | 880 | 904,016 |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.666%(ff) | 01/29/31 | 1,225 | $ | 1,312,626 | ||||||||||||
3.200% | 10/21/26 | 3,255 | 3,637,880 | |||||||||||||
3.887%(ff) | 01/10/28 | 1,710 | 1,964,485 | |||||||||||||
8.125% | 07/15/39 | 1,060 | 1,896,564 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 2,630 | 3,104,379 | |||||||||||||
Credit Suisse AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.625% | 09/09/24 | 1,050 | 1,165,911 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290% |
| |||||||||||||||
1.510%(c) | 02/04/21 | 1,025 | 1,025,113 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 02/04/21 | 950 | 952,465 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 900 | 907,483 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.700% | 05/30/24 | 159 | 171,454 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 1,350 | 1,411,165 | |||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 07/27/26 | 280 | 313,577 | |||||||||||||
4.250% | 03/13/26 | 1,150 | 1,324,718 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.128%(c) | — | (a)(rr) | 1,950 | 1,942,622 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.272%(ff) | 09/29/25 | 4,063 | 4,449,210 | |||||||||||||
3.750% | 02/25/26 | 125 | 142,113 | |||||||||||||
3.814%(ff) | 04/23/29 | 1,060 | 1,226,353 | |||||||||||||
3.850% | 01/26/27 | 1,765 | 2,015,903 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.583%(ff) | 06/19/29 | 1,000 | 1,182,703 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series FF |
| |||||||||||||||
5.000%(ff) | — | (rr) | 1,000 | 1,050,446 | ||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | — | (a)(rr) | 400 | 412,590 | ||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
3.684%(c) | — | (rr) | 2,998 | 2,983,179 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | — | (a)(rr) | 1,350 | 1,353,412 | ||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | — | (rr) | 1,450 | 1,587,736 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525%(ff) | 11/19/41 | 2,330 | 2,394,786 | |||||||||||||
2.950% | 10/01/26 | 1,740 | 1,931,531 | |||||||||||||
3.200% | 06/15/26 | 3,020 | 3,379,264 | |||||||||||||
3.509%(ff) | 01/23/29 | 1,435 | 1,638,831 | |||||||||||||
3.782%(ff) | 02/01/28 | 965 | 1,108,298 | |||||||||||||
3.964%(ff) | 11/15/48 | 985 | 1,237,052 | |||||||||||||
4.005%(ff) | 04/23/29 | 1,200 | 1,407,140 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 10/01/27 | (a) | 420 | 497,798 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
3.847%(c) | — | (a)(rr) | 975 | $ | 967,652 | |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | 895 | 1,214,949 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.772%(ff) | 01/24/29 | (a) | 1,875 | 2,170,754 | ||||||||||||
4.431%(ff) | 01/23/30 | 1,340 | 1,632,786 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.794%(ff) | 02/13/32 | 915 | 920,297 | |||||||||||||
3.125% | 07/27/26 | 2,725 | 3,051,340 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 750 | 882,733 | |||||||||||||
PNC Financial Services Group, Inc. (The), |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
3.900% | 04/29/24 | 975 | 1,078,353 | |||||||||||||
Truist Financial Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series N |
| |||||||||||||||
4.800%(ff) | — | (rr) | 960 | 1,010,248 | ||||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 1,100 | 1,140,316 | |||||||||||||
3.491% | 05/23/23 | 2,970 | 3,091,090 | |||||||||||||
UniCredit SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.569%(ff) | 09/22/26 | (a) | 685 | 697,939 | ||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.068%(ff) | 04/30/41 | 2,675 | 2,910,169 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 3,500 | 3,713,023 | |||||||||||||
|
| |||||||||||||||
109,871,865 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.3% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.900% | 02/01/46 | 1,880 | 2,445,120 | |||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.550% | 01/23/49 | 1,440 | 2,038,836 | |||||||||||||
|
| |||||||||||||||
4,483,956 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.2% |
| |||||||||||||||
Masco Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.000% | 10/01/30 | (a) | 925 | 941,912 | ||||||||||||
Masonite International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 02/01/28 | 525 | 561,771 | |||||||||||||
SRM Escrow Issuer LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.000% | 11/01/28 | 1,275 | 1,331,930 | |||||||||||||
U.S. Concrete, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 06/01/24 | (a) | 199 | 205,112 | ||||||||||||
|
| |||||||||||||||
3,040,725 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals — 1.1% |
| |||||||||||||||
Ashland LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/43 | 1,400 | $ | 1,860,559 | ||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/01/43 | 675 | 831,140 | |||||||||||||
5.375% | 03/15/44 | 700 | 886,272 | |||||||||||||
Chemours Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 05/15/25 | (a) | 1,000 | 1,034,711 | ||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 07/15/43 | 1,000 | 1,302,120 | |||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 11/15/43 | 155 | 200,402 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 1,150 | 1,200,661 | |||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 06/01/43 | 870 | 1,118,436 | |||||||||||||
5.250% | 01/15/45 | 420 | 575,064 | |||||||||||||
6.125% | 01/15/41 | 450 | 646,460 | |||||||||||||
Nutrition & Biosciences, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.468% | 12/01/50 | (a) | 1,495 | 1,619,692 | ||||||||||||
Sasol Financing International Ltd. (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/14/22 | 1,525 | 1,554,080 | |||||||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 375 | 399,059 | |||||||||||||
Sherwin-Williams Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 08/01/25 | 445 | 490,924 | |||||||||||||
TPC Group, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 08/01/24 | 450 | 371,980 | |||||||||||||
|
| |||||||||||||||
14,091,560 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.9% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.700% | 06/01/34 | 920 | 1,351,674 | |||||||||||||
7.000% | 10/15/37 | (a) | 770 | 1,191,562 | ||||||||||||
Gartner, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 07/01/28 | 470 | 496,127 | |||||||||||||
Loxam SAS (France), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.250% | 01/14/25 | EUR | 1,200 | 1,465,980 | ||||||||||||
Sr. Sub. Notes |
| |||||||||||||||
4.500% | 04/15/27 | EUR | 1,650 | 1,935,094 | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 04/15/22 | 627 | 628,584 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services (cont’d.) |
| |||||||||||||||
Refinitiv US Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 11/15/26 | 950 | $ | 1,038,872 | ||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 02/15/31 | 250 | 262,696 | |||||||||||||
4.000% | 07/15/30 | 250 | 263,573 | |||||||||||||
4.875% | 01/15/28 | (a) | 1,325 | 1,418,517 | ||||||||||||
5.250% | 01/15/30 | (a) | 525 | 584,757 | ||||||||||||
5.500% | 05/15/27 | (a) | 975 | 1,043,883 | ||||||||||||
|
| |||||||||||||||
11,681,319 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.1% |
| |||||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 12/15/25 | (a) | 780 | 807,381 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.4% |
| |||||||||||||||
Charles Schwab Corp. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series H |
| |||||||||||||||
4.000%(ff) | — | (rr) | 1,335 | 1,401,437 | ||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 650 | 897,830 | |||||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 08/15/28 | 880 | 931,425 | |||||||||||||
6.000% | 01/15/27 | 275 | 292,592 | |||||||||||||
OneMain Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 11/15/29 | (a) | 1,125 | 1,256,100 | ||||||||||||
Power Finance Corp. Ltd. (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.150% | 12/06/28 | 400 | 486,205 | |||||||||||||
|
| |||||||||||||||
5,265,589 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.9% |
| |||||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 07/01/23 | 550 | 585,446 | |||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 02/01/29 | 600 | 615,820 | |||||||||||||
5.000% | 02/01/31 | 750 | 782,579 | |||||||||||||
5.125% | 03/15/28 | 1,000 | 1,053,051 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.300% | 12/01/56 | 235 | 298,827 | |||||||||||||
Dominion Energy South Carolina, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.600% | 06/15/43 | 2,025 | 2,698,944 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 2,710 | 2,733,608 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 2,325 | 3,206,709 |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Eskom Holdings SOC Ltd. (South Africa), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/26/21 | 520 | $ | 517,400 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/26/21 | 1,300 | 1,293,501 | |||||||||||||
7.125% | 02/11/25 | 390 | 399,505 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/01/39 | 1,900 | 2,291,066 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.350% | 01/15/25 | 3,750 | 4,083,976 | |||||||||||||
5.450% | 07/15/44 | 340 | 429,217 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 1,150 | 1,551,588 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 680 | 785,101 | |||||||||||||
Kentucky Utilities Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.375% | 10/01/45 | 3,050 | 3,949,018 | |||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 07/13/21 | 250 | 255,588 | |||||||||||||
Narragansett Electric Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.395% | 04/09/30 | 1,050 | 1,193,661 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.250% | 05/15/26 | 1,235 | 1,303,287 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 06/15/29 | 375 | 412,223 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.000% | 12/02/25 | 280 | 290,091 | |||||||||||||
2.450% | 12/02/27 | 1,210 | 1,269,914 | |||||||||||||
PacifiCorp, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.300% | 03/15/51 | 380 | 437,362 | |||||||||||||
Tucson Electric Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/15/50 | 1,500 | 1,834,313 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 450 | 479,361 | |||||||||||||
5.625% | 02/15/27 | 600 | 637,859 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.700% | 01/30/27 | 2,000 | 2,200,784 | |||||||||||||
|
| |||||||||||||||
37,589,799 | ||||||||||||||||
|
| |||||||||||||||
Electrical Components & Equipment — 0.1% |
| |||||||||||||||
WESCO Distribution, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 06/15/25 | 575 | 632,153 | |||||||||||||
7.250% | 06/15/28 | (a) | 550 | 624,719 | ||||||||||||
|
| |||||||||||||||
1,256,872 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Sensata Technologies BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/25 | 1,000 | $ | 1,108,597 | ||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.2% |
| |||||||||||||||
GMR Hyderabad International Airport Ltd. (India), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/27/27 | 345 | 330,350 | |||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/31/26 | 605 | 642,407 | |||||||||||||
5.500% | 07/31/47 | 1,690 | 1,770,157 | |||||||||||||
|
| |||||||||||||||
2,742,914 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 0.3% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A, Cash coupon 10.000% / PIK 12.000% or Cash coupon 5.000% and PIK 6.000% |
| |||||||||||||||
12.000% | 06/15/26 | 1,238 | 270,643 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 04/24/26 | 186 | 126,129 | |||||||||||||
Caesars Entertainment, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 07/01/25 | 860 | 915,694 | |||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 10/15/25 | (a) | 700 | 706,608 | ||||||||||||
CPUK Finance Ltd. (United Kingdom), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
4.875% | 02/28/47 | GBP125 | 170,083 | |||||||||||||
Golden Entertainment, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.625% | 04/15/26 | 875 | 937,323 | |||||||||||||
Penn National Gaming, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 01/15/27 | (a) | 800 | 836,002 | ||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/28 | 175 | 187,872 | |||||||||||||
|
| |||||||||||||||
4,150,354 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.6% |
| |||||||||||||||
Ingles Markets, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 06/15/23 | 42 | 42,445 | |||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | 1,800 | 1,858,787 | |||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/39 | 645 | 717,135 | |||||||||||||
4.875% | 10/01/49 | (a) | 1,325 | 1,537,718 | ||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/39 | 440 | 536,965 | |||||||||||||
4.200% | 04/01/59 | 380 | 503,367 |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods (cont’d.) |
| |||||||||||||||
McCormick & Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/15/30 | 2,000 | $ | 2,139,173 | ||||||||||||
|
| |||||||||||||||
7,335,590 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.300% | 11/15/39 | 1,000 | 1,594,111 | |||||||||||||
|
| |||||||||||||||
Gas — 0.3% |
| |||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 08/20/26 | 1,100 | 1,233,417 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/01/30 | 375 | 434,060 | |||||||||||||
4.800% | 02/15/44 | 300 | 394,073 | |||||||||||||
Southern Co. Gas Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.400% | 06/01/43 | 1,050 | 1,289,697 | |||||||||||||
|
| |||||||||||||||
3,351,247 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.5% |
| |||||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 1,275 | 1,675,734 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.375% | 10/15/40 | EUR | 540 | 718,627 | ||||||||||||
1.625% | 03/07/31 | EUR | 200 | 278,206 | ||||||||||||
1.625% | 10/15/50 | EUR | 495 | 674,578 | ||||||||||||
2.250% | 03/07/39 | EUR | 300 | 454,328 | ||||||||||||
Stryker Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 11/30/27 | EUR | 510 | 707,340 | ||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
1.500% | 10/01/39 | EUR | 600 | 805,573 | ||||||||||||
1.875% | 10/01/49 | EUR | 425 | 600,155 | ||||||||||||
|
| |||||||||||||||
5,914,541 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 1.0% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/15/37 | 1,900 | 2,898,462 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 01/15/43 | 385 | 505,427 | |||||||||||||
DaVita, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/30 | 1,025 | 1,089,931 | |||||||||||||
Encompass Health Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/01/30 | 500 | 535,211 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 1,475 | 1,657,546 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (cont’d.) |
| |||||||||||||||
5.875% | 02/01/29 | 25 | $ | 30,103 | ||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/01/24 | 1,495 | 1,625,731 | |||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 10/01/28 | 925 | 963,128 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/27 | 375 | 395,318 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/28 | 285 | 299,639 | |||||||||||||
4.875% | 01/01/26 | 850 | 888,257 | |||||||||||||
5.125% | 11/01/27 | 600 | 636,046 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 08/01/25 | (a) | 600 | 620,181 | ||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 10/15/42 | 220 | 277,709 | |||||||||||||
|
| |||||||||||||||
12,422,689 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.2% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 875 | 991,004 | |||||||||||||
6.625% | 07/15/27 | 1,050 | 1,137,258 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 08/01/30 | 45 | 50,391 | |||||||||||||
|
| |||||||||||||||
2,178,653 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.0% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 04/01/26 | 670 | 738,686 | |||||||||||||
|
| |||||||||||||||
Insurance — 1.0% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 07/10/25 | 2,110 | 2,370,548 | |||||||||||||
4.500% | 07/16/44 | 1,075 | 1,373,871 | |||||||||||||
Liberty Mutual Finance Europe DAC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
1.750% | 03/27/24 | EUR | 800 | 1,029,317 | ||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 1,030 | 1,228,371 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 06/15/40 | 405 | 617,195 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 09/17/50 | 180 | 227,231 | |||||||||||||
5.000% | 03/30/43 | 350 | 433,516 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 150 | 192,904 | |||||||||||||
Sompo International Holdings Ltd. (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 07/15/34 | 1,350 | 1,903,617 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (cont’d.) |
| |||||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 2,310 | $ | 2,881,819 | ||||||||||||
6.850% | 12/16/39 | 196 | 306,499 | |||||||||||||
|
| |||||||||||||||
12,564,888 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.4% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | (a) | 1,325 | 1,361,815 | ||||||||||||
Sr. Unsec’d. Notes, Series GG |
| |||||||||||||||
3.500% | 10/15/32 | (a) | 1,825 | 1,996,019 | ||||||||||||
MGM Resorts International, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 10/15/28 | (a) | 950 | 1,017,252 | ||||||||||||
Sands China Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 08/08/25 | (a) | 400 | 448,284 | ||||||||||||
|
| |||||||||||||||
4,823,370 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.0% |
| |||||||||||||||
Caterpillar, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/09/50 | (a) | 585 | 686,546 | ||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.3% |
| |||||||||||||||
CNH Industrial Capital LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 04/01/21 | 1,050 | 1,060,130 | |||||||||||||
Rockwell Automation, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 01/15/98 | 1,100 | 1,435,202 | |||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,960 | 2,021,430 | |||||||||||||
|
| |||||||||||||||
4,516,762 | ||||||||||||||||
|
| |||||||||||||||
Media — 2.3% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 05/01/32 | 450 | 480,401 | |||||||||||||
5.375% | 06/01/29 | 975 | 1,069,580 | |||||||||||||
5.500% | 05/01/26 | 3,300 | 3,425,282 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | 875 | 1,038,988 | |||||||||||||
6.384% | 10/23/35 | 2,470 | 3,382,878 | |||||||||||||
6.484% | 10/23/45 | 1,125 | 1,596,044 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.250% | 02/15/24 | (a) | 1,234 | 1,250,833 | ||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.450% | 08/15/52 | (a) | 1,010 | 980,384 | ||||||||||||
4.150% | 10/15/28 | 1,820 | 2,182,829 | |||||||||||||
4.250% | 10/15/30 | 620 | 761,788 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (cont’d.) |
| |||||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 2,800 | $ | 3,031,807 | ||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.375% | 02/15/31 | 1,000 | 986,095 | |||||||||||||
5.500% | 04/15/27 | (a) | 650 | 689,233 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 12/01/30 | 1,000 | 1,045,883 | |||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 08/15/27 | 520 | 314,560 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/26 | 855 | 694,816 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.300% | 05/15/49 | 265 | 350,864 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 09/15/55 | (a) | 1,229 | 1,368,449 | ||||||||||||
DISH DBS Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.375% | 07/01/28 | (a) | 800 | 855,107 | ||||||||||||
NBCUniversal Media LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.450% | 01/15/43 | 15 | 19,635 | |||||||||||||
TCI Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 02/15/26 | 750 | 1,006,826 | |||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 02/15/25 | (a) | 1,175 | 1,188,423 | ||||||||||||
6.625% | 06/01/27 | 975 | 1,046,870 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 11/30/28 | 500 | 703,221 | |||||||||||||
|
| |||||||||||||||
29,470,796 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.2% |
| |||||||||||||||
Barrick Gold Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/42 | 680 | 936,474 | |||||||||||||
Barrick North America Finance LLC (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 05/01/43 | 410 | 597,269 | |||||||||||||
Newmont Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.625% | 06/09/21 | 825 | 831,931 | |||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 295 | 441,947 | |||||||||||||
|
| |||||||||||||||
2,807,621 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.4% |
| |||||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 12/01/24 | 1,600 | 1,532,887 | |||||||||||||
7.500% | 03/15/25 | 1,525 | 1,421,583 |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Miscellaneous Manufacturing (cont’d.) |
| |||||||||||||||
7.875% | 04/15/27 | 1,825 | $ | 1,677,976 | ||||||||||||
|
| |||||||||||||||
4,632,446 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.3% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 1,240 | 1,253,834 | |||||||||||||
4.375% | 06/15/22 | 500 | 525,541 | |||||||||||||
Inter-American Development Bank (Supranational Bank), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
6.950% | 08/01/26 | 1,500 | 1,983,528 | |||||||||||||
|
| |||||||||||||||
3,762,903 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 3.0% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 06/01/23 | 1,200 | 1,173,194 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.375% | 07/15/26 | 400 | 407,031 | |||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.000% | 11/01/27 | 204 | 226,950 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 350 | 332,885 | |||||||||||||
8.250% | 12/31/28 | 450 | 448,098 | |||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.772% | 11/10/50 | (a) | 145 | 143,970 | ||||||||||||
2.939% | 06/04/51 | 1,835 | 1,874,037 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 1,000 | 1,172,342 | |||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 08/01/24 | 125 | 116,988 | |||||||||||||
CITGO Petroleum Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 06/15/25 | (a) | 800 | 804,144 | ||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 05/09/23 | 750 | 780,081 | |||||||||||||
CNX Resources Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 03/14/27 | 975 | 1,047,363 | |||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 180 | 244,708 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 850 | 1,037,166 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.950% | 07/19/22 | 390 | 411,279 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.510% | 03/07/22 | 1,665 | 1,766,923 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,500 | $ | 1,665,741 | ||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 1,160 | 1,322,263 | |||||||||||||
4.750% | 04/19/27 | 200 | 232,024 | |||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 03/31/24 | 250 | 252,481 | |||||||||||||
7.125% | 02/01/27 | 425 | 439,207 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 490 | 686,877 | |||||||||||||
5.250% | 11/15/43 | 700 | 991,184 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 2,000 | 921,137 | |||||||||||||
6.450% | 09/15/36 | 945 | 985,009 | |||||||||||||
Ovintiv, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 02/01/38 | 200 | 223,017 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.093% | 01/15/30 | (a) | 339 | 379,071 | ||||||||||||
5.750% | 02/01/29 | 725 | 845,172 | |||||||||||||
6.625% | 01/16/34 | GBP | 680 | 1,135,935 | ||||||||||||
6.900% | 03/19/49 | (a) | 1,495 | 1,903,973 | ||||||||||||
7.375% | 01/17/27 | 405 | 502,409 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/26/29 | EUR | 294 | 361,356 | ||||||||||||
6.350% | 02/12/48 | 840 | 758,709 | |||||||||||||
6.490% | 01/23/27 | 1,565 | 1,650,573 | |||||||||||||
6.500% | 03/13/27 | 2,155 | 2,272,056 | |||||||||||||
6.500% | 01/23/29 | 700 | 725,592 | |||||||||||||
6.840% | 01/23/30 | 306 | 318,762 | |||||||||||||
7.690% | 01/23/50 | 1,297 | 1,310,151 | |||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
3.750% | 02/21/24 | EUR | 400 | 494,680 | ||||||||||||
4.875% | 02/21/28 | EUR | 1,050 | 1,306,921 | ||||||||||||
Pioneer Natural Resources Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.900% | 08/15/30 | 2,085 | 2,064,914 | |||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.250% | 02/01/26 | (a) | 1,200 | 1,253,936 | ||||||||||||
Transocean, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 02/01/27 | 700 | 335,865 | |||||||||||||
Valero Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.150% | 09/15/27 | 830 | 845,087 | |||||||||||||
YPF SA (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 03/23/25 | 217 | 177,977 | |||||||||||||
|
| |||||||||||||||
38,349,238 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas Services — 0.0% |
| |||||||||||||||
Cameron International Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 07/15/38 | 450 | $ | 606,472 | ||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.1% |
| |||||||||||||||
ARD Finance SA (Luxembourg), |
| |||||||||||||||
Sr. Sec’d. Notes, Cash coupon 5.000% or PIK 5.750% |
| |||||||||||||||
5.000% | 06/30/27 | EUR | 1,278 | 1,591,941 | ||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 3.0% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,020 | 1,137,032 | |||||||||||||
4.050% | 11/21/39 | 5,135 | 6,204,194 | |||||||||||||
4.500% | 05/14/35 | 1,715 | 2,155,894 | |||||||||||||
4.550% | 03/15/35 | 2,040 | 2,580,867 | |||||||||||||
Bausch Health Americas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 01/31/27 | 320 | 356,049 | |||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/30/28 | 430 | 442,834 | |||||||||||||
5.000% | 02/15/29 | 225 | 231,329 | |||||||||||||
5.250% | 01/30/30 | (a) | 300 | 314,424 | ||||||||||||
5.250% | 02/15/31 | 275 | 287,249 | |||||||||||||
6.125% | 04/15/25 | (a) | 325 | 334,856 | ||||||||||||
6.250% | 02/15/29 | 1,050 | 1,139,685 | |||||||||||||
7.250% | 05/30/29 | 100 | 112,315 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 06/15/39 | 420 | 537,422 | |||||||||||||
4.250% | 10/26/49 | 650 | 875,107 | |||||||||||||
4.550% | 02/20/48 | 1,145 | 1,585,240 | |||||||||||||
5.000% | 08/15/45 | 750 | 1,080,022 | |||||||||||||
Cheplapharm Arzneimittel GmbH (Germany), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/28 | 475 | 493,389 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 10/15/28 | 1,320 | 1,593,101 | |||||||||||||
4.500% | 02/25/26 | 3,690 | 4,311,933 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 03/15/40 | 440 | 482,764 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.875% | 02/28/31 | 765 | 774,251 | |||||||||||||
2.700% | 08/21/40 | 480 | 486,119 | |||||||||||||
4.780% | 03/25/38 | 270 | 340,931 | |||||||||||||
5.050% | 03/25/48 | 655 | 885,903 | |||||||||||||
5.125% | 07/20/45 | 565 | 757,112 | |||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/30/28 | 233 | 193,863 | |||||||||||||
Sec’d. Notes, 144A | ||||||||||||||||
9.500% | 07/31/27 | 185 | 206,139 | |||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 1,890 | 2,488,179 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 09/23/26 | 3,745 | $ | 4,185,817 | ||||||||||||
Takeda Pharmaceutical Co. Ltd. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.025% | 07/09/40 | 525 | 554,334 | |||||||||||||
4.000% | 11/26/21 | �� | 600 | 617,142 | ||||||||||||
Viatris, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 06/22/50 | 1,465 | 1,668,856 | |||||||||||||
|
| |||||||||||||||
39,414,352 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.9% |
| |||||||||||||||
Boardwalk Pipelines LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.400% | 02/15/31 | 1,730 | 1,794,666 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 05/15/50 | 280 | 302,405 | |||||||||||||
5.150% | 03/15/45 | 55 | 59,355 | |||||||||||||
5.300% | 04/15/47 | 120 | 131,743 | |||||||||||||
6.125% | 12/15/45 | 90 | 106,236 | |||||||||||||
6.250% | 04/15/49 | 1,400 | 1,700,570 | |||||||||||||
Jr. Sub. Notes, Series G |
| |||||||||||||||
7.125%(ff) | — | (rr) | 875 | 836,560 | ||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 02/15/52 | 700 | 708,256 | |||||||||||||
3.700% | 01/31/51 | 130 | 143,052 | |||||||||||||
3.950% | 01/31/60 | 145 | 161,598 | |||||||||||||
4.900% | 05/15/46 | 2,110 | 2,649,829 | |||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.375% | 03/30/38 | 369 | 424,356 | |||||||||||||
Kinder Morgan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.250% | 08/01/50 | (a) | 1,940 | 1,942,835 | ||||||||||||
Magellan Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 03/15/45 | 1,000 | 1,083,124 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/15/38 | 970 | 1,110,949 | |||||||||||||
5.200% | 03/01/47 | 115 | 141,527 | |||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 08/15/22 | 50 | 52,134 | |||||||||||||
4.875% | 08/15/27 | (a) | 225 | 254,520 | ||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.850% | 10/15/37 | 1,250 | 1,607,544 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 03/15/50 | 2,685 | 2,845,914 | |||||||||||||
4.950% | 07/13/47 | 450 | 502,462 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
Phillips 66 Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.680% | 02/15/45 | 1,900 | $ | 2,057,276 | ||||||||||||
Sunoco Logistics Partners Operations LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.400% | 10/01/47 | 55 | 61,457 | |||||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/28 | 575 | 587,143 | |||||||||||||
7.500% | 10/01/25 | (a) | 1,150 | 1,239,949 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 12/31/30 | (a) | 475 | 489,087 | ||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 04/01/44 | 575 | 580,919 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 01/15/45 | 1,200 | 1,427,487 | |||||||||||||
|
| |||||||||||||||
25,002,953 | ||||||||||||||||
|
| |||||||||||||||
Real Estate — 0.2% |
| |||||||||||||||
Greystar Real Estate Partners LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 12/01/25 | 1,200 | 1,233,868 | |||||||||||||
Howard Hughes Corp. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 03/15/25 | 900 | 927,680 | |||||||||||||
|
| |||||||||||||||
2,161,548 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||||||||||
Brixmor Operating Partnership LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.050% | 07/01/30 | (a) | 1,125 | 1,293,374 | ||||||||||||
Diversified Healthcare Trust, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.750% | 06/15/25 | 1,000 | 1,133,630 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/15/21 | 250 | 254,145 | |||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/25 | (a) | 405 | 433,589 | ||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 03/15/31 | 1,100 | 1,135,913 | |||||||||||||
VEREIT Operating Partnership LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.850% | 12/15/32 | (a) | 525 | 548,363 | ||||||||||||
|
| |||||||||||||||
4,799,014 | ||||||||||||||||
|
| |||||||||||||||
Retail — 1.1% |
| |||||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 10/15/30 | (a) | 1,525 | 1,545,345 | ||||||||||||
AutoZone, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.650% | 01/15/31 | (a) | 335 | 332,130 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (cont’d.) |
| |||||||||||||||
Best Buy Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.950% | 10/01/30 | 495 | $ | 497,702 | ||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 05/15/28 | 1,875 | 2,230,343 | |||||||||||||
eG Global Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.375% | 02/07/25 | EUR | 150 | 180,343 | ||||||||||||
6.250% | 10/30/25 | EUR | 1,450 | 1,820,703 | ||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.625% | 06/15/20 | (d) | 850 | 221,407 | ||||||||||||
8.625% | 06/15/20 | (d) | 900 | 223,875 | ||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 10/15/23 | (a) | 1,600 | 1,725,752 | ||||||||||||
O’Reilly Automotive, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.750% | 03/15/31 | 2,115 | 2,115,939 | |||||||||||||
PetSmart, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/25 | 100 | 102,605 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 1,000 | 1,031,845 | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 06/01/24 | 1,800 | 1,832,040 | |||||||||||||
|
| |||||||||||||||
13,860,029 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,675 | 1,755,547 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 1.0% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.459% | 09/15/26 | 3,509 | 3,892,402 | |||||||||||||
4.700% | 04/15/25 | 1,250 | 1,433,154 | |||||||||||||
4.750% | 04/15/29 | 1,500 | 1,792,926 | |||||||||||||
5.000% | 04/15/30 | 2,500 | 3,040,956 | |||||||||||||
NXP BV/NXP Funding LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/23 | 2,675 | 2,926,409 | |||||||||||||
|
| |||||||||||||||
13,085,847 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.3% |
| |||||||||||||||
Boxer Parent Co., Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.125% | 03/01/26 | 850 | 914,421 | |||||||||||||
Fidelity National Information Services, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
0.750% | 05/21/23 | EUR | 400 | 498,522 | ||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525% | 06/01/50 | 1,815 | 1,908,857 |
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Software (cont’d.) |
| |||||||||||||||
2.675% | 06/01/60 | 435 | $ | 471,918 | ||||||||||||
|
| |||||||||||||||
3,793,718 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 2.5% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 02/15/30 | 485 | 579,403 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.550% | 12/01/33 | 1,216 | 1,250,117 | |||||||||||||
3.500% | 09/15/53 | 6,381 | 6,409,862 | |||||||||||||
3.550% | 09/15/55 | 972 | 974,855 | |||||||||||||
3.650% | 09/15/59 | 895 | 900,976 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 01/15/29 | 975 | 991,966 | |||||||||||||
Sr. Unsec’d. Notes, Series P |
| |||||||||||||||
7.600% | 09/15/39 | (a) | 850 | 1,039,126 | ||||||||||||
Digicel Holdings Bermuda Ltd./Digicel International Finance Ltd. (Jamaica), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 05/25/24 | (a) | 200 | 210,777 | ||||||||||||
8.750% | 05/25/24 | 997 | 1,049,527 | |||||||||||||
Digicel Ltd. (Jamaica), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 03/01/23 | 500 | 387,343 | |||||||||||||
Embarq Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.995% | 06/01/36 | 1,700 | 2,095,904 | |||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 07/01/28 | 1,525 | 1,569,290 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 230 | 249,673 | |||||||||||||
Qwest Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/01/21 | 600 | 627,097 | |||||||||||||
Sprint Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.750% | 03/15/32 | (a) | 700 | 1,108,142 | ||||||||||||
Sprint Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 02/15/25 | 500 | 598,378 | |||||||||||||
7.875% | 09/15/23 | 2,000 | 2,314,353 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.375% | 04/15/40 | 425 | 516,183 | |||||||||||||
4.500% | 04/15/50 | 3,080 | 3,811,941 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 11/20/40 | 3,285 | 3,320,121 | |||||||||||||
4.016% | 12/03/29 | 120 | 142,361 | |||||||||||||
4.500% | 08/10/33 | 990 | 1,248,140 | |||||||||||||
4.522% | 09/15/48 | 360 | 465,721 | |||||||||||||
|
| |||||||||||||||
31,861,256 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Textiles — 0.0% |
| |||||||||||||||
Mohawk Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 02/01/23 | 294 | $ | 312,687 | ||||||||||||
|
| |||||||||||||||
Transportation — 0.0% |
| |||||||||||||||
Lima Metro Line 2 Finance Ltd. (Peru), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.875% | 07/05/34 | 105 | 127,288 | |||||||||||||
|
| |||||||||||||||
Water — 0.0% |
| |||||||||||||||
American Water Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 05/01/50 | 625 | 738,007 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 508,563,272 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 1.8% |
| |||||||||||||||
California — 0.5% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series S3 |
| |||||||||||||||
6.907% | 10/01/50 | 1,125 | 2,075,085 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,550 | 2,562,227 | |||||||||||||
General Obligation Unlimited, Taxable, BABs |
| |||||||||||||||
7.625% | 03/01/40 | 725 | 1,275,797 | |||||||||||||
|
| |||||||||||||||
5,913,109 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.1% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 770 | 1,280,856 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.4% |
| |||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.395% | 01/01/40 | 1,380 | 2,049,949 | |||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation Unlimited, Series A |
| |||||||||||||||
5.000% | 10/01/22 | 20 | 21,230 | |||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||||||
5.000% | 11/01/22 | 2,650 | 2,815,015 | |||||||||||||
|
| |||||||||||||||
4,886,194 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.4% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
7.102% | 01/01/41 | 1,175 | 1,920,114 | |||||||||||||
Taxable, Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 2,050 | 3,438,486 | |||||||||||||
|
| |||||||||||||||
5,358,600 | ||||||||||||||||
|
| |||||||||||||||
Ohio — 0.1% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 695 | 962,749 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Oregon — 0.1% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 615 | $ | 893,035 | ||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 800 | 1,189,824 | |||||||||||||
|
| |||||||||||||||
Puerto Rico — 0.1% |
| |||||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, Restructured, Series A-1 |
| |||||||||||||||
5.000% | 07/01/58 | 1,710 | 1,904,906 | |||||||||||||
|
| |||||||||||||||
Texas — 0.0% |
| |||||||||||||||
Texas Private Activity Bond Surface Transportation Corp., |
| |||||||||||||||
Taxable, Revenue Bonds, Series B |
| |||||||||||||||
3.922% | 12/31/49 | 450 | 512,874 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Taxable, Revenue Bonds, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 425 | 569,751 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 23,471,898 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 7.8% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/35 | 25 | 24,571 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.748%(c) | 04/25/28 | 416 | 414,910 | |||||||||||||
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.748%(c) | 08/25/28 | 282 | 282,818 | |||||||||||||
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) |
| |||||||||||||||
1.998%(c) | 10/25/28 | 568 | 566,452 | |||||||||||||
Series 2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%) |
| |||||||||||||||
1.598%(c) | 04/25/29 | 268 | 267,859 | |||||||||||||
Series 2019-04A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.548%(c) | 10/25/29 | 174 | 173,370 | |||||||||||||
Series 2019-04A, Class M1B, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.148%(c) | 10/25/29 | 700 | 696,847 | |||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.798%(c) | 06/25/30 | 639 | 640,502 | |||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.548%(c) | 06/25/30 | 270 | 272,773 | |||||||||||||
Series 2020-02A, Class M1A, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%) |
| |||||||||||||||
2.448%(c) | 08/26/30 | 300 | 300,846 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%) |
| |||||||||||||||
3.348%(c) | 08/26/30 | 240 | $ | 242,551 | ||||||||||||
Series 2020-02A, Class M1C, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%) |
| |||||||||||||||
4.148%(c) | 08/26/30 | 275 | 280,759 | |||||||||||||
Series 2020-03A, Class M1A, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.148%(c) | 10/25/30 | 290 | 290,255 | |||||||||||||
Series 2020-03A, Class M1B, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) |
| |||||||||||||||
2.998%(c) | 10/25/30 | 215 | 215,547 | |||||||||||||
Series 2020-03A, Class M1C, 144A, 1 Month LIBOR + 3.700% (Cap N/A, Floor 3.700%) |
| |||||||||||||||
3.848%(c) | 10/25/30 | 275 | 276,158 | |||||||||||||
BVRT Financing Trust, |
| |||||||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||||||
2.299%(cc) | 09/15/21^ | 5,706 | 5,665,601 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.655%(c) | 11/01/23 | 5,400 | 5,399,999 | |||||||||||||
CIM Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.155%(c) | 01/25/57 | 1,001 | 1,007,795 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 952 | 952,991 | |||||||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||||||
Series 2011-12, Class 3A2, 144A |
| |||||||||||||||
2.997%(cc) | 09/25/47 | 407 | 382,402 | |||||||||||||
Connecticut Avenue Securities Trust, |
| |||||||||||||||
Series 2019-R04, Class 2M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.248%(c) | 06/25/39 | 660 | 658,119 | |||||||||||||
Series 2019-R07, Class 1M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.248%(c) | 10/25/39 | 746 | 743,160 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2020-RPL05, Class A1, 144A |
| |||||||||||||||
3.023% | 08/25/60 | 510 | 511,177 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) |
| |||||||||||||||
1.848%(c) | 11/25/28 | 585 | 584,509 | |||||||||||||
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.948%(c) | 04/25/29 | 180 | 179,628 | |||||||||||||
Series 2020-02, Class M1A, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.148%(c) | 10/25/30 | 1,040 | 1,048,772 | |||||||||||||
Series 2020-02, Class M1B, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.148%(c) | 10/25/30 | 520 | 527,400 | |||||||||||||
Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.648%(c) | 10/25/30 | 360 | 366,262 |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Fannie Mae Connecticut Avenue Securities, |
| |||||||||||||||
Series 2017-C07, Class 1M2, 1 Month LIBOR + 2.400% (Cap N/A, Floor 2.400%) |
| |||||||||||||||
2.548%(c) | 05/25/30 | 472 | $ | 468,906 | ||||||||||||
Series 2018-C03, Class 1M2, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%) |
| |||||||||||||||
2.298%(c) | 10/25/30 | 296 | 295,218 | |||||||||||||
Fannie Mae REMICS, |
| |||||||||||||||
Series 2011-116, Class ZA |
| |||||||||||||||
3.500% | 11/25/41 | 2,204 | 2,429,150 | |||||||||||||
Series 2012-034, Class EB |
| |||||||||||||||
4.000% | 04/25/42 | 1,575 | 1,847,099 | |||||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.498%(c) | 03/25/29 | 52 | 52,116 | |||||||||||||
Series 2020-HQA05, Class B1, 144A, 30 Day Average SOFR + 4.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.082%(c) | 11/25/50 | 900 | 915,708 | |||||||||||||
Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.682%(c) | 11/25/50 | 4,365 | 4,392,152 | |||||||||||||
FHLMC Structured Agency Credit Risk REMIC Trust, |
| |||||||||||||||
Series 2020-DNA02, Class M2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) |
| |||||||||||||||
1.998%(c) | 02/25/50 | 1,220 | 1,212,513 | |||||||||||||
Series 2020-DNA03, Class B1, 144A, 1 Month LIBOR + 5.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
5.248%(c) | 06/25/50 | 205 | 212,954 | |||||||||||||
Series 2020-DNA03, Class M2, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.148%(c) | 06/25/50 | 835 | 839,169 | |||||||||||||
Series 2020-DNA04, Class B1, 144A, 1 Month LIBOR + 6.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
6.148%(c) | 08/25/50 | 1,570 | 1,666,018 | |||||||||||||
Series 2020-DNA04, Class M2, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.898%(c) | 08/25/50 | 810 | 821,316 | |||||||||||||
Series 2020-DNA05, Class B1, 144A, 30 Day Average SOFR + 4.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.882%(c) | 10/25/50 | 670 | 696,404 | |||||||||||||
Series 2020-DNA05, Class M2, 144A, 30 Day Average SOFR + 2.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.882%(c) | 10/25/50 | 500 | 506,388 | |||||||||||||
Series 2020-HQA02, Class M2, 144A, 1 Month LIBOR + 3.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.248%(c) | 03/25/50 | 90 | 90,619 | |||||||||||||
Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.748%(c) | 07/25/50 | 2,195 | 2,210,188 | |||||||||||||
Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
5.398%(c) | 09/25/50 | 320 | 333,555 | |||||||||||||
Series 2020-HQA04, Class M2, 144A, 1 Month LIBOR + 3.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.298%(c) | 09/25/50 | 230 | 232,119 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
FHLMC Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.898%(c) | 09/25/48 | 3 | $ | 2,882 | ||||||||||||
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.798%(c) | 01/25/49 | 222 | 221,111 | |||||||||||||
Freddie Mac REMICS, |
| |||||||||||||||
Series 4289, Class WZ |
| |||||||||||||||
3.000% | 01/15/44 | 778 | 835,952 | |||||||||||||
Series 4768, Class GA |
| |||||||||||||||
3.500% | 09/15/45 | 1,381 | 1,448,737 | |||||||||||||
Series 4768, Class VB |
| |||||||||||||||
3.500% | 06/15/38 | 500 | 518,497 | |||||||||||||
Series 4939, Class KT |
| |||||||||||||||
3.000% | 07/15/48 | 989 | 1,035,071 | |||||||||||||
GCAT LLC, |
| |||||||||||||||
Series 2019-04, Class A1, 144A |
| |||||||||||||||
3.228% | 11/26/49 | 1,614 | 1,618,034 | |||||||||||||
GSMSC Resecuritization Trust, |
| |||||||||||||||
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||||||
0.288%(c) | 01/26/37 | 1,169 | 1,148,079 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.748%(c) | 10/25/28 | 151 | 150,646 | |||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.798%(c) | 05/25/29 | 179 | 177,533 | |||||||||||||
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%) |
| |||||||||||||||
2.748%(c) | 10/25/30 | 800 | 806,340 | |||||||||||||
Series 2020-01, Class M1B, 144A, 1 Month LIBOR + 3.250% (Cap N/A, Floor 3.250%) |
| |||||||||||||||
3.398%(c) | 10/25/30 | 500 | 507,989 | |||||||||||||
Series 2020-01, Class M1C, 144A, 1 Month LIBOR + 4.150% (Cap N/A, Floor 4.150%) |
| |||||||||||||||
4.298%(c) | 10/25/30 | 200 | 204,459 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS06, Class A1, 144A |
| |||||||||||||||
3.000% | 06/25/59 | 627 | 629,693 | |||||||||||||
Series 2020-GS01, Class A1, 144A |
| |||||||||||||||
2.882% | 10/25/59 | 1,311 | 1,315,201 | |||||||||||||
Series 2020-SL01, Class A, 144A |
| |||||||||||||||
2.734% | 01/25/60 | 1,463 | 1,464,719 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.655%(c) | 04/01/24 | 551 | 548,643 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, |
| |||||||||||||||
Series 2020-03, Class A1, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
1.399%(c) | 01/23/23 | 655 | 655,483 | |||||||||||||
Series 2020-04, Class A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.499%(c) | 04/23/23 | 620 | 620,022 |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-04, Class A2, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.499%(c) | 04/23/23 | 1,200 | $ | 1,200,042 | ||||||||||||
MRA Issuance Trust, |
| |||||||||||||||
Series 2020-01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.555%(c) | 12/08/20 | 3,936 | 3,938,046 | |||||||||||||
Series 2020-07, Class A, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%) |
| |||||||||||||||
1.755%(c) | 12/11/21 | 11,580 | 11,582,258 | |||||||||||||
Series 2020-08, Class A1X, 144A, 1 Month LIBOR + 1.750% (Cap N/A, Floor 2.250%) |
| |||||||||||||||
2.250%(c) | 09/23/21 | 5,460 | 5,464,014 | |||||||||||||
Series 2020-08, Class A2, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 3.500%) |
| |||||||||||||||
3.500%(c) | 09/23/21 | 3,510 | 3,512,691 | |||||||||||||
Series 2020-09, Class AY, 144A, 1 Month LIBOR + 1.750% (Cap N/A, Floor 2.250%) |
| |||||||||||||||
2.250%(c) | 05/05/21^ | 4,450 | 4,462,086 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.898%(c) | 01/25/48 | 854 | 854,831 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.698%(c) | 07/25/28 | 103 | 103,092 | |||||||||||||
Oaktown Re III Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.548%(c) | 07/25/29 | 46 | 46,382 | |||||||||||||
Oaktown Re IV Ltd. (Bermuda), |
| |||||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%) |
| |||||||||||||||
3.348%(c) | 07/25/30 | 298 | 299,242 | |||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%) |
| |||||||||||||||
4.898%(c) | 07/25/30 | 1,100 | 1,111,144 | |||||||||||||
Oaktown Re V Ltd. (Bermuda), |
| |||||||||||||||
Series 2020-02A, Class M1A, 144A, 1 Month LIBOR + 2.400% (Cap N/A, Floor 2.400%) |
| |||||||||||||||
2.548%(c) | 10/25/30 | 195 | 195,252 | |||||||||||||
Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 3.600%) |
| |||||||||||||||
3.748%(c) | 10/25/30 | 260 | 262,152 | |||||||||||||
Radnor Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.548%(c) | 03/25/28 | 27 | 27,080 | |||||||||||||
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.848%(c) | 03/25/28 | 360 | 360,732 | |||||||||||||
Series 2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.348%(c) | 06/25/29 | 47 | 46,580 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%) |
| |||||||||||||||
1.098%(c) | 02/25/30 | 500 | $ | 499,401 | ||||||||||||
Series 2020-01, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%) |
| |||||||||||||||
1.598%(c) | 02/25/30 | 1,500 | 1,483,702 | |||||||||||||
Series 2020-02, Class M1A, 144A, 1 Month LIBOR + 3.150% (Cap N/A, Floor 3.150%) |
| |||||||||||||||
3.298%(c) | 10/25/30 | 1,330 | 1,334,913 | |||||||||||||
Series 2020-02, Class M1B, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%) |
| |||||||||||||||
4.148%(c) | 10/25/30 | 840 | 848,933 | |||||||||||||
Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.600% (Cap N/A, Floor 4.600%) |
| |||||||||||||||
4.748%(c) | 10/25/30 | 655 | 666,424 | |||||||||||||
Station Place Securitization Trust, |
| |||||||||||||||
Series 2020-10, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.643%(c) | 05/20/21 | 4,400 | 4,404,525 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.080%(cc) | 02/25/34 | 318 | 314,528 | |||||||||||||
Series 2004-18, Class 3A1 |
| |||||||||||||||
2.586%(cc) | 12/25/34 | 1,731 | 1,733,832 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 100,856,598 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 6.4% |
| |||||||||||||||
Argentine Republic Government International Bond (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.125%(cc) | 07/09/30 | 2,858 | 1,162,058 | |||||||||||||
0.125%(cc) | 01/09/38 | 2,469 | 1,011,500 | |||||||||||||
0.125%(cc) | 07/09/41 | 356 | 134,447 | |||||||||||||
1.000% | 07/09/29 | 289 | 125,703 | |||||||||||||
Bermuda Government International Bond (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.375% | 08/20/30 | 570 | 598,340 | |||||||||||||
Brazil Minas SPE via State of Minas Gerais (Brazil), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
5.333% | 02/15/28 | 1,284 | 1,393,131 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 250 | 270,406 | |||||||||||||
5.000% | 06/15/45 | 205 | 250,622 | |||||||||||||
Dominican Republic International Bond (Dominican Republic), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 07/19/28 | 575 | 690,497 | |||||||||||||
Egypt Government International Bond (Egypt), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.750% | 04/11/25 | EUR | 875 | 1,112,980 | ||||||||||||
4.750% | 04/16/26 | EUR | 1,540 | 1,953,624 | ||||||||||||
Ghana Government International Bond (Ghana), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.375% | 02/11/27 | 970 | 1,009,036 |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Hellenic Republic Government Bond (Greece), |
| |||||||||||||||
Bonds |
| |||||||||||||||
3.650%(cc) | 02/24/23 | EUR | 1,200 | $ | 1,588,162 | |||||||||||
3.650%(cc) | 02/24/26 | EUR | 380 | 549,003 | ||||||||||||
3.650%(cc) | 02/24/29 | EUR | 1,000 | 1,530,062 | ||||||||||||
3.650%(cc) | 02/24/31 | EUR | 620 | 979,665 | ||||||||||||
3.650%(cc) | 02/24/32 | EUR | 1,280 | 2,062,881 | ||||||||||||
3.650%(cc) | 02/24/34 | EUR | 640 | 1,064,295 | ||||||||||||
3.650%(cc) | 02/24/39 | EUR | 1,000 | 1,722,663 | ||||||||||||
3.900% | 01/30/33 | EUR | 1,990 | 3,301,847 | ||||||||||||
4.000% | 01/30/37 | EUR | 378 | 667,173 | ||||||||||||
Hellenic Republic Government International Bond (Greece), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 07/17/34 | EUR | 1,500 | 2,699,858 | ||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 02/21/23 | 436 | 479,093 | |||||||||||||
5.375% | 03/25/24 | 290 | 331,331 | |||||||||||||
5.750% | 11/22/23 | 2,300 | 2,624,723 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.450% | 09/18/26 | EUR | 375 | 480,134 | ||||||||||||
3.375% | 07/30/25 | EUR | 3,125 | 4,313,638 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.875% | 07/08/21 | EUR | 1,225 | 1,518,346 | ||||||||||||
3.750% | 06/14/28 | EUR | 1,250 | 1,845,512 | ||||||||||||
Iraq International Bond (Iraq), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.800% | 01/15/28 | 422 | 392,865 | |||||||||||||
6.752% | 03/09/23 | 400 | 389,848 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.500% | 05/23/24 | 1,000 | 1,069,256 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 09/27/23 | 600 | 646,821 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.750% | 09/05/24 | 600 | 625,638 | |||||||||||||
2.625% | 04/20/22 | 1,000 | 1,028,959 | |||||||||||||
3.000% | 03/12/24 | 600 | 646,691 | |||||||||||||
Lithuania Government International Bond (Lithuania), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 02/01/22 | 1,000 | 1,068,407 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/16/25 | (a) | 450 | 498,643 | ||||||||||||
Portugal Government International Bond (Portugal), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
5.125% | 10/15/24 | 10,260 | 11,928,402 | |||||||||||||
Provincia de Buenos Aires (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 02/15/23 | 120 | 48,460 | |||||||||||||
9.950% | 06/09/21 | 1,940 | 787,694 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.103% | 04/23/48 | 780 | 1,096,533 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.375% | 10/17/24 | 1,000 | $ | 1,052,045 | ||||||||||||
6.875% | 09/27/23 | 260 | 301,957 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
6.000% | 08/04/28 | GBP | 2,060 | 3,701,785 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.375% | 06/15/33 | 4,730 | 6,080,067 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 945 | 1,412,635 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 940 | 1,405,161 | ||||||||||||
4.125% | 03/11/39 | EUR | 254 | 387,807 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.000% | 04/17/25 | 675 | 754,637 | |||||||||||||
Serbia International Bond (Serbia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.250% | 09/28/21 | 533 | 558,714 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.125% | 12/01/30 | 1,435 | 1,423,527 | |||||||||||||
Sri Lanka Government International Bond (Sri Lanka), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/18/22 | 800 | 620,165 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 600 | 617,564 | |||||||||||||
Turkey Government International Bond (Turkey), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 03/30/21 | 500 | 503,665 | |||||||||||||
Ukraine Government International Bond (Ukraine), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 09/01/21 | 160 | 165,812 | |||||||||||||
7.750% | 09/01/22 | 1,120 | 1,198,305 | |||||||||||||
8.994% | 02/01/24 | 200 | 226,536 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/27/30 | EUR | 1,325 | 1,545,147 | ||||||||||||
7.750% | 09/01/22 | 930 | 995,021 | |||||||||||||
8.994% | 02/01/24 | 200 | 226,536 | |||||||||||||
9.750% | 11/01/28 | 400 | 492,553 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | 500 | 694,528 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 82,063,114 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2% |
| |||||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
3.500% | 02/01/47 | 1,408 | 1,516,187 | |||||||||||||
5.500% | 10/01/33 | 490 | 574,995 | |||||||||||||
5.500% | 06/01/34 | 5 | 5,539 | |||||||||||||
6.000% | 11/01/33 | 112 | 128,526 | |||||||||||||
6.000% | 05/01/34 | 51 | 57,345 | |||||||||||||
6.000% | 06/01/34 | 92 | 103,089 | |||||||||||||
6.250% | 07/15/32 | (k) | 830 | 1,284,575 | ||||||||||||
6.500% | 07/01/32 | 10 | 11,559 | |||||||||||||
6.500% | 07/01/32 | 18 | 20,438 |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.500% | 08/01/32 | 25 | $ | 27,694 | ||||||||||||
6.500% | 08/01/32 | 34 | 38,853 | |||||||||||||
6.500% | 08/01/32 | 39 | 44,294 | |||||||||||||
6.500% | 09/01/32 | 32 | 36,871 | |||||||||||||
6.500% | 09/01/32 | 94 | 108,767 | |||||||||||||
6.750% | 09/15/29 | (k) | 525 | 783,861 | ||||||||||||
6.750% | 03/15/31 | 600 | 924,040 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | TBA | (tt) | 4,500 | 4,673,842 | ||||||||||||
2.000% | TBA | 8,500 | 8,812,762 | |||||||||||||
4.500% | 08/01/40 | (k) | 1,490 | 1,664,842 | ||||||||||||
5.500% | 02/01/33 | 12 | 13,544 | |||||||||||||
5.500% | 02/01/33 | 13 | 15,141 | |||||||||||||
5.500% | 03/01/33 | 18 | 21,434 | |||||||||||||
5.500% | 03/01/33 | 33 | 38,147 | |||||||||||||
5.500% | 03/01/33 | 37 | 43,485 | |||||||||||||
5.500% | 04/01/33 | 5 | 5,443 | |||||||||||||
5.500% | 04/01/33 | 23 | 26,881 | |||||||||||||
5.500% | 04/01/33 | 25 | 29,611 | |||||||||||||
5.500% | 04/01/33 | 27 | 31,490 | |||||||||||||
5.500% | 07/01/33 | 20 | 22,887 | |||||||||||||
5.500% | 07/01/33 | 27 | 31,243 | |||||||||||||
5.500% | 08/01/33 | 15 | 17,204 | |||||||||||||
5.500% | 02/01/34 | 23 | 27,408 | |||||||||||||
5.500% | 04/01/34 | 25 | 29,268 | |||||||||||||
5.500% | 06/01/34 | 36 | 41,665 | |||||||||||||
6.000% | 10/01/33 | 2 | 1,877 | |||||||||||||
6.000% | 10/01/33 | 191 | 219,152 | |||||||||||||
6.000% | 03/01/34 | 54 | 60,913 | |||||||||||||
6.000% | 02/01/35 | 163 | 195,740 | |||||||||||||
6.000% | 11/01/36 | 50 | 59,363 | |||||||||||||
6.250% | 05/15/29 | (a) | 535 | 762,173 | ||||||||||||
6.500% | 08/01/32 | 87 | 97,992 | |||||||||||||
6.500% | 09/01/32 | 95 | 109,901 | |||||||||||||
6.500% | 09/01/32 | 139 | 165,682 | |||||||||||||
6.500% | 10/01/32 | 63 | 73,006 | |||||||||||||
6.500% | 04/01/33 | 129 | 148,727 | |||||||||||||
6.500% | 11/01/33 | 3 | 3,487 | |||||||||||||
6.625% | 11/15/30 | (k) | 530 | 802,026 | ||||||||||||
7.000% | 05/01/32 | 55 | 58,452 | |||||||||||||
7.000% | 06/01/32 | 7 | 8,516 | |||||||||||||
7.125% | 01/15/30 | 785 | 1,198,943 | |||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
3.500% | 01/20/48 | 297 | 319,471 | |||||||||||||
4.000% | 02/20/49 | 720 | 772,138 | |||||||||||||
5.500% | 01/15/33 | 52 | 60,825 | |||||||||||||
5.500% | 02/15/33 | 34 | 39,234 | |||||||||||||
5.500% | 05/15/33 | 116 | 129,154 | |||||||||||||
5.500% | 05/15/33 | 168 | 186,222 | |||||||||||||
5.500% | 06/15/33 | 177 | 201,494 | |||||||||||||
5.500% | 09/15/33 | 84 | 95,607 | |||||||||||||
5.500% | 07/15/35 | 47 | 54,201 | |||||||||||||
6.000% | 12/15/32 | 103 | 124,871 | |||||||||||||
6.000% | 11/15/33 | 43 | 50,312 | |||||||||||||
6.000% | 01/15/34 | 8 | 9,532 | |||||||||||||
6.000% | 06/20/34 | 262 | 306,481 | |||||||||||||
6.000% | 11/15/34 | 393 | 474,467 | |||||||||||||
6.500% | 09/15/32 | 33 | 37,051 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.500% | 09/15/32 | 132 | $ | 148,862 | ||||||||||||
6.500% | 09/15/32 | 135 | 151,900 | |||||||||||||
6.500% | 11/15/33 | 108 | 122,277 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 28,462,979 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.500% | 05/15/46 | (h)(k) | 965 | 1,152,270 | ||||||||||||
3.000% | 05/15/45 | (k) | 4,065 | 5,271,162 | ||||||||||||
3.000% | 02/15/48 | (k) | 270 | 354,206 | ||||||||||||
3.125% | 02/15/43 | (h)(k) | 3,795 | 4,973,229 | ||||||||||||
3.625% | 08/15/43 | (h) | 200 | 282,250 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.125% | 12/15/23 | 290 | 289,638 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
1.467%(s) | 11/15/41 | (h) | 500 | 358,730 | ||||||||||||
2.056%(s) | 11/15/38 | (h)(k) | 290 | 221,737 | ||||||||||||
2.208%(s) | 05/15/39 | (h)(k) | 3,425 | 2,589,755 | ||||||||||||
2.395%(s) | 11/15/43 | (h) | 619 | 423,967 | ||||||||||||
3.176%(s) | 08/15/40 | (h) | 120 | 88,359 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 16,005,303 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
PREFERRED STOCKS — 0.2% |
| |||||||||||||||
Banks — 0.1% |
| |||||||||||||||
Citigroup Capital XIII, 6.584%, Maturing 10/30/40 |
| 45,000 | 1,282,500 | |||||||||||||
|
| |||||||||||||||
Capital Markets — 0.1% |
| |||||||||||||||
State Street Corp. 5.350%, |
| 35,000 | 1,013,600 | |||||||||||||
|
| |||||||||||||||
TOTAL PREFERRED STOCKS |
| 2,296,100 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,286,426,708 | ||||||||||||||
|
| |||||||||||||||
SHORT-TERM INVESTMENTS — 4.5% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||||||||||
PGIM Core Ultra Short Bond |
| 14,079,089 | 14,079,089 | |||||||||||||
PGIM Institutional Money Market Fund (cost $44,051,971; includes $44,043,328 of cash collateral for securities on loan)(b)(w) |
| 44,088,008 | 44,065,963 | |||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 58,145,052 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 104.0% |
| 1,344,571,760 | ||||||||||||||
Liabilities in excess of other assets(z) — (4.0)% |
| (51,963,703 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 1,292,608,057 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A56
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
See the Glossary for a list of the abbreviation(s) used in the annual report.
# Principal or notional amount is shown in U.S. dollars unless otherwise stated.
^ Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $10,127,687 and 0.8% of net assets.
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $43,132,940; cash collateral of $44,043,328 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment.
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. (rr) Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 4,500,000 is 0.4% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
968 | 5 Year U.S. Treasury Notes | Mar. 2021 | $ | 122,126,810 | $ | 191,991 | ||||||||||
202 | 10 Year U.S. Ultra Treasury Notes | Mar. 2021 | 31,584,595 | (73,719 | ) | |||||||||||
547 | 20 Year U.S. Treasury Bonds | Mar. 2021 | 94,733,562 | (563,193 | ) | |||||||||||
525 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2021 | 112,120,312 | (658,308 | ) | |||||||||||
|
| |||||||||||||||
(1,103,229 | ) | |||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
2,179 | 2 Year U.S. Treasury Notes | Mar. 2021 | 481,507,929 | (485,114 | ) | |||||||||||
138 | 5 Year Euro-Bobl | Mar. 2021 | 22,789,685 | 1,674 | ||||||||||||
173 | 10 Year Euro-Bund | Mar. 2021 | 37,543,406 | (90,178 | ) | |||||||||||
331 | 10 Year U.S. Treasury Notes | Mar. 2021 | 45,703,861 | (81,897 | ) | |||||||||||
57 | Euro Schatz Index | Mar. 2021 | 7,818,163 | 4,233 | ||||||||||||
|
| |||||||||||||||
(651,282 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (1,754,511 | ) | ||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at December 31, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||
Expiring 01/20/21 | Goldman Sachs International | CAD | 340 | $ | 254,444 | $ | 266,931 | $ | 12,487 | $ | — | |||||||||||||
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|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A57
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Forward foreign currency exchange contracts outstanding at December 31, 2020 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||
Australian Dollar, | ||||||||||||||||||||||
Expiring 01/20/21 | BNP Paribas S.A. | AUD | 559 | $ | 396,731 | $ | 431,341 | $ | — | $ | (34,610 | ) | ||||||||||
British Pound, | ||||||||||||||||||||||
Expiring 01/12/21 | Citibank, N.A. | GBP | 253 | 338,217 | 346,255 | — | (8,038 | ) | ||||||||||||||
Expiring 01/12/21 | Morgan Stanley & Co. International PLC | GBP | 7,313 | 9,712,674 | 10,001,924 | — | (289,250 | ) | ||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||
Expiring 01/20/21 | Morgan Stanley & Co. International PLC | CAD | 400 | 304,708 | 314,271 | — | (9,563 | ) | ||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 01/12/21 | Citibank, N.A. | EUR | 830 | 1,006,629 | 1,014,520 | — | (7,891 | ) | ||||||||||||||
Expiring 01/12/21 | Citibank, N.A. | EUR | 705 | 844,454 | 861,566 | — | (17,112 | ) | ||||||||||||||
Expiring 01/12/21 | HSBC Bank USA, N.A. | EUR | 46,972 | 55,810,873 | 57,401,650 | — | (1,590,777 | ) | ||||||||||||||
Expiring 01/12/21 | HSBC Bank USA, N.A. | EUR | 1,284 | 1,536,697 | 1,568,907 | — | (32,210 | ) | ||||||||||||||
Expiring 01/12/21 | HSBC Bank USA, N.A. | EUR | 1,204 | 1,452,433 | 1,470,860 | — | (18,427 | ) | ||||||||||||||
Expiring 01/12/21 | Morgan Stanley & Co. International PLC | EUR | 628 | 762,012 | 767,073 | — | (5,061 | ) | ||||||||||||||
Expiring 01/12/21 | The Toronto-Dominion Bank | EUR | 1,610 | 1,927,250 | 1,967,464 | — | (40,214 | ) | ||||||||||||||
South African Rand, | ||||||||||||||||||||||
Expiring 03/17/21 | Citibank, N.A. | ZAR | 4,324 | 279,179 | 291,410 | — | (12,231 | ) | ||||||||||||||
Expiring 03/17/21 | Morgan Stanley & Co. International PLC | ZAR | 7,207 | 469,895 | 485,683 | — | (15,788 | ) | ||||||||||||||
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| |||||||||||||||
$ | 74,841,752 | $ | 76,922,924 | — | (2,081,172 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 12,487 | $ | (2,081,172 | ) | ||||||||||||||||||
|
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|
|
Credit default swap agreements outstanding at December 31, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1): | ||||||||||||||||||||||||||
Kingdom of Spain | 06/20/23 | 1.000%(Q) | 2,100 | $ | (44,500 | ) | $ | (30,270 | ) | $ | (14,230 | ) | Bank of America, N.A. | |||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 665 | (11,391 | ) | 2,410 | (13,801 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 655 | (11,220 | ) | 6,016 | (17,236 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | (3,768 | ) | 2,263 | (6,031 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | (3,768 | ) | 2,078 | (5,846 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 215 | (3,683 | ) | 733 | (4,416 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 115 | (1,969 | ) | 417 | (2,386 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 160 | (2,802 | ) | 895 | (3,697 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 130 | (2,277 | ) | 870 | (3,147 | ) | Citibank, N.A. | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (85,378 | ) | $ | (14,588 | ) | $ | (70,790 | ) | ||||||||||||||||||
|
|
|
|
|
|
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2): | ||||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 3,700 | 0.723 | % | $ | 11,240 | $ | 19,462 | $ | (8,222 | ) | Bank of America, N.A. | |||||||||||||||||
Kingdom of Spain | 06/20/23 | 1.000%(Q) | 2,100 | 0.220 | % | 41,368 | 18,531 | 22,837 | Bank of America, N.A. Credit Suisse | |||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 2,205 | 2.744 | % | (91,697 | ) | (36,680 | ) | (55,017 | ) | International | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 550 | 2.744 | % | (22,872 | ) | (17,712 | ) | (5,160 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 545 | 2.744 | % | (22,664 | ) | (21,068 | ) | (1,596 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 2.744 | % | (7,694 | ) | (7,329 | ) | (365 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 2.744 | % | (7,693 | ) | (7,196 | ) | (497 | ) | Citibank, N.A. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2)(cont’d.): | ||||||||||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 180 | 2.744 | % | $ | (7,485 | ) | $ | (5,824 | ) | $ | (1,661 | ) | Citibank, N.A. | |||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 90 | 2.744 | % | (3,743 | ) | (2,897 | ) | (846 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 160 | 3.330 | % | (13,826 | ) | (11,984 | ) | (1,842 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 130 | 3.330 | % | (11,234 | ) | (9,852 | ) | (1,382 | ) | Citibank, N.A. | ||||||||||||||||||
State of Illinois | 06/20/24 | 1.000%(Q) | 580 | 2.716 | % | (30,623 | ) | (5,098 | ) | (25,525 | ) | Citibank, N.A. | ||||||||||||||||||
|
|
|
|
|
|
| ||||||||||||||||||||||||
$ | (166,923 | ) | $ | (87,647 | ) | $ | (79,276 | ) | ||||||||||||||||||||||
|
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|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Value at Trade Date | Value at December 31, 2020 | Unrealized | |||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Sell Protection(2): |
| |||||||||||||||||||||||||
CDX.NA.HY.35.V1 | 12/20/25 | 5.000%(Q) | 47,490 | 2.932 | % | $ | 3,802,077 | $ | 4,501,428 | $699,351 | ||||||||||||||||
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|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||||
OTC Credit Default Swap Agreement on credit indices—Sell Protection(2): |
| |||||||||||||||||||||||||||||||
CMBX.NA.6.AA | 05/11/63 | 1.500%(M) | 650 | * | $ | (161 | ) | $ | (2,273 | ) | $ | 2,112 | Deutsche Bank AG | |||||||||||||||||||
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|
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|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at December 31, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
AUD | 6,000 | 02/13/30 | 1.210%(S) | 6 Month BBSW(2)(S) | $ | (25 | ) | $ | 147,634 | $ | 147,659 | |||||||||||||
BRL | 12,664 | 01/02/25 | 5.903%(T) | 1 Day BROIS(2)(T) | — | 117,358 | 117,358 | |||||||||||||||||
BRL | 6,276 | 01/02/25 | 6.640%(T) | 1 Day BROIS(2)(T) | — | 109,153 | 109,153 | |||||||||||||||||
BRL | 7,043 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 125,169 | 125,169 | |||||||||||||||||
BRL | 18,662 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 330,424 | 330,424 | |||||||||||||||||
CNH | 16,230 | 06/14/24 | 2.900%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | 40 | 26,969 | 26,929 | |||||||||||||||||
CNH | 46,000 | 06/28/24 | 2.901%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | — | 74,127 | 74,127 | |||||||||||||||||
CNH | 16,400 | 09/19/24 | 2.940%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (11 | ) | 30,378 | 30,389 | ||||||||||||||||
CNH | 15,700 | 10/10/24 | 2.860%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (7 | ) | 24,030 | 24,037 | ||||||||||||||||
COP | 3,909,000 | 02/18/25 | 4.505%(Q) | 1 Day COOIS(2)(Q) | — | 76,813 | 76,813 | |||||||||||||||||
COP | 6,724,755 | 02/21/25 | 4.565%(Q) | 1 Day COOIS(2)(Q) | — | 130,286 | 130,286 | |||||||||||||||||
COP | 2,761,000 | 02/18/30 | 5.072%(Q) | 1 Day COOIS(2)(Q) | — | 80,275 | 80,275 | |||||||||||||||||
COP | 1,932,000 | 02/18/30 | 5.081%(Q) | 1 Day COOIS(2)(Q) | — | 54,319 | 54,319 | |||||||||||||||||
COP | 4,156,000 | 02/24/30 | 5.078%(Q) | 1 Day COOIS(2)(Q) | — | 116,443 | 116,443 | |||||||||||||||||
EUR | 3,815 | 05/11/26 | 0.250%(A) | 1 Day EONIA(1)(A) | (62,921 | ) | (211,849 | ) | (148,928 | ) | ||||||||||||||
EUR | 3,815 | 05/11/28 | 0.500%(A) | 1 Day EONIA(2)(A) | 322,464 | 360,034 | 37,570 | |||||||||||||||||
GBP | 977 | 10/22/28 | 0.680%(A) | 1 Day SONIA(1)(A) | — | (64,075 | ) | (64,075 | ) | |||||||||||||||
GBP | 2,100 | 05/08/30 | 1.100%(A) | 1 Day SONIA(1)(A) | (145,549 | ) | (278,072 | ) | (132,523 | ) | ||||||||||||||
GBP | 230 | 05/08/34 | 1.200%(A) | 1 Day SONIA(1)(A) | (9,088 | ) | (42,442 | ) | (33,354 | ) | ||||||||||||||
HUF | 99,000 | 02/13/30 | 1.595%(A) | 6 Month BUBOR(2)(S) | — | 8,108 | 8,108 | |||||||||||||||||
HUF | 1,548,000 | 02/14/30 | 1.605%(A) | 6 Month BUBOR(2)(S) | — | 131,536 | 131,536 | |||||||||||||||||
HUF | 432,000 | 02/18/30 | 1.803%(A) | 6 Month BUBOR(2)(S) | — | 64,186 | 64,186 | |||||||||||||||||
NZD | 2,100 | 02/14/30 | 1.523%(S) | 3 Month BBR(2)(Q) | — | 90,151 | 90,151 | |||||||||||||||||
3,100 | 02/14/30 | 1.382%(A) | 1 Day USOIS(1)(A) | — | (230,855 | ) | (230,855 | ) | ||||||||||||||||
ZAR | 102,100 | 07/07/25 | 5.160%(Q) | 3 Month JIBAR(1)(Q) | (3,670 | ) | (210,296 | ) | (206,626 | ) | ||||||||||||||
ZAR | 24,600 | 12/17/25 | 4.855%(Q) | 3 Month JIBAR(1)(Q) | — | (11,397 | ) | (11,397 | ) | |||||||||||||||
ZAR | 27,400 | 02/11/30 | 7.481%(Q) | 3 Month JIBAR(2)(Q) | (1,167 | ) | 163,459 | 164,626 | ||||||||||||||||
ZAR | 36,800 | 02/28/30 | 7.500%(Q) | 3 Month JIBAR(2)(Q) | (10,698 | ) | 215,772 | 226,470 | ||||||||||||||||
ZAR | 19,800 | 03/02/30 | 7.625%(Q) | 3 Month JIBAR(2)(Q) | 519 | 127,458 | 126,939 | |||||||||||||||||
ZAR | 22,200 | 03/12/30 | 7.840%(Q) | 3 Month JIBAR(2)(Q) | (194 | ) | 164,075 | 164,269 | ||||||||||||||||
ZAR | 14,700 | 03/12/30 | 7.900%(Q) | 3 Month JIBAR(2)(Q) | (134 | ) | 113,002 | 113,136 | ||||||||||||||||
ZAR | 58,300 | 03/18/30 | 10.650%(Q) | 3 Month JIBAR(2)(Q) | — | 275,560 | 275,560 | |||||||||||||||||
ZAR | 6,400 | 03/27/30 | 9.150%(Q) | 3 Month JIBAR(2)(Q) | (128 | ) | 87,594 | 87,722 | ||||||||||||||||
ZAR | 12,600 | 04/01/30 | 8.600%(Q) | 3 Month JIBAR(2)(Q) | (52 | ) | 148,946 | 148,998 | ||||||||||||||||
ZAR | 29,700 | 04/03/30 | 9.300%(Q) | 3 Month JIBAR(2)(Q) | (585 | ) | 456,147 | 456,732 | ||||||||||||||||
ZAR | 61,200 | 07/07/30 | 7.040%(Q) | 3 Month JIBAR(2)(Q) | (1,669 | ) | 214,336 | 216,005 | ||||||||||||||||
|
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|
|
| |||||||||||||||||||
$ | 87,125 | $ | 3,014,756 | $ | 2,927,631 | |||||||||||||||||||
|
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|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at December 31, 2020:
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized | |||||||||||||||||
OTC Total Return Swap Agreement: | ||||||||||||||||||||||||
IOS.FN30.450.10(M) | 1 Month LIBOR(M) | | Credit Suisse International | | 1/12/41 | 992 | $ | (601 | ) | $ | (2,784 | ) | $2,183 |
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 53,675 | $ | (160,967 | ) | $ | 27,132 | $ | (172,903 | ) | ||||||
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|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | — | $ | 16,979,550 |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. | |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. | |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 15,451,951 | $ | — | ||||||
Collateralized Loan Obligations | — | 237,659,343 | — | |||||||||
Consumer Loans | — | 22,342,629 | — | |||||||||
Credit Cards | — | 4,521,721 | — | |||||||||
Home Equity Loans | — | 638,861 | — | |||||||||
Other | — | 2,290,519 | — | |||||||||
Residential Mortgage-Backed Securities | — | 9,523,621 | — | |||||||||
Student Loans | — | 23,608,306 | — | |||||||||
Bank Loans | — | 10,275,184 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 198,395,309 | — | |||||||||
Corporate Bonds | — | 508,563,272 | — | |||||||||
Municipal Bonds | — | 23,471,898 | — | |||||||||
Residential Mortgage-Backed Securities | — | 90,728,911 | 10,127,687 | |||||||||
Sovereign Bonds | — | 82,063,114 | — | |||||||||
U.S. Government Agency Obligations | — | 28,462,979 | — | |||||||||
U.S. Treasury Obligations | — | 16,005,303 | — | |||||||||
Preferred Stocks | 2,296,100 | — | — | |||||||||
Affiliated Mutual Funds | 58,145,052 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 60,441,152 | $ | 1,274,002,921 | $ | 10,127,687 | ||||||
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|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 197,898 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contract | — | 12,487 | — | |||||||||
Centrally Cleared Credit Default Swap Agreement | — | 699,351 | — | |||||||||
OTC Credit Default Swap Agreements | — | 52,608 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 3,755,389 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 197,898 | $ | 4,519,835 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A61
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* (continued) | ||||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (1,952,409 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (2,081,172 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (305,070 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (827,758 | ) | — | ||||||||
OTC Total Return Swap Agreement | — | (601 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (1,952,409 | ) | $ | (3,214,601 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loans | Residential Mortgage-Backed Securities | |||||||
Balance as of 12/31/19 | $ | 1,051,134 | $ | 11,680,644 | ||||
Realized gain (loss) | — | — | ||||||
Change in unrealized appreciation (depreciation) | — | (27,853 | ) | |||||
Purchases/Exchanges/Issuances | — | 6,361,643 | ||||||
Sales/Paydowns | — | (7,886,747 | ) | |||||
Accrued discount/premium | — | — | ||||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | (1,051,134 | ) | — | |||||
|
|
|
| |||||
Balance as of 12/31/20 | $ | — | $ | 10,127,687 | ||||
|
|
|
| |||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end | $ | — | $ | (27,853 | ) | |||
|
|
|
|
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of December 31, 2020 | Valuation Methodology | Unobservable Inputs | |||||||
Residential Mortgage-Backed Securities | $ | 10,127,687 | Market Approach | Single Broker Indicative Quote | ||||||
|
|
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels are as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Bank Loans | $ | 1,051,134 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
Collateralized Loan Obligations | 18.4 | % | ||
Commercial Mortgage-Backed Securities | 15.3 | |||
Banks | 8.6 | |||
Residential Mortgage-Backed Securities | 8.5 | |||
Sovereign Bonds | 6.4 | |||
Affiliated Mutual Funds (3.4% represents investments purchased with collateral from securities on loan) | 4.5 | |||
Pharmaceuticals | 3.1 | |||
Oil & Gas | 3.1 | |||
Electric | 2.9 |
Telecommunications | 2.5 | % | ||
Media | 2.3 | |||
U.S. Government Agency Obligations | 2.2 | |||
Pipelines | 1.9 | |||
Student Loans | 1.8 | |||
Municipal Bonds | 1.8 | |||
Consumer Loans | 1.7 | |||
U.S. Treasury Obligations | 1.2 | |||
Automobiles | 1.2 | |||
Retail | 1.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification (continued):
Commercial Services | 1.1 | % | ||
Chemicals | 1.1 | |||
Semiconductors | 1.0 | |||
Insurance | 1.0 | |||
Healthcare-Services | 1.0 | |||
Auto Manufacturers | 0.9 | |||
Foods | 0.8 | |||
Airlines | 0.6 | |||
Auto Parts & Equipment | 0.5 | |||
Aerospace & Defense | 0.5 | |||
Healthcare-Products | 0.5 | |||
Diversified Financial Services | 0.4 | |||
Lodging | 0.4 | |||
Real Estate Investment Trusts (REITs) | 0.4 | |||
Miscellaneous Manufacturing | 0.4 | |||
Agriculture | 0.4 | |||
Software | 0.4 | |||
Credit Cards | 0.4 | |||
Machinery-Diversified | 0.3 | |||
Beverages | 0.3 | |||
Entertainment | 0.3 | |||
Multi-National | 0.3 | |||
Gas | 0.3 | |||
Building Materials | 0.2 | |||
Mining | 0.2 |
Engineering & Construction | 0.2 | % | ||
Other | 0.2 | |||
Home Builders | 0.2 | |||
Real Estate | 0.2 | |||
Savings & Loans | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Packaging & Containers | 0.1 | |||
Apparel | 0.1 | |||
Electrical Components & Equipment | 0.1 | |||
Electronics | 0.1 | |||
Capital Markets | 0.1 | |||
Computers | 0.1 | |||
Home Equity Loans | 0.1 | |||
Machinery-Construction & Mining | 0.0 | * | ||
Housewares | 0.0 | * | ||
Water | 0.0 | * | ||
Oil & Gas Services | 0.0 | * | ||
Textiles | 0.0 | * | ||
Transportation | 0.0 | * | ||
|
| |||
104.0 | ||||
Liabilities in excess of other assets | (4.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of | Fair Value | Statement of Assets and | Fair Value | ||||||||
Credit contracts | Due from/to broker-variation margin swaps | $ | 699,351 | * | — | $ | — | |||||
Credit contracts | Premiums paid for OTC swap agreements | 53,675 | Premiums received for OTC swap agreements | 158,183 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 24,949 | Unrealized depreciation on OTC swap agreements | 172,903 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 12,487 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 2,081,172 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 197,898 | * | Due from/to broker-variation margin futures | 1,952,409 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 3,755,389 | * | Due from/to broker-variation margin swaps | 827,758 | * | ||||||
Interest rate contracts | — | — | Premiums received for OTC swap agreements | 2,784 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 2,183 | — | — | ||||||||
|
|
|
| |||||||||
$ | 4,745,932 | $ | 5,195,209 | |||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A63
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Forward &Cross Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | (8,252,678 | ) | $ | — | $ | — | $ | 5,680,952 | |||||||||
Foreign exchange contracts | — | — | — | (3,100,389 | ) | — | ||||||||||||||
Interest rate contracts | 1,131,352 | — | 34,449,291 | — | (39,582,580 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,131,352 | $ | (8,252,678 | ) | $ | 34,449,291 | $ | (3,100,389 | ) | $ | (33,901,628 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(2) | Options Written | Futures | Forward &Cross Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | (33,112 | ) | $ | — | $ | — | $ | 794,408 | |||||||||
Foreign exchange contracts | — | — | — | (1,048,812 | ) | — | ||||||||||||||
Interest rate contracts | (415,466 | ) | — | 3,229,232 | — | 21,016,604 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (415,466 | ) | $ | (33,112 | ) | $ | 3,229,232 | $ | (1,048,812 | ) | $ | 21,811,012 | |||||||
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | Forward Foreign Currency Exchange Contracts— Purchased(3) | ||||
$13,827 | $51,594,000 | $423,603,618 | $611,946,861 | $34,029,651 |
Forward Foreign Currency Exchange Contracts—Sold(3) | Interest Rate Swap Agreements(2) | Credit Default Swap Agreements— Buy Protection(2) | ||
$94,622,815 | $478,991,373 | $60,975,906 |
Credit Default Swap Agreements— Sell Protection(2) | Total Return Swap Agreements(2) | |
$133,840,244 | $1,183,262 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.
SEE NOTES TO FINANCIAL STATEMENTS.
A64
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 43,132,940 | $ | (43,132,940 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 60,830 | $ | (52,722 | ) | $ | 8,108 | $ | (8,108 | ) | $ | — | ||||||||
BNP Paribas S.A. | — | (34,610 | ) | (34,610 | ) | — | (34,610 | ) | ||||||||||||
Citibank, N.A. | 15,682 | (229,666 | ) | (213,984 | ) | 213,984 | — | |||||||||||||
Credit Suisse International | 2,183 | (94,481 | ) | (92,298 | ) | 92,298 | — | |||||||||||||
Deutsche Bank AG | 2,112 | (2,273 | ) | (161 | ) | — | (161 | ) | ||||||||||||
Goldman Sachs International | 12,487 | — | 12,487 | — | 12,487 | |||||||||||||||
HSBC Bank USA, N.A. | — | (1,641,414 | ) | (1,641,414 | ) | 1,641,414 | — | |||||||||||||
Morgan Stanley & Co. International PLC | — | (319,662 | ) | (319,662 | ) | 270,000 | (49,662 | ) | ||||||||||||
The Toronto-Dominion Bank | — | (40,214 | ) | (40,214 | ) | — | (40,214 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 93,294 | $ | (2,415,042 | ) | $ | (2,321,748 | ) | $ | 2,209,588 | $ | (112,160 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value, including securities on loan of $43,132,940: | ||||
Unaffiliated investments (cost $1,206,363,004) | $ | 1,286,426,708 | ||
Affiliated investments (cost $58,131,060) | 58,145,052 | |||
Cash segregated for counterparty — OTC | 793,000 | |||
Foreign currency, at value (cost $163,932) | 164,390 | |||
Cash | 42,959 | |||
Dividends and interest receivable | 8,987,139 | |||
Due from broker-variation margin futures | 571,640 | |||
Receivable for Portfolio shares sold | 202,501 | |||
Due from broker-variation margin swaps | 62,108 | |||
Premiums paid for OTC swap agreements | 53,675 | |||
Unrealized appreciation on OTC swap agreements | 27,132 | |||
Tax reclaim receivable | 26,366 | |||
Receivable for investments sold | 19,604 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 12,487 | |||
Prepaid expenses | 12,463 | |||
|
| |||
Total Assets | 1,355,547,224 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 44,043,328 | |||
Payable for investments purchased | 15,359,440 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 2,081,172 | |||
Management fee payable | 435,376 | |||
Payable for Portfolio shares purchased | 376,281 | |||
Accrued expenses and other liabilities | 306,402 | |||
Unrealized depreciation on OTC swap agreements | 172,903 | |||
Premiums received for OTC swap agreements | 160,967 | |||
Trustees’ fees payable | 2,318 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 62,939,167 | |||
|
| |||
NET ASSETS | $ | 1,292,608,057 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 1,292,608,057 | ||
|
| |||
Net asset value and redemption price per share, $1,292,608,057 / 81,908,846 outstanding shares of beneficial interest | $ | 15.78 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) INCOME |
| |||
Interest income | $ | 41,921,543 | ||
Unaffiliated dividend income | 133,188 | |||
Affiliated dividend income | 120,067 | |||
Income from securities lending, net (including affiliated income of $102,579) | 106,420 | |||
|
| |||
Total income | 42,281,218 | |||
|
| |||
EXPENSES | ||||
Management fee | 4,939,610 | |||
Custodian and accounting fees | 143,259 | |||
Shareholders’ reports | 105,214 | |||
Audit fee | 56,035 | |||
Legal fees and expenses | 29,034 | |||
Trustees’ fees | 25,280 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,683 | |||
Miscellaneous | 32,988 | |||
|
| |||
Total expenses | 5,342,103 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 36,939,115 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(35,703)) | 10,185,875 | |||
Futures transactions | 34,449,291 | |||
Forward and cross currency contract transactions | (3,100,389 | ) | ||
Options written transactions | (8,252,678 | ) | ||
Swap agreements transactions | (33,901,628 | ) | ||
Foreign currency transactions | (95,487 | ) | ||
|
| |||
(715,016 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $9,715) | 40,355,722 | |||
Futures | 3,229,232 | |||
Forward and cross currency contracts | (1,048,812 | ) | ||
Options written | (33,112 | ) | ||
Swap agreements | 21,811,012 | |||
Foreign currencies | (292,393 | ) | ||
|
| |||
64,021,649 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 63,306,633 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 100,245,748 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 36,939,115 | $ | 41,162,817 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (715,016 | ) | 77,712,920 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 64,021,649 | 1,002,602 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 100,245,748 | 119,878,339 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [7,159,168 and 3,069,133 shares, respectively] | 108,389,140 | 43,101,026 | ||||||
Portfolio shares purchased [7,041,212 and 6,864,355 shares, respectively] | (106,131,559 | ) | (95,800,032 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 2,257,581 | (52,699,006 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 102,503,329 | 67,179,333 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,190,104,728 | 1,122,925,395 | ||||||
|
|
|
| |||||
End of year | $ | 1,292,608,057 | $ | 1,190,104,728 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A66
EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
LONG-TERM INVESTMENTS — 99.2% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 1.9% | ||||||||
Airbus SE (France)* | 250,596 | $ | 27,536,332 | |||||
Raytheon Technologies Corp. | 601,101 | 42,984,732 | ||||||
Safran SA (France)* | 265,243 | 37,744,410 | ||||||
|
| |||||||
108,265,474 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
FedEx Corp. | 139,749 | 36,281,635 | ||||||
|
| |||||||
Automobiles — 5.0% | ||||||||
General Motors Co. | 1,257,566 | 52,365,048 | ||||||
Tesla, Inc.*(a) | 326,217 | 230,201,551 | ||||||
|
| |||||||
282,566,599 | ||||||||
|
| |||||||
Banks — 4.9% | ||||||||
Bank of America Corp. | 1,996,681 | 60,519,401 | ||||||
Citigroup, Inc. | 770,439 | 47,505,269 | ||||||
JPMorgan Chase & Co. | 648,306 | 82,380,244 | ||||||
PNC Financial Services Group, Inc. (The) | 313,584 | 46,724,016 | ||||||
Truist Financial Corp. | 830,280 | 39,795,320 | ||||||
|
| |||||||
276,924,250 | ||||||||
|
| |||||||
Beverages — 0.6% | ||||||||
PepsiCo, Inc. | 246,730 | 36,590,059 | ||||||
|
| |||||||
Biotechnology — 0.7% | ||||||||
Sarepta Therapeutics, Inc.*(a) | 101,977 | 17,386,059 | ||||||
Vertex Pharmaceuticals, Inc.* | 103,892 | 24,553,835 | ||||||
|
| |||||||
41,939,894 | ||||||||
|
| |||||||
Building Products — 1.1% | ||||||||
Johnson Controls International PLC | 1,293,017 | 60,241,662 | ||||||
|
| |||||||
Capital Markets — 1.9% | ||||||||
Blackstone Group, Inc. (The) (Class A Stock) | 278,853 | 18,072,463 | ||||||
Goldman Sachs Group, Inc. (The) | 239,754 | 63,225,528 | ||||||
S&P Global, Inc. | 72,962 | 23,984,798 | ||||||
|
| |||||||
105,282,789 | ||||||||
|
| |||||||
Chemicals — 2.1% | ||||||||
FMC Corp. | 402,333 | 46,240,132 | ||||||
Linde PLC (United Kingdom) | 279,016 | 73,523,506 | ||||||
|
| |||||||
119,763,638 | ||||||||
|
| |||||||
Consumer Finance — 1.2% | ||||||||
Capital One Financial Corp. | 375,691 | 37,137,055 | ||||||
SLM Corp. | 2,482,612 | 30,759,563 | ||||||
|
| |||||||
67,896,618 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
Crown Holdings, Inc.* | 367,550 | 36,828,510 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
Verizon Communications, Inc. | 914,796 | 53,744,265 | ||||||
|
| |||||||
Electric Utilities — 0.8% | ||||||||
American Electric Power Co., Inc. | 521,441 | 43,420,392 | ||||||
|
| |||||||
Entertainment — 4.4% | ||||||||
Netflix, Inc.* | 199,715 | 107,991,892 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Entertainment (cont’d.) | ||||||||
Spotify Technology SA* | 201,412 | $ | 63,376,300 | |||||
Walt Disney Co. (The)* | 441,981 | 80,078,117 | ||||||
|
| |||||||
251,446,309 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
Walmart, Inc. | 428,409 | 61,755,157 | ||||||
|
| |||||||
Food Products — 0.9% | ||||||||
Mondelez International, Inc. | 824,252 | 48,194,014 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
Danaher Corp. | 76,085 | 16,901,522 | ||||||
DexCom, Inc.* | 49,114 | 18,158,428 | ||||||
Zimmer Biomet Holdings, Inc. | 242,438 | 37,357,271 | ||||||
|
| |||||||
72,417,221 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.2% |
| |||||||
Cigna Corp. | 157,552 | 32,799,176 | ||||||
Laboratory Corp. of America Holdings* | 172,204 | 35,052,124 | ||||||
|
| |||||||
67,851,300 | ||||||||
|
| |||||||
Health Care Technology — 0.5% |
| |||||||
Teladoc Health, Inc.*(a) | 154,028 | 30,799,439 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
Airbnb, Inc. | 15,073 | 2,212,716 | ||||||
McDonald’s Corp. | 152,795 | 32,786,751 | ||||||
Royal Caribbean Cruises Ltd. | 205,223 | 15,328,106 | ||||||
|
| |||||||
50,327,573 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
D.R. Horton, Inc. | 423,143 | 29,163,016 | ||||||
|
| |||||||
Household Products — 0.6% |
| |||||||
Procter & Gamble Co. (The) | 239,033 | 33,259,052 | ||||||
|
| |||||||
Insurance — 2.3% | ||||||||
Chubb Ltd. | 362,217 | 55,752,440 | ||||||
Marsh & McLennan Cos., Inc. | 286,259 | 33,492,303 | ||||||
MetLife, Inc. | 851,324 | 39,969,662 | ||||||
|
| |||||||
129,214,405 | ||||||||
|
| |||||||
Interactive Media & Services — 6.9% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 64,571 | 113,169,717 | ||||||
Alphabet, Inc. (Class C Stock)* | 28,166 | 49,343,452 | ||||||
Facebook, Inc. (Class A Stock)* | 459,905 | 125,627,650 | ||||||
Match Group, Inc.* | 642,301 | 97,109,488 | ||||||
Tencent Holdings Ltd. (China) | 123,516 | 8,972,155 | ||||||
|
| |||||||
394,222,462 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 6.9% |
| |||||||
Amazon.com, Inc.* | 72,951 | 237,596,301 | ||||||
Chewy, Inc. (Class A Stock)*(a) | 445,040 | 40,004,646 | ||||||
Farfetch Ltd. (United Kingdom) (Class A Stock)* | 406,978 | 25,969,266 | ||||||
MercadoLibre, Inc. (Argentina)* | 52,047 | 87,190,175 | ||||||
|
| |||||||
390,760,388 | ||||||||
|
| |||||||
IT Services — 11.5% | ||||||||
Adyen NV (Netherlands), 144A* | 45,073 | 105,167,149 | ||||||
Mastercard, Inc. (Class A Stock) | 193,812 | 69,179,255 |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
EQUITY PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (cont’d.) | ||||||||
PayPal Holdings, Inc.* | 392,377 | $ | 91,894,693 | |||||
Shopify, Inc. (Canada) (Class A Stock)* | 112,956 | 127,860,544 | ||||||
Snowflake, Inc. | 99,374 | 27,963,844 | ||||||
Square, Inc. (Class A Stock)* | 327,992 | 71,384,179 | ||||||
Twilio, Inc. (Class A Stock)* | 227,028 | 76,848,978 | ||||||
Visa, Inc. (Class A Stock)(a) | 378,242 | 82,732,873 | ||||||
|
| |||||||
653,031,515 | ||||||||
|
| |||||||
Leisure Products — 1.0% | ||||||||
Peloton Interactive, Inc. (Class A Stock)* | 372,639 | 56,536,789 | ||||||
|
| |||||||
Machinery — 1.1% | ||||||||
Fortive Corp. | 398,969 | 28,254,985 | ||||||
Otis Worldwide Corp. | 500,961 | 33,839,915 | ||||||
|
| |||||||
62,094,900 | ||||||||
|
| |||||||
Multi-Utilities — 1.0% | ||||||||
Dominion Energy, Inc. | 759,773 | 57,134,930 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
Chevron Corp. | 1,090,506 | 92,093,232 | ||||||
|
| |||||||
Personal Products — 0.9% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 188,010 | 50,046,382 | ||||||
|
| |||||||
Pharmaceuticals — 2.7% | ||||||||
AstraZeneca PLC (United Kingdom), ADR(a) | 1,286,388 | 64,306,536 | ||||||
Bristol-Myers Squibb Co. | 530,038 | 32,878,257 | ||||||
Eli Lilly & Co. | 324,149 | 54,729,317 | ||||||
|
| |||||||
151,914,110 | ||||||||
|
| |||||||
Road & Rail — 2.2% | ||||||||
Uber Technologies, Inc.* | 1,253,697 | 63,938,547 | ||||||
Union Pacific Corp. | 288,307 | 60,031,284 | ||||||
|
| |||||||
123,969,831 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
Broadcom, Inc. | 125,299 | 54,862,167 | ||||||
NVIDIA Corp. | 181,281 | 94,664,938 | ||||||
QUALCOMM, Inc. | 336,718 | 51,295,620 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan), ADR | 452,792 | 49,372,440 | ||||||
Texas Instruments, Inc. | 322,975 | 53,009,887 | ||||||
|
| |||||||
303,205,052 | ||||||||
|
| |||||||
Software — 9.5% | ||||||||
Adobe, Inc.* | 209,475 | 104,762,637 | ||||||
Atlassian Corp. PLC (Class A Stock)* | 150,441 | 35,183,637 | ||||||
Coupa Software, Inc.* | 175,469 | 59,468,199 | ||||||
Crowdstrike Holdings, Inc. (Class A Stock)* | 222,317 | 47,091,187 | ||||||
Microsoft Corp. | 648,523 | 144,244,486 | ||||||
PTC, Inc.* | 199,478 | 23,859,563 | ||||||
RingCentral, Inc. (Class A Stock)* | 100,354 | 38,031,155 | ||||||
SAP SE (Germany), ADR(a) | 258,994 | 33,770,228 | ||||||
Trade Desk, Inc. (The) (Class A Stock)* | 51,028 | 40,873,428 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Software (cont’d.) | ||||||||
Zoom Video Communications, Inc. (Class A Stock)* | 29,964 | $ | 10,107,456 | |||||
|
| |||||||
537,391,976 | ||||||||
|
| |||||||
Specialty Retail — 2.6% | ||||||||
Advance Auto Parts, Inc. | 118,160 | 18,611,382 | ||||||
Home Depot, Inc. (The) | 146,650 | 38,953,173 | ||||||
Lowe’s Cos., Inc. | 327,195 | 52,518,069 | ||||||
Ross Stores, Inc. | 314,684 | 38,646,342 | ||||||
|
| |||||||
148,728,966 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.8% |
| |||||||
Apple, Inc. | 2,475,409 | 328,462,020 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.5% |
| |||||||
Lululemon Athletica, Inc.* | 166,215 | 57,847,806 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 100,585 | 62,792,198 | ||||||
NIKE, Inc. (Class B Stock) | 568,558 | 80,433,900 | ||||||
|
| |||||||
201,073,904 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
United Rentals, Inc.* | 149,302 | 34,624,627 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 5,629,464,355 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 9.6% |
| |||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond | 34,536,497 | 34,536,497 | ||||||
PGIM Institutional Money Market Fund (cost $509,050,741; includes $509,005,347 of cash collateral for securities on | 509,583,640 | 509,328,849 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 543,865,346 | ||||||
|
| |||||||
TOTAL INVESTMENTS—108.8% |
| 6,173,329,701 | ||||||
Liabilities in excess of other assets — (8.8)% |
| (498,972,752 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,674,356,949 | ||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $498,160,026; cash collateral of $509,005,347 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A68
EQUITY PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. | |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. | |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 42,984,732 | $ | 65,280,742 | $ | — | ||||||
Air Freight & Logistics | 36,281,635 | — | — | |||||||||
Automobiles | 282,566,599 | — | — | |||||||||
Banks | 276,924,250 | — | — | |||||||||
Beverages | 36,590,059 | — | — | |||||||||
Biotechnology | 41,939,894 | — | — | |||||||||
Building Products | 60,241,662 | — | — | |||||||||
Capital Markets | 105,282,789 | — | — | |||||||||
Chemicals | 119,763,638 | — | — | |||||||||
Consumer Finance | 67,896,618 | — | — | |||||||||
Containers & Packaging | 36,828,510 | — | — | |||||||||
Diversified Telecommunication Services | 53,744,265 | — | — | |||||||||
Electric Utilities | 43,420,392 | — | — | |||||||||
Entertainment | 251,446,309 | — | — | |||||||||
Food & Staples Retailing | 61,755,157 | — | — | |||||||||
Food Products | 48,194,014 | — | — | |||||||||
Health Care Equipment & Supplies | 72,417,221 | — | — | |||||||||
Health Care Providers & Services | 67,851,300 | — | — | |||||||||
Health Care Technology | 30,799,439 | — | — | |||||||||
Hotels, Restaurants & Leisure | 50,327,573 | — | — | |||||||||
Household Durables | 29,163,016 | — | — | |||||||||
Household Products | 33,259,052 | — | — | |||||||||
Insurance | 129,214,405 | — | — | |||||||||
Interactive Media & Services | 385,250,307 | 8,972,155 | — | |||||||||
Internet & Direct Marketing Retail | 390,760,388 | — | — | |||||||||
IT Services | 547,864,366 | 105,167,149 | — | |||||||||
Leisure Products | 56,536,789 | — | — | |||||||||
Machinery | 62,094,900 | — | — | |||||||||
Multi-Utilities | 57,134,930 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 92,093,232 | — | — | |||||||||
Personal Products | 50,046,382 | — | — | |||||||||
Pharmaceuticals | 151,914,110 | — | — | |||||||||
Road & Rail | 123,969,831 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 303,205,052 | — | — | |||||||||
Software | 537,391,976 | — | — | |||||||||
Specialty Retail | 148,728,966 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 328,462,020 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 138,281,706 | 62,792,198 | — | |||||||||
Trading Companies & Distributors | 34,624,627 | — | — | |||||||||
Affiliated Mutual Funds | 543,865,346 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 5,931,117,457 | $ | 242,212,244 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A69
EQUITY PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
IT Services | 11.5 | % | ||
Affiliated Mutual Funds (9.0% represents investments purchased with collateral from securities on loan) | 9.6 | |||
Software | 9.5 | |||
Interactive Media & Services | 6.9 | |||
Internet & Direct Marketing Retail | 6.9 | |||
Technology Hardware, Storage & Peripherals | 5.8 | |||
Semiconductors & Semiconductor Equipment | 5.3 | |||
Automobiles | 5.0 | |||
Banks | 4.9 | |||
Entertainment | 4.4 | |||
Textiles, Apparel & Luxury Goods | 3.5 | |||
Pharmaceuticals | 2.7 | |||
Specialty Retail | 2.6 | |||
Insurance | 2.3 | |||
Road & Rail | 2.2 | |||
Chemicals | 2.1 | |||
Aerospace & Defense | 1.9 | |||
Capital Markets | 1.9 | |||
Oil, Gas & Consumable Fuels | 1.6 | |||
Health Care Equipment & Supplies | 1.3 | |||
Consumer Finance | 1.2 | |||
Health Care Providers & Services | 1.2 |
Machinery | 1.1 | % | ||
Food & Staples Retailing | 1.1 | |||
Building Products | 1.1 | |||
Multi-Utilities | 1.0 | |||
Leisure Products | 1.0 | |||
Diversified Telecommunication Services | 0.9 | |||
Hotels, Restaurants & Leisure | 0.9 | |||
Personal Products | 0.9 | |||
Food Products | 0.9 | |||
Electric Utilities | 0.8 | |||
Biotechnology | 0.7 | |||
Containers & Packaging | 0.7 | |||
Beverages | 0.6 | |||
Air Freight & Logistics | 0.6 | |||
Trading Companies & Distributors | 0.6 | |||
Household Products | 0.6 | |||
Health Care Technology | 0.5 | |||
Household Durables | 0.5 | |||
|
| |||
108.8 | ||||
Liabilities in excess of other assets | (8.8 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 498,160,026 | $ | (498,160,026 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
EQUITY PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value, including securities on loan of $498,160,026: | ||||
Unaffiliated investments (cost $3,143,790,788) | $ | 5,629,464,355 | ||
Affiliated investments (cost $543,587,238) | 543,865,346 | |||
Cash | 44 | |||
Receivable for investments sold | 16,450,268 | |||
Dividends receivable | 2,080,393 | |||
Tax reclaim receivable | 1,210,641 | |||
Receivable for Portfolio shares sold | 879 | |||
Prepaid expenses and other assets | 416,774 | |||
|
| |||
Total Assets | 6,193,488,700 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 509,005,347 | |||
Payable for Portfolio shares purchased | 4,603,424 | |||
Payable for investments purchased | 2,395,160 | |||
Management fee payable | 2,135,273 | |||
Payable to affiliate | 686,629 | |||
Accrued expenses and other liabilities | 296,730 | |||
Trustees’ fees payable | 7,005 | |||
Affiliated transfer agent fee payable | 980 | |||
Payable to custodian | 446 | |||
Distribution fee payable | 416 | |||
Administration fee payable | 341 | |||
|
| |||
Total Liabilities | 519,131,751 | |||
|
| |||
NET ASSETS | $ | 5,674,356,949 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 5,674,356,949 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $5,672,354,556 / 69,595,254 outstanding shares of beneficial interest | $ | 81.50 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $2,002,393 / 25,098 outstanding shares of beneficial interest | $ | 79.78 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $261,838 foreign withholding tax) | $ | 59,096,365 | ||
Income from securities lending, net (including affiliated income of $819,055) | 895,632 | |||
Affiliated dividend income | 687,233 | |||
|
| |||
Total income | 60,679,230 | |||
|
| |||
EXPENSES | ||||
Management fee | 21,503,309 | |||
Distribution fee—Class II | 4,236 | |||
Administration fee—Class II | 2,542 | |||
Custodian and accounting fees | 304,897 | |||
Shareholders’ reports | 302,695 | |||
Trustees’ fees | 71,541 | |||
Legal fees and expenses | 43,411 | |||
Audit fee | 30,971 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,682 | |||
Miscellaneous | 110,185 | |||
|
| |||
Total expenses | 22,384,469 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 38,294,761 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $372,577) | 537,194,844 | |||
Foreign currency transactions | (39,176 | ) | ||
|
| |||
537,155,668 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $217,230) | 719,946,180 | |||
Foreign currencies | 11,696 | |||
|
| |||
719,957,876 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 1,257,113,544 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,295,408,305 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 38,294,761 | $ | 51,222,459 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 537,155,668 | 305,388,687 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 719,957,876 | 742,710,537 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,295,408,305 | 1,099,321,683 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 10,494,011 | 5,848,700 | ||||||
Portfolio shares purchased | (344,263,770 | ) | (313,517,496 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (333,769,759 | ) | (307,668,796 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 3 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 961,638,546 | 791,652,890 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 4,712,718,403 | 3,921,065,513 | ||||||
|
|
|
| |||||
End of year | $ | 5,674,356,949 | $ | 4,712,718,403 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A71
FLEXIBLE MANAGED PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
LONG-TERM INVESTMENTS — 95.4% | ||||||||
COMMON STOCKS — 62.7% | Shares | Value | ||||||
Aerospace & Defense — 1.5% | ||||||||
L3Harris Technologies, Inc. | 51,300 | $ | 9,696,726 | |||||
Lockheed Martin Corp. | 60,600 | 21,511,788 | ||||||
Northrop Grumman Corp. | 59,400 | 18,100,368 | ||||||
Raytheon Technologies Corp. | 246,000 | 17,591,460 | ||||||
|
| |||||||
66,900,342 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% | ||||||||
Deutsche Post AG (Germany) | 8,660 | 436,413 | ||||||
SG Holdings Co. Ltd. (Japan) | 9,900 | 270,240 | ||||||
Yamato Holdings Co. Ltd. (Japan) | 8,900 | 226,908 | ||||||
|
| |||||||
933,561 | ||||||||
|
| |||||||
Auto Components — 0.0% | ||||||||
BorgWarner, Inc. | 41,900 | 1,619,016 | ||||||
Cie Generale des Etablissements Michelin SCA (France) | 1,500 | 192,737 | ||||||
Continental AG (Germany) | 300 | 44,612 | ||||||
Faurecia SE (France)* | 224 | 11,510 | ||||||
NGK Spark Plug Co. Ltd. (Japan) | 900 | 15,371 | ||||||
Stanley Electric Co. Ltd. (Japan) | 300 | 9,679 | ||||||
Toyota Industries Corp. (Japan) | 400 | 31,790 | ||||||
|
| |||||||
1,924,715 | ||||||||
|
| |||||||
Automobiles — 0.5% | ||||||||
Bayerische Motoren Werke AG (Germany) | 1,908 | 170,860 | ||||||
Daimler AG (Germany) | 6,942 | 492,496 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 2,982 | 53,609 | ||||||
Ford Motor Co. | 199,900 | 1,757,121 | ||||||
General Motors Co. | 516,500 | 21,507,060 | ||||||
Peugeot SA (France)* | 1,594 | 43,834 | ||||||
Suzuki Motor Corp. (Japan) | 700 | 32,468 | ||||||
Toyota Motor Corp. (Japan) | 5,500 | 424,221 | ||||||
Volkswagen AG (Germany) | 88 | 18,376 | ||||||
|
| |||||||
24,500,045 | ||||||||
|
| |||||||
Banks — 2.0% | ||||||||
Aozora Bank Ltd. (Japan) | 700 | 12,907 | ||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 16,284 | 80,720 | ||||||
Bank of America Corp. | 129,250 | 3,917,567 | ||||||
Barclays PLC (United Kingdom)* | 62,877 | 126,516 | ||||||
BNP Paribas SA (France)* | 3,437 | 181,953 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 17,000 | 51,605 | ||||||
Chiba Bank Ltd. (The) (Japan) | 45,800 | 252,867 | ||||||
Citigroup, Inc. | 494,450 | 30,487,787 | ||||||
Commonwealth Bank of Australia (Australia) | 4,781 | 304,086 | ||||||
Credit Agricole SA (France)* | 3,115 | 39,742 | ||||||
Danske Bank A/S (Denmark)* | 1,851 | 30,421 | ||||||
DBS Group Holdings Ltd. (Singapore) | 21,700 | 411,979 | ||||||
DNB ASA (Norway)* | 19,848 | 385,013 | ||||||
Erste Group Bank AG (Austria)* | 749 | 22,921 | ||||||
FNB Corp. | 245,500 | 2,332,250 | ||||||
Intesa Sanpaolo SpA (Italy)* | 45,259 | 106,070 | ||||||
Japan Post Bank Co. Ltd. (Japan) | 1,000 | 8,198 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (cont’d.) | ||||||||
JPMorgan Chase & Co. | 101,694 | $ | 12,922,257 | |||||
KBC Group NV (Belgium)* | 693 | 48,851 | ||||||
Mebuki Financial Group, Inc. (Japan) | 134,900 | 265,192 | ||||||
Mediobanca Banca di Credito Finanziario SpA (Italy)* | 2,950 | 27,302 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 14,200 | 62,769 | ||||||
Mizuho Financial Group, Inc. (Japan) | 6,340 | 80,525 | ||||||
Nordea Bank Abp (Finland)* | 8,835 | 72,604 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 39,500 | 300,730 | ||||||
PacWest Bancorp | 91,000 | 2,311,400 | ||||||
Popular, Inc. (Puerto Rico) | 92,900 | 5,232,128 | ||||||
Resona Holdings, Inc. (Japan) | 5,600 | 19,557 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 3,400 | 104,906 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 900 | 27,706 | ||||||
Swedbank AB (Sweden) (Class A Stock)* | 7,129 | 124,721 | ||||||
United Overseas Bank Ltd. (Singapore) | 3,300 | 56,434 | ||||||
Wells Fargo & Co. | 942,400 | 28,441,632 | ||||||
|
| |||||||
88,851,316 | ||||||||
|
| |||||||
Beverages — 0.6% | ||||||||
Carlsberg A/S (Denmark) (Class B Stock) | 275 | 43,808 | ||||||
Coca-Cola Co. (The) | 71,500 | 3,921,060 | ||||||
Coca-Cola HBC AG (Switzerland)* | 545 | 17,767 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 2,200 | 51,875 | ||||||
Monster Beverage Corp.* | 192,900 | 17,839,392 | ||||||
PepsiCo, Inc. | 19,020 | 2,820,666 | ||||||
|
| |||||||
24,694,568 | ||||||||
|
| |||||||
Biotechnology — 1.6% | ||||||||
AbbVie, Inc. | 289,300 | 30,998,495 | ||||||
Biogen, Inc.* | 53,700 | 13,148,982 | ||||||
CSL Ltd. (Australia) | 183 | 40,152 | ||||||
Gilead Sciences, Inc. | 344,950 | 20,096,787 | ||||||
Vertex Pharmaceuticals, Inc.* | 26,800 | 6,333,912 | ||||||
|
| |||||||
70,618,328 | ||||||||
|
| |||||||
Building Products — 0.5% | ||||||||
AGC, Inc. (Japan) | 600 | 20,951 | ||||||
American Woodmark Corp.* | 13,900 | 1,304,515 | ||||||
Cie de Saint-Gobain (France)* | 4,726 | 218,056 | ||||||
Fortune Brands Home & Security, Inc. | 16,100 | 1,380,092 | ||||||
Geberit AG (Switzerland) | 98 | 61,862 | ||||||
Kingspan Group PLC (Ireland)* | 406 | 28,551 | ||||||
Lixil Corp. (Japan) | 700 | 15,148 | ||||||
Masco Corp. | 257,800 | 14,160,954 | ||||||
UFP Industries, Inc. | 100,900 | 5,604,995 | ||||||
Xinyi Glass Holdings Ltd. (Hong Kong) | 6,000 | 16,757 | ||||||
|
| |||||||
22,811,881 | ||||||||
|
| |||||||
Capital Markets — 2.2% | ||||||||
3i Group PLC (United Kingdom) | 2,622 | 41,702 | ||||||
Affiliated Managers Group, Inc. | 59,000 | 6,000,300 |
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Capital Markets (cont’d.) | ||||||||
Ameriprise Financial, Inc. | 111,650 | $ | 21,696,944 | |||||
Bank of New York Mellon Corp. (The) | 228,900 | 9,714,516 | ||||||
Cboe Global Markets, Inc. | 75,300 | 7,011,936 | ||||||
Credit Suisse Group AG (Switzerland) | 13,950 | 182,399 | ||||||
Federated Hermes, Inc. | 154,900 | 4,475,061 | ||||||
Goldman Sachs Group, Inc. (The) | 88,800 | 23,417,448 | ||||||
Hargreaves Lansdown PLC (United Kingdom) | 867 | 18,144 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 3,300 | 181,565 | ||||||
Julius Baer Group Ltd. (Switzerland) | 607 | 34,900 | ||||||
Magellan Financial Group Ltd. (Australia) | 1,438 | 59,908 | ||||||
Morgan Stanley | 304,500 | 20,867,385 | ||||||
Nomura Holdings, Inc. (Japan) | 29,200 | 154,483 | ||||||
Raymond James Financial, Inc. | 45,200 | 4,324,284 | ||||||
SBI Holdings, Inc. (Japan) | 700 | 16,612 | ||||||
Schroders PLC (United Kingdom) | 340 | 15,555 | ||||||
UBS Group AG (Switzerland) | 32,097 | 460,091 | ||||||
|
| |||||||
98,673,233 | ||||||||
|
| |||||||
Chemicals — 1.0% | ||||||||
Akzo Nobel NV (Netherlands) | 512 | 55,139 | ||||||
BASF SE (Germany) | 1,215 | 95,963 | ||||||
Corteva, Inc. | 204,500 | 7,918,240 | ||||||
Covestro AG (Germany), 144A | 992 | 61,527 | ||||||
Element Solutions, Inc. | 75,200 | 1,333,296 | ||||||
Evonik Industries AG (Germany) | 559 | 18,280 | ||||||
Huntsman Corp. | 108,400 | 2,725,176 | ||||||
ICL Group Ltd. (Israel) | 2,000 | 10,230 | ||||||
LANXESS AG (Germany) | 229 | 17,628 | ||||||
Linde PLC (United Kingdom) | 15,100 | 3,979,001 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 900 | 20,688 | ||||||
Mitsui Chemicals, Inc. (Japan) | 500 | 14,720 | ||||||
Nitto Denko Corp. (Japan) | 1,000 | 89,547 | ||||||
PPG Industries, Inc. | 14,000 | 2,019,080 | ||||||
RPM International, Inc. | 39,700 | 3,603,966 | ||||||
Sensient Technologies Corp. | 26,000 | 1,918,020 | ||||||
Sherwin-Williams Co. (The) | 25,700 | 18,887,187 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,900 | 332,601 | ||||||
Tosoh Corp. (Japan) | 700 | 10,953 | ||||||
Yara International ASA (Brazil) | 474 | 19,842 | ||||||
|
| |||||||
43,131,084 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% | ||||||||
Brambles Ltd. (Australia) | 4,182 | 34,383 | ||||||
CoreCivic, Inc.(a) | 199,250 | 1,305,088 | ||||||
Dai Nippon Printing Co. Ltd. (Japan) | 600 | 10,787 | ||||||
Deluxe Corp. | 70,100 | 2,046,920 | ||||||
Herman Miller, Inc. | 122,700 | 4,147,260 | ||||||
Rentokil Initial PLC (United Kingdom)* | 4,970 | 34,684 | ||||||
Secom Co. Ltd. (Japan) | 1,600 | 147,645 | ||||||
|
| |||||||
7,726,767 | ||||||||
|
| |||||||
Communications Equipment — 0.8% | ||||||||
Cisco Systems, Inc. | 737,100 | 32,985,225 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Communications Equipment (cont’d.) | ||||||||
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) | 4,768 | $ | 56,759 | |||||
Ubiquiti, Inc.(a) | 3,400 | 946,934 | ||||||
|
| |||||||
33,988,918 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 725 | 24,119 | ||||||
Bouygues SA (France) | 620 | 25,506 | ||||||
EMCOR Group, Inc. | 84,500 | 7,728,370 | ||||||
Kajima Corp. (Japan) | 1,200 | 16,076 | ||||||
Obayashi Corp. (Japan) | 1,700 | 14,667 | ||||||
Quanta Services, Inc. | 43,000 | 3,096,860 | ||||||
Skanska AB (Sweden) (Class B Stock) | 627 | 16,008 | ||||||
Taisei Corp. (Japan) | 1,100 | 37,846 | ||||||
|
| |||||||
10,959,452 | ||||||||
|
| |||||||
Construction Materials — 0.0% |
| |||||||
HeidelbergCement AG (Germany) | 1,173 | 89,633 | ||||||
James Hardie Industries PLC, CDI* | 1,171 | 34,589 | ||||||
LafargeHolcim Ltd. (Switzerland)* | 7,319 | 405,630 | ||||||
Taiheiyo Cement Corp. (Japan) | 700 | 17,498 | ||||||
|
| |||||||
547,350 | ||||||||
|
| |||||||
Consumer Finance — 0.1% |
| |||||||
Capital One Financial Corp. | 35,600 | 3,519,060 | ||||||
OneMain Holdings, Inc. | 29,600 | 1,425,536 | ||||||
|
| |||||||
4,944,596 | ||||||||
|
| |||||||
Containers & Packaging — 0.0% |
| |||||||
Smurfit Kappa Group PLC (Ireland) | 605 | 28,241 | ||||||
|
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
Berkshire Hathaway, Inc. | 83,450 | 19,349,551 | ||||||
Investor AB (Sweden) (Class B Stock) | 1,232 | 90,451 | ||||||
Kinnevik AB (Sweden) (Class B Stock)* | 358 | 18,186 | ||||||
M&G PLC (United Kingdom) | 131,118 | 354,821 | ||||||
|
| |||||||
19,813,009 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
AT&T, Inc. | 953,600 | 27,425,536 | ||||||
BT Group PLC (United Kingdom)* | 24,863 | 45,153 | ||||||
Deutsche Telekom AG (Germany) | 9,003 | 165,360 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 7,600 | 194,196 | ||||||
Orange SA (France) | 14,595 | 173,710 | ||||||
Proximus SADP (Belgium) | 928 | 18,418 | ||||||
Swisscom AG (Switzerland) | 73 | 39,431 | ||||||
Telecom Italia SpA (Italy), RSP | 18,981 | 9,847 | ||||||
Telefonica Deutschland Holding AG (Germany) | 2,556 | 7,066 | ||||||
Verizon Communications, Inc. | 568,588 | 33,404,545 | ||||||
|
| |||||||
61,483,262 | ||||||||
|
| |||||||
Electric Utilities — 0.7% | ||||||||
Chubu Electric Power Co., Inc. (Japan) | 1,700 | 20,478 | ||||||
CK Infrastructure Holdings Ltd. (Hong Kong) | 3,500 | 18,776 |
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electric Utilities (cont’d.) | ||||||||
Endesa SA (Spain) | 8,661 | $ | 237,102 | |||||
Enel SpA (Italy) | 22,623 | 229,390 | ||||||
Exelon Corp. | 353,600 | 14,928,992 | ||||||
Fortum OYJ (Finland) | 14,814 | 358,137 | ||||||
Iberdrola SA (Spain) | 15,927 | 227,599 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 16,900 | 159,490 | ||||||
NRG Energy, Inc. | 398,850 | 14,976,818 | ||||||
Power Assets Holdings Ltd. (Hong Kong) | 3,500 | 18,938 | ||||||
Red Electrica Corp. SA (Spain) | 1,152 | 23,640 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 30,400 | 250,309 | ||||||
|
| |||||||
31,449,669 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
ABB Ltd. (Switzerland) | 15,888 | 450,586 | ||||||
Acuity Brands, Inc. | 43,300 | 5,243,197 | ||||||
Atkore International Group, Inc.* | 47,950 | 1,971,224 | ||||||
Eaton Corp. PLC | 86,100 | 10,344,054 | ||||||
Legrand SA (France) | 720 | 64,531 | ||||||
Schneider Electric SE (France) | 3,608 | 523,759 | ||||||
|
| |||||||
18,597,351 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Arrow Electronics, Inc.* | 29,400 | 2,860,620 | ||||||
Hirose Electric Co. Ltd. (Japan) | 100 | 15,171 | ||||||
Ibiden Co. Ltd. (Japan) | 300 | 14,019 | ||||||
IPG Photonics Corp.* | 8,500 | 1,902,215 | ||||||
Jabil, Inc. | 69,400 | 2,951,582 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 5,200 | 469,867 | ||||||
Omron Corp. (Japan) | 600 | 53,556 | ||||||
Shimadzu Corp. (Japan) | 700 | 27,236 | ||||||
SYNNEX Corp. | 24,600 | 2,003,424 | ||||||
TDK Corp. (Japan) | 1,600 | 241,585 | ||||||
|
| |||||||
10,539,275 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
TechnipFMC PLC (United Kingdom) | 730,200 | 6,863,880 | ||||||
|
| |||||||
Entertainment — 1.0% | ||||||||
Activision Blizzard, Inc. | 249,300 | 23,147,505 | ||||||
Electronic Arts, Inc. | 148,200 | 21,281,520 | ||||||
Nintendo Co. Ltd. (Japan) | 800 | 510,474 | ||||||
Vivendi SA (France) | 2,232 | 72,022 | ||||||
|
| |||||||
45,011,521 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
Apple Hospitality REIT, Inc. | 206,950 | 2,671,724 | ||||||
Crown Castle International Corp. | 106,100 | 16,890,059 | ||||||
Equinix, Inc. | 4,900 | 3,499,482 | ||||||
Franklin Street Properties Corp. | 55,450 | 242,316 | ||||||
Gaming & Leisure Properties, Inc. | 246,067 | 10,433,241 | ||||||
Gecina SA (France) | 124 | 19,199 | ||||||
GEO Group, Inc. (The)(a) | 317,650 | 2,814,379 | ||||||
Goodman Group (Australia) | 23,398 | 341,021 | ||||||
Japan Real Estate Investment Corp. (Japan) | 3 | 17,352 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||
Japan Retail Fund Investment Corp. (Japan) | 7 | $ | 12,750 | |||||
Klepierre SA (France) | 14,001 | 315,660 | ||||||
Nippon Building Fund, Inc. (Japan) | 4 | 23,189 | ||||||
Orix JREIT, Inc. (Japan) | 90 | 148,650 | ||||||
Stockland (Australia) | 100,953 | 326,901 | ||||||
Weyerhaeuser Co. | 523,700 | 17,559,661 | ||||||
|
| |||||||
55,315,584 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.4% |
| |||||||
Coles Group Ltd. (Australia) | 3,642 | 51,068 | ||||||
Costco Wholesale Corp. | 30,100 | 11,341,078 | ||||||
Etablissements Franz Colruyt NV (Belgium) | 438 | 25,961 | ||||||
Kesko OYJ (Finland) (Class B Stock) | 680 | 17,525 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 12,421 | 355,185 | ||||||
Kroger Co. (The) | 504,400 | 16,019,744 | ||||||
Seven & i Holdings Co. Ltd. (Japan) | 2,000 | 70,925 | ||||||
Sprouts Farmers Market, Inc.* | 96,600 | 1,941,660 | ||||||
Sundrug Co. Ltd. (Japan) | 200 | 7,984 | ||||||
Tesco PLC (United Kingdom) | 56,430 | 178,855 | ||||||
Walmart, Inc. | 217,700 | 31,381,455 | ||||||
Wm Morrison Supermarkets PLC (United Kingdom) | 13,956 | 33,926 | ||||||
|
| |||||||
61,425,366 | ||||||||
|
| |||||||
Food Products — 1.1% | ||||||||
Archer-Daniels-Midland Co. | 273,300 | 13,777,053 | ||||||
Conagra Brands, Inc. | 93,600 | 3,393,936 | ||||||
Danone SA (France) | 1,703 | 112,092 | ||||||
General Mills, Inc. | 218,300 | 12,836,040 | ||||||
Kraft Heinz Co. (The) | 491,100 | 17,021,526 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 300 | 21,109 | ||||||
Nestle SA (Switzerland) | 5,723 | 674,765 | ||||||
NH Foods Ltd. (Japan) | 1,900 | 83,703 | ||||||
Orkla ASA (Norway) | 14,749 | 149,857 | ||||||
Tate & Lyle PLC (United Kingdom) | 14,472 | 133,423 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 200 | 9,737 | ||||||
Tyson Foods, Inc. (Class A Stock) | 29,900 | 1,926,756 | ||||||
WH Group Ltd. (Hong Kong), 144A | 333,500 | 280,235 | ||||||
Wilmar International Ltd. (China) | 32,800 | 115,767 | ||||||
|
| |||||||
50,535,999 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
Enagas SA (Spain) | 665 | 14,588 | ||||||
Naturgy Energy Group SA (Spain) | 798 | 18,502 | ||||||
Snam SpA (Italy) | 11,949 | 67,446 | ||||||
UGI Corp. | 276,500 | 9,666,440 | ||||||
|
| |||||||
9,766,976 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.4% |
| |||||||
Abbott Laboratories | 296,800 | 32,496,632 | ||||||
Becton, Dickinson & Co. | 70,000 | 17,515,400 | ||||||
Boston Scientific Corp.* | 526,300 | 18,920,485 | ||||||
Danaher Corp. | 117,400 | 26,079,236 | ||||||
DiaSorin SpA (Italy) | 67 | 13,945 |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Equipment & Supplies (cont’d.) |
| |||||||
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) | 1,450 | $ | 34,367 | |||||
Hologic, Inc.* | 18,100 | 1,318,223 | ||||||
Hoya Corp. (Japan) | 900 | 124,628 | ||||||
IDEXX Laboratories, Inc.* | 5,100 | 2,549,337 | ||||||
ResMed, Inc. | 24,300 | 5,165,208 | ||||||
Sonova Holding AG (Switzerland)* | 148 | 38,557 | ||||||
STERIS PLC | 7,900 | 1,497,366 | ||||||
West Pharmaceutical Services, Inc. | 8,300 | 2,351,473 | ||||||
|
| |||||||
108,104,857 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.5% |
| |||||||
Alfresa Holdings Corp. (Japan) | 500 | 9,151 | ||||||
Cigna Corp. | 105,000 | 21,858,900 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 3,167 | 268,328 | ||||||
Fresenius SE & Co. KGaA (Germany) | 7,808 | 367,494 | ||||||
HCA Healthcare, Inc. | 16,100 | 2,647,806 | ||||||
McKesson Corp. | 28,300 | 4,921,936 | ||||||
Medipal Holdings Corp. (Japan) | 15,100 | 283,422 | ||||||
Sonic Healthcare Ltd. (Australia) | 1,161 | 28,776 | ||||||
UnitedHealth Group, Inc. | 98,500 | 34,541,980 | ||||||
|
| |||||||
64,927,793 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
M3, Inc. (Japan) | 1,200 | 113,484 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% |
| |||||||
Darden Restaurants, Inc. | 79,600 | 9,481,952 | ||||||
Evolution Gaming Group AB (Sweden), 144A | 1,254 | 127,887 | ||||||
La Francaise des Jeux SAEM (France), 144A | 6,159 | 283,585 | ||||||
McDonald’s Corp. | 100,100 | 21,479,458 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | 2,400 | 116,392 | ||||||
Tabcorp Holdings Ltd. (Australia) | 5,727 | 17,296 | ||||||
|
| |||||||
31,506,570 | ||||||||
|
| |||||||
Household Durables — 0.1% |
| |||||||
Berkeley Group Holdings PLC (United Kingdom) | 4,431 | 286,865 | ||||||
D.R. Horton, Inc. | 29,000 | 1,998,680 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 1,312 | 30,532 | ||||||
Husqvarna AB (Sweden) (Class B Stock) | 26,901 | 349,421 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 10,000 | 202,124 | ||||||
Persimmon PLC (United Kingdom) | 3,223 | 122,250 | ||||||
Rinnai Corp. (Japan) | 200 | 23,247 | ||||||
Sekisui House Ltd. (Japan) | 1,600 | 32,564 | ||||||
Sony Corp. (Japan) | 4,100 | 412,408 | ||||||
Taylor Wimpey PLC (United Kingdom)* | 9,825 | 22,379 | ||||||
|
| |||||||
3,480,470 | ||||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Essity AB (Sweden) (Class B Stock) | 1,607 | 51,741 | ||||||
Henkel AG & Co. KGaA (Germany) | 279 | 26,913 | ||||||
Procter & Gamble Co. (The) | 348,505 | 48,490,986 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Products (cont’d.) | ||||||||
Reckitt Benckiser Group PLC (United Kingdom) | 1,961 | $ | 175,900 | |||||
Unicharm Corp. (Japan) | 1,000 | 47,421 | ||||||
|
| |||||||
48,792,961 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.5% |
| |||||||
AES Corp. (The) | 480,800 | 11,298,800 | ||||||
Electric Power Development Co. Ltd. (Japan) | 400 | 5,519 | ||||||
Vistra Corp. | 554,200 | 10,895,572 | ||||||
|
| |||||||
22,199,891 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.7% |
| |||||||
3M Co. | 134,200 | 23,456,818 | ||||||
CK Hutchison Holdings Ltd. (United Kingdom) | 7,000 | 48,827 | ||||||
DCC PLC (United Kingdom) | 1,843 | 130,556 | ||||||
Honeywell International, Inc. | 35,200 | 7,487,040 | ||||||
Siemens AG (Germany) | 242 | 35,380 | ||||||
|
| |||||||
31,158,621 | ||||||||
|
| |||||||
Insurance — 1.2% |
| |||||||
Admiral Group PLC (United Kingdom) | 496 | 19,707 | ||||||
Aflac, Inc. | 129,600 | 5,763,312 | ||||||
Ageas SA/NV (Belgium) | 6,678 | 356,230 | ||||||
AIA Group Ltd. (Hong Kong) | 9,800 | 120,679 | ||||||
Allianz SE (Germany) | 1,126 | 276,408 | ||||||
Allstate Corp. (The) | 117,400 | 12,905,782 | ||||||
American Financial Group, Inc. | 74,500 | 6,527,690 | ||||||
Assicurazioni Generali SpA (Italy) | 9,840 | 171,812 | ||||||
Aviva PLC (United Kingdom) | 21,609 | 96,489 | ||||||
AXA SA (France) | 2,007 | 48,399 | ||||||
Baloise Holding AG (Switzerland) | 128 | 22,845 | ||||||
CNP Assurances (France)* | 2,004 | 32,604 | ||||||
Gjensidige Forsikring ASA (Norway) | 522 | 11,738 | ||||||
Japan Post Insurance Co. Ltd. (Japan) | 14,800 | 303,674 | ||||||
MetLife, Inc. | 421,300 | 19,780,035 | ||||||
NN Group NV (Netherlands) | 8,386 | 365,632 | ||||||
Old Republic International Corp. | 275,500 | 5,430,105 | ||||||
Poste Italiane SpA (Italy), 144A | 3,078 | 31,382 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 1,260 | 53,327 | ||||||
Sompo Holdings, Inc. (Japan) | 900 | 36,399 | ||||||
Swiss Life Holding AG (Switzerland) | 216 | 101,066 | ||||||
T&D Holdings, Inc. (Japan) | 1,400 | 16,550 | ||||||
Tryg A/S (Denmark) | 328 | 10,282 | ||||||
Zurich Insurance Group AG (Switzerland) | 402 | 170,435 | ||||||
|
| |||||||
52,652,582 | ||||||||
|
| |||||||
Interactive Media & Services — 3.9% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 30,250 | 53,017,360 | ||||||
Alphabet, Inc. (Class C Stock)* | 25,932 | 45,429,752 | ||||||
Facebook, Inc. (Class A Stock)* | 280,550 | 76,635,038 | ||||||
REA Group Ltd. (Australia) | 138 | 15,934 | ||||||
SEEK Ltd. (Australia) | 903 | 19,967 | ||||||
|
| |||||||
175,118,051 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Internet & Direct Marketing Retail — 3.5% |
| |||||||
Amazon.com, Inc.* | 42,800 | $ | 139,396,604 | |||||
eBay, Inc. | 327,200 | 16,441,800 | ||||||
HelloFresh SE (Germany)* | 209 | 16,175 | ||||||
Mercari, Inc. (Japan)* | 200 | 8,871 | ||||||
Prosus NV (China)* | 1,369 | 149,111 | ||||||
Zalando SE (Germany), 144A* | 395 | 44,547 | ||||||
ZOZO, Inc. (Japan) | 300 | 7,405 | ||||||
|
| |||||||
156,064,513 | ||||||||
|
| |||||||
IT Services — 3.0% | ||||||||
Accenture PLC (Class A Stock) | 128,650 | 33,604,666 | ||||||
Adyen NV (Netherlands), 144A* | 52 | 121,330 | ||||||
Afterpay Ltd. (Australia)* | 786 | 72,264 | ||||||
Amdocs Ltd. | 118,300 | 8,391,019 | ||||||
Atos SE (France)* | 558 | 50,639 | ||||||
Automatic Data Processing, Inc. | 33,700 | 5,937,940 | ||||||
Bechtle AG (Germany) | 304 | 66,533 | ||||||
CACI International, Inc. (Class A Stock)* | 42,900 | 10,696,257 | ||||||
Capgemini SE (France) | 440 | 68,517 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 283,500 | 23,232,825 | ||||||
Computershare Ltd. (Australia) | 1,343 | 15,173 | ||||||
EPAM Systems, Inc.* | 29,700 | 10,642,995 | ||||||
Fujitsu Ltd. (Japan) | 2,700 | 390,696 | ||||||
Genpact Ltd. | 78,800 | 3,259,168 | ||||||
GMO Payment Gateway, Inc. (Japan) | 100 | 13,413 | ||||||
International Business Machines Corp. | 204,000 | 25,679,520 | ||||||
KBR, Inc. | 96,500 | 2,984,745 | ||||||
NEC Corp. (Japan) | 800 | 42,941 | ||||||
Nomura Research Institute Ltd. (Japan) | 800 | 28,629 | ||||||
NTT Data Corp. (Japan) | 1,700 | 23,290 | ||||||
Obic Co. Ltd. (Japan) | 200 | 40,199 | ||||||
Perspecta, Inc. | 13,800 | 332,304 | ||||||
TIS, Inc. (Japan) | 600 | 12,277 | ||||||
Visa, Inc. (Class A Stock)(a) | 30,400 | 6,649,392 | ||||||
|
| |||||||
132,356,732 | ||||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
American Outdoor Brands, Inc.* | 24,575 | 418,512 | ||||||
Brunswick Corp. | 32,700 | 2,493,048 | ||||||
Shimano, Inc. (Japan) | 500 | 116,816 | ||||||
Smith & Wesson Brands, Inc. | 136,600 | 2,424,650 | ||||||
|
| |||||||
5,453,026 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
Agilent Technologies, Inc. | 17,400 | 2,061,726 | ||||||
IQVIA Holdings, Inc.* | 11,800 | 2,114,206 | ||||||
PerkinElmer, Inc. | 18,500 | 2,654,750 | ||||||
Sartorius Stedim Biotech (France) | 78 | 27,883 | ||||||
Thermo Fisher Scientific, Inc. | 65,100 | 30,322,278 | ||||||
|
| |||||||
37,180,843 | ||||||||
|
| |||||||
Machinery — 1.5% | ||||||||
AGCO Corp. | 76,600 | 7,896,694 | ||||||
Allison Transmission Holdings, Inc. | 3,300 | 142,329 | ||||||
Amada Co. Ltd. (Japan) | 1,800 | 19,779 | ||||||
ANDRITZ AG (Austria) | 451 | 20,625 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (cont’d.) | ||||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,042 | $ | 46,541 | |||||
Crane Co. | 52,200 | 4,053,852 | ||||||
Cummins, Inc. | 75,400 | 17,123,340 | ||||||
Deere & Co. | 85,600 | 23,030,680 | ||||||
Epiroc AB (Sweden) (Class A Stock) | 13,919 | 251,818 | ||||||
Epiroc AB (Sweden) (Class B Stock) | 1,075 | 18,087 | ||||||
FANUC Corp. (Japan) | 600 | 148,055 | ||||||
GEA Group AG (Germany) | 414 | 14,864 | ||||||
Knorr-Bremse AG (Germany) | 190 | 25,975 | ||||||
Kone OYJ (Finland) (Class B Stock) | 3,648 | 296,307 | ||||||
Kubota Corp. (Japan) | 2,700 | 58,972 | ||||||
Kurita Water Industries Ltd. (Japan) | 200 | 7,656 | ||||||
Makita Corp. (Japan) | 600 | 30,061 | ||||||
MINEBEA MITSUMI, Inc. (Japan) | 900 | 17,877 | ||||||
Oshkosh Corp. | 48,600 | 4,183,002 | ||||||
Pentair PLC | 144,100 | 7,650,269 | ||||||
Schindler Holding AG (Switzerland) | 55 | 15,006 | ||||||
SKF AB (Sweden) (Class B Stock) | 1,054 | 27,391 | ||||||
SMC Corp. (Japan) | 200 | 122,174 | ||||||
Spirax-Sarco Engineering PLC (United Kingdom) | 197 | 30,543 | ||||||
Techtronic Industries Co. Ltd. (Hong Kong) | 13,500 | 193,314 | ||||||
Timken Co. (The) | 17,300 | 1,338,328 | ||||||
Volvo AB (Sweden) (Class B Stock)* | 4,042 | 95,254 | ||||||
|
| |||||||
66,858,793 | ||||||||
|
| |||||||
Marine — 0.0% | ||||||||
AP Moller - Maersk A/S (Denmark) (Class A Stock) | 9 | 18,704 | ||||||
AP Moller - Maersk A/S (Denmark) (Class B Stock) | 35 | 78,414 | ||||||
Kuehne + Nagel International AG (Switzerland) | 312 | 71,710 | ||||||
Nippon Yusen KK (Japan) | 900 | 20,990 | ||||||
|
| |||||||
189,818 | ||||||||
|
| |||||||
Media — 0.4% | ||||||||
Comcast Corp. (Class A Stock) | 126,900 | 6,649,560 | ||||||
Gray Television, Inc.* | 96,300 | 1,722,807 | ||||||
News Corp. (Class A Stock) | 123,000 | 2,210,310 | ||||||
Omnicom Group, Inc. | 91,600 | 5,713,092 | ||||||
Publicis Groupe SA (France) | 580 | 29,015 | ||||||
WPP PLC (United Kingdom) | 12,978 | 141,567 | ||||||
|
| |||||||
16,466,351 | ||||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
Anglo American PLC (South Africa) | 3,380 | 112,575 | ||||||
Antofagasta PLC (Chile) | 1,094 | 21,499 | ||||||
ArcelorMittal SA (Luxembourg)* | 1,899 | 44,455 | ||||||
BHP Group Ltd. (Australia) | 8,242 | 269,346 | ||||||
BHP Group PLC (Australia) | 15,043 | 396,499 | ||||||
BlueScope Steel Ltd. (Australia) | 1,300 | 17,489 | ||||||
Boliden AB (Sweden) | 4,060 | 144,417 | ||||||
Evraz PLC (Russia) | 3,352 | 21,588 | ||||||
Fortescue Metals Group Ltd. (Australia) | 24,001 | 435,258 | ||||||
Freeport-McMoRan, Inc. | 414,100 | 10,774,882 |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Metals & Mining (cont’d.) | ||||||||
Newcrest Mining Ltd. (Australia) | 2,109 | $ | 41,757 | |||||
Newmont Corp. | 291,500 | 17,457,935 | ||||||
Norsk Hydro ASA (Norway) | 3,486 | 16,212 | ||||||
Rio Tinto Ltd. (Australia) | 979 | 86,342 | ||||||
Rio Tinto PLC (Australia) | 7,293 | 547,049 | ||||||
South32 Ltd. (Australia) | 10,330 | 19,726 | ||||||
Steel Dynamics, Inc. | 34,800 | 1,283,076 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 600 | 26,775 | ||||||
|
| |||||||
31,716,880 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
Annaly Capital Management, Inc. | 1,242,700 | 10,500,815 | ||||||
Starwood Property Trust, Inc. | 222,900 | 4,301,970 | ||||||
TPG RE Finance Trust, Inc. | 116,000 | 1,231,920 | ||||||
|
| |||||||
16,034,705 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
Dollar Tree, Inc.* | 120,900 | 13,062,036 | ||||||
Next PLC (United Kingdom)* | 345 | 33,534 | ||||||
Target Corp. | 126,600 | 22,348,698 | ||||||
Wesfarmers Ltd. (Australia) | 5,794 | 225,712 | ||||||
|
| |||||||
35,669,980 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% |
| |||||||
AGL Energy Ltd. (Australia) | 10,441 | 96,291 | ||||||
MDU Resources Group, Inc. | 35,300 | 929,802 | ||||||
Public Service Enterprise Group, Inc. | 91,400 | 5,328,620 | ||||||
Sempra Energy | 137,000 | 17,455,170 | ||||||
|
| |||||||
23,809,883 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.9% |
| |||||||
Chevron Corp. | 107,200 | 9,053,040 | ||||||
Cimarex Energy Co. | 260,800 | 9,782,608 | ||||||
ENEOS Holdings, Inc. (Japan) | 18,000 | 64,487 | ||||||
Equinor ASA (Norway) | 3,892 | 65,517 | ||||||
Kinder Morgan, Inc. | 1,232,600 | 16,849,642 | ||||||
Koninklijke Vopak NV (Netherlands) | 184 | 9,709 | ||||||
Lundin Energy AB (Sweden) | 11,941 | 323,494 | ||||||
Neste OYJ (Finland) | 1,143 | 82,762 | ||||||
OMV AG (Austria) | 6,301 | 254,572 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 11,401 | 201,474 | ||||||
Santos Ltd. (Australia) | 4,609 | 22,354 | ||||||
Teekay Tankers Ltd. (Bermuda) (Class A Stock)*(a) | 28,300 | 311,583 | ||||||
TOTAL SE (France) | 6,696 | 288,916 | ||||||
Washington H Soul Pattinson & Co. Ltd. (Australia) | 2,257 | 52,489 | ||||||
World Fuel Services Corp. | 70,100 | 2,184,316 | ||||||
|
| |||||||
39,546,963 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% |
| |||||||
Boise Cascade Co. | 28,700 | 1,371,860 | ||||||
Mondi PLC (United Kingdom) | 382 | 9,020 | ||||||
|
| |||||||
1,380,880 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Personal Products — 0.0% | ||||||||
L’Oreal SA (France) | 519 | $ | 197,375 | |||||
Unilever PLC (United Kingdom) | 8,937 | 538,346 | ||||||
|
| |||||||
735,721 | ||||||||
|
| |||||||
Pharmaceuticals — 2.8% |
| |||||||
Astellas Pharma, Inc. (Japan) | 4,800 | 74,159 | ||||||
AstraZeneca PLC (United Kingdom) | 1,150 | 116,390 | ||||||
Bayer AG (Germany) | 1,171 | 69,211 | ||||||
Bristol-Myers Squibb Co. | 452,200 | 28,049,966 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 5,100 | 272,519 | ||||||
Eli Lilly & Co. | 42,700 | 7,209,468 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 29,096 | 535,089 | ||||||
Hikma Pharmaceuticals PLC (Jordan) | 795 | 27,434 | ||||||
Johnson & Johnson | 140,348 | 22,087,968 | ||||||
Merck & Co., Inc. | 398,100 | 32,564,580 | ||||||
Novartis AG (Switzerland) | 8,280 | 783,241 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 8,641 | 599,961 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 2,200 | 66,299 | ||||||
Orion OYJ (Finland) (Class B Stock) | 2,032 | 93,292 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 6,600 | 282,560 | ||||||
Pfizer, Inc. | 767,200 | 28,240,632 | ||||||
Roche Holding AG (Switzerland) | 1,945 | 680,767 | ||||||
Sanofi (France) | 5,921 | 572,773 | ||||||
Shionogi & Co. Ltd. (Japan) | 700 | 38,277 | ||||||
Viatris, Inc.* | 98,258 | 1,841,355 | ||||||
|
| |||||||
124,205,941 | ||||||||
|
| |||||||
Professional Services — 0.0% |
| |||||||
Adecco Group AG (Switzerland) | 1,612 | 108,169 | ||||||
Experian PLC (United Kingdom) | 8,912 | 338,562 | ||||||
Randstad NV (Netherlands)* | 326 | 21,378 | ||||||
Teleperformance (France) | 131 | 43,752 | ||||||
|
| |||||||
511,861 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% |
| |||||||
Aroundtown SA (Germany) | 2,750 | 20,652 | ||||||
CK Asset Holdings Ltd. (Hong Kong) | 6,500 | 33,345 | ||||||
Daito Trust Construction Co. Ltd. (Japan) | 200 | 18,695 | ||||||
Deutsche Wohnen SE (Germany) | 928 | 49,676 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 4,000 | 15,626 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 3,300 | 52,920 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 8,000 | 10,405 | ||||||
Sumitomo Realty & Development Co. Ltd. (Japan) | 900 | 27,704 | ||||||
Swire Properties Ltd. (Hong Kong) | 3,200 | 9,316 | ||||||
|
| |||||||
238,339 | ||||||||
|
| |||||||
Road & Rail — 0.2% |
| |||||||
Werner Enterprises, Inc.(a) | 181,800 | 7,130,196 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
Applied Materials, Inc. | 310,900 | 26,830,670 | ||||||
ASML Holding NV (Netherlands) | 532 | 261,472 | ||||||
Broadcom, Inc. | 12,600 | 5,516,910 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (cont’d.) |
| |||||||
Entegris, Inc. | 36,300 | $ | 3,488,430 | |||||
Intel Corp. | 686,150 | 34,183,993 | ||||||
KLA Corp. | 34,500 | 8,932,395 | ||||||
Lam Research Corp. | 15,900 | 7,509,093 | ||||||
MKS Instruments, Inc. | 65,200 | 9,809,340 | ||||||
NVIDIA Corp. | 29,100 | 15,196,020 | ||||||
Qorvo, Inc.* | 43,300 | 7,199,491 | ||||||
QUALCOMM, Inc. | 52,000 | 7,921,680 | ||||||
Renesas Electronics Corp. (Japan)* | 2,000 | 21,058 | ||||||
Rohm Co. Ltd. (Japan) | 200 | 19,446 | ||||||
Semtech Corp.* | 40,200 | 2,898,018 | ||||||
STMicroelectronics NV (Switzerland) | 8,057 | 298,833 | ||||||
Teradyne, Inc. | 50,500 | 6,054,445 | ||||||
Texas Instruments, Inc. | 178,400 | 29,280,792 | ||||||
Tokyo Electron Ltd. (Japan) | 1,300 | 485,513 | ||||||
|
| |||||||
165,907,599 | ||||||||
|
| |||||||
Software — 5.9% |
| |||||||
Adobe, Inc.* | 71,250 | 35,633,550 | ||||||
Cadence Design Systems, Inc.* | 15,100 | 2,060,093 | ||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 2,600 | 345,566 | ||||||
Intuit, Inc. | 51,000 | 19,372,350 | ||||||
Microsoft Corp. | 761,100 | 169,283,862 | ||||||
Nemetschek SE (Germany) | 150 | 11,109 | ||||||
NortonLifeLock, Inc. | 369,700 | 7,682,366 | ||||||
Oracle Corp. | 449,750 | 29,094,328 | ||||||
SAP SE (Germany) | 751 | 99,593 | ||||||
Trend Micro, Inc. (Japan)* | 400 | 23,045 | ||||||
Xero Ltd. (New Zealand)* | 329 | 37,488 | ||||||
|
| |||||||
263,643,350 | ||||||||
|
| |||||||
Specialty Retail — 1.4% |
| |||||||
AutoNation, Inc.* | 69,700 | 4,864,363 | ||||||
Home Depot, Inc. (The) | 131,700 | 34,982,154 | ||||||
JD Sports Fashion PLC (United Kingdom)* | 28,597 | 336,325 | ||||||
Kingfisher PLC (United Kingdom)* | 32,550 | 120,361 | ||||||
Lowe’s Cos., Inc. | 111,200 | 17,848,712 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 700 | 146,701 | ||||||
O’Reilly Automotive, Inc.* | 12,900 | 5,838,153 | ||||||
Shimamura Co. Ltd. (Japan) | 300 | 31,514 | ||||||
Yamada Holdings Co. Ltd. (Japan) | 3,800 | 20,216 | ||||||
|
| |||||||
64,188,499 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.0% |
| |||||||
Apple, Inc. | 1,279,900 | 169,829,931 | ||||||
Brother Industries Ltd. (Japan) | 600 | 12,358 | ||||||
FUJIFILM Holdings Corp. (Japan) | 900 | 47,405 | ||||||
HP, Inc. | 335,600 | 8,252,404 | ||||||
Logitech International SA (Switzerland) | 3,578 | 351,235 | ||||||
|
| |||||||
178,493,333 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.0% |
| |||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 571 | 356,458 | ||||||
Pandora A/S (Denmark) | 526 | 59,118 | ||||||
Swatch Group AG (The) (Switzerland) | 140 | 7,409 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods (cont’d.) |
| |||||||
Tapestry, Inc. | 34,500 | $ | 1,072,260 | |||||
|
| |||||||
1,495,245 | ||||||||
|
| |||||||
Tobacco — 0.5% | ||||||||
Altria Group, Inc. | 510,850 | 20,944,850 | ||||||
British American Tobacco PLC (United Kingdom) | 14,575 | 542,077 | ||||||
Imperial Brands PLC (United Kingdom) | 2,561 | 54,054 | ||||||
Japan Tobacco, Inc. (Japan) | 17,100 | 348,327 | ||||||
Swedish Match AB (Sweden) | 441 | 34,258 | ||||||
|
| |||||||
21,923,566 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 1,203 | 56,468 | ||||||
Brenntag AG (Germany) | 4,503 | 349,729 | ||||||
Bunzl PLC (United Kingdom) | 1,952 | 65,252 | ||||||
Ferguson PLC | 2,885 | 351,283 | ||||||
GMS, Inc.* | 102,400 | 3,121,152 | ||||||
ITOCHU Corp. (Japan) | 3,500 | 100,706 | ||||||
Marubeni Corp. (Japan) | 8,800 | 58,655 | ||||||
Mitsubishi Corp. (Japan) | 3,800 | 93,739 | ||||||
Mitsui & Co. Ltd. (Japan) | 18,600 | 341,106 | ||||||
MonotaRO Co. Ltd. (Japan) | 300 | 15,279 | ||||||
Toyota Tsusho Corp. (Japan) | 500 | 20,335 | ||||||
|
| |||||||
4,573,704 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
KDDI Corp. (Japan) | 4,500 | 133,771 | ||||||
SoftBank Corp. (Japan) | 26,600 | 333,096 | ||||||
SoftBank Group Corp. (Japan) | 4,200 | 328,896 | ||||||
Vodafone Group PLC (United Kingdom) | 72,935 | 120,645 | ||||||
|
| |||||||
916,408 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,806,784,698 | |||||||
|
| |||||||
EXCHANGE-TRADED FUND — 0.0% |
| |||||||
iShares MSCI EAFE ETF | 3,188 | 232,597 | ||||||
|
| |||||||
(cost $155,789) | ||||||||
PREFERRED STOCKS — 0.0% |
| |||||||
Automobiles — 0.0% |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 151 | 10,142 | ||||||
Volkswagen AG (Germany) (PRFC) | 724 | 135,612 | ||||||
|
| |||||||
145,754 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 6.584%, Maturing 10/30/40 | 22,000 | 627,000 | ||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 1,749 | 197,076 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 969,830 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES — 6.3% |
| |||||||||||||||
Automobiles — 1.9% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-01, Class C |
| |||||||||||||||
3.500% | 01/18/24 | 1,600 | $ | 1,657,547 | ||||||||||||
Series 2019-01, Class B |
| |||||||||||||||
3.130% | 02/18/25 | 1,000 | 1,035,001 | |||||||||||||
Series 2019-01, Class C |
| |||||||||||||||
3.360% | 02/18/25 | 1,000 | 1,053,043 | |||||||||||||
Series 2019-02, Class C |
| |||||||||||||||
2.740% | 04/18/25 | 2,000 | 2,083,117 | |||||||||||||
Series 2019-03, Class C |
| |||||||||||||||
2.320% | 07/18/25 | 3,400 | 3,522,378 | |||||||||||||
Series 2020-02, Class C |
| |||||||||||||||
1.480% | 02/18/26 | 600 | 608,118 | |||||||||||||
Series 2020-03, Class C |
| |||||||||||||||
1.060% | 08/18/26 | 1,000 | 1,004,204 | |||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
4.000% | 03/20/25 | 1,600 | 1,733,584 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
3.350% | 09/22/25 | 3,000 | 3,203,176 | |||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 4,000 | 4,170,500 | |||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
2.330% | 08/20/26 | 1,800 | 1,857,605 | |||||||||||||
Ford Auto Securitization Trust (Canada), |
| |||||||||||||||
Series 2019-BA, Class A2, 144A |
| |||||||||||||||
2.321% | 10/15/23 | CAD | 2,282 | 1,814,397 | ||||||||||||
Series 2020-AA, Class A3, 144A |
| |||||||||||||||
1.153% | 11/15/25 | CAD | 3,600 | 2,832,911 | ||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A |
| |||||||||||||||
3.190% | 07/15/31 | 3,800 | 4,175,694 | |||||||||||||
Series 2018-02, Class A, 144A |
| |||||||||||||||
3.470% | 01/15/30 | 3,000 | 3,216,888 | |||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.520% | 07/15/30 | 5,000 | 5,453,046 | |||||||||||||
Series 2020-01, Class A, 144A |
| |||||||||||||||
2.040% | 08/15/31 | 3,600 | 3,795,178 | |||||||||||||
Series 2020-02, Class A, 144A |
| |||||||||||||||
1.060% | 04/15/33 | 6,300 | 6,360,348 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2017-03, Class A |
| |||||||||||||||
2.480% | 09/15/24 | 1,900 | 1,969,373 | |||||||||||||
Series 2018-02, Class A |
| |||||||||||||||
3.170% | 03/15/25 | 11,250 | 11,925,663 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 500 | 525,748 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series 2019-02, Class A, 144A |
| |||||||||||||||
2.900% | 04/15/26 | 5,700 | 6,143,316 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 3,094 | 3,124,683 | |||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 5,500 | 6,039,471 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Automobiles (cont’d.) |
| |||||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2020-02, Class C |
| |||||||||||||||
1.460% | 09/15/25 | 800 | $ | 810,608 | ||||||||||||
Series 2020-03, Class C |
| |||||||||||||||
1.120% | 01/15/26 | 2,600 | 2,620,738 | |||||||||||||
Series 2020-04, Class C |
| |||||||||||||||
1.010% | 01/15/26 | 1,600 | 1,606,971 | |||||||||||||
|
| |||||||||||||||
84,343,306 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 3.0% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
1.606%(c) | 07/22/32 | 3,750 | 3,749,453 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.517%(c) | 07/15/29 | 500 | 499,412 | |||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
1.587%(c) | 10/15/28 | 4,500 | 4,499,990 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.487%(c) | 07/15/29 | 1,499 | 1,499,199 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.038%(c) | 01/17/28 | 1,260 | 1,252,773 | |||||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.487%(c) | 04/15/29 | 3,000 | 2,999,994 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.618%(c) | 10/18/26 | 89 | 88,800 | |||||||||||||
CBAM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%) |
| |||||||||||||||
1.578%(c) | 10/20/32 | 5,800 | 5,808,702 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.418%(c) | 10/17/31 | 9,750 | 9,721,331 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.247%(c) | 04/15/31 | 2,000 | 1,990,162 | |||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.245%(c) | 04/26/31 | 4,000 | 3,987,148 | |||||||||||||
HPS Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
1.536%(c) | 07/22/32 | 3,750 | 3,762,516 |
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.225%(c) | 02/05/31 | 248 | $ | 247,074 | ||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) |
| |||||||||||||||
1.358%(c) | 10/19/28 | 10,000 | 9,990,121 | |||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.489%(c) | 10/23/29 | 1,250 | 1,249,996 | |||||||||||||
Jamestown CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
1.688%(c) | 04/20/32 | 5,750 | 5,746,701 | |||||||||||||
Jefferson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.393%(c) | 10/20/31 | 6,729 | 6,688,546 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
| |||||||||||||||
1.329%(c) | 04/21/31 | 2,379 | 2,361,143 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.618%(c) | 04/17/30 | 2,750 | 2,743,979 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.497%(c) | 07/15/30 | 1,250 | 1,249,997 | |||||||||||||
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
1.548%(c) | 07/20/32 | 10,000 | 10,004,670 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
1.498%(c) | 10/20/31 | 7,419 | 7,412,188 | |||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.464%(c) | 10/30/30 | 1,484 | 1,480,093 | |||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.608%(c) | 07/20/32 | 3,750 | 3,744,504 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) |
| |||||||||||||||
1.348%(c) | 01/17/31 | 1,500 | 1,491,396 | |||||||||||||
Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.330%(c) | 07/16/31 | 2,350 | 2,349,995 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
1.498%(c) | 10/20/31 | 8,750 | 8,749,978 | |||||||||||||
Romark CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%) |
| |||||||||||||||
1.390%(c) | 07/25/31 | 1,000 | 997,551 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
1.518%(c) | 07/17/26 | 416 | $ | 416,004 | ||||||||||||
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.458%(c) | 01/17/30 | 2,479 | 2,472,679 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%) |
| |||||||||||||||
1.058%(c) | 04/20/28 | 3,839 | 3,837,389 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) |
| |||||||||||||||
1.678%(c) | 07/20/32 | 3,000 | 2,995,621 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.425%(c) | 01/25/31 | 2,500 | 2,491,967 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.117%(c) | 07/15/27 | 731 | 730,324 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
1.368%(c) | 01/17/31 | 2,750 | 2,733,972 | |||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
1.318%(c) | 07/17/31 | 3,500 | 3,476,476 | |||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.418%(c) | 10/20/31 | 5,750 | 5,721,180 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.607%(c) | 07/15/29 | 1,700 | 1,685,871 | |||||||||||||
|
| |||||||||||||||
132,928,895 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.2% |
| |||||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.954%(c) | 09/14/32 | 695 | 695,472 | |||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
3.840% | 05/14/32 | 1,200 | 1,265,610 | |||||||||||||
Series 2020-02A, Class A, 144A |
| |||||||||||||||
1.750% | 09/14/35 | 2,100 | 2,137,643 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,600 | 1,625,748 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 1,100 | 1,119,160 | |||||||||||||
|
| |||||||||||||||
6,843,633 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||
Equipment — 0.2% |
| |||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||
Series 2017-B, Class A5, 144A |
| |||||||||||||
2.720% | 06/15/40 | 2,800 | $ | 2,886,560 | ||||||||||
Series 2018-A, Class A5, 144A |
| |||||||||||||
3.610% | 03/10/42 | 800 | 858,552 | |||||||||||
Series 2019-A, Class A5, 144A |
| |||||||||||||
3.080% | 11/12/41 | 2,500 | 2,683,352 | |||||||||||
Series 2019-B, Class A5, 144A |
| |||||||||||||
2.290% | 11/12/41 | 2,400 | 2,547,039 | |||||||||||
|
| |||||||||||||
8,975,503 | ||||||||||||||
|
| |||||||||||||
Home Equity Loans — 0.0% |
| |||||||||||||
CDC Mortgage Capital Trust, |
| |||||||||||||
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.650%) |
| |||||||||||||
1.798%(c) | 03/25/33 | 43 | 43,698 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) |
| |||||||||||||
1.048%(c) | 07/25/32 | 6 | 6,527 | |||||||||||
|
| |||||||||||||
50,225 | ||||||||||||||
|
| |||||||||||||
Other — 0.1% |
| |||||||||||||
Sierra Timeshare Receivables Funding LLC, |
| |||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||
3.500% | 06/20/35 | 895 | 928,787 | |||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||
2.590% | 05/20/36 | 1,537 | 1,589,144 | |||||||||||
TH MSR Issuer Trust, |
| |||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||
2.948%(c) | 06/25/24 | 3,250 | 3,140,870 | |||||||||||
|
| |||||||||||||
5,658,801 | ||||||||||||||
|
| |||||||||||||
Residential Mortgage-Backed Securities — 0.2% |
| |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||
4.125%(cc) | 07/25/58 | 1,024 | 1,027,700 | |||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||
3.750% | 01/25/59 | 668 | 669,858 | |||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||
3.438% | 05/25/59 | 1,248 | 1,253,545 | |||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||
4.000%(cc) | 12/28/54 | 320 | 323,208 | |||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor |
| |||||||||||||
0.795%) |
| |||||||||||||
0.943%(c) | 06/25/34 | 143 | 139,530 | |||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||
Series 2017-03, Class A1, 144A |
| |||||||||||||
2.750%(cc) | 01/25/61 | 1,302 | 1,335,468 | |||||||||||
TFS (Spain), |
| |||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||
2.900%(c) | 04/16/23 | EUR | 2,423 | 2,664,041 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (cont’d.) |
| |||||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.748%(c) | 02/25/57 | 2,059 | $ | 2,052,500 | ||||||||||||
Series 2020-04, Class A1, 144A |
| |||||||||||||||
1.750% | 10/25/60 | 1,288 | 1,317,758 | |||||||||||||
|
| |||||||||||||||
10,783,608 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.7% |
| |||||||||||||||
Commonbond Student Loan Trust, |
| |||||||||||||||
Series 2017-BGS, Class A1, 144A |
| |||||||||||||||
2.680% | 09/25/42 | 1,413 | 1,449,636 | |||||||||||||
Series 2018-AGS, Class A1, 144A |
| |||||||||||||||
3.210% | 02/25/44 | 1,081 | 1,121,738 | |||||||||||||
Series 2018-CGS, Class A1, 144A |
| |||||||||||||||
3.870% | 02/25/46 | 382 | 393,745 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2017-C, Class A2B, 144A |
| |||||||||||||||
2.810% | 11/25/42 | 833 | 848,442 | |||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.540% | 05/26/43 | 1,452 | 1,485,847 | |||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
2.730% | 10/25/48 | 1,022 | 1,046,258 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-A, Class A2, 144A |
| |||||||||||||||
3.190% | 02/18/42 | 2,979 | 3,037,977 | |||||||||||||
Series 2018-CA, Class A2, 144A |
| |||||||||||||||
3.520% | 06/16/42 | 1,313 | 1,338,414 | |||||||||||||
Series 2019-CA, Class A2, 144A |
| |||||||||||||||
3.130% | 02/15/68 | 2,100 | 2,163,604 | |||||||||||||
Series 2019-EA, Class A2A, 144A |
| |||||||||||||||
2.640% | 05/15/68 | 2,100 | 2,164,693 | |||||||||||||
Series 2020-BA, Class A2, 144A |
| |||||||||||||||
2.120% | 01/15/69 | 1,600 | 1,643,049 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
3.690% | 06/15/48 | 3,800 | 3,960,534 | |||||||||||||
Series 2019-B, Class A2FX, 144A |
| |||||||||||||||
3.090% | 08/17/48 | 2,100 | 2,169,937 | |||||||||||||
Series 2019-C, Class A2FX, 144A |
| |||||||||||||||
2.370% | 11/16/48 | 2,396 | 2,488,661 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.340% | 08/25/47 | 2,719 | 2,798,563 | |||||||||||||
Series 2020-A, Class A2FX, 144A |
| |||||||||||||||
2.540% | 05/15/46 | 2,400 | 2,479,867 | |||||||||||||
|
| |||||||||||||||
30,590,965 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| |||||||||||||||
(cost $274,698,732) |
| 280,174,936 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.6% |
| |||||||||||||||
Assurant Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-01A, Class AS, 144A |
| |||||||||||||||
3.172% | 05/15/49 | 4,000 | 4,252,101 | |||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK04, Class A3 |
| |||||||||||||||
3.362% | 05/15/50 | 6,500 | 7,316,891 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2018-C02, Class A4 |
| |||||||||||||||
4.047% | 12/15/51 | 5,400 | $ | 6,277,981 | ||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B03, Class A4 |
| |||||||||||||||
3.761% | 04/10/51 | 5,000 | 5,704,073 | |||||||||||||
Series 2018-B08, Class A4 |
| |||||||||||||||
3.963% | 01/15/52 | 6,700 | 7,753,334 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 1,282 | 1,353,156 | |||||||||||||
Series 2014-GC23, Class A3 |
| |||||||||||||||
3.356% | 07/10/47 | 2,193 | 2,375,131 | |||||||||||||
Series 2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 5,000 | 5,354,825 | |||||||||||||
Series 2016-GC37, Class A3 |
| |||||||||||||||
3.050% | 04/10/49 | 5,953 | 6,313,013 | |||||||||||||
Series 2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 5,500 | 6,192,917 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A2 |
| |||||||||||||||
2.928% | 02/10/47 | 797 | 794,204 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 2,664 | 2,886,760 | |||||||||||||
Series 2014-CR20, Class A3 |
| |||||||||||||||
3.326% | 11/10/47 | 5,000 | 5,333,512 | |||||||||||||
Series 2015-CR27, Class A3 |
| |||||||||||||||
3.349% | 10/10/48 | 6,100 | 6,690,144 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 2,979 | 3,267,861 | |||||||||||||
Series 2017-C08, Class A3 |
| |||||||||||||||
3.127% | 06/15/50 | 5,300 | 5,728,575 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.345%(cc) | 05/25/22 | 21,554 | 317,828 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.404%(cc) | 06/25/22 | 6,266 | 92,547 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.362%(cc) | 03/25/26 | 13,603 | 836,193 | |||||||||||||
Series K057, Class AM |
| |||||||||||||||
2.624% | 08/25/26 | 7,230 | 7,911,264 | |||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 5,900 | 6,723,941 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 5,600 | 6,421,362 | |||||||||||||
Series K069, Class AM |
| |||||||||||||||
3.248%(cc) | 09/25/27 | 1,050 | 1,196,887 | |||||||||||||
Series K070, Class AM |
| |||||||||||||||
3.364% | 12/25/27 | 1,525 | 1,762,762 | |||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 3,575 | 4,201,533 | |||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 2,575 | 3,048,492 | |||||||||||||
Series K077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 950 | 1,131,715 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 7,050 | $ | 8,445,753 | ||||||||||||
Series K081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 3,500 | 4,192,664 | |||||||||||||
Series K086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 1,300 | 1,560,370 | |||||||||||||
Series K087, Class AM |
| |||||||||||||||
3.832%(cc) | 12/25/28 | 1,350 | 1,606,810 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 4,200 | 5,164,079 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.214%(cc) | 04/25/28 | 2,260 | 2,531,784 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC28, Class A4 |
| |||||||||||||||
3.136% | 02/10/48 | 4,000 | 4,276,293 | |||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 5,800 | 6,297,900 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 5,800 | 6,189,831 | |||||||||||||
Series 2016-GS04, Class A3 |
| |||||||||||||||
3.178% | 11/10/49 | 5,500 | 5,960,765 | |||||||||||||
Series 2020-GSA02, Class A4 |
| |||||||||||||||
1.721% | 12/12/53 | 6,000 | 6,051,091 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C25, Class A4A1 |
| |||||||||||||||
3.408% | 11/15/47 | 834 | 887,897 | |||||||||||||
Series 2015-C27, Class A3A1 |
| |||||||||||||||
2.920% | 02/15/48 | 5,191 | 5,578,896 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 634 | 659,786 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,351 | 1,399,927 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 10,400 | 11,038,818 | |||||||||||||
Series 2018-H04, Class A3 |
| |||||||||||||||
4.043% | 12/15/51 | 1,900 | 2,228,659 | |||||||||||||
Series 2019-H07, Class A2 |
| |||||||||||||||
2.492% | 07/15/52 | 13,500 | 14,134,681 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C02, Class ASB |
| |||||||||||||||
3.264% | 08/15/50 | 3,500 | 3,830,681 | |||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 6,750 | 7,454,483 | |||||||||||||
Series 2018-C09, Class A3 |
| |||||||||||||||
3.854% | 03/15/51 | 2,500 | 2,806,122 | |||||||||||||
Series 2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 4,100 | 4,794,191 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A4 |
| |||||||||||||||
2.792% | 12/10/45 | 1,700 | 1,742,570 | |||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 703 | 720,770 | |||||||||||||
Series 2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 1,746 | 1,809,146 |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||
2.642% | 11/15/49 | 8,000 | $ | 8,590,671 | ||||||||
Series 2017-C38, Class A4 |
| |||||||||||
3.190% | 07/15/50 | 4,600 | 5,125,687 | |||||||||
Series 2018-C48, Class A4 |
| |||||||||||
4.037% | 01/15/52 | 7,000 | 8,224,911 | |||||||||
Series 2020-C58, Class A3 |
| |||||||||||
1.810% | 07/15/53 | 7,100 | 7,249,074 | |||||||||
|
| |||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 251,793,312 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 10.4% |
| |||||||||||
Aerospace & Defense — 0.1% |
| |||||||||||
Boeing Co. (The), |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.750% | 02/01/50 | 2,130 | 2,229,908 | |||||||||
Embraer Netherlands Finance BV (Brazil), |
| |||||||||||
Gtd. Notes | ||||||||||||
5.050% | 06/15/25 | 906 | 961,057 | |||||||||
Embraer Overseas Ltd. (Brazil), |
| |||||||||||
Gtd. Notes, 144A | ||||||||||||
5.696% | 09/16/23 | (a) | 950 | 1,011,940 | ||||||||
Raytheon Technologies Corp., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
4.125% | 11/16/28 | 1,270 | 1,513,709 | |||||||||
|
| |||||||||||
5,716,614 | ||||||||||||
|
| |||||||||||
Agriculture — 0.1% |
| |||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||
Gtd. Notes | ||||||||||||
3.222% | 08/15/24 | 3,740 | 4,049,047 | |||||||||
Vector Group Ltd., |
| |||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||
6.125% | 02/01/25 | 1,450 | 1,473,591 | |||||||||
|
| |||||||||||
5,522,638 | ||||||||||||
|
| |||||||||||
Airlines — 0.1% |
| |||||||||||
American Airlines 2015-1 Class A Pass-Through Trust, |
| |||||||||||
Pass-Through Certificates |
| |||||||||||
3.375% | 11/01/28 | 2,370 | 2,221,334 | |||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||
Pass-Through Certificates |
| |||||||||||
4.750% | 07/12/22 | 334 | 334,544 | |||||||||
Continental Airlines 2012-2 Class A Pass-Through Trust, |
| |||||||||||
Pass-Through Certificates |
| |||||||||||
4.000% | 04/29/26 | 458 | 463,819 | |||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||
Pass-Through Certificates |
| |||||||||||
6.821% | 02/10/24 | 191 | 195,226 | |||||||||
Southwest Airlines Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
5.125% | 06/15/27 | 905 | 1,075,939 | |||||||||
|
| |||||||||||
4,290,862 | ||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Auto Manufacturers — 0.5% |
| |||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||
0.631%(c) | 04/12/21 | 495 | $ | 495,431 | ||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||
Gtd. Notes, 144A |
| |||||||||||
3.350% | 05/04/21 | 2,010 | 2,029,518 | |||||||||
Ford Motor Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
5.291% | 12/08/46 | 1,220 | 1,275,187 | |||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.336% | 03/18/21 | 680 | 681,765 | |||||||||
3.350% | 11/01/22 | 4,205 | 4,269,397 | |||||||||
General Motors Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
6.250% | 10/02/43 | 980 | 1,321,602 | |||||||||
6.600% | 04/01/36 | 760 | 1,032,385 | |||||||||
General Motors Financial Co., Inc., |
| |||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||
1.080%(c) | 04/09/21 | 1,060 | 1,060,820 | |||||||||
Gtd. Notes |
| |||||||||||
3.550% | 04/09/21 | 805 | 810,987 | |||||||||
3.950% | 04/13/24 | 2,800 | 3,052,771 | |||||||||
Harley-Davidson Financial Services, Inc., |
| |||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||
2.850% | 01/15/21 | 4,705 | 4,708,591 | |||||||||
|
| |||||||||||
20,738,454 | ||||||||||||
|
| |||||||||||
Banks — 3.0% |
| |||||||||||
Banco Santander SA (Spain), |
| |||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||
1.344%(c) | 04/12/23 | 800 | 806,614 | |||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.848% | 04/12/23 | 1,000 | 1,072,626 | |||||||||
Bank of America Corp., |
| |||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||
6.300%(ff) | — | (rr) | 445 | 517,030 | ||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||
5.125%(ff) | — | (rr) | 1,665 | 1,755,085 | ||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||
4.300%(ff) | — | (rr) | 940 | 966,457 | ||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||
1.898%(ff) | 07/23/31 | 2,600 | 2,629,638 | |||||||||
2.496%(ff) | 02/13/31 | 3,085 | 3,272,300 | |||||||||
3.824%(ff) | 01/20/28 | 955 | 1,096,251 | |||||||||
4.125% | 01/22/24 | 4,830 | 5,361,565 | |||||||||
4.271%(ff) | 07/23/29 | 510 | 606,612 | |||||||||
Sub. Notes, MTN |
| |||||||||||
4.000% | 01/22/25 | 2,000 | 2,247,475 | |||||||||
4.450% | 03/03/26 | 8,455 | 9,858,536 | |||||||||
Bank of America NA, |
| |||||||||||
Sub. Notes |
| |||||||||||
6.000% | 10/15/36 | 410 | 613,112 | |||||||||
Barclays PLC (United Kingdom), |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.650% | 03/16/25 | 850 | 938,464 | |||||||||
3.684% | 01/10/23 | 585 | 602,832 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Banks (cont’d.) |
| |||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||
4.972%(ff) | 05/16/29 | 3,825 | $ | 4,596,654 | ||||||||
BNP Paribas SA (France), |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
2.219%(ff) | 06/09/26 | 2,330 | 2,438,488 | |||||||||
Citigroup, Inc., |
| |||||||||||
Jr. Sub. Notes, Series Q, 3 Month LIBOR + 4.095% |
| |||||||||||
4.316%(c) | — | (a)(rr) | 2,205 | 2,203,512 | ||||||||
Jr. Sub. Notes, Series V |
| |||||||||||
4.700%(ff) | — | (rr) | 1,400 | 1,438,440 | ||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.200% | 10/21/26 | 1,870 | 2,089,965 | |||||||||
3.700% | 01/12/26 | 6,180 | 7,026,311 | |||||||||
Sub. Notes |
| |||||||||||
4.450% | 09/29/27 | 5,965 | 7,040,920 | |||||||||
4.750% | 05/18/46 | 820 | 1,085,881 | |||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
2.193%(ff) | 06/05/26 | 1,560 | 1,629,514 | |||||||||
4.282% | 01/09/28 | 1,370 | 1,586,753 | |||||||||
Deutsche Bank AG (Germany), |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
2.129%(ff) | 11/24/26 | 440 | 450,277 | |||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||
3.375% | 05/12/21 | 1,640 | 1,653,636 | |||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||
5.000% | 02/14/22 | 2,400 | 2,508,737 | |||||||||
Discover Bank, |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
4.250% | 03/13/26 | 970 | 1,117,371 | |||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||
4.128%(c) | — | (rr) | 2,215 | 2,206,620 | ||||||||
Jr. Sub. Notes, Series O |
| |||||||||||
5.300%(ff) | — | (rr) | 740 | 813,419 | ||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.500% | 01/23/25 | 4,100 | 4,523,776 | |||||||||
3.750% | 02/25/26 | 1,010 | 1,148,277 | |||||||||
3.814%(ff) | 04/23/29 | 540 | 624,746 | |||||||||
3.850% | 01/26/27 | 2,910 | 3,323,671 | |||||||||
Sub. Notes |
| |||||||||||
6.750% | 10/01/37 | 104 | 158,131 | |||||||||
JPMorgan Chase & Co., |
| |||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||
4.600%(ff) | — | (rr) | 290 | 299,128 | ||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||
3.684%(c) | — | (rr) | 978 | 973,165 | ||||||||
Jr. Sub. Notes, Series II |
| |||||||||||
4.000%(ff) | — | (rr) | 1,045 | 1,047,641 | ||||||||
Jr. Sub. Notes, Series X |
| |||||||||||
6.100%(ff) | — | (rr) | 1,275 | 1,396,112 | ||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.782%(ff) | 02/01/28 | 695 | 798,204 | |||||||||
3.964%(ff) | 11/15/48 | 3,250 | 4,081,643 | |||||||||
4.005%(ff) | 04/23/29 | 2,170 | 2,544,578 | |||||||||
4.452%(ff) | 12/05/29 | 3,350 | 4,094,257 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Banks (cont’d.) |
| |||||||||||
Sub. Notes |
| |||||||||||
3.875% | 09/10/24 | 3,775 | $ | 4,225,254 | ||||||||
Morgan Stanley, |
| |||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||
3.847%(c) | — | (a)(rr) | 840 | 833,670 | ||||||||
Sr. Unsec’d. Notes |
| |||||||||||
4.375% | 01/22/47 | (a) | 1,045 | 1,418,571 | ||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||
3.750% | 02/25/23 | 950 | 1,018,401 | |||||||||
3.772%(ff) | 01/24/29 | 8,775 | 10,159,130 | |||||||||
3.875% | 01/27/26 | 675 | 773,627 | |||||||||
4.431%(ff) | 01/23/30 | 515 | 627,526 | |||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||
3.591%(ff) | 07/22/28 | 1,255 | 1,431,983 | |||||||||
Sub. Notes, GMTN |
| |||||||||||
4.350% | 09/08/26 | 3,825 | 4,501,938 | |||||||||
Societe Generale SA (France), |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
1.488%(ff) | 12/14/26 | 4,400 | 4,439,649 | |||||||||
State Bank of India (India), |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
4.375% | 01/24/24 | 1,925 | 2,083,854 | |||||||||
Wells Fargo & Co., |
| |||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||
2.572%(ff) | 02/11/31 | 4,175 | 4,429,106 | |||||||||
|
| |||||||||||
133,187,133 | ||||||||||||
|
| |||||||||||
Beverages — 0.1% |
| |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
(Belgium), |
| |||||||||||
Gtd. Notes | ||||||||||||
4.900% | 02/01/46 | 620 | 806,369 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||
Gtd. Notes | ||||||||||||
5.550% | 01/23/49 | 450 | 637,136 | |||||||||
8.000% | 11/15/39 | 1,285 | 2,169,213 | |||||||||
8.200% | 01/15/39 | 250 | 428,680 | |||||||||
Constellation Brands, Inc., Gtd. Notes |
| |||||||||||
4.250% | 05/01/23 | 1,400 | 1,525,927 | |||||||||
|
| |||||||||||
5,567,325 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.0% |
| |||||||||||
Regeneron Pharmaceuticals, Inc., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
2.800% | 09/15/50 | 570 | 551,817 | |||||||||
|
| |||||||||||
Building Materials — 0.0% |
| |||||||||||
Standard Industries, Inc., |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
4.375% | 07/15/30 | 760 | 813,263 | |||||||||
4.750% | 01/15/28 | 700 | 738,983 | |||||||||
|
| |||||||||||
1,552,246 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% |
| |||||||||||
Braskem Netherlands Finance BV (Brazil), |
| |||||||||||
Gtd. Notes, 144A | ||||||||||||
5.875% | 01/31/50 | 285 | 294,783 |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Chemicals (cont’d.) |
| |||||||||||
Celanese US Holdings LLC, |
| |||||||||||
Gtd. Notes | ||||||||||||
5.875% | 06/15/21 | 1,500 | $ | 1,533,679 | ||||||||
CF Industries, Inc., |
| |||||||||||
Gtd. Notes |
| |||||||||||
5.375% | 03/15/44 | 1,015 | 1,285,095 | |||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||
Gtd. Notes |
| |||||||||||
3.500% | 07/19/22 | 3,680 | 3,715,495 | |||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes |
| |||||||||||
5.250% | 11/15/41 | 45 | 59,631 | |||||||||
9.400% | 05/15/39 | 347 | 620,867 | |||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
4.875% | 06/01/24 | 1,300 | 1,357,269 | |||||||||
Nutrien Ltd. (Canada), |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.150% | 10/01/22 | 780 | 811,844 | |||||||||
Orbia Advance Corp. SAB de CV (Mexico), |
| |||||||||||
Gtd. Notes, 144A | ||||||||||||
4.875% | 09/19/22 | (a) | 2,000 | 2,125,909 | ||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||
Gtd. Notes | ||||||||||||
5.875% | 03/27/24 | 700 | 744,910 | |||||||||
6.500% | 09/27/28 | 670 | 726,034 | |||||||||
|
| |||||||||||
13,275,516 | ||||||||||||
|
| |||||||||||
Commercial Services — 0.1% |
| |||||||||||
ERAC USA Finance LLC, |
| |||||||||||
Gtd. Notes, 144A |
| |||||||||||
4.200% | 11/01/46 | 975 | 1,205,626 | |||||||||
6.700% | 06/01/34 | 420 | 617,069 | |||||||||
7.000% | 10/15/37 | (a) | 380 | 588,044 | ||||||||
Massachusetts Institute of Technology, |
| |||||||||||
Unsec’d. Notes |
| |||||||||||
3.885% | 07/01/2116 | 1,500 | 1,902,999 | |||||||||
United Rentals North America, Inc., |
| |||||||||||
Gtd. Notes |
| |||||||||||
4.875% | 01/15/28 | 1,190 | 1,273,989 | |||||||||
5.250% | 01/15/30 | (a) | 385 | 428,822 | ||||||||
5.875% | 09/15/26 | 135 | 142,874 | |||||||||
|
| |||||||||||
6,159,423 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 0.1% |
| |||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||
Gtd. Notes, 144A |
| |||||||||||
3.150% | 07/24/24 | 480 | 525,819 | |||||||||
Discover Financial Services, |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.850% | 11/21/22 | 900 | 957,609 | |||||||||
Jefferies Group LLC, |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
6.500% | 01/20/43 | 560 | 773,515 | |||||||||
Private Export Funding Corp., |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
2.650% | 02/16/21 | 1,675 | 1,679,733 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
Diversified Financial Services (cont’d.) |
| |||||||||||
U.S. Gov’t. | ||||||||||||
Gtd. Notes, Series NN |
| |||||||||||
3.250% | 06/15/25 | 330 | $ | 365,422 | ||||||||
|
| |||||||||||
4,302,098 | ||||||||||||
|
| |||||||||||
Electric — 1.2% |
| |||||||||||
Arizona Public Service Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
3.750% | 05/15/46 | 1,200 | 1,462,110 | |||||||||
Avista Corp., |
| |||||||||||
First Mortgage |
| |||||||||||
4.350% | 06/01/48 | 1,160 | 1,475,155 | |||||||||
Baltimore Gas & Electric Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
6.350% | 10/01/36 | 550 | 833,024 | |||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
5.950% | 05/15/37 | 305 | 439,798 | |||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||
General Ref. Mortgage, Series K2 |
| |||||||||||
6.950% | 03/15/33 | 590 | 879,057 | |||||||||
Commonwealth Edison Co., |
| |||||||||||
First Mortgage, Series 123 |
| |||||||||||
3.750% | 08/15/47 | 1,610 | 1,955,668 | |||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Sr. Unsec’d. Notes, Series 09-C |
| |||||||||||
5.500% | 12/01/39 | 220 | 304,096 | |||||||||
Dominion Energy, Inc., |
| |||||||||||
Jr. Sub. Notes |
| |||||||||||
4.104% | 04/01/21 | 3,210 | 3,237,964 | |||||||||
DTE Electric Co., |
| |||||||||||
General Ref. Mortgage, Series A |
| |||||||||||
4.050% | 05/15/48 | 1,490 | 1,950,363 | |||||||||
Duke Energy Carolinas LLC, |
| |||||||||||
First Mortgage | ||||||||||||
6.050% | 04/15/38 | 550 | 823,127 | |||||||||
First Ref. Mortgage | ||||||||||||
4.000% | 09/30/42 | 570 | 700,306 | |||||||||
El Paso Electric Co., |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
6.000% | 05/15/35 | 670 | 924,084 | |||||||||
Enel Finance International NV (Italy), |
| |||||||||||
Gtd. Notes, 144A |
| |||||||||||
4.625% | 09/14/25 | 2,245 | 2,612,092 | |||||||||
Engie Energia Chile SA (Chile), |
| |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||
3.400% | 01/28/30 | 400 | 433,609 | |||||||||
Exelon Corp., |
| |||||||||||
Jr. Sub. Notes |
| |||||||||||
3.497% | 06/01/22 | 3,470 | 3,609,009 | |||||||||
Exelon Generation Co. LLC, |
| |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||
6.250% | 10/01/39 | 1,425 | 1,718,299 | |||||||||
Florida Power & Light Co., |
| |||||||||||
First Mortgage |
| |||||||||||
5.950% | 10/01/33 | 295 | 426,346 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 145 | $ | 195,635 | ||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 05/15/28 | 2,910 | 3,376,893 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 470 | 542,644 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 2,170 | 2,336,163 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.600% | 09/15/47 | 1,580 | 1,935,501 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.000% | 12/02/25 | (a) | 320 | 331,533 | ||||||||||||
2.450% | 12/02/27 | 1,395 | 1,464,074 | |||||||||||||
PECO Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.800% | 06/15/50 | 1,110 | 1,179,277 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/15/47 | 1,360 | 1,588,983 | |||||||||||||
5.000% | 03/15/44 | 695 | 895,145 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/15/21 | 1,760 | 1,776,179 | |||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, MTN |
| |||||||||||||||
2.050% | 08/01/50 | 1,005 | 939,561 | |||||||||||||
3.000% | 05/15/27 | 1,130 | 1,254,878 | |||||||||||||
3.700% | 05/01/28 | 1,280 | 1,486,252 | |||||||||||||
Sr. Sec’d. Notes, MTN |
| |||||||||||||||
5.800% | 05/01/37 | 535 | 774,566 | |||||||||||||
Public Service Enterprise Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.600% | 08/15/30 | (a) | 710 | 699,901 | ||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | 1,400 | 1,752,776 | |||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 580 | 681,345 | |||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 860 | 947,517 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 725 | 772,303 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.550% | 07/15/24 | 2,135 | 2,309,731 | |||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/41 | 480 | 613,146 | |||||||||||||
|
| |||||||||||||||
51,638,110 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
Roper Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.400% | 09/15/27 | 1,705 | $ | 1,727,282 | ||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
AECOM, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | 1,050 | 1,167,006 | |||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/30/28 | 700 | 724,510 | |||||||||||||
5.500% | 07/31/47 | 800 | 837,944 | |||||||||||||
|
| |||||||||||||||
2,729,460 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.1% | ||||||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 10/01/49 | 1,290 | 1,497,099 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/49 | 1,720 | 2,198,660 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.375% | 07/16/40 | 660 | 675,930 | |||||||||||||
|
| |||||||||||||||
4,371,689 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/41 | 1,595 | 2,305,309 | |||||||||||||
|
| |||||||||||||||
Gas — 0.1% |
| |||||||||||||||
Eastern Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 12/15/44 | 65 | 81,872 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.700% | 02/15/31 | 1,205 | 1,197,471 | |||||||||||||
3.490% | 05/15/27 | 3,285 | 3,723,857 | |||||||||||||
|
| |||||||||||||||
5,003,200 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.1% |
| |||||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 1,635 | 2,148,883 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 300 | 417,309 | ||||||||||||
2.250% | 03/07/39 | EUR | 400 | 605,770 | ||||||||||||
|
| |||||||||||||||
3,171,962 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.1% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 06/15/36 | 515 | 763,978 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 05/15/42 | 390 | 508,481 |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (cont’d.) |
| |||||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 555 | $ | 623,687 | ||||||||||||
5.875% | 02/01/29 | 525 | 632,151 | |||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 940 | 1,217,828 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 190 | 195,676 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 12/01/23 | (a) | 1,075 | 1,088,845 | ||||||||||||
New York & Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.024% | 08/01/45 | 445 | 558,192 | |||||||||||||
Providence St. Joseph Health Obligated Group, |
| |||||||||||||||
Unsec’d. Notes, Series 19A |
| |||||||||||||||
2.532% | 10/01/29 | (a) | 765 | 815,469 | ||||||||||||
|
| |||||||||||||||
6,404,307 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 525 | 594,602 | |||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 03/01/24 | 800 | 859,598 | |||||||||||||
|
| |||||||||||||||
1,454,200 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.0% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 04/01/26 | 1,695 | 1,868,766 | |||||||||||||
|
| |||||||||||||||
Insurance — 0.2% |
| |||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 1,215 | 1,449,001 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 772 | 1,067,518 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 09/17/50 | 410 | 517,581 | |||||||||||||
5.000% | 03/30/43 | 200 | 247,723 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/39 | 660 | 1,020,228 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 130 | 167,184 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 1,450 | 1,808,934 | |||||||||||||
6.850% | 12/16/39 | 124 | 193,908 | |||||||||||||
|
| |||||||||||||||
6,472,077 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Lodging — 0.0% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | 980 | $ | 1,007,229 | ||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,260 | 1,299,491 | |||||||||||||
|
| |||||||||||||||
Media — 0.3% |
| |||||||||||||||
Charter Communications Operating LLC/Charter Communications |
| |||||||||||||||
Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | 1,260 | 1,496,142 | |||||||||||||
5.375% | 04/01/38 | 1,950 | 2,438,520 | |||||||||||||
6.384% | 10/23/35 | 875 | 1,198,388 | |||||||||||||
6.484% | 10/23/45 | 1,386 | 1,966,327 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/15/24 | 330 | 363,771 | |||||||||||||
6.400% | 05/15/38 | 530 | 824,241 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | 360 | 463,140 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/44 | 1,450 | 1,883,986 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 1,040 | 1,093,448 | |||||||||||||
|
| |||||||||||||||
11,727,963 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.0% |
| |||||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 425 | 636,703 | |||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.0% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 1,200 | 1,274,476 | |||||||||||||
|
| |||||||||||||||
Multi-National — 0.0% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 905 | 915,097 | |||||||||||||
2.750% | 01/06/23 | (a) | 315 | 326,514 | ||||||||||||
North American Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/26/22 | 289 | 297,294 | |||||||||||||
|
| |||||||||||||||
1,538,905 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.5% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | 1,400 | 1,314,304 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 1,200 | 1,406,810 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/30/29 | 1,200 | $ | 1,251,360 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 210 | 285,492 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 300 | 366,059 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 350 | 369,097 | |||||||||||||
6.510% | 03/07/22 | 580 | 615,505 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,995 | 2,215,436 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 550 | 626,935 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 835 | 1,170,495 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 2,000 | 921,137 | |||||||||||||
6.450% | 09/15/36 | 1,155 | 1,203,900 | |||||||||||||
Ovintiv, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 08/15/34 | 370 | 425,870 | |||||||||||||
6.500% | 02/01/38 | 275 | 306,649 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.093% | 01/15/30 | (a) | 797 | 891,209 | ||||||||||||
5.750% | 02/01/29 | 840 | 979,234 | |||||||||||||
6.900% | 03/19/49 | 1,000 | 1,273,561 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 01/21/21 | 330 | 330,593 | |||||||||||||
6.350% | 02/12/48 | 1,536 | 1,387,353 | |||||||||||||
6.490% | 01/23/27 | 471 | 496,754 | |||||||||||||
6.500% | 03/13/27 | 330 | 347,925 | |||||||||||||
7.690% | 01/23/50 | 2,146 | 2,167,760 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 703 | 658,408 | |||||||||||||
6.875% | 08/04/26 | 670 | 731,639 | |||||||||||||
Sinopec Group Overseas Development 2018 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.680% | 08/08/49 | 1,445 | 1,623,113 | |||||||||||||
|
| |||||||||||||||
23,366,598 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.0% |
| |||||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 12/21/25 | 183 | 207,971 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 800 | $ | 841,617 | ||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.0% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,175 | 1,309,816 | |||||||||||||
4.250% | 11/21/49 | 2,515 | 3,159,323 | |||||||||||||
4.500% | 05/14/35 | 1,910 | 2,401,024 | |||||||||||||
4.550% | 03/15/35 | 2,190 | 2,770,636 | |||||||||||||
4.700% | 05/14/45 | 1,460 | 1,901,673 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 12/15/25 | 1,600 | 1,830,443 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 474 | 524,827 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 06/15/39 | 410 | 524,626 | |||||||||||||
4.250% | 10/26/49 | 1,115 | 1,501,145 | |||||||||||||
4.550% | 02/20/48 | 1,200 | 1,661,387 | |||||||||||||
5.000% | 08/15/45 | 645 | 928,819 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 10/15/28 | 9,285 | 11,206,014 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 3,810 | 4,810,920 | |||||||||||||
5.125% | 07/20/45 | 610 | 817,413 | |||||||||||||
5.300% | 12/05/43 | 250 | 337,298 | |||||||||||||
Johnson & Johnson, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.100% | 09/01/40 | 3,655 | 3,684,011 | |||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 1,375 | 1,810,183 | |||||||||||||
Viatris, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | 1,380 | 1,549,207 | |||||||||||||
Wyeth LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.450% | 02/01/24 | 60 | 70,783 | |||||||||||||
|
| |||||||||||||||
42,799,548 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.6% |
| |||||||||||||||
Boardwalk Pipelines LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.400% | 02/15/31 | 1,625 | 1,685,741 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/15/28 | 1,115 | 1,283,205 | |||||||||||||
5.000% | 05/15/50 | (a) | 1,435 | 1,549,824 | ||||||||||||
6.125% | 12/15/45 | 180 | 212,471 | |||||||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 10/01/22 | 675 | 716,154 |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 02/15/25 | (a) | 1,345 | $ | 1,506,730 | |||||||||||
Kinder Morgan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.250% | 08/01/50 | (a) | 2,260 | 2,263,302 | ||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | 1,430 | 1,593,154 | |||||||||||||
4.000% | 03/15/28 | (a) | 1,980 | 2,278,626 | ||||||||||||
4.875% | 06/01/25 | 3,250 | 3,753,781 | |||||||||||||
5.200% | 03/01/47 | 40 | 49,227 | |||||||||||||
5.500% | 02/15/49 | (a) | 395 | 518,398 | ||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.650% | 10/01/36 | 145 | 182,665 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 03/15/30 | 5,205 | 5,525,901 | |||||||||||||
4.500% | 03/15/50 | 295 | 312,680 | |||||||||||||
4.950% | 07/13/47 | 935 | 1,044,004 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.300% | 03/01/48 | 125 | 123,762 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.850% | 03/01/48 | 315 | 387,102 | |||||||||||||
4.900% | 01/15/45 | 1,000 | 1,189,573 | |||||||||||||
5.100% | 09/15/45 | (a) | 500 | 621,549 | ||||||||||||
|
| |||||||||||||||
26,797,849 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/26 | 1,050 | 1,205,541 | |||||||||||||
Kimco Realty Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 10/01/30 | (a) | 3,480 | 3,751,676 | ||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 03/15/31 | 1,125 | 1,161,729 | |||||||||||||
Prologis LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.250% | 10/15/30 | 3,430 | 3,394,206 | |||||||||||||
Realty Income Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 01/15/31 | 3,235 | 3,671,714 | |||||||||||||
|
| |||||||||||||||
13,184,866 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.2% | ||||||||||||||||
AutoZone, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.650% | 01/15/31 | 770 | 763,403 | |||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | 4,705 | 5,310,798 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (cont’d.) | ||||||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 10/15/23 | 750 | $ | 808,946 | ||||||||||||
Macy’s Retail Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 01/15/22 | 201 | 199,416 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 12/01/25 | (a) | 1,375 | 1,418,787 | ||||||||||||
|
| |||||||||||||||
8,501,350 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.0% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,455 | 1,524,968 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 0.2% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.459% | 09/15/26 | 1,052 | 1,166,944 | |||||||||||||
4.750% | 04/15/29 | 5,175 | 6,185,593 | |||||||||||||
|
| |||||||||||||||
7,352,537 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
Activision Blizzard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 09/15/50 | 1,340 | 1,298,643 | |||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525% | 06/01/50 | 1,425 | 1,498,689 | |||||||||||||
ServiceNow, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.400% | 09/01/30 | 2,055 | 2,004,032 | |||||||||||||
|
| |||||||||||||||
4,801,364 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.7% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 02/01/43 | 770 | 781,136 | |||||||||||||
4.300% | 02/15/30 | 615 | 734,707 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.550% | 12/01/33 | 1,216 | 1,250,117 | |||||||||||||
3.500% | 09/15/53 | 8,133 | 8,169,786 | |||||||||||||
3.650% | 09/15/59 | 160 | 161,068 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/27 | 1,150 | 1,174,377 | |||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 01/15/24 | 1,400 | 1,414,356 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 300 | 325,660 | |||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 375 | 378,463 |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (cont’d.) |
| |||||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/15/30 | 8,000 | $ | 9,254,592 | ||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 11/20/40 | 1,575 | 1,591,839 | |||||||||||||
4.016% | 12/03/29 | 1,900 | 2,254,049 | |||||||||||||
4.125% | 08/15/46 | 725 | 889,054 | |||||||||||||
4.500% | 08/10/33 | 1,205 | 1,519,201 | |||||||||||||
4.862% | 08/21/46 | 860 | 1,154,169 | |||||||||||||
|
| |||||||||||||||
31,052,574 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 08/01/28 | 670 | 909,399 | |||||||||||||
CSX Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 05/01/37 | 715 | 1,058,356 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.590% | 05/17/25 | 100 | 119,257 | |||||||||||||
|
| |||||||||||||||
2,087,012 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 468,013,509 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.5% |
| |||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, Series B |
| |||||||||||||||
4.263% | 09/15/32 | 240 | 283,445 | |||||||||||||
|
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series F2 |
| |||||||||||||||
6.263% | 04/01/49 | 1,325 | 2,287,493 | |||||||||||||
Taxable, Revenue Bonds |
| |||||||||||||||
2.574% | 04/01/31 | 1,210 | 1,303,569 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,270 | 2,099,373 | |||||||||||||
General Obligation Unlimited, Taxable, BABs |
| |||||||||||||||
7.500% | 04/01/34 | 475 | 791,526 | |||||||||||||
7.625% | 03/01/40 | 215 | 378,340 | |||||||||||||
7.550% | 04/01/39 | 245 | 431,494 | |||||||||||||
|
| |||||||||||||||
7,291,795 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 680 | 1,131,146 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.1% | ||||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.395% | 01/01/40 | 1,030 | 1,530,034 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Illinois (cont’d.) |
| |||||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||||||
5.000% | 11/01/22 | 3,190 | $ | 3,388,641 | ||||||||||||
General Obligation Unlimited, Taxable, Pension |
| |||||||||||||||
5.100% | 06/01/33 | 325 | 347,146 | |||||||||||||
|
| |||||||||||||||
5,265,821 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 1,070 | 1,794,722 | |||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,130 | 1,510,313 | |||||||||||||
|
| |||||||||||||||
Ohio — 0.0% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 455 | 630,289 | |||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series B2 |
| |||||||||||||||
4.879% | 12/01/34 | 300 | 360,081 | |||||||||||||
|
| |||||||||||||||
990,370 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 445 | 646,180 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 550 | 818,004 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Taxable, Revenue Bonds, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 495 | 663,592 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 20,395,388 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/35 | 16 | 15,684 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series 2005-A, Class 2A1 |
| |||||||||||||||
3.672%(cc) | 02/25/35 | 217 | 219,277 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.748%(c) | 08/25/28 | 188 | 188,546 | |||||||||||||
Series 2019-03A, Class M1A, 144A, 1 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
1.248%(c) | 07/25/29 | 404 | 403,716 | |||||||||||||
Series 2019-03A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%) |
| |||||||||||||||
1.748%(c) | 07/25/29 | 1,200 | 1,200,953 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.798%(c) | 06/25/30 | 423 | $ | 423,791 | ||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.548%(c) | 06/25/30 | 230 | 232,362 | |||||||||||||
Series 2020-02A, Class M1A, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%) |
| |||||||||||||||
2.448%(c) | 08/26/30 | 195 | 195,550 | |||||||||||||
Series 2020-04A, Class M2A, 144A, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%) |
| |||||||||||||||
2.750%(c) | 06/25/30 | 435 | 435,291 | |||||||||||||
BVRT Financing Trust, |
| |||||||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||||||
2.299%(cc) | 09/15/21^ | 4,233 | 4,203,510 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.655%(c) | 11/01/23 | 4,700 | 4,699,999 | |||||||||||||
Chase Mortgage Finance Trust, |
| |||||||||||||||
Series 2007-A01, Class 1A5 |
| |||||||||||||||
3.195%(cc) | 02/25/37 | 154 | 152,756 | |||||||||||||
CIM Trust, | ||||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.155%(c) | 01/25/57 | 2,113 | 2,128,030 | |||||||||||||
Series 2017-05, Class A3, 144A |
| |||||||||||||||
4.000%(cc) | 05/25/57 | 600 | 600,057 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 2,349 | 2,352,180 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 1,184 | 1,276,936 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.948%(c) | 04/25/29 | 180 | 179,628 | |||||||||||||
FHLMC REMICS, |
| |||||||||||||||
Series 4535, Class PA |
| |||||||||||||||
3.000% | 03/15/44 | 1,069 | 1,114,374 | |||||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.898%(c) | 03/25/30 | 591 | 591,653 | |||||||||||||
Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.682%(c) | 11/25/50 | 3,020 | 3,038,786 | |||||||||||||
FHLMC Structured Agency Credit Risk REMIC Trust, |
| |||||||||||||||
Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.748%(c) | 07/25/50 | 1,555 | 1,565,760 | |||||||||||||
Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
5.398%(c) | 09/25/50 | 225 | 234,531 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
FHLMC Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.898%(c) | 09/25/48 | 3 | $ | 3,259 | ||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.798%(c) | 05/25/29 | 168 | 166,608 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2007-A01, Class 4A1 |
| |||||||||||||||
2.956%(cc) | 07/25/35 | 63 | 61,901 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.655%(c) | 04/01/24 | 452 | 450,512 | |||||||||||||
Mello Warehouse Securitization Trust, |
| |||||||||||||||
Series 2020-01, Class A, 144A, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) |
| |||||||||||||||
1.048%(c) | 10/25/53 | 1,815 | 1,815,759 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, |
| |||||||||||||||
Series 2020-03, Class A1, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
1.399%(c) | 01/23/23 | 575 | 575,424 | |||||||||||||
Series 2020-04, Class A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.499%(c) | 04/23/23 | 550 | 550,019 | |||||||||||||
Series 2020-04, Class A2, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.499%(c) | 04/23/23 | 1,060 | 1,060,037 | |||||||||||||
Series 2020-05, Class A1, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.149%(c) | 08/10/23 | 1,570 | 1,570,306 | |||||||||||||
MRA Issuance Trust, |
| |||||||||||||||
Series 2020-07, Class A, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%) |
| |||||||||||||||
1.755%(c) | 12/11/21 | 7,510 | 7,511,464 | |||||||||||||
Series 2020-08, Class A1X, 144A, 1 Month LIBOR + 1.750% (Cap N/A, Floor 2.250%) |
| |||||||||||||||
2.250%(c) | 09/23/21 | 5,100 | 5,103,749 | |||||||||||||
Series 2020-08, Class A2, 144A, 1 Month LIBOR + 3.000% (Cap N/A, Floor 3.500%) |
| |||||||||||||||
3.500%(c) | 09/23/21 | 3,510 | 3,512,691 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.898%(c) | 01/25/48 | 522 | 522,397 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.698%(c) | 07/25/28 | 136 | 136,081 | |||||||||||||
Oaktown Re III Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.548%(c) | 07/25/29 | 47 | 47,390 |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Oaktown Re IV Ltd. (Bermuda), |
| |||||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%) |
| |||||||||||||||
3.348%(c) | 07/25/30 | 213 | $ | 213,744 | ||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%) |
| |||||||||||||||
4.898%(c) | 07/25/30 | 750 | 757,598 | |||||||||||||
PMT Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%) |
| |||||||||||||||
3.967%(c) | 12/25/22 | 3,530 | 3,530,244 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 1,078 | 1,174,443 | |||||||||||||
Station Place Securitization Trust, |
| |||||||||||||||
Series 2020-10, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.643%(c) | 05/20/21 | 3,360 | 3,363,455 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.080%(cc) | 02/25/34 | 91 | 89,865 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 57,670,316 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 0.8% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 3,350 | 3,754,944 | |||||||||||||
Bermuda Government International Bond (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.375% | 08/20/30 | 710 | 745,300 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 175 | 189,284 | |||||||||||||
4.375% | 07/12/21 | 500 | 511,280 | |||||||||||||
5.000% | 06/15/45 | 620 | 757,978 | |||||||||||||
7.375% | 09/18/37 | 625 | 912,545 | |||||||||||||
Export-Import Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/01/28 | 1,040 | 1,148,949 | |||||||||||||
Finnvera OYJ (Finland), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 06/04/25 | 400 | 431,964 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/30/25 | EUR | 1,500 | 2,070,546 | ||||||||||||
4.450% | 02/11/24 | 505 | 560,092 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.875% | 01/15/24 | 950 | 1,091,454 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.150% | 07/18/24 | EUR | 2,100 | 2,725,454 | ||||||||||||
4.750% | 01/08/26 | 540 | 631,358 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 04/13/21 | 200 | 200,956 | |||||||||||||
2.125% | 10/25/23 | 1,400 | 1,462,992 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
2.625% | 04/20/22 | 2,000 | $ | 2,057,918 | ||||||||||||
3.000% | 03/12/24 | 400 | 431,127 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/22/24 | 515 | 570,794 | |||||||||||||
4.500% | 04/16/50 | (a) | 475 | 610,697 | ||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 1,105 | 1,187,996 | |||||||||||||
4.817% | 03/14/49 | 500 | 682,462 | |||||||||||||
5.103% | 04/23/48 | 915 | 1,286,317 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 1,395 | 2,129,883 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 10/26/21 | 1,325 | 1,345,122 | |||||||||||||
2.875% | 03/04/23 | 1,785 | 1,865,749 | |||||||||||||
4.000% | 04/17/25 | 1,035 | 1,157,109 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 1,800 | 1,852,691 | |||||||||||||
3.250% | 06/01/23 | 800 | 852,349 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | 1,025 | 1,423,783 | |||||||||||||
5.100% | 06/18/50 | (a) | 545 | 763,496 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 35,412,589 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.8% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
5.500% | 07/15/36 | (k) | 1,080 | 1,665,253 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 734 | 770,646 | |||||||||||||
2.500% | 03/01/30 | 381 | 405,655 | |||||||||||||
2.500% | 10/01/32 | 799 | 850,484 | |||||||||||||
3.000% | 10/01/28 | 273 | 292,297 | |||||||||||||
3.000% | 06/01/29 | 677 | 723,734 | |||||||||||||
3.000% | 03/01/32 | 819 | 879,036 | |||||||||||||
3.000% | 01/01/37 | 381 | 401,772 | |||||||||||||
3.000% | 01/01/43 | 762 | 810,477 | |||||||||||||
3.000% | 07/01/43 | 1,504 | 1,598,985 | |||||||||||||
3.000% | 01/01/47 | 4,259 | 4,494,427 | |||||||||||||
3.500% | 03/01/42 | 410 | 441,219 | |||||||||||||
3.500% | 06/01/42 | 242 | 260,086 | |||||||||||||
3.500% | 01/01/47 | 776 | 827,819 | |||||||||||||
3.500% | 02/01/47 | 952 | 1,012,340 | |||||||||||||
4.000% | 06/01/26 | 351 | 373,501 | |||||||||||||
4.000% | 09/01/26 | 178 | 189,532 | |||||||||||||
4.000% | 10/01/39 | 666 | 734,619 | |||||||||||||
4.000% | 12/01/40 | 286 | 315,040 | |||||||||||||
4.000% | 10/01/41 | 313 | 345,212 | |||||||||||||
4.000% | 01/01/42 | 104 | 113,359 | |||||||||||||
4.000% | 10/01/45 | 374 | 405,178 | |||||||||||||
4.500% | 09/01/39 | 204 | 228,921 | |||||||||||||
4.500% | 10/01/39 | 1,171 | 1,314,082 | |||||||||||||
4.500% | 12/01/39 | 352 | 393,301 |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
4.500% | 07/01/41 | 95 | $ | 102,895 | ||||||||||||
4.500% | 07/01/41 | 1,580 | 1,774,033 | |||||||||||||
4.500% | 08/01/41 | 126 | 136,626 | |||||||||||||
4.500% | 08/01/41 | 192 | 212,082 | |||||||||||||
4.500% | 08/01/41 | 255 | 283,526 | |||||||||||||
4.500% | 10/01/41 | 103 | 111,517 | |||||||||||||
4.500% | 10/01/46 | 233 | 256,709 | |||||||||||||
4.500% | 12/01/47 | 1,107 | 1,208,605 | |||||||||||||
5.000% | 05/01/34 | 17 | 20,276 | |||||||||||||
5.000% | 05/01/34 | 158 | 184,091 | |||||||||||||
5.000% | 08/01/35 | 17 | 19,690 | |||||||||||||
5.000% | 09/01/35 | 29 | 33,988 | |||||||||||||
5.000% | 10/01/36 | 28 | 32,134 | |||||||||||||
5.000% | 05/01/37 | 17 | 20,049 | |||||||||||||
5.000% | 07/01/37 | 345 | 400,796 | |||||||||||||
5.000% | 09/01/38 | 42 | 48,512 | |||||||||||||
5.000% | 09/01/38 | 44 | 51,177 | |||||||||||||
5.000% | 09/01/38 | 50 | 58,459 | |||||||||||||
5.000% | 02/01/39 | 17 | 19,546 | |||||||||||||
5.000% | 06/01/39 | 50 | 57,655 | |||||||||||||
5.500% | 02/01/34 | 31 | 34,964 | |||||||||||||
5.500% | 04/01/34 | 294 | 332,095 | |||||||||||||
5.500% | 06/01/34 | 78 | 91,114 | |||||||||||||
5.500% | 06/01/34 | 151 | 176,842 | |||||||||||||
5.500% | 05/01/37 | 39 | 46,340 | |||||||||||||
5.500% | 02/01/38 | 305 | 358,452 | |||||||||||||
5.500% | 05/01/38 | 57 | 67,551 | |||||||||||||
5.500% | 07/01/38 | 269 | 316,020 | |||||||||||||
6.000% | 03/01/32 | 134 | 152,392 | |||||||||||||
6.000% | 12/01/33 | 48 | 54,100 | |||||||||||||
6.000% | 07/01/36 | 3 | 3,304 | |||||||||||||
6.000% | 12/01/36 | 7 | 8,167 | |||||||||||||
6.000% | 05/01/37 | 10 | 12,148 | |||||||||||||
6.000% | 12/01/37 | 16 | 18,311 | |||||||||||||
6.000% | 01/01/38 | 4 | 3,964 | |||||||||||||
6.000% | 01/01/38 | 11 | 12,862 | |||||||||||||
6.000% | 01/01/38 | 212 | 249,660 | |||||||||||||
6.000% | 10/01/38 | 68 | 81,393 | |||||||||||||
6.000% | 08/01/39 | 34 | 40,014 | |||||||||||||
6.750% | 09/15/29 | 935 | 1,396,019 | |||||||||||||
6.750% | 03/15/31 | 500 | 770,033 | |||||||||||||
7.000% | 01/01/31 | 17 | 19,577 | |||||||||||||
7.000% | 06/01/31 | 13 | 14,168 | |||||||||||||
7.000% | 09/01/31 | 3 | 3,186 | |||||||||||||
7.000% | 10/01/31 | 32 | 36,424 | |||||||||||||
7.000% | 10/01/32 | 28 | 30,779 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | TBA | (tt) | 9,000 | 9,347,684 | ||||||||||||
2.000% | TBA | 82,500 | 85,535,635 | |||||||||||||
2.000% | 08/01/31 | 1,054 | 1,106,296 | |||||||||||||
2.500% | TBA | (tt) | 5,000 | 5,269,915 | ||||||||||||
2.500% | TBA | 5,500 | 5,786,809 | |||||||||||||
2.500% | 01/01/28 | 798 | 834,166 | |||||||||||||
2.500% | 10/01/43 | 803 | 859,072 | |||||||||||||
2.500% | 12/01/46 | 1,425 | 1,524,563 | |||||||||||||
3.000% | 02/01/27 | 1,144 | 1,215,884 | |||||||||||||
3.000% | 08/01/30 | 710 | 747,028 | |||||||||||||
3.000% | 11/01/36 | 1,778 | 1,861,052 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
3.000% | 12/01/42 | 904 | $ | 961,977 | ||||||||||||
3.000% | 12/01/42 | 1,398 | 1,490,199 | |||||||||||||
3.000% | 03/01/43 | 237 | 252,580 | |||||||||||||
3.000% | 11/01/46 | 235 | 248,036 | |||||||||||||
3.000% | 01/01/47 | 1,836 | 1,922,422 | |||||||||||||
3.000% | 02/01/47 | 1,248 | 1,312,383 | |||||||||||||
3.000% | 03/01/47 | 952 | 1,001,331 | |||||||||||||
3.000% | 03/01/49 | 1,557 | 1,632,575 | |||||||||||||
3.000% | 12/01/49 | 917 | 971,606 | |||||||||||||
3.500% | 07/01/31 | 714 | 770,933 | |||||||||||||
3.500% | 11/01/32 | 363 | 397,366 | |||||||||||||
3.500% | 02/01/33 | 867 | 926,478 | |||||||||||||
3.500% | 05/01/33 | 1,409 | 1,502,506 | |||||||||||||
3.500% | 06/01/39 | 519 | 561,794 | |||||||||||||
3.500% | 01/01/42 | 4,386 | 4,735,455 | |||||||||||||
3.500% | 05/01/42 | 2,018 | 2,168,147 | |||||||||||||
3.500% | 07/01/42 | 655 | 711,734 | |||||||||||||
3.500% | 08/01/42 | 240 | 260,486 | |||||||||||||
3.500% | 08/01/42 | 706 | 762,095 | |||||||||||||
3.500% | 09/01/42 | 790 | 859,036 | |||||||||||||
3.500% | 09/01/42 | 1,314 | 1,428,414 | |||||||||||||
3.500% | 11/01/42 | 415 | 449,415 | |||||||||||||
3.500% | 03/01/43 | 2,498 | 2,731,830 | |||||||||||||
3.500% | 04/01/43 | 452 | 491,856 | |||||||||||||
3.500% | 04/01/43 | 1,003 | 1,091,196 | |||||||||||||
3.500% | 07/01/43 | 206 | 223,737 | |||||||||||||
3.500% | 06/01/45 | 4,178 | 4,473,575 | |||||||||||||
3.500% | 07/01/46 | 726 | 772,683 | |||||||||||||
3.500% | 11/01/46 | 1,215 | 1,296,904 | |||||||||||||
3.500% | 09/01/47 | 1,160 | 1,231,262 | |||||||||||||
3.500% | 01/01/48 | 8,376 | 8,880,686 | |||||||||||||
3.500% | 05/01/48 | 1,193 | 1,261,662 | |||||||||||||
3.500% | 06/01/48 | 4,319 | 4,667,491 | |||||||||||||
4.000% | 12/01/36 | 866 | 938,348 | |||||||||||||
4.000% | 10/01/41 | 2,224 | 2,432,089 | |||||||||||||
4.000% | 07/01/44 | 848 | 930,451 | |||||||||||||
4.000% | 09/01/44 | 1,634 | 1,783,879 | |||||||||||||
4.000% | 10/01/46 | 570 | 612,685 | |||||||||||||
4.000% | 06/01/47 | 867 | 934,566 | |||||||||||||
4.000% | 09/01/47 | 327 | 351,164 | |||||||||||||
4.000% | 11/01/47 | 843 | 930,105 | |||||||||||||
4.000% | 11/01/47 | 1,584 | 1,703,113 | |||||||||||||
4.000% | 12/01/47 | 4,545 | 4,882,078 | |||||||||||||
4.500% | 07/01/33 | 40 | 43,941 | |||||||||||||
4.500% | 08/01/33 | 10 | 11,098 | |||||||||||||
4.500% | 09/01/33 | 33 | 36,003 | |||||||||||||
4.500% | 10/01/33 | 88 | 97,667 | |||||||||||||
4.500% | 03/01/34 | 26 | 29,132 | |||||||||||||
4.500% | 01/01/35 | 2 | 2,065 | |||||||||||||
4.500% | 07/01/39 | 662 | 743,345 | |||||||||||||
4.500% | 08/01/39 | 505 | 566,737 | |||||||||||||
4.500% | 09/01/39 | 321 | 358,807 | |||||||||||||
4.500% | 12/01/39 | 4 | 4,038 | |||||||||||||
4.500% | 03/01/41 | 1,113 | 1,244,451 | |||||||||||||
4.500% | 07/01/42 | 103 | 115,124 | |||||||||||||
5.000% | 03/01/34 | 182 | 209,737 | |||||||||||||
5.000% | 04/01/35 | 434 | 501,513 | |||||||||||||
5.000% | 06/01/35 | 106 | 123,298 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
5.000% | 07/01/35 | 79 | $ | 91,450 | ||||||||||||
5.000% | 07/01/35 | 107 | 124,601 | |||||||||||||
5.000% | 09/01/35 | 69 | 80,230 | |||||||||||||
5.000% | 11/01/35 | 78 | 90,394 | |||||||||||||
5.000% | 02/01/36 | 59 | 69,019 | |||||||||||||
5.500% | 02/01/33 | 90 | 105,414 | |||||||||||||
5.500% | 08/01/33 | 161 | 185,796 | |||||||||||||
5.500% | 10/01/33 | 45 | 51,705 | |||||||||||||
5.500% | 12/01/33 | 40 | 46,306 | |||||||||||||
5.500% | 12/01/34 | 114 | 133,238 | |||||||||||||
5.500% | 10/01/35 | 471 | 553,350 | |||||||||||||
5.500% | 03/01/36 | 48 | 54,089 | |||||||||||||
5.500% | 04/01/36 | 105 | 122,088 | |||||||||||||
5.500% | 01/01/37 | 54 | 63,424 | |||||||||||||
5.500% | 04/01/37 | 28 | 33,034 | |||||||||||||
5.500% | 05/01/37 | 169 | 199,154 | |||||||||||||
5.500% | 08/01/37 | 212 | 248,889 | |||||||||||||
6.000% | 05/01/21 | 2 | 2,076 | |||||||||||||
6.000% | 10/01/33 | 184 | 211,439 | |||||||||||||
6.000% | 11/01/33 | 22 | 25,199 | |||||||||||||
6.000% | 11/01/33 | 29 | 32,169 | |||||||||||||
6.000% | 01/01/34 | 225 | 270,159 | |||||||||||||
6.000% | 02/01/34 | 84 | 101,082 | |||||||||||||
6.000% | 03/01/34 | 2 | 1,957 | |||||||||||||
6.000% | 03/01/34 | 12 | 13,068 | |||||||||||||
6.000% | 03/01/34 | 27 | 30,456 | |||||||||||||
6.000% | 11/01/34 | 21 | 24,117 | |||||||||||||
6.000% | 01/01/35 | 39 | 44,591 | |||||||||||||
6.000% | 01/01/35 | 110 | 125,532 | |||||||||||||
6.000% | 02/01/35 | 3 | 2,892 | |||||||||||||
6.000% | 02/01/35 | 103 | 115,911 | |||||||||||||
6.000% | 02/01/35 | 171 | 205,911 | |||||||||||||
6.000% | 04/01/35 | 14 | 16,835 | |||||||||||||
6.000% | 05/01/36 | 32 | 38,622 | |||||||||||||
6.000% | 06/01/36 | 15 | 16,460 | |||||||||||||
6.000% | 02/01/37 | 58 | 68,822 | |||||||||||||
6.000% | 06/01/37 | 24 | 27,005 | |||||||||||||
6.000% | 05/01/38 | 149 | 175,741 | |||||||||||||
6.250% | 05/15/29 | (a) | 950 | 1,353,390 | ||||||||||||
6.500% | 09/01/32 | 1 | 1,122 | |||||||||||||
6.500% | 09/01/32 | 13 | 14,145 | |||||||||||||
6.500% | 09/01/32 | 34 | 39,187 | |||||||||||||
6.500% | 09/01/32 | 38 | 43,961 | |||||||||||||
6.500% | 10/01/32 | 39 | 44,913 | |||||||||||||
6.500% | 04/01/33 | 50 | 57,830 | |||||||||||||
6.500% | 11/01/33 | 20 | 23,739 | |||||||||||||
6.500% | 01/01/34 | 31 | 35,571 | |||||||||||||
6.500% | 09/01/34 | 48 | 54,761 | |||||||||||||
6.500% | 10/01/34 | 28 | 32,896 | |||||||||||||
6.500% | 09/01/36 | 106 | 122,531 | |||||||||||||
6.500% | 10/01/36 | 25 | 30,260 | |||||||||||||
6.500% | 11/01/36 | 36 | 40,486 | |||||||||||||
6.500% | 01/01/37 | 38 | 42,740 | |||||||||||||
6.500% | 01/01/37 | 100 | 115,431 | |||||||||||||
6.500% | 09/01/37 | 12 | 14,272 | |||||||||||||
6.625% | 11/15/30 | (k) | 550 | 832,291 | ||||||||||||
7.000% | 02/01/32 | 22 | 25,813 | |||||||||||||
7.000% | 05/01/32 | 12 | 14,953 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
7.000% | 06/01/32 | 13 | $ | 15,116 | ||||||||||||
7.000% | 07/01/32 | 41 | 48,163 | |||||||||||||
7.125% | 01/15/30 | (k) | 3,600 | 5,498,337 | ||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.000% | 12/20/50 | 2,000 | 2,092,630 | |||||||||||||
2.500% | TBA | 11,000 | 11,620,044 | |||||||||||||
2.500% | 03/20/43 | 577 | 617,048 | |||||||||||||
2.500% | 12/20/46 | 657 | 699,578 | |||||||||||||
3.000% | 03/15/45 | 738 | 774,500 | |||||||||||||
3.000% | 11/20/45 | 853 | 907,906 | |||||||||||||
3.000% | 03/20/46 | 5,481 | 5,839,892 | |||||||||||||
3.000% | 07/20/46 | 3,630 | 3,867,797 | |||||||||||||
3.000% | 10/20/46 | 1,196 | 1,274,091 | |||||||||||||
3.000% | 12/20/46 | 801 | 853,117 | |||||||||||||
3.000% | 02/20/47 | 1,677 | 1,785,408 | |||||||||||||
3.000% | 12/20/49 | 439 | 459,108 | |||||||||||||
3.500% | 12/20/42 | 1,399 | 1,523,408 | |||||||||||||
3.500% | 05/20/43 | 286 | 312,044 | |||||||||||||
3.500% | 03/20/45 | 1,079 | 1,165,023 | |||||||||||||
3.500% | 04/20/45 | 1,487 | 1,596,036 | |||||||||||||
3.500% | 07/20/46 | 5,523 | 5,964,345 | |||||||||||||
3.500% | 06/20/49 | 9,217 | 9,771,336 | |||||||||||||
4.000% | 06/15/40 | 110 | 119,147 | |||||||||||||
4.000% | 05/20/41 | 213 | 235,466 | |||||||||||||
4.000% | 12/20/42 | 492 | 544,915 | |||||||||||||
4.000% | 08/20/44 | 209 | 230,430 | |||||||||||||
4.000% | 11/20/45 | 1,135 | 1,245,529 | |||||||||||||
4.000% | 12/20/45 | 1,222 | 1,337,394 | |||||||||||||
4.000% | 11/20/46 | 275 | 300,012 | |||||||||||||
4.000% | 09/20/47 | 4,251 | 4,582,504 | |||||||||||||
4.000% | 02/20/49 | 2,911 | 3,121,370 | |||||||||||||
4.500% | 04/15/40 | 438 | 488,139 | |||||||||||||
4.500% | 01/20/41 | 972 | 1,096,706 | |||||||||||||
4.500% | 02/20/41 | 594 | 670,719 | |||||||||||||
4.500% | 06/20/44 | 638 | 710,856 | |||||||||||||
4.500% | 09/20/46 | 369 | 410,862 | |||||||||||||
4.500% | 11/20/46 | 730 | 813,620 | |||||||||||||
4.500% | 03/20/47 | 652 | 709,892 | |||||||||||||
4.500% | 05/20/48 | 865 | 935,632 | |||||||||||||
4.500% | 06/20/48 | 1,156 | 1,250,405 | |||||||||||||
4.500% | 08/20/48 | 3,651 | 3,956,139 | |||||||||||||
5.000% | 10/20/37 | 91 | 104,071 | |||||||||||||
5.000% | 04/20/45 | 598 | 685,534 | |||||||||||||
5.500% | 11/15/32 | 61 | 68,972 | |||||||||||||
5.500% | 02/15/33 | 43 | 50,217 | |||||||||||||
5.500% | 08/15/33 | 52 | 57,566 | |||||||||||||
5.500% | 08/15/33 | 71 | 78,543 | |||||||||||||
5.500% | 09/15/33 | 40 | 44,688 | |||||||||||||
5.500% | 09/15/33 | 64 | 72,328 | |||||||||||||
5.500% | 10/15/33 | 62 | 71,369 | |||||||||||||
5.500% | 12/15/33 | 6 | 7,006 | |||||||||||||
5.500% | 04/15/34 | 246 | 284,773 | |||||||||||||
5.500% | 07/15/35 | 47 | 54,201 | |||||||||||||
5.500% | 02/15/36 | 110 | 129,189 | |||||||||||||
6.000% | 02/15/33 | 2 | 1,992 | |||||||||||||
6.000% | 04/15/33 | 13 | 15,123 | |||||||||||||
6.000% | 09/15/33 | 11 | 13,070 | |||||||||||||
6.000% | 12/15/33 | 30 | 36,301 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 12/15/33 | 74 | $ | 82,940 | ||||||||||||
6.000% | 01/15/34 | 14 | 16,897 | |||||||||||||
6.000% | 01/15/34 | 27 | 31,891 | |||||||||||||
6.000% | 06/20/34 | 58 | 68,107 | |||||||||||||
6.000% | 07/15/34 | 122 | 147,827 | |||||||||||||
6.000% | 10/15/34 | 155 | 182,097 | |||||||||||||
6.500% | 10/15/23 | 1 | 614 | |||||||||||||
6.500% | 12/15/23 | 2 | 2,028 | |||||||||||||
6.500% | 01/15/24 | 1 | 983 | |||||||||||||
6.500% | 01/15/24 | 1 | 1,326 | |||||||||||||
6.500% | 01/15/24 | 3 | 3,157 | |||||||||||||
6.500% | 01/15/24 | 7 | 7,988 | |||||||||||||
6.500% | 01/15/24 | 8 | 8,365 | |||||||||||||
6.500% | 01/15/24 | 31 | 34,988 | |||||||||||||
6.500% | 02/15/24 | — | (r) | 150 | ||||||||||||
6.500% | 02/15/24 | — | (r) | 185 | ||||||||||||
6.500% | 02/15/24 | 1 | 1,626 | |||||||||||||
6.500% | 02/15/24 | 2 | 1,706 | |||||||||||||
6.500% | 02/15/24 | 2 | 2,581 | |||||||||||||
6.500% | 02/15/24 | 4 | 4,346 | |||||||||||||
6.500% | 02/15/24 | 5 | 5,255 | |||||||||||||
6.500% | 02/15/24 | 6 | 6,274 | |||||||||||||
6.500% | 02/15/24 | 8 | 9,105 | |||||||||||||
6.500% | 02/15/24 | 20 | 22,336 | |||||||||||||
6.500% | 04/15/24 | — | (r) | 274 | ||||||||||||
6.500% | 04/15/24 | 1 | 945 | |||||||||||||
6.500% | 04/15/24 | 1 | 1,311 | |||||||||||||
6.500% | 04/15/24 | 1 | 1,337 | |||||||||||||
6.500% | 04/15/24 | 1 | 1,467 | |||||||||||||
6.500% | 04/15/24 | 1 | 1,643 | |||||||||||||
6.500% | 04/15/24 | 6 | 7,160 | |||||||||||||
6.500% | 05/15/24 | 7 | 7,331 | |||||||||||||
6.500% | 05/15/24 | 10 | 10,985 | |||||||||||||
6.500% | 10/15/24 | 9 | 10,012 | |||||||||||||
6.500% | 12/15/30 | 6 | 7,027 | |||||||||||||
6.500% | 01/15/32 | 17 | 19,156 | |||||||||||||
6.500% | 02/15/32 | 13 | 14,705 | |||||||||||||
6.500% | 07/15/32 | 38 | 43,040 | |||||||||||||
6.500% | 08/15/32 | 4 | 4,223 | |||||||||||||
6.500% | 08/15/32 | 7 | 8,327 | |||||||||||||
6.500% | 08/15/32 | 26 | 29,787 | |||||||||||||
6.500% | 08/15/32 | 149 | 175,995 | |||||||||||||
6.500% | 06/15/35 | 30 | 35,435 | |||||||||||||
6.500% | 07/15/35 | 7 | 7,298 | |||||||||||||
8.000% | 01/15/24 | 5 | 4,869 | |||||||||||||
8.000% | 04/15/25 | 3 | 2,977 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 304,332,808 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.0% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.875% | 05/15/43 | 325 | 410,516 | |||||||||||||
3.625% | 02/15/44 | 490 | 693,197 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.125% | 09/30/22 | 34,000 | 34,000,000 | |||||||||||||
0.375% | 11/30/25 | 2,615 | 2,618,473 | |||||||||||||
3.125% | 11/15/28 | (k) | 625 | 739,648 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.000%(s) | 08/15/39 | 3,780 | $ | 2,844,007 | ||||||||||||
2.228%(s) | 05/15/28 | (k) | 718 | 677,079 | ||||||||||||
2.365%(s) | 08/15/44 | (k) | 3,095 | 2,089,488 | ||||||||||||
2.395%(s) | 11/15/43 | 1,156 | 791,770 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 44,864,178 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,270,644,161 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 8.8% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 8.8% |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 353,385,879 | 353,385,879 | |||||||||||||
PGIM Institutional Money Market Fund (cost $41,018,205; includes $41,012,268 of cash collateral for securities on loan)(b)(w) |
| 41,117,792 | 41,097,233 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 394,483,112 | ||||||||||||||
|
| |||||||||||||||
Principal Amount (000)# | ||||||||||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.0% |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.079% | 03/18/21 | 350 | 349,951 | |||||||||||||
|
| |||||||||||||||
(cost $349,941) |
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 394,833,063 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS—104.2% |
| 4,665,477,224 | ||||||||||||||
Liabilities in excess of other assets(z) — (4.2)% |
| (186,392,758 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 4,479,084,466 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $4,203,510 and 0.1% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $39,532,084; cash collateral of $41,012,268 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(r) | Principal or notional amount is less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 14,000,000 is 0.3% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
279 | 2 Year U.S. Treasury Notes | Mar. 2021 | $ | 61,652,461 | $ | 61,229 | ||||||||||
558 | 5 Year U.S. Treasury Notes | Mar. 2021 | 70,399,545 | 43,478 | ||||||||||||
178 | 10 Year U.S. Ultra Treasury Notes | Mar. 2021 | 27,831,970 | (62,378 | ) | |||||||||||
227 | 20 Year U.S. Treasury Bonds | Mar. 2021 | 39,313,563 | (275,791 | ) | |||||||||||
448 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2021 | 95,676,000 | (559,843 | ) | |||||||||||
11 | Mini MSCI EAFE Index | Mar. 2021 | 1,171,940 | 16,086 | ||||||||||||
6 | S&P 500 E-Mini Index | Mar. 2021 | 1,124,640 | 28,389 | ||||||||||||
|
| |||||||||||||||
(748,830 | ) | |||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
31 | 5 Year Euro-Bobl | Mar. 2021 | 5,119,422 | (2,592 | ) | |||||||||||
20 | 10 Year Euro-Bund | Mar. 2021 | 4,340,278 | (11,405 | ) | |||||||||||
391 | 10 Year U.S. Treasury Notes | Mar. 2021 | 53,988,549 | (57,875 | ) | |||||||||||
15 | Euro Schatz Index | Mar. 2021 | 2,057,411 | 688 | ||||||||||||
|
| |||||||||||||||
(71,184 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (820,014) | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at December 31, 2020:
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||||||
Expiring 01/20/21 | Citibank, N.A. | CAD | 3,544 | $ | 2,696,896 | $ | 2,784,759 | $ | — | $ | (87,863 | ) | ||||||||||||||||
Expiring 01/20/21 | Morgan Stanley & Co. International PLC | CAD | 2,500 | 1,904,900 | 1,964,196 | — | (59,296 | ) | ||||||||||||||||||||
Euro, | ||||||||||||||||||||||||||||
Expiring 01/12/21 | Citibank, N.A. | EUR | 348 | 417,171 | 425,624 | — | (8,453 | ) | ||||||||||||||||||||
Expiring 01/12/21 | HSBC Bank USA, N.A. | EUR | 10,002 | 11,883,728 | 12,222,450 | — | (338,722 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 16,902,695 | $ | 17,397,029 | $ | — | $ | (494,334 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A96
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Credit default swap agreements outstanding at December 31, 2020:
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2): |
| |||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 4,100 | 0.723 | % | $ | 12,455 | $ | 21,566 | $ | (9,111 | ) | Bank of America, N.A. | |||||||||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at December 31, 2020:
Notional | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||||
EUR | 1,190 | 05/11/39 | 1.100 | %(A) | 1 Day EONIA(1)(A) | $ | (10,808 | ) | $ | (338,384 | ) | $ | (327,576 | ) | ||||||||||||
3,085 | 08/09/49 | 1.508 | %(A) | 1 Day USOIS(1)(A) | — | (238,938 | ) | (238,938 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (10,808 | ) | $ | (577,322 | ) | $ | (566,514 | ) | ||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Total return swap agreements outstanding at December 31, 2020:
Reference Entity | Financing | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||||||||||||
OTC Total Return Swap Agreement: | ||||||||||||||||||||||||
Bloomberg Barclays Capital U.S. CMBS (ERISA Only) Index (M) | 1 Month LIBOR-15 bps (M) | Barclays Bank PLC | 5/01/21 | 16,050 | $ | 115,483 | $ | — | $ | 115,483 | ||||||||||||||
|
|
|
|
|
|
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 21,566 | $ | — | $ | 115,483 | $ | (9,111 | ) | |||||||
|
|
|
|
|
|
|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | — | $ | 6,629,815 | ||||
Goldman Sachs & Co. LLC | — | 349,951 | ||||||
|
|
|
| |||||
Total | $ | — | $ | 6,979,766 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted | quoted prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | $ | 2,763,997,255 | $ | 42,787,443 | $ | — | ||||||
Exchange-Traded Fund | 232,597 | — | — | |||||||||
Preferred Stocks | 627,000 | 342,830 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 84,343,306 | — | |||||||||
Collateralized Loan Obligations | — | 132,928,895 | — | |||||||||
Consumer Loans | — | 6,843,633 | — | |||||||||
Equipment | — | 8,975,503 | — | |||||||||
Home Equity Loans | — | 50,225 | — | |||||||||
Other | — | 5,658,801 | — | |||||||||
Residential Mortgage-Backed Securities | — | 10,783,608 | — | |||||||||
Student Loans | — | 30,590,965 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 251,793,312 | — | |||||||||
Corporate Bonds | — | 468,013,509 | — | |||||||||
Municipal Bonds | — | 20,395,388 | — | |||||||||
Residential Mortgage-Backed Securities | — | 53,466,806 | 4,203,510 | |||||||||
Sovereign Bonds | — | 35,412,589 | — | |||||||||
U.S. Government Agency Obligations | — | 304,332,808 | — | |||||||||
U.S. Treasury Obligations | — | 45,214,129 | — | |||||||||
Affiliated Mutual Funds | 394,483,112 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,159,339,964 | $ | 1,501,933,750 | $ | 4,203,510 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 149,870 | $ | — | $ | — | ||||||
OTC Credit Default Swap Agreement | — | 12,455 | — | |||||||||
OTC Total Return Swap Agreement | — | 115,483 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 149,870 | $ | 127,938 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A98
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* (continued) | ||||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (969,884 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (494,334 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (566,514 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (969,884 | ) | $ | (1,060,848 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
Affiliated Mutual Funds (0.9% represents investments purchased with collateral from securities on loan) | 8.8 | % | ||
U.S. Government Agency Obligations | 6.8 | |||
Software | 6.0 | |||
Commercial Mortgage-Backed Securities | 5.6 | |||
Banks | 5.0 | |||
Technology Hardware, Storage & Peripherals | 4.0 | |||
Interactive Media & Services | 3.9 | |||
Pharmaceuticals | 3.8 | |||
Semiconductors & Semiconductor Equipment | 3.7 | |||
Internet & Direct Marketing Retail | 3.5 | |||
Collateralized Loan Obligations | 3.0 | |||
IT Services | 3.0 | |||
Automobiles | 2.4 | |||
Health Care Equipment & Supplies | 2.4 | |||
Capital Markets | 2.2 | |||
Aerospace & Defense | 1.6 | |||
Biotechnology | 1.6 | |||
Residential Mortgage-Backed Securities | 1.5 | |||
Machinery | 1.5 | |||
Health Care Providers & Services | 1.5 | |||
Specialty Retail | 1.4 | |||
Diversified Telecommunication Services | 1.4 | |||
Food & Staples Retailing | 1.4 | |||
Insurance | 1.4 | |||
Chemicals | 1.3 | |||
Equity Real Estate Investment Trusts (REITs) | 1.2 | |||
Electric | 1.2 | |||
Food Products | 1.1 | |||
Household Products | 1.1 | |||
U.S. Treasury Obligations | 1.0 | |||
Entertainment | 1.0 | |||
Oil, Gas & Consumable Fuels | 0.9 | |||
Life Sciences Tools & Services | 0.8 | |||
Multiline Retail | 0.8 | |||
Sovereign Bonds | 0.8 | |||
Communications Equipment | 0.8 | |||
Metals & Mining | 0.7 | |||
Hotels, Restaurants & Leisure | 0.7 | |||
Electric Utilities | 0.7 | |||
Industrial Conglomerates | 0.7 | |||
Telecommunications | 0.7 | |||
Student Loans | 0.7 | |||
Beverages | 0.7 |
Media | 0.7 | % | ||
Pipelines | 0.6 | |||
Diversified Financial Services | 0.5 | |||
Multi-Utilities | 0.5 | |||
Oil & Gas | 0.5 | |||
Building Products | 0.5 | |||
Independent Power & Renewable Electricity Producers | 0.5 | |||
Tobacco | 0.5 | |||
Auto Manufacturers | 0.5 | |||
Municipal Bonds | 0.5 | |||
Electrical Equipment | 0.4 | |||
Mortgage Real Estate Investment Trusts (REITs) | 0.4 | |||
Real Estate Investment Trusts (REITs) | 0.3 | |||
Construction & Engineering | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Gas Utilities | 0.2 | |||
Equipment | 0.2 | |||
Retail | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Semiconductors | 0.2 | |||
Road & Rail | 0.2 | |||
Energy Equipment & Services | 0.2 | |||
Consumer Loans | 0.2 | |||
Healthcare-Services | 0.1 | |||
Commercial Services | 0.1 | |||
Other | 0.1 | |||
Agriculture | 0.1 | |||
Leisure Products | 0.1 | |||
Gas | 0.1 | |||
Consumer Finance | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Foods | 0.1 | |||
Airlines | 0.1 | |||
Household Durables | 0.1 | |||
Healthcare-Products | 0.1 | |||
Engineering & Construction | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Transportation | 0.1 | |||
Auto Components | 0.0 | * | ||
Housewares | 0.0 | * | ||
Electronics | 0.0 | * | ||
Building Materials | 0.0 | * | ||
Multi-National | 0.0 | * | ||
Savings & Loans | 0.0 | * |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification (continued):
Textiles, Apparel & Luxury Goods | 0.0 | *% | ||
Home Builders | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
Machinery-Diversified | 0.0 | * | ||
Miscellaneous Manufacturing | 0.0 | * | ||
Lodging | 0.0 | * | ||
Air Freight & Logistics | 0.0 | * | ||
Wireless Telecommunication Services | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Personal Products | 0.0 | * | ||
Mining | 0.0 | * | ||
Construction Materials | 0.0 | * | ||
Professional Services | 0.0 | * |
Real Estate Management & Development | 0.0 | *% | ||
Exchange-Traded Fund | 0.0 | * | ||
Oil & Gas Services | 0.0 | * | ||
Marine | 0.0 | * | ||
Health Care Technology | 0.0 | * | ||
Home Equity Loans | 0.0 | * | ||
Containers & Packaging | 0.0 | * | ||
|
| |||
104.2 | ||||
Liabilities in excess of other assets | (4.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Credit contracts | Premiums paid for OTC swap agreements | $ | 21,566 | — | $ | — | ||||||
Credit contracts | — | — | Unrealized depreciation on OTC swap agreements | 9,111 | ||||||||
Equity contracts | Due from/to broker-variation margin futures | 44,475 | * | — | — | |||||||
Foreign exchange contracts | — | — | Unrealized depreciation on OTC forward foreign currency exchange contracts | 494,334 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 105,395 | * | Due from/to broker-variation margin futures | 969,884 | * | ||||||
Interest rate contracts | — | — | Due from/to broker-variation margin swaps | 566,514 | * | |||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 115,483 | — | — | ||||||||
|
|
|
| |||||||||
$ | 286,919 | $ | 2,039,843 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(1) | Options Purchased(1) | Options Written | Futures | Forward Currency Contracts | Swaps | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 722,377 | ||||||||||||
Equity contracts | 1,137 | — | — | 188,725 | — | — | ||||||||||||||||||
Foreign exchange contracts | — | — | — | — | (612,593 | ) | — | |||||||||||||||||
Interest rate contracts | — | 795,193 | 248,975 | 14,451,274 | — | (16,726,620 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,137 | $ | 795,193 | $ | 248,975 | $ | 14,639,999 | $ | (612,593 | ) | $ | (16,004,243 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(2) | Options Purchased(2) | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 306,098 | ||||||||||
Equity contracts | (18 | ) | — | 47,543 | — | — | ||||||||||||||
Foreign exchange contracts | — | — | — | (343,891 | ) | — | ||||||||||||||
Interest rate contracts | — | (498,216 | ) | 1,680,681 | — | 9,180,715 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (18 | ) | $ | (498,216 | ) | $ | 1,728,224 | $ | (343,891 | ) | $ | 9,486,813 | |||||||
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Forward Foreign | ||||
$105,450 | $358,400 | $251,200,864 | $170,146,635 | $7,009,849 |
Forward Foreign | Interest Rate | Credit Default | ||
$20,615,679 | $233,772,870 | $19,200,000 |
Credit Default Swap Agreements— Sell Protection(2) | Total Return Swap Agreements(2) | |
$21,418,005 | $16,010,068 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A101
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 39,532,084 | $ | (39,532,084 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 21,566 | $ | (9,111 | ) | $ | 12,455 | $ | (12,455 | ) | $ | — | ||||||||
Barclays Bank PLC | 115,483 | — | 115,483 | (20,000 | ) | 95,483 | ||||||||||||||
Citibank, N.A. | — | (96,316 | ) | (96,316 | ) | — | (96,316 | ) | ||||||||||||
HSBC Bank USA, N.A. | — | (338,722 | ) | (338,722 | ) | — | (338,722 | ) | ||||||||||||
Morgan Stanley & Co. International PLC | — | (59,296 | ) | (59,296 | ) | — | (59,296 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 137,049 | $ | (503,445 | ) | $ | (366,396 | ) | $ | (32,455 | ) | $ | (398,851 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value, including securities on loan of $39,532,084: | ||||
Unaffiliated investments (cost $3,347,813,332) | $ | 4,270,994,112 | ||
Affiliated investments (cost $394,404,084) | 394,483,112 | |||
Foreign currency, at value (cost $426,174) | 429,013 | |||
Dividends and interest receivable | 9,433,692 | |||
Tax reclaim receivable | 458,537 | |||
Due from broker-variation margin futures | 431,647 | |||
Unrealized appreciation on OTC swap agreements | 115,483 | |||
Receivable for investments sold | 26,951 | |||
Premiums paid for OTC swap agreements | 21,566 | |||
Receivable from affiliate | 7,996 | |||
Receivable for Portfolio shares sold | 1,211 | |||
Prepaid expenses and other assets | 544,057 | |||
|
| |||
Total Assets | 4,676,947,377 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 151,916,532 | |||
Payable to broker for collateral for securities on loan | 41,012,268 | |||
Management fee payable | 2,256,910 | |||
Payable for Portfolio shares purchased | 1,575,891 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 494,334 | |||
Accrued expenses and other liabilities | 388,077 | |||
Payable to affiliate | 180,363 | |||
Due to broker-variation margin swaps | 20,516 | |||
Unrealized depreciation on OTC swap agreements | 9,111 | |||
Trustees’ fees payable | 5,849 | |||
Due to broker-variation margin futures | 2,080 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 197,862,911 | |||
|
| |||
NET ASSETS | $ | 4,479,084,466 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 4,479,084,466 | ||
|
| |||
Net asset value and redemption price per share, $4,479,084,466 / 119,083,184 outstanding shares of beneficial interest | $ | 37.61 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $289,613 foreign withholding tax, of which $63,091 is reimbursable by an affiliate) | $ | 51,833,987 | ||
Interest income | 40,775,545 | |||
Affiliated dividend income | 1,475,434 | |||
Income from securities lending, net (including affiliated income of $319,762) | 328,818 | |||
|
| |||
Total income | 94,413,784 | |||
|
| |||
EXPENSES | ||||
Management fee | 25,024,560 | |||
Custodian and accounting fees | 413,402 | |||
Shareholders’ reports | 236,006 | |||
Trustees’ fees | 62,969 | |||
Audit fee | 48,970 | |||
Legal fees and expenses | 40,902 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,680 | |||
Miscellaneous | 91,208 | |||
|
| |||
Total expenses | 25,928,697 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 68,485,087 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $498,927) | 129,044,144 | |||
Futures transactions | 14,639,999 | |||
Forward currency contract transactions | (612,593 | ) | ||
Options written transactions | 248,975 | |||
Swap agreements transactions | (16,004,243 | ) | ||
Foreign currency transactions | 47,488 | |||
|
| |||
127,363,770 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $54,515) | 185,123,998 | |||
Futures | 1,728,224 | |||
Forward currency contracts | (343,891 | ) | ||
Swap agreements | 9,486,813 | |||
Foreign currencies | 30,511 | |||
|
| |||
196,025,655 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 323,389,425 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 391,874,512 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 68,485,087 | $ | 79,405,892 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 127,363,770 | 176,760,040 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 196,025,655 | 485,992,068 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 391,874,512 | 742,158,000 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [273,315 and 177,562 shares, respectively] | 8,597,942 | 5,636,300 | ||||||
Portfolio shares purchased [7,294,813 and 7,989,312 shares, respectively] | (249,244,194 | ) | (253,479,611 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (240,646,252 | ) | (247,843,311 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 14,632 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 151,228,260 | 494,329,321 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 4,327,856,206 | 3,833,526,885 | ||||||
|
|
|
| |||||
End of year | $ | 4,479,084,466 | $ | 4,327,856,206 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A103
GLOBAL PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
LONG-TERM INVESTMENTS — 97.7% | ||||||||
COMMON STOCKS — 97.2% | Shares | Value | ||||||
Argentina — 0.3% |
| |||||||
MercadoLibre, Inc.* | 2,691 | $ | 4,508,017 | |||||
|
| |||||||
Australia — 1.4% |
| |||||||
AGL Energy Ltd. | 66,200 | 610,522 | ||||||
Aristocrat Leisure Ltd. | 93,098 | 2,235,303 | ||||||
Beach Energy Ltd. | 395,200 | 552,464 | ||||||
CSL Ltd. | 15,610 | 3,424,958 | ||||||
Fortescue Metals Group Ltd. | 201,900 | 3,661,458 | ||||||
Harvey Norman Holdings Ltd. | 196,000 | 711,948 | ||||||
Inghams Group Ltd. | 268,900 | 647,994 | ||||||
Metcash Ltd. | 412,500 | 1,077,196 | ||||||
Perenti Global Ltd. | 432,300 | 457,319 | ||||||
Qantas Airways Ltd.* | 292,200 | 1,099,408 | ||||||
Rio Tinto Ltd. | 20,600 | 1,816,796 | ||||||
Service Stream Ltd. | 343,700 | 480,012 | ||||||
St. Barbara Ltd. | 343,600 | 622,467 | ||||||
Stockland, REIT. | 279,500 | 905,063 | ||||||
Super Retail Group Ltd. | 105,600 | 861,419 | ||||||
|
| |||||||
19,164,327 | ||||||||
|
| |||||||
Austria — 0.2% |
| |||||||
BAWAG Group AG, 144A* | 20,500 | 953,907 | ||||||
OMV AG | 33,700 | 1,361,545 | ||||||
Wienerberger AG | 26,400 | 839,424 | ||||||
|
| |||||||
3,154,876 | ||||||||
|
| |||||||
Belgium — 0.2% |
| |||||||
Bekaert SA | 22,500 | 747,981 | ||||||
Telenet Group Holding NV | 18,900 | 813,526 | ||||||
UCB SA | 15,000 | 1,551,029 | ||||||
|
| |||||||
3,112,536 | ||||||||
|
| |||||||
Brazil — 0.0% |
| |||||||
Yara International ASA | 14,900 | 623,736 | ||||||
|
| |||||||
Canada — 2.0% |
| |||||||
Canadian National Railway Co. | 38,942 | 4,281,203 | ||||||
Magna International, Inc. | 75,329 | 5,333,293 | ||||||
Shopify, Inc. (Class A Stock)* | 12,110 | 13,707,915 | ||||||
TC Energy Corp. | 92,956 | 3,785,168 | ||||||
|
| |||||||
27,107,579 | ||||||||
|
| |||||||
China — 2.2% |
| |||||||
Alibaba Group Holding Ltd.* | 196,444 | 5,916,539 | ||||||
Alibaba Group Holding Ltd., ADR* | 27,654 | 6,435,915 | ||||||
China Resources Cement Holdings Ltd. | 1,042,000 | 1,166,816 | ||||||
Kingboard Holdings Ltd. | 216,000 | 910,384 | ||||||
Lee & Man Paper Manufacturing Ltd. | 1,049,000 | 861,360 | ||||||
NetEase, Inc. | 198,225 | 3,793,888 | ||||||
TAL Education Group, ADR* | 58,391 | 4,175,540 | ||||||
Tencent Holdings Ltd. | 86,000 | 6,247,007 | ||||||
Wilmar International Ltd. | 203,400 | 717,897 | ||||||
|
| |||||||
30,225,346 | ||||||||
|
| |||||||
Denmark — 1.3% |
| |||||||
Chr Hansen Holding A/S* | 8,603 | 883,817 | ||||||
Coloplast A/S (Class B Stock) | 21,319 | 3,241,116 | ||||||
Danske Bank A/S* | 61,200 | 1,005,829 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Denmark (cont’d.) |
| |||||||
Dfds A/S* | 11,300 | $ | 509,443 | |||||
DSV Panalpina A/S | 15,269 | 2,560,879 | ||||||
Novo Nordisk A/S (Class B Stock) | 51,184 | 3,553,805 | ||||||
Orsted A/S, 144A | 24,469 | 5,018,829 | ||||||
Pandora A/S | 4,700 | 528,239 | ||||||
|
| |||||||
17,301,957 | ||||||||
|
| |||||||
Finland — 0.5% |
| |||||||
Neste OYJ | 63,119 | 4,570,320 | ||||||
Nordea Bank Abp* | 83,600 | 687,003 | ||||||
Valmet OYJ | 41,500 | 1,187,640 | ||||||
|
| |||||||
6,444,963 | ||||||||
|
| |||||||
France — 4.3% |
| |||||||
Airbus SE* | 36,255 | 3,983,822 | ||||||
Arkema SA | 11,900 | 1,364,588 | ||||||
AXA SA | 54,100 | 1,304,626 | ||||||
BNP Paribas SA* | 28,200 | 1,492,894 | ||||||
Bouygues SA. | 27,600 | 1,135,429 | ||||||
Capgemini SE | 5,300 | 825,321 | ||||||
Carrefour SA | 89,600 | 1,538,548 | ||||||
Cie de Saint-Gobain* | 15,800 | 729,007 | ||||||
Cie Generale des Etablissements Michelin SCA | 9,600 | 1,233,519 | ||||||
CNP Assurances* | 55,200 | 898,063 | ||||||
Credit Agricole SA* | 78,500 | 1,001,512 | ||||||
Engie SA* | 49,600 | 761,756 | ||||||
L’Oreal SA | 8,890 | 3,380,862 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 11,698 | 7,302,710 | ||||||
Natixis SA* | 146,400 | 502,415 | ||||||
Nexity SA | 13,100 | 569,212 | ||||||
Orange SA(a) | 140,000 | 1,666,280 | ||||||
Peugeot SA* | 42,800 | 1,176,982 | ||||||
Rubis SCA | 15,500 | 722,388 | ||||||
Safran SA* | 33,329 | 4,742,758 | ||||||
Sanofi. | 39,700 | 3,840,416 | ||||||
Sartorius Stedim Biotech | 5,611 | 2,005,763 | ||||||
Societe BIC SA | 15,900 | 900,590 | ||||||
Societe Generale SA* | 28,600 | 599,672 | ||||||
Sopra Steria Group* | 7,100 | 1,151,621 | ||||||
Teleperformance | 6,565 | 2,192,610 | ||||||
TOTAL SE | 58,800 | 2,537,072 | ||||||
TOTAL SE, ADR(a) | 238,892 | 10,011,964 | ||||||
|
| |||||||
59,572,400 | ||||||||
|
| |||||||
Germany — 2.3% |
| |||||||
Allianz SE | 7,500 | 1,841,085 | ||||||
Aurubis AG | 10,800 | 841,068 | ||||||
Bayer AG | 23,300 | 1,377,117 | ||||||
Bayerische Motoren Werke AG | 12,500 | 1,119,365 | ||||||
Daimler AG | 17,600 | 1,248,621 | ||||||
Deutsche Lufthansa AG* | 54,200 | 715,927 | ||||||
Deutsche Post AG | 50,800 | 2,560,023 | ||||||
Deutsche Telekom AG | 59,200 | 1,087,341 | ||||||
Evonik Industries AG | 36,500 | 1,193,625 | ||||||
Fresenius SE & Co. KGaA | 25,700 | 1,209,605 | ||||||
HOCHTIEF AG | 11,400 | 1,129,728 |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Germany (cont’d.) |
| |||||||
Infineon Technologies AG | 158,914 | $ | 6,140,025 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 4,500 | 1,359,850 | ||||||
Rational AG(a) | 3,355 | 3,128,867 | ||||||
Rheinmetall AG | 9,200 | 979,937 | ||||||
Siltronic AG(a) | 8,900 | 1,400,659 | ||||||
TeamViewer AG, 144A* | 31,338 | 1,686,488 | ||||||
United Internet AG | 24,700 | 1,040,477 | ||||||
Volkswagen AG | 10,600 | 2,213,519 | ||||||
|
| |||||||
32,273,327 | ||||||||
|
| |||||||
Hong Kong — 0.7% |
| |||||||
AIA Group Ltd. | 357,600 | 4,403,567 | ||||||
PAX Global Technology Ltd. | 933,000 | 838,723 | ||||||
Skyworth Group Ltd.* | 793,433 | 221,689 | ||||||
Tongda Group Holdings Ltd. | 8,180,000 | 603,771 | ||||||
WH Group Ltd., 144A | 1,291,500 | 1,085,227 | ||||||
Xinyi Glass Holdings Ltd. | 506,000 | 1,413,179 | ||||||
Yue Yuen Industrial Holdings Ltd. | 296,500 | 620,522 | ||||||
|
| |||||||
9,186,678 | ||||||||
|
| |||||||
India — 0.6% |
| |||||||
HDFC Bank Ltd., ADR* | 54,472 | 3,936,147 | ||||||
Reliance Industries Ltd., 144A, GDR | 67,445 | 3,693,513 | ||||||
|
| |||||||
7,629,660 | ||||||||
|
| |||||||
Ireland — 0.3% |
| |||||||
Kingspan Group PLC* | 44,734 | 3,145,827 | ||||||
Smurfit Kappa Group PLC | 23,100 | 1,078,275 | ||||||
|
| |||||||
4,224,102 | ||||||||
|
| |||||||
Israel — 0.1% |
| |||||||
Check Point Software Technologies Ltd.*(a) | 9,500 | 1,262,645 | ||||||
|
| |||||||
Italy — 0.5% |
| |||||||
A2A SpA | 546,200 | 873,772 | ||||||
Enel SpA | 269,500 | 2,732,648 | ||||||
Leonardo SpA | 97,000 | 704,861 | ||||||
Mediobanca Banca di Credito Finanziario SpA* | 87,600 | 810,727 | ||||||
Pirelli & C SpA, 144A* | 171,800 | 933,372 | ||||||
UnipolSai Assicurazioni SpA | 253,700 | 674,251 | ||||||
|
| |||||||
6,729,631 | ||||||||
|
| |||||||
Japan — 6.1% |
| |||||||
AGC, Inc. | 5,600 | 195,547 | ||||||
Aozora Bank Ltd. | 36,000 | 663,790 | ||||||
Asahi Intecc Co. Ltd. | 46,800 | 1,707,710 | ||||||
Astellas Pharma, Inc. | 167,000 | 2,580,116 | ||||||
Brother Industries Ltd. | 44,300 | 912,450 | ||||||
Credit Saison Co. Ltd. | 42,600 | 491,301 | ||||||
Dai-ichi Life Holdings, Inc. | 39,900 | 601,364 | ||||||
Daikin Industries Ltd. | 20,300 | 4,516,963 | ||||||
Daiwa House Industry Co. Ltd. | 31,900 | 946,957 | ||||||
DTS Corp. | 30,500 | 628,244 | ||||||
EDION Corp. | 63,900 | 649,752 | ||||||
Haseko Corp. | 53,900 | 617,441 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (cont’d.) |
| |||||||
Hazama Ando Corp. | 85,900 | $ | 599,273 | |||||
Hitachi Capital Corp. | 28,500 | 688,652 | ||||||
Hitachi Ltd. | 35,700 | 1,407,530 | ||||||
Honda Motor Co. Ltd. | 61,600 | 1,729,369 | ||||||
Hoya Corp. | 30,100 | 4,168,129 | ||||||
Isuzu Motors Ltd. | 78,200 | 742,395 | ||||||
ITOCHU Corp. | 80,300 | 2,310,477 | ||||||
Itoham Yonekyu Holdings, Inc. | 72,200 | 471,177 | ||||||
Japan Airlines Co. Ltd.* | 35,700 | 692,760 | ||||||
Japan Aviation Electronics Industry Ltd. | 46,000 | 705,118 | ||||||
Kaneka Corp. | 14,800 | 520,482 | ||||||
KDDI Corp. | 98,800 | 2,937,009 | ||||||
Keiyo Bank Ltd. (The) | 76,500 | 309,155 | ||||||
Keyence Corp. | 11,500 | 6,472,673 | ||||||
Lintec Corp. | 30,000 | 661,871 | ||||||
M3, Inc. | 13,600 | 1,286,152 | ||||||
Marubeni Corp. | 173,200 | 1,154,432 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 23,800 | 1,013,221 | ||||||
Medipal Holdings Corp. | 30,600 | 574,352 | ||||||
Mitsubishi Chemical Holdings Corp. | 82,800 | 501,032 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 70,200 | 1,613,632 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 274,000 | 1,211,175 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 221,700 | 1,066,295 | ||||||
Mitsui & Co. Ltd. | 56,300 | 1,032,488 | ||||||
Mitsui Chemicals, Inc. | 42,400 | 1,248,275 | ||||||
Mizuho Financial Group, Inc. | 73,620 | 935,050 | ||||||
Nihon M&A Center, Inc. | 38,900 | 2,606,308 | ||||||
Nippon Telegraph & Telephone Corp. | 107,900 | 2,757,065 | ||||||
Nishi-Nippon Financial Holdings, Inc. | 48,600 | 311,497 | ||||||
Nisshin Oillio Group Ltd. (The) | 21,400 | 629,837 | ||||||
Nomura Holdings, Inc. | 239,300 | 1,266,021 | ||||||
Nomura Real Estate Holdings, Inc. | 38,100 | 841,730 | ||||||
Obayashi Corp. | 97,500 | 841,200 | ||||||
ORIX Corp. | 79,000 | 1,214,568 | ||||||
Rengo Co. Ltd. | 134,300 | 1,124,928 | ||||||
Resona Holdings, Inc. | 366,600 | 1,280,265 | ||||||
Sankyu, Inc. | 18,100 | 682,500 | ||||||
Sawai Pharmaceutical Co. Ltd. | 14,300 | 648,549 | ||||||
Shionogi & Co. Ltd. | 21,300 | 1,164,715 | ||||||
Shiseido Co. Ltd. | 32,100 | 2,219,316 | ||||||
SKY Perfect JSAT Holdings, Inc. | 151,000 | 745,650 | ||||||
SMC Corp. | 6,500 | 3,970,663 | ||||||
Sompo Holdings, Inc. | 26,600 | 1,075,803 | ||||||
Sumitomo Corp. | 38,200 | 507,205 | ||||||
Sumitomo Heavy Industries Ltd. | 32,300 | 800,469 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 40,900 | 1,261,962 | ||||||
Taisei Corp. | 19,200 | 660,588 | ||||||
Teijin Ltd. | 67,300 | 1,269,572 | ||||||
Toagosei Co. Ltd. | 28,700 | 337,968 | ||||||
Toho Holdings Co. Ltd. | 12,400 | 218,068 | ||||||
Tokuyama Corp. | 26,500 | 598,350 | ||||||
Towa Pharmaceutical Co. Ltd. | 28,200 | 523,116 | ||||||
Toyota Motor Corp. | 15,730 | 1,213,273 | ||||||
Tsubakimoto Chain Co. | 17,000 | 448,338 | ||||||
Ube Industries Ltd. | 41,500 | 755,394 | ||||||
Ulvac, Inc. | 10,900 | 466,577 |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | �� | Value | |||||
Japan (cont’d.) |
| |||||||
Yokohama Rubber Co. Ltd. (The) | 62,000 | $ | 927,171 | |||||
|
| |||||||
83,932,475 | ||||||||
|
| |||||||
Netherlands — 2.5% |
| |||||||
ABN AMRO Bank NV, 144A, CVA* | 45,300 | 439,852 | ||||||
Adyen NV, 144A* | 2,567 | 5,989,485 | ||||||
Aegon NV | 215,700 | 855,991 | ||||||
ASML Holding NV | 7,215 | 3,546,084 | ||||||
ING Groep NV* | 93,300 | 884,393 | ||||||
Koninklijke Ahold Delhaize NV | 95,900 | 2,742,313 | ||||||
NN Group NV | 27,800 | 1,212,088 | ||||||
NXP Semiconductors NV | 98,833 | 15,715,435 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 96,500 | 1,652,800 | ||||||
Signify NV, 144A* | 46,800 | 2,012,757 | ||||||
|
| |||||||
35,051,198 | ||||||||
|
| |||||||
New Zealand — 0.2% |
| |||||||
Air New Zealand Ltd.* | 485,600 | 631,572 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 78,915 | 1,870,379 | ||||||
|
| |||||||
2,501,951 | ||||||||
|
| |||||||
Norway — 0.4% |
| |||||||
DNB ASA* | 68,200 | 1,322,947 | ||||||
Equinor ASA | 41,200 | 693,552 | ||||||
Leroy Seafood Group ASA | 148,600 | 1,051,643 | ||||||
TOMRA Systems ASA | 44,888 | 2,218,637 | ||||||
|
| |||||||
5,286,779 | ||||||||
|
| |||||||
Portugal — 0.0% |
| |||||||
Altri SGPS SA | 46,700 | 295,620 | ||||||
|
| |||||||
Singapore — 0.2% |
| |||||||
DBS Group Holdings Ltd. | 62,300 | 1,182,777 | ||||||
Venture Corp. Ltd. | 79,500 | 1,171,704 | ||||||
|
| |||||||
2,354,481 | ||||||||
|
| |||||||
South Africa — 0.1% |
| |||||||
Anglo American PLC | 48,300 | 1,608,682 | ||||||
Investec PLC | 79,700 | 205,509 | ||||||
|
| |||||||
1,814,191 | ||||||||
|
| |||||||
Spain — 0.6% |
| |||||||
Amadeus IT Group SA | 39,903 | 2,916,325 | ||||||
Banco Santander SA* | 390,156 | 1,212,508 | ||||||
Enagas SA | 18,000 | 394,868 | ||||||
Endesa SA | 37,700 | 1,032,070 | ||||||
Mapfre SA(a) | 494,400 | 965,857 | ||||||
Repsol SA | 117,700 | 1,192,758 | ||||||
Telefonica SA | 176,500 | 702,010 | ||||||
|
| |||||||
8,416,396 | ||||||||
|
| |||||||
Sweden — 1.6% |
| |||||||
Atlas Copco AB (Class A Stock) | 82,895 | 4,227,074 | ||||||
Boliden AB | 35,400 | 1,259,206 | ||||||
Hexagon AB (Class B Stock) | 65,498 | 5,982,704 | ||||||
Nibe Industrier AB (Class B Stock) | 76,966 | 2,526,550 | ||||||
Securitas AB (Class B Stock) | 65,700 | 1,061,417 | ||||||
Skanska AB (Class B Stock) | 31,100 | 794,016 | ||||||
SKF AB (Class B Stock) | 70,400 | 1,829,516 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Sweden (cont’d.) |
| |||||||
Swedbank AB (Class A Stock)* | 27,700 | $ | 484,608 | |||||
Swedish Orphan Biovitrum AB* | 51,000 | 1,033,790 | ||||||
Volvo AB (Class B Stock)* | 113,600 | 2,677,118 | ||||||
|
| |||||||
21,875,999 | ||||||||
|
| |||||||
Switzerland — 2.9% |
| |||||||
Adecco Group AG | 15,300 | 1,026,662 | ||||||
Baloise Holding AG | 6,000 | 1,070,851 | ||||||
Credit Suisse Group AG | 136,900 | 1,789,990 | ||||||
dormakaba Holding AG | 1,200 | 682,528 | ||||||
Helvetia Holding AG | 7,600 | 805,511 | ||||||
Lonza Group AG | 7,838 | 5,053,522 | ||||||
Novartis AG | 29,700 | 2,809,452 | ||||||
Partners Group Holding AG | 3,233 | 3,851,824 | ||||||
Roche Holding AG | 17,900 | 6,265,159 | ||||||
Sika AG | 14,052 | 3,854,736 | ||||||
Straumann Holding AG | 3,456 | 4,029,970 | ||||||
Swiss Life Holding AG | 4,900 | 2,292,692 | ||||||
Temenos AG | 19,019 | 2,666,468 | ||||||
UBS Group AG | 114,800 | 1,645,588 | ||||||
Zurich Insurance Group AG | 3,900 | 1,653,479 | ||||||
|
| |||||||
39,498,432 | ||||||||
|
| |||||||
Taiwan — 0.7% |
| |||||||
Sea Ltd., ADR*(a) | 13,882 | 2,763,212 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 367,000 | 6,932,611 | ||||||
|
| |||||||
9,695,823 | ||||||||
|
| |||||||
United Kingdom — 4.7% |
| |||||||
3i Group PLC | 92,900 | 1,477,555 | ||||||
Ashtead Group PLC | 106,619 | 5,004,616 | ||||||
Aviva PLC | 197,000 | 879,647 | ||||||
Babcock International Group PLC* | 113,300 | 434,124 | ||||||
BAE Systems PLC | 251,200 | 1,676,916 | ||||||
Barclays PLC* | 373,500 | 751,528 | ||||||
Barratt Developments PLC* | 61,900 | 570,097 | ||||||
Bellway PLC | 23,200 | 940,880 | ||||||
British American Tobacco PLC | 75,200 | 2,796,859 | ||||||
BT Group PLC* | 455,900 | 827,953 | ||||||
Centrica PLC* | 457,200 | 292,048 | ||||||
CK Hutchison Holdings Ltd. | 160,300 | 1,118,132 | ||||||
Compass Group PLC | 137,357 | 2,557,630 | ||||||
Crest Nicholson Holdings PLC* | 143,814 | 643,958 | ||||||
Diageo PLC | 82,783 | 3,261,191 | ||||||
Dialog Semiconductor PLC* | 14,700 | 804,522 | ||||||
Experian PLC | 104,810 | 3,981,675 | ||||||
GlaxoSmithKline PLC | 216,800 | 3,987,054 | ||||||
Go-Ahead Group PLC (The)* | 34,500 | 465,889 | ||||||
Halma PLC | 63,868 | 2,142,786 | ||||||
Imperial Brands PLC | 56,400 | 1,190,410 | ||||||
Inchcape PLC* | 64,600 | 570,432 | ||||||
International Consolidated Airlines Group SA* | 150,000 | 330,405 | ||||||
J Sainsbury PLC | 458,700 | 1,413,496 | ||||||
Keller Group PLC | 48,200 | 458,620 | ||||||
Kingfisher PLC* | 357,200 | 1,320,829 | ||||||
Legal & General Group PLC | 302,800 | 1,112,850 |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
United Kingdom (cont’d.) |
| |||||||
Lloyds Banking Group PLC* | 1,666,000 | $ | 828,674 | |||||
London Stock Exchange Group PLC | 31,849 | 3,934,053 | ||||||
Marks & Spencer Group PLC* | 279,900 | 521,576 | ||||||
Micro Focus International PLC* | 73,300 | 425,073 | ||||||
National Express Group PLC* | 114,300 | 372,172 | ||||||
Paragon Banking Group PLC | 105,900 | 710,701 | ||||||
Premier Foods PLC* | 357,756 | 490,222 | ||||||
QinetiQ Group PLC | 88,900 | 390,178 | ||||||
Redrow PLC* | 77,600 | 609,796 | ||||||
Rentokil Initial PLC* | 338,656 | 2,363,374 | ||||||
Royal Mail PLC* | 9,200 | 42,496 | ||||||
Segro PLC, REIT | 228,249 | 2,967,837 | ||||||
Spirax-Sarco Engineering PLC | 15,385 | 2,385,264 | ||||||
Tate & Lyle PLC | 141,000 | 1,299,931 | ||||||
Taylor Wimpey PLC* | 263,400 | 599,970 | ||||||
Tesco PLC | 611,284 | 1,937,468 | ||||||
Trainline PLC, 144A* | 232,318 | 1,484,530 | ||||||
Vesuvius PLC | 69,300 | 508,140 | ||||||
Vistry Group PLC* | 39,822 | 514,021 | ||||||
Wm Morrison Supermarkets PLC | 291,000 | 707,404 | ||||||
|
| |||||||
64,104,982 | ||||||||
|
| |||||||
United States — 60.3% |
| |||||||
AbbVie, Inc. | 64,380 | 6,898,317 | ||||||
Adobe, Inc.* | 26,379 | 13,192,665 | ||||||
Alphabet, Inc. (Class C Stock)* | 10,475 | 18,350,943 | ||||||
Amazon.com, Inc.* | 5,613 | 18,281,148 | ||||||
Ameren Corp. | 47,592 | 3,715,032 | ||||||
American International Group, Inc. | 263,045 | 9,958,884 | ||||||
Anthem, Inc. | 3,500 | 1,123,815 | ||||||
Applied Materials, Inc. | 111,666 | 9,636,776 | ||||||
Atlassian Corp. PLC (Class A Stock)* | 8,509 | 1,990,000 | ||||||
Autodesk, Inc.* | 59,419 | 18,142,997 | ||||||
AvalonBay Communities, Inc., REIT | 12,319 | 1,976,337 | ||||||
Bank of America Corp. | 147,629 | 4,474,635 | ||||||
Becton, Dickinson & Co. | 26,810 | 6,708,398 | ||||||
Boeing Co. (The) | 17,396 | 3,723,788 | ||||||
Brown-Forman Corp. (Class B Stock) | 146,163 | 11,609,727 | ||||||
Bunge Ltd. | 58,985 | 3,868,236 | ||||||
Caterpillar, Inc. | 21,202 | 3,859,188 | ||||||
CF Industries Holdings, Inc. | 131,205 | 5,078,946 | ||||||
Charles Schwab Corp. (The) | 131,915 | 6,996,772 | ||||||
Chubb Ltd. | 74,291 | 11,434,871 | ||||||
Cintas Corp. | 39,969 | 14,127,443 | ||||||
Cisco Systems, Inc. | 163,998 | 7,338,911 | ||||||
Citrix Systems, Inc. | 27,140 | 3,530,914 | ||||||
Coca-Cola Co. (The) | 69,953 | 3,836,223 | ||||||
Comcast Corp. (Class A Stock) | 114,175 | 5,982,770 | ||||||
Conagra Brands, Inc. | 134,988 | 4,894,665 | ||||||
ConocoPhillips | 98,728 | 3,948,133 | ||||||
Costco Wholesale Corp. | 26,420 | 9,954,528 | ||||||
Cummins, Inc. | 15,530 | 3,526,863 | ||||||
CVS Health Corp. | 83,150 | 5,679,145 | ||||||
Danaher Corp. | 62,956 | 13,985,046 | ||||||
DexCom, Inc.* | 34,089 | 12,603,385 | ||||||
DuPont de Nemours, Inc.(a) | 145,311 | 10,333,065 | ||||||
Edison International | 79,560 | 4,997,959 | ||||||
Edwards Lifesciences Corp.* | 147,047 | 13,415,098 | ||||||
Elanco Animal Health, Inc.* | 131,039 | 4,018,966 |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (cont’d.) | ||||||||
Electronic Arts, Inc. | 122,683 | $ | 17,617,279 | |||||
Entergy Corp. | 23,829 | 2,379,087 | ||||||
Equitable Holdings, Inc. | 155,007 | 3,966,629 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 49,920 | 13,288,205 | ||||||
Exxon Mobil Corp. | 107,905 | 4,447,844 | ||||||
Fifth Third Bancorp | 230,285 | 6,348,957 | ||||||
Fortive Corp. | 175,421 | 12,423,315 | ||||||
Fortune Brands Home & Security, Inc. | 31,382 | 2,690,065 | ||||||
Fox Corp. (Class B Stock) | 100,905 | 2,914,136 | ||||||
General Electric Co. | 1,333,766 | 14,404,673 | ||||||
Genpact Ltd. | 195,995 | 8,106,353 | ||||||
Gilead Sciences, Inc. | 38,510 | 2,243,593 | ||||||
Goldman Sachs Group, Inc. (The) | 10,339 | 2,726,498 | ||||||
Hologic, Inc.* | 66,229 | 4,823,458 | ||||||
Illinois Tool Works, Inc. | 17,805 | 3,630,083 | ||||||
International Paper Co. | 163,742 | 8,141,252 | ||||||
Intuit, Inc. | 43,485 | 16,517,777 | ||||||
Intuitive Surgical, Inc.* | 24,528 | 20,066,357 | ||||||
Johnson & Johnson | 50,138 | 7,890,718 | ||||||
JPMorgan Chase & Co. | 49,192 | 6,250,827 | ||||||
Kimberly-Clark Corp. | 22,839 | 3,079,382 | ||||||
Kohl’s Corp. | 62,106 | 2,527,093 | ||||||
L3Harris Technologies, Inc. | 55,718 | 10,531,816 | ||||||
Las Vegas Sands Corp. | 48,577 | 2,895,189 | ||||||
Lululemon Athletica, Inc.* | 35,716 | 12,430,239 | ||||||
Marsh & McLennan Cos., Inc. | 42,519 | 4,974,723 | ||||||
Mastercard, Inc. (Class A Stock) | 48,851 | 17,436,876 | ||||||
Match Group, Inc.* | 80,884 | 12,228,852 | ||||||
Medtronic PLC | 81,795 | 9,581,466 | ||||||
Merck & Co., Inc. | 32,893 | 2,690,647 | ||||||
MetLife, Inc. | 177,172 | 8,318,225 | ||||||
Microsoft Corp. | 135,104 | 30,049,832 | ||||||
Morgan Stanley | 208,472 | 14,286,586 | ||||||
News Corp. (Class A Stock) | 200,932 | 3,610,748 | ||||||
NextEra Energy, Inc. | 86,412 | 6,666,686 | ||||||
Nielsen Holdings PLC | 108,684 | 2,268,235 | ||||||
PayPal Holdings, Inc.* | 79,397 | 18,594,777 | ||||||
Perrigo Co. PLC | 58,377 | 2,610,619 | ||||||
Pfizer, Inc. | 129,871 | 4,780,552 | ||||||
Philip Morris International, Inc. | 81,257 | 6,727,267 | ||||||
Pioneer Natural Resources Co. | 23,957 | 2,728,463 | ||||||
QUALCOMM, Inc. | 78,297 | 11,927,765 | ||||||
Rockwell Automation, Inc. | 11,155 | 2,797,786 | ||||||
Roper Technologies, Inc. | 32,115 | 13,844,455 | ||||||
SBA Communications Corp., REIT | 48,152 | 13,585,124 | ||||||
Schlumberger NV | 61,906 | 1,351,408 | ||||||
Sempra Energy | 21,441 | 2,731,798 | ||||||
ServiceNow, Inc.* | 17,129 | 9,428,315 | ||||||
Sherwin-Williams Co. (The) | 20,601 | 15,139,881 | ||||||
Signature Bank | 22,848 | 3,091,106 | ||||||
SL Green Realty Corp., REIT(a) | 33,051 | 1,969,179 | ||||||
Southern Co. (The) | 202,085 | 12,414,082 | ||||||
Southwest Airlines Co. | 81,545 | 3,800,812 | ||||||
State Street Corp. | 52,723 | 3,837,180 | ||||||
Stericycle, Inc.* | 30,192 | 2,093,211 | ||||||
TE Connectivity Ltd. | 34,960 | 4,232,607 | ||||||
Texas Instruments, Inc. | 42,427 | 6,963,544 | ||||||
Thermo Fisher Scientific, Inc. | 45,035 | 20,976,402 |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (cont’d.) | ||||||||
TJX Cos., Inc. (The) | 74,981 | $ | 5,120,453 | |||||
Tyson Foods, Inc. (Class A Stock) | 95,079 | 6,126,891 | ||||||
United Parcel Service, Inc. (Class B Stock) | 70,260 | 11,831,784 | ||||||
Walmart, Inc. | 26,885 | 3,875,473 | ||||||
Walt Disney Co. (The)* | 32,773 | 5,937,812 | ||||||
Wells Fargo & Co. | 389,407 | 11,752,303 | ||||||
Welltower, Inc., REIT | 44,596 | 2,881,794 | ||||||
Weyerhaeuser Co., REIT | 281,902 | 9,452,174 | ||||||
Zimmer Biomet Holdings, Inc. | 30,767 | 4,740,887 | ||||||
Zoetis, Inc. | 96,983 | 16,050,687 | ||||||
|
| |||||||
831,044,881 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,338,394,988 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.5% |
| |||||||
Germany — 0.1% | ||||||||
Porsche Automobil Holding SE (PRFC) | 17,000 | 1,196,885 | ||||||
|
| |||||||
United States — 0.4% | ||||||||
Becton, Dickinson & Co., Series B, CVT, 6.000%, | 18,231 | 1,005,075 | ||||||
Elanco Animal Health, Inc., CVT, 5.000%, Maturing 02/01/23 | 2,497 | 121,954 | ||||||
Sempra Energy, Series A, CVT, 6.000%, Maturing 01/15/21 | 23,160 | 2,310,442 | ||||||
Sempra Energy, Series B, CVT, 6.750%, Maturing 07/15/21(a) | 5,748 | 596,240 | ||||||
Southern Co. (The), CVT, 6.750%, Maturing 08/01/22 | 34,946 | 1,813,697 | ||||||
|
| |||||||
5,847,408 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 7,044,293 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% | ||||||||
Spain | ||||||||
Repsol SA, expiring 01/13/21 | 117,700 | 40,361 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,345,479,642 | ||||||
|
|
| Shares | Value | ||||||
SHORT-TERM INVESTMENTS — 3.2% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 26,392,925 | $ | 26,392,925 | |||||
PGIM Institutional Money Market Fund (cost $17,537,893; includes $17,534,242 of cash collateral for securities on loan)(b)(w) | 17,564,760 | 17,555,978 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 43,948,903 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.9% | 1,389,428,545 | |||||||
Liabilities in excess of other assets — (0.9)% |
| (12,379,399 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,377,049,146 | ||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $16,945,392; cash collateral of $17,534,242 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. | |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. | |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Argentina | $ | 4,508,017 | $ | — | $ | — | ||||||
Australia | — | 19,164,327 | — | |||||||||
Austria | — | 3,154,876 | — | |||||||||
Belgium | — | 3,112,536 | — | |||||||||
Brazil | — | 623,736 | — | |||||||||
Canada | 27,107,579 | — | — | |||||||||
China | 10,611,455 | 19,613,891 | — | |||||||||
Denmark | — | 17,301,957 | — | |||||||||
Finland | — | 6,444,963 | — | |||||||||
France | 10,011,964 | 49,560,436 | — | |||||||||
Germany | — | 32,273,327 | — | |||||||||
Hong Kong | — | 9,186,678 | — | |||||||||
India | 3,936,147 | 3,693,513 | — | |||||||||
Ireland | — | 4,224,102 | — | |||||||||
Israel | 1,262,645 | — | — | |||||||||
Italy | — | 6,729,631 | — | |||||||||
Japan | — | 83,932,475 | — | |||||||||
Netherlands | 15,715,435 | 19,335,763 | — | |||||||||
New Zealand | — | 2,501,951 | — | |||||||||
Norway | — | 5,286,779 | — | |||||||||
Portugal | — | 295,620 | — | |||||||||
Singapore | — | 2,354,481 | — | |||||||||
South Africa | — | 1,814,191 | — | |||||||||
Spain | — | 8,416,396 | — | |||||||||
Sweden | — | 21,875,999 | — | |||||||||
Switzerland | — | 39,498,432 | — | |||||||||
Taiwan | 2,763,212 | 6,932,611 | — | |||||||||
United Kingdom | — | 64,104,982 | — | |||||||||
United States | 831,044,881 | — | — | |||||||||
Preferred Stocks | ||||||||||||
Germany | — | 1,196,885 | — | |||||||||
United States | 5,847,408 | — | — | |||||||||
Rights | ||||||||||||
Spain | — | 40,361 | — | |||||||||
Affiliated Mutual Funds | 43,948,903 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 956,757,646 | $ | 432,670,899 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
Health Care Equipment & Supplies | 7.3 | % | ||
Software | 7.2 | |||
IT Services | 5.0 | |||
Pharmaceuticals | 4.8 | |||
Semiconductors & Semiconductor Equipment | 4.6 | |||
Insurance | 4.3 | |||
Banks | 4.2 | |||
Machinery | 3.3 | |||
Chemicals | 3.2 | |||
Affiliated Mutual Funds (1.3% represents investments purchased with collateral from securities on loan) | 3.2 | |||
Capital Markets | 3.0 | |||
Oil, Gas & Consumable Fuels | 2.9 | |||
Electric Utilities | 2.8 |
Interactive Media & Services | 2.6 | % | ||
Internet & Direct Marketing Retail | 2.6 | |||
Equity Real Estate Investment Trusts (REITs) | 2.4 | |||
Industrial Conglomerates | 2.2 | |||
Entertainment | 2.2 | |||
Life Sciences Tools & Services | 2.0 | |||
Electronic Equipment, Instruments & Components | 1.9 | |||
Aerospace & Defense | 1.8 | |||
Food & Staples Retailing | 1.8 | |||
Commercial Services & Supplies | 1.7 | |||
Textiles, Apparel & Luxury Goods | 1.5 | |||
Personal Products | 1.4 | |||
Food Products | 1.3 | |||
Beverages | 1.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification (continued):
Air Freight & Logistics | 1.3 | % | ||
Building Products | 1.1 | |||
Media | 1.1 | |||
Biotechnology | 1.1 | |||
Professional Services | 1.0 | |||
Multi-Utilities | 0.9 | |||
Tobacco | 0.8 | |||
Automobiles | 0.8 | |||
Containers & Packaging | 0.8 | |||
Trading Companies & Distributors | 0.8 | |||
Metals & Mining | 0.7 | |||
Auto Components | 0.7 | |||
Health Care Providers & Services | 0.6 | |||
Diversified Telecommunication Services | 0.6 | |||
Specialty Retail | 0.6 | |||
Hotels, Restaurants & Leisure | 0.6 | |||
Airlines | 0.6 | |||
Communications Equipment | 0.5 | |||
Diversified Financial Services | 0.5 | |||
Construction & Engineering | 0.4 | |||
Road & Rail | 0.4 | |||
Electrical Equipment | 0.3 |
Household Durables | 0.3 | % | ||
Diversified Consumer Services | 0.3 | |||
Multiline Retail | 0.3 | |||
Household Products | 0.2 | |||
Wireless Telecommunication Services | 0.2 | |||
Real Estate Management & Development | 0.2 | |||
Construction Materials | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Health Care Technology | 0.1 | |||
Consumer Finance | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Technology Hardware, Storage & Peripherals | 0.1 | |||
Thrifts & Mortgage Finance | 0.1 | |||
Gas Utilities | 0.0 | * | ||
Distributors | 0.0 | * | ||
Marine | 0.0 | * | ||
|
| |||
100.9 | ||||
Liabilities in excess of other assets | (0.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Liabilities Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 40,361 | — | $ | — | ||||||
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(1) | |||
Equity contracts | $ | (263,129 | ) | |
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(2) | |||
Equity contracts | $ | (1,213 | ) | |
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/ (Liabilities) | Collateral Pledged/ (Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 16,945,392 | $ | (16,945,392 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
GLOBAL PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value, including securities on loan of $16,945,392: | ||||
Unaffiliated investments (cost $878,580,322) | $ | 1,345,479,642 | ||
Affiliated investments (cost $43,930,818) | 43,948,903 | |||
Foreign currency, at value (cost $4,176,670) | 4,193,151 | |||
Tax reclaim receivable | 2,048,392 | |||
Dividends and interest receivable | 1,278,871 | |||
Receivable for investments sold | 364,057 | |||
Receivable from affiliate | 63,074 | |||
Receivable for Portfolio shares sold | 14,939 | |||
Prepaid expenses | 11,627 | |||
|
| |||
Total Assets | 1,397,402,656 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 17,534,242 | |||
Payable to affiliate | 921,130 | |||
Management fee payable | 819,768 | |||
Payable for Portfolio shares purchased | 543,898 | |||
Payable for investments purchased | 332,746 | |||
Accrued expenses and other liabilities | 198,419 | |||
Trustees’ fees payable | 2,327 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 20,353,510 | |||
|
| |||
NET ASSETS | $ | 1,377,049,146 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 1,377,049,146 | ||
|
| |||
Net asset value and redemption price per share, $1,377,049,146 / 28,653,078 outstanding shares of beneficial interest | $ | 48.06 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) INCOME |
| |||
Unaffiliated dividend income (net of $1,311,064 foreign withholding tax, of which $232,294 is reimbursable by an affiliate) | $ | 20,640,903 | ||
Affiliated dividend income | 268,677 | |||
Income from securities lending, net (including affiliated income of $84,936) | 156,464 | |||
|
| |||
Total income | 21,066,044 | |||
|
| |||
EXPENSES | ||||
Management fee | 8,929,624 | |||
Custodian and accounting fees | 285,694 | |||
Shareholders’ reports | 110,888 | |||
Audit fee | 29,437 | |||
Legal fees and expenses | 29,023 | |||
Trustees’ fees | 25,022 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,684 | |||
Miscellaneous | 70,124 | |||
|
| |||
Total expenses | 9,490,496 | |||
Less: Fee waiver and/or expense reimbursement | (423,881 | ) | ||
|
| |||
Net expenses | 9,066,615 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 11,999,429 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(2,977)) | 96,799,155 | |||
Foreign currency transactions | 104,586 | |||
|
| |||
96,903,741 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $9,043) | 74,693,088 | |||
Foreign currencies | 80,255 | |||
|
| |||
74,773,343 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 171,677,084 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 183,676,513 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 11,999,429 | $ | 16,320,560 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 96,903,741 | 49,044,379 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 74,773,343 | 235,305,845 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 183,676,513 | 300,670,784 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [386,642 and 589,747 shares, respectively] | 15,803,644 | 22,043,834 | ||||||
Portfolio shares purchased [2,188,536 and 1,764,963 shares, respectively] | (86,119,207 | ) | (65,786,251 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (70,315,563 | ) | (43,742,417 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 85,664 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 113,360,950 | 257,014,031 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,263,688,196 | 1,006,674,165 | ||||||
|
|
|
| |||||
End of year | $ | 1,377,049,146 | $ | 1,263,688,196 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A112
GOVERNMENT INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 99.3% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 10.7% |
| |||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
AGL Core CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-02A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
1.608%(c) | 04/20/32 | 1,000 | $ | 1,002,973 | ||||||||||||
Series 2020-04A, Class A, 144A, 3 Month LIBOR + 2.210% (Cap N/A, Floor 2.210%) |
| |||||||||||||||
2.428%(c) | 04/20/28 | 2,000 | 1,999,622 | |||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.490%(c) | 07/16/29 | 1,232 | 1,225,403 | |||||||||||||
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.530%(c) | 01/16/30 | 250 | 249,661 | |||||||||||||
Battalion CLO Ltd., |
| |||||||||||||||
Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
1.568%(c) | 01/17/33 | 2,500 | 2,500,007 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
1.538%(c) | 01/20/32 | 750 | 749,998 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.476%(c) | 04/22/30 | 1,990 | 1,984,872 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.457%(c) | 07/15/30 | 2,000 | 1,993,028 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%) |
| |||||||||||||||
1.727%(c) | 04/15/29 | 2,000 | 1,999,154 | |||||||||||||
Octagon Investment Partners 45 Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
1.567%(c) | 10/15/32 | 2,250 | 2,257,275 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.464%(c) | 10/30/30 | 3,709 | 3,700,232 | |||||||||||||
Race Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.447%(c) | 10/15/30 | 995 | 994,470 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
1.459%(c) | 10/23/31 | 1,000 | 997,515 | |||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%) |
| |||||||||||||||
1.588%(c) | 01/20/32 | 1,000 | 999,997 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) |
| |||||||||||||||
1.678%(c) | 07/20/32 | 2,500 | 2,496,351 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.278%(c) | 10/20/29 | 1,250 | $ | 1,242,613 | ||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 26,393,171 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.4% |
| |||||||||||
Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2019-C04, Class A4 |
| |||||||||||
2.661% | 08/15/52 | 3,000 | 3,262,509 | |||||||||
CD Mortgage Trust, |
| |||||||||||
Series 2019-CD08, Class A3 |
| |||||||||||
2.657% | 08/15/57 | 4,000 | 4,250,142 | |||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2012-M02, Class A2 |
| |||||||||||
2.717% | 02/25/22 | 74 | 75,262 | |||||||||
Series 2018-M14, Class A1 |
| |||||||||||
3.578%(cc) | 08/25/28 | 860 | 968,569 | |||||||||
Series 2019-M01, Class A2 |
| |||||||||||
3.555%(cc) | 09/25/28 | 1,100 | 1,295,730 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K019, Class X1, IO |
| |||||||||||
1.585%(cc) | 03/25/22 | 14,891 | 187,979 | |||||||||
Series K020, Class X1, IO |
| |||||||||||
1.345%(cc) | 05/25/22 | 7,876 | 116,129 | |||||||||
Series K021, Class X1, IO |
| |||||||||||
1.404%(cc) | 06/25/22 | 8,583 | 126,777 | |||||||||
Series K025, Class X1, IO |
| |||||||||||
0.799%(cc) | 10/25/22 | 24,029 | 274,428 | |||||||||
Series K060, Class AM |
| |||||||||||
3.300%(cc) | 10/25/26 | 1,930 | 2,192,816 | |||||||||
Series K064, Class AM |
| |||||||||||
3.327%(cc) | 03/25/27 | 1,100 | 1,253,616 | |||||||||
Series K068, Class AM |
| |||||||||||
3.315% | 08/25/27 | 1,700 | 1,949,342 | |||||||||
Series K076, Class AM |
| |||||||||||
3.900% | 04/25/28 | 425 | 503,149 | |||||||||
Series K077, Class AM |
| |||||||||||
3.850%(cc) | 05/25/28 | 180 | 214,430 | |||||||||
Series K078, Class AM |
| |||||||||||
3.920% | 06/25/28 | 525 | 625,372 | |||||||||
Series K079, Class AM |
| |||||||||||
3.930% | 06/25/28 | 675 | 805,523 | |||||||||
Series K080, Class AM |
| |||||||||||
3.986%(cc) | 07/25/28 | 1,900 | 2,276,160 | |||||||||
Series K081, Class AM |
| |||||||||||
3.900%(cc) | 08/25/28 | 1,500 | 1,796,856 | |||||||||
Series K083, Class AM |
| |||||||||||
4.030%(cc) | 10/25/28 | 250 | 301,834 | |||||||||
Series K084, Class AM |
| |||||||||||
3.880%(cc) | 10/25/28 | 1,300 | 1,541,040 | |||||||||
Series K085, Class AM |
| |||||||||||
4.060%(cc) | 10/25/28 | 650 | 781,747 | |||||||||
Series K086, Class AM |
| |||||||||||
3.919%(cc) | 12/25/28 | 200 | 240,057 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K087, Class AM |
| |||||||||||||||
3.832%(cc) | 12/25/28 | 200 | $ | 238,046 | ||||||||||||
Series K088, Class AM |
| |||||||||||||||
3.761%(cc) | 01/25/29 | 520 | 619,759 | |||||||||||||
Series K090, Class AM |
| |||||||||||||||
3.492%(cc) | 03/25/29 | 800 | 939,853 | |||||||||||||
Series K091, Class AM |
| |||||||||||||||
3.566% | 03/25/29 | 850 | 1,004,307 | |||||||||||||
Series K151, Class A3 |
| |||||||||||||||
3.511% | 04/25/30 | 400 | 473,427 | |||||||||||||
Series K152, Class A2 |
| |||||||||||||||
3.080% | 01/25/31 | 140 | 160,506 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 1,700 | 2,090,223 | |||||||||||||
Series K157, Class A3 |
| |||||||||||||||
3.990%(cc) | 08/25/33 | 280 | 350,056 | |||||||||||||
Series KC03, Class A2 |
| |||||||||||||||
3.499% | 01/25/26 | 650 | 711,115 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.214%(cc) | 04/25/28 | 1,100 | 1,232,284 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 32,859,043 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 1.1% |
| |||||||||||||||
Diversified Financial Services |
| |||||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.650% | 02/16/21 | 1,445 | 1,449,083 | |||||||||||||
U.S. Gov’t. Gtd. Notes, Series BB |
| |||||||||||||||
4.300% | 12/15/21 | 1,255 | 1,300,782 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 2,749,865 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% |
| |||||||||||||||
Government National Mortgage Assoc., |
| |||||||||||||||
Series 2015-143, Class WA |
| |||||||||||||||
4.000% | 10/20/45 | 389 | 427,632 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2003-E, Class A1, 1 Month LIBOR + 0.620% (Cap 11.750%, Floor 0.620%) |
| |||||||||||||||
0.768%(c) | 10/25/28 | 11 | 10,942 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.080%(cc) | 02/25/34 | 52 | 51,672 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 490,246 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.6% |
| |||||||||||||||
Fannie Mae Principal Strips, MTN |
| |||||||||||||||
2.001%(s) | 10/08/27 | 350 | 325,845 | |||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | 1,025 | 1,222,036 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 215 | 225,764 | |||||||||||||
2.500% | 02/01/28 | 461 | 484,905 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
2.500% | 03/01/30 | 381 | $ | 405,655 | ||||||||||||
2.500% | 11/01/46 | 434 | 463,968 | |||||||||||||
3.000% | 06/01/29 | 271 | 289,494 | |||||||||||||
3.000% | 01/01/37 | 529 | 556,741 | |||||||||||||
3.000% | 06/01/45 | 222 | 236,471 | |||||||||||||
3.000% | 01/01/48 | 481 | 503,825 | |||||||||||||
3.500% | 12/01/32 | 499 | 535,556 | |||||||||||||
3.500% | 07/01/42 | 391 | 421,312 | |||||||||||||
3.500% | 10/01/42 | 650 | 701,680 | |||||||||||||
3.500% | 08/01/43 | 852 | 925,994 | |||||||||||||
3.500% | 09/01/45 | 307 | 332,373 | |||||||||||||
3.500% | 10/01/45 | 313 | 335,496 | |||||||||||||
3.500% | 02/01/47 | 328 | 348,784 | |||||||||||||
3.500% | 07/01/47 | 705 | 750,257 | |||||||||||||
3.500% | 03/01/48 | 918 | 972,341 | |||||||||||||
4.000% | 06/01/26 | 31 | 33,096 | |||||||||||||
4.000% | 09/01/26 | 119 | 126,355 | |||||||||||||
4.000% | 09/01/40 | 238 | 260,006 | |||||||||||||
4.000% | 12/01/40 | 260 | 285,555 | |||||||||||||
4.000% | 12/01/40 | 286 | 315,040 | |||||||||||||
4.000% | 11/01/43 | 495 | 542,891 | |||||||||||||
4.500% | 09/01/39 | 918 | 1,030,143 | |||||||||||||
4.500% | 08/01/48 | 387 | 419,732 | |||||||||||||
5.000% | 06/01/33 | 220 | 252,800 | |||||||||||||
5.000% | 05/01/34 | 179 | 207,799 | |||||||||||||
5.500% | 05/01/37 | 39 | 46,340 | |||||||||||||
5.500% | 02/01/38 | 131 | 153,622 | |||||||||||||
5.500% | 05/01/38 | 57 | 67,551 | |||||||||||||
6.000% | 09/01/34 | 67 | 75,721 | |||||||||||||
6.000% | 01/01/37 | 68 | 80,740 | |||||||||||||
6.000% | 09/01/38 | 39 | 45,667 | |||||||||||||
6.000% | 08/01/39 | 48 | 57,449 | |||||||||||||
6.250% | 07/15/32 | 30 | 46,430 | |||||||||||||
6.500% | 09/01/32 | 18 | 21,001 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN |
| |||||||||||||||
1.846%(s) | 11/15/38 | 600 | 410,417 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
0.875% | 08/05/30 | 250 | 245,246 | |||||||||||||
2.000% | TBA | 13,000 | 13,478,343 | |||||||||||||
2.000% | 08/01/31 | 211 | 221,259 | |||||||||||||
2.000% | 10/01/34 | 85 | 88,604 | |||||||||||||
2.500% | TBA | 500 | 526,074 | |||||||||||||
2.500% | TBA | (tt) | 1,000 | 1,053,983 | ||||||||||||
2.500% | 03/01/24 | 36 | 37,029 | |||||||||||||
2.500% | 06/01/28 | 1,204 | 1,273,436 | |||||||||||||
2.500% | 04/01/35 | 941 | 980,367 | |||||||||||||
2.500% | 02/01/43 | 146 | 155,781 | |||||||||||||
2.500% | 12/01/46 | 518 | 554,386 | |||||||||||||
2.500% | 03/01/50 | 420 | 443,330 | |||||||||||||
2.500% | 05/01/50 | 1,376 | 1,451,147 | |||||||||||||
2.500% | 10/01/50 | 3,688 | 3,890,788 | |||||||||||||
3.000% | TBA | 5,500 | 5,761,648 | |||||||||||||
3.000% | 02/01/31 | 605 | 634,981 | |||||||||||||
3.000% | 11/01/36 | 445 | 465,263 | |||||||||||||
3.000% | 03/01/43 | 652 | 693,151 | |||||||||||||
3.000% | 07/01/43 | 674 | 731,740 | |||||||||||||
3.000% | 07/01/43 | 866 | 922,853 | |||||||||||||
3.000% | 09/01/46 | 704 | 737,918 |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
3.000% | 11/01/46 | 280 | $ | 294,459 | ||||||||||||
3.000% | 11/01/46 | 374 | 395,274 | |||||||||||||
3.000% | 11/01/46 | 1,598 | 1,675,705 | |||||||||||||
3.000% | 12/01/47 | 820 | 867,070 | |||||||||||||
3.000% | 01/01/50 | 956 | 1,002,246 | |||||||||||||
3.000% | 06/01/50 | 537 | 563,234 | |||||||||||||
3.500% | 07/01/31 | 714 | 770,933 | |||||||||||||
3.500% | 02/01/33 | 125 | 133,895 | |||||||||||||
3.500% | 06/01/39 | 207 | 224,718 | |||||||||||||
3.500% | 04/01/42 | 340 | 369,348 | |||||||||||||
3.500% | 06/01/42 | 564 | 611,532 | |||||||||||||
3.500% | 07/01/42 | 336 | 363,124 | |||||||||||||
3.500% | 07/01/42 | 655 | 711,734 | |||||||||||||
3.500% | 06/01/45 | 1,099 | 1,177,039 | |||||||||||||
3.500% | 07/01/46 | 462 | 491,708 | |||||||||||||
3.500% | 12/01/46 | 317 | 338,952 | |||||||||||||
3.500% | 12/01/46 | 705 | 765,841 | |||||||||||||
3.500% | 11/01/48 | 718 | 759,177 | |||||||||||||
4.000% | 09/01/40 | 872 | 953,272 | |||||||||||||
4.000% | 06/01/42 | 638 | 695,403 | |||||||||||||
4.000% | 09/01/44 | 409 | 445,970 | |||||||||||||
4.000% | 09/01/44 | 673 | 733,970 | |||||||||||||
4.000% | 04/01/45 | 415 | 453,977 | |||||||||||||
4.000% | 07/01/45 | 335 | 364,899 | |||||||||||||
4.000% | 10/01/45 | 493 | 535,255 | |||||||||||||
4.000% | 10/01/46 | 175 | 189,084 | |||||||||||||
4.000% | 02/01/47 | 190 | 203,952 | |||||||||||||
4.000% | 06/01/47 | 277 | 299,061 | |||||||||||||
4.000% | 07/01/47 | 292 | 313,655 | |||||||||||||
4.000% | 10/01/47 | 897 | 962,059 | |||||||||||||
4.000% | 11/01/47 | 231 | 247,843 | |||||||||||||
4.000% | 11/01/47 | 366 | 393,188 | |||||||||||||
4.500% | 05/01/40 | 1,573 | 1,765,657 | |||||||||||||
4.500% | 04/01/42 | 532 | 596,969 | |||||||||||||
5.000% | 12/01/31 | 24 | 26,973 | |||||||||||||
5.000% | 03/01/34 | 242 | 279,650 | |||||||||||||
5.000% | 06/01/35 | 106 | 123,298 | |||||||||||||
5.000% | 07/01/35 | 54 | 62,300 | |||||||||||||
5.000% | 05/01/36 | 72 | 83,221 | |||||||||||||
5.500% | 02/01/34 | 174 | 202,991 | |||||||||||||
5.500% | 09/01/34 | 191 | 223,948 | |||||||||||||
5.500% | 02/01/35 | 196 | 226,476 | |||||||||||||
5.500% | 06/01/35 | 34 | 37,642 | |||||||||||||
5.500% | 06/01/35 | 98 | 110,044 | |||||||||||||
5.500% | 09/01/35 | 36 | 40,074 | |||||||||||||
5.500% | 09/01/35 | 96 | 108,698 | |||||||||||||
5.500% | 10/01/35 | 174 | 202,017 | |||||||||||||
5.500% | 11/01/35 | 99 | 113,017 | |||||||||||||
5.500% | 11/01/35 | 218 | 255,770 | |||||||||||||
5.500% | 11/01/35 | 341 | 401,018 | |||||||||||||
6.000% | 05/01/21 | 1 | 692 | |||||||||||||
6.000% | 12/01/33 | 10 | 11,060 | |||||||||||||
6.000% | 02/01/34 | 84 | 101,083 | |||||||||||||
6.000% | 08/01/34 | — | (r) | 421 | ||||||||||||
6.000% | 11/01/34 | — | (r) | 524 | ||||||||||||
6.000% | 12/01/34 | 1 | 1,000 | |||||||||||||
6.000% | 01/01/35 | 19 | 20,936 | |||||||||||||
6.000% | 01/01/36 | 58 | 65,031 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 05/01/38 | 33 | $ | 38,396 | ||||||||||||
6.500% | 07/01/32 | 145 | 170,779 | |||||||||||||
6.500% | 08/01/32 | 63 | 72,131 | |||||||||||||
6.500% | 10/01/32 | 192 | 229,861 | |||||||||||||
6.500% | 10/01/37 | 101 | 121,665 | |||||||||||||
6.625% | 11/15/30 | 435 | 658,266 | |||||||||||||
7.000% | 12/01/31 | — | (r) | 490 | ||||||||||||
7.000% | 12/01/31 | 64 | 75,485 | |||||||||||||
7.000% | 01/01/36 | 15 | 18,107 | |||||||||||||
8.000% | 10/01/23 | — | (r) | 77 | ||||||||||||
8.000% | 09/01/24 | 1 | 721 | |||||||||||||
8.000% | 11/01/24 | 1 | 844 | |||||||||||||
8.000% | 01/01/26 | — | (r) | 157 | ||||||||||||
9.000% | 02/01/25 | 5 | 5,942 | |||||||||||||
9.000% | 04/01/25 | 3 | 2,874 | |||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.000% | TBA | 1,500 | 1,565,857 | |||||||||||||
2.500% | TBA | 3,000 | 3,169,103 | |||||||||||||
2.500% | 12/20/46 | 179 | 190,794 | |||||||||||||
3.000% | 03/15/45 | 885 | 929,400 | |||||||||||||
3.000% | 07/20/46 | 827 | 881,286 | |||||||||||||
3.000% | 09/20/46 | 892 | 950,568 | |||||||||||||
3.000% | 10/20/46 | 221 | 235,609 | |||||||||||||
3.000% | 04/20/47 | 956 | 1,018,725 | |||||||||||||
3.000% | 12/20/48 | 607 | 639,370 | |||||||||||||
3.000% | 04/20/49 | 658 | 689,244 | |||||||||||||
3.000% | 12/20/49 | 1,685 | 1,762,622 | |||||||||||||
3.500% | 01/20/43 | 735 | 800,285 | |||||||||||||
3.500% | 04/20/43 | 358 | 390,106 | |||||||||||||
3.500% | 03/20/45 | 540 | 582,511 | |||||||||||||
3.500% | 04/20/45 | 445 | 478,172 | |||||||||||||
3.500% | 04/20/46 | 768 | 830,172 | |||||||||||||
3.500% | 07/20/46 | 1,167 | 1,260,569 | |||||||||||||
3.500% | 07/20/48 | 1,048 | 1,120,011 | |||||||||||||
3.500% | 11/20/48 | 271 | 287,784 | |||||||||||||
3.500% | 01/20/49 | 473 | 506,268 | |||||||||||||
3.500% | 05/20/49 | 1,098 | 1,163,747 | |||||||||||||
3.500% | 12/20/49 | 222 | 235,366 | |||||||||||||
4.000% | 06/15/40 | 112 | 121,393 | |||||||||||||
4.000% | 08/20/46 | 457 | 499,602 | |||||||||||||
4.000% | 11/20/46 | 275 | 300,012 | |||||||||||||
4.000% | 09/20/47 | 433 | 466,737 | |||||||||||||
4.000% | 02/20/49 | 720 | 772,138 | |||||||||||||
4.500% | 02/20/41 | 344 | 387,716 | |||||||||||||
4.500% | 03/20/41 | 292 | 325,219 | |||||||||||||
4.500% | 06/20/44 | 221 | 246,018 | |||||||||||||
4.500% | 09/20/46 | 275 | 305,825 | |||||||||||||
4.500% | 11/20/46 | 548 | 610,215 | |||||||||||||
4.500% | 01/20/47 | 69 | 76,072 | |||||||||||||
5.000% | 07/15/33 | 104 | 120,210 | |||||||||||||
5.000% | 09/15/33 | 168 | 191,690 | |||||||||||||
5.000% | 04/15/34 | 75 | 82,522 | |||||||||||||
5.000% | 10/20/48 | 161 | 175,851 | |||||||||||||
5.500% | 03/15/34 | 202 | 233,504 | |||||||||||||
5.500% | 03/15/36 | 45 | 52,977 | |||||||||||||
6.500% | 07/15/32 | 15 | 17,649 | |||||||||||||
6.500% | 08/15/32 | 2 | 1,742 | |||||||||||||
6.500% | 08/15/32 | 3 | 3,420 |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||||||
6.500% | 08/15/32 | 11 | $ | 12,411 | ||||||||
6.500% | 08/15/32 | 61 | 72,394 | |||||||||
7.000% | 05/15/23 | 1 | 1,165 | |||||||||
7.000% | 06/15/23 | 1 | 512 | |||||||||
7.000% | 06/15/23 | 2 | 2,408 | |||||||||
7.000% | 06/15/23 | 3 | 2,670 | |||||||||
7.000% | 07/15/23 | — | (r) | 268 | ||||||||
7.000% | 07/15/23 | 7 | 7,164 | |||||||||
7.000% | 08/15/23 | 1 | 910 | |||||||||
7.000% | 08/15/23 | 2 | 1,748 | |||||||||
7.000% | 09/15/23 | 1 | 781 | |||||||||
7.000% | 10/15/23 | 1 | 1,199 | |||||||||
7.000% | 10/15/23 | 2 | 1,546 | |||||||||
7.000% | 11/15/23 | 2 | 1,830 | |||||||||
7.000% | 11/15/23 | 5 | 4,745 | |||||||||
7.000% | 01/15/24 | 28 | 30,001 | |||||||||
7.000% | 05/15/24 | 19 | 19,989 | |||||||||
7.000% | 08/15/28 | 29 | 33,463 | |||||||||
7.500% | 12/15/25 | 2 | 1,552 | |||||||||
7.500% | 12/15/25 | 21 | 23,509 | |||||||||
7.500% | 02/15/26 | 4 | 4,225 | |||||||||
8.500% | 09/15/24 | 29 | 30,634 | |||||||||
8.500% | 04/15/25 | 3 | 3,710 | |||||||||
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes |
| |||||||||||
5.500% | 09/18/33 | 300 | 440,828 | |||||||||
Resolution Funding Corp. Interest Strips, Bonds |
| |||||||||||
1.636%(s) | 04/15/28 | 500 | 457,342 | |||||||||
2.197%(s) | 01/15/30 | 140 | 121,923 | |||||||||
2.477%(s) | 01/15/29 | 300 | 269,717 | |||||||||
3.624%(s) | 04/15/30 | 500 | 437,179 | |||||||||
Resolution Funding Corp. Principal Strips, Bonds, PO |
| |||||||||||
1.875%(s) | 01/15/30 | 285 | 251,537 | |||||||||
3.143%(s) | 04/15/30 | 2,305 | 2,044,876 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes |
| |||||||||||
0.750% | 05/15/25 | 325 | 329,640 | |||||||||
2.875% | 02/01/27 | 175 | 197,133 | |||||||||
5.880% | 04/01/36 | 230 | 351,495 | |||||||||
6.750% | 11/01/25 | 510 | 660,160 | |||||||||
7.125% | 05/01/30 | 530 | 808,072 | |||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 104,934,878 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 31.3% |
| |||||||||||
U.S. Treasury Bonds |
| |||||||||||
1.375% | 11/15/40 | 170 | 168,008 | |||||||||
1.625% | 11/15/50 | 130 | 129,330 | |||||||||
2.875% | 05/15/43 | (k) | 1,950 | 2,463,094 | ||||||||
3.000% | 11/15/44 | 170 | 219,884 | |||||||||
3.625% | 08/15/43 | 4,090 | 5,772,012 | |||||||||
3.750% | 11/15/43 | 21,640 | 31,124,406 | |||||||||
U.S. Treasury Notes |
| |||||||||||
0.625% | 11/30/27 | 70 | 69,956 | |||||||||
0.875% | 11/15/30 | 5,030 | 5,010,352 | |||||||||
3.125% | 11/15/28 | 6,000 | 7,100,625 | |||||||||
U.S. Treasury Strips Coupon |
| |||||||||||
0.807%(s) | 11/15/29 | 15 | 13,770 | |||||||||
1.020%(s) | 05/15/33 | 375 | 320,801 | |||||||||
1.123%(s) | 05/15/36 | 350 | 282,229 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||||||
1.159%(s) | 02/15/36 | 120 | $ | 97,322 | ||||||||
1.225%(s) | 02/15/41 | 130 | 94,829 | |||||||||
1.351%(s) | 08/15/43 | 205 | 141,554 | |||||||||
1.417%(s) | 02/15/38 | 1,015 | 788,330 | |||||||||
1.450%(s) | 08/15/42 | 60 | 42,366 | |||||||||
1.463%(s) | 11/15/42 | 155 | 108,815 | |||||||||
1.488%(s) | 11/15/41 | 730 | 523,746 | |||||||||
1.982%(s) | 08/15/39 | 2,120 | 1,595,052 | |||||||||
1.990%(s) | 02/15/39 | 2,900 | 2,204,113 | |||||||||
2.010%(s) | 08/15/30 | 1,060 | 957,271 | |||||||||
2.022%(s) | 02/15/37 | 240 | 190,312 | |||||||||
2.056%(s) | 11/15/38 | 345 | 263,790 | |||||||||
2.169%(s) | 05/15/39 | 990 | 748,571 | |||||||||
2.172%(s) | 02/15/28 | (k) | 550 | 521,146 | ||||||||
2.334%(s) | 08/15/41 | 2,210 | 1,595,085 | |||||||||
2.353%(s) | 02/15/44 | 780 | 531,862 | |||||||||
2.365%(s) | 05/15/44 | 2,860 | 1,939,996 | |||||||||
2.370%(s) | 05/15/29 | 565 | 523,442 | |||||||||
2.380%(s) | 05/15/41 | 1,855 | 1,347,266 | |||||||||
2.434%(s) | 11/15/45 | 345 | 227,107 | |||||||||
2.436%(s) | 02/15/46 | 390 | 255,115 | |||||||||
2.506%(s) | 11/15/43 | 4,315 | 2,955,438 | |||||||||
2.741%(s) | 08/15/27 | 2,575 | 2,459,527 | |||||||||
2.857%(s) | 05/15/31 | 500 | 444,629 | |||||||||
3.019%(s) | 11/15/35 | 695 | 566,208 | |||||||||
3.176%(s) | 08/15/40 | 800 | 589,062 | |||||||||
4.096%(s) | 02/15/42 | (k) | 3,725 | 2,654,354 | ||||||||
|
| |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 77,040,775 | ||||||||||
|
| |||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 244,467,978 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENT — 13.7% |
| |||||||||||
AFFILIATED MUTUAL FUND |
| |||||||||||
PGIM Core Ultra Short Bond Fund |
| 33,734,048 | 33,734,048 | |||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 113.0% |
| 278,202,026 | ||||||||||
Liabilities in excess of other assets(z) — (13.0)% |
| (31,973,310 | ) | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 246,228,716 | |||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 1,000,000 is 0.4% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
128 | 2 Year U.S. Treasury Notes | Mar. 2021 | $ | 28,285,000 | $ | 30,081 | ||||||||||
395 | 5 Year U.S. Treasury Notes | Mar. 2021 | 49,834,804 | 103,667 | ||||||||||||
90 | 10 Year U.S. Treasury Notes | Mar. 2021 | 12,427,032 | 20,641 | ||||||||||||
|
| |||||||||||||||
154,389 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
202 | 10 Year U.S. Ultra Treasury Notes | Mar. 2021 | 31,584,595 | 98,333 | ||||||||||||
86 | 20 Year U.S. Treasury Bonds | Mar. 2021 | 14,894,125 | (29,253 | ) | |||||||||||
64 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2021 | 13,668,000 | 119,761 | ||||||||||||
|
| |||||||||||||||
188,841 | ||||||||||||||||
|
| |||||||||||||||
$ | 343,230 | |||||||||||||||
|
|
Interest rate swap agreements outstanding at December 31, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreement: | ||||||||||||||||||||||||
730 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | $ | (107,931 | ) | $ | (56,540 | ) | $ | 51,391 | |||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||
Citigroup Global Markets, Inc. | $— | $1,790,510 | ||
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 26,393,171 | $ | — | ||||||
Commercial Mortgage-Backed Securities | — | 32,859,043 | — | |||||||||
Corporate Bonds | — | 2,749,865 | — | |||||||||
Residential Mortgage-Backed Securities | — | 490,246 | — | |||||||||
U.S. Government Agency Obligations | — | 104,934,878 | — | |||||||||
U.S. Treasury Obligations | — | 77,040,775 | — | |||||||||
Affiliated Mutual Fund | 33,734,048 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 33,734,048 | $ | 244,467,978 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 372,483 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreement | — | 51,391 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 372,483 | $ | 51,391 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (29,253 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
U.S. Government Agency Obligations | 42.6 | % | ||
U.S. Treasury Obligations | 31.3 | |||
Affiliated Mutual Fund | 13.7 | |||
Commercial Mortgage-Backed Securities | 13.4 | |||
Collateralized Loan Obligations | 10.7 | |||
Diversified Financial Services | 1.1 |
Residential Mortgage-Backed Securities | 0.2 | % | ||
|
| |||
113.0 | ||||
Liabilities in excess of other assets | (13.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | $ | 372,483 | * | Due from/to broker-variation margin futures | $ | 29,253 | * | ||||
Interest rate contracts | Due from/to broker-variation margin swaps | 51,391 | * | — | — | |||||||
|
|
|
| |||||||||
$ | 423,874 | $ | 29,253 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | 340,571 | $ | 67,845 | $ | (1,620,107 | ) | $ | (5,593,313 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||||||
Interest rate contracts | $ | (180,856 | ) | $ | (311,189 | ) | $ | 2,890,901 | ||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | |||||
$29,948 | $99,200 | $73,995,564 | $82,049,067 |
Interest Rate Swap Agreements(2) | ||
$64,504,560 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.
SEE NOTES TO FINANCIAL STATEMENTS.
A119
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $229,014,754) | $ | 244,467,978 | ||
Affiliated investments (cost $33,734,048) | 33,734,048 | |||
Interest receivable | 682,586 | |||
Receivable for Portfolio shares sold | 193,475 | |||
Receivable for investments sold | 50,342 | |||
Prepaid expenses | 4,202 | |||
|
| |||
Total Assets | 279,132,631 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 32,586,576 | |||
Accrued expenses and other liabilities | 113,094 | |||
Due to broker-variation margin futures | 89,777 | |||
Management fee payable | 83,712 | |||
Payable for Portfolio shares purchased | 25,221 | |||
Due to broker-variation margin swaps | 3,466 | |||
Trustees’ fees payable | 1,089 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 32,903,915 | |||
|
| |||
NET ASSETS | $ | 246,228,716 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 246,228,716 | ||
|
| |||
Net asset value and redemption price per share, $246,228,716 / 16,974,961 outstanding shares of beneficial interest | $ | 14.51 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Interest income | $ | 5,029,539 | ||
Affiliated dividend income | 87,089 | |||
Affiliated income from securities lending, net | 25,932 | |||
|
| |||
Total income | 5,142,560 | |||
|
| |||
EXPENSES | ||||
Management fee | 986,502 | |||
Shareholders’ reports | 89,935 | |||
Custodian and accounting fees | 77,359 | |||
Audit fee | 35,936 | |||
Legal fees and expenses | 25,141 | |||
Trustees’ fees | 12,552 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,682 | |||
Miscellaneous | 17,044 | |||
|
| |||
Total expenses | 1,255,151 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 3,887,409 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS |
| |||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $148,725) | 5,158,646 | |||
Futures transactions | (1,620,107 | ) | ||
Options written transactions | 67,845 | |||
Swap agreements transactions | (5,593,313 | ) | ||
|
| |||
(1,986,929 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(178,952)) | 12,215,414 | |||
Futures | (311,189 | ) | ||
Swap agreements | 2,890,901 | |||
|
| |||
14,795,126 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 12,808,197 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 16,695,606 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 3,887,409 | $ | 5,492,268 | ||||
Net realized gain (loss) on investment transactions | (1,986,929 | ) | 8,921,459 | |||||
Net change in unrealized appreciation (depreciation) on investments | 14,795,126 | 719,183 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 16,695,606 | 15,132,910 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [1,083,338 and 2,289,238 shares, respectively] | 15,481,186 | 29,826,157 | ||||||
Portfolio shares purchased [1,725,391 and 2,084,878 shares, respectively] | (24,541,321 | ) | (27,448,072 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (9,060,135 | ) | 2,378,085 | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 7,635,471 | 17,510,995 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 238,593,245 | 221,082,250 | ||||||
|
|
|
| |||||
End of year | $ | 246,228,716 | $ | 238,593,245 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A120
GOVERNMENT MONEY MARKET PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
REPURCHASE AGREEMENTS(m) — 10.6% |
| |||||||||||||||
Bank of America Securities, Inc., 0.08%, dated 12/31/20, due 01/04/21 in the amount of $28,985,258 |
| 28,985 | $ | 28,985,000 | ||||||||||||
Goldman Sachs & Co., 0.11%, dated 12/29/20, due 01/05/21 in the amount of $ 5,000,107 |
| 5,000 | 5,000,000 | |||||||||||||
Goldman Sachs & Co., 0.08%, dated 12/31/20, due 01/04/21 in the amount of $ 25,000,222 |
| 25,000 | 25,000,000 | |||||||||||||
ING Financial Markets LLC, 0.13%, dated 11/18/20, due 01/26/21 in the amount of $17,004,236 |
| 17,000 | 17,000,000 | |||||||||||||
RBC Dominion Securities, Inc., 0.11%, dated 12/29/20, due 01/05/21 in the amount of $15,000,321 |
| 15,000 | 15,000,000 | |||||||||||||
|
| |||||||||||||||
TOTAL REPURCHASE AGREEMENTS |
| 90,985,000 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 58.0% |
| |||||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.020)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.133%(c) | 11/16/21 | 9,000 | 8,999,495 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.045)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.113%(c) | 12/20/21 | 6,000 | 6,000,000 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.055)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.093%(c) | 02/03/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.110% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.258%(c) | 03/25/21 | 6,000 | 5,999,821 | |||||||||||||
Federal Farm Credit Bank, 3 Month LIBOR + (0.090)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.124%(c) | 11/02/21 | 6,000 | 5,999,916 | |||||||||||||
0.129%(c) | 12/16/21 | 15,000 | 15,000,224 | |||||||||||||
0.134%(c) | 11/30/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Farm Credit Bank, SOFR + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.130%(c) | 02/09/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Farm Credit Bank, SOFR + 0.070% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.160%(c) | 02/17/22 | 7,000 | 7,000,000 | |||||||||||||
Federal Farm Credit Bank, SOFR + 0.080% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.170%(c) | 01/14/21 | 1,500 | 1,500,000 | |||||||||||||
Federal Farm Credit Bank, SOFR + 0.105% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.195%(c) | 01/15/21 | 6,000 | 6,000,000 | |||||||||||||
Federal Farm Credit Bank, SOFR + 0.110% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.200%(c) | 05/18/21 | 6,000 | 6,000,000 | |||||||||||||
0.200%(c) | 07/08/21 | 2,500 | 2,499,902 | |||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
0.105%(n) | 01/15/21 | 10,000 | 9,999,592 | |||||||||||||
0.100%(n) | 01/20/21 | 20,000 | 19,998,944 | |||||||||||||
0.091%(n) | 01/27/21 | 9,000 | 8,999,408 | |||||||||||||
0.098%(n) | 01/29/21 | 4,000 | 3,999,695 | |||||||||||||
0.085%(n) | 02/01/21 | 16,000 | 15,998,829 | |||||||||||||
0.092%(n) | 02/10/21 | 10,000 | 9,998,978 | |||||||||||||
0.085%(n) | 02/17/21 | 15,000 | 14,998,335 | |||||||||||||
0.080%(n) | 02/19/21 | 10,000 | 9,998,911 | |||||||||||||
0.088%(n) | 02/24/21 | 15,000 | 14,998,020 | |||||||||||||
0.085%(n) | 03/03/21 | 9,000 | 8,998,704 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.010)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.138%(c) | 03/26/21 | 3,000 | $ | 3,000,149 | ||||||||||||
0.143%(c) | 04/05/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.030)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.122%(c) | 04/20/21 | 8,000 | 8,000,165 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.040)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.106%(c) | 01/08/21 | 9,000 | 8,999,999 | |||||||||||||
0.114%(c) | 01/13/21 | 20,000 | 20,000,093 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.050)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.094%(c) | 02/22/21 | 8,000 | 7,999,969 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.148%(c) | 09/28/21 | 7,000 | 7,000,000 | |||||||||||||
0.149%(c) | 05/10/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + 0.005% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.158%(c) | 08/16/21 | 6,000 | 6,000,648 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.193%(c) | 07/06/21 | 8,000 | 8,002,699 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.135)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.070%(c) | 02/12/21 | 7,000 | 6,999,894 | |||||||||||||
0.089%(c) | 04/14/21 | 15,000 | 14,999,657 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.140)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.078%(c) | 04/19/21 | 11,000 | 10,999,455 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.170)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.060%(c) | 01/08/21 | 4,000 | 3,999,973 | |||||||||||||
0.064%(c) | 01/06/21 | 5,000 | 5,000,015 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.020% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.110%(c) | 08/23/21 | 9,000 | 9,000,000 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.120%(c) | 01/11/21 | 8,000 | 8,000,000 | |||||||||||||
0.120%(c) | 01/28/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.035% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.125%(c) | 12/17/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.130%(c) | 02/26/21 | 7,000 | 7,000,000 | |||||||||||||
0.130%(c) | 04/23/21 | 6,000 | 6,000,000 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.050% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.140%(c) | 01/22/21 | 13,000 | 12,999,901 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.060% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.150%(c) | 02/16/21 | 9,000 | 9,000,000 | |||||||||||||
0.150%(c) | 02/11/22 | 6,000 | 6,000,000 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.075% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.165%(c) | 06/11/21 | 7,000 | 6,995,465 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.080% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.170%(c) | 03/04/21 | 15,000 | 15,000,000 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.085% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.175%(c) | 09/10/21 | 8,000 | 8,001,937 | |||||||||||||
Federal Home Loan Bank, SOFR + 0.160% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.250%(c) | 05/07/21 | 5,000 | 5,000,876 |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
Federal Home Loan Mortgage Corp., MTN |
| |||||||||||||||
0.091% | 05/10/21 | 14,000 | $ | 14,000,000 | ||||||||||||
Federal Home Loan Mortgage Corp., MTN, SOFR + 0.025% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.115%(c) | 02/26/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, SOFR + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.120%(c) | 01/22/21 | 6,000 | 5,999,739 | |||||||||||||
0.120%(c) | 02/05/21 | 6,000 | 5,999,652 | |||||||||||||
0.120%(c) | 02/19/21 | 5,000 | 4,999,796 | |||||||||||||
0.120%(c) | 02/24/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, SOFR + 0.045% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.135%(c) | 08/27/21 | 3,000 | 3,000,000 | |||||||||||||
Federal National Mortgage Assoc., SOFR + 0.075% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.165%(c) | 06/04/21 | 2,500 | 2,499,625 | |||||||||||||
Federal National Mortgage Assoc., SOFR + 0.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.210%(c) | 03/16/21 | 6,000 | 6,000,000 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 497,488,481 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS(n) — 30.8% |
| |||||||||||||||
U.S. Cash Management Bills |
| |||||||||||||||
0.095% | 03/16/21 | 25,000 | 24,995,118 | |||||||||||||
0.086% | 03/23/21 | 15,000 | 14,997,114 | |||||||||||||
0.090% | 04/13/21 | 8,000 | 7,997,960 | |||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.091% | 01/21/21 | 12,200 | 12,199,381 | |||||||||||||
0.091% | 01/26/21 | 18,000 | 17,998,861 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS(n) (continued) |
| |||||||||||||||
0.085% | 02/04/21 | 33,000 | $ | 32,997,365 | ||||||||||||
0.100% | 02/11/21 | 10,000 | 9,998,861 | |||||||||||||
0.083% | 02/16/21 | 8,000 | 7,999,152 | |||||||||||||
0.090% | 02/23/21 | 35,000 | 34,995,363 | |||||||||||||
0.085% | 03/04/21 | 27,000 | 26,996,063 | |||||||||||||
0.083% | 03/11/21 | 12,000 | 11,998,091 | |||||||||||||
0.087% | 03/25/21 | 15,000 | 14,996,991 | |||||||||||||
0.096% | 04/01/21 | 20,000 | 19,995,225 | |||||||||||||
0.090% | 04/22/21 | 20,000 | 19,994,450 | |||||||||||||
0.106% | 12/02/21 | 6,000 | 5,994,082 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 264,154,077 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 99.4% |
| 852,627,558 | ||||||||||||||
Other assets in excess of liabilities — 0.6% |
| 5,153,536 | ||||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 857,781,094 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020. |
(m) | Repurchase agreements are collateralized by FHLMC (coupon rates 2.500% - 5.500%, maturity dates 12/01/36 - 12/01/50), FNMA (coupon rates 1.500% - 5.500%, maturity dates 03/01/23 - 01/01/51) and GNMA (coupon rates 3.500% - 4.500%, maturity dates 06/15/43 - 12/20/47), with the aggregate value, including accrued interest, of $92,804,701. |
(n) | Rate shown reflects yield to maturity at purchased date. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted | quoted prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Repurchase Agreements | $ | — | $ | 90,985,000 | $ | — | ||||||
U.S. Government Agency Obligations | — | 497,488,481 | — | |||||||||
U.S. Treasury Obligations | — | 264,154,077 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | — | $ | 852,627,558 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
U.S. Government Agency Obligations | 58.0 | % |
U.S. Treasury Obligations | 30.8 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
A122
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification (continued): | ||||
Repurchase Agreements | 10.6 | % | ||
|
| |||
99.4 | ||||
Other assets in excess of liabilities | 0.6 | |||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Counterparty | Gross Market Value of Recognized Assets/ (Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Repurchase Agreements | Bank of America Securities, Inc. | $ | 28,985,000 | $ | (28,985,000 | ) | $ | — | ||||||||
Repurchase Agreements | Goldman Sachs & Co. | 30,000,000 | (30,000,000 | ) | — | |||||||||||
Repurchase Agreements | ING Financial Markets LLC | 17,000,000 | (17,000,000 | ) | — | |||||||||||
Repurchase Agreements | RBC Dominion Securities, Inc. | 15,000,000 | (15,000,000 | ) | — | |||||||||||
|
| |||||||||||||||
$ | 90,985,000 | |||||||||||||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A123
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 761,642,558 | ||
Repurchase Agreements (amortized cost $90,985,000) | 90,985,000 | |||
Cash | 766 | |||
Receivable for Portfolio shares sold | 5,947,720 | |||
Interest receivable | 51,834 | |||
Prepaid expenses | 5,203 | |||
|
| |||
Total Assets | 858,633,081 | |||
|
| |||
LIABILITIES | ||||
Payable for Portfolio shares purchased | 693,757 | |||
Accrued expenses and other liabilities | 58,944 | |||
Management fee payable | 51,780 | |||
Shareholders’ reports payable | 44,763 | |||
Trustees’ fees payable | 1,763 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 851,987 | |||
|
| |||
NET ASSETS | $ | 857,781,094 | ||
|
| |||
Net assets were comprised of: | $ | 857,781,094 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $792,168,929 / 79,214,133 outstanding shares of beneficial interest | $ | 10.00 | ||
|
| |||
Class III: | ||||
Net asset value and redemption price per share, $65,612,165 / 6,561,217 outstanding shares of beneficial interest | $ | 10.00 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) | ||||
Interest income | $ | 3,222,449 | ||
|
| |||
EXPENSES | ||||
Management fee | 2,063,282 | |||
Distribution fee—Class III | 52,911 | |||
Shareholders’ reports | 98,546 | |||
Custodian and accounting fees | 80,329 | |||
Legal fees and expenses | 28,298 | |||
Audit fee | 25,736 | |||
Trustees’ fees | 18,400 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,681 | |||
Miscellaneous | 16,046 | |||
|
| |||
Total expenses | 2,394,229 | |||
Less: Fee waivers and/or expense reimbursement | (883,604 | ) | ||
Less: Distribution fee waiver—Class III | (52,911 | ) | ||
|
| |||
Net expenses | 1,457,714 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 1,764,735 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions | 27,206 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,791,941 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,764,735 | $ | 10,597,982 | ||||
Net realized gain (loss) on investment transactions | 27,206 | 59,675 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,791,941 | 10,657,657 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | ||||||||
Class I | (1,791,854 | ) | (10,650,252 | ) | ||||
Class III | (87 | ) | — | |||||
|
|
|
| |||||
(1,791,941 | ) | (10,650,252 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 850,786,598 | 518,391,129 | ||||||
Portfolio shares issued in reinvestment of distributions | 1,791,941 | 10,650,252 | ||||||
Portfolio shares purchased | (594,349,211 | ) | (465,881,208 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 258,229,328 | 63,160,173 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 258,229,328 | 63,167,578 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 599,551,766 | 536,384,188 | ||||||
|
|
|
| |||||
End of year | $ | 857,781,094 | $ | 599,551,766 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A124
STOCK INDEX PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 97.8% | ||||||||
COMMON STOCKS — 97.4% | ||||||||
Aerospace & Defense — 1.6% | ||||||||
Boeing Co. (The) | 91,836 | $ | 19,658,414 | |||||
General Dynamics Corp. | 40,200 | 5,982,564 | ||||||
Howmet Aerospace, Inc. | 67,292 | 1,920,514 | ||||||
Huntington Ingalls Industries, Inc. | 7,000 | 1,193,360 | ||||||
L3Harris Technologies, Inc. | 36,380 | 6,876,548 | ||||||
Lockheed Martin Corp. | 42,658 | 15,142,737 | ||||||
Northrop Grumman Corp. | 26,826 | 8,174,419 | ||||||
Raytheon Technologies Corp. | 262,548 | 18,774,807 | ||||||
Teledyne Technologies, Inc.* | 6,500 | 2,547,870 | ||||||
Textron, Inc. | 40,050 | 1,935,616 | ||||||
TransDigm Group, Inc.* | 9,430 | 5,835,755 | ||||||
|
| |||||||
88,042,604 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
C.H. Robinson Worldwide, Inc. | 23,600 | 2,215,332 | ||||||
Expeditors International of Washington, Inc. | 29,500 | 2,805,745 | ||||||
FedEx Corp. | 41,840 | 10,862,501 | ||||||
United Parcel Service, Inc. (Class B Stock) | 123,700 | 20,831,080 | ||||||
|
| |||||||
36,714,658 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
Alaska Air Group, Inc. | 22,000 | 1,144,000 | ||||||
American Airlines Group, Inc.(a) | 100,800 | 1,589,616 | ||||||
Delta Air Lines, Inc. | 110,900 | 4,459,289 | ||||||
Southwest Airlines Co. | 102,037 | 4,755,944 | ||||||
United Airlines Holdings, Inc.* | 50,600 | 2,188,450 | ||||||
|
| |||||||
14,137,299 | ||||||||
|
| |||||||
Auto Components — 0.1% | ||||||||
Aptiv PLC | 46,700 | 6,084,543 | ||||||
BorgWarner, Inc. | 41,900 | 1,619,016 | ||||||
|
| |||||||
7,703,559 | ||||||||
|
| |||||||
Automobiles — 1.9% | ||||||||
Ford Motor Co. | 675,559 | 5,938,164 | ||||||
General Motors Co. | 217,800 | 9,069,192 | ||||||
Tesla, Inc.*(a) | 130,700 | 92,231,069 | ||||||
|
| |||||||
107,238,425 | ||||||||
|
| |||||||
Banks — 3.8% | ||||||||
Bank of America Corp. | 1,316,182 | 39,893,476 | ||||||
Citigroup, Inc. | 359,922 | 22,192,791 | ||||||
Citizens Financial Group, Inc. | 73,700 | 2,635,512 | ||||||
Comerica, Inc. | 24,550 | 1,371,363 | ||||||
Fifth Third Bancorp | 123,749 | 3,411,760 | ||||||
First Republic Bank | 30,100 | 4,422,593 | ||||||
Huntington Bancshares, Inc. | 173,775 | 2,194,778 | ||||||
JPMorgan Chase & Co. | 526,995 | 66,965,255 | ||||||
KeyCorp | 168,000 | 2,756,880 | ||||||
M&T Bank Corp. | 22,200 | 2,826,060 | ||||||
People’s United Financial, Inc. | 73,100 | 945,183 | ||||||
PNC Financial Services Group, Inc. (The) | 73,293 | 10,920,657 | ||||||
Regions Financial Corp. | 164,312 | 2,648,709 | ||||||
SVB Financial Group* | 9,100 | 3,529,253 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Banks (cont’d.) | ||||||||
Truist Financial Corp. | 233,126 | $ | 11,173,729 | |||||
U.S. Bancorp | 236,981 | 11,040,945 | ||||||
Wells Fargo & Co. | 714,776 | 21,571,940 | ||||||
Zions Bancorp NA | 28,300 | 1,229,352 | ||||||
|
| |||||||
211,730,236 | ||||||||
|
| |||||||
Beverages — 1.6% | ||||||||
Brown-Forman Corp. (Class B Stock) | 32,025 | 2,543,746 | ||||||
Coca-Cola Co. (The) | 668,650 | 36,668,766 | ||||||
Constellation Brands, Inc. (Class A Stock) | 29,400 | 6,440,070 | ||||||
Molson Coors Beverage Co. (Class B Stock) | 33,200 | 1,500,308 | ||||||
Monster Beverage Corp.* | 63,900 | 5,909,472 | ||||||
PepsiCo, Inc. | 238,994 | 35,442,810 | ||||||
|
| |||||||
88,505,172 | ||||||||
|
| |||||||
Biotechnology — 1.8% | ||||||||
AbbVie, Inc. | 305,289 | 32,711,716 | ||||||
Alexion Pharmaceuticals, Inc.* | 37,900 | 5,921,496 | ||||||
Amgen, Inc. | 100,694 | 23,151,564 | ||||||
Biogen, Inc.* | 26,615 | 6,516,949 | ||||||
Gilead Sciences, Inc. | 216,700 | 12,624,942 | ||||||
Incyte Corp.* | 32,200 | 2,800,756 | ||||||
Regeneron Pharmaceuticals, Inc.* | 18,310 | 8,845,744 | ||||||
Vertex Pharmaceuticals, Inc.* | 45,040 | 10,644,754 | ||||||
|
| |||||||
103,217,921 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
A.O. Smith Corp. | 23,800 | 1,304,716 | ||||||
Allegion PLC | 15,933 | 1,854,282 | ||||||
Carrier Global Corp. | 140,867 | 5,313,503 | ||||||
Fortune Brands Home & Security, Inc. | 24,400 | 2,091,568 | ||||||
Johnson Controls International PLC | 125,215 | 5,833,767 | ||||||
Masco Corp. | 45,130 | 2,478,991 | ||||||
Trane Technologies PLC | 41,800 | 6,067,688 | ||||||
|
| |||||||
24,944,515 | ||||||||
|
| |||||||
Capital Markets — 2.7% | ||||||||
Ameriprise Financial, Inc. | 20,450 | 3,974,049 | ||||||
Bank of New York Mellon Corp. (The) | 140,849 | 5,977,632 | ||||||
BlackRock, Inc. | 24,540 | 17,706,592 | ||||||
Cboe Global Markets, Inc. | 18,600 | 1,732,032 | ||||||
Charles Schwab Corp. (The) | 257,900 | 13,679,016 | ||||||
CME Group, Inc. | 62,110 | 11,307,125 | ||||||
Franklin Resources, Inc.(a) | 47,100 | 1,177,029 | ||||||
Goldman Sachs Group, Inc. (The) | 59,520 | 15,696,019 | ||||||
Intercontinental Exchange, Inc. | 97,090 | 11,193,506 | ||||||
Invesco Ltd. | 62,700 | 1,092,861 | ||||||
MarketAxess Holdings, Inc. | 6,600 | 3,765,696 | ||||||
Moody’s Corp. | 27,920 | 8,103,501 | ||||||
Morgan Stanley | 247,178 | 16,939,108 | ||||||
MSCI, Inc. | 14,400 | 6,430,032 | ||||||
Nasdaq, Inc. | 19,900 | 2,641,526 | ||||||
Northern Trust Corp. | 36,000 | 3,353,040 | ||||||
Raymond James Financial, Inc. | 21,500 | 2,056,905 | ||||||
S&P Global, Inc. | 41,680 | 13,701,466 | ||||||
State Street Corp. | 60,975 | 4,437,760 |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Capital Markets (cont’d.) | ||||||||
T. Rowe Price Group, Inc. | 39,200 | $ | 5,934,488 | |||||
|
| |||||||
150,899,383 | ||||||||
|
| |||||||
Chemicals — 1.8% |
| |||||||
Air Products & Chemicals, Inc. | 38,300 | 10,464,326 | ||||||
Albemarle Corp. | 18,600 | 2,743,872 | ||||||
Celanese Corp. | 20,200 | 2,624,788 | ||||||
CF Industries Holdings, Inc. | 37,700 | 1,459,367 | ||||||
Corteva, Inc. | 128,856 | 4,989,304 | ||||||
Dow, Inc. | 128,222 | 7,116,321 | ||||||
DuPont de Nemours, Inc.(a) | 126,856 | �� | 9,020,730 | |||||
Eastman Chemical Co. | 23,800 | 2,386,664 | ||||||
Ecolab, Inc. | 43,000 | 9,303,480 | ||||||
FMC Corp. | 22,650 | 2,603,165 | ||||||
International Flavors & Fragrances, | 18,740 | 2,039,662 | ||||||
Linde PLC (United Kingdom) | 90,800 | 23,926,708 | ||||||
LyondellBasell Industries NV (Class A Stock) | 44,500 | 4,078,870 | ||||||
Mosaic Co. (The) | 58,100 | 1,336,881 | ||||||
PPG Industries, Inc. | 40,900 | 5,898,598 | ||||||
Sherwin-Williams Co. (The) | 14,200 | 10,435,722 | ||||||
|
| |||||||
100,428,458 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Cintas Corp. | 15,200 | 5,372,592 | ||||||
Copart, Inc.* | 35,900 | 4,568,275 | ||||||
Republic Services, Inc. | 36,835 | 3,547,210 | ||||||
Rollins, Inc. | 38,425 | 1,501,265 | ||||||
Waste Management, Inc. | 67,230 | 7,928,434 | ||||||
|
| |||||||
22,917,776 | ||||||||
|
| |||||||
Communications Equipment — 0.8% | ||||||||
Arista Networks, Inc.* | 9,600 | 2,789,472 | ||||||
Cisco Systems, Inc. | 730,575 | 32,693,231 | ||||||
F5 Networks, Inc.* | 10,700 | 1,882,558 | ||||||
Juniper Networks, Inc. | 57,400 | 1,292,074 | ||||||
Motorola Solutions, Inc. | 29,327 | 4,987,350 | ||||||
|
| |||||||
43,644,685 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
Jacobs Engineering Group, Inc. | 22,400 | 2,440,704 | ||||||
Quanta Services, Inc. | 24,300 | 1,750,086 | ||||||
|
| |||||||
4,190,790 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
Martin Marietta Materials, Inc. | 10,800 | 3,066,876 | ||||||
Vulcan Materials Co. | 22,900 | 3,396,299 | ||||||
|
| |||||||
6,463,175 | ||||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
American Express Co. | 112,800 | 13,638,648 | ||||||
Capital One Financial Corp. | 79,069 | 7,815,971 | ||||||
Discover Financial Services | 53,005 | 4,798,543 | ||||||
Synchrony Financial | 93,730 | 3,253,368 | ||||||
|
| |||||||
29,506,530 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Containers & Packaging — 0.3% | ||||||||
Amcor PLC | 269,800 | $ | 3,175,546 | |||||
Avery Dennison Corp. | 14,500 | 2,249,095 | ||||||
Ball Corp. | 56,500 | 5,264,670 | ||||||
International Paper Co. | 67,967 | 3,379,319 | ||||||
Packaging Corp. of America | 16,700 | 2,303,097 | ||||||
Sealed Air Corp. | 27,320 | 1,250,983 | ||||||
Westrock Co. | 45,261 | 1,970,211 | ||||||
|
| |||||||
19,592,921 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 25,425 | 2,553,433 | ||||||
LKQ Corp.* | 47,900 | 1,687,996 | ||||||
Pool Corp. | 7,100 | 2,644,750 | ||||||
|
| |||||||
6,886,179 | ||||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
Berkshire Hathaway, Inc. | 336,460 | 78,014,980 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
AT&T, Inc. | 1,231,971 | 35,431,486 | ||||||
CenturyLink, Inc.(a) | 167,243 | 1,630,619 | ||||||
Verizon Communications, Inc. | 715,438 | 42,031,983 | ||||||
|
| |||||||
79,094,088 | ||||||||
|
| |||||||
Electric Utilities — 1.7% |
| |||||||
Alliant Energy Corp. | 43,700 | 2,251,861 | ||||||
American Electric Power Co., Inc. | 85,840 | 7,147,897 | ||||||
Duke Energy Corp. | 127,248 | 11,650,827 | ||||||
Edison International | 66,000 | 4,146,120 | ||||||
Entergy Corp. | 35,000 | 3,494,400 | ||||||
Evergy, Inc. | 39,700 | 2,203,747 | ||||||
Eversource Energy | 59,600 | 5,155,996 | ||||||
Exelon Corp. | 168,673 | 7,121,374 | ||||||
FirstEnergy Corp. | 93,080 | 2,849,179 | ||||||
NextEra Energy, Inc. | 338,700 | 26,130,705 | ||||||
NRG Energy, Inc. | 43,000 | 1,614,650 | ||||||
Pinnacle West Capital Corp. | 19,600 | 1,567,020 | ||||||
PPL Corp. | 132,900 | 3,747,780 | ||||||
Southern Co. (The) | 182,600 | 11,217,118 | ||||||
Xcel Energy, Inc. | 90,895 | 6,059,969 | ||||||
|
| |||||||
96,358,643 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
AMETEK, Inc. | 40,200 | 4,861,788 | ||||||
Eaton Corp. PLC | 68,961 | 8,284,975 | ||||||
Emerson Electric Co. | 103,400 | 8,310,258 | ||||||
Rockwell Automation, Inc. | 20,120 | 5,046,297 | ||||||
|
| |||||||
26,503,318 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
Amphenol Corp. (Class A Stock) | 51,800 | 6,773,886 | ||||||
CDW Corp. | 24,800 | 3,268,392 | ||||||
Corning, Inc. | 131,700 | 4,741,200 | ||||||
FLIR Systems, Inc. | 22,700 | 994,941 | ||||||
IPG Photonics Corp.* | 6,300 | 1,409,877 | ||||||
Keysight Technologies, Inc.* | 32,100 | 4,240,089 | ||||||
TE Connectivity Ltd. | 57,200 | 6,925,204 | ||||||
Vontier Corp.* | 23,040 | 769,536 |
SEE NOTES TO FINANCIAL STATEMENTS.
A126
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Electronic Equipment, Instruments & Components (cont’d.) |
| |||||||
Zebra Technologies Corp. (Class A Stock)* | 9,300 | $ | 3,574,269 | |||||
|
| |||||||
32,697,394 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
Baker Hughes Co.(a) | 118,448 | 2,469,641 | ||||||
Halliburton Co. | 152,900 | 2,889,810 | ||||||
National Oilwell Varco, Inc. | 67,100 | 921,283 | ||||||
Schlumberger NV | 240,398 | 5,247,888 | ||||||
TechnipFMC PLC (United Kingdom) | 71,400 | 671,160 | ||||||
|
| |||||||
12,199,782 | ||||||||
|
| |||||||
Entertainment — 2.2% |
| |||||||
Activision Blizzard, Inc. | 133,700 | 12,414,045 | ||||||
Electronic Arts, Inc. | 50,500 | 7,251,800 | ||||||
Live Nation Entertainment, Inc.* | 24,800 | 1,822,304 | ||||||
Netflix, Inc.* | 76,450 | 41,338,808 | ||||||
Take-Two Interactive Software, Inc.* | 20,000 | 4,155,800 | ||||||
Walt Disney Co. (The)* | 313,072 | 56,722,385 | ||||||
|
| |||||||
123,705,142 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.3% |
| |||||||
Alexandria Real Estate Equities, Inc. | 21,280 | 3,792,522 | ||||||
American Tower Corp. | 76,800 | 17,238,528 | ||||||
AvalonBay Communities, Inc. | 24,118 | 3,869,251 | ||||||
Boston Properties, Inc. | 24,600 | 2,325,438 | ||||||
Crown Castle International Corp. | 74,600 | 11,875,574 | ||||||
Digital Realty Trust, Inc. | 48,500 | 6,766,235 | ||||||
Duke Realty Corp. | 64,500 | 2,578,065 | ||||||
Equinix, Inc. | 15,495 | 11,066,219 | ||||||
Equity Residential | 59,200 | 3,509,376 | ||||||
Essex Property Trust, Inc. | 11,270 | 2,675,723 | ||||||
Extra Space Storage, Inc. | 22,300 | 2,583,678 | ||||||
Federal Realty Investment Trust | 12,400 | 1,055,488 | ||||||
Healthpeak Properties, Inc. | 93,200 | 2,817,436 | ||||||
Host Hotels & Resorts, Inc. | 119,326 | 1,745,739 | ||||||
Iron Mountain, Inc.(a) | 49,130 | 1,448,352 | ||||||
Kimco Realty Corp. | 74,500 | 1,118,245 | ||||||
Mid-America Apartment Communities, Inc. | 20,100 | 2,546,469 | ||||||
Prologis, Inc. | 127,828 | 12,739,339 | ||||||
Public Storage | 26,350 | 6,085,006 | ||||||
Realty Income Corp. | 60,000 | 3,730,200 | ||||||
Regency Centers Corp. | 27,800 | 1,267,402 | ||||||
SBA Communications Corp. | 19,230 | 5,425,360 | ||||||
Simon Property Group, Inc. | 56,661 | 4,832,050 | ||||||
SL Green Realty Corp.(a) | 12,900 | 768,582 | ||||||
UDR, Inc. | 51,400 | 1,975,302 | ||||||
Ventas, Inc. | 65,404 | 3,207,412 | ||||||
Vornado Realty Trust | 26,757 | 999,106 | ||||||
Welltower, Inc. | 71,900 | 4,646,178 | ||||||
Weyerhaeuser Co. | 129,030 | 4,326,376 | ||||||
|
| |||||||
129,014,651 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.4% |
| |||||||
Costco Wholesale Corp. | 76,292 | 28,745,300 | ||||||
Kroger Co. (The) | 133,700 | 4,246,312 | ||||||
Sysco Corp. | 88,000 | 6,534,880 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Food & Staples Retailing (cont’d.) |
| |||||||
Walgreens Boots Alliance, Inc. | 124,300 | $ | 4,957,084 | |||||
Walmart, Inc. | 239,700 | 34,552,755 | ||||||
|
| |||||||
79,036,331 | ||||||||
|
| |||||||
Food Products — 1.0% | ||||||||
Archer-Daniels-Midland Co. | 96,938 | 4,886,645 | ||||||
Campbell Soup Co.(a) | 34,700 | 1,677,745 | ||||||
Conagra Brands, Inc. | 84,000 | 3,045,840 | ||||||
General Mills, Inc. | 105,700 | 6,215,160 | ||||||
Hershey Co. (The) | 25,500 | 3,884,415 | ||||||
Hormel Foods Corp.(a) | 48,800 | 2,274,568 | ||||||
J.M. Smucker Co. (The) | 20,100 | 2,323,560 | ||||||
Kellogg Co. | 43,700 | 2,719,451 | ||||||
Kraft Heinz Co. (The) | 112,037 | 3,883,202 | ||||||
Lamb Weston Holdings, Inc. | 25,700 | 2,023,618 | ||||||
McCormick & Co., Inc. | 43,400 | 4,149,040 | ||||||
Mondelez International, Inc. (Class A Stock) | 247,311 | 14,460,274 | ||||||
Tyson Foods, Inc. (Class A Stock) | 50,900 | 3,279,996 | ||||||
|
| |||||||
54,823,514 | ||||||||
|
| |||||||
Gas Utilities — 0.0% |
| |||||||
Atmos Energy Corp. | 21,800 | 2,080,374 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.7% |
| |||||||
Abbott Laboratories | 306,825 | 33,594,269 | ||||||
ABIOMED, Inc.* | 8,000 | 2,593,600 | ||||||
Align Technology, Inc.* | 12,500 | 6,679,750 | ||||||
Baxter International, Inc. | 88,500 | 7,101,240 | ||||||
Becton, Dickinson & Co. | 50,149 | 12,548,283 | ||||||
Boston Scientific Corp.* | 247,599 | 8,901,184 | ||||||
Cooper Cos., Inc. (The) | 8,630 | 3,135,452 | ||||||
Danaher Corp. | 109,300 | 24,279,902 | ||||||
Dentsply Sirona, Inc. | 38,200 | 2,000,152 | ||||||
DexCom, Inc.* | 16,600 | 6,137,352 | ||||||
Edwards Lifesciences Corp.* | 107,750 | 9,830,032 | ||||||
Hologic, Inc.* | 44,500 | 3,240,935 | ||||||
IDEXX Laboratories, Inc.* | 14,800 | 7,398,076 | ||||||
Intuitive Surgical, Inc.* | 20,350 | 16,648,335 | ||||||
Medtronic PLC | 232,728 | 27,261,758 | ||||||
ResMed, Inc. | 25,100 | 5,335,256 | ||||||
STERIS PLC | 14,900 | 2,824,146 | ||||||
Stryker Corp. | 56,570 | 13,861,913 | ||||||
Teleflex, Inc. | 8,200 | 3,374,874 | ||||||
Varian Medical Systems, Inc.* | 15,800 | 2,765,158 | ||||||
West Pharmaceutical Services, Inc. | 12,800 | 3,626,368 | ||||||
Zimmer Biomet Holdings, Inc. | 35,886 | 5,529,674 | ||||||
|
| |||||||
208,667,709 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% |
| |||||||
AmerisourceBergen Corp. | 25,900 | 2,531,984 | ||||||
Anthem, Inc. | 43,000 | 13,806,870 | ||||||
Cardinal Health, Inc. | 50,475 | 2,703,441 | ||||||
Centene Corp.* | 100,268 | 6,019,088 | ||||||
Cigna Corp. | 62,452 | 13,001,257 | ||||||
CVS Health Corp. | 226,299 | 15,456,222 | ||||||
DaVita, Inc.* | 13,200 | 1,549,680 | ||||||
HCA Healthcare, Inc. | 45,700 | 7,515,822 | ||||||
Henry Schein, Inc.* | 25,200 | 1,684,872 |
SEE NOTES TO FINANCIAL STATEMENTS.
A127
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Health Care Providers & Services (cont’d.) |
| |||||||
Humana, Inc. | 22,900 | $ | 9,395,183 | |||||
Laboratory Corp. of America Holdings* | 17,100 | 3,480,705 | ||||||
McKesson Corp. | 27,807 | 4,836,194 | ||||||
Quest Diagnostics, Inc. | 23,300 | 2,776,661 | ||||||
UnitedHealth Group, Inc. | 164,130 | 57,557,108 | ||||||
Universal Health Services, Inc. (Class B Stock) | 13,700 | 1,883,750 | ||||||
|
| |||||||
144,198,837 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp. | 53,000 | 4,159,440 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
Carnival Corp. | 124,500 | 2,696,670 | ||||||
Chipotle Mexican Grill, Inc.* | 4,840 | 6,711,676 | ||||||
Darden Restaurants, Inc. | 22,650 | 2,698,068 | ||||||
Domino’s Pizza, Inc. | 7,000 | 2,684,220 | ||||||
Hilton Worldwide Holdings, Inc. | 48,000 | 5,340,480 | ||||||
Las Vegas Sands Corp. | 56,800 | 3,385,280 | ||||||
Marriott International, Inc. (Class A Stock) | 46,023 | 6,071,354 | ||||||
McDonald’s Corp. | 128,910 | 27,661,508 | ||||||
MGM Resorts International | 71,500 | 2,252,965 | ||||||
Norwegian Cruise Line Holdings | 51,500 | 1,309,645 | ||||||
Royal Caribbean Cruises Ltd. | 32,200 | 2,405,018 | ||||||
Starbucks Corp. | 203,000 | 21,716,940 | ||||||
Wynn Resorts Ltd. | 17,000 | 1,918,110 | ||||||
Yum! Brands, Inc. | 52,200 | 5,666,832 | ||||||
|
| |||||||
92,518,766 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
D.R. Horton, Inc. | 57,800 | 3,983,576 | ||||||
Garmin Ltd. | 25,900 | 3,099,194 | ||||||
Leggett & Platt, Inc. | 22,600 | 1,001,180 | ||||||
Lennar Corp. (Class A Stock) | 47,600 | 3,628,548 | ||||||
Mohawk Industries, Inc.* | 10,400 | 1,465,880 | ||||||
Newell Brands, Inc. | 63,649 | 1,351,268 | ||||||
NVR, Inc.* | 610 | 2,488,715 | ||||||
PulteGroup, Inc. | 46,885 | 2,021,681 | ||||||
Whirlpool Corp.(a) | 10,967 | 1,979,434 | ||||||
|
| |||||||
21,019,476 | ||||||||
|
| |||||||
Household Products — 1.6% |
| |||||||
Church & Dwight Co., Inc. | 43,100 | 3,759,613 | ||||||
Clorox Co. (The)(a) | 21,800 | 4,401,856 | ||||||
Colgate-Palmolive Co. | 148,200 | 12,672,582 | ||||||
Kimberly-Clark Corp. | 58,888 | 7,939,869 | ||||||
Procter & Gamble Co. (The) | 428,776 | 59,659,893 | ||||||
|
| |||||||
88,433,813 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.0% |
| |||||||
AES Corp. (The) | 114,500 | 2,690,750 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
3M Co. | 99,770 | 17,438,798 | ||||||
General Electric Co. | 1,514,447 | 16,356,028 | ||||||
Honeywell International, Inc. | 121,400 | 25,821,780 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Industrial Conglomerates (cont’d.) |
| |||||||
Roper Technologies, Inc. | 18,300 | $ | 7,888,947 | |||||
|
| |||||||
67,505,553 | ||||||||
|
| |||||||
Insurance — 1.7% |
| |||||||
Aflac, Inc. | 113,000 | 5,025,110 | ||||||
Allstate Corp. (The) | 52,628 | 5,785,396 | ||||||
American International Group, Inc. | 148,929 | 5,638,452 | ||||||
Aon PLC (Class A Stock)(a) | 39,525 | 8,350,447 | ||||||
Arthur J. Gallagher & Co. | 33,300 | 4,119,543 | ||||||
Assurant, Inc. | 10,300 | 1,403,066 | ||||||
Chubb Ltd. | 78,030 | 12,010,378 | ||||||
Cincinnati Financial Corp. | 26,028 | 2,274,066 | ||||||
Everest Re Group Ltd. | 6,900 | 1,615,221 | ||||||
Globe Life, Inc. | 16,675 | 1,583,458 | ||||||
Hartford Financial Services Group, Inc. (The) | 62,000 | 3,036,760 | ||||||
Lincoln National Corp. | 31,963 | 1,608,059 | ||||||
Loews Corp. | 40,226 | 1,810,974 | ||||||
Marsh & McLennan Cos., Inc. | 87,700 | 10,260,900 | ||||||
MetLife, Inc. | 132,280 | 6,210,546 | ||||||
Principal Financial Group, Inc. | 44,500 | 2,207,645 | ||||||
Progressive Corp. (The) | 101,300 | 10,016,544 | ||||||
Travelers Cos., Inc. (The) | 43,798 | 6,147,925 | ||||||
Unum Group | 34,756 | 797,303 | ||||||
W.R. Berkley Corp. | 24,600 | 1,633,932 | ||||||
Willis Towers Watson PLC | 22,500 | 4,740,300 | ||||||
|
| |||||||
96,276,025 | ||||||||
|
| |||||||
Interactive Media & Services — 5.3% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 51,999 | 91,135,528 | ||||||
Alphabet, Inc. (Class C Stock)* | 50,240 | 88,014,451 | ||||||
Facebook, Inc. (Class A Stock)* | 415,620 | 113,530,759 | ||||||
Twitter, Inc.* | 137,300 | 7,434,795 | ||||||
|
| |||||||
300,115,533 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.8% |
| |||||||
Amazon.com, Inc.* | 73,740 | 240,166,018 | ||||||
Booking Holdings, Inc.* | 7,130 | 15,880,435 | ||||||
eBay, Inc. | 113,200 | 5,688,300 | ||||||
Etsy, Inc.* | 21,500 | 3,825,065 | ||||||
Expedia Group, Inc. | 23,900 | 3,164,360 | ||||||
|
| |||||||
268,724,178 | ||||||||
|
| |||||||
IT Services — 5.4% |
| |||||||
Accenture PLC (Class A Stock) | 109,600 | 28,628,616 | ||||||
Akamai Technologies, Inc.*(a) | 28,500 | 2,992,215 | ||||||
Automatic Data Processing, Inc. | 74,160 | 13,066,992 | ||||||
Broadridge Financial Solutions, Inc. | 20,100 | 3,079,320 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 92,500 | 7,580,375 | ||||||
DXC Technology Co. | 42,750 | 1,100,813 | ||||||
Fidelity National Information Services, Inc. | 107,300 | 15,178,658 | ||||||
Fiserv, Inc.* | 97,400 | 11,089,964 | ||||||
FleetCor Technologies, Inc.* | 14,500 | 3,956,035 | ||||||
Gartner, Inc.* | 15,700 | 2,514,983 | ||||||
Global Payments, Inc. | 51,763 | 11,150,785 | ||||||
International Business Machines Corp. | 154,125 | 19,401,255 |
SEE NOTES TO FINANCIAL STATEMENTS.
A128
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
IT Services (cont’d.) |
| |||||||
Jack Henry & Associates, Inc. | 13,500 | $ | 2,186,865 | |||||
Leidos Holdings, Inc. | 23,400 | 2,459,808 | ||||||
Mastercard, Inc. (Class A Stock) | 152,100 | 54,290,574 | ||||||
Paychex, Inc. | 55,350 | 5,157,513 | ||||||
PayPal Holdings, Inc.* | 202,600 | 47,448,920 | ||||||
VeriSign, Inc.* | 17,400 | 3,765,360 | ||||||
Visa, Inc. (Class A Stock)(a) | 293,200 | 64,131,636 | ||||||
Western Union Co. (The) | 70,104 | 1,538,082 | ||||||
|
| |||||||
300,718,769 | ||||||||
|
| |||||||
Leisure Products — 0.0% |
| |||||||
Hasbro, Inc. | 22,350 | 2,090,619 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
Agilent Technologies, Inc. | 52,982 | 6,277,837 | ||||||
Bio-Rad Laboratories, Inc. (Class A Stock)* | 3,800 | 2,215,172 | ||||||
Illumina, Inc.* | 25,260 | 9,346,200 | ||||||
IQVIA Holdings, Inc.* | 33,200 | 5,948,444 | ||||||
Mettler-Toledo International, Inc.* | 4,120 | 4,695,482 | ||||||
PerkinElmer, Inc. | 19,400 | 2,783,900 | ||||||
Thermo Fisher Scientific, Inc. | 68,600 | 31,952,508 | ||||||
Waters Corp.* | 10,800 | 2,672,136 | ||||||
|
| |||||||
65,891,679 | ||||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
Caterpillar, Inc. | 94,000 | 17,109,880 | ||||||
Cummins, Inc. | 25,600 | 5,813,760 | ||||||
Deere & Co. | 54,250 | 14,595,962 | ||||||
Dover Corp. | 25,100 | 3,168,875 | ||||||
Flowserve Corp. | 22,000 | 810,700 | ||||||
Fortive Corp. | 58,400 | 4,135,888 | ||||||
IDEX Corp. | 13,100 | 2,609,520 | ||||||
Illinois Tool Works, Inc. | 49,875 | 10,168,515 | ||||||
Ingersoll Rand, Inc.* | 64,237 | 2,926,638 | ||||||
Otis Worldwide Corp. | 70,383 | 4,754,372 | ||||||
PACCAR, Inc. | 59,928 | 5,170,588 | ||||||
Parker-Hannifin Corp. | 22,287 | 6,071,202 | ||||||
Pentair PLC | 28,907 | 1,534,673 | ||||||
Snap-on, Inc. | 9,600 | 1,642,944 | ||||||
Stanley Black & Decker, Inc. | 27,935 | 4,988,073 | ||||||
Westinghouse Air Brake Technologies Corp. | 31,112 | 2,277,398 | ||||||
Xylem, Inc. | 31,200 | 3,175,848 | ||||||
|
| |||||||
90,954,836 | ||||||||
|
| |||||||
Media — 1.3% |
| |||||||
Charter Communications, Inc. (Class A Stock)* | 25,240 | 16,697,522 | ||||||
Comcast Corp. (Class A Stock) | 789,392 | 41,364,141 | ||||||
Discovery, Inc. (Class A Stock)*(a) | 28,000 | 842,520 | ||||||
Discovery, Inc. (Class C Stock)*(a) | 51,800 | 1,356,642 | ||||||
DISH Network Corp. (Class A Stock)* | 43,175 | 1,396,280 | ||||||
Fox Corp. (Class A Stock)(a) | 58,366 | 1,699,618 | ||||||
Fox Corp. (Class B Stock) | 27,566 | 796,106 | ||||||
Interpublic Group of Cos., Inc. (The) | 66,362 | 1,560,834 | ||||||
News Corp. (Class A Stock) | 67,925 | 1,220,612 | ||||||
News Corp. (Class B Stock) | 19,200 | 341,184 | ||||||
Omnicom Group, Inc. | 37,300 | 2,326,401 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Media (cont’d.) |
| |||||||
ViacomCBS, Inc. (Class B Stock)(a) | 97,166 | $ | 3,620,405 | |||||
|
| |||||||
73,222,265 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
Freeport-McMoRan, Inc. | 251,712 | 6,549,546 | ||||||
Newmont Corp. | 138,903 | 8,318,901 | ||||||
Nucor Corp. | 52,800 | 2,808,432 | ||||||
|
| |||||||
17,676,879 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Dollar General Corp. | 42,400 | 8,916,720 | ||||||
Dollar Tree, Inc.* | 40,747 | 4,402,306 | ||||||
Target Corp. | 86,668 | 15,299,502 | ||||||
|
| |||||||
28,618,528 | ||||||||
|
| |||||||
Multi-Utilities — 0.8% |
| |||||||
Ameren Corp. | 43,200 | 3,372,192 | ||||||
CenterPoint Energy, Inc.(a) | 92,310 | 1,997,589 | ||||||
CMS Energy Corp. | 49,800 | 3,038,298 | ||||||
Consolidated Edison, Inc. | 59,200 | 4,278,384 | ||||||
Dominion Energy, Inc. | 141,040 | 10,606,208 | ||||||
DTE Energy Co. | 33,700 | 4,091,517 | ||||||
NiSource, Inc. | 65,500 | 1,502,570 | ||||||
Public Service Enterprise Group, Inc. | 87,500 | 5,101,250 | ||||||
Sempra Energy | 49,954 | 6,364,639 | ||||||
WEC Energy Group, Inc. | 54,576 | 5,022,629 | ||||||
|
| |||||||
45,375,276 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.0% |
| |||||||
Apache Corp. | 62,650 | 889,003 | ||||||
Cabot Oil & Gas Corp. | 67,600 | 1,100,528 | ||||||
Chevron Corp. | 332,859 | 28,109,943 | ||||||
Concho Resources, Inc. | 34,200 | 1,995,570 | ||||||
ConocoPhillips | 184,629 | 7,383,314 | ||||||
Devon Energy Corp. | 64,500 | 1,019,745 | ||||||
Diamondback Energy, Inc. | 27,600 | 1,335,840 | ||||||
EOG Resources, Inc. | 100,900 | 5,031,883 | ||||||
Exxon Mobil Corp. | 731,004 | 30,131,985 | ||||||
Hess Corp. | 47,775 | 2,522,042 | ||||||
HollyFrontier Corp. | 26,200 | 677,270 | ||||||
Kinder Morgan, Inc. | 334,143 | 4,567,735 | ||||||
Marathon Oil Corp. | 130,694 | 871,729 | ||||||
Marathon Petroleum Corp. | 112,487 | 4,652,462 | ||||||
Occidental Petroleum Corp. | 142,328 | 2,463,698 | ||||||
ONEOK, Inc. | 76,840 | 2,949,119 | ||||||
Phillips 66 | 75,564 | 5,284,946 | ||||||
Pioneer Natural Resources Co.(a) | 28,800 | 3,280,032 | ||||||
Valero Energy Corp. | 71,000 | 4,016,470 | ||||||
Williams Cos., Inc. (The) | 210,000 | 4,210,500 | ||||||
|
| |||||||
112,493,814 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 39,200 | 10,434,648 | ||||||
|
| |||||||
Pharmaceuticals — 3.8% |
| |||||||
Bristol-Myers Squibb Co. | 390,740 | 24,237,602 | ||||||
Catalent, Inc.* | 28,500 | 2,965,995 | ||||||
Eli Lilly & Co. | 137,300 | 23,181,732 |
SEE NOTES TO FINANCIAL STATEMENTS.
A129
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Pharmaceuticals (cont’d.) |
| |||||||
Johnson & Johnson | 455,196 | $ | 71,638,746 | |||||
Merck & Co., Inc. | 437,403 | 35,779,565 | ||||||
Perrigo Co. PLC(a) | 23,900 | 1,068,808 | ||||||
Pfizer, Inc. | 961,023 | 35,375,257 | ||||||
Viatris, Inc.* | 208,994 | 3,916,548 | ||||||
Zoetis, Inc. | 82,200 | 13,604,100 | ||||||
|
| |||||||
211,768,353 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
Equifax, Inc. | 21,100 | 4,068,924 | ||||||
IHS Markit Ltd. | 64,500 | 5,794,035 | ||||||
Nielsen Holdings PLC | 61,800 | 1,289,766 | ||||||
Robert Half International, Inc. | 20,200 | 1,262,096 | ||||||
Verisk Analytics, Inc. | 28,100 | 5,833,279 | ||||||
|
| |||||||
18,248,100 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 58,000 | 3,637,760 | ||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
CSX Corp. | 132,272 | 12,003,684 | ||||||
J.B. Hunt Transport Services, Inc. | 14,700 | 2,008,755 | ||||||
Kansas City Southern | 16,200 | 3,306,906 | ||||||
Norfolk Southern Corp. | 44,000 | 10,454,840 | ||||||
Old Dominion Freight Line, Inc. | 16,650 | 3,249,747 | ||||||
Union Pacific Corp. | 116,500 | 24,257,630 | ||||||
|
| |||||||
55,281,562 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Advanced Micro Devices, Inc.* | 206,900 | 18,974,799 | ||||||
Analog Devices, Inc. | 63,923 | 9,443,345 | ||||||
Applied Materials, Inc. | 158,500 | 13,678,550 | ||||||
Broadcom, Inc. | 70,020 | 30,658,257 | ||||||
Intel Corp. | 709,400 | 35,342,308 | ||||||
KLA Corp. | 26,700 | 6,912,897 | ||||||
Lam Research Corp. | 24,900 | 11,759,523 | ||||||
Maxim Integrated Products, Inc. | 46,700 | 4,139,955 | ||||||
Microchip Technology, Inc. | 45,000 | 6,214,950 | ||||||
Micron Technology, Inc.* | 192,500 | 14,472,150 | ||||||
NVIDIA Corp. | 107,090 | 55,922,398 | ||||||
Qorvo, Inc.* | 19,686 | 3,273,191 | ||||||
QUALCOMM, Inc. | 195,550 | 29,790,087 | ||||||
Skyworks Solutions, Inc. | 28,800 | 4,402,944 | ||||||
Teradyne, Inc. | 28,700 | 3,440,843 | ||||||
Texas Instruments, Inc. | 158,700 | 26,047,431 | ||||||
Xilinx, Inc. | 42,400 | 6,011,048 | ||||||
|
| |||||||
280,484,676 | ||||||||
|
| |||||||
Software — 8.4% |
| |||||||
Adobe, Inc.* | 82,975 | 41,497,457 | ||||||
ANSYS, Inc.* | 14,900 | 5,420,620 | ||||||
Autodesk, Inc.* | 38,070 | 11,624,294 | ||||||
Cadence Design Systems, Inc.* | 48,300 | 6,589,569 | ||||||
Citrix Systems, Inc. | 21,600 | 2,810,160 | ||||||
Fortinet, Inc.* | 23,300 | 3,460,749 | ||||||
Intuit, Inc. | 45,500 | 17,283,175 | ||||||
Microsoft Corp. | 1,307,180 | 290,742,976 | ||||||
NortonLifeLock, Inc. | 100,811 | 2,094,852 | ||||||
Oracle Corp. | 327,995 | 21,217,996 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Software (cont’d.) |
| |||||||
Paycom Software, Inc.* | 8,500 | $ | 3,844,125 | |||||
salesforce.com, Inc.* | 158,200 | 35,204,246 | ||||||
ServiceNow, Inc.* | 33,800 | 18,604,534 | ||||||
Synopsys, Inc.* | 26,400 | 6,843,936 | ||||||
Tyler Technologies, Inc.* | 7,100 | 3,099,292 | ||||||
|
| |||||||
470,337,981 | ||||||||
|
| |||||||
Specialty Retail — 2.2% |
| |||||||
Advance Auto Parts, Inc. | 11,760 | 1,852,318 | ||||||
AutoZone, Inc.* | 4,060 | 4,812,886 | ||||||
Best Buy Co., Inc. | 39,925 | 3,984,116 | ||||||
CarMax, Inc.*(a) | 28,500 | 2,692,110 | ||||||
Gap, Inc. (The) | 34,587 | 698,312 | ||||||
Home Depot, Inc. (The) | 186,169 | 49,450,210 | ||||||
L Brands, Inc. | 40,296 | 1,498,608 | ||||||
Lowe’s Cos., Inc. | 126,675 | 20,332,604 | ||||||
O’Reilly Automotive, Inc.* | 12,560 | 5,684,279 | ||||||
Ross Stores, Inc. | 61,600 | 7,565,096 | ||||||
Tiffany&Co. | 19,000 | 2,497,550 | ||||||
TJX Cos., Inc. (The) | 207,600 | 14,177,004 | ||||||
Tractor Supply Co. | 20,500 | 2,881,890 | ||||||
Ulta Beauty, Inc.* | 9,770 | 2,805,553 | ||||||
|
| |||||||
120,932,536 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.8% |
| |||||||
Apple, Inc. | 2,763,020 | 366,625,124 | ||||||
Hewlett Packard Enterprise Co. | 221,166 | 2,620,817 | ||||||
HP, Inc. | 237,466 | 5,839,289 | ||||||
NetApp, Inc. | 39,100 | 2,589,984 | ||||||
Seagate Technology PLC(a) | 38,500 | 2,393,160 | ||||||
Western Digital Corp. | 53,168 | 2,944,976 | ||||||
Xerox Holdings Corp. | 28,202 | 654,004 | ||||||
|
| |||||||
383,667,354 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Hanesbrands, Inc.(a) | 59,100 | 861,678 | ||||||
NIKE, Inc. (Class B Stock) | 217,000 | 30,698,990 | ||||||
PVH Corp. | 12,400 | 1,164,236 | ||||||
Ralph Lauren Corp. | 8,500 | 881,790 | ||||||
Tapestry, Inc. | 47,700 | 1,482,516 | ||||||
Under Armour, Inc. (Class A Stock)* | 30,400 | 521,968 | ||||||
Under Armour, Inc. (Class C Stock)* | 33,303 | 495,549 | ||||||
VF Corp. | 55,344 | 4,726,931 | ||||||
|
| |||||||
40,833,658 | ||||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
Altria Group, Inc. | 321,300 | 13,173,300 | ||||||
Philip Morris International, Inc. | 269,300 | 22,295,347 | ||||||
|
| |||||||
35,468,647 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. | 99,300 | 4,848,819 | ||||||
United Rentals, Inc.*(a) | 12,740 | 2,954,533 | ||||||
W.W. Grainger, Inc. | 7,820 | 3,193,219 | ||||||
|
| |||||||
10,996,571 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Works Co., Inc. | 31,400 | 4,818,958 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A130
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
T-Mobile US, Inc.* | 100,900 | $ | 13,606,365 | |||||
|
| |||||||
TOTAL COMMON STOCKS |
| 5,472,162,417 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.4% |
| |||||||
iShares Core S&P 500 ETF(a) | 52,400 | 19,670,436 | ||||||
SPDR S&P 500 ETF Trust | 14,000 | 5,234,320 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 24,904,756 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 5,497,067,173 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 6.0% |
| |||||||
AFFILIATED MUTUAL FUNDS — 5.8% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 110,777,275 | 110,777,275 | ||||||
PGIM Institutional Money Market Fund (cost $215,705,958; includes $215,681,439 of cash collateral for securities on loan)(b)(w) | 215,962,828 | 215,854,846 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 326,632,121 | ||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.2% |
| |||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.070% | 03/18/21 | 7,400 | 7,398,974 | |||||||||||||
|
| |||||||||||||||
(cost $7,398,906) | ||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 334,031,095 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 103.8% | 5,831,098,268 | |||||||||||||||
Liabilities in excess of other assets(z) — (3.8)% |
| (210,900,202 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 5,620,198,066 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the annual report.
* | Non-income producing security. |
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $212,441,332; cash collateral of $215,681,439 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Position: | ||||||||||||||
612 | S&P 500 E-Mini Index | Mar. 2021 | $114,713,280 | $ | 2,344,077 | |||||||||
|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
UBS Securities LLC | $ | — | $ | 7,398,974 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A131
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 88,042,604 | $ | — | $ | — | ||||||
Air Freight & Logistics | 36,714,658 | — | — | |||||||||
Airlines | 14,137,299 | — | — | |||||||||
Auto Components | 7,703,559 | — | — | |||||||||
Automobiles | 107,238,425 | — | — | |||||||||
Banks | 211,730,236 | — | — | |||||||||
Beverages | 88,505,172 | — | — | |||||||||
Biotechnology | 103,217,921 | — | — | |||||||||
Building Products | 24,944,515 | — | — | |||||||||
Capital Markets | 150,899,383 | — | — | |||||||||
Chemicals | 100,428,458 | — | — | |||||||||
Commercial Services & Supplies | 22,917,776 | — | — | |||||||||
Communications Equipment | 43,644,685 | — | — | |||||||||
Construction & Engineering | 4,190,790 | — | — | |||||||||
Construction Materials | 6,463,175 | — | — | |||||||||
Consumer Finance | 29,506,530 | — | — | |||||||||
Containers & Packaging | 19,592,921 | — | — | |||||||||
Distributors | 6,886,179 | — | — | |||||||||
Diversified Financial Services | 78,014,980 | — | — | |||||||||
Diversified Telecommunication Services | 79,094,088 | — | — | |||||||||
Electric Utilities | 96,358,643 | — | — | |||||||||
Electrical Equipment | 26,503,318 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 32,697,394 | — | — | |||||||||
Energy Equipment & Services | 12,199,782 | — | — | |||||||||
Entertainment | 123,705,142 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 129,014,651 | — | — | |||||||||
Food & Staples Retailing | 79,036,331 | — | — | |||||||||
Food Products | 54,823,514 | — | — | |||||||||
Gas Utilities | 2,080,374 | — | — | |||||||||
Health Care Equipment & Supplies | 208,667,709 | — | — | |||||||||
Health Care Providers & Services | 144,198,837 | — | — | |||||||||
Health Care Technology | 4,159,440 | — | — | |||||||||
Hotels, Restaurants & Leisure | 92,518,766 | — | — | |||||||||
Household Durables | 21,019,476 | — | — | |||||||||
Household Products | 88,433,813 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 2,690,750 | — | — | |||||||||
Industrial Conglomerates | 67,505,553 | — | — | |||||||||
Insurance | 96,276,025 | — | — | |||||||||
Interactive Media & Services | 300,115,533 | — | — | |||||||||
Internet & Direct Marketing Retail | 268,724,178 | — | — | |||||||||
IT Services | 300,718,769 | — | — | |||||||||
Leisure Products | 2,090,619 | — | — | |||||||||
Life Sciences Tools & Services | 65,891,679 | — | — | |||||||||
Machinery | 90,954,836 | — | — | |||||||||
Media | 73,222,265 | — | — | |||||||||
Metals & Mining | 17,676,879 | — | — | |||||||||
Multiline Retail | 28,618,528 | — | — | |||||||||
Multi-Utilities | 45,375,276 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Oil, Gas & Consumable Fuels | $ | 112,493,814 | $ | — | $ | — | ||||||
Personal Products | 10,434,648 | — | — | |||||||||
Pharmaceuticals | 211,768,353 | — | — | |||||||||
Professional Services | 18,248,100 | — | — | |||||||||
Real Estate Management & Development | 3,637,760 | — | — | |||||||||
Road & Rail | 55,281,562 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 280,484,676 | — | — | |||||||||
Software | 470,337,981 | — | — | |||||||||
Specialty Retail | 120,932,536 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 383,667,354 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 40,833,658 | — | — | |||||||||
Tobacco | 35,468,647 | — | — | |||||||||
Trading Companies & Distributors | 10,996,571 | — | — | |||||||||
Water Utilities | 4,818,958 | — | — | |||||||||
Wireless Telecommunication Services | 13,606,365 | — | — | |||||||||
Exchange-Traded Funds | 24,904,756 | — | — | |||||||||
Affiliated Mutual Funds | 326,632,121 | — | — | |||||||||
U.S. Treasury Obligation | — | 7,398,974 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 5,823,699,294 | $ | 7,398,974 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 2,344,077 | $ | — | $ | — | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2020 were as follows (unaudited):
Software | 8.4 | % | ||
Technology Hardware, Storage & Peripherals | 6.8 | |||
Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan) | 5.8 | |||
IT Services | 5.4 | |||
Interactive Media & Services | 5.3 | |||
Semiconductors & Semiconductor Equipment | 5.0 | |||
Internet & Direct Marketing Retail | 4.8 | |||
Pharmaceuticals | 3.8 | |||
Banks | 3.8 | |||
Health Care Equipment & Supplies | 3.7 | |||
Capital Markets | 2.7 | |||
Health Care Providers & Services | 2.6 | |||
Equity Real Estate Investment Trusts (REITs) | 2.3 | |||
Entertainment | 2.2 | |||
Specialty Retail | 2.2 | |||
Oil, Gas & Consumable Fuels | 2.0 | |||
Automobiles | 1.9 | |||
Biotechnology | 1.8 | |||
Chemicals | 1.8 | |||
Electric Utilities | 1.7 | |||
Insurance | 1.7 | |||
Hotels, Restaurants & Leisure | 1.6 | |||
Machinery | 1.6 | |||
Beverages | 1.6 |
Household Products | 1.6 | % | ||
Aerospace & Defense | 1.6 | |||
Diversified Telecommunication Services | 1.4 | |||
Food & Staples Retailing | 1.4 | |||
Diversified Financial Services | 1.4 | |||
Media | 1.3 | |||
Industrial Conglomerates | 1.2 | |||
Life Sciences Tools & Services | 1.2 | |||
Road & Rail | 1.0 | |||
Food Products | 1.0 | |||
Multi-Utilities | 0.8 | |||
Communications Equipment | 0.8 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Air Freight & Logistics | 0.7 | |||
Tobacco | 0.6 | |||
Electronic Equipment, Instruments & Components | 0.6 | |||
Consumer Finance | 0.5 | |||
Multiline Retail | 0.5 | |||
Electrical Equipment | 0.5 | |||
Building Products | 0.4 | |||
Exchange-Traded Funds | 0.4 | |||
Commercial Services & Supplies | 0.4 | |||
Household Durables | 0.4 | |||
Containers & Packaging | 0.3 | |||
Professional Services | 0.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
Industry Classification (continued):
Metals & Mining | 0.3 | % | ||
Airlines | 0.3 | |||
Wireless Telecommunication Services | 0.2 | |||
Energy Equipment & Services | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
Personal Products | 0.2 | |||
U.S. Treasury Obligation | 0.2 | |||
Auto Components | 0.1 | |||
Distributors | 0.1 | |||
Construction Materials | 0.1 | |||
Water Utilities | 0.1 | |||
Construction & Engineering | 0.1 |
Health Care Technology | 0.1 | % | ||
Real Estate Management & Development | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.0 | * | ||
Leisure Products | 0.0 | * | ||
Gas Utilities | 0.0 | * | ||
|
| |||
103.8 | ||||
Liabilities in excess of other assets | (3.8 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging instruments, carried at fair value | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of | Fair Value | Statement of | Fair Value | |||||||||
Equity contracts | Due from/to broker-variation margin futures | $ | 2,344,077 | * | — | $ | — | |||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(1) | Warrants(1) | Futures | |||||||||
Equity contracts | $ | 14,163 | $ | (20,251 | ) | $ | 11,943,326 | |||||
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 1,075,030 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A134
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of December 31, 2020 |
For the year ended December 31, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures |
$94,916,150 |
(1) | Notional Amount in USD. |
Average volume is based on average quarter end balances as noted for the year ended December 31, 2020.
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 212,441,332 | $ | (212,441,332 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A135
STOCK INDEX PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2020
ASSETS | ||||
Investments at value, including securities on loan of $212,441,332: | ||||
Unaffiliated investments (cost $1,444,526,877) | $ | 5,504,466,147 | ||
Affiliated investments (cost $326,483,233) | 326,632,121 | |||
Cash | 35 | |||
Receivable for Portfolio shares sold | 4,106,067 | |||
Dividends and interest receivable | 4,074,275 | |||
Due from broker-variation margin futures | 754,583 | |||
Tax reclaim receivable | 18,359 | |||
Prepaid expenses and other assets | 711,880 | |||
|
| |||
Total Assets | 5,840,763,467 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 215,681,439 | |||
Payable for Portfolio shares purchased | 2,420,962 | |||
Management fee payable | 1,335,254 | |||
Payable for investments purchased | 923,957 | |||
Accrued expenses and other liabilities | 195,841 | |||
Trustees’ fees payable | 6,968 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 220,565,401 | |||
|
| |||
NET ASSETS | $ | 5,620,198,066 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 5,620,198,066 | ||
|
| |||
Net asset value and redemption price per share, $5,620,198,066 / 64,114,476 outstanding shares of beneficial interest | $ | 87.66 | ||
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 85,191,193 | ||
Income from securities lending, net (including affiliated income of $778,992) | 817,344 | |||
Affiliated dividend income | 678,558 | |||
Interest income | 20,511 | |||
|
| |||
Total income | 86,707,606 | |||
|
| |||
EXPENSES | ||||
Management fee | 14,003,989 | |||
Custodian and accounting fees | 275,626 | |||
Shareholders’ reports | 144,671 | |||
Trustees’ fees | 71,910 | |||
Legal fees and expenses | 43,481 | |||
Audit fee | 25,736 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 10,683 | |||
Miscellaneous | 111,732 | |||
|
| |||
Total expenses | 14,687,828 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 72,019,778 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $694,284) | 47,600,530 | |||
Futures transactions | 11,943,326 | |||
|
| |||
59,543,856 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $107,063) | 724,406,093 | |||
Futures | 1,075,030 | |||
|
| |||
725,481,123 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 785,024,979 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 857,044,757 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 72,019,778 | $ | 72,524,098 | ||||
Net realized gain (loss) on investment transactions | 59,543,856 | 79,062,396 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 725,481,123 | 988,963,592 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 857,044,757 | 1,140,550,086 | ||||||
|
|
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PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [3,906,549 and 2,978,605 shares, respectively] | 296,701,054 | 192,206,253 | ||||||
Portfolio shares purchased [3,862,546 and 3,748,907 shares, respectively] | (290,448,745 | ) | (248,177,505 | ) | ||||
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NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 6,252,309 | (55,971,252 | ) | |||||
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TOTAL INCREASE (DECREASE) | 863,297,066 | 1,084,578,834 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 4,756,901,000 | 3,672,322,166 | ||||||
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End of year | $ | 5,620,198,066 | $ | 4,756,901,000 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A136
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
The Prudential Series Fund (“Series Fund”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of 17 Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 8 Portfolios listed below together with their investment objectives. Each Portfolio is a diversified portfolio for purposes of the 1940 Act.
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
Government Money Market Portfolio : Maximum current income consistent with the stability of capital and maintenance of liquidity.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
1. | Accounting Policies |
The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles (“GAAP”). The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting year-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine how the Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 - Fair Value Measurements and Disclosures.
Common or preferred stocks, exchange-traded funds and derivative instruments, if applicable, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they
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are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end funds (other than exchange-traded funds) are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.
OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy. Altering one or more unobservable inputs may result in a significant change to a Level 3 security’s fair value measurement.
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When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased and/or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the
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proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Bank Loans: Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios acquires interests in loans directly (by way of assignment from the selling institution) and/or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Portfolios generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolios generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, the Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.
Repurchase Agreements: Certain Portfolios entered into repurchase agreements. In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions,
B4
including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Swap Agreements: Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
B5
Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. The Portfolios’ maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.
Master Netting Arrangements: The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
Short sales and OTC contracts, including forward foreign currency exchange contracts, swaps, forward rate agreements and written options involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities, if applicable. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios held warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common
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stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Payment-In-Kind: Certain fixed income Portfolios invested in the open market or received pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Delayed-Delivery Transactions: Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. The remaining maturities of the securities lending transactions are considered overnight and continuous. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.
The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto, which are reflected in interest income or unaffiliated dividend income based on the nature of the payment on the Statement of Operations. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Mortgage Dollar Rolls: Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.
B7
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced below. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. | Agreements |
The Series Fund, on behalf of the Portfolios, has a management agreement with the Manager. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with each of PGIM, Inc., which provides subadvisory services to the Portfolios through its business unit PGIM Fixed Income (“PFI”), PGIM Limited (commenced as a subadviser on April 27, 2020), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), QMA LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.
The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.
Portfolio | Management Fee | Effective Management Fee, Net of Waiver, if Applicable | ||||
Conservative Balanced Portfolio | 0.55% | 0.55 | % | |||
Diversified Bond Portfolio | 0.40 | 0.40 | ||||
Equity Portfolio | 0.45 | 0.45 | ||||
Flexible Managed Portfolio | 0.60 | 0.60 | ||||
Global Portfolio | 0.75 | 0.71 | * | |||
Government Income Portfolio | 0.40 | 0.40 | ||||
Government Money Market Portfolio | 0.30 | 0.17 | ** | |||
Stock Index Portfolio | 0.30% up to $4 billion 0.25% over $4 billion | 0.29 |
B8
* | The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.0323% of the average daily net assets of the Portfolio. Effective March 1, 2020, the Manager has contractually agreed to waive an additional 0.004% of its investment management fee through June 30, 2021. |
** | The Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Manager at any time without notice. During the year ended December 31, 2020, the Manager has reimbursed the Portfolio as a result of this voluntary agreement in the amount of $883,604, 0.13% of the Government Money Market Portfolio’s average daily net assets. |
At December 31, 2020, the subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one subadviser is listed, each subadviser provides services to a segment of the Portfolio:
Portfolio | Subadviser(s) | |
Conservative Balanced Portfolio | PFI; PGIM Limited & QMA | |
Diversified Bond Portfolio | PFI & PGIM Limited | |
Equity Portfolio | Jennison | |
Flexible Managed Portfolio | PFI; PGIM Limited & QMA | |
Global Portfolio | Brown; LSV; QMA; T. Rowe & William Blair | |
Government Income Portfolio | PFI | |
Government Money Market Portfolio | PFI | |
Stock Index Portfolio | QMA |
The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I, Class II and Class III shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II and Class III shares pursuant to a plan of distribution (the “Class II Plan” and “Class III Plan”, together, the Plans), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Plans, the Class II and Class III shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II and Class III shares. In order to support the Fund’s income yield, PIMS has voluntarily undertaken to waive the distribution and service (12b-1) fees of the Government Money Market Portfolio Class III shares, respectively, such that the 1-day income yield (excluding capital gain (loss)) does not fall below 0.00%.
The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended December 31, 2020, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 179,213 | ||
Global Portfolio | 41,471 |
PIMS, PGIM Investments, PGIM, Inc., PGIM Limited, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential.
3. | Other Transactions with Affiliates |
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
B9
The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended December 31, 2020, no 17a-7 transactions were entered into by the Portfolios.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In September 2019, the Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Manager’s ability to manage the Portfolios.
In February 2016, Prudential, the parent company of the Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.
In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Series Fund’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Series Fund’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Series Fund’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating to the opportunity loss
B10
upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are disclosed as “Capital Contributions” in the Portfolios’ “Statements of Changes in Net Assets” for the fiscal year ended December 31, 2019 and in the “Financial Highlights” for the fiscal years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
Prudential instituted a process in consultation with the Series Fund’s independent trustees to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.
The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2020 Payments | |||
Conservative Balanced Portfolio | $ | 53,243 | ||
Flexible Managed Portfolio | 63,091 | |||
Global Portfolio | 232,294 |
The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2020 Payments | |||
Conservative Balanced Portfolio | $ | 4,570 | ||
Flexible Managed Portfolio | 9,313 | |||
Global Portfolio | 180,899 |
The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | Capital Contributions | |||
Conservative Balanced Portfolio | $ | 13,184 | ||
Equity Portfolio | 3 | |||
Flexible Managed Portfolio | 14,632 | |||
Global Portfolio | 85,664 |
B11
4. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the year ended December 31, 2020, were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 1,653,216,688 | $ | 1,808,205,113 | ||||
Diversified Bond Portfolio | 403,110,215 | 314,174,894 | ||||||
Equity Portfolio | 2,934,970,861 | 3,208,967,912 | ||||||
Flexible Managed Portfolio | 4,736,925,539 | 4,938,394,365 | ||||||
Global Portfolio | 392,856,142 | 442,013,447 | ||||||
Government Income Portfolio | 317,929,572 | 297,450,613 | ||||||
Stock Index Portfolio | 261,495,584 | 194,007,778 |
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the year ended December 31, 2020, is presented as follows:
Conservative Balanced Portfolio
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* |
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$255,146,173 | $ | 734,712,299 | $ | 603,395,925 | $ | — | $ | — | $ | 386,462,547 | 386,462,547 | $ | 2,110,405 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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75,225,305 | 778,001,541 | 780,265,428 | 87,449 | (83,912 | ) | 72,964,955 | 73,001,456 | 225,356 | ** | |||||||||||||||||||
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$330,371,478 | $ | 1,512,713,840 | $ | 1,383,661,353 | $ | 87,449 | $ | (83,912 | ) | $ | 459,427,502 | $ | 2,335,761 | |||||||||||||||
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Diversified Bond Portfolio
Value, Beginning | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* |
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$ 2,890,447 | $ | 358,864,184 | $ | 347,675,542 | $ | — | $ | — | $ | 14,079,089 | 14,079,089 | $ | 120,067 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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33,315,035 | 263,521,881 | 252,744,965 | 9,715 | (35,703 | ) | 44,065,963 | 44,088,008 | 102,579 | ** | |||||||||||||||||||
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$36,205,482 | $ | 622,386,065 | $ | 600,420,507 | $ | 9,715 | $ | (35,703 | ) | $ | 58,145,052 | $ | 222,646 | |||||||||||||||
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Equity Portfolio
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* |
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$ 54,364,910 | $ | 1,165,730,098 | $ | 1,185,558,511 | $ | — | $ | — | $ | 34,536,497 | 34,536,497 | $ | 687,233 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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220,901,277 | 2,561,037,543 | 2,273,199,778 | 217,230 | 372,577 | 509,328,849 | 509,583,640 | 819,055 | ** | ||||||||||||||||||||
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$275,266,187 | $ | 3,726,767,641 | $ | 3,458,758,289 | $ | 217,230 | $ | 372,577 | $ | 543,865,346 | $ | 1,506,288 | ||||||||||||||||
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B12
Flexible Managed Portfolio
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* |
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$153,379,057 | $ | 1,057,714,802 | $ | 857,707,980 | $ | — | $ | — | $ | 353,385,879 | 353,385,879 | $ | 1,475,434 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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117,674,766 | 997,709,063 | 1,074,840,038 | 54,515 | 498,927 | 41,097,233 | 41,117,792 | 319,762 | ** | ||||||||||||||||||||
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$271,053,823 | $ | 2,055,423,865 | $ | 1,932,548,018 | $ | 54,515 | $ | 498,927 | $ | 394,483,112 | $ | 1,795,196 | ||||||||||||||||
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Global Portfolio
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$35,350,796 | $ | 304,793,691 | $ | 313,751,562 | $ | — | $ | — | $ | 26,392,925 | 26,392,925 | $ | 268,677 | |||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
46,466,559 | 318,764,969 | 347,681,616 | 9,043 | (2,977 | ) | 17,555,978 | 17,564,760 | 84,936 | ** | |||||||||||||||||||||
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$81,817,355 | $ | 623,558,660 | $ | 661,433,178 | $ | 9,043 | $ | (2,977 | ) | $ | 43,948,903 | $ | 353,613 | |||||||||||||||||
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Government Income Portfolio
Value, Beginning | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ 7,285,947 | $ | 31,751 | $ | 7,277,989 | $ | (178,952 | ) | $ | 139,243 | $ | — | — | $ | 31,751 | ||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
5,041,716 | 125,087,281 | 96,394,949 | — | — | 33,734,048 | 33,734,048 | 55,338 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
— | 113,681,184 | 113,690,666 | — | 9,482 | — | — | 25,932 | ** | ||||||||||||||||||||||
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$12,327,663 | $ | 238,800,216 | $ | 217,363,604 | $ | (178,952 | ) | $ | 148,725 | $ | 33,734,048 | $ | 113,021 | |||||||||||||||||
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Stock Index Portfolio
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Year | Shares, End of Year | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ 88,663,837 | $ | 336,190,298 | $ | 314,076,860 | $ | — | $ | — | $ | 110,777,275 | 110,777,275 | $ | 678,558 | |||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
238,544,735 | 3,061,459,761 | 3,084,950,997 | 107,063 | 694,284 | 215,854,846 | 215,962,828 | 778,992 | ** | ||||||||||||||||||||||
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$327,208,572 | $ | 3,397,650,059 | $ | 3,399,027,857 | $ | 107,063 | $ | 694,284 | $ | 326,632,121 | $ | 1,457,550 | ||||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions.After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the
B13
partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2020 are subject to such review.
6. | Borrowings |
The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Participating Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end as well as the prior SCA.
| Current SCA | Prior SCA | ||
Term of Commitment | 10/2/2020 – 9/30/2021 | 10/3/2019 – 10/1/2020 | ||
Total Commitment | $1,200,000,000 | $1,222,500,000* | ||
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | 0.15% | ||
Annualized Interest Rate on Borrowings | 1.30% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent | ||
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Participating Funds in the SCA equitably.
The following Portfolio utilized the SCA during the year ended December 31, 2020. The average balance outstanding is for the number of days the Portfolio utilized the credit facility.
Portfolio | Average Balance Outstanding | Weighted Average Interest Rates | Number of Days Outstanding | Maximum Balance Outstanding | Balance Outstanding at December 31, 2020 | |||||||||||||||
Government Income Portfolio | $ | 789,000 | 2.86 | % | 3 | $ | 789,000 | $ | — |
7. | Capital and Ownership |
The Portfolios offer Class I shares and certain Portfolios offer Class II and/or Class III shares. All share classes are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I and Class III shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
B14
As of December 31, 2020, the following number of shares of the Portfolios were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
Portfolio | Number of Shares | Percentage of Outstanding Shares | ||||||
Conservative Balanced Portfolio | 77,460,209 | 100.0 | % | |||||
Diversified Bond Portfolio | 80,687,433 | 98.5 | % | |||||
Equity Portfolio - Class I | 69,595,254 | 100.0 | % | |||||
Flexible Managed Portfolio | 119,083,184 | 100.0 | % | |||||
Global Portfolio | 28,653,078 | 100.0 | % | |||||
Government Income Portfolio | 16,974,961 | 100.0 | % | |||||
Government Money Market Portfolio - Class I | 79,183,855 | 99.9 | % | |||||
Government Money Market Portfolio - Class III | 6,561,217 | 100.0 | % | |||||
Stock Index Portfolio | 64,114,476 | 100.0 | % |
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Affiliated | Unaffiliated | |||||||||||||||
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | Number of Shareholders | Percentage of Outstanding Shares | ||||||||||||
Conservative Balanced Portfolio | 3 | 100.0 | % | — | — | % | ||||||||||
Diversified Bond Portfolio | 3 | 98.5 | — | — | ||||||||||||
Equity Portfolio | 3 | 99.9 | — | — | ||||||||||||
Flexible Managed Portfolio | 3 | 100.0 | — | — | ||||||||||||
Global Portfolio | 2 | 97.8 | — | — | ||||||||||||
Government Income Portfolio | 2 | 98.4 | — | — | ||||||||||||
Government Money Market Portfolio | 4 | 99.9 | — | — | ||||||||||||
Stock Index Portfolio | 3 | 100.0 | — | — |
Transactions in shares of beneficial interest of the Equity and Government Money Market Portfolios were as follows:
Equity Portfolio
Class I: | Shares | Amount | ||||||
Year ended December 31, 2020: | ||||||||
Portfolio shares sold | 181,520 | $ | 10,472,312 | |||||
Portfolio shares purchased | (5,150,263 | ) | (344,048,385 | ) | ||||
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|
|
| |||||
Net increase (decrease) in shares outstanding | (4,968,743 | ) | $ | (333,576,073 | ) | |||
|
|
|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 102,565 | $ | 5,848,661 | |||||
Portfolio shares purchased | (5,496,601 | ) | (313,401,998 | ) | ||||
Capital contributions | — | 3 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (5,394,036 | ) | $ | (307,553,334 | ) | |||
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| |||||
Class II: | ||||||||
Year ended December 31, 2020: | ||||||||
Portfolio shares sold | 278 | $ | 21,699 | |||||
Portfolio shares purchased | (3,338 | ) | (215,385 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (3,060 | ) | $ | (193,686 | ) | |||
|
|
|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 1 | $ | 39 | |||||
Portfolio shares purchased | (2,102 | ) | (115,498 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (2,101 | ) | $ | (115,459 | ) | |||
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|
B15
Government Money Market Portfolio
Class I: | Shares | Amount | ||||||
Year ended December 31, 2020: | ||||||||
Portfolio shares sold | 70,339,155 | $ | 703,391,553 | |||||
Shares issued in reinvestment of dividends and distributions | 179,185 | 1,791,854 | ||||||
Portfolio shares purchased | (51,256,624 | ) | (512,566,244 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | 19,261,716 | $ | 192,617,163 | |||||
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|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 51,839,113 | $ | 518,391,129 | |||||
Shares issued in reinvestment of dividends and distributions | 1,065,025 | 10,650,252 | ||||||
Portfolio shares purchased | (46,588,121 | ) | (465,881,208 | ) | ||||
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|
| |||||
Net increase (decrease) in shares outstanding | 6,316,017 | $ | 63,160,173 | |||||
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| |||||
Class III: | ||||||||
Period ended December 31, 2020*: | ||||||||
Portfolio shares sold | 14,739,505 | $ | 147,395,045 | |||||
Shares issued in reinvestment of dividends and distributions | 9 | 87 | ||||||
Portfolio shares purchased | (8,178,297 | ) | (81,782,967 | ) | ||||
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|
| |||||
Net increase (decrease) in shares outstanding | 6,561,217 | $ | 65,612,165 | |||||
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|
* | Commencement of offering was May 18, 2020. |
8. | Risks of Investing in the Portfolios |
The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below. For further information on the risks applicable to any given Portfolio, please refer to the Prospectus and Statement of Additional Information of that Portfolio.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to a Portfolio. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, a Portfolio will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to a Portfolio. A Portfolio’s use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for a Portfolio’s derivatives positions. In fact, many OTC derivative instruments lack liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to a Portfolio.
Emerging Markets Risk: The risks of non-US investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic, political and social systems that are less developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to currency devaluations and rapid and unpredictable (and in some cases, extremely high) rates of inflation or deflation. Low trading volumes may result in a lack of liquidity, price volatility and valuation difficulties. Emerging market countries may have policies that restrict investments by non-US investors, or that prevent non-US investors from withdrawing their money at will, which may make it difficult for a Portfolio to invest in such countries or increase the administrative costs of such investments. Countries with emerging markets can be found in regions such as Asia, Latin America, Eastern Europe and Africa. A Portfolio may invest in some emerging markets through trading structures or protocols that subject it to risks such as those associated with decreased liquidity, custody of assets, different settlement and clearance procedures and asserting legal title under a developing legal and regulatory regime to a greater degree than in developed markets or even in other emerging markets.
Equity Securities Risk: There is a risk that the value of a particular stock or equity-related security held by a Portfolio could fluctuate, perhaps greatly, in response to a number of factors, such as changes in the issuer’s financial condition. In addition to an individual stock losing value, the value of the equity markets or a sector of those markets in which a Portfolio invests could go down. A Portfolio’s holdings can vary from broad market indexes, and the performance of a Portfolio can deviate from the performance of such indexes. Different parts of
SEE NOTES TO FINANCIAL STATEMENTS.
B16
a market can react differently to adverse issuer, market, regulatory, political and economic developments. Such events may result in losses to a Portfolio. Preferred stock generally pays dividends at a specified rate and has preference over common stock in the payment of dividends and the liquidation of assets, but does not ordinarily carry voting rights. The price of a preferred stock is generally determined by earnings, type of products or services, projected growth rates, experience of management, liquidity, and general market conditions of the markets on which the stock trades. The most significant risks associated with investments in preferred stock include the risk of losses attributable to adverse changes in interest rates, broader market conditions and the financial condition of the stock’s issuer. Equity securities may have greater price volatility than other types of investments. These risks are generally magnified in the case of equity investments in distressed companies.
Fixed Income Securities Risk: Investment in fixed income securities involves a variety of risks, including credit risk, liquidity risk and interest rate risk.
Credit risk: Credit risk is the risk that an issuer or guarantor of a security will be unable or unwilling to pay principal and interest when due, or that the value of the security will suffer because investors believe the issuer is less able or willing to make required principal and interest payments. The downgrade of the credit of a security held by a Portfolio may decrease its value. Credit ratings are intended to provide a measure of credit risk. However, credit ratings are only the opinions of the credit rating agency issuing the ratings and are not guarantees as to quality. The lower the rating of a debt security held by a Portfolio, the greater the degree of credit risk that is perceived to exist by the credit rating agency with respect to that security. Increasing the amount of Portfolio assets allocated to lower-rated securities generally will increase the credit risk to which a Portfolio is subject.
Liquidity risk: Liquidity risk is the risk that a Portfolio may not be able to sell some or all of the securities it holds, either at the price it values the security or at any price. Liquidity risk also includes the risk that there may be delays in selling a security, if it can be sold at all, which could prevent a Portfolio from taking advantage of other investment opportunities. In addition, liquidity risk refers to the risk that a Portfolio may not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, redemption requests by certain large shareholders such as institutional investors, or other reasons. Meeting such redemption requests may cause a Portfolio to have to liquidate portfolio securities at disadvantageous prices or times and/or unfavorable conditions and, thus, could reduce the returns of a Portfolio and dilute remaining investors’ interests.
Interest rate risk: Interest rate risk is the risk that the value of an investment may go down in value when interest rates rise. The prices of fixed income securities generally move in the opposite direction to that of market interest rates. Changes in interest rates may also affect the liquidity of a Portfolio’s investments in fixed income securities. The risks associated with changing interest rates are heightened, given that interest rates in the US may increase, possibly suddenly and significantly, with unpredictable effects on the markets and a Portfolio’s investments. Volatility in interest rates and in fixed income markets may increase the risk that a Portfolio’s investment in fixed income securities will go down in value. A wide variety of factors can cause interest rates to rise, including central bank monetary policies and inflation rates. Generally, the longer the maturity of a fixed income security, the greater is the decline in its value when rates increase. As a result, portfolios with longer durations and longer weighted average maturities generally have more volatile share prices than portfolios with shorter durations and shorter weighted average maturities.
Foreign Securities Risk: A Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. The securities of such issuers may trade in markets that are less liquid, less regulated and more volatile than US markets. The value of a Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability. Lack of information may also affect the value of these securities.
LIBOR Risk: Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. Over the course of the last several years, global regulators have indicated an intent to phase out the use of LIBOR and similar interbank offering rates (IBOR). On November 30, 2020, the administrator of LIBOR announced a delay in the phase out of a majority of the U.S. dollar LIBOR publications until June 30, 2023, with the remainder of LIBOR publications to still end at the end of 2021. There still remains uncertainty regarding the nature of any replacement rates for LIBOR and the other IBORs as well as around fallback approaches for instruments
B17
extending beyond the any phase-out of these reference rates. The lack of consensus around replacement rates and the uncertainty of the phase out of LIBOR and other IBORs may result in increased volatility in corporate or governmental debt, bank loans, derivatives and other instruments invested in by a Portfolio as well as loan facilities used by a Portfolio. As such, the potential impact of a transition away from LIBOR on a Portfolio or the financial instruments in which a Portfolio invests cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Portfolio’s performance and/or net asset value. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR and the other IBORs as benchmarks could deteriorate during the transition period, these effects could begin to be experienced by the end of 2021 and beyond until the anticipated discontinuance date in 2023 for the majority of the LIBOR rates.
Market and Management Risk: Market risk is the risk that the markets in which a Portfolio invests will experience market volatility and go down in value, including the possibility that a market will go down sharply and unpredictably. All markets go through cycles, and market risk involves being on the wrong side of a cycle. Factors affecting market risk include political events, broad economic and social changes, and the mood of the investing public. If investor sentiment turns negative, the price of all securities may decline. Market risk also includes the risk that geopolitical and other events will disrupt the economy on a national or global level. For instance, war, terrorism, market manipulation, government defaults, government shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics, or epidemics) and natural/environmental disasters can all negatively impact the securities markets, which could cause a Portfolio to lose value. Such events may reduce consumer demand or economic output, result in market closures, travel restrictions or quarantines, and significantly adversely impact the economy. In addition, economies and financial markets throughout the world are becoming increasingly interconnected, which increases the likelihood that events or conditions in one country or region will adversely impact markets or issuers in other countries or regions. Exchanges and securities markets may close early, close late or issue trading halts on specific securities, which may result in, among other things, a Portfolio being unable to buy or sell certain securities at an advantageous time or accurately price its portfolio investments. In addition, a Portfolio may rely on various third-party sources to calculate its net asset value. As a result, a Portfolio is subject to certain operational risks associated with reliance on service providers and service providers’ data sources. In particular, errors or systems failures and other technological issues may adversely impact the Portfolio’s calculations of its net asset value. Such net asset value calculation issues may result in inaccurately calculated net asset values, delays in net asset value calculations and/or the inability to calculate net asset values over extended periods. A Portfolio may be unable to recover any losses associated with such failures.
Management risk is the risk that the investment strategy or the Manager or a subadviser will not work as intended. All decisions by the Manager or a subadviser require judgment and are based on imperfect information. In addition, if a Portfolio is managed using a quantitative investment model, it is subject to the risk that the model may not perform as expected. Similarly, there can be no assurance that quantitative models or methods utilized by the Manager or a subadviser, or related data sources, will always be available, and the loss of access to any such model(s) or data sources could have an adverse impact on a Portfolio’s ability to realize its investment objective. Moreover, regulatory restrictions, actual or potential conflicts of interest or other considerations may cause the Manager or a subadviser to restrict or prohibit participation in certain investments. There is no guarantee that the investment objective of a Portfolio will be achieved.
US Government Securities Risk: US Treasury obligations are backed by the “full faith and credit” of the US Government. Securities issued or guaranteed by federal agencies or authorities and US Government-sponsored instrumentalities or enterprises may or may not be backed by the full faith and credit of the US Government. For example, securities issued by the Federal Home Loan Mortgage Corporation, the Federal National Mortgage Association and the Federal Home Loan Banks are neither insured nor guaranteed by the US Government. These securities may be supported by the ability to borrow from the US Treasury or only by the credit of the issuing agency, authority, instrumentality or enterprise and, as a result, are subject to greater credit risk than securities issued or guaranteed by the US Treasury. Further, the US Government and its agencies, authorities, instrumentalities and enterprises do not guarantee the market value of their securities; consequently, the value of such securities will fluctuate. This may be the case especially when there is any controversy or ongoing uncertainty regarding the status of negotiations in the US Congress to increase the statutory debt ceiling. If the US Congress is unable to negotiate an adjustment to the statutory debt ceiling, there is also the risk that the US Government may
B18
default on payments on certain US Government securities, including those held by a Portfolio (including the Government Money Market Portfolio), which could have a negative impact on the Portfolio. An increase in demand for US Government securities resulting from an increase in demand for government money market funds may lead to lower yields on such securities.
9. | Recent Accounting Pronouncement and Regulatory Developments |
In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, which provides optional guidance for applying GAAP to contract modifications, hedging relationships and other transactions affected by the reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. At this time, management is evaluating the implications of certain provisions of the ASU and any impact on the financial statement disclosures has not yet been determined.
On December 3, 2020, the SEC announced that it voted to adopt a new rule that establishes an updated regulatory framework for fund valuation practices (the “Rule”). The Rule, in part, provides (i) a framework for determining fair value in good faith and (ii) provides for a fund Board’s assignment of its responsibility for the execution of valuation-related activities to a fund’s investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Rule will become effective 60 days after publication in the Federal Register, and will have a compliance date 18 months following the effective date. Management is currently evaluating the Rule and its impact to the Funds.
B19
Financial Highlights
Conservative Balanced Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 31.40 | $ | 26.50 | $ | 27.17 | $ | 24.18 | $ | 22.54 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.50 | 0.59 | 0.53 | 0.45 | 0.42 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 3.09 | 4.31 | (1.20 | ) | 2.54 | 1.20 | ||||||||||||||
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Total from investment operations | 3.59 | 4.90 | (0.67 | ) | 2.99 | 1.62 | ||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (b)(c) | — | 0.02 | (d) | ||||||||||||
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Net Asset Value, end of year | $ | 34.99 | $ | 31.40 | $ | 26.50 | $ | 27.17 | $ | 24.18 | ||||||||||
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Total Return(e) | 11.43 | % | 18.49 | %(f) | (2.47 | )%(f) | 12.37 | % | 7.28 | %(g) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2,710 | $ | 2,597 | $ | 2,370 | $ | 2,595 | $ | 2,473 | ||||||||||
Average net assets (in millions) | $ | 2,540 | $ | 2,506 | $ | 2,535 | $ | 2,535 | $ | 2,487 | ||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.58 | % | 0.59 | % | 0.59 | % | 0.58 | % | 0.58 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.58 | % | 0.59 | % | 0.59 | % | 0.58 | % | 0.58 | % | ||||||||||
Net investment income (loss) | 1.58 | % | 2.02 | % | 1.94 | % | 1.75 | % | 1.79 | % | ||||||||||
Portfolio turnover rate(i) | 75 | % | 90 | % | 101 | % | 136 | % | 185 | % |
Diversified Bond Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 14.55 | $ | 13.12 | $ | 13.14 | $ | 12.28 | $ | 11.64 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.45 | 0.49 | 0.45 | 0.42 | 0.43 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.78 | 0.94 | (0.48 | ) | 0.44 | 0.21 | ||||||||||||||
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Total from investment operations | 1.23 | 1.43 | (0.03 | ) | 0.86 | 0.64 | ||||||||||||||
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Capital Contributions | — | — | 0.01 | (b) | — | — | (c)(d) | |||||||||||||
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Net Asset Value, end of year | $ | 15.78 | $ | 14.55 | $ | 13.12 | $ | 13.14 | $ | 12.28 | ||||||||||
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Total Return(e) | 8.45 | % | 10.90 | % | (0.15 | )%(j) | 7.00 | % | 5.50 | %(f) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,293 | $ | 1,190 | $ | 1,123 | $ | 1,145 | $ | 1,105 | ||||||||||
Average net assets (in millions) | $ | 1,235 | $ | 1,166 | $ | 1,132 | $ | 1,123 | $ | 1,121 | ||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.43 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.43 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Net investment income (loss) | 2.99 | % | 3.53 | % | 3.44 | % | 3.28 | % | 3.52 | % | ||||||||||
Portfolio turnover rate(i) | 35 | % | 48 | % | 51 | % | 71 | % | 49 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Amount rounds to zero. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to GAAP. |
(f) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
(j) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
Equity Portfolio — Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 63.18 | $ | 49.02 | $ | 51.52 | $ | 40.96 | $ | 39.47 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.53 | 0.66 | 0.53 | 0.41 | 0.38 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 17.79 | 13.50 | (3.07 | ) | 10.15 | 1.07 | ||||||||||||||
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Total from investment operations | 18.32 | 14.16 | (2.54 | ) | 10.56 | 1.45 | ||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.04 | (b) | — | 0.04 | (d) | ||||||||||||
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Net Asset Value, end of year | $ | 81.50 | $ | 63.18 | $ | 49.02 | $ | 51.52 | $ | 40.96 | ||||||||||
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Total Return(e) | 29.00 | % | 28.89 | %(f) | (4.85 | )%(g) | 25.78 | % | 3.78 | %(h) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 5,672 | $ | 4,711 | $ | 3,920 | $ | 4,416 | $ | 3,742 | ||||||||||
Average net assets (in millions) | $ | 4,777 | $ | 4,407 | $ | 4,497 | $ | 4,099 | $ | 3,615 | ||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||
Net investment income (loss) | 0.80 | % | 1.16 | % | 0.98 | % | 0.89 | % | 1.01 | % | ||||||||||
Portfolio turnover rate(j) | 62 | % | 43 | % | 37 | % | 55 | % | 39 | % |
Equity Portfolio — Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 62.09 | $ | 48.37 | $ | 51.04 | $ | 40.74 | $ | 39.42 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.26 | 0.43 | 0.32 | 0.23 | 0.23 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 17.43 | 13.29 | (3.03 | ) | 10.07 | 1.05 | ||||||||||||||
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Total from investment operations | 17.69 | 13.72 | (2.71 | ) | 10.30 | 1.28 | ||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.04 | (b) | — | 0.04 | (d) | ||||||||||||
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Net Asset Value, end of year | $ | 79.78 | $ | 62.09 | $ | 48.37 | $ | 51.04 | $ | 40.74 | ||||||||||
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Total Return(e) | 28.49 | % | 28.36 | %(f) | (5.23 | )%(g) | 25.28 | % | 3.35 | %(h) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2 | $ | 2 | $ | 2 | $ | 2 | $ | 2 | ||||||||||
Average net assets (in millions) | $ | 2 | $ | 2 | $ | 2 | $ | 2 | $ | 2 | ||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||
Net investment income (loss) | 0.40 | % | 0.76 | % | 0.59 | % | 0.50 | % | 0.61 | % | ||||||||||
Portfolio turnover rate(j) | 62 | % | 43 | % | 37 | % | 55 | % | 39 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Amount rounds to zero. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to GAAP. |
(f) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (4.93)% and (5.31)% for Class I and Class II, respectively. |
(h) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
Flexible Managed Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 34.32 | $ | 28.63 | $ | 29.88 | $ | 25.99 | $ | 23.95 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.56 | 0.61 | 0.53 | 0.45 | 0.44 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.73 | 5.08 | (1.78 | ) | 3.44 | 1.58 | ||||||||||||||
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Total from investment operations | 3.29 | 5.69 | (1.25 | ) | 3.89 | 2.02 | ||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (b)(c) | — | 0.02 | (d) | ||||||||||||
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Net Asset Value, end of year | $ | 37.61 | $ | 34.32 | $ | 28.63 | $ | 29.88 | $ | 25.99 | ||||||||||
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Total Return(e) | 9.59 | % | 19.87 | %(f) | (4.18 | )%(f) | 14.97 | % | 8.52 | %(g) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 4,479 | $ | 4,328 | $ | 3,834 | $ | 4,230 | $ | 3,890 | ||||||||||
Average net assets (in millions) | $ | 4,171 | $ | 4,127 | $ | 4,157 | $ | 4,043 | $ | 3,799 | ||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.62 | % | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.62 | % | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | ||||||||||
Net investment income (loss) | 1.64 | % | 1.92 | % | 1.75 | % | 1.62 | % | 1.78 | % | ||||||||||
Portfolio turnover rate(i)(j) | 120 | % | 125 | % | 139 | % | 175 | % | 203 | % |
Global Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 41.49 | $ | 31.83 | $ | 34.33 | $ | 27.50 | $ | 26.33 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.41 | 0.52 | 0.47 | 0.42 | 0.34 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 6.16 | 9.14 | (2.99 | ) | 6.41 | 0.81 | ||||||||||||||
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Total from investment operations | 6.57 | 9.66 | (2.52 | ) | 6.83 | 1.15 | ||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.02 | (b) | — | 0.02 | (d) | ||||||||||||
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Net Asset Value, end of year | $ | 48.06 | $ | 41.49 | $ | 31.83 | $ | 34.33 | $ | 27.50 | ||||||||||
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Total Return(e) | 15.84 | % | 30.39 | %(f) | (7.28 | )%(k) | 24.84 | % | 4.44 | %(l) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,377 | $ | 1,264 | $ | 1,007 | $ | 1,133 | $ | 955 | ||||||||||
Average net assets (in millions) | $ | 1,191 | $ | 1,158 | $ | 1,140 | $ | 1,052 | $ | 942 | ||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.76 | % | 0.77 | % | 0.77 | % | 0.79 | % | 0.80 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.80 | % | 0.80 | % | 0.80 | % | 0.81 | % | 0.81 | % | ||||||||||
Net investment income (loss) | 1.01 | % | 1.41 | % | 1.33 | % | 1.34 | % | 1.29 | % | ||||||||||
Portfolio turnover rate(j) | 34 | % | 26 | % | 28 | % | 33 | % | 40 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Amount rounds to zero. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to GAAP. |
(f) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(j) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
(k) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%. |
(l) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
Government Income Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 13.54 | $ | 12.70 | $ | 12.62 | $ | 12.26 | $ | 12.00 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.23 | 0.31 | 0.28 | 0.23 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.74 | 0.53 | (0.20 | ) | 0.13 | 0.06 | ||||||||||||||
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Total from investment operations | 0.97 | 0.84 | 0.08 | 0.36 | 0.26 | |||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | (c)(d) | |||||||||||||
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Net Asset Value, end of year | $ | 14.51 | $ | 13.54 | $ | 12.70 | $ | 12.62 | $ | 12.26 | ||||||||||
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Total Return(e) | 7.16 | % | 6.61 | % | 0.63 | %(f) | 2.94 | % | 2.17 | %(f) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 246 | $ | 239 | $ | 221 | $ | 244 | $ | 226 | ||||||||||
Average net assets (in millions) | $ | 247 | $ | 235 | $ | 231 | $ | 252 | $ | 236 | ||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.51 | % | 0.52 | % | 0.51 | % | 0.53 | % | 0.51 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.51 | % | 0.52 | % | 0.51 | % | 0.53 | % | 0.51 | % | ||||||||||
Net investment income (loss) | 1.58 | % | 2.34 | % | 2.28 | % | 1.84 | % | 1.60 | % | ||||||||||
Portfolio turnover rate(h)(i) | 150 | % | 269 | % | 284 | % | 495 | % | 705 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Amount rounds to zero. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to GAAP. |
(f) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(g) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(h) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(i) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
Government Money Market Portfolio — Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(b): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) and realized gains (losses) | 0.03 | 0.19 | 0.15 | 0.06 | 0.01 | |||||||||||||||
Less Dividends and Distributions: | (0.03 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | (0.01 | ) | ||||||||||
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Net asset value, end of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
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Total Return(d) | 0.30 | % | 1.92 | % | 1.53 | % | 0.56 | % | 0.10 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 792 | $ | 600 | $ | 536 | $ | 560 | $ | 724 | ||||||||||
Average net assets (in millions) | $ | 667 | $ | 563 | $ | 560 | $ | 665 | $ | 717 | ||||||||||
Ratios to average net assets(e): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.21 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.34 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Net investment income (loss) | 0.26 | % | 1.88 | % | 1.52 | % | 0.55 | % | 0.09 | % |
Government Money Market Portfolio — Class III | ||||
May 18, 2020(a) through December 31, 2020 | ||||
Per Share Operating Performance(b): | ||||
Net Asset Value, beginning of period | $ | 10.00 | ||
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| |||
Income (Loss) From Investment Operations: | ||||
Net investment income (loss) and realized gains (losses) | — | (c) | ||
Less Dividends and Distributions: | — | (c) | ||
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| |||
Net asset value, end of period | $ | 10.00 | ||
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Total Return(d) | 0.00 | %(c) | ||
Ratios/Supplemental Data: | ||||
Net assets, end of period (in millions) | $ | 66 | ||
Average net assets (in millions) | $ | 34 | ||
Ratios to average net assets(e): | ||||
Expenses after waivers and/or expense reimbursement | 0.13 | %(f) | ||
Expenses before waivers and/or expense reimbursement | 0.58 | %(f) | ||
Net investment income (loss) | — | %(c)(f) |
(a) | Commencement of offering. |
(b) | Calculated based on average shares outstanding during the period. |
(c) | Amount rounds to zero. |
(d) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to GAAP. Total returns for periods less than one full year are not annualized. |
(e) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(f) | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
Stock Index Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 74.24 | $ | 56.64 | $ | 59.38 | $ | 50.70 | $ | 48.59 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 1.12 | 1.12 | 1.00 | 0.92 | 0.89 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 12.30 | 16.48 | (3.74 | ) | 9.75 | 4.52 | ||||||||||||||
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Total from investment operations | 13.42 | 17.60 | (2.74 | ) | 10.67 | 5.41 | ||||||||||||||
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Less Dividends and Distributions | — | — | — | (1.99 | ) | (3.37 | ) | |||||||||||||
Capital Contributions | — | — | — | — | 0.07 | (b) | ||||||||||||||
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Net Asset Value, end of year | $ | 87.66 | $ | 74.24 | $ | 56.64 | $ | 59.38 | $ | 50.70 | ||||||||||
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Total Return(c) | 18.08 | % | 31.07 | % | (4.61 | )% | 21.46 | % | 11.83 | %(d) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 5,620 | $ | 4,757 | $ | 3,672 | $ | 3,928 | $ | 3,305 | ||||||||||
Average net assets (in millions) | $ | 4,802 | $ | 4,298 | $ | 4,051 | $ | 3,630 | $ | 3,122 | ||||||||||
Ratios to average net assets(e): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.31 | % | 0.31 | % | 0.31 | % | 0.32 | % | 0.32 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.31 | % | 0.31 | % | 0.31 | % | 0.32 | % | 0.34 | % | ||||||||||
Net investment income (loss) | 1.50 | % | 1.69 | % | 1.63 | % | 1.69 | % | 1.84 | % | ||||||||||
Portfolio turnover rate(f) | 4 | % | 3 | % | 4 | % | 4 | % | 5 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(c) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to GAAP. |
(d) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%. |
(e) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The Prudential Series Fund and Shareholders of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, Government Money Market Portfolio and Stock Index Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, Government Money Market Portfolio and Stock Index Portfolio (eight of the portfolios constituting The Prudential Series Fund, hereafter collectively referred to as the “Portfolios”) as of December 31, 2020, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the year then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2020, and the results of each of their operations, changes in each of their net assets, and each of the financial highlights for the year then ended in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Portfolios as of and for the year ended December 31, 2019 and the financial highlights for each of the periods ended on or prior to December 31, 2019 (not presented herein, other than the statements of changes in net assets and the financial highlights) were audited by other auditors whose report dated February 24, 2020 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
February 22, 2021
We have served as the auditor of one or more investment companies in the Prudential Insurance Portfolios complex since 2020.
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INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the officers of the Trust is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Trust are referred to as “Interested Trustees.” The Trustees oversee the operations of the Trust and appoint officers who are responsible for day-to-day business decisions based on policies set by the Board.
Independent Trustees | ||||||
Name Year of Birth No. of Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held | Length of Board Service | |||
Susan Davenport Austin 1967 No. of Portfolios Overseen: 95 | Chief Financial Officer of Grace Church School (Since September 2019); formerly Senior Managing Director of Brock Capital (2014-2019); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); formerly Chairman (2011-2014), formerly Presiding Director (2014-2017) and currently a Member (2007-present) of the Board of Directors, Broadcast Music, Inc.; President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015); Director of Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011). | Since February 2011 | |||
Sherry S. Barrat 1949 No. of Portfolios Overseen: 95 | Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Lead Director of NextEra Energy, Inc. (NYSE: NEE) (since May 2020); Director of NextEra Energy, Inc. (since 1998); Director of Arthur J. Gallagher & Company (Since July 2013). | Since January 2013 | |||
Jessica M. Bibliowicz 1959 No. of Portfolios Overseen: 95 | Chairman of the Board of Overseers of Weill Cornell Medicine (since 2014); Formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products). | Formerly Director (2006-2019) of The Asia Pacific Fund, Inc.; Formerly Director of Sotheby’s (2014-2019) (auction house and art-related finance). | Since September 2014 | |||
Kay Ryan Booth 1950 No. of Portfolios Overseen: 95 | Advisory Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | Since January 2013 | |||
Stephen M. Chipman 1961 No. of Portfolios Overseen: 95 | Formerly Group Managing Director, International Expansion and Regional Managing Director, Americas of Vistra (June 2018-June 2019); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Senior Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP. | Non-Executive Chairman (Since September 2019) of Litera Microsystems. Non-Executive Director of Stout (Since January 2020); Non-Executive Director of Clyde & Co. (Since January 2020). | Since January 2018 | |||
Robert F. Gunia 1946 No. of Portfolios Overseen: 95 | Director of ICI Mutual Insurance Company (June 2020-present; June 2016-June 2019; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Formerly Director (1989-2019) of The Asia Pacific Fund, Inc. | Since July 2003 |
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Independent Trustees | ||||||
Name Year of Birth No. of Portfolios Overseen | Principal Occupation(s) During Past Five Years | Other Directorships Held | Length of Board Service | |||
Thomas T. Mooney 1941 No. of Portfolios Overseen: 95 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004); formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976); Former President of The First Financial Fund and High Yield Plus Fund (1988-2005); Former Vice Chairman Monroe County Water Authority (1980-2002). | Former Director of Executive Service Corps of Rochester (1988-1990); Former Director of Rural/Metro Medical Services (1985-1990); Former Trustee of Center for Governmental Research (1977-1995); Former Director of Excellus BlueCross BlueShield (1980-1998). | Since July 2003 | |||
Thomas M. O’Brien 1950 No. of Portfolios Overseen: 95 | Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | Since July 2003 | |||
Interested Trustee | ||||||
Timothy S. Cronin 1965 Number of Portfolios Overseen: 95 | Vice President of Prudential Annuities (Since May 2003); Senior Vice President of PGIM Investments LLC (Since May 2009); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since March 2006). | None. | Since October 2009 |
Trust Officers(a) | ||||
Name Year of Birth Position with the Trust | Principal Occupation(s) During the Past Five Years | Length of Service as Trust Officer | ||
Ken Allen 1969 Vice President | Vice President of Investment Management (since December 2009). | Since June 2019 | ||
Claudia DiGiacomo 1974 Chief Legal Officer | Chief Legal Officer, Executive Vice President and Secretary of PGIM Investments LLC (since August 2020); Chief Legal Officer of Prudential Mutual Fund Services LLC (since August 2020); Chief Legal Officer of PIFM Holdco, LLC (since August 2020); Vice President and Corporate Counsel (since January 2005) of Prudential; and Corporate Counsel of AST Investment Services, Inc. (since August 2020); formerly Vice President and Assistant Secretary of PGIM Investments LLC (2005-2020); formerly Associate at Sidley Austin Brown & Wood LLP (1999-2004). | Since December 2005 | ||
Andrew R. French 1962 Secretary | Vice President (since December 2018-present) of PGIM Investments LLC; formerly, Vice President and Corporate Counsel (2010-2018) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | Since October 2006 | ||
Melissa Gonzalez 1980 Assistant Secretary | Vice President and Corporate Counsel (since September 2018) of Prudential; Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; formerly Director and Corporate Counsel (March 2014-September 2018) of Prudential. | Since March 2019 | ||
Patrick E. McGuinness 1986 Assistant Secretary | Vice President and Assistant Secretary (since August 2020) of PGIM Investments LLC; Director and Corporate Counsel (since February 2017) of Prudential; and Corporate Counsel (2012-2017) of IIL, Inc. | Since June 2020 | ||
Debra Rubano 1975 Assistant Secretary | Vice President and Corporate Counsel (since November 2020) of Prudential; formerly Director and Senior Counsel of Allianz Global Investors U.S. Holdings LLC (2010-2020) and Assistant Secretary of numerous funds in the Allianz fund complex (2015-2020). | Since December 2020 |
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Trust Officers(a) | ||||
Name Year of Birth Position with the Trust | Principal Occupation(s) During the Past Five Years | Length of Service as Trust Officer | ||
Dino Capasso 1974 Chief Compliance Officer | Chief Compliance Officer (July 2019-Present) of PGIM Investments LLC; Chief Compliance Officer (July 2019-Present) of the PGIM Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global High Yield Fund, Inc., and PGIM High Yield Bond Fund, Inc.; Vice President and Deputy Chief Compliance Officer (June 2017-2019) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC. | Since March 2018 | ||
Charles H. Smith, III 1973 Anti-Money Laundering Compliance Officer | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). | Since January 2017 | ||
Christian J. Kelly 1975 Treasurer and Principal Financial and Accounting Officer | Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007). | Since January 2019 | ||
Lana Lomuti 1967 Assistant Treasurer | Vice President (since 2007) and Director (2005-2007), within PGIM Investments Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | Since April 2014 | ||
Russ Shupak 1973 Assistant Treasurer | Vice President (since 2017) and Director (2013-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
Deborah Conway 1969 Assistant Treasurer | Vice President (since 2017) and Director (2007-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
Elyse M. McLaughlin 1974 Assistant Treasurer | Vice President (since 2017) and Director (2011-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
Alina Srodecka, CPA 1966 Assistant Treasurer | Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touché (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997). | Since June 2017 |
(a) Excludes Mr. Cronin, an Interested Trustee who also serves as President and Principal Executive Officer.
Explanatory Notes to Tables:
Trustees are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with PGIM Investments and/or an affiliate of PGIM Investments. Timothy S. Cronin is an Interested Trustee because he is employed by an affiliate of the Manager.
Unless otherwise noted, the address of all Trustees and Officers is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.
As used in the Officer’s table, “Prudential” means The Prudential Insurance Company of America
“Other Directorships Held” includes all directorships of companies required to register or file reports with the SEC under the 1934 Act (that is, “public companies”) or other investment companies registered under the 1940 Act.
“No. of Portfolios Overseen” includes all investment companies managed by PGIM Investments and/or ASTIS that are overseen by the Trustee. The investment companies for which PGIM Investments and/or ASTIS serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., the PGIM Funds, the PGIM High Yield Bond Fund, Inc., PGIM Global High Yield Fund, Inc. and PGIM Short Duration High Yield Opportunities Fund.
E3
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3714 | Presorted Standard U.S. Postage PAID Prudential | |||
©2021 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
MD.RS.011
Item 2 – Code of Ethics — See Exhibit (a)
As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 800-225-1852, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3 – Audit Committee Financial Expert –
The registrant’s Board has determined that Keith F. Hartstein, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this item.
Item 4 – Principal Accountant Fees and Services –
(a) Audit Fees
For the fiscal year ended December 31, 2020, the registrant’s principal accountant was PricewaterhouseCoopers LLP (“PwC”). For the fiscal year ended December 31, 2020, PwC billed the registrant $24,000 for professional services rendered for the audit of the registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.
For the fiscal year ended December 31, 2019, the registrant’s principal accountant was KPMG LLP (“KPMG”). For the fiscal year ended December 31, 2019, KPMG billed the registrant $24,651 for professional services rendered for the audit of the registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.
(b) Audit-Related Fees
For the fiscal year ended December 31, 2020, PwC did not bill the registrant for audit-related services.
For the fiscal year ended December 31, 2020, fees of $4,952 were billed to the registrant for services rendered by KPMG in connection with the auditor transition.
For the fiscal year ended December 31, 2019, KPMG did not bill the registrant for audit-related services.
(c) Tax Fees
For the fiscal years ended December 31, 2020 and December 31, 2019: none.
(d) All Other Fees
For the fiscal years ended December 31, 2020 and December 31, 2019: none.
(e) (1) Audit Committee Pre-Approval Policies and Procedures
THE PGIM MUTUAL FUNDS
AUDIT COMMITTEE POLICY
on
Pre-Approval of Services Provided by the Independent
Accountants
The Audit Committee of each PGIM Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve the independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
• | a review of the nature of the professional services expected to be provided, |
• | a review of the safeguards put into place by the accounting firm to safeguard independence, and |
• | periodic meetings with the accounting firm. |
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services.
Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed non-audit services will not adversely affect the independence of the independent accountants. Such proposed non-audit services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.
The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.
Audit Services
The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:
• | Annual Fund financial statement audits |
• | Seed audits (related to new product filings, as required) |
• | SEC and regulatory filings and consents |
Audit-related Services
The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:
• | Accounting consultations |
• | Fund merger support services |
• | Agreed Upon Procedure Reports |
• | Attestation Reports |
• | Other Internal Control Reports |
Individual audit-related services that fall within one of these categories (except for fund merger support services) and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated). Fees related to fund merger support services are subject to a separate authorized pre-approval by the Audit Committee with fees determined on a per occurrence and merger complexity basis.
Tax Services
The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:
• | Tax compliance services related to the filing or amendment of the following: |
• | Federal, state and local income tax compliance; and, |
• | Sales and use tax compliance |
• | Timely RIC qualification reviews |
• | Tax distribution analysis and planning |
• | Tax authority examination services |
• | Tax appeals support services |
• | Accounting methods studies |
• | Fund merger support services |
• | Tax consulting services and related projects |
Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated).
Other Non-Audit Services
Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Proscribed Services
The Fund’s independent accountants will not render services in the following categories of non-audit services:
• | Bookkeeping or other services related to the accounting records or financial statements of the Fund |
• | Financial information systems design and implementation |
• | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
• | Actuarial services |
• | Internal audit outsourcing services |
• | Management functions or human resources |
• | Broker or dealer, investment adviser, or investment banking services |
• | Legal services and expert services unrelated to the audit |
• | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
Pre-approval of Non-Audit Services Provided to Other Entities Within the PGIM Fund Complex
Certain non-audit services provided to PGIM Investments LLC or any of its affiliates that also provide ongoing services to the PGIM Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $30,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Although the Audit Committee will not pre-approve all services provided to PGIM Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to PGIM Investments and its affiliates.
(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –
For the fiscal years ended December 31, 2020 and December 31, 2019, 100% of the services referred to in Item 4(b) was approved by the audit committee.
(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
(g) Non-Audit Fees
The aggregate non-audit fees billed by the registrant’s principal accountant for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2020 and December 31, 2019 was $0 and $0, respectively.
(h) Principal Accountant’s Independence
Not applicable as the registrant’s principal accountant has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
Item 5 – Audit Committee of Listed Registrants – Not applicable.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Controls and Procedures - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.
Item 13 – Exhibits
(a) | (1) | Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH. | ||||
(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT. | |||||
(3) | Any written solicitation to purchase securities under Rule 23c-1 – Not applicable. | |||||
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: The Prudential Variable Contract Account-10
By: | /s/ Andrew R. French | |
Andrew R. French | ||
Secretary | ||
Date: | February 24, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Stuart S. Parker | |
Stuart S. Parker | ||
President and Principal Executive Officer | ||
Date: | February 24, 2021 | |
By: | /s/ Christian J. Kelly | |
Christian J. Kelly | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | February 24, 2021 |