UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-03623 | |
Exact name of registrant as specified in charter: | The Prudential Series Fund | |
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: | 12/31/2019 | |
Date of reporting period: | 06/30/2019 |
Item 1 – Reports to Stockholders
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2019, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Government Money Market Portfolio
High Yield Bond Portfolio
Jennison Portfolio
Natural Resources Portfolio
Small Capitalization Stock Portfolio
Stock Index Portfolio
Value Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2019 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Glossary | A1 | |||
Conservative Balanced Portfolio | A2 | |||
Diversified Bond Portfolio | A38 | |||
Equity Portfolio | A68 | |||
Flexible Managed Portfolio | A73 | |||
Global Portfolio | A107 | |||
Government Income Portfolio | A115 | |||
Government Money Market Portfolio | A125 | |||
High Yield Bond Portfolio | A129 | |||
Jennison Portfolio | A146 | |||
Natural Resources Portfolio | A150 | |||
Small Capitalization Stock Portfolio | A154 | |||
Stock Index Portfolio | A167 | |||
Value Portfolio | A179 | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2019 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual 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 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
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. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2019 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2019 |
Conservative Balanced Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 2.0% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 1.7% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 1.5% | ||||
Federal National Mortgage Assoc., 3.500%, TBA | U.S. Government Agency Obligations | 1.1% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 0.9% | ||||
Berkshire Hathaway, Inc. (Class B Stock) | Diversified Financial Services | 0.8% | ||||
Johnson & Johnson | Pharmaceuticals | 0.8% | ||||
JPMorgan Chase & Co. | Banks | 0.7% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 0.7% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 0.6% |
Diversified Bond Portfolio |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 34.6% | |||
AA | 4.8% | |||
A | 13.8% | |||
BBB | 21.4% | |||
BB | 6.2% | |||
B | 6.4% | |||
CCC | 0.9% | |||
C | 0.2% | |||
NR | 6.9% | |||
Cash & Equivalents | 4.8% | |||
Total | 100.0% |
Equity Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 3.8% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 3.3% | ||||
AstraZeneca PLC (United Kingdom), ADR | Pharmaceuticals | 2.6% | ||||
Mastercard, Inc. (Class A Stock) | IT Services | 2.5% | ||||
Boeing Co. (The) | Aerospace & Defense | 2.4% | ||||
salesforce.com, Inc. | Software | 2.1% | ||||
JPMorgan Chase & Co. | Banks | 2.1% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 2.0% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.9% | ||||
American Electric Power Co., Inc. | Electric Utilities | 1.9% |
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.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited(continued) | June 30, 2019 |
Flexible Managed Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 2.9% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 1.8% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.5% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 1.3% | ||||
Bank of America Corp. | Banks | 1.1% | ||||
Visa, Inc. (Class A Stock) | IT Services | 1.1% | ||||
Cisco Systems, Inc. | Communications Equipment | 1.0% | ||||
Chevron Corp. | Oil, Gas & Consumable Fuels | 1.0% | ||||
Verizon Communications, Inc. | Diversified Telecommunication Services | 0.9% | ||||
Merck & Co., Inc. | Pharmaceuticals | 0.9% |
Global Portfolio |
| |||||||
Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
Microsoft Corp. | Software | United States | 2.5% | |||||
Thermo Fisher Scientific, Inc. | Life Sciences Tools & Services | United States | 1.5% | |||||
Visa, Inc. (Class A Stock) | IT Services | United States | 1.5% | |||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | United States | 1.5% | |||||
Zoetis, Inc. | Pharmaceuticals | United States | 1.4% | |||||
PayPal Holdings, Inc. | IT Services | United States | 1.3% | |||||
SBA Communications Corp. | Equity Real Estate Investment Trusts (REITs) | United States | 1.3% | |||||
Roper Technologies, Inc. | Industrial Conglomerates | United States | 1.3% | |||||
Danaher Corp. | Health Care Equipment & Supplies | United States | 1.1% | |||||
Intuitive Surgical, Inc. | Health Care Equipment & Supplies | United States | 1.1% |
Government Income Portfolio |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 93.5% | |||
AA | 2.3% | |||
A | 0.0% | |||
BBB | 0.0% | |||
NR | �� | (1.0)% | ||
Cash & Equivalents | 5.2% | |||
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.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited(continued) | June 30, 2019 |
Government Money Market Portfolio |
| |||||||
Ten Largest Holdings | Interest Rate | Maturity Date | (% of Net Assets | ) | ||||
Federal Home Loan Bank | 2.342% | 07/17/2019 | 4.9% | |||||
U.S. Treasury Bills | 2.520% | 09/05/2019 | 4.5% | |||||
State Street Bank & Trust Co. | 2.500% | 07/01/2019 | 4.4% | |||||
Federal Home Loan Bank | 2.411% | 08/02/2019 | 4.0% | |||||
U.S. Treasury Bills | 2.503% | 08/15/2019 | 3.7% | |||||
Federal Home Loan Bank | 2.382% | 11/08/2019 | 3.6% | |||||
Credit Agricole Corporate & Investment Bank | 2.680% | 07/03/2019 | 3.6% | |||||
U.S. Treasury Bills | 2.301% | 10/03/2019 | 3.5% | |||||
U.S. Treasury Bills | 2.399% | 07/18/2019 | 2.3% | |||||
U.S. Treasury Bills | 2.348% | 08/06/2019 | 2.3% |
Holdings reflect only short-term investments.
High Yield Bond |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 8.2% | |||
BBB | 2.8% | |||
BB | 25.3% | |||
B | 44.0% | |||
CCC | 17.6% | |||
CC | 1.0% | |||
C | 0.0% | |||
D | 0.2% | |||
NR | 1.1% | |||
Cash & Equivalents | (0.2)% | |||
Total | 100.0% |
Jennison Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 6.1% | ||||
Microsoft Corp. | Software | 5.1% | ||||
Mastercard, Inc. (Class A Stock) | IT Services | 4.2% | ||||
salesforce.com, Inc. | Software | 4.0% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 3.7% | ||||
Visa, Inc. (Class A Stock) | IT Services | 3.6% | ||||
Netflix, Inc. | Entertainment | 3.3% | ||||
Adobe, Inc. | Software | 3.0% | ||||
Alibaba Group Holding Ltd. (China), ADR | Internet & Direct Marketing Retail | 2.7% | ||||
Boeing Co. (The) | Aerospace & Defense | 2.7% |
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.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited(continued) | June 30, 2019 |
Natural Resources Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Exxon Mobil Corp. | Integrated Oil & Gas | 6.7% | ||||
Chevron Corp. | Integrated Oil & Gas | 6.1% | ||||
BHP Group Ltd. (Australia) | Diversified Metals & Mining | 4.4% | ||||
Rio Tinto PLC (Australia) | Diversified Metals & Mining | 3.9% | ||||
Royal Dutch Shell PLC (Class A Stock) (Netherlands) | Integrated Oil & Gas | 3.6% | ||||
TOTAL SA (France) | Integrated Oil & Gas | 3.3% | ||||
BP PLC (United Kingdom) | Integrated Oil & Gas | 3.3% | ||||
Ecolab, Inc. | Specialty Chemicals | 3.1% | ||||
Valero Energy Corp. | Oil & Gas Refining & Marketing | 3.0% | ||||
Linde PLC (United Kingdom) | Industrial Gases | 3.0% |
Small Capitalization Stock Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Selective Insurance Group, Inc. | Insurance | 0.6% | ||||
FirstCash, Inc. | Consumer Finance | 0.6% | ||||
Tetra Tech, Inc. | Commercial Services & Supplies | 0.6% | ||||
Strategic Education, Inc. | Diversified Consumer Services | 0.5% | ||||
Mercury Systems, Inc. | Aerospace & Defense | 0.5% | ||||
John Bean Technologies Corp. | Machinery | 0.5% | ||||
Repligen Corp. | Biotechnology | 0.5% | ||||
Omnicell, Inc. | Health Care Technology | 0.5% | ||||
LHC Group, Inc. | Health Care Providers & Services | 0.5% | ||||
Glacier Bancorp, Inc. | Banks | 0.5% |
Stock Index Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 4.1% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 3.5% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 3.1% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.9% | ||||
Berkshire Hathaway, Inc. (Class B Stock) | Diversified Financial Services | 1.7% | ||||
Johnson & Johnson | Pharmaceuticals | 1.5% | ||||
JPMorgan Chase & Co. | Banks | 1.5% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 1.3% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 1.3% | ||||
Exxon Mobil Corp. | Oil, Gas & Consumable Fuels | 1.3% |
Value Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
JPMorgan Chase & Co. | Banks | 4.0% | ||||
Chevron Corp. | Oil, Gas & Consumable Fuels | 3.2% | ||||
Pfizer, Inc. | Pharmaceuticals | 2.7% | ||||
Bank of America Corp. | Banks | 2.6% | ||||
Citigroup, Inc. | Banks | 2.5% | ||||
Walmart, Inc. | Food & Staples Retailing | 2.5% | ||||
Cisco Systems, Inc. | Communications Equipment | 2.5% | ||||
American Electric Power Co., Inc. | Electric Utilities | 2.4% | ||||
Procter & Gamble Co. (The) | Household Products | 2.2% | ||||
Chubb Ltd. | Insurance | 2.2% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2019 |
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 January 1, 2019 through June 30, 2019.
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 fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,113.20 | 0.59 | % | $ | 3.09 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.87 | 0.59 | % | $ | 2.96 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,077.00 | 0.44 | % | $ | 2.27 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.61 | 0.44 | % | $ | 2.21 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,184.20 | 0.47 | % | $ | 2.55 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.46 | 0.47 | % | $ | 2.36 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,181.90 | 0.87 | % | $ | 4.71 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,121.90 | 0.63 | % | $ | 3.31 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,187.90 | 0.77 | % | $ | 4.18 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.98 | 0.77 | % | $ | 3.86 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,049.60 | 0.52 | % | $ | 2.64 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.22 | 0.52 | % | $ | 2.61 | ||||||||||
Government Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,010.40 | 0.35 | % | $ | 1.74 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.06 | 0.35 | % | $ | 1.76 | ||||||||||
High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,108.90 | 0.57 | % | $ | 2.98 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 | ||||||||||
Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,212.10 | 0.62 | % | $ | 3.40 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.72 | 0.62 | % | $ | 3.11 |
The Prudential Series Fund
Fees and Expenses — unaudited(continued) | June 30, 2019 |
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,209.80 | 1.02 | % | $ | 5.59 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.74 | 1.02 | % | $ | 5.11 | ||||||||||
Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 1,135.10 | 0.53 | % | $ | 2.81 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.17 | 0.53 | % | $ | 2.66 | ||||||||||
Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 1,133.10 | 0.93 | % | $ | 4.92 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.18 | 0.93 | % | $ | 4.66 | ||||||||||
Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 1,135.10 | 0.39 | % | $ | 2.06 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.86 | 0.39 | % | $ | 1.96 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,183.10 | 0.31 | % | $ | 1.68 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.26 | 0.31 | % | $ | 1.56 | ||||||||||
Value (Class I) | Actual | $ | 1,000.00 | $ | 1,164.30 | 0.43 | % | $ | 2.31 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 | ||||||||||
Value (Class II) | Actual | $ | 1,000.00 | $ | 1,162.10 | 0.83 | % | $ | 4.45 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.68 | 0.83 | % | $ | 4.16 |
* 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 181 days in the six-month period ended June 30, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (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 | |
CNH | Chinese Renminbi | |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen | |
USD | US Dollar |
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A | Annual payment frequency for swaps | |
ABS | Asset-Backed Security | |
Aces | Alternative Credit Enhancements Securities | |
ADR | American Depositary Receipt | |
BABs | Build America Bonds | |
BKNT | Bank Notes | |
CLO | Collateralized Loan Obligation | |
CMS | Constant Maturity Swap | |
CNX | CRISIL NSE Index | |
CVA | Certificate Van Aandelen (Bearer) | |
CVR | Contingent Value Rights | |
CVT | Convertible Security | |
EAFE | Europe, Australasia, Far East | |
EMTN | Euro Medium Term Note | |
EONIA | Euro Overnight Index Average | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corporation | |
GMTN | Global Medium Term Note | |
GO | General Obligation | |
IO | Interest Only (Principal amount represents notional) | |
LIBOR | London Interbank Offered Rate | |
M | Monthly payment frequency for swaps | |
MSCI | Morgan Stanley Capital International | |
MTN | Medium Term Note | |
MUNIPSA | Municipal Swap Weekly Yield Index | |
OTC | Over-the-counter | |
PIK | Payment-in-Kind | |
PO | Principal Only | |
PRFC | Preference Shares | |
Q | Quarterly payment frequency for swaps | |
REIT(s) | Real Estate Investment Trust(s) | |
RSP | Savings Shares | |
S | Semiannual payment frequency for swaps | |
S&P | Standard & Poor’s | |
SLM | Student Loan Mortgage | |
SONIA | Sterling Overnight Index Average | |
SPDR | Standard & Poor’s Depositary Receipts | |
STACR | Structured Agency Credit Risk | |
Strips | Separate Trading of Registered Interest and Principal of Securities | |
TBA | To Be Announced | |
TIPS | Treasury Inflation-Protected Securities | |
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 June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 88.8% | ||||||||
COMMON STOCKS — 48.7% | Shares | Value | ||||||
Aerospace & Defense — 1.3% |
| |||||||
Airbus SE (France) | 1,062 | $ | 150,692 | |||||
Arconic, Inc. | 19,180 | 495,228 | ||||||
Boeing Co. (The) | 25,850 | 9,409,659 | ||||||
General Dynamics Corp. | 13,300 | 2,418,206 | ||||||
Huntington Ingalls Industries, Inc. | 2,200 | 494,428 | ||||||
L3 Technologies, Inc. | 3,900 | 956,163 | ||||||
L3Harris Technologies, Inc. | 5,900 | 1,115,867 | ||||||
Lockheed Martin Corp. | 12,180 | 4,427,917 | ||||||
MTU Aero Engines AG (Germany) | 682 | 162,726 | ||||||
Northrop Grumman Corp. | 8,362 | 2,701,846 | ||||||
Raytheon Co. | 13,900 | 2,416,932 | ||||||
Textron, Inc. | 11,500 | 609,960 | ||||||
TransDigm Group, Inc.* | 2,500 | 1,209,500 | ||||||
United Technologies Corp. | 39,802 | 5,182,220 | ||||||
|
| |||||||
31,751,344 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% | ||||||||
C.H. Robinson Worldwide, Inc.(a) | 6,600 | 556,710 | ||||||
Expeditors International of Washington, Inc. | 8,600 | 652,396 | ||||||
FedEx Corp. | 11,780 | 1,934,158 | ||||||
SG Holdings Co. Ltd. (Japan) | 200 | 5,672 | ||||||
United Parcel Service, Inc. (Class B Stock) | 34,100 | 3,521,507 | ||||||
|
| |||||||
6,670,443 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
Alaska Air Group, Inc.(a) | 6,500 | 415,415 | ||||||
American Airlines Group, Inc. | 18,800 | 613,068 | ||||||
Delta Air Lines, Inc. | 30,300 | 1,719,525 | ||||||
Japan Airlines Co. Ltd. (Japan) | 200 | 6,391 | ||||||
Southwest Airlines Co. | 24,400 | 1,239,032 | ||||||
United Continental Holdings, Inc.* | 11,000 | 963,050 | ||||||
|
| |||||||
4,956,481 | ||||||||
|
| |||||||
Auto Components — 0.1% | ||||||||
Aptiv PLC | 12,700 | 1,026,541 | ||||||
BorgWarner, Inc. | 9,600 | 403,008 | ||||||
Bridgestone Corp. (Japan) | 900 | 35,498 | ||||||
Cie Generale des Etablissements Michelin SCA (France) | 1,307 | 165,586 | ||||||
Toyota Industries Corp. (Japan) | 200 | 11,050 | ||||||
|
| |||||||
1,641,683 | ||||||||
|
| |||||||
Automobiles — 0.2% | ||||||||
Ferrari NV (Italy) | 166 | 26,917 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom) | 1,497 | 20,845 | ||||||
Ford Motor Co. | 191,485 | 1,958,891 | ||||||
General Motors Co. | 64,200 | 2,473,626 | ||||||
Harley-Davidson, Inc.(a) | 7,900 | 283,057 | ||||||
Honda Motor Co. Ltd. (Japan) | 2,500 | 64,735 | ||||||
Isuzu Motors Ltd. (Japan) | 900 | 10,259 | ||||||
Mazda Motor Corp. (Japan) | 900 | 9,400 | ||||||
Peugeot SA (France) | 6,857 | 168,991 | ||||||
Toyota Motor Corp. (Japan) | 2,700 | 167,939 | ||||||
Volkswagen AG (Germany) | 45 | 7,738 | ||||||
|
| |||||||
5,192,398 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks — 2.7% | ||||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 33,200 | $ | 185,456 | |||||
Bank LeumiLe-Israel BM (Israel) | 2,297 | 16,579 | ||||||
Bank of America Corp. | 440,321 | 12,769,309 | ||||||
Barclays PLC (United Kingdom) | 93,787 | 178,702 | ||||||
BB&T Corp.(a) | 37,400 | 1,837,462 | ||||||
BNP Paribas SA (France) | 1,557 | 73,970 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 5,500 | 21,631 | ||||||
Citigroup, Inc. | 116,335 | 8,146,940 | ||||||
Citizens Financial Group, Inc. | 23,600 | 834,496 | ||||||
Comerica, Inc. | 8,200 | 595,648 | ||||||
Commerzbank AG (Germany) | 1,553 | 11,182 | ||||||
Commonwealth Bank of Australia (Australia) | 236 | 13,719 | ||||||
Credit Agricole SA (France) | 1,822 | 21,836 | ||||||
DBS Group Holdings Ltd. (Singapore) | 7,900 | 151,555 | ||||||
DNB ASA (Norway) | 8,050 | 149,904 | ||||||
Erste Group Bank AG (Austria)* | 1,237 | 45,929 | ||||||
Fifth Third Bancorp | 37,321 | 1,041,256 | ||||||
First Republic Bank | 8,200 | 800,730 | ||||||
Hang Seng Bank Ltd. (Hong Kong) | 1,100 | 27,315 | ||||||
HSBC Holdings PLC (United Kingdom) | 14,599 | 121,859 | ||||||
Huntington Bancshares, Inc. | 50,836 | 702,553 | ||||||
Intesa Sanpaolo SpA (Italy) | 22,914 | 49,027 | ||||||
Israel Discount Bank Ltd. (Israel) | 10,860 | 44,353 | ||||||
JPMorgan Chase & Co. | 160,545 | 17,948,931 | ||||||
KBC Group NV (Belgium) | 377 | 24,746 | ||||||
KeyCorp. | 48,500 | 860,875 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 109,687 | 78,974 | ||||||
M&T Bank Corp. | 6,800 | 1,156,476 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 43,900 | 208,872 | ||||||
People’s United Financial, Inc.(a) | 16,500 | 276,870 | ||||||
PNC Financial Services Group, Inc. (The) | 22,233 | 3,052,146 | ||||||
Raiffeisen Bank International AG (Austria) | 4,372 | 102,685 | ||||||
Regions Financial Corp. | 48,603 | 726,129 | ||||||
Resona Holdings, Inc. (Japan) | 3,200 | 13,346 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 15,624 | 144,454 | ||||||
Societe Generale SA (France) | 2,267 | 57,286 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 2,100 | 74,264 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 3,100 | 112,626 | ||||||
SunTrust Banks, Inc. | 21,700 | 1,363,845 | ||||||
SVB Financial Group* | 2,700 | 606,393 | ||||||
U.S. Bancorp | 73,785 | 3,866,334 | ||||||
United Overseas Bank Ltd. (Singapore) | 2,100 | 40,533 | ||||||
Wells Fargo & Co. | 200,464 | 9,485,956 | ||||||
Zions Bancorp NA | 9,450 | 434,511 | ||||||
|
| |||||||
68,477,663 | ||||||||
|
| |||||||
Beverages — 0.9% |
| |||||||
Asahi Group Holdings Ltd. (Japan) | 2,000 | 90,078 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Beverages (continued) |
| |||||||
Brown-Forman Corp. | 8,475 | $ | 469,769 | |||||
Carlsberg A/S (Denmark) | 162 | 21,457 | ||||||
Coca-Cola Co. (The) | 188,601 | 9,603,563 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 3,100 | 175,150 | ||||||
Constellation Brands, Inc. | 8,200 | 1,614,908 | ||||||
Diageo PLC (United Kingdom) | 297 | 12,790 | ||||||
Molson Coors Brewing Co. | 9,700 | 543,200 | ||||||
Monster Beverage Corp.* | 19,200 | 1,225,536 | ||||||
PepsiCo, Inc. | 69,307 | 9,088,227 | ||||||
Treasury Wine Estates Ltd. (Australia) | 1,144 | 12,008 | ||||||
|
| |||||||
22,856,686 | ||||||||
|
| |||||||
Biotechnology — 1.1% |
| |||||||
AbbVie, Inc. | 72,300 | 5,257,656 | ||||||
Alexion Pharmaceuticals, Inc.* | 10,900 | 1,427,682 | ||||||
Amgen, Inc. | 30,537 | 5,627,359 | ||||||
Biogen, Inc.* | 9,660 | 2,259,184 | ||||||
Celgene Corp.* | 35,100 | 3,244,644 | ||||||
Gilead Sciences, Inc. | 62,500 | 4,222,500 | ||||||
Incyte Corp.* | 9,100 | 773,136 | ||||||
Regeneron Pharmaceuticals, Inc.* | 3,940 | 1,233,220 | ||||||
Vertex Pharmaceuticals, Inc.* | 12,600 | 2,310,588 | ||||||
|
| |||||||
26,355,969 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
A.O. Smith Corp. | 6,800 | 320,688 | ||||||
Allegion PLC | 4,633 | 512,178 | ||||||
Fortune Brands Home & Security, Inc. | 6,600 | 377,058 | ||||||
Geberit AG (Switzerland) | 57 | 26,609 | ||||||
Johnson Controls International PLC | 43,222 | 1,785,501 | ||||||
Kingspan Group PLC (Ireland) | 229 | 12,433 | ||||||
Masco Corp. | 14,400 | 565,056 | ||||||
|
| |||||||
3,599,523 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
3i Group PLC (United Kingdom) | 12,082 | 170,910 | ||||||
Affiliated Managers Group, Inc. | 2,800 | 257,992 | ||||||
Ameriprise Financial, Inc. | 6,720 | 975,475 | ||||||
ASX Ltd. (Australia) | 297 | 17,178 | ||||||
Bank of New York Mellon Corp. (The) | 43,058 | 1,901,011 | ||||||
BlackRock, Inc. | 6,000 | 2,815,800 | ||||||
Cboe Global Markets, Inc. | 5,600 | 580,328 | ||||||
Charles Schwab Corp. (The) | 58,150 | 2,337,048 | ||||||
CME Group, Inc.(a) | 17,600 | 3,416,336 | ||||||
E*TRADE Financial Corp. | 11,720 | 522,712 | ||||||
Franklin Resources, Inc.(a) | 13,700 | 476,760 | ||||||
Goldman Sachs Group, Inc. (The) | 16,800 | 3,437,280 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 4,800 | 169,764 | ||||||
Intercontinental Exchange, Inc. | 27,855 | 2,393,859 | ||||||
Invesco Ltd. | 19,200 | 392,832 | ||||||
Macquarie Group Ltd. (Australia) | 495 | 43,567 | ||||||
Moody’s Corp. | 8,350 | 1,630,839 | ||||||
Morgan Stanley | 64,880 | 2,842,393 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Capital Markets (continued) |
| |||||||
MSCI, Inc. | 4,200 | $ | 1,002,918 | |||||
Nasdaq, Inc. | 5,600 | 538,552 | ||||||
Northern Trust Corp. | 10,600 | 954,000 | ||||||
Raymond James Financial, Inc. | 6,500 | 549,575 | ||||||
S&P Global, Inc. | 12,200 | 2,779,038 | ||||||
State Street Corp. | 18,600 | 1,042,716 | ||||||
T. Rowe Price Group, Inc. | 11,600 | 1,272,636 | ||||||
|
| |||||||
32,521,519 | ||||||||
|
| |||||||
Chemicals — 1.0% |
| |||||||
Air Liquide SA (France) | 91 | 12,739 | ||||||
Air Products & Chemicals, Inc. | 10,800 | 2,444,796 | ||||||
Albemarle Corp.(a) | 5,100 | 359,091 | ||||||
Arkema SA (France) | 457 | 42,549 | ||||||
Celanese Corp. | 6,300 | 679,140 | ||||||
CF Industries Holdings, Inc. | 10,700 | 499,797 | ||||||
Corteva, Inc.* | 36,847 | 1,089,566 | ||||||
Covestro AG (Germany), 144A | 462 | 23,508 | ||||||
Dow, Inc. | 36,847 | 1,816,926 | ||||||
DuPont de Nemours, Inc. | 36,847 | 2,766,104 | ||||||
Eastman Chemical Co. | 7,100 | 552,593 | ||||||
Ecolab, Inc. | 12,500 | 2,468,000 | ||||||
FMC Corp. | 6,800 | 564,060 | ||||||
International Flavors & Fragrances, Inc.(a) | 4,600 | 667,414 | ||||||
Israel Chemicals Ltd. (Israel) | 20,175 | 105,764 | ||||||
Linde PLC (United Kingdom) | 27,100 | 5,441,680 | ||||||
LyondellBasell Industries NV (Class A Stock) | 14,900 | 1,283,337 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 2,000 | 14,002 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 7,500 | 100,281 | ||||||
Mosaic Co. (The) | 15,600 | 390,468 | ||||||
PPG Industries, Inc. | 11,600 | 1,353,836 | ||||||
Sherwin-Williams Co. (The) | 4,050 | 1,856,074 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 2,000 | 186,799 | ||||||
Showa Denko KK (Japan) | 200 | 5,919 | ||||||
Solvay SA (Belgium) | 110 | 11,423 | ||||||
Teijin Ltd. (Japan) | 700 | 11,951 | ||||||
|
| |||||||
24,747,817 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Cintas Corp. | 4,400 | 1,044,076 | ||||||
Copart, Inc.*(a) | 9,800 | 732,452 | ||||||
Republic Services, Inc. | 10,965 | 950,008 | ||||||
Rollins, Inc. | 6,600 | 236,742 | ||||||
Waste Management, Inc. | 19,142 | 2,208,412 | ||||||
|
| |||||||
5,171,690 | ||||||||
|
| |||||||
Communications Equipment — 0.6% | ||||||||
Arista Networks, Inc.* | 2,600 | 675,012 | ||||||
Cisco Systems, Inc. | 214,100 | 11,717,693 | ||||||
F5 Networks, Inc.* | 2,900 | 422,327 | ||||||
Juniper Networks, Inc. | 16,500 | 439,395 | ||||||
Motorola Solutions, Inc. | 8,089 | 1,348,679 | ||||||
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) | 4,747 | 45,097 | ||||||
|
| |||||||
14,648,203 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Construction & Engineering — 0.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 2,769 | $ | 110,576 | |||||
CIMIC Group Ltd. (Australia) | 150 | 4,715 | ||||||
Eiffage SA (France) | 119 | 11,759 | ||||||
Jacobs Engineering Group, Inc. | 5,900 | 497,901 | ||||||
Kajima Corp. (Japan) | 700 | 9,630 | ||||||
Obayashi Corp. (Japan) | 14,300 | 141,149 | ||||||
Quanta Services, Inc. | 7,400 | 282,606 | ||||||
Shimizu Corp. (Japan) | 4,800 | 39,917 | ||||||
Taisei Corp. (Japan) | 300 | 10,920 | ||||||
Vinci SA (France) | 774 | 79,285 | ||||||
|
| |||||||
1,188,458 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
CRH PLC (Ireland) | 1,147 | 37,513 | ||||||
HeidelbergCement AG (Germany) | 900 | 72,930 | ||||||
Martin Marietta Materials, Inc. | 3,100 | 713,341 | ||||||
Vulcan Materials Co. | 6,600 | 906,246 | ||||||
|
| |||||||
1,730,030 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
American Express Co. | 33,900 | 4,184,616 | ||||||
Capital One Financial Corp. | 22,961 | 2,083,481 | ||||||
Discover Financial Services | 16,140 | 1,252,303 | ||||||
Synchrony Financial | 31,972 | 1,108,469 | ||||||
|
| |||||||
8,628,869 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
Amcor PLC (United Kingdom)* | 75,650 | 869,219 | ||||||
Avery Dennison Corp. | 4,300 | 497,424 | ||||||
Ball Corp. | 16,400 | 1,147,836 | ||||||
International Paper Co. | 19,373 | 839,238 | ||||||
Packaging Corp. of America | 4,800 | 457,536 | ||||||
Sealed Air Corp. | 8,000 | 342,240 | ||||||
Westrock Co. | 12,344 | 450,186 | ||||||
|
| |||||||
4,603,679 | ||||||||
|
| |||||||
Distributors — 0.0% |
| |||||||
Genuine Parts Co. | 7,200 | 745,776 | ||||||
LKQ Corp.* | 15,000 | 399,150 | ||||||
|
| |||||||
1,144,926 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% |
| |||||||
H&R Block, Inc. | 8,600 | 251,980 | ||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 95,640 | 20,387,579 | ||||||
Jefferies Financial Group, Inc. | 13,300 | 255,759 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 13,300 | 70,699 | ||||||
ORIX Corp. (Japan) | 9,700 | 144,903 | ||||||
|
| |||||||
20,858,940 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
AT&T, Inc. | 357,036 | 11,964,276 | ||||||
CenturyLink, Inc.(a) | 42,679 | 501,905 | ||||||
Deutsche Telekom AG (Germany) | 13,269 | 229,596 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock) | 6,000 | 9,523 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Telecommunication Services (continued) |
| |||||||
Nippon Telegraph & Telephone Corp. (Japan) | 4,100 | $ | 191,152 | |||||
Swisscom AG (Switzerland) | 36 | 18,084 | ||||||
Telecom Italia SpA (Italy), RSP | 22,010 | 11,421 | ||||||
Telefonica SA (Spain) | 7,056 | 57,957 | ||||||
Telenor ASA (Norway) | 1,139 | 24,172 | ||||||
Telstra Corp. Ltd. (Australia) | 35,919 | 97,044 | ||||||
Verizon Communications, Inc. | 203,976 | 11,653,149 | ||||||
|
| |||||||
24,758,279 | ||||||||
|
| |||||||
Electric Utilities — 1.0% |
| |||||||
Alliant Energy Corp. | 10,600 | 520,248 | ||||||
American Electric Power Co., Inc. | 24,160 | 2,126,322 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 900 | 12,636 | ||||||
Duke Energy Corp. | 35,661 | 3,146,727 | ||||||
Edison International | 16,000 | 1,078,560 | ||||||
Enel SpA (Italy) | 35,323 | 246,686 | ||||||
Entergy Corp. | 9,000 | 926,370 | ||||||
Evergy, Inc. | 12,500 | 751,875 | ||||||
Eversource Energy(a) | 15,600 | 1,181,856 | ||||||
Exelon Corp. | 48,613 | 2,330,507 | ||||||
FirstEnergy Corp. | 24,706 | 1,057,664 | ||||||
Iberdrola SA (Spain) | 9,375 | 93,433 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 10,100 | 115,825 | ||||||
NextEra Energy, Inc. | 23,500 | 4,814,210 | ||||||
Pinnacle West Capital Corp. | 5,900 | 555,131 | ||||||
PPL Corp. | 35,600 | 1,103,956 | ||||||
Southern Co. (The) | 50,700 | 2,802,696 | ||||||
Xcel Energy, Inc.(a) | 25,510 | 1,517,590 | ||||||
|
| |||||||
24,382,292 | ||||||||
|
| |||||||
Electrical Equipment — 0.2% |
| |||||||
AMETEK, Inc. | 11,500 | 1,044,660 | ||||||
Eaton Corp. PLC | 20,737 | 1,726,977 | ||||||
Emerson Electric Co. | 30,100 | 2,008,272 | ||||||
Legrand SA (France) | 364 | 26,624 | ||||||
Rockwell Automation, Inc. | 6,200 | 1,015,746 | ||||||
Schneider Electric SE (France) | 840 | 76,202 | ||||||
|
| |||||||
5,898,481 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Amphenol Corp. (Class A Stock) | 14,600 | 1,400,724 | ||||||
Corning, Inc. | 38,500 | 1,279,355 | ||||||
FLIR Systems, Inc. | 6,100 | 330,010 | ||||||
Halma PLC (United Kingdom) | 2,716 | 69,789 | ||||||
Hexagon AB (Sweden) | 386 | 21,454 | ||||||
Hitachi Ltd. (Japan) | 2,000 | 73,416 | ||||||
IPG Photonics Corp.* | 1,700 | 262,225 | ||||||
Keysight Technologies, Inc.* | 9,400 | 844,214 | ||||||
Kyocera Corp. (Japan) | 500 | 32,753 | ||||||
TE Connectivity Ltd. | 16,600 | 1,589,948 | ||||||
Venture Corp. Ltd. (Singapore) | 400 | 4,819 | ||||||
|
| |||||||
5,908,707 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
Baker Hughes a GE Co. | 25,098 | 618,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Energy Equipment & Services (continued) |
| |||||||
Halliburton Co. | 41,700 | $ | 948,258 | |||||
Helmerich & Payne, Inc. | 5,400 | 273,348 | ||||||
National Oilwell Varco, Inc. | 18,400 | 409,032 | ||||||
Schlumberger Ltd. | 67,924 | 2,699,300 | ||||||
TechnipFMC PLC (United Kingdom) | 20,600 | 534,364 | ||||||
|
| |||||||
5,482,465 | ||||||||
|
| |||||||
Entertainment — 1.0% |
| |||||||
Activision Blizzard, Inc. | 37,300 | 1,760,560 | ||||||
Electronic Arts, Inc.* | 14,700 | 1,488,522 | ||||||
Netflix, Inc.* | 21,570 | 7,923,092 | ||||||
Nexon Co. Ltd. (Japan)* | 800 | 11,623 | ||||||
Nintendo Co. Ltd. (Japan) | 100 | 36,769 | ||||||
Take-Two Interactive Software, Inc.*(a) | 5,800 | 658,474 | ||||||
Viacom, Inc. (Class B Stock) | 16,934 | 505,819 | ||||||
Vivendi SA (France) | 1,613 | 44,376 | ||||||
Walt Disney Co. (The) | 85,592 | 11,952,067 | ||||||
|
| |||||||
24,381,302 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||
Alexandria Real Estate Equities, Inc. | 5,600 | 790,104 | ||||||
American Tower Corp. | 22,000 | 4,497,900 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 7,936 | 397,752 | ||||||
AvalonBay Communities, Inc. | 7,275 | 1,478,134 | ||||||
Boston Properties, Inc. | 7,800 | 1,006,200 | ||||||
Crown Castle International Corp. | 20,400 | 2,659,140 | ||||||
Dexus (Australia) | 1,497 | 13,661 | ||||||
Digital Realty Trust, Inc.(a) | 10,300 | 1,213,237 | ||||||
Duke Realty Corp. | 16,500 | 521,565 | ||||||
Equinix, Inc. | 4,354 | 2,195,679 | ||||||
Equity Residential | 18,400 | 1,396,928 | ||||||
Essex Property Trust, Inc. | 3,350 | 977,965 | ||||||
Extra Space Storage, Inc.(a) | 6,400 | 679,040 | ||||||
Federal Realty Investment Trust | 3,700 | 476,412 | ||||||
Goodman Group (Australia) | 17,915 | 189,181 | ||||||
HCP, Inc. | 23,400 | 748,332 | ||||||
Host Hotels & Resorts, Inc. | 34,082 | 620,974 | ||||||
Iron Mountain, Inc.(a) | 13,102 | 410,093 | ||||||
Kimco Realty Corp.(a) | 18,700 | 345,576 | ||||||
Land Securities Group PLC (United Kingdom) | 13,409 | 141,962 | ||||||
Link REIT (Hong Kong) | 500 | 6,148 | ||||||
Macerich Co. (The)(a) | 5,500 | 184,195 | ||||||
Mid-America Apartment Communities, Inc. (Class A Stock) | 5,800 | 683,008 | ||||||
Mirvac Group (Australia) | 5,038 | 11,070 | ||||||
Nippon Building Fund, Inc. (Japan) | 2 | 13,699 | ||||||
Prologis, Inc. | 30,877 | 2,473,248 | ||||||
Public Storage | 7,600 | 1,810,092 | ||||||
Realty Income Corp. | 15,000 | 1,034,550 | ||||||
Regency Centers Corp. | 8,700 | 580,638 | ||||||
SBA Communications Corp.* | 5,500 | 1,236,620 | ||||||
Simon Property Group, Inc.(a) | 15,193 | 2,427,234 | ||||||
SL Green Realty Corp. | 4,300 | 345,591 | ||||||
UDR, Inc. | 13,200 | 592,548 | ||||||
Ventas, Inc.(a) | 17,918 | 1,224,695 | ||||||
Vornado Realty Trust | 8,525 | 546,452 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Welltower, Inc.(a) | 18,900 | $ | 1,540,917 | |||||
Weyerhaeuser Co. | 35,818 | 943,446 | ||||||
|
| |||||||
36,413,986 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
Costco Wholesale Corp. | 21,600 | 5,708,016 | ||||||
ICA Gruppen AB (Sweden) | 123 | 5,284 | ||||||
J Sainsbury PLC (United Kingdom) | 54,920 | 136,633 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 6,472 | 145,471 | ||||||
Kroger Co. (The) | 37,992 | 824,806 | ||||||
Seven & i Holdings Co. Ltd. (Japan) | 200 | 6,774 | ||||||
Sysco Corp. | 23,200 | 1,640,704 | ||||||
Tesco PLC (United Kingdom) | 26,835 | 77,226 | ||||||
Walgreens Boots Alliance, Inc.(a) | 39,300 | 2,148,531 | ||||||
Walmart, Inc. | 69,800 | 7,712,202 | ||||||
Wm Morrison Supermarkets PLC (United Kingdom) | 19,660 | 50,285 | ||||||
Woolworths Group Ltd. (Australia) | 1,131 | 26,370 | ||||||
|
| |||||||
18,482,302 | ||||||||
|
| |||||||
Food Products — 0.6% |
| |||||||
Archer-Daniels-Midland Co. | 27,026 | 1,102,661 | ||||||
Associated British Foods PLC (United Kingdom) | 550 | 17,217 | ||||||
Campbell Soup Co.(a) | 9,000 | 360,630 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Switzerland) | 2 | 14,538 | ||||||
Conagra Brands, Inc. | 23,000 | 609,960 | ||||||
General Mills, Inc. | 29,300 | 1,538,836 | ||||||
Hershey Co. (The) | 6,800 | 911,404 | ||||||
Hormel Foods Corp.(a) | 13,300 | 539,182 | ||||||
J.M. Smucker Co. (The)(a) | 5,600 | 645,064 | ||||||
Kellogg Co.(a) | 12,700 | 680,339 | ||||||
Kraft Heinz Co. (The) | 29,717 | 922,416 | ||||||
Lamb Weston Holdings, Inc. | 7,400 | 468,864 | ||||||
McCormick & Co., Inc.(a) | 6,500 | 1,007,565 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 200 | 14,305 | ||||||
Mondelez International, Inc. | 70,753 | 3,813,587 | ||||||
Nestle SA (Switzerland) | 5,038 | 521,487 | ||||||
Orkla ASA (Norway) | 1,233 | 10,944 | ||||||
Tate & Lyle PLC (United Kingdom) | 15,337 | 143,877 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 1,400 | 57,711 | ||||||
Tyson Foods, Inc. (Class A Stock) | 15,400 | 1,243,396 | ||||||
WH Group Ltd. (Hong Kong), 144A | 13,000 | 13,211 | ||||||
Wilmar International Ltd. (Singapore) | 55,600 | 152,015 | ||||||
|
| |||||||
14,789,209 | ||||||||
|
| |||||||
Gas Utilities — 0.0% | ||||||||
Atmos Energy Corp. | 5,400 | �� | 570,024 | |||||
Tokyo Gas Co. Ltd. (Japan) | 600 | 14,137 | ||||||
|
| |||||||
584,161 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.7% |
| |||||||
Abbott Laboratories | 86,500 | 7,274,650 | ||||||
ABIOMED, Inc.* | 2,160 | 562,658 | ||||||
Alcon, Inc. (Switzerland)* | 337 | 20,867 | ||||||
Align Technology, Inc.* | 3,600 | 985,320 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Equipment & Supplies (continued) |
| |||||||
Baxter International, Inc. | 23,400 | $ | 1,916,460 | |||||
Becton, Dickinson & Co. | 13,210 | 3,329,052 | ||||||
Boston Scientific Corp.* | 67,967 | 2,921,222 | ||||||
Cooper Cos., Inc. (The) | 2,440 | 822,012 | ||||||
Danaher Corp. | 30,800 | 4,401,936 | ||||||
DENTSPLY SIRONA, Inc. | 11,800 | 688,648 | ||||||
Edwards Lifesciences Corp.* | 10,200 | 1,884,348 | ||||||
Hologic, Inc.* | 13,600 | 653,072 | ||||||
Hoya Corp. (Japan) | 2,000 | 153,742 | ||||||
IDEXX Laboratories, Inc.* | 4,400 | 1,211,452 | ||||||
Intuitive Surgical, Inc.* | 5,860 | 3,073,863 | ||||||
Medtronic PLC | 65,790 | 6,407,288 | ||||||
ResMed, Inc. | 7,100 | 866,413 | ||||||
Smith & Nephew PLC | 2,449 | 53,035 | ||||||
Sonova Holding AG (Switzerland) | 86 | 19,559 | ||||||
Stryker Corp. | 15,200 | 3,124,816 | ||||||
Teleflex, Inc. | 2,400 | 794,760 | ||||||
Varian Medical Systems, Inc.* | 4,600 | 626,198 | ||||||
Zimmer Biomet Holdings, Inc. | 10,100 | 1,189,174 | ||||||
|
| |||||||
42,980,545 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.3% |
| |||||||
Alfresa Holdings Corp. (Japan) | 2,900 | 71,738 | ||||||
AmerisourceBergen Corp. | 8,100 | 690,606 | ||||||
Anthem, Inc. | 12,800 | 3,612,288 | ||||||
Cardinal Health, Inc. | 14,150 | 666,465 | ||||||
Centene Corp.* | 20,800 | 1,090,752 | ||||||
Cigna Corp. | 18,700 | 2,946,185 | ||||||
CVS Health Corp. | 63,583 | 3,464,638 | ||||||
DaVita, Inc.* | 6,400 | 360,064 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 468 | 36,806 | ||||||
Fresenius SE & Co. KGaA (Germany) | 778 | 42,228 | ||||||
HCA Healthcare, Inc. | 13,100 | 1,770,727 | ||||||
Henry Schein, Inc.*(a) | 7,700 | 538,230 | ||||||
Humana, Inc. | 6,650 | 1,764,245 | ||||||
Laboratory Corp. of America Holdings* | 5,000 | 864,500 | ||||||
McKesson Corp. | 9,430 | 1,267,298 | ||||||
Medipal Holdings Corp. (Japan) | 6,700 | 148,091 | ||||||
Quest Diagnostics, Inc. | 6,800 | 692,308 | ||||||
Ramsay Health Care Ltd. (Australia) | 220 | 11,157 | ||||||
Sonic Healthcare Ltd. (Australia) | 698 | 13,256 | ||||||
Suzuken Co. Ltd. (Japan) | 300 | 17,629 | ||||||
UnitedHealth Group, Inc. | 47,260 | 11,531,912 | ||||||
Universal Health Services, Inc. | 4,300 | 560,677 | ||||||
WellCare Health Plans, Inc.* | 2,500 | 712,675 | ||||||
|
| |||||||
32,874,475 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp. | 16,400 | 1,202,120 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
Aristocrat Leisure Ltd. (Australia) | 876 | 18,882 | ||||||
Carnival Corp. | 19,300 | 898,415 | ||||||
Chipotle Mexican Grill, Inc.* | 1,200 | 879,456 | ||||||
Compass Group PLC | 5,475 | 131,275 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
Darden Restaurants, Inc. | 6,450 | $ | 785,159 | |||||
Flutter Entertainment PLC (Ireland) | 114 | 8,584 | ||||||
Hilton Worldwide Holdings, Inc. | 14,400 | 1,407,456 | ||||||
Marriott International, Inc. | 13,828 | 1,939,930 | ||||||
McDonald’s Corp. | 37,600 | 7,808,016 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | 200 | 8,821 | ||||||
MGM Resorts International | 23,800 | 679,966 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 10,900 | 584,567 | ||||||
Oriental Land Co. Ltd. (Japan) | 300 | 37,209 | ||||||
Royal Caribbean Cruises Ltd. | 8,400 | 1,018,164 | ||||||
Sands China Ltd. (Macau) | 3,600 | 17,228 | ||||||
Sodexo SA (France) | 137 | 16,008 | ||||||
Starbucks Corp. | 61,000 | 5,113,630 | ||||||
TUI AG (Germany) | 591 | 5,808 | ||||||
Wynn Resorts Ltd. | 4,700 | 582,753 | ||||||
Yum! Brands, Inc. | 15,000 | 1,660,050 | ||||||
|
| |||||||
23,601,377 | ||||||||
|
| |||||||
Household Durables — 0.2% |
| |||||||
Barratt Developments PLC | 1,516 | 11,023 | ||||||
Berkeley Group Holdings PLC | 3,268 | 154,895 | ||||||
D.R. Horton, Inc. | 16,300 | 703,019 | ||||||
Garmin Ltd. | 6,000 | 478,800 | ||||||
Leggett & Platt, Inc. | 4,900 | 188,013 | ||||||
Lennar Corp. (Class A Stock) | 13,600 | 659,056 | ||||||
Mohawk Industries, Inc.* | 3,340 | 492,550 | ||||||
Newell Brands, Inc. | 18,514 | 285,486 | ||||||
Persimmon PLC (United Kingdom) | 458 | 11,625 | ||||||
PulteGroup, Inc. | 11,922 | 376,974 | ||||||
Sekisui House Ltd. (Japan) | 1,000 | 16,517 | ||||||
Sony Corp. (Japan) | 1,900 | 99,496 | ||||||
Taylor Wimpey PLC (United Kingdom) | 5,073 | 10,171 | ||||||
Whirlpool Corp. | 3,426 | 487,725 | ||||||
|
| |||||||
3,975,350 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
Church & Dwight Co., Inc. | 11,900 | 869,414 | ||||||
Clorox Co. (The)(a) | 6,500 | 995,215 | ||||||
Colgate-Palmolive Co. | 42,300 | 3,031,641 | ||||||
Essity AB (Sweden) (Class B Stock) | 917 | 28,172 | ||||||
Henkel AG & Co. KGaA (Germany) | 143 | 13,136 | ||||||
Kimberly-Clark Corp. | 16,900 | 2,252,432 | ||||||
Procter & Gamble Co. (The) | 123,125 | 13,500,656 | ||||||
|
| |||||||
20,690,666 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.0% |
| |||||||
AES Corp. | 30,700 | 514,532 | ||||||
NRG Energy, Inc. | 13,300 | 467,096 | ||||||
|
| |||||||
981,628 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.7% |
| |||||||
3M Co. | 28,300 | 4,905,522 | ||||||
CK Hutchison Holdings Ltd. | 10,000 | 98,455 | ||||||
General Electric Co. | 426,730 | 4,480,665 |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Industrial Conglomerates (continued) |
| |||||||
Honeywell International, Inc. | 35,812 | $ | 6,252,417 | |||||
Roper Technologies, Inc. | 5,200 | 1,904,552 | ||||||
|
| |||||||
17,641,611 | ||||||||
|
| |||||||
Insurance — 1.2% |
| |||||||
Aflac, Inc. | 36,800 | 2,017,008 | ||||||
Ageas (Belgium) | 278 | 14,451 | ||||||
AIA Group Ltd. (Hong Kong) | 18,200 | 196,797 | ||||||
Allianz SE (Germany) | 1,261 | 304,124 | ||||||
Allstate Corp. (The) | 16,300 | 1,657,547 | ||||||
American International Group, Inc. | 42,639 | 2,271,806 | ||||||
Aon PLC | 11,800 | 2,277,164 | ||||||
Arthur J Gallagher & Co. | 8,500 | 744,515 | ||||||
Assurant, Inc. | 3,000 | 319,140 | ||||||
Aviva PLC (United Kingdom) | 5,779 | 30,587 | ||||||
Baloise Holding AG (Switzerland) | 74 | 13,099 | ||||||
Chubb Ltd. | 22,486 | 3,311,963 | ||||||
Cincinnati Financial Corp. | 7,737 | 802,095 | ||||||
Everest Re Group Ltd. | 2,200 | 543,796 | ||||||
Hartford Financial Services Group, Inc. (The) | 17,700 | 986,244 | ||||||
Insurance Australia Group Ltd. (Australia) | 3,582 | 20,762 | ||||||
Japan Post Holdings Co. Ltd. (Japan) | 6,700 | 75,894 | ||||||
Legal & General Group PLC (United Kingdom) | 50,315 | 172,391 | ||||||
Lincoln National Corp. | 10,018 | 645,660 | ||||||
Loews Corp. | 13,675 | 747,612 | ||||||
Marsh & McLennan Cos., Inc. | 24,800 | 2,473,800 | ||||||
Medibank Private Ltd. (Australia) | 37,931 | 92,879 | ||||||
MetLife, Inc. | 47,800 | 2,374,226 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 229 | 57,491 | ||||||
NN Group NV (Netherlands) | 3,330 | 133,996 | ||||||
Principal Financial Group, Inc.(a) | 13,100 | 758,752 | ||||||
Progressive Corp. (The) | 28,600 | 2,285,998 | ||||||
QBE Insurance Group Ltd. (Australia) | 2,045 | 16,967 | ||||||
Swiss Life Holding AG (Switzerland) | 52 | 25,799 | ||||||
Tokio Marine Holdings, Inc. (Japan) | 900 | 45,150 | ||||||
Torchmark Corp. | 5,025 | 449,537 | ||||||
Travelers Cos., Inc. (The) | 12,935 | 1,934,041 | ||||||
Unum Group | 9,910 | 332,481 | ||||||
Willis Towers Watson PLC | 6,340 | 1,214,364 | ||||||
Zurich Insurance Group AG (Switzerland) | 492 | 171,014 | ||||||
|
| |||||||
29,519,150 | ||||||||
|
| |||||||
Interactive Media & Services — 2.3% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 14,740 | 15,960,472 | ||||||
Alphabet, Inc. (Class C Stock)* | 15,163 | 16,389,838 | ||||||
Auto Trader Group PLC (United Kingdom), 144A | 18,153 | 126,351 | ||||||
Facebook, Inc. (Class A Stock)* | 117,820 | 22,739,260 | ||||||
TripAdvisor, Inc.*(a) | 5,150 | 238,394 | ||||||
Twitter, Inc.* | 36,800 | 1,284,320 | ||||||
|
| |||||||
56,738,635 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Internet & Direct Marketing Retail — 1.8% |
| |||||||
Amazon.com, Inc.* | 20,370 | $ | 38,573,243 | |||||
Booking Holdings, Inc.* | 2,210 | 4,143,109 | ||||||
eBay, Inc. | 42,100 | 1,662,950 | ||||||
Expedia Group, Inc. | 5,950 | 791,529 | ||||||
Rakuten, Inc. (Japan) | 6,300 | 75,157 | ||||||
|
| |||||||
45,245,988 | ||||||||
|
| |||||||
IT Services — 2.6% |
| |||||||
Accenture PLC (Class A Stock) | 31,300 | 5,783,301 | ||||||
Adyen NV (Netherlands), 144A* | 83 | 64,119 | ||||||
Akamai Technologies, Inc.* | 8,000 | 641,120 | ||||||
Alliance Data Systems Corp. | 2,240 | 313,891 | ||||||
Automatic Data Processing, Inc. | 21,400 | 3,538,062 | ||||||
Broadridge Financial Solutions, Inc. | 6,000 | 766,080 | ||||||
Capgemini SE (France) | 134 | 16,651 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 28,200 | 1,787,598 | ||||||
DXC Technology Co. | 13,128 | 724,009 | ||||||
Fidelity National Information Services, Inc. | 15,900 | 1,950,612 | ||||||
Fiserv, Inc.*(a) | 19,200 | 1,750,272 | ||||||
FleetCor Technologies, Inc.* | 4,200 | 1,179,570 | ||||||
Gartner, Inc.* | 4,400 | 708,136 | ||||||
Global Payments, Inc. | 7,900 | 1,265,027 | ||||||
International Business Machines Corp. | 43,700 | 6,026,230 | ||||||
Jack Henry & Associates, Inc. | 3,400 | 455,328 | ||||||
Mastercard, Inc. (Class A Stock) | 44,300 | 11,718,679 | ||||||
Obic Co. Ltd. (Japan) | 700 | 79,490 | ||||||
Paychex, Inc.(a) | 15,500 | 1,275,495 | ||||||
PayPal Holdings, Inc.* | 57,500 | 6,581,450 | ||||||
Total System Services, Inc. | 7,996 | 1,025,647 | ||||||
VeriSign, Inc.* | 5,200 | 1,087,632 | ||||||
Visa, Inc. (Class A Stock)(a) | 86,200 | 14,960,010 | ||||||
Western Union Co. (The)(a) | 18,910 | 376,120 | ||||||
Wirecard AG (Germany) | 918 | 155,515 | ||||||
|
| |||||||
64,230,044 | ||||||||
|
| |||||||
Leisure Products — 0.0% |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 300 | 14,581 | ||||||
Hasbro, Inc. | 5,700 | 602,376 | ||||||
|
| |||||||
616,957 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
Agilent Technologies, Inc. | 16,014 | 1,195,765 | ||||||
Illumina, Inc.* | 7,400 | 2,724,310 | ||||||
IQVIA Holdings, Inc.* | 7,800 | 1,255,020 | ||||||
Mettler-Toledo International, Inc.* | 1,300 | 1,092,000 | ||||||
PerkinElmer, Inc. | 5,900 | 568,406 | ||||||
QIAGEN NV* | 310 | 12,585 | ||||||
Thermo Fisher Scientific, Inc. | 19,780 | 5,808,990 | ||||||
Waters Corp.* | 3,500 | 753,340 | ||||||
|
| |||||||
13,410,416 | ||||||||
|
| |||||||
Machinery — 0.8% |
| |||||||
Alfa Laval AB (Sweden) | 446 | 9,733 | ||||||
Alstom SA (France) | 1,417 | 65,740 | ||||||
Amada Holdings Co. Ltd. (Japan) | 1,400 | 15,803 | ||||||
Atlas Copco AB (Sweden) | 1,031 | 32,944 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (continued) |
| |||||||
Atlas Copco AB (Sweden) | 585 | $ | 16,794 | |||||
Caterpillar, Inc. | 28,200 | 3,843,378 | ||||||
CNH Industrial NV (United Kingdom) | 1,531 | 15,703 | ||||||
Cummins, Inc. | 7,100 | 1,216,514 | ||||||
Daifuku Co. Ltd. (Japan) | 200 | 11,287 | ||||||
Deere & Co. | 15,680 | 2,598,333 | ||||||
Dover Corp. | 7,500 | 751,500 | ||||||
Flowserve Corp. | 6,100 | 321,409 | ||||||
Fortive Corp. | 14,450 | 1,177,964 | ||||||
Illinois Tool Works, Inc.(a) | 14,800 | 2,231,988 | ||||||
Ingersoll-Rand PLC | 11,900 | 1,507,373 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 1,800 | 78,518 | ||||||
PACCAR, Inc. | 16,843 | 1,206,969 | ||||||
Parker-Hannifin Corp. | 6,365 | 1,082,114 | ||||||
Pentair PLC | 7,677 | 285,584 | ||||||
Sandvik AB (Sweden) | 10,227 | 187,646 | ||||||
Schindler Holding AG (Switzerland) | 71 | 15,520 | ||||||
SKF AB (Sweden) (Class B Stock) | 581 | 10,683 | ||||||
Snap-on, Inc.(a) | 2,800 | 463,792 | ||||||
Stanley Black & Decker, Inc. | 7,697 | 1,113,063 | ||||||
Volvo AB (Sweden) (Class B Stock) | 11,123 | 176,508 | ||||||
Wabtec Corp.(a) | 7,151 | 513,156 | ||||||
Xylem, Inc. | 9,000 | 752,760 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 143,700 | 162,723 | ||||||
|
| |||||||
19,865,499 | ||||||||
|
| |||||||
Marine — 0.0% |
| |||||||
AP Moller — Maersk A/S (Denmark) (Class A Stock) | 5 | 5,808 | ||||||
|
| |||||||
Media — 0.7% |
| |||||||
CBS Corp. (Class B Stock) | 17,034 | 849,997 | ||||||
Charter Communications, Inc. (Class A Stock)*(a) | 8,580 | 3,390,644 | ||||||
Comcast Corp. (Class A Stock) | 222,380 | 9,402,226 | ||||||
Discovery, Inc. (Class A Stock)*(a) | 7,800 | 239,460 | ||||||
Discovery, Inc. (Class C Stock)* | 16,600 | 472,270 | ||||||
DISH Network Corp. (Class A Stock)* | 11,400 | 437,874 | ||||||
Fox Corp. (Class A Stock) | 17,700 | 648,528 | ||||||
Fox Corp. (Class B Stock) | 8,233 | 300,751 | ||||||
Hakuhodo DY Holdings, Inc. (Japan) | 900 | 15,201 | ||||||
I-CABLE Communications Ltd. (Hong Kong)* | 3,831 | 49 | ||||||
Interpublic Group of Cos., Inc. (The) | 18,831 | 425,392 | ||||||
News Corp. (Class A Stock) | 16,175 | 218,201 | ||||||
News Corp. (Class B Stock) | 4,800 | 67,008 | ||||||
Omnicom Group, Inc.(a) | 11,000 | 901,450 | ||||||
Pearson PLC (United Kingdom) | 1,202 | 12,505 | ||||||
Publicis Groupe SA (France) | 319 | 16,853 | ||||||
RTL Group SA (Luxembourg) | 138 | 7,063 | ||||||
|
| |||||||
17,405,472 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
Anglo American PLC (South Africa) | 7,358 | 210,128 | ||||||
ArcelorMittal (Luxembourg) | 7,430 | 133,351 | ||||||
BHP Group Ltd. (Australia) | 4,524 | 130,784 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Metals & Mining (continued) |
| |||||||
BHP Group PLC (Australia) | 2,908 | $ | 74,419 | |||||
BlueScope Steel Ltd. (Australia) | 821 | 6,955 | ||||||
Boliden AB (Sweden) | 420 | 10,760 | ||||||
Fortescue Metals Group Ltd. (Australia) | 11,390 | 72,230 | ||||||
Freeport-McMoRan, Inc. | 69,788 | 810,239 | ||||||
JFE Holdings, Inc. (Japan) | 700 | 10,325 | ||||||
Newcrest Mining Ltd. (Australia) | 1,187 | 26,707 | ||||||
Newmont Goldcorp Corp. | 41,600 | 1,600,352 | ||||||
Nippon Steel Corp. (Japan) | 1,100 | 18,952 | ||||||
Nucor Corp. | 15,000 | 826,500 | ||||||
Rio Tinto Ltd. (Australia) | 568 | 41,446 | ||||||
Rio Tinto PLC (Australia) | 2,256 | 139,766 | ||||||
South32 Ltd. (Australia) | 7,203 | 16,069 | ||||||
|
| |||||||
4,128,983 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Dollar General Corp. | 12,900 | 1,743,564 | ||||||
Dollar Tree, Inc.* | 11,665 | 1,252,704 | ||||||
Harvey Norman Holdings Ltd. (Australia) | 8,697 | 24,894 | ||||||
Kohl’s Corp.(a) | 8,300 | 394,665 | ||||||
Macy’s, Inc. | 14,674 | 314,904 | ||||||
Next PLC (United Kingdom) | 214 | 15,019 | ||||||
Nordstrom, Inc.(a) | 4,800 | 152,928 | ||||||
Target Corp. | 25,600 | 2,217,216 | ||||||
Wesfarmers Ltd. (Australia) | 1,540 | 39,098 | ||||||
|
| |||||||
6,154,992 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% |
| |||||||
AGL Energy Ltd. (Australia) | 10,885 | 152,881 | ||||||
Ameren Corp. | 12,200 | 916,342 | ||||||
CenterPoint Energy, Inc. | 24,000 | 687,120 | ||||||
CMS Energy Corp. | 13,900 | 804,949 | ||||||
Consolidated Edison, Inc. | 15,800 | 1,385,344 | ||||||
Dominion Energy, Inc. | 39,215 | 3,032,104 | ||||||
DTE Energy Co. | 9,100 | 1,163,708 | ||||||
E.ON SE (Germany) | 6,644 | 72,103 | ||||||
Engie SA (France) | 2,790 | 42,283 | ||||||
National Grid PLC (United Kingdom) | 5,356 | 56,836 | ||||||
NiSource, Inc. | 17,300 | 498,240 | ||||||
Public Service Enterprise Group, Inc. | 24,500 | 1,441,090 | ||||||
Sempra Energy | 13,419 | 1,844,307 | ||||||
WEC Energy Group, Inc. | 15,513 | 1,293,319 | ||||||
|
| |||||||
13,390,626 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.2% |
| |||||||
Anadarko Petroleum Corp. | 24,554 | 1,732,530 | ||||||
Apache Corp.(a) | 17,614 | 510,278 | ||||||
BP PLC (United Kingdom) | 12,525 | 87,397 | ||||||
Cabot Oil & Gas Corp. | 19,400 | 445,424 | ||||||
Chevron Corp. | 93,222 | 11,600,546 | ||||||
Cimarex Energy Co. | 4,600 | 272,918 | ||||||
Concho Resources, Inc. | 9,600 | 990,528 | ||||||
ConocoPhillips | 55,577 | 3,390,197 | ||||||
Devon Energy Corp. | 20,300 | 578,956 | ||||||
Diamondback Energy, Inc. | 7,000 | 762,790 | ||||||
Eni SpA (Italy) | 4,231 | 70,433 | ||||||
EOG Resources, Inc. | 28,500 | 2,655,060 | ||||||
Exxon Mobil Corp. | 207,699 | 15,915,974 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Hess Corp. | 12,700 | $ | 807,339 | |||||
HollyFrontier Corp. | 8,200 | 379,496 | ||||||
Kinder Morgan, Inc. | 95,398 | 1,991,910 | ||||||
Marathon Oil Corp. | 37,182 | 528,356 | ||||||
Marathon Petroleum Corp. | 33,019 | 1,845,102 | ||||||
Neste OYJ (Finland) | 3,906 | 132,913 | ||||||
Noble Energy, Inc. | 21,900 | 490,560 | ||||||
Occidental Petroleum Corp. | 36,800 | 1,850,304 | ||||||
OMV AG (Austria) | 227 | 11,079 | ||||||
ONEOK, Inc. | 19,900 | 1,369,319 | ||||||
Phillips 66 | 20,638 | 1,930,479 | ||||||
Pioneer Natural Resources Co. | 8,550 | 1,315,503 | ||||||
Repsol SA (Spain) | 6,886 | 108,093 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 6,913 | 225,887 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 5,707 | 186,996 | ||||||
Santos Ltd. (Australia) | 28,789 | 143,499 | ||||||
Snam SpA (Italy) | 22,896 | 113,770 | ||||||
TOTAL SA (France) | 1,298 | 72,718 | ||||||
Valero Energy Corp. | 20,500 | 1,755,005 | ||||||
Williams Cos., Inc. (The) | 58,400 | 1,637,536 | ||||||
Woodside Petroleum Ltd. (Australia) | 1,430 | 36,562 | ||||||
|
| |||||||
55,945,457 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% |
| |||||||
Oji Holdings Corp. (Japan) | 23,900 | 138,462 | ||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
Coty, Inc. (Class A Stock) | 14,700 | 196,980 | ||||||
Estee Lauder Cos., Inc. (The) | 10,700 | 1,959,277 | ||||||
L’Oreal SA (France) | 387 | 110,199 | ||||||
Unilever NV (United Kingdom), CVA | 4,089 | 248,944 | ||||||
Unilever PLC (United Kingdom) | 1,882 | 116,945 | ||||||
|
| |||||||
2,632,345 | ||||||||
|
| |||||||
Pharmaceuticals — 2.3% |
| |||||||
Allergan PLC | 15,375 | 2,574,236 | ||||||
Astellas Pharma, Inc. (Japan) | 5,900 | 84,178 | ||||||
AstraZeneca PLC (United Kingdom) | 255 | 20,836 | ||||||
Bayer AG (Germany) | 870 | 60,164 | ||||||
Bristol-Myers Squibb Co. | 80,070 | 3,631,174 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 200 | 13,080 | ||||||
Eisai Co. Ltd. (Japan) | 400 | 22,655 | ||||||
Eli Lilly & Co. | 42,400 | 4,697,496 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 3,085 | 61,762 | ||||||
H. Lundbeck A/S (Denmark) | 1,316 | 51,951 | ||||||
Johnson & Johnson | 130,978 | 18,242,616 | ||||||
Merck & Co., Inc. | 126,533 | 10,609,792 | ||||||
Merck KGaA (Germany) | 204 | 21,328 | ||||||
Mylan NV* | 23,300 | 443,632 | ||||||
Nektar Therapeutics* | 7,200 | 256,176 | ||||||
Novartis AG (Switzerland) | 4,893 | 446,598 | ||||||
Novo Nordisk A/S (Denmark) | 2,741 | 139,839 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 600 | 10,770 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Pharmaceuticals (continued) |
| |||||||
Perrigo Co. PLC | 5,700 | $ | 271,434 | |||||
Pfizer, Inc. | 272,170 | 11,790,404 | ||||||
Recordati SpA (Italy) | 354 | 14,758 | ||||||
Roche Holding AG (Switzerland) | 1,628 | 458,389 | ||||||
Sanofi (France) | 3,289 | 284,248 | ||||||
Shionogi & Co. Ltd. (Japan) | 2,700 | 155,797 | ||||||
UCB SA (Belgium) | 171 | 14,180 | ||||||
Zoetis, Inc. | 23,500 | 2,667,015 | ||||||
|
| |||||||
57,044,508 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
Equifax, Inc.(a) | 5,900 | 797,916 | ||||||
IHS Markit Ltd.* | 17,800 | 1,134,216 | ||||||
Intertek Group PLC (United Kingdom) | 250 | 17,471 | ||||||
Nielsen Holdings PLC | 17,000 | 384,200 | ||||||
Recruit Holdings Co. Ltd. (Japan) | 3,500 | 117,211 | ||||||
RELX PLC (United Kingdom) | 2,940 | 71,393 | ||||||
Robert Half International, Inc. | 5,700 | 324,957 | ||||||
Verisk Analytics, Inc. | 8,200 | 1,200,972 | ||||||
Wolters Kluwer NV (Netherlands) | 2,115 | 153,997 | ||||||
|
| |||||||
4,202,333 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 15,100 | 774,630 | ||||||
CK Asset Holdings Ltd. (Hong Kong) | 3,500 | 27,357 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 900 | 26,272 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 2,200 | 12,129 | ||||||
Hongkong Land Holdings Ltd. (Hong Kong) | 21,100 | 135,953 | ||||||
Hysan Development Co. Ltd. (Hong Kong) | 2,000 | 10,342 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 1,800 | 33,571 | ||||||
Sumitomo Realty & Development Co. Ltd. (Japan) | 500 | 17,878 | ||||||
Swire Pacific Ltd. (Hong Kong) | 12,500 | 153,992 | ||||||
Wharf Real Estate Investment Co. Ltd. (Hong Kong) | 2,000 | 14,096 | ||||||
|
| |||||||
1,206,220 | ||||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
Aurizon Holdings Ltd. (Australia) | 3,073 | 11,659 | ||||||
Central Japan Railway Co. (Japan) | 200 | 40,092 | ||||||
CSX Corp.(a) | 38,000 | 2,940,060 | ||||||
East Japan Railway Co. (Japan) | 300 | 28,112 | ||||||
J.B. Hunt Transport Services, Inc. | 3,800 | 347,358 | ||||||
Kansas City Southern | 5,200 | 633,464 | ||||||
Norfolk Southern Corp. | 13,100 | 2,611,223 | ||||||
Union Pacific Corp. | 35,500 | 6,003,405 | ||||||
West Japan Railway Co. (Japan) | 300 | 24,290 | ||||||
|
| |||||||
12,639,663 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
Advanced Micro Devices, Inc.*(a) | 41,200 | 1,251,244 | ||||||
Analog Devices, Inc. | 18,058 | 2,038,206 | ||||||
Applied Materials, Inc. | 46,500 | 2,088,315 | ||||||
Broadcom, Inc. | 19,480 | 5,607,513 | ||||||
Intel Corp. | 220,400 | 10,550,548 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
KLA-Tencor Corp. | 8,150 | $ | 963,330 | |||||
Lam Research Corp. | 7,550 | 1,418,192 | ||||||
Maxim Integrated Products, Inc. | 13,400 | 801,588 | ||||||
Microchip Technology, Inc.(a) | 11,800 | 1,023,060 | ||||||
Micron Technology, Inc.* | 54,900 | 2,118,591 | ||||||
NVIDIA Corp. | 29,750 | 4,885,842 | ||||||
NXP Semiconductors NV (Netherlands) | 400 | 39,044 | ||||||
Qorvo, Inc.* | 6,007 | 400,126 | ||||||
QUALCOMM, Inc. | 59,400 | 4,518,558 | ||||||
Skyworks Solutions, Inc. | 9,000 | 695,430 | ||||||
STMicroelectronics NV (Switzerland) | 929 | 16,495 | ||||||
SUMCO Corp. (Japan) | 400 | 4,783 | ||||||
Texas Instruments, Inc. | 46,000 | 5,278,960 | ||||||
Tokyo Electron Ltd. (Japan) | 400 | 56,275 | ||||||
Xilinx, Inc.(a) | 12,800 | 1,509,376 | ||||||
|
| |||||||
45,265,476 | ||||||||
|
| |||||||
Software — 3.3% |
| |||||||
Adobe, Inc.* | 24,000 | 7,071,600 | ||||||
ANSYS, Inc.* | 4,100 | 839,762 | ||||||
Autodesk, Inc.* | 10,800 | 1,759,320 | ||||||
Cadence Design Systems, Inc.* | 13,600 | 963,016 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 200 | 23,122 | ||||||
Citrix Systems, Inc. | 6,500 | 637,910 | ||||||
CyberArk Software Ltd. (Israel)* | 1,000 | 127,840 | ||||||
Dassault Systemes SE (France) | 973 | 155,380 | ||||||
Fortinet, Inc.* | 7,200 | 553,176 | ||||||
Intuit, Inc. | 12,700 | 3,318,891 | ||||||
Micro Focus International PLC (United Kingdom) | 1,096 | 28,751 | ||||||
Microsoft Corp. | 377,500 | 50,569,900 | ||||||
Nice Ltd. (Israel)* | 94 | 12,803 | ||||||
Oracle Corp. | 123,700 | 7,047,189 | ||||||
Red Hat, Inc.* | 8,700 | 1,633,512 | ||||||
salesforce.com, Inc.* | 37,700 | 5,720,221 | ||||||
SAP SE (Germany) | 337 | 46,299 | ||||||
Symantec Corp. | 30,578 | 665,377 | ||||||
Synopsys, Inc.* | 7,400 | 952,306 | ||||||
Temenos AG (Switzerland)* | 101 | 18,087 | ||||||
|
| |||||||
82,144,462 | ||||||||
|
| |||||||
Specialty Retail — 1.1% |
| |||||||
ABC-Mart, Inc. (Japan) | 300 | 19,558 | ||||||
Advance Auto Parts, Inc. | 3,500 | 539,490 | ||||||
AutoZone, Inc.* | 1,300 | 1,429,311 | ||||||
Best Buy Co., Inc. | 11,425 | 796,665 | ||||||
CarMax, Inc.*(a) | 8,200 | 712,006 | ||||||
Fast Retailing Co. Ltd. (Japan) | 200 | 121,229 | ||||||
Foot Locker, Inc. | 5,500 | 230,560 | ||||||
Gap, Inc. (The) | 9,500 | 170,715 | ||||||
Hennes & Mauritz AB (Sweden) | 1,359 | 24,165 | ||||||
Home Depot, Inc. (The) | 55,050 | 11,448,748 | ||||||
L Brands, Inc.(a) | 10,906 | 284,647 | ||||||
Lowe’s Cos., Inc. | 39,300 | 3,965,763 | ||||||
O’Reilly Automotive, Inc.* | 3,900 | 1,440,348 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail (continued) |
| |||||||
Ross Stores, Inc. | 18,200 | $ | 1,803,984 | |||||
Tiffany & Co.(a) | 5,220 | 488,801 | ||||||
TJX Cos., Inc. (The) | 60,700 | 3,209,816 | ||||||
Tractor Supply Co.(a) | 6,000 | 652,800 | ||||||
Ulta Beauty, Inc.* | 2,900 | 1,005,981 | ||||||
|
| |||||||
28,344,587 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.9% |
| |||||||
Apple, Inc. | 218,590 | 43,263,333 | ||||||
FUJIFILM Holdings Corp. (Japan) | 3,400 | 172,918 | ||||||
Hewlett Packard Enterprise Co. | 67,448 | 1,008,348 | ||||||
HP, Inc. | 75,148 | 1,562,327 | ||||||
Konica Minolta, Inc. (Japan) | 3,200 | 31,265 | ||||||
NEC Corp. (Japan) | 400 | 15,790 | ||||||
NetApp, Inc.(a) | 12,100 | 746,570 | ||||||
Ricoh Co. Ltd. (Japan) | 3,300 | 33,030 | ||||||
Seagate Technology PLC | 12,100 | 570,152 | ||||||
Western Digital Corp.(a) | 14,703 | 699,128 | ||||||
Xerox Corp. | 9,290 | 328,959 | ||||||
|
| |||||||
48,431,820 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
adidas AG (Germany) | 619 | 191,258 | ||||||
Capri Holdings Ltd.* | 7,600 | 263,568 | ||||||
Hanesbrands, Inc.(a) | 15,400 | 265,188 | ||||||
Hermes International (France) | 43 | 31,035 | ||||||
Kering SA (France) | 273 | 161,110 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 699 | 297,622 | ||||||
Moncler SpA (Italy) | 242 | 10,383 | ||||||
NIKE, Inc. (Class B Stock) | 61,700 | 5,179,715 | ||||||
PVH Corp. | 3,700 | 350,168 | ||||||
Ralph Lauren Corp. | 2,500 | 283,975 | ||||||
Swatch Group AG (The) (Switzerland) | 77 | 4,177 | ||||||
Tapestry, Inc. | 13,400 | 425,182 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 7,500 | 190,125 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 7,374 | 163,703 | ||||||
VF Corp. | 15,800 | 1,380,130 | ||||||
|
| |||||||
9,197,339 | ||||||||
|
| |||||||
Tobacco — 0.4% |
| |||||||
Altria Group, Inc. | 91,900 | 4,351,465 | ||||||
British American Tobacco PLC (United Kingdom) | 5,436 | 190,058 | ||||||
Imperial Brands PLC (United Kingdom) | 4,429 | 103,962 | ||||||
Japan Tobacco, Inc. (Japan) | 1,500 | 33,104 | ||||||
Philip Morris International, Inc. | 76,200 | 5,983,986 | ||||||
|
| |||||||
10,662,575 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 1,613 | 46,268 | ||||||
Fastenal Co. | 27,400 | 892,966 | ||||||
ITOCHU Corp. (Japan) | 2,600 | 49,762 | ||||||
Marubeni Corp. (Japan) | 2,400 | 15,923 | ||||||
Mitsubishi Corp. (Japan) | 2,100 | 55,448 | ||||||
Mitsui & Co. Ltd. (Japan) | 10,300 | 167,994 | ||||||
Sumitomo Corp. (Japan) | 10,300 | 156,385 | ||||||
United Rentals, Inc.* | 4,100 | 543,783 |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Trading Companies & Distributors (continued) |
| |||||||
W.W. Grainger, Inc. | 2,300 | $ | 616,929 | |||||
|
| |||||||
2,545,458 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.0% |
| |||||||
Aena SME SA (Spain), 144A | 681 | 135,032 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (Germany) | 869 | 74,827 | ||||||
Kamigumi Co. Ltd. (Japan) | 5,700 | 135,076 | ||||||
|
| |||||||
344,935 | ||||||||
|
| |||||||
Water Utilities — 0.0% |
| |||||||
American Water Works Co., Inc.(a) | 9,100 | 1,055,600 | ||||||
United Utilities Group PLC (United Kingdom) | 1,042 | 10,355 | ||||||
|
| |||||||
1,065,955 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
KDDI Corp. (Japan) | 3,600 | 91,535 | ||||||
NTT DOCOMO, Inc. (Japan) | 2,000 | 46,648 | ||||||
SoftBank Group Corp. (Japan) | 1,200 | 57,592 | ||||||
Vodafone Group PLC (United Kingdom) | 3,646 | 5,980 | ||||||
|
| |||||||
201,755 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,224,753,177 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.3% |
| |||||||
iShares Core S&P 500 ETF | 22,300 | 6,572,925 | ||||||
iShares MSCI EAFE ETF | 3,259 | 214,214 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 6,787,139 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.1% |
| |||||||
Automobiles — 0.0% | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 75 | 4,661 | ||||||
Porsche Automobil Holding SE (Germany) (PRFC) | 227 | 14,760 | ||||||
|
| |||||||
19,421 | ||||||||
|
| |||||||
Banks — 0.0% |
| |||||||
Citigroup Capital XIII, 8.953% (Capital Security, fixed to floating preferred)(a) | 20,000 | 551,800 | ||||||
|
| |||||||
Capital Markets — 0.1% |
| |||||||
State Street Corp., 5.350%, (Capital Security, fixed to floating preferred) | 30,000 | 793,500 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% |
| |||||||
Sartorius AG (Germany) (PRFC) | 55 | 11,289 | ||||||
|
| |||||||
Household Products — 0.0% |
| |||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 245 | 23,941 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 1,399,951 | ||||||
|
|
RIGHTS* — 0.0% | Units | Value | ||||||
Construction & Engineering | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/10/19 | 2,769 | $ | 4,345 | |||||
|
|
Interest | Maturity Date |
| Principal Amount (000)# | |||||||||||||
ASSET-BACKED SECURITIES — 7.9% |
| |||||||||||||||
Automobiles — 2.3% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series2018-01, Class C |
| |||||||||||||||
3.500% | 01/18/24 | 1,200 | 1,232,156 | |||||||||||||
Series2019-01, Class B |
| |||||||||||||||
3.130% | 02/18/25 | 600 | 611,162 | |||||||||||||
Series2019-01, Class C |
| |||||||||||||||
3.360% | 02/18/25 | 700 | 717,143 | |||||||||||||
Series2019-02, Class C |
| |||||||||||||||
2.740% | 04/18/25 | 1,400 | 1,405,889 | |||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series2015-01A, Class A, 144A |
| |||||||||||||||
2.500% | 07/20/21 | 1,700 | 1,701,531 | |||||||||||||
Series2015-02A, Class A, 144A |
| |||||||||||||||
2.630% | 12/20/21 | 3,200 | 3,208,122 | |||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.700% | 09/20/24 | 1,300 | 1,355,096 | |||||||||||||
Series2018-02A, Class A, 144A |
| |||||||||||||||
4.000% | 03/20/25 | 1,100 | 1,162,590 | |||||||||||||
Series2019-02A, Class A, 144A |
| |||||||||||||||
3.350% | 09/22/25 | 2,000 | 2,061,294 | |||||||||||||
Drive Auto Receivables Trust, |
| |||||||||||||||
Series2018-01, Class B |
| |||||||||||||||
2.880% | 02/15/22 | 386 | 386,050 | |||||||||||||
Series2019-03, Class B |
| |||||||||||||||
2.650% | 02/15/24 | 900 | 903,211 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series2017-01, Class A, 144A |
| |||||||||||||||
2.620% | 08/15/28 | 800 | 809,506 | |||||||||||||
Series2017-02, Class A, 144A |
| |||||||||||||||
2.360% | 03/15/29 | 4,200 | 4,209,341 | |||||||||||||
Series2018-01, Class A, 144A |
| |||||||||||||||
3.190% | 07/15/31 | 700 | 721,497 | |||||||||||||
Series2018-02, Class A, 144A |
| |||||||||||||||
3.470% | 01/15/30 | 2,200 | 2,304,356 | |||||||||||||
Series2019-01, Class A, 144A |
| |||||||||||||||
3.520% | 07/15/30 | 3,900 | 4,078,486 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series2017-03, Class A |
| |||||||||||||||
2.480% | 09/15/24 | 3,300 | 3,336,908 | |||||||||||||
Series2018-02, Class A |
| |||||||||||||||
3.170% | 03/15/25 | 9,700 | 10,042,966 | |||||||||||||
Ford Credit Floorplan Master Owner Trust A, |
| |||||||||||||||
Series2019-02, Class A |
| |||||||||||||||
3.060% | 04/15/26 | 1,000 | 1,030,721 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 300 | 309,210 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series2017-01A, Class A, 144A |
| |||||||||||||||
2.160% | 10/15/20 | 69 | 69,038 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Automobiles (continued) |
| |||||||||||||||
Series2017-02A, Class B, 144A |
| |||||||||||||||
2.550% | 11/14/23 | 2,300 | $ | 2,296,600 | ||||||||||||
Series2017-02A, Class C, 144A |
| |||||||||||||||
2.820% | 07/15/24 | 600 | 600,857 | |||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 3,800 | 3,853,482 | |||||||||||||
Series2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 3,600 | 3,723,427 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series2018-02, Class C |
| |||||||||||||||
3.350% | 07/17/23 | 30 | 30,284 | |||||||||||||
Series2018-04, Class C |
| |||||||||||||||
3.560% | 07/15/24 | 1,500 | 1,522,772 | |||||||||||||
Toyota Auto Loan Extended Note Trust, |
| |||||||||||||||
Series2019-01A, Class A, 144A |
| |||||||||||||||
2.560% | 11/25/31 | 4,100 | 4,148,047 | |||||||||||||
|
| |||||||||||||||
57,831,742 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 3.1% |
| |||||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.877%(c) | 07/15/29 | 500 | 500,013 | |||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340% |
| |||||||||||||||
3.941%(c) | 07/18/30 | 1,000 | 1,001,431 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.847%(c) | 07/15/29 | 1,000 | 1,000,588 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% |
| |||||||||||||||
3.408%(c) | 01/17/28 | 1,000 | 992,999 | |||||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.847%(c) | 04/15/29 | 2,500 | 2,492,951 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.788%(c) | 10/17/31 | 7,000 | 6,976,089 | |||||||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% |
| |||||||||||||||
3.308%(c) | 11/15/26 | 975 | 973,028 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% |
| |||||||||||||||
3.607%(c) | 04/15/31 | 1,000 | 988,241 | |||||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% |
| |||||||||||||||
3.565%(c) | 02/05/31 | 250 | 247,793 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) |
| |||||||||||||||
3.732%(c) | 10/19/28 | 7,000 | 6,992,743 | |||||||||||||
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/23/29 | 1,250 | 1,248,907 | |||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830% |
| |||||||||||||||
3.427%(c) | 04/15/27 | 1,250 | 1,245,119 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Jamestown CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
3.893%(c) | 04/20/32 | 4,750 | $ | 4,753,748 | ||||||||||||
Jefferson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AR, 3 Month LIBOR + 1.175% |
| |||||||||||||||
3.756%(c) | 10/20/31 | 4,250 | 4,218,368 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.712%(c) | 04/21/31 | 3,500 | 3,467,289 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.717%(c) | 07/15/31 | 2,500 | 2,476,261 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% |
| |||||||||||||||
3.942%(c) | 04/17/30 | 1,750 | 1,751,886 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-17A, Class A1, 144A |
| |||||||||||||||
—%(p) | 07/20/32 | 7,000 | 7,000,000 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080% |
| |||||||||||||||
3.668%(c) | 04/17/31 | 3,000 | 2,966,214 | |||||||||||||
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.833%(c) | 10/30/30 | 750 | 749,897 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% |
| |||||||||||||||
3.748%(c) | 11/14/29 | 500 | 498,829 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880% |
| |||||||||||||||
3.472%(c) | 07/20/27 | 1,000 | 1,000,008 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% |
| |||||||||||||||
3.888%(c) | 07/17/26 | 2,500 | 2,500,419 | |||||||||||||
TIAA CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.792%(c) | 07/20/31 | 1,750 | 1,739,825 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230% |
| |||||||||||||||
3.827%(c) | 07/15/29 | 1,000 | 999,582 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% |
| |||||||||||||||
3.927%(c) | 07/20/32 | 7,500 | 7,503,865 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-06A, Class A, 144A, 3 Month LIBOR + 1.320% |
| |||||||||||||||
3.900%(c) | 07/25/29 | 1,000 | 1,001,960 | |||||||||||||
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% |
| |||||||||||||||
3.790%(c) | 01/25/31 | 1,750 | 1,736,563 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% |
| |||||||||||||||
3.477%(c) | 07/15/27 | 1,000 | 1,000,021 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320% |
| |||||||||||||||
3.912%(c) | 04/20/29 | 1,500 | 1,499,384 | |||||||||||||
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
3.738%(c) | 01/17/31 | 2,000 | 1,989,067 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.792%(c) | 10/20/31 | 3,750 | $ | 3,727,180 | ||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% |
| |||||||||||||||
3.967%(c) | 07/15/29 | 1,250 | 1,255,034 | |||||||||||||
|
| |||||||||||||||
78,495,302 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.2% |
| |||||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% |
| |||||||||||||||
3.201%(c) | 09/14/32 | 2,600 | 2,605,371 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,100 | 1,128,099 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 800 | 822,644 | |||||||||||||
|
| |||||||||||||||
4,556,114 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.2% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series2018-A07, Class A7 |
| |||||||||||||||
3.960% | 10/13/30 | 4,300 | 4,774,757 | |||||||||||||
|
| |||||||||||||||
Equipment — 0.3% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series2017-B, Class A4, 144A |
| |||||||||||||||
2.410% | 11/15/24 | 1,300 | 1,309,236 | |||||||||||||
Series2017-B, Class A5, 144A |
| |||||||||||||||
2.720% | 06/15/40 | 2,100 | 2,138,848 | |||||||||||||
Series2018-A, Class A4, 144A |
| |||||||||||||||
3.390% | 01/10/25 | 1,200 | 1,239,289 | |||||||||||||
Series2018-A, Class A5, 144A |
| |||||||||||||||
3.610% | 03/10/42 | 500 | 523,852 | |||||||||||||
Series2019-A, Class A5, 144A |
| |||||||||||||||
3.080% | 11/12/41 | 1,600 | 1,646,110 | |||||||||||||
|
| |||||||||||||||
6,857,335 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.1% |
| |||||||||||||||
CDC Mortgage Capital Trust, |
| |||||||||||||||
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% |
| |||||||||||||||
4.054%(c) | 03/25/33 | 98 | 98,975 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 05/25/33 | 59 | 59,662 | |||||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||||
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% |
| |||||||||||||||
3.304%(c) | 07/25/32 | 65 | 64,932 | |||||||||||||
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% |
| |||||||||||||||
3.679%(c) | 09/25/32 | 1,627 | 1,630,194 | |||||||||||||
|
| |||||||||||||||
1,853,763 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% |
| |||||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series2019-02, Class PT, 144A |
| |||||||||||||||
—%(p) | 11/27/20 | 2,070 | 2,070,000 | |||||||||||||
Sierra Timeshare Receivables Funding LLC, |
| |||||||||||||||
Series2018-02A, Class A, 144A |
| |||||||||||||||
3.500% | 06/20/35 | 1,262 | 1,297,776 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Other (continued) |
| |||||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% |
| |||||||||||||||
5.204%(c) | 06/25/24 | 2,240 | $ | 2,240,000 | ||||||||||||
|
| |||||||||||||||
5,607,776 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.7% |
| |||||||||||||||
Credit-Based Asset Servicing & Securitization LLC, |
| |||||||||||||||
Series 2005-CB06, Class A3 |
| |||||||||||||||
3.649% | 07/25/35 | 199 | 198,743 | |||||||||||||
CSMC Trust, |
| |||||||||||||||
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150% |
| |||||||||||||||
5.590%(c) | 12/26/46 | 2,375 | 2,386,367 | |||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,278 | 1,294,677 | |||||||||||||
CWABS, Inc., Asset-Backed Certificates, |
| |||||||||||||||
Series2004-01, Class M1, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 03/25/34 | 770 | 773,925 | |||||||||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||||||||
Series2004-03, Class M1 |
| |||||||||||||||
4.498% | 07/25/34 | 246 | 254,337 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 193 | 194,890 | |||||||||||||
Series 2019-GS03, Class A1, 144A |
| |||||||||||||||
3.750% | 04/25/59 | 196 | 198,308 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 1,094 | 1,101,987 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000% | 12/28/54 | 183 | 184,192 | |||||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||||
Series2004-02, Class M1, 1 Month LIBOR + 0.795% |
| |||||||||||||||
3.199%(c) | 06/25/34 | 176 | 174,952 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series2017-03, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 01/25/61 | 1,455 | 1,460,274 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 03/16/23 | EUR | 2,001 | 2,270,758 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 896 | 900,580 | |||||||||||||
Series2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% |
| |||||||||||||||
3.004%(c) | 02/25/57 | 2,583 | 2,575,841 | |||||||||||||
Series2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 2,193 | 2,209,878 | |||||||||||||
Series2018-02, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 03/25/58 | 210 | 213,374 | |||||||||||||
Series2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 94 | 97,697 | |||||||||||||
Series2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 728 | 742,932 | |||||||||||||
|
| |||||||||||||||
17,233,712 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.8% |
| |||||||||||||||
Commonbond Student Loan Trust, |
| |||||||||||||||
Series2017-BGS, Class A1, 144A |
| |||||||||||||||
2.680% | 09/25/42 | 1,959 | 1,959,747 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (continued) |
| |||||||||||||||
Series2018-AGS, Class A1, 144A |
| |||||||||||||||
3.210% | 02/25/44 | 1,329 | $ | 1,355,046 | ||||||||||||
Series2018-CGS, Class A1, 144A |
| |||||||||||||||
3.870% | 02/25/46 | 536 | 556,315 | |||||||||||||
Series2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%) |
| |||||||||||||||
3.204%(c) | 02/25/46 | 652 | 649,108 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series2017-C, Class A2B, 144A |
| |||||||||||||||
2.810% | 11/25/42 | 1,451 | 1,467,928 | |||||||||||||
Series2018-B, Class A2FX, 144A |
| |||||||||||||||
3.540% | 05/26/43 | 2,200 | 2,253,752 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series2018-A, Class A2, 144A |
| |||||||||||||||
3.190% | 02/18/42 | 3,300 | 3,353,045 | |||||||||||||
Series2018-CA, Class A2, 144A |
| |||||||||||||||
3.520% | 06/16/42 | 1,200 | 1,232,448 | |||||||||||||
Series2019-CA, Class A2, 144A |
| |||||||||||||||
3.130% | 02/15/68 | 1,400 | 1,429,800 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series2019-A, Class A2FX, 144A |
| |||||||||||||||
3.690% | 06/15/48 | 2,600 | 2,728,944 | |||||||||||||
Series2019-B, Class A2FX, 144A |
| |||||||||||||||
3.090% | 08/17/48 | 1,400 | 1,422,750 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series2018-B, Class A1FX, 144A |
| |||||||||||||||
2.640% | 08/25/47 | 1,246 | 1,249,122 | |||||||||||||
Series2018-B, Class A2FX, 144A |
| |||||||||||||||
3.340% | 08/25/47 | 2,200 | 2,258,293 | |||||||||||||
|
| |||||||||||||||
21,916,298 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 199,126,799 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 0.0% |
| |||||||||||||||
Software | ||||||||||||||||
First Data Corp., |
| |||||||||||||||
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.404%(c) | 07/08/22 | 736 | 735,095 | |||||||||||||
2024A New Dollar Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.404%(c) | 04/26/24 | 500 | 499,444 | |||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 1,234,539 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.0% |
| |||||||||||||||
Assurant Commercial Mortgage Trust, |
| |||||||||||||||
Series2016-01A, Class AS, 144A |
| |||||||||||||||
3.172% | 05/15/49 | 3,100 | 3,106,573 | |||||||||||||
BBCMS Mortgage Trust, |
| |||||||||||||||
Series2018-C02, Class A4 |
| |||||||||||||||
4.047% | 12/15/51 | 3,850 | 4,236,784 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series2018-B03, Class A4 |
| |||||||||||||||
3.761% | 04/10/51 | 3,600 | 3,889,424 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series2016-C04, Class A3 |
| |||||||||||||||
3.014% | 05/10/58 | 2,500 | $ | 2,546,643 | ||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-GC11, Class A3 |
| |||||||||||||||
2.815% | 04/10/46 | 888 | 906,008 | |||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 1,058 | 1,108,456 | |||||||||||||
Series2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 2,700 | 2,760,705 | |||||||||||||
Series2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 4,000 | 4,212,582 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A2 |
| |||||||||||||||
2.928% | 02/10/47 | 590 | 589,578 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 2,100 | 2,195,321 | |||||||||||||
Series 2014-LC17, Class A4 |
| |||||||||||||||
3.648% | 10/10/47 | 5,000 | 5,286,394 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 2,500 | 2,628,496 | |||||||||||||
Series2017-C08, Class A3 |
| |||||||||||||||
3.127% | 06/15/50 | 3,800 | 3,888,621 | |||||||||||||
FannieMae-Aces, |
| |||||||||||||||
Series2015-M08, Class AB2 |
| |||||||||||||||
2.829%(cc) | 01/25/25 | 2,158 | 2,225,039 | |||||||||||||
Series2015-M17, Class A2 |
| |||||||||||||||
3.035%(cc) | 11/25/25 | 3,000 | 3,107,568 | |||||||||||||
Series2016-M07, Class AB2 |
| |||||||||||||||
2.385% | 09/25/26 | 1,800 | 1,793,158 | |||||||||||||
Series2017-M01, Class A2 |
| |||||||||||||||
2.496%(cc) | 10/25/26 | 1,600 | 1,597,763 | |||||||||||||
Series2017-M04, Class A2 |
| |||||||||||||||
2.672%(cc) | 12/25/26 | 8,600 | 8,670,755 | |||||||||||||
Series2017-M08, Class A2 |
| |||||||||||||||
3.061%(cc) | 05/25/27 | 5,900 | 6,139,212 | |||||||||||||
Series2018-M04, Class A2 |
| |||||||||||||||
3.144%(cc) | 03/25/28 | 3,075 | 3,203,454 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.535%(cc) | 05/25/22 | 19,074 | 649,895 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.568%(cc) | 06/25/22 | 5,271 | 192,974 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.499%(cc) | 03/25/26 | 4,599 | 356,221 | |||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 4,200 | 4,451,501 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 4,100 | 4,345,526 | |||||||||||||
Series K069, Class A2 |
| |||||||||||||||
3.187%(cc) | 09/25/27 | 3,500 | 3,693,145 | |||||||||||||
Series K069, Class AM |
| |||||||||||||||
3.248%(cc) | 09/25/27 | 750 | 790,249 | |||||||||||||
Series K070, Class A2 |
| |||||||||||||||
3.303%(cc) | 11/25/27 | 5,200 | 5,532,925 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K070, Class AM |
| |||||||||||||||
3.364% | 12/25/27 | 1,100 | $ | 1,171,034 | ||||||||||||
Series K072, Class A2 |
| |||||||||||||||
3.444% | 12/25/27 | 1,400 | 1,504,142 | |||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 2,550 | 2,760,833 | |||||||||||||
Series K076, Class A2 |
| |||||||||||||||
3.900% | 04/25/28 | 6,200 | 6,885,704 | |||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 1,825 | 2,014,826 | |||||||||||||
Series K077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 3,470 | 3,834,128 | |||||||||||||
Series K077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 690 | 758,919 | |||||||||||||
Series K080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 5,150 | 5,713,136 | |||||||||||||
Series K081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 2,600 | 2,869,943 | |||||||||||||
Series K086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 800 | 888,430 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 3,100 | 3,482,981 | |||||||||||||
Series K711, Class X1, IO |
| |||||||||||||||
1.686%(cc) | 07/25/19 | 1,512 | 189 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 1,630 | 1,704,161 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC28, Class A4 |
| |||||||||||||||
3.136% | 02/10/48 | 3,000 | 3,101,233 | |||||||||||||
Series 2015-GC34, Class A3 |
| |||||||||||||||
3.244% | 10/10/48 | 4,800 | 4,993,977 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 4,200 | 4,210,766 | |||||||||||||
Series 2016-GS04, Class A3 |
| |||||||||||||||
3.178% | 11/10/49 | 4,000 | 4,151,411 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2014-C25, Class A4A1 |
| |||||||||||||||
3.408% | 11/15/47 | 1,100 | 1,146,310 | |||||||||||||
Series2015-C27, Class A3A1 |
| |||||||||||||||
2.920% | 02/15/48 | 5,000 | 5,090,805 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP06, Class A3 |
| |||||||||||||||
3.109% | 07/15/50 | 5,581 | 5,735,852 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2016-C02, Class A3A |
| |||||||||||||||
2.881% | 06/15/49 | 2,500 | 2,548,822 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2012-CBX, Class A3 |
| |||||||||||||||
3.139% | 06/15/45 | 37 | 36,870 | |||||||||||||
Series 2012-LC09, Class A4 |
| |||||||||||||||
2.611% | 12/15/47 | 153 | 153,007 | |||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 498 | 506,059 | |||||||||||||
LB-UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series2007-C06, Class AM |
| |||||||||||||||
6.114%(cc) | 07/15/40 | 12 | 12,275 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,081 | $ | 1,101,461 | ||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2015-UBS08, Class A3 |
| |||||||||||||||
3.540% | 12/15/48 | 5,000 | 5,278,617 | |||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 6,300 | 6,266,441 | |||||||||||||
Series2019-H06, Class A3 |
| |||||||||||||||
3.158% | 06/15/52 | 5,000 | 5,136,974 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series2017-C02, Class ASB |
| |||||||||||||||
3.264% | 08/15/50 | 2,500 | 2,596,573 | |||||||||||||
Series2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 5,000 | 5,172,082 | |||||||||||||
Series2018-C09, Class A3 |
| |||||||||||||||
3.854% | 03/15/51 | 1,800 | 1,946,324 | |||||||||||||
Series2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 2,900 | 3,216,288 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series2012-C04, Class A4 |
| |||||||||||||||
2.792% | 12/10/45 | 1,400 | 1,420,566 | |||||||||||||
Series2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 2,676 | 2,730,531 | |||||||||||||
Series2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 1,498 | 1,531,934 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||||||
2.642% | 11/15/49 | 4,500 | 4,503,834 | |||||||||||||
Series2017-C38, Class A4 |
| |||||||||||||||
3.190% | 07/15/50 | 3,300 | 3,411,674 | |||||||||||||
Series2019-C49, Class A3 |
| |||||||||||||||
3.749% | 03/15/52 | 7,300 | 7,745,081 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 201,439,163 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 11.5% |
| |||||||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||||||
Embraer Netherlands Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.050% | 06/15/25 | 706 | 761,604 | |||||||||||||
Embraer Overseas Ltd. (Brazil), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.696% | 09/16/23 | 765 | 837,683 | |||||||||||||
General Dynamics Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 05/11/21 | 1,790 | 1,818,984 | |||||||||||||
United Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 910 | 999,727 | |||||||||||||
|
| |||||||||||||||
4,417,998 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.1% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 2,685 | 2,702,633 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines — 0.2% |
| |||||||||||||||
American Airlines2015-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.375% | 11/01/28 | 2,115 | $ | 2,150,444 | ||||||||||||
Continental Airlines2001-1Class A-1 Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.703% | 12/15/22 | 13 | 13,847 | |||||||||||||
Continental Airlines2009-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
7.250% | 05/10/21 | 412 | 417,557 | |||||||||||||
Continental Airlines2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 323 | 332,034 | |||||||||||||
Continental Airlines2012-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 04/29/26 | 293 | 306,110 | |||||||||||||
Delta Air Lines2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 214 | 235,332 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 03/13/20 | 1,300 | 1,301,579 | |||||||||||||
|
| |||||||||||||||
4,756,903 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.4% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
3.014%(c) | 04/12/21 | 355 | 355,306 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 04/12/21 | 480 | 485,616 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 05/04/20 | 875 | 879,658 | |||||||||||||
3.350% | 05/04/21 | 1,455 | 1,475,468 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 665 | 618,558 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.336% | 03/18/21 | 515 | 517,644 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/02/43 | 740 | 787,738 | |||||||||||||
6.600% | 04/01/36 | 585 | 647,597 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
3.442%(c) | 04/09/21 | 820 | 819,626 | |||||||||||||
Gtd. Notes |
| |||||||||||||||
3.550% | 04/09/21 | 620 | 629,028 | |||||||||||||
3.950% | 04/13/24 | 1,700 | 1,736,824 | |||||||||||||
Harley-Davidson Financial Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.850% | 01/15/21 | 2,300 | 2,304,500 | |||||||||||||
|
| |||||||||||||||
11,257,563 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks — 3.3% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.724%(c) | 04/12/23 | 400 | $ | 398,318 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 800 | 830,480 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | — | (rr) | 275 | 306,982 | ||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | — | (rr) | 1,145 | 1,152,156 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.300% | 01/11/23 | 1,520 | 1,566,780 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.499%(ff) | 05/17/22 | 2,275 | 2,318,843 | |||||||||||||
3.824%(ff) | 01/20/28 | 615 | 651,007 | |||||||||||||
4.000% | 04/01/24 | 745 | 793,883 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,700 | 1,788,072 | |||||||||||||
4.450% | 03/03/26 | 4,790 | 5,166,700 | |||||||||||||
Bank of America NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
6.000% | 10/15/36 | 805 | 1,061,259 | |||||||||||||
Bank of Montreal (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.900% | 03/26/22 | 970 | 984,848 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 610 | 613,074 | |||||||||||||
3.684% | 01/10/23 | 320 | 324,191 | |||||||||||||
4.375% | 01/12/26 | 323 | 334,263 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 705 | 751,940 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | — | (rr) | 1,590 | 1,635,029 | ||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | — | (rr) | 945 | 970,987 | ||||||||||||
Jr. Sub. Notes, Series T |
| |||||||||||||||
6.250%(ff) | — | (rr) | 640 | 702,906 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 10/21/26 | 670 | 683,295 | |||||||||||||
3.700% | 01/12/26 | 1,610 | 1,694,846 | |||||||||||||
3.887%(ff) | 01/10/28 | 560 | 592,462 | |||||||||||||
8.125% | 07/15/39 | 365 | 583,860 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 1,485 | 1,599,946 | |||||||||||||
4.750% | 05/18/46 | 440 | 497,668 | |||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.282% | 01/09/28 | 980 | 1,034,572 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 1,240 | 1,234,720 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 1,350 | 1,391,601 |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 03/13/26 | 595 | $ | 630,497 | ||||||||||||
Sub. Notes |
| |||||||||||||||
7.000% | 04/15/20 | 485 | 501,561 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M |
| |||||||||||||||
5.375%(ff) | — | (rr) | 1,800 | 1,802,250 | ||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | — | (rr) | 560 | 584,500 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/25/26 | 1,165 | 1,216,047 | |||||||||||||
3.814%(ff) | 04/23/29 | 440 | 459,873 | |||||||||||||
3.850% | 01/26/27 | 2,625 | 2,743,638 | |||||||||||||
5.750% | 01/24/22 | 3,265 | 3,528,759 | |||||||||||||
Sub. Notes |
| |||||||||||||||
6.750% | 10/01/37 | 225 | 294,289 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600% |
| |||||||||||||||
3.120%(c) | 05/18/21 | 1,530 | 1,531,209 | |||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240% |
| |||||||||||||||
4.693%(c) | 03/08/21 | 920 | 946,641 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 01/14/22 | 1,230 | 1,302,766 | |||||||||||||
ING Groep NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 04/09/24 | 400 | 413,776 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
6.053%(c) | — | (rr) | 1,435 | 1,434,225 | ||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | — | (rr) | 1,175 | 1,265,851 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.782%(ff) | 02/01/28 | 270 | 286,230 | |||||||||||||
3.964%(ff) | 11/15/48 | 2,240 | 2,376,619 | |||||||||||||
4.005%(ff) | 04/23/29 | 1,360 | 1,467,067 | |||||||||||||
4.250% | 10/15/20 | 1,660 | 1,700,979 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 09/10/24 | 3,525 | 3,705,951 | |||||||||||||
JPMorgan Chase Bank NA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.086%(ff) | 04/26/21 | 3,000 | 3,016,860 | |||||||||||||
Lloyds Bank PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.300% | 05/07/21 | 1,400 | 1,421,900 | |||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
5.800% | 01/13/20 | 1,770 | 1,801,589 | |||||||||||||
Manufacturers & Traders Trust Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 02/06/25 | 2,385 | 2,435,341 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H |
| |||||||||||||||
5.450%(ff) | — | (rr) | 640 | 638,400 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | 930 | 1,035,182 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.750% | 02/25/23 | 610 | $ | 637,217 | ||||||||||||
3.772%(ff) | 01/24/29 | 1,295 | 1,358,637 | |||||||||||||
3.875% | 01/27/26 | 550 | 584,657 | |||||||||||||
4.431%(ff) | 01/23/30 | 455 | 503,348 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.591%(ff) | 07/22/28 | 1,030 | 1,072,488 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 3,050 | 3,270,596 | |||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390% |
| |||||||||||||||
2.973%(c) | 04/30/21 | 1,620 | 1,624,511 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.200% | 04/30/21 | 360 | 366,393 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.445%(ff) | 05/08/30 | 1,570 | 1,625,142 | |||||||||||||
State Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/24/24 | 1,255 | 1,311,462 | |||||||||||||
|
| |||||||||||||||
82,561,139 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 02/01/36 | 1,220 | 1,338,304 | |||||||||||||
Keurig Dr. Pepper, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.551% | 05/25/21 | 830 | 847,887 | |||||||||||||
|
| |||||||||||||||
2,186,191 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.1% |
| |||||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | 300 | 297,750 | |||||||||||||
5.375% | 11/15/24 | 1,135 | 1,174,725 | |||||||||||||
|
| |||||||||||||||
1,472,475 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
Celanese US Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 06/15/21 | 1,160 | 1,229,343 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 03/15/44 | 445 | 417,321 | |||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.500% | 07/19/22 | 2,675 | 2,692,220 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 11/15/41 | 5 | 5,477 | |||||||||||||
9.400% | 05/15/39 | 30 | 47,628 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.800% | 05/15/49 | 345 | 372,010 | |||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 02/26/55 | 620 | 626,840 |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 11/15/33 | 265 | $ | 300,097 | ||||||||||||
5.625% | 11/15/43 | 295 | 324,610 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 875 | 905,625 | |||||||||||||
SASOL Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.875% | 03/27/24 | 600 | 650,188 | |||||||||||||
6.500% | 09/27/28 | 405 | 454,603 | |||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 06/01/25 | 500 | 602,931 | |||||||||||||
|
| |||||||||||||||
8,628,893 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.200% | 11/01/46 | 875 | 891,120 | |||||||||||||
7.000% | 10/15/37 | 390 | 532,683 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.875% | 01/15/28 | 735 | 749,700 | |||||||||||||
5.250% | 01/15/30 | 265 | 272,288 | |||||||||||||
5.875% | 09/15/26 | 375 | 399,375 | |||||||||||||
|
| |||||||||||||||
2,845,166 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.1% |
| |||||||||||||||
Apple, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 05/13/25 | 2,400 | 2,508,762 | |||||||||||||
Hewlett Packard Enterprise Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.100% | 10/04/19 | 150 | 149,790 | |||||||||||||
|
| |||||||||||||||
2,658,552 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.4% |
| |||||||||||||||
Capital One Financial Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 05/12/20 | 1,625 | 1,626,685 | |||||||||||||
3.450% | 04/30/21 | 3,215 | 3,273,377 | |||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 07/24/24 | 1,050 | 1,104,957 | |||||||||||||
Discover Financial Services, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 11/21/22 | 900 | 938,524 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 465 | 504,822 | |||||||||||||
Lehman Brothers Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 05/02/18 | (d) | 700 | 12,180 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.250% | 02/06/12 | (d) | 1,850 | 30,895 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services (continued) |
| |||||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
U.S. Gov’t. Gtd. Notes, Series GG |
| |||||||||||||||
2.450% | 07/15/24 | 285 | $ | 292,378 | ||||||||||||
U.S. Gov’t. Gtd. Notes, Series NN |
| |||||||||||||||
3.250% | 06/15/25 | 255 | 271,011 | |||||||||||||
Synchrony Financial, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 02/03/20 | 2,175 | 2,175,185 | |||||||||||||
|
| |||||||||||||||
10,230,014 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.2% | ||||||||||||||||
Avista Corp., | ||||||||||||||||
First Mortgage | ||||||||||||||||
4.350% | 06/01/48 | 845 | 930,382 | |||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.350% | 10/01/36 | 530 | 713,833 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.950% | 05/15/37 | 335 | 432,432 | |||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage, Series K2 |
| |||||||||||||||
6.950% | 03/15/33 | 300 | 423,155 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series09-C |
| |||||||||||||||
5.500% | 12/01/39 | 145 | 182,177 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes | ||||||||||||||||
4.104% | 04/01/21 | 2,470 | 2,528,730 | |||||||||||||
DTE Electric Co., |
| |||||||||||||||
General Ref. Mortgage, Series A |
| |||||||||||||||
4.050% | 05/15/48 | 1,075 | 1,189,202 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
6.050% | 04/15/38 | 530 | 708,172 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 845 | 1,029,948 | |||||||||||||
Eversource Energy, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 11/15/19 | 605 | 609,089 | |||||||||||||
Exelon Corp., | ||||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
3.497% | 06/01/22 | 2,397 | 2,455,684 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 10/01/19 | 400 | 402,426 | |||||||||||||
6.250% | 10/01/39 | 1,375 | 1,625,971 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 265 | 314,853 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage | ||||||||||||||||
5.950% | 10/01/33 | 380 | 493,647 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.750% | 09/15/33 | 140 | 172,936 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 05/15/28 | 2,105 | $ | 2,259,136 | ||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.375% | 01/28/20 | 1,000 | 1,037,980 | |||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 575 | 597,862 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 1,560 | 1,664,511 | |||||||||||||
Niagara Mohawk Power Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.881% | 08/15/19 | 545 | 546,428 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage | ||||||||||||||||
3.600% | 09/15/47 | 1,035 | 1,055,665 | |||||||||||||
Ohio Power Co., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/01/49 | 465 | 500,949 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.000% | 09/15/47 | 980 | 945,523 | |||||||||||||
5.000% | 03/15/44 | 495 | 550,222 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.000% | 06/15/21 | (a) | 1,260 | 1,273,464 | ||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, MTN |
| |||||||||||||||
3.000% | 05/15/27 | 675 | 687,115 | |||||||||||||
3.700% | 05/01/28 | 850 | 914,687 | |||||||||||||
Sr. Sec’d. Notes, MTN |
| |||||||||||||||
5.800% | 05/01/37 | 515 | 664,964 | |||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage | ||||||||||||||||
4.150% | 05/15/48 | 1,010 | 1,052,400 | |||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 350 | 348,560 | |||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 690 | 641,043 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 495 | 512,944 | |||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/41 | 480 | 521,409 | |||||||||||||
|
| |||||||||||||||
29,987,499 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
FLIR Systems, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 06/15/21 | 650 | 656,356 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 07/31/47 | 1,350 | 1,344,938 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods — 0.2% | ||||||||||||||||
Conagra Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 10/22/21 | 2,470 | $ | 2,538,814 | ||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.375% | 06/01/46 | 360 | 342,043 | |||||||||||||
Mars, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/49 | 1,120 | 1,205,056 | |||||||||||||
|
| |||||||||||||||
4,085,913 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
Georgia-Pacific LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.400% | 11/01/20 | 275 | 285,822 | |||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/41 | 1,270 | 1,488,660 | |||||||||||||
|
| |||||||||||||||
1,774,482 | ||||||||||||||||
|
| |||||||||||||||
Gas — 0.2% | ||||||||||||||||
Dominion Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 11/01/43 | 45 | 50,742 | |||||||||||||
NiSource, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.490% | 05/15/27 | 2,355 | 2,435,969 | |||||||||||||
Piedmont Natural Gas Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 06/01/29 | 2,090 | 2,186,961 | |||||||||||||
|
| |||||||||||||||
4,673,672 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.1% |
| |||||||||||||||
Abbott Laboratories, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 11/30/46 | 1,445 | 1,785,672 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 372 | 390,206 | |||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
1.625% | 03/07/31 | EUR | 200 | 244,227 | ||||||||||||
2.250% | 03/07/39 | EUR | 300 | 385,702 | ||||||||||||
|
| |||||||||||||||
2,805,807 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.1% |
| |||||||||||||||
Aetna, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 06/15/36 | 480 | 590,547 | |||||||||||||
Anthem, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 05/15/42 | 330 | 359,227 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 435 | 441,003 | |||||||||||||
HCA, Inc., | ||||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.125% | 06/15/39 | 665 | 691,414 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.150% | 05/01/47 | 670 | $ | 750,553 | ||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 160 | 162,622 | |||||||||||||
New York and Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.024% | 08/01/45 | 340 | 376,813 | |||||||||||||
|
| |||||||||||||||
3,372,179 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 405 | 412,088 | |||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/26 | 2,010 | 1,997,602 | |||||||||||||
|
| |||||||||||||||
Insurance — 0.3% |
| |||||||||||||||
AXIS Specialty Finance LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.875% | 06/01/20 | 990 | 1,020,664 | |||||||||||||
Hartford Financial Services Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 04/15/22 | 635 | 680,787 | |||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/42 | 215 | 284,992 | |||||||||||||
7.000% | 03/15/34 | 910 | 1,192,807 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 701 | 891,804 | |||||||||||||
Markel Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/30/43 | 165 | 173,611 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/39 | 650 | 925,642 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.625% | 09/15/42 | 105 | 116,093 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 1,430 | 1,548,377 | |||||||||||||
6.850% | 12/16/39 | 122 | 172,920 | |||||||||||||
Unum Group, | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/15/20 | 315 | 326,877 | |||||||||||||
W.R. Berkley Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 08/15/19 | 575 | 577,228 | |||||||||||||
|
| |||||||||||||||
7,911,802 | ||||||||||||||||
|
|
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 | 805 | $ | 823,231 | ||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,060 | 1,112,463 | |||||||||||||
|
| |||||||||||||||
Media — 0.5% | ||||||||||||||||
AMC Networks, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 04/01/24 | 1,225 | 1,260,219 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.384% | 10/23/35 | 630 | 739,880 | |||||||||||||
6.484% | 10/23/45 | 1,000 | 1,178,309 | |||||||||||||
Comcast Cable Holdings LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
9.875% | 06/15/22 | 1,440 | 1,737,613 | |||||||||||||
Comcast Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
4.150% | 10/15/28 | (a) | 1,455 | 1,603,629 | ||||||||||||
4.250% | 10/15/30 | 500 | 558,008 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 09/20/37 | 677 | 707,173 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | 270 | 283,075 | |||||||||||||
Viacom, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/44 | 340 | 370,755 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 07/15/22 | 850 | 890,375 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.150% | 03/01/37 | 250 | 339,653 | |||||||||||||
6.900% | 08/15/39 | 35 | 51,583 | |||||||||||||
7.625% | 11/30/28 | 1,265 | 1,710,538 | |||||||||||||
|
| |||||||||||||||
11,430,810 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.0% | ||||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250%(ff) | 10/19/75 | 315 | 327,994 | |||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.1% |
| |||||||||||||||
Actuant Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 06/15/22 | 1,040 | 1,047,800 | |||||||||||||
Pentair Finance Sarl, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.500% | 07/01/29 | 2,415 | 2,471,553 | |||||||||||||
|
| |||||||||||||||
3,519,353 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Multi-National — 0.1% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 865 | $ | 857,431 | ||||||||||||
2.750% | 01/06/23 | 385 | 387,768 | |||||||||||||
North American Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/26/22 | 855 | 857,453 | |||||||||||||
4.375% | 02/11/20 | 800 | 809,560 | |||||||||||||
|
| |||||||||||||||
2,912,212 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.8% |
| |||||||||||||||
Anadarko Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.677%(s) | 10/10/36 | 1,000 | 472,450 | |||||||||||||
4.850% | 03/15/21 | 287 | 297,095 | |||||||||||||
6.450% | 09/15/36 | 1,040 | 1,278,619 | |||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 03/01/25 | (a) | 950 | 876,375 | ||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | (a) | 850 | 922,438 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.875% | 10/01/47 | 150 | 167,901 | |||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.500% | 04/15/23 | 2,141 | 2,249,509 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 225 | 267,085 | |||||||||||||
Encana Corp. (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.500% | 02/01/38 | 240 | 293,922 | |||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 255 | 267,271 | |||||||||||||
6.510% | 03/07/22 | 440 | 475,186 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.650% | 03/15/25 | 1,555 | 1,646,237 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | (a) | 400 | 426,451 | ||||||||||||
Newfield Exploration Co., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.750% | 01/30/22 | 80 | 85,624 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 595 | 632,909 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.299% | 01/27/25 | 535 | 567,635 | |||||||||||||
5.750% | 02/01/29 | 610 | 635,864 | |||||||||||||
6.250% | 03/17/24 | 515 | 563,307 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.375% | 03/13/22 | 330 | $ | 332,492 | ||||||||||||
5.500% | 01/21/21 | 1,295 | 1,309,893 | |||||||||||||
6.350% | 02/12/48 | 458 | 393,193 | |||||||||||||
6.500% | 06/02/41 | 955 | 847,085 | |||||||||||||
8.625% | 12/01/23 | 350 | 384,943 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 1,805 | 1,607,352 | |||||||||||||
6.875% | 08/04/26 | 1,000 | 1,012,400 | |||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.500% | 04/28/20 | 1,000 | 999,974 | |||||||||||||
Valero Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/01/29 | 580 | 607,238 | |||||||||||||
|
| |||||||||||||||
19,620,448 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.000% | 12/21/20 | 559 | 563,584 | |||||||||||||
3.900% | 05/17/28 | 1,317 | 1,370,510 | |||||||||||||
4.000% | 12/21/25 | 139 | 147,132 | |||||||||||||
Schlumberger Investment SA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.300% | 09/14/21 | 100 | 101,986 | |||||||||||||
|
| |||||||||||||||
2,183,212 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
Ball Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
4.375% | 12/15/20 | 465 | 475,230 | |||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.900% | 03/01/22 | 675 | 713,541 | |||||||||||||
|
| |||||||||||||||
1,188,771 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.6% |
| |||||||||||||||
AbbVie, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 950 | 981,519 | |||||||||||||
4.500% | 05/14/35 | 1,595 | 1,645,391 | |||||||||||||
Allergan Funding SCS, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.550% | 03/15/35 | 1,770 | 1,787,132 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.630% |
| |||||||||||||||
2.979%(c) | 06/25/21 | 805 | 799,595 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/25/21 | 350 | 355,069 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 06/15/39 | 280 | 301,956 | |||||||||||||
4.250% | 10/26/49 | 1,990 | 2,199,746 | |||||||||||||
Cigna Corp., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 10/15/28 | 1,870 | 2,017,478 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 230 | $ | 239,930 | ||||||||||||
5.050% | 03/25/48 | 194 | 206,633 | |||||||||||||
5.125% | 07/20/45 | 781 | 832,870 | |||||||||||||
5.300% | 12/05/43 | 170 | 184,284 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.400% | 09/23/21 | 2,570 | 2,566,844 | |||||||||||||
|
| |||||||||||||||
14,118,447 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.4% |
| |||||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.350% | 03/15/20 | 473 | 479,504 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.650% | 06/01/21 | 610 | 632,759 | |||||||||||||
4.950% | 06/15/28 | 795 | 869,188 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.750% | 02/15/25 | 1,055 | 1,116,094 | |||||||||||||
MPLX LP, | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | 1,140 | 1,190,444 | |||||||||||||
4.875% | 06/01/25 | 2,275 | 2,472,520 | |||||||||||||
5.200% | 03/01/47 | 25 | 26,871 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.650% | 10/01/36 | 130 | 159,253 | |||||||||||||
ONEOK, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
4.950% | 07/13/47 | 640 | 674,164 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 07/01/22 | 1,315 | 1,332,099 | |||||||||||||
5.300% | 03/01/48 | 80 | 74,222 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.850% | 03/01/48 | 230 | 245,993 | |||||||||||||
4.900% | 01/15/45 | 1,100 | 1,152,664 | |||||||||||||
|
| |||||||||||||||
10,425,775 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.875% | 11/01/20 | 240 | 244,166 | |||||||||||||
5.375% | 04/15/26 | 725 | 784,051 | |||||||||||||
Simon Property Group LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 03/15/22 | 190 | 195,149 | |||||||||||||
|
| |||||||||||||||
1,223,366 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.3% | ||||||||||||||||
AutoZone, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/18/29 | 1,820 | 1,892,571 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (continued) |
| |||||||||||||||
Dollar Tree, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700% |
| |||||||||||||||
3.288%(c) | 04/17/20 | 795 | $ | 795,092 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | 3,395 | 3,538,936 | |||||||||||||
L Brands, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 02/15/22 | 525 | 548,683 | |||||||||||||
5.625% | 10/15/23 | 475 | 492,570 | |||||||||||||
Macy’s Retail Holdings, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.875% | 01/15/22 | 300 | 305,284 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 12/01/25 | (a) | 1,020 | 1,000,824 | ||||||||||||
|
| |||||||||||||||
8,573,960 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,195 | 1,230,096 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 0.1% |
| |||||||||||||||
Broadcom, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.125% | 04/15/21 | 830 | 835,374 | |||||||||||||
3.125% | 10/15/22 | 640 | 644,030 | |||||||||||||
|
| |||||||||||||||
1,479,404 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
Fidelity National Information Services, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 10/15/20 | 915 | 928,516 | |||||||||||||
Microsoft Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/12/55 | 360 | 404,696 | |||||||||||||
Oracle Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 07/08/34 | 700 | 796,523 | |||||||||||||
|
| |||||||||||||||
2,129,735 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.5% |
| |||||||||||||||
AT&T Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
8.750% | 11/15/31 | 10 | 13,897 | |||||||||||||
AT&T, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/15/25 | 2,130 | 2,189,651 | |||||||||||||
3.600% | 07/15/25 | 250 | 259,308 | |||||||||||||
3.800% | 02/15/27 | 1,200 | 1,248,810 | |||||||||||||
4.300% | 02/15/30 | 225 | 240,821 | |||||||||||||
4.500% | 05/15/35 | 225 | 235,532 | |||||||||||||
4.550% | 03/09/49 | 4 | 4,083 | |||||||||||||
4.850% | 03/01/39 | 3,615 | 3,879,729 | |||||||||||||
5.350% | 09/01/40 | 113 | 127,548 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
British Telecommunications PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
9.625% | 12/15/30 | 350 | $ | 527,877 | ||||||||||||
Sprint Communications, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 03/01/20 | (a) | 400 | 410,000 | ||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 788 | 787,705 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 08/15/46 | 520 | 542,822 | |||||||||||||
4.500% | 08/10/33 | 865 | 974,480 | |||||||||||||
4.862% | 08/21/46 | 615 | 716,038 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.016% | 12/03/29 | 1,365 | 1,477,942 | |||||||||||||
|
| |||||||||||||||
13,636,243 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 08/01/28 | 735 | 959,749 | |||||||||||||
CSX Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 05/01/37 | 690 | 890,928 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.590% | 05/17/25 | 120 | 136,645 | |||||||||||||
|
| |||||||||||||||
1,987,322 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 290,662,707 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.6% |
| |||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.263% | 09/15/32 | 180 | 197,602 | |||||||||||||
|
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.263% | 04/01/49 | 1,305 | 1,956,665 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation, BABS | ||||||||||||||||
7.300% | 10/01/39 | 1,250 | 1,878,937 | |||||||||||||
7.500% | 04/01/34 | 350 | 528,290 | |||||||||||||
7.550% | 04/01/39 | 245 | 387,864 | |||||||||||||
7.625% | 03/01/40 | 205 | 323,478 | |||||||||||||
|
| |||||||||||||||
5,075,234 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District, |
| |||||||||||||||
Revenue Bonds, Series2010-B, BABs |
| |||||||||||||||
5.844% | 11/01/50 | 565 | 806,667 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Illinois — 0.2% | ||||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.395% | 01/01/40 | 970 | $ | 1,372,269 | ||||||||||||
State of Illinois, | ||||||||||||||||
General Obligation, Series D, BABs |
| |||||||||||||||
5.000% | 11/01/22 | 2,305 | 2,522,200 | |||||||||||||
|
| |||||||||||||||
3,894,469 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Revenue Bonds, Series F, BABs |
| |||||||||||||||
7.414% | 01/01/40 | 1,000 | 1,546,950 | |||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,100 | 1,371,799 | |||||||||||||
|
| |||||||||||||||
Ohio — 0.0% | ||||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Revenue Bonds, Series C, BABs |
| |||||||||||||||
4.910% | 06/01/40 | 415 | 515,273 | |||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.879% | 12/01/34 | 275 | 321,395 | |||||||||||||
|
| |||||||||||||||
836,668 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% | ||||||||||||||||
State of Oregon Department of Transportation Highway, |
| |||||||||||||||
Revenue Bonds, Series A, BABs |
| |||||||||||||||
5.834% | 11/15/34 | 425 | 560,142 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, Series B, BABs |
| |||||||||||||||
5.511% | 12/01/45 | 505 | 665,539 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Revenue Bonds, Taxable, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 355 | 402,414 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 15,357,484 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.8% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/19 | 31 | 30,732 | |||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series2015-R04, Class 4A1, 144A |
| |||||||||||||||
3.500%(cc) | 01/27/30 | 451 | 450,251 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series2005-A, Class 2A1 |
| |||||||||||||||
4.503%(cc) | 02/25/35 | 122 | 123,619 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700% |
| |||||||||||||||
4.104%(c) | 10/25/27 | 359 | 361,223 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% |
| |||||||||||||||
4.004%(c) | 04/25/28 | 233 | $ | 233,841 | ||||||||||||
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950% |
| |||||||||||||||
3.354%(c) | 08/25/28 | 392 | 392,390 | |||||||||||||
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% |
| |||||||||||||||
3.754%(c) | 08/25/28 | 300 | 300,000 | |||||||||||||
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% |
| |||||||||||||||
4.004%(c) | 08/25/28 | 300 | 299,640 | |||||||||||||
Series2019-02A, Class M1A, 144A, 1 Month LIBOR + 1.000% |
| |||||||||||||||
3.404%(c) | 04/25/29 | 520 | 520,596 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
3.940%(c) | 11/01/23 | 3,500 | 3,499,997 | |||||||||||||
Chase Mortgage Finance Trust, |
| |||||||||||||||
Series2007-A01, Class 1A5 |
| |||||||||||||||
4.791%(cc) | 02/25/37 | 237 | 241,808 | |||||||||||||
CIM Trust, | ||||||||||||||||
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.440%(c) | 12/25/57 | 1,937 | 1,946,691 | |||||||||||||
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.440%(c) | 01/25/57 | 2,314 | 2,358,431 | |||||||||||||
Series2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 2,210 | 2,210,542 | |||||||||||||
Series2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 2,133 | 2,128,735 | |||||||||||||
CSMC Trust, | ||||||||||||||||
Series2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
3.829%(c) | 08/25/37 | 719 | 718,359 | |||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 1,823 | 1,884,334 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250% |
| |||||||||||||||
3.654%(c) | 04/25/29 | 150 | 150,092 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, |
| |||||||||||||||
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450% |
| |||||||||||||||
3.854%(c) | 01/25/29 | 283 | 283,888 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% |
| |||||||||||||||
3.704%(c) | 03/25/29 | 743 | 744,890 | |||||||||||||
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250% |
| |||||||||||||||
4.654%(c) | 11/25/28 | 451 | 455,333 | |||||||||||||
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 07/25/29 | 1,349 | 1,354,702 | |||||||||||||
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 03/25/30 | 3,171 | 3,174,468 | |||||||||||||
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.161%(c) | 02/25/49 | 600 | 600,000 | |||||||||||||
Gosforth Funding PLC (United Kingdom), |
| |||||||||||||||
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450% |
| |||||||||||||||
2.971%(c) | 08/25/60 | 1,298 | 1,298,314 | |||||||||||||
Holmes Master Issuer PLC (United Kingdom), |
| |||||||||||||||
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360% |
| |||||||||||||||
2.957%(c) | 10/15/54 | 1,417 | 1,417,467 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% |
| |||||||||||||||
4.054%(c) | 05/25/29 | 420 | $ | 420,000 | ||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series2007-A01, Class 4A1 |
| |||||||||||||||
4.661%(cc) | 07/25/35 | 113 | 116,248 | |||||||||||||
Lanark Master Issuer PLC (United Kingdom), |
| |||||||||||||||
Series2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420% |
| |||||||||||||||
2.943%(c) | 12/22/69 | 980 | 980,114 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.940%(c) | 04/01/24 | 154 | 153,665 | |||||||||||||
MetLife Securitization Trust, |
| |||||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/57 | 631 | 657,455 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series2019-01, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 10/25/69 | 790 | 805,399 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 1,309 | 1,356,740 | |||||||||||||
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
3.154%(c) | 01/25/48 | 548 | 547,190 | |||||||||||||
Oaktown Re Ltd. (Bermuda), |
| |||||||||||||||
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% |
| |||||||||||||||
3.954%(c) | 07/25/28 | 500 | 499,635 | |||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series2019-01, Class PT, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.937%(c) | 11/27/20 | 10,080 | 10,080,011 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 1,576 | 1,636,461 | |||||||||||||
STACR Trust, | ||||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 09/25/48 | 947 | 947,847 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series2004-01, Class 4A3 |
| |||||||||||||||
4.566%(cc) | 02/25/34 | 176 | 178,454 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, |
| |||||||||||||||
Series2005-01, Class 3A |
| |||||||||||||||
5.000% | 03/25/20 | 25 | 25,215 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 45,584,777 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 1.1% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 2,420 | 2,510,339 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 220 | 230,340 |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
4.375% | 07/12/21 | 400 | $ | 414,004 | ||||||||||||
7.375% | 09/18/37 | 450 | 612,005 | |||||||||||||
Export-Import Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/01/28 | 745 | 764,615 | |||||||||||||
Export-Import Bank of Korea (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 06/29/20 | 265 | 272,317 | |||||||||||||
Finnvera OYJ (Finland), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 06/04/25 | 400 | 405,302 | |||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.375% | 03/29/21 | 1,760 | 1,878,624 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/30/25 | EUR 1,200 | 1,543,272 | |||||||||||||
4.450% | 02/11/24 | 355 | 376,960 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.875% | 01/15/24 | 750 | 840,635 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.150% | 07/18/24 | EUR 1,510 | 1,826,381 | |||||||||||||
4.750% | 01/08/26 | 350 | 380,796 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
3.375% | 10/31/23 | 200 | 210,453 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 10/25/23 | 1,000 | 996,794 | |||||||||||||
2.625% | 04/20/22 | 1,400 | 1,417,857 | |||||||||||||
3.000% | 03/12/24 | 200 | 207,162 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/22/24 | 395 | 420,086 | |||||||||||||
4.500% | 04/16/50 | 340 | 381,228 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 04/16/24 | 420 | 430,538 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 10/17/23 | 490 | 517,501 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 800 | 839,040 | |||||||||||||
4.817% | 03/14/49 | 690 | 790,768 | |||||||||||||
5.103% | 04/23/48 | 665 | 792,181 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 1,270 | 1,653,514 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 01/16/50 | 1,125 | 1,278,653 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 10/26/21 | 980 | 978,216 | |||||||||||||
2.875% | 03/04/23 | 1,285 | 1,299,456 | |||||||||||||
4.000% | 04/17/25 | 750 | 797,813 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 1,200 | $ | 1,210,849 | ||||||||||||
3.250% | 06/01/23 | 600 | 624,106 | |||||||||||||
Turkey Government International Bond (Turkey), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 06/05/20 | 1,260 | 1,288,426 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.100% | 06/18/50 | (a) | 490 | 550,642 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 28,740,873 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.7% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
5.500% | 07/15/36 | (k) | 850 | 1,186,385 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 941 | 931,933 | |||||||||||||
2.500% | 03/01/30 | 544 | 548,994 | |||||||||||||
3.000% | 10/01/28 | 409 | 419,394 | |||||||||||||
3.000% | 06/01/29 | 789 | 807,251 | |||||||||||||
3.000% | 01/01/37 | 248 | 252,794 | |||||||||||||
3.000% | 06/01/42 | 395 | 402,199 | |||||||||||||
3.000% | 10/01/42 | 922 | 938,930 | |||||||||||||
3.000% | 01/01/43 | 830 | 845,052 | |||||||||||||
3.000% | 07/01/43 | 2,180 | 2,218,870 | |||||||||||||
3.500% | 06/01/42 | 397 | 412,460 | |||||||||||||
3.500% | 01/01/47 | 880 | 908,226 | |||||||||||||
4.000% | 06/01/26 | 521 | 545,356 | |||||||||||||
4.000% | 09/01/26 | 179 | 186,307 | |||||||||||||
4.000% | 03/01/38 | 483 | 504,107 | |||||||||||||
4.000% | 10/01/39 | 652 | 687,675 | |||||||||||||
4.000% | 12/01/40 | 428 | 451,482 | |||||||||||||
4.000% | 10/01/41 | 454 | 479,538 | |||||||||||||
4.000% | 01/01/42 | 155 | 163,537 | |||||||||||||
4.500% | 07/01/19 | — | (r) | 162 | ||||||||||||
4.500% | 07/01/20 | 14 | 13,920 | |||||||||||||
4.500% | 02/01/39 | 90 | 96,254 | |||||||||||||
4.500% | 09/01/39 | 156 | 168,066 | |||||||||||||
4.500% | 10/01/39 | 1,413 | 1,518,737 | |||||||||||||
4.500% | 12/01/39 | 135 | 144,601 | |||||||||||||
4.500% | 07/01/41 | 269 | 286,059 | |||||||||||||
4.500% | 07/01/41 | 1,777 | 1,909,832 | |||||||||||||
4.500% | 08/01/41 | 129 | 135,483 | |||||||||||||
4.500% | 08/01/41 | 229 | 243,564 | |||||||||||||
4.500% | 08/01/41 | 496 | 533,072 | |||||||||||||
4.500% | 10/01/41 | 150 | 158,063 | |||||||||||||
4.500% | 12/01/47 | 455 | 479,527 | |||||||||||||
4.500% | 08/01/48 | 1,344 | 1,411,740 | |||||||||||||
5.000% | 05/01/34 | 20 | 21,962 | |||||||||||||
5.000% | 05/01/34 | 307 | 335,369 | |||||||||||||
5.000% | 10/01/35 | 7 | 8,014 | |||||||||||||
5.000% | 07/01/37 | 476 | 518,895 | |||||||||||||
5.000% | 05/01/39 | 67 | 72,922 | |||||||||||||
5.500% | 12/01/33 | 45 | 48,426 | |||||||||||||
5.500% | 01/01/34 | 45 | 48,791 | |||||||||||||
5.500% | 06/01/34 | 79 | 88,109 |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
5.500% | 07/01/34 | 193 | $ | 214,288 | ||||||||||||
5.500% | 05/01/37 | 53 | 58,469 | |||||||||||||
5.500% | 02/01/38 | 430 | 469,549 | |||||||||||||
5.500% | 05/01/38 | 47 | 50,898 | |||||||||||||
5.500% | 07/01/38 | 118 | 128,343 | |||||||||||||
6.000% | 03/01/32 | 190 | 209,610 | |||||||||||||
6.000% | 12/01/33 | 52 | 56,733 | |||||||||||||
6.000% | 11/01/36 | 54 | 61,294 | |||||||||||||
6.000% | 01/01/37 | 46 | 52,136 | |||||||||||||
6.000% | 05/01/37 | 26 | 29,110 | |||||||||||||
6.000% | 02/01/38 | 4 | 4,914 | |||||||||||||
6.000% | 08/01/39 | 68 | 77,664 | |||||||||||||
6.750% | 03/15/31 | (k) | 550 | 799,895 | ||||||||||||
7.000% | 05/01/31 | 11 | 11,913 | |||||||||||||
7.000% | 06/01/31 | 14 | 14,278 | |||||||||||||
7.000% | 08/01/31 | 112 | 124,984 | |||||||||||||
7.000% | 10/01/31 | 7 | 6,955 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | 08/01/31 | 856 | 848,111 | |||||||||||||
2.500% | 01/01/28 | 801 | 807,958 | |||||||||||||
2.500% | 10/01/43 | 702 | 699,935 | |||||||||||||
2.500% | 12/01/46 | 1,459 | 1,448,265 | |||||||||||||
3.000% | TBA | 4,000 | 4,030,859 | |||||||||||||
3.000% | 02/01/27 | 1,638 | 1,676,782 | |||||||||||||
3.000% | 08/01/30 | 1,096 | 1,120,012 | |||||||||||||
3.000% | 11/01/36 | 2,270 | 2,312,059 | |||||||||||||
3.000% | 12/01/42 | 1,659 | 1,687,417 | |||||||||||||
3.000% | 11/01/46 | 1,365 | 1,382,437 | |||||||||||||
3.000% | 02/01/47 | 1,876 | 1,900,212 | |||||||||||||
3.000% | 03/01/47 | 941 | 952,843 | |||||||||||||
3.500% | TBA | 26,000 | 26,576,515 | |||||||||||||
3.500% | 02/01/33 | 3,121 | 3,225,950 | |||||||||||||
3.500% | 06/01/39 | 562 | 577,859 | |||||||||||||
3.500% | 01/01/42 | 4,628 | 4,804,930 | |||||||||||||
3.500% | 05/01/42 | 2,402 | 2,492,648 | |||||||||||||
3.500% | 07/01/42 | 882 | 915,290 | |||||||||||||
3.500% | 08/01/42 | 370 | 383,793 | |||||||||||||
3.500% | 08/01/42 | 1,127 | 1,169,585 | |||||||||||||
3.500% | 09/01/42 | 514 | 533,802 | |||||||||||||
3.500% | 09/01/42 | 1,849 | 1,919,588 | |||||||||||||
3.500% | 11/01/42 | 328 | 340,114 | |||||||||||||
3.500% | 03/01/43 | 2,574 | 2,680,028 | |||||||||||||
3.500% | 04/01/43 | 611 | 634,718 | |||||||||||||
3.500% | 04/01/43 | 955 | 991,591 | |||||||||||||
3.500% | 01/01/46 | 1,975 | 2,036,649 | |||||||||||||
3.500% | 11/01/46 | 2,152 | 2,215,758 | |||||||||||||
3.500% | 09/01/47 | 1,377 | 1,418,106 | |||||||||||||
3.500% | 05/01/48 | 2,668 | 2,740,400 | |||||||||||||
4.000% | 10/01/41 | 2,935 | 3,095,478 | |||||||||||||
4.000% | 09/01/44 | 2,723 | 2,851,038 | |||||||||||||
4.000% | 02/01/47 | 936 | 975,315 | |||||||||||||
4.000% | 09/01/47 | 2,242 | 2,336,034 | |||||||||||||
4.000% | 11/01/47 | 846 | 894,108 | |||||||||||||
4.500% | 07/01/33 | 55 | 58,318 | |||||||||||||
4.500% | 08/01/33 | 46 | 49,234 | |||||||||||||
4.500% | 09/01/33 | 105 | 112,412 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.500% | 10/01/33 | 10 | $ | 10,716 | ||||||||||||
4.500% | 10/01/33 | 34 | 37,136 | |||||||||||||
4.500% | 10/01/33 | 135 | 144,237 | |||||||||||||
4.500% | 01/01/35 | 2 | 1,802 | |||||||||||||
4.500% | 07/01/39 | 935 | 1,004,254 | |||||||||||||
4.500% | 08/01/39 | 1,425 | 1,529,366 | |||||||||||||
4.500% | 03/01/41 | 487 | 522,981 | |||||||||||||
4.500% | 11/01/47 | 4,300 | 4,527,346 | |||||||||||||
5.000% | 03/01/34 | 250 | 271,733 | |||||||||||||
5.000% | 06/01/35 | 92 | 100,605 | |||||||||||||
5.000% | 07/01/35 | 123 | 134,245 | |||||||||||||
5.000% | 09/01/35 | 78 | 85,106 | |||||||||||||
5.000% | 11/01/35 | 100 | 109,750 | |||||||||||||
5.000% | 02/01/36 | 116 | 126,778 | |||||||||||||
5.000% | 05/01/36 | 58 | 63,047 | |||||||||||||
5.500% | 09/01/33 | 251 | 278,425 | |||||||||||||
5.500% | 10/01/33 | 79 | 87,111 | |||||||||||||
5.500% | 12/01/33 | 59 | 65,454 | |||||||||||||
5.500% | 01/01/34 | 1 | 1,438 | |||||||||||||
5.500% | 12/01/34 | 187 | 207,680 | |||||||||||||
5.500% | 10/01/35 | 710 | 788,576 | |||||||||||||
5.500% | 03/01/36 | 134 | 148,449 | |||||||||||||
5.500% | 05/01/36 | 120 | 132,352 | |||||||||||||
5.500% | 04/01/37 | 102 | 113,252 | |||||||||||||
6.000% | 05/01/21 | 21 | 21,831 | |||||||||||||
6.000% | 08/01/22 | 29 | 29,699 | |||||||||||||
6.000% | 04/01/33 | 17 | 18,714 | |||||||||||||
6.000% | 06/01/33 | 6 | 6,620 | |||||||||||||
6.000% | 10/01/33 | 310 | 346,011 | |||||||||||||
6.000% | 11/01/33 | 6 | 6,377 | |||||||||||||
6.000% | 11/01/33 | 16 | 17,200 | |||||||||||||
6.000% | 11/01/33 | 48 | 52,287 | |||||||||||||
6.000% | 01/01/34 | 295 | 334,060 | |||||||||||||
6.000% | 02/01/34 | 70 | 78,935 | |||||||||||||
6.000% | 03/01/34 | 32 | 34,923 | |||||||||||||
6.000% | 03/01/34 | 60 | 65,877 | |||||||||||||
6.000% | 07/01/34 | 178 | 201,246 | |||||||||||||
6.000% | 08/01/34 | 1 | 676 | |||||||||||||
6.000% | 10/01/34 | 3 | 3,672 | |||||||||||||
6.000% | 11/01/34 | 3 | 2,873 | |||||||||||||
6.000% | 11/01/34 | 34 | 37,329 | |||||||||||||
6.000% | 12/01/34 | 23 | 25,391 | |||||||||||||
6.000% | 01/01/35 | 68 | 75,145 | |||||||||||||
6.000% | 01/01/35 | 194 | 213,031 | |||||||||||||
6.000% | 02/01/35 | 4 | 4,429 | |||||||||||||
6.000% | 02/01/35 | 77 | 84,538 | |||||||||||||
6.000% | 02/01/35 | 258 | 295,306 | |||||||||||||
6.000% | 03/01/35 | 2 | 2,511 | |||||||||||||
6.000% | 04/01/35 | 1 | 1,026 | |||||||||||||
6.000% | 07/01/36 | 46 | 51,945 | |||||||||||||
6.000% | 02/01/37 | 77 | 86,824 | |||||||||||||
6.000% | 05/01/37 | 29 | 32,365 | |||||||||||||
6.000% | 06/01/37 | 1 | 838 | |||||||||||||
6.000% | 08/01/37 | — | (r) | 205 | ||||||||||||
6.000% | 08/01/37 | 17 | 19,174 | |||||||||||||
6.000% | 09/01/37 | — | (r) | 380 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 10/01/37 | 36 | $ | 40,582 | ||||||||||||
6.000% | 05/01/38 | 69 | 78,500 | |||||||||||||
6.000% | 06/01/38 | 2 | 2,719 | |||||||||||||
6.250% | 05/15/29 | (k) | 1,245 | 1,680,519 | ||||||||||||
6.500% | 07/01/32 | 44 | 48,466 | |||||||||||||
6.500% | 09/01/32 | 2 | 1,833 | |||||||||||||
6.500% | 09/01/32 | 14 | 15,318 | |||||||||||||
6.500% | 09/01/32 | 63 | 70,751 | |||||||||||||
6.500% | 09/01/32 | 65 | 72,989 | |||||||||||||
6.500% | 09/01/32 | 90 | 100,299 | |||||||||||||
6.500% | 04/01/33 | 103 | 119,765 | |||||||||||||
6.500% | 11/01/33 | 22 | 24,403 | |||||||||||||
6.500% | 01/01/34 | 44 | 48,685 | |||||||||||||
6.500% | 09/01/34 | 61 | 68,036 | |||||||||||||
6.500% | 10/01/34 | 109 | 121,274 | |||||||||||||
6.500% | 09/01/36 | 62 | 73,026 | |||||||||||||
6.500% | 10/01/36 | 29 | 33,257 | |||||||||||||
6.500% | 11/01/36 | 22 | 24,090 | |||||||||||||
6.500% | 01/01/37 | 40 | 44,363 | |||||||||||||
6.500% | 01/01/37 | 109 | 121,331 | |||||||||||||
6.625% | 11/15/30 | (k) | 800 | 1,143,734 | ||||||||||||
7.000% | 02/01/32 | 31 | 35,335 | |||||||||||||
7.000% | 05/01/32 | 15 | 18,176 | |||||||||||||
7.000% | 06/01/32 | 20 | 22,240 | |||||||||||||
7.000% | 07/01/32 | 57 | 64,538 | |||||||||||||
7.125% | 01/15/30 | (k) | 3,195 | 4,634,166 | ||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.500% | 03/20/43 | 304 | 308,430 | |||||||||||||
2.500% | 12/20/46 | 743 | 747,107 | |||||||||||||
3.000% | 12/20/44 | 333 | 341,373 | |||||||||||||
3.000% | 03/15/45 | 1,045 | 1,066,975 | |||||||||||||
3.000% | 11/20/45 | 948 | 970,906 | |||||||||||||
3.000% | 03/20/46 | 2,176 | 2,228,051 | |||||||||||||
3.000% | 07/20/46 | 4,040 | 4,136,158 | |||||||||||||
3.000% | 08/20/46 | 1,510 | 1,545,378 | |||||||||||||
3.000% | 11/20/46 | 764 | 782,365 | |||||||||||||
3.000% | 12/20/46 | 1,368 | 1,400,138 | |||||||||||||
3.000% | 01/20/47 | 389 | 398,185 | |||||||||||||
3.000% | 04/20/47 | 1,617 | 1,654,795 | |||||||||||||
3.500% | TBA | 7,500 | 7,741,406 | |||||||||||||
3.500% | 12/20/42 | 1,372 | 1,431,464 | |||||||||||||
3.500% | 05/20/43 | 421 | 439,657 | |||||||||||||
3.500% | 04/20/45 | 1,836 | 1,904,603 | |||||||||||||
3.500% | 07/20/46 | 6,994 | 7,238,396 | |||||||||||||
4.000% | 06/15/40 | 87 | 92,494 | |||||||||||||
4.000% | 05/20/41 | 74 | 77,877 | |||||||||||||
4.000% | 12/20/42 | 696 | 736,333 | |||||||||||||
4.000% | 08/20/44 | 329 | 345,699 | |||||||||||||
4.000% | 11/20/45 | 749 | 789,851 | |||||||||||||
4.000% | 12/20/45 | 1,978 | 2,086,069 | |||||||||||||
4.000% | 09/20/47 | 8,289 | 8,641,904 | |||||||||||||
4.500% | 04/15/40 | 621 | 669,547 | |||||||||||||
4.500% | 01/20/41 | 530 | 565,626 | |||||||||||||
4.500% | 02/20/41 | 883 | 941,677 | |||||||||||||
4.500% | 03/20/41 | 445 | 475,097 | |||||||||||||
4.500% | 06/20/44 | 661 | 704,938 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.500% | 09/20/46 | 601 | $ | 639,114 | ||||||||||||
4.500% | 11/20/46 | 907 | 968,783 | |||||||||||||
4.500% | 03/20/47 | 617 | 652,469 | |||||||||||||
4.500% | 05/20/48 | 1,728 | 1,801,713 | |||||||||||||
4.500% | 08/20/48 | 3,014 | 3,148,842 | |||||||||||||
5.000% | 10/20/37 | 101 | 110,789 | |||||||||||||
5.000% | 04/20/45 | 666 | 730,259 | |||||||||||||
5.500% | 08/15/33 | 248 | 265,582 | |||||||||||||
5.500% | 08/15/33 | 277 | 298,167 | |||||||||||||
5.500% | 09/15/33 | 79 | 84,632 | |||||||||||||
5.500% | 12/15/33 | 27 | 28,562 | |||||||||||||
5.500% | 03/15/34 | 159 | 170,051 | |||||||||||||
5.500% | 12/15/34 | 319 | 358,583 | |||||||||||||
5.500% | 07/15/35 | 72 | 81,150 | |||||||||||||
5.500% | 04/15/36 | 130 | 142,010 | |||||||||||||
6.000% | 11/15/23 | — | (r) | 362 | ||||||||||||
6.000% | 05/15/32 | — | (r) | 249 | ||||||||||||
6.000% | 04/15/33 | 7 | 8,464 | |||||||||||||
6.000% | 12/15/33 | 103 | 112,718 | |||||||||||||
6.000% | 01/15/34 | 21 | 23,309 | |||||||||||||
6.000% | 01/15/34 | 35 | 39,230 | |||||||||||||
6.000% | 01/15/34 | 66 | 75,469 | |||||||||||||
6.000% | 06/20/34 | 116 | 132,913 | |||||||||||||
6.000% | 07/15/34 | 85 | 97,088 | |||||||||||||
6.500% | 10/15/23 | 1 | 992 | |||||||||||||
6.500% | 12/15/23 | 3 | 3,851 | |||||||||||||
6.500% | 01/15/24 | — | (r) | 479 | ||||||||||||
6.500% | 01/15/24 | 1 | 1,259 | |||||||||||||
6.500% | 01/15/24 | 3 | 3,534 | |||||||||||||
6.500% | 01/15/24 | 11 | 11,764 | |||||||||||||
6.500% | 01/15/24 | 13 | 14,662 | |||||||||||||
6.500% | 01/15/24 | 15 | 17,030 | |||||||||||||
6.500% | 01/15/24 | 33 | 35,892 | |||||||||||||
6.500% | 01/15/24 | 53 | 57,784 | |||||||||||||
6.500% | 02/15/24 | 2 | 2,703 | |||||||||||||
6.500% | 02/15/24 | 5 | 5,097 | |||||||||||||
6.500% | 02/15/24 | 5 | 5,517 | |||||||||||||
6.500% | 02/15/24 | 6 | 6,467 | |||||||||||||
6.500% | 02/15/24 | 11 | 11,821 | |||||||||||||
6.500% | 02/15/24 | 11 | 12,563 | |||||||||||||
6.500% | 03/15/24 | 1 | 1,402 | |||||||||||||
6.500% | 03/15/24 | 3 | 2,977 | |||||||||||||
6.500% | 03/15/24 | 3 | 3,878 | |||||||||||||
6.500% | 04/15/24 | — | (r) | 376 | ||||||||||||
6.500% | 04/15/24 | 1 | 1,491 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,079 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,110 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,573 | |||||||||||||
6.500% | 04/15/24 | 7 | 7,309 | |||||||||||||
6.500% | 04/15/24 | 12 | 13,299 | |||||||||||||
6.500% | 05/15/24 | 4 | 4,247 | |||||||||||||
6.500% | 05/15/24 | 5 | 5,062 | |||||||||||||
6.500% | 05/15/24 | 18 | 19,940 | |||||||||||||
6.500% | 10/15/24 | 17 | 18,660 | |||||||||||||
6.500% | 11/15/28 | 5 | 5,530 | |||||||||||||
6.500% | 08/15/31 | 5 | 6,062 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.500% | 12/15/31 | 11 | $ | 11,709 | ||||||||||||
6.500% | 02/15/32 | 36 | 40,362 | |||||||||||||
6.500% | 06/15/32 | 23 | 25,212 | |||||||||||||
6.500% | 07/15/32 | 39 | 42,892 | |||||||||||||
6.500% | 08/15/32 | 5 | 5,875 | |||||||||||||
6.500% | 08/15/32 | 7 | 8,003 | |||||||||||||
6.500% | 08/15/32 | 8 | 8,429 | |||||||||||||
6.500% | 08/15/32 | 26 | 29,223 | |||||||||||||
6.500% | 08/15/32 | 195 | 227,799 | |||||||||||||
6.500% | 08/15/34 | 25 | 28,957 | |||||||||||||
6.500% | 06/15/35 | 40 | 45,676 | |||||||||||||
6.500% | 09/15/36 | 59 | 70,420 | |||||||||||||
8.000% | 01/15/24 | 7 | 7,214 | |||||||||||||
8.000% | 07/15/24 | — | (r) | 429 | ||||||||||||
Hashemite Kingdom of Jordan Government, USAID Bond, Gov’t. |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.000% | 06/30/25 | 915 | 960,738 | |||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes |
| |||||||||||||||
7.125% | 05/01/30 | 510 | 735,750 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 192,721,019 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.1% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.000% | 02/15/49 | 960 | 1,054,350 | |||||||||||||
3.750% | 11/15/43 | (h) | 3,500 | 4,308,555 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS |
| |||||||||||||||
0.875% | 01/15/29 | 5,784 | 6,087,932 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
2.000% | 11/30/20 | 1,335 | 1,337,764 | |||||||||||||
2.000% | 05/31/24 | 5,580 | 5,645,609 | |||||||||||||
2.250% | 11/15/27 | 2,220 | 2,272,725 | |||||||||||||
2.375% | 08/15/24 | 1,645 | 1,693,193 | |||||||||||||
2.375% | 05/15/29 | 1,935 | 1,999,626 | |||||||||||||
2.500% | 12/31/20 | 735 | 742,120 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.241%(s) | 05/15/28 | 1,055 | 878,647 | |||||||||||||
2.280%(s) | 02/15/29 | 1,055 | 862,956 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 26,883,477 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,234,695,450 | ||||||||||||||
|
|
Shares | ||||||||
SHORT-TERM INVESTMENTS — 15.7% |
| |||||||
AFFILIATED MUTUAL FUNDS — 15.6% |
| |||||||
PGIM Core Short-Term Bond Fund(w) | 6,632,201 | 61,215,213 | ||||||
PGIM Core Ultra Short Bond Fund(w) | 261,032,487 | 261,032,487 | ||||||
PGIM Institutional Money Market Fund (cost $70,308,630; includes $70,164,199 of cash collateral for securities on loan)(b)(w) | 70,304,496 | 70,325,588 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 392,573,288 | ||||||
|
|
Interest | Maturity | Principal Amount (000)# | Value | |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||||
U.S. Treasury Bills |
| |||||||||
2.172%(n) | 09/19/19(k) | 1,895 | $ | 1,886,251 | ||||||
|
| |||||||||
(cost $1,885,904) |
| |||||||||
OPTIONS PURCHASED*~ — 0.0% |
| |||||||||
(cost $467,591) |
| 670,884 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 395,130,423 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.5% |
| 2,629,825,873 | ||||||||
|
| |||||||||
OPTIONS WRITTEN*~ — (0.0)% |
| |||||||||
(premiums received $171,629) |
| (45,238 | ) | |||||||
|
| |||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.5% |
| 2,629,780,635 | ||||||||
LIABILITIES IN EXCESS OF |
| (112,517,934 | ) | |||||||
|
| |||||||||
NET ASSETS — 100.0% |
| $ | 2,517,262,701 | |||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $(409,696) and (0.0)% 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 $69,221,246; cash collateral of $70,164,199 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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 June 30, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
(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. |
(p) | Interest rate not available as of June 30, 2019. |
(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 Short-Term Bond Fund, 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: |
Forward Commitment Contract:
U.S. Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | |||||||||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 08/13/19 | (2,000 | ) | $ | (1,983,125 | ) | ||||||||||||
|
|
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 123.00 | 129 | 129 | $ | 2,016 | ||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 126.00 | 129 | 129 | 10,078 | |||||||||||||||
2 Year U.S. Treasury Notes Futures | Put | 08/23/19 | $ | 107.00 | 397 | 794 | 43,422 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 07/12/19 | $ | 97.75 | 181 | 453 | 1,131 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 07/12/19 | $ | 98.13 | 439 | 1,098 | 8,231 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 07/12/19 | $ | 98.25 | 181 | 453 | 9,050 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 08/16/19 | $ | 97.75 | 181 | 453 | 1,131 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 08/16/19 | $ | 98.25 | 181 | 453 | 26,019 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 09/13/19 | $ | 97.75 | 181 | 453 | 2,263 | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 09/13/19 | $ | 98.25 | 181 | 453 | 36,200 | |||||||||||||||
|
| |||||||||||||||||||||
Total Exchange Traded(cost $445,058) |
| $ | 139,541 | |||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Morgan Stanley & Co. International PLC | 11/21/19 | 0.13 | % | — | 400 | $ | 3,896 | |||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/21/19 | 0.12 | % | — | 600 | 6,197 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 2,424 | 35,101 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 2,357 | 34,022 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 5,892 | 79,860 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 11,696 | 166,279 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 11,860 | 172,816 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 2,357 | 32,906 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded(cost $16,597) |
| $ | 531,077 | |||||||||||||||||||||||
|
|
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||||
30-Year Interest Rate Swap, 08/19/49 | Put | Citibank, N.A. | 08/15/19 | 2.66 | % | 3 Month LIBOR | (Q) | 2.66 | %(S) | 530 | $ | 266 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Options Purchased(cost $467,591) |
| $ | 670,884 | |||||||||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 124.50 | 258 | 258 | $ | (4,031 | ) | |||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 07/12/19 | $ | 97.88 | 439 | 1,098 | (2,744 | ) | ||||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 07/12/19 | $ | 98.00 | 362 | 905 | (2,263 | ) | ||||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 08/16/19 | $ | 98.00 | 362 | 905 | (13,575 | ) | ||||||||||||||||
Eurodollar 1 Year Mid Curve | Put | 09/13/19 | $ | 98.00 | 362 | 905 | (22,625 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Options Written(premiums received $171,629) |
| $ | (45,238 | ) | ||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2019:
Number of | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions: | ||||||||||||||
417 | 2 Year U.S. Treasury Notes | Sep. 2019 | $ | 89,729,930 | $ | 515,493 | ||||||||
1,365 | 5 Year U.S. Treasury Notes | Sep. 2019 | 161,283,281 | 2,227,138 | ||||||||||
231 | 10 Year U.S. Ultra Treasury Notes | Sep. 2019 | 31,906,875 | 1,021,956 | ||||||||||
562 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 99,790,125 | 4,684,155 | ||||||||||
6 | Mini MSCI EAFE Index | Sep. 2019 | 576,990 | 10,300 | ||||||||||
145 | S&P 500E-Mini Index | Sep. 2019 | 21,345,450 | 212,073 | ||||||||||
22 | S&P 500 Index | Sep. 2019 | 16,193,100 | 271,342 | ||||||||||
|
| |||||||||||||
8,942,457 | ||||||||||||||
|
| |||||||||||||
Short Positions: | ||||||||||||||
5 | 10 Year Euro-Bund | Sep. 2019 | 982,113 | (15,162 | ) | |||||||||
118 | 10 Year U.S. Treasury Notes | Sep. 2019 | 15,100,313 | (10,232 | ) | |||||||||
475 | 20 Year U.S. Treasury Bonds | Sep. 2019 | 73,907,031 | (2,891,051 | ) | |||||||||
|
| |||||||||||||
(2,916,445 | ) | |||||||||||||
|
| |||||||||||||
$ | 6,026,012 | |||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2019:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/02/19 | The Toronto-Dominion Bank | EUR 6,596 | $ | 7,516,153 | $ | 7,503,214 | $ | — | $ | (12,939 | ) | |||||||||||
|
|
|
|
|
|
|
|
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/02/19 | Citibank, N.A. | EUR 6,596 | $ | 7,407,063 | $ | 7,503,214 | $ | — | $ | (96,151 | ) | |||||||||||
Expiring 08/02/19 | The Toronto-Dominion Bank | EUR 6,596 | 7,535,190 | 7,522,822 | 12,368 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 14,942,253 | $ | 15,026,036 | $ | 12,368 | $ | (96,151 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 12,368 | $ | (109,090 | ) | ||||||||||||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A30
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Credit default swap agreement outstanding at June 30, 2019:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.32.V1 | 06/20/29 | 1.000%(Q) | 15,600 | $ | 218,791 | $ | 37,253 | $ | (181,538 | ) | ||||||||||||||
|
|
|
|
|
|
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 includeup-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. |
Forward rate agreement outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date(5) | Fixed Rate | Floating | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Forward Rate Agreement^: | ||||||||||||||||||||||||||
79,800 | 07/15/19 | —(3) | —(3) | $ | (128,467 | ) | $ | — | $ | (128,467 | ) | Citigroup Global Market, Inc. | ||||||||||||||
151,200 | 07/24/19 | —(4) | —(4) | (281,229 | ) | — | (281,229 | ) | Citigroup Global Market, Inc. | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (409,696 | ) | $ | — | $ | (409,696 | ) | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.366% upon termination. |
(4) | The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.338% upon termination. |
(5) | The Portfolio may choose to terminate these agreements at any time prior to the stated termination date. |
Interest rate swap agreements outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciaton (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
EUR | 2,835 | 05/11/24 | 0.050%(A) | 1 Day EONIA(1)(A) | $ | (31,287 | ) | $ | (74,546 | ) | $ | (43,259 | ) | |||||||||||
EUR | 940 | 05/11/39 | 1.100%(A) | 1 Day EONIA(1)(A) | (8,537 | ) | (129,502 | ) | (120,965 | ) | ||||||||||||||
17,640 | 03/23/21 | 2.370%(A) | 1 Day USOIS(1)(A) | — | (232,138 | ) | (232,138 | ) | ||||||||||||||||
7,968 | 03/31/21 | 2.173%(A) | 1 Day USOIS(2)(A) | (2,753 | ) | 79,504 | 82,257 | |||||||||||||||||
570 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (13,360 | ) | (13,360 | ) | ||||||||||||||||
22,000 | 03/29/24 | 1.949%(A) | 1 Day USOIS(1)(A) | — | (418,711 | ) | (418,711 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2019 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciaton (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements (continued): | ||||||||||||||||||||||||
14,815 | 08/15/24 | 2.170%(S) | 3 Month LIBOR(1)(Q) | $ | 32,653 | $ | (371,260 | ) | $ | (403,913 | ) | |||||||||||||
11,300 | 11/15/24 | 2.334%(S) | 3 Month LIBOR(1)(Q) | 35,176 | (324,795 | ) | (359,971 | ) | ||||||||||||||||
7,455 | 02/12/25 | 2.408%(A) | 1 Day USOIS(1)(A) | — | (352,993 | ) | (352,993 | ) | ||||||||||||||||
1,180 | 02/28/25 | 2.454%(A) | 1 Day USOIS(1)(A) | — | (59,485 | ) | (59,485 | ) | ||||||||||||||||
4,758 | 05/31/25 | 2.998%(S) | 3 Month LIBOR(1)(Q) | (3,258 | ) | (326,355 | ) | (323,097 | ) | |||||||||||||||
2,620 | 07/31/25 | 2.802%(A) | 1 Day USOIS(1)(A) | — | (197,378 | ) | (197,378 | ) | ||||||||||||||||
3,685 | 07/31/25 | 3.105%(S) | 3 Month LIBOR(1)(Q) | 2,907 | (311,353 | ) | (314,260 | ) | ||||||||||||||||
11,431 | 07/31/25 | 3.109%(S) | 3 Month LIBOR(1)(Q) | 657 | (968,965 | ) | (969,622 | ) | ||||||||||||||||
27,645 | 01/08/26 | 2.210%(S) | 3 Month LIBOR(1)(Q) | 216,719 | (811,819 | ) | (1,028,538 | ) | ||||||||||||||||
615 | 01/31/26 | 2.236%(S) | 3 Month LIBOR(1)(Q) | — | (16,349 | ) | (16,349 | ) | ||||||||||||||||
4,251 | 01/31/26 | 2.269%(A) | 1 Day USOIS(1)(A) | (15,685 | ) | (188,698 | ) | (173,013 | ) | |||||||||||||||
125 | 04/30/26 | 1.876%(S) | 3 Month LIBOR(1)(Q) | (492 | ) | (624 | ) | (132 | ) | |||||||||||||||
5,668 | 02/15/27 | 1.824%(A) | 1 Day USOIS(1)(A) | 62,809 | (76,226 | ) | (139,035 | ) | ||||||||||||||||
1,185 | 02/15/27 | 1.899%(A) | 1 Day USOIS(1)(A) | 1,503 | (22,728 | ) | (24,231 | ) | ||||||||||||||||
925 | 02/15/27 | 1.965%(A) | 1 Day USOIS(1)(A) | — | (22,388 | ) | (22,388 | ) | ||||||||||||||||
3,150 | 02/15/27 | 2.067%(A) | 1 Day USOIS(1)(A) | (1,997 | ) | (100,882 | ) | (98,885 | ) | |||||||||||||||
525 | 05/15/27 | 2.295%(S) | 3 Month LIBOR(1)(Q) | — | (16,447 | ) | (16,447 | ) | ||||||||||||||||
13,836 | 08/15/28 | 2.579%(A) | 1 Day USOIS(1)(A) | (209,164 | ) | (1,083,478 | ) | (874,314 | ) | |||||||||||||||
4,601 | 08/15/28 | 2.835%(S) | 3 Month LIBOR(1)(Q) | (18,250 | ) | (375,539 | ) | (357,289 | ) | |||||||||||||||
145 | 11/15/43 | 2.659%(S) | 3 Month LIBOR(1)(Q) | — | (13,066 | ) | (13,066 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 61,001 | $ | (6,429,581 | ) | $ | (6,490,582 | ) | |||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Forward Rate Agreements | $ | — | $ | — | $ | — | $ | (409,696 | ) |
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. | $ | — | $ | 7,354,787 | ||||
Goldman Sachs & Co. LLC | — | 1,886,251 | ||||||
|
|
|
| |||||
Total | $ | — | $ | 9,241,038 | ||||
|
|
|
|
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.
A32
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 1,203,876,596 | $ | 20,876,581 | $ | — | ||||||
Exchange-Traded Funds | 6,787,139 | — | — | |||||||||
Preferred Stocks | 1,345,300 | 54,651 | — | |||||||||
Rights | — | 4,345 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 57,831,742 | — | |||||||||
Collateralized Loan Obligations | — | 78,495,302 | — | |||||||||
Consumer Loans | — | 4,556,114 | — | |||||||||
Credit Cards | — | 4,774,757 | — | |||||||||
Equipment | — | 6,857,335 | — | |||||||||
Home Equity Loans | — | 1,853,763 | — | |||||||||
Other | — | 5,607,776 | — | |||||||||
Residential Mortgage-Backed Securities | — | 17,233,712 | — | |||||||||
Student Loans | — | 21,916,298 | — | |||||||||
Bank Loans | — | 1,234,539 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 201,439,163 | — | |||||||||
Corporate Bonds | — | 290,662,707 | — | |||||||||
Municipal Bonds | — | 15,357,484 | — | |||||||||
Residential Mortgage-Backed Securities | — | 45,584,777 | — | |||||||||
Sovereign Bonds | — | 28,740,873 | — | |||||||||
U.S. Government Agency Obligations | — | 192,721,019 | — | |||||||||
U.S. Treasury Obligations | — | 28,769,728 | — | |||||||||
Affiliated Mutual Funds | 392,573,288 | — | — | |||||||||
Options Purchased | 139,541 | 531,343 | — | |||||||||
Options Written | — | (45,238 | ) | — | ||||||||
Other Financial Instruments* | ||||||||||||
Forward Commitment Contract | — | (1,983,125 | ) | — | ||||||||
Futures Contracts | 6,026,012 | — | — | |||||||||
OTC Forward Foreign Currency Exchange Contracts | — | (96,722 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | (181,538 | ) | — | ||||||||
OTC Forward Rate Agreements | — | — | (409,696 | ) | ||||||||
Centrally Cleared Interest Rate Swap Agreements. | — | (6,490,582 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,610,747,876 | $ | 1,016,306,804 | $ | (409,696 | ) | |||||
|
|
|
|
|
|
* | Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at the net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Affiliated Mutual Funds (2.8% represents investments purchased with collateral from securities on loan) | 15.6 | % | ||
Commercial Mortgage-Backed Securities | 8.0 | |||
U.S. Government Agency Obligations | 7.7 | |||
Banks | 6.0 | |||
Software | 3.4 | |||
Collateralized Loan Obligations | 3.1 | |||
Pharmaceuticals | 2.9 | |||
IT Services | 2.6 | |||
Automobiles | 2.5 | |||
Residential Mortgage-Backed Securities | 2.5 | |||
Interactive Media & Services | 2.3 | |||
Oil, Gas & Consumable Fuels | 2.2 | |||
Technology Hardware, Storage & Peripherals | 1.9 | |||
Semiconductors & Semiconductor Equipment | 1.8 |
Internet & Direct Marketing Retail | 1.8 | % | ||
Health Care Equipment & Supplies | 1.7 | |||
Insurance | 1.5 | |||
Aerospace & Defense | 1.5 | |||
Equity Real Estate Investment Trusts (REITs) | 1.4 | |||
Capital Markets | 1.4 | |||
Chemicals | 1.3 | |||
Health Care Providers & Services | 1.3 | |||
Diversified Financial Services | 1.2 | |||
Electric | 1.2 | |||
Media | 1.2 | |||
U.S. Treasury Obligations | 1.2 | |||
Sovereign Bonds | 1.1 | |||
Specialty Retail | 1.1 | |||
Biotechnology | 1.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t) | ||||
Beverages | 1.0 | % | ||
Diversified Telecommunication Services | 1.0 | |||
Electric Utilities | 1.0 | |||
Entertainment | 1.0 | |||
Hotels, Restaurants & Leisure | 0.9 | |||
Student Loans | 0.8 | |||
Household Products | 0.8 | |||
Machinery | 0.8 | |||
Oil & Gas | 0.8 | |||
Food & Staples Retailing | 0.7 | |||
Industrial Conglomerates | 0.7 | |||
Municipal Bonds | 0.6 | |||
Food Products | 0.6 | |||
Communications Equipment | 0.6 | |||
Telecommunications | 0.5 | |||
Life Sciences Tools & Services | 0.5 | |||
Multi-Utilities | 0.5 | |||
Road & Rail | 0.5 | |||
Auto Manufacturers | 0.4 | |||
Tobacco | 0.4 | |||
Pipelines | 0.4 | |||
Airlines | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Consumer Finance | 0.3 | |||
Retail | 0.3 | |||
Equipment | 0.3 | |||
Exchange-Traded Funds | 0.3 | |||
Air Freight & Logistics | 0.3 | |||
Multiline Retail | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Electrical Equipment | 0.2 | |||
Other | 0.2 | |||
Energy Equipment & Services | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Credit Cards | 0.2 | |||
Gas | 0.2 | |||
Containers & Packaging | 0.2 | |||
Consumer Loans | 0.2 | |||
Professional Services | 0.2 | |||
Metals & Mining | 0.2 | |||
Foods | 0.2 | |||
Household Durables | 0.2 | |||
Building Products | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Healthcare-Services | 0.1 |
Multi-National | 0.1 | % | ||
Commercial Services | 0.1 | |||
Healthcare-Products | 0.1 | |||
Agriculture | 0.1 | |||
Computers | 0.1 | |||
Personal Products | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Housewares | 0.1 | |||
Transportation | 0.1 | |||
Home Equity Loans | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Construction Materials | 0.1 | |||
Auto Components | 0.1 | |||
Semiconductors | 0.1 | |||
Building Materials | 0.1 | |||
Engineering & Construction | 0.1 | |||
Savings & Loans | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Health Care Technology | 0.1 | |||
Construction & Engineering | 0.1 | |||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Distributors | 0.0 | * | ||
Machinery-Diversified | 0.0 | * | ||
Water Utilities | 0.0 | * | ||
Independent Power & Renewable Electricity Producers | 0.0 | * | ||
Lodging | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Electronics | 0.0 | * | ||
Leisure Products | 0.0 | * | ||
Gas Utilities | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Transportation Infrastructure | 0.0 | * | ||
Mining | 0.0 | * | ||
Diversified Consumer Services | 0.0 | * | ||
Wireless Telecommunication Services | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
Marine | 0.0 | * | ||
|
| |||
104.5 | ||||
Options Written | (0.0 | )* | ||
Liabilities in excess of other assets | (4.5 | ) | ||
|
| |||
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.
SEE NOTES TO FINANCIAL STATEMENTS.
A34
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Fair values of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Credit contracts | — | $ | — | Due from/to broker-variation margin swaps | $ | 181,538 | * | |||||
Equity contracts | Due from/to broker-variation margin futures | 493,715 | * | — | — | |||||||
Equity contracts | Unaffiliated investments | 4,345 | — | — | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 12,368 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 109,090 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 8,448,742 | * | Due from/to broker-variation margin futures | 2,916,445 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 82,257 | * | Due from/to broker-variation margin swaps | 6,572,839 | * | ||||||
Interest rate contracts | Unaffiliated investments | 670,884 | Options written outstanding, at value | 45,238 | ||||||||
Interest rate contracts | — | — | Unrealized depreciation on OTC forward rate agreements | 409,696 | ||||||||
|
|
|
| |||||||||
$ | 9,712,311 | $ | 10,234,846 | |||||||||
|
|
|
|
* | 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 six months ended June 30, 2019 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 Currency Contracts | Forward Rate Agreements | Swaps | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (153,728 | ) | |||||||||||
Equity contracts | — | — | 4,314,666 | — | — | — | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 169,985 | — | — | ||||||||||||||||||
Interest rate contracts | 2,742 | 36,717 | 9,534,337 | — | 31,445 | 835,570 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 2,742 | $ | 36,717 | $ | 13,849,003 | $ | 169,985 | $ | 31,445 | $ | 681,842 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(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 | Rights(2) | Options Purchased(2) | Options Written | Futures | Forward Currency Exchange Contracts | Forward Rate Agreements | Swaps | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (964,748 | ) | |||||||||||||
Equity contracts | (126 | ) | — | — | 1,327,677 | — | — | — | ||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | (32,818 | ) | — | — | ||||||||||||||||||||
Interest rate contracts | — | (135,200 | ) | 126,391 | 968,331 | — | (363,769 | ) | (7,393,320 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (126 | ) | $ | (135,200 | ) | $ | 126,391 | $ | 2,296,008 | $ | (32,818 | ) | $ | (363,769 | ) | $ | (8,358,068 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2019, 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) | ||||||||||
$204,406 | $1,668,833 | $ | 403,217,924 | $ | 90,741,656 | $ | 2,505,384 |
SEE NOTES TO FINANCIAL STATEMENTS.
A35
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Forward Foreign | Forward Rate | Interest Rate | Inflation Swap | Credit Default | ||||
$9,379,361 | $196,066,667 | $194,949,261 | 2,360,000 | $31,200,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
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 toset-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 | $ | 69,221,246 | $ | (69,221,246 | ) | $ | — | |||||
|
|
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. | $ | 418,955 | $ | — | $ | 418,955 | $ | (260,000 | ) | $ | 158,955 | |||||||||
Barclays Bank PLC | 108,226 | — | 108,226 | — | 108,226 | |||||||||||||||
Citibank, N.A. | 266 | (96,151 | ) | (95,885 | ) | — | (95,885 | ) | ||||||||||||
Citigroup Global Market, Inc. | — | (409,696 | ) | (409,696 | ) | 358,326 | (51,370 | ) | ||||||||||||
Morgan Stanley & Co. International PLC | 3,896 | — | 3,896 | — | 3,896 | |||||||||||||||
The Toronto-Dominion Bank | 12,368 | (12,939 | ) | (571 | ) | — | (571 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 543,711 | $ | (518,786 | ) | $ | 24,925 | $ | 98,326 | $ | 123,251 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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.
A36
CONSERVATIVE BALANCED PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $69,221,246: | ||||
Unaffiliated investments (cost $1,352,990,901). | $ | 2,237,252,585 | ||
Affiliated investments (cost $392,584,547) | 392,573,288 | |||
Foreign currency, at value (cost $128,396) | 128,723 | |||
Receivable for investments sold | 65,444,488 | |||
Dividends and interest receivable | 6,704,180 | |||
Tax reclaim receivable | 437,507 | |||
Due from broker-variation margin futures | 172,455 | |||
Due from broker-variation margin swaps | 84,292 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 12,368 | |||
Receivable from affiliate | 1,555 | |||
Receivable for Portfolio shares sold | 325 | |||
Prepaid expenses | 5,256 | |||
|
| |||
Total Assets | 2,702,817,022 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 109,977,316 | |||
Payable to broker for collateral for securities on loan | 70,164,199 | |||
Forward commitment contracts, at value (proceeds receivable $1,971,719) | 1,983,125 | |||
Management fee payable. | 1,125,025 | |||
Payable for Portfolio shares repurchased | 679,208 | |||
Accrued expenses and other liabilities | 471,317 | |||
Unrealized depreciation on OTC forward rate agreements | 409,696 | |||
Payable to custodian. | 298,083 | |||
Payable to affiliate | 225,783 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 109,090 | |||
Due to broker-variation margin futures | 65,261 | |||
Options written outstanding, at value (proceeds received $171,629) | 45,238 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 185,554,321 | |||
|
| |||
NET ASSETS | $ | 2,517,262,701 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 2,517,262,701 | ||
|
| |||
Net asset value and redemption price per share, $2,517,262,701 / 85,324,295 outstanding shares of beneficial interest | $ | 29.50 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 16,032,243 | ||
Unaffiliated dividend income (net of $59,171 foreign withholding tax, of which $6,877 is reimbursable by an affiliate) | 12,340,548 | |||
Affiliated dividend income | 4,706,147 | |||
Income from securities lending, net (including affiliated income of $51,639) | 62,280 | |||
|
| |||
Total income | 33,141,218 | |||
|
| |||
EXPENSES | ||||
Management fee. | 6,754,121 | |||
Custodian and accounting fees | 174,632 | |||
Shareholders’ reports | 170,436 | |||
Audit fee. | 23,767 | |||
Trustees’ fees | 18,270 | |||
Legal fees and expenses. | 9,477 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 29,751 | |||
|
| |||
Total expenses | 7,185,751 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 25,955,467 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(1,048)) | 34,078,212 | |||
Futures transactions. | 13,849,003 | |||
Forward rate agreement transactions | 31,445 | |||
Forward currency contract transactions | 169,985 | |||
Options written transactions | 36,717 | |||
Swap agreements transactions | 681,842 | |||
Foreign currency transactions | (5,931 | ) | ||
|
| |||
48,841,273 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $148,673) | 195,878,315 | |||
Futures | 2,296,008 | |||
Forward rate agreements | (363,769 | ) | ||
Forward currency contracts. | (32,818 | ) | ||
Options written | 126,391 | |||
Swap agreements. | (8,358,068 | ) | ||
Foreign currencies | 2,015 | |||
|
| |||
189,548,074 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 238,389,347 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 264,344,814 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 25,955,467 | $ | 49,177,630 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 48,841,273 | 69,751,675 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 189,548,074 | (177,772,406 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 264,344,814 | (58,843,101 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [109,474 and 303,199 shares, respectively] | 3,106,903 | 8,272,676 | ||||||
Portfolio shares repurchased [4,217,024 and 6,356,332 shares, respectively] | (119,975,738 | ) | (174,377,090 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (116,868,835 | ) | (166,104,414 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 13,184 | 55,261 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 147,489,163 | (224,892,254 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,369,773,538 | 2,594,665,792 | ||||||
|
|
|
| |||||
End of period. | $ | 2,517,262,701 | $ | 2,369,773,538 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 96.0% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 26.1% |
| |||||||||||||||
Automobiles — 0.8% |
| |||||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series2018-04, Class A |
| |||||||||||||||
4.060% | 11/15/30 | 3,300 | $ | 3,539,047 | ||||||||||||
Hertz Vehicle Financing II LP, |
| |||||||||||||||
Series2015-01A, Class A, 144A |
| |||||||||||||||
2.730% | 03/25/21 | 400 | 400,435 | |||||||||||||
Series2019-02A, Class A, 144A |
| |||||||||||||||
3.420% | 05/25/25 | 200 | 204,380 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 3,500 | 3,619,999 | |||||||||||||
Series2019-01A, Class B, 144A |
| |||||||||||||||
3.950% | 11/14/28 | 800 | 831,158 | |||||||||||||
|
| |||||||||||||||
8,595,019 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 18.0% |
| |||||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.877%(c) | 07/15/29 | 250 | 250,007 | |||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
3.861%(c) | 07/16/29 | 500 | 498,780 | |||||||||||||
Atrium (Cayman Islands), |
| |||||||||||||||
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% |
| |||||||||||||||
3.422%(c) | 04/22/27 | 8,250 | 8,231,456 | |||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% |
| |||||||||||||||
3.947%(c) | 10/15/28 | 2,500 | 2,500,371 | |||||||||||||
Battalion CLO Ltd., |
| |||||||||||||||
Series2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% |
| |||||||||||||||
3.595%(c) | 05/17/31 | 3,000 | 2,959,092 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.847%(c) | 10/15/30 | 4,500 | 4,492,595 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% |
| |||||||||||||||
3.938%(c) | 01/17/28 | 2,500 | 2,450,453 | |||||||||||||
Carlyle US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180% |
| |||||||||||||||
3.777%(c) | 01/15/30 | 4,000 | 3,988,141 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
3.852%(c) | 04/22/30 | 7,750 | 7,732,483 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% |
| |||||||||||||||
3.561%(c) | 04/24/31 | 1,500 | 1,480,839 | |||||||||||||
Series2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% |
| |||||||||||||||
3.702%(c) | 01/22/31 | 3,750 | 3,724,302 | |||||||||||||
Series2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870% |
| |||||||||||||||
3.462%(c) | 04/19/29 | 5,000 | 4,961,846 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% |
| |||||||||||||||
3.827%(c) | 10/15/29 | 7,500 | 7,487,282 | |||||||||||||
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% |
| |||||||||||||||
3.817%(c) | 07/15/30 | 5,250 | 5,236,509 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% |
| |||||||||||||||
3.607%(c) | 04/15/31 | 6,000 | $ | 5,929,447 | ||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
3.616%(c) | 04/26/31 | 3,500 | 3,451,756 | |||||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% |
| |||||||||||||||
3.565%(c) | 02/05/31 | 4,000 | 3,964,696 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
3.610%(c) | 04/25/31 | 2,500 | 2,465,785 | |||||||||||||
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/23/29 | 1,250 | 1,248,907 | |||||||||||||
Mariner CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-05A, Class A, 144A, 3 Month LIBOR + 1.110% |
| |||||||||||||||
3.690%(c) | 04/25/31 | 5,750 | 5,712,382 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.712%(c) | 04/21/31 | 9,750 | 9,658,877 | |||||||||||||
Series2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
3.670%(c) | 02/20/31 | 4,000 | 3,974,650 | |||||||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||||||
Series2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% |
| |||||||||||||||
3.811%(c) | 01/16/31 | 4,000 | 3,967,554 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.853%(c) | 10/12/30 | 8,000 | 7,978,924 | |||||||||||||
Series2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.717%(c) | 07/15/31 | 6,000 | 5,943,025 | |||||||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850% |
| |||||||||||||||
3.447%(c) | 01/15/28 | 3,000 | 2,989,061 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
3.857%(c) | 07/15/30 | 750 | 750,385 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/20/31 | 2,750 | 2,740,850 | |||||||||||||
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.833%(c) | 10/30/30 | 1,250 | 1,249,829 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% |
| |||||||||||||||
3.718%(c) | 01/17/31 | 4,000 | 3,980,161 | |||||||||||||
Series2015-02A, Class A1AR, 144A, 3 Month LIBOR + 1.270% |
| |||||||||||||||
3.862%(c) | 07/20/30 | 1,000 | 999,488 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% |
| |||||||||||||||
3.748%(c) | 11/14/29 | 3,500 | 3,491,805 | |||||||||||||
RomarkWM-R Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
3.622%(c) | 04/20/31 | 4,000 | 3,954,705 | |||||||||||||
Shackleton CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100% |
| |||||||||||||||
3.665%(c) | 05/07/31 | 4,955 | 4,925,951 |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% |
| |||||||||||||||
3.656%(c) | 01/26/31 | 3,500 | $ | 3,462,056 | ||||||||||||
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880% |
| |||||||||||||||
3.472%(c) | 07/20/27 | 4,000 | 4,000,030 | |||||||||||||
Series2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220% |
| |||||||||||||||
3.812%(c) | 10/20/30 | 5,750 | 5,732,659 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% |
| |||||||||||||||
3.828%(c) | 01/17/30 | 3,500 | 3,492,992 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300% |
| |||||||||||||||
3.892%(c) | 07/20/27 | 6,000 | 5,884,791 | |||||||||||||
Series2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% |
| |||||||||||||||
3.732%(c) | 01/20/31 | 3,000 | 2,979,260 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400% |
| |||||||||||||||
3.997%(c) | 07/15/27 | 5,000 | 4,956,447 | |||||||||||||
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% |
| |||||||||||||||
3.790%(c) | 01/25/31 | 4,000 | 3,969,287 | |||||||||||||
Series2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% |
| |||||||||||||||
4.180%(c) | 01/25/31 | 1,500 | 1,479,260 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% |
| |||||||||||||||
3.477%(c) | 07/15/27 | 5,000 | 5,000,107 | |||||||||||||
Voya CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% |
| |||||||||||||||
3.807%(c) | 10/15/30 | 7,500 | 7,490,559 | |||||||||||||
Series2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970% |
| |||||||||||||||
3.550%(c) | 04/25/31 | 3,000 | 2,961,702 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320% |
| |||||||||||||||
3.912%(c) | 04/20/29 | 1,750 | 1,749,282 | |||||||||||||
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.842%(c) | 10/20/29 | 1,000 | 998,761 | |||||||||||||
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
3.738%(c) | 01/17/31 | 6,500 | 6,464,468 | |||||||||||||
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.792%(c) | 10/20/31 | 2,750 | 2,733,266 | |||||||||||||
York CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
3.742%(c) | 01/22/31 | 2,000 | 1,988,312 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% |
| |||||||||||||||
3.967%(c) | 07/15/29 | 1,000 | 1,004,027 | |||||||||||||
Series2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% |
| |||||||||||||||
3.547%(c) | 04/15/29 | 8,500 | 8,421,931 | |||||||||||||
|
| |||||||||||||||
210,141,591 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 1.7% |
| |||||||||||||||
Lendmark Funding Trust, |
| |||||||||||||||
Series2017-01A, Class A, 144A |
| |||||||||||||||
2.830% | 12/22/25 | 971 | 967,964 | |||||||||||||
Series2018-02A, Class A, 144A |
| |||||||||||||||
4.230% | 04/20/27 | 1,400 | 1,452,931 | |||||||||||||
Series2019-01A, Class A, 144A |
| |||||||||||||||
3.000% | 12/20/27 | 2,100 | 2,099,519 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Consumer Loans (continued) |
| |||||||||||||||
Mariner Finance Issuance Trust, |
| |||||||||||||||
Series2019-AA, Class A, 144A |
| |||||||||||||||
2.960% | 07/20/32 | 700 | $ | 699,868 | ||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series2016-01A, Class A, 144A |
| |||||||||||||||
3.660% | 02/20/29 | 1,343 | 1,348,782 | |||||||||||||
Series2017-01A, Class B, 144A |
| |||||||||||||||
2.790% | 09/14/32 | 500 | 499,181 | |||||||||||||
Series2017-01A, Class C, 144A |
| |||||||||||||||
3.350% | 09/14/32 | 500 | 501,479 | |||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.300% | 03/14/29 | 1,030 | 1,043,327 | |||||||||||||
Oportun Funding IX LLC, |
| |||||||||||||||
Series2018-B, Class A, 144A |
| |||||||||||||||
3.910% | 07/08/24 | 1,200 | 1,220,590 | |||||||||||||
Series2018-B, Class C, 144A |
| |||||||||||||||
5.430% | 07/08/24 | 500 | 506,718 | |||||||||||||
Oportun Funding VI LLC, |
| |||||||||||||||
Series2017-A, Class A, 144A |
| |||||||||||||||
3.230% | 06/08/23 | 1,250 | 1,249,544 | |||||||||||||
Oportun Funding VII LLC, |
| |||||||||||||||
Series2017-B, Class A, 144A |
| |||||||||||||||
3.220% | 10/10/23 | 3,000 | 3,001,401 | |||||||||||||
Oportun Funding VIII LLC, |
| |||||||||||||||
Series2018-A, Class A, 144A |
| |||||||||||||||
3.610% | 03/08/24 | 1,140 | 1,151,579 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,400 | 1,435,762 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 1,000 | 1,028,305 | |||||||||||||
PNMAC GMSR Issuer Trust, |
| |||||||||||||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% |
| |||||||||||||||
5.254%(c) | 02/25/23 | 740 | 741,183 | |||||||||||||
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% |
| |||||||||||||||
5.054%(c) | 08/25/25 | 1,200 | 1,204,235 | |||||||||||||
|
| |||||||||||||||
20,152,368 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.3% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series2018-A07, Class A7 |
| |||||||||||||||
3.960% | 10/13/30 | 2,700 | 2,998,104 | |||||||||||||
|
| |||||||||||||||
Home Equity Loans — 1.0% |
| |||||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500% |
| |||||||||||||||
4.339%(c) | 01/25/33 | 1,473 | 1,475,206 | |||||||||||||
Ameriquest Mortgage Securities, Inc., Floating Rate Mortgage Pass-Through Certificates, |
| |||||||||||||||
Series2001-02, Class M3, 1 Month LIBOR + 2.925% |
| |||||||||||||||
5.329%(c) | 10/25/31 | 233 | 249,479 | |||||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series2003-W02, Class M4, 1 Month LIBOR + 5.625% |
| |||||||||||||||
4.274%(c) | 09/25/33 | 1,940 | 1,906,567 | |||||||||||||
Series2004-W06, Class M1, 1 Month LIBOR + 0.825% |
| |||||||||||||||
3.229%(c) | 05/25/34 | 481 | 483,667 |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Equity Loans (continued) |
| |||||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||||||||
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245% |
| |||||||||||||||
3.639%(c) | 06/15/33 | 723 | $ | 730,543 | ||||||||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||||||||
Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900% |
| |||||||||||||||
3.304%(c) | 03/25/34 | 2,131 | 2,142,827 | |||||||||||||
Centex Home Equity Loan Trust, |
| |||||||||||||||
Series2004-B, Class AF6 |
| |||||||||||||||
4.686% | 03/25/34 | 232 | 233,828 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 08/25/35 | 209 | 210,302 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 05/25/33 | 443 | 444,478 | |||||||||||||
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% |
| |||||||||||||||
3.424%(c) | 10/25/33 | 355 | 355,400 | |||||||||||||
New Century Home Equity Loan Trust, |
| |||||||||||||||
Series2003-04, Class M1, 1 Month LIBOR + 1.125% |
| |||||||||||||||
3.529%(c) | 10/25/33 | 1,592 | 1,598,091 | |||||||||||||
Residential Asset Securities Trust, |
| |||||||||||||||
Series 2004-KS01, Class AI5 |
| |||||||||||||||
5.721%(cc) | 02/25/34 | 489 | 501,109 | |||||||||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||||||||
Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780% |
| |||||||||||||||
3.184%(c) | 02/25/34 | 1,571 | 1,578,728 | |||||||||||||
|
| |||||||||||||||
11,910,225 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.0% | ||||||||||||||||
PNMAC FMSR Issuer Trust, |
| |||||||||||||||
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% |
| |||||||||||||||
4.754%(c) | 04/25/23 | 120 | 121,770 | |||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% |
| |||||||||||||||
5.204%(c) | 06/25/24 | 140 | 140,000 | |||||||||||||
|
| |||||||||||||||
261,770 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 2.5% |
| |||||||||||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series2004-R08, Class M1, 1 Month LIBOR + 0.960% |
| |||||||||||||||
3.364%(c) | 09/25/34 | 111 | 110,676 | |||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% |
| |||||||||||||||
3.184%(c) | 10/25/34 | 1,153 | 1,150,052 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150% |
| |||||||||||||||
5.590%(c) | 12/26/46 | 2,903 | 2,917,305 | |||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,452 | 1,471,647 | |||||||||||||
Series2019-06R, 144A |
| |||||||||||||||
3.813%(s) | 10/25/46 | 1,420 | 1,420,000 | |||||||||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||||||||
Series2004-03, Class M1 |
| |||||||||||||||
4.498%(cc) | 07/25/34 | 311 | 321,752 | |||||||||||||
Fremont Home Loan Trust, |
| |||||||||||||||
Series2003-B, Class M1, 1 Month LIBOR + 1.050% |
| |||||||||||||||
3.454%(c) | 12/25/33 | 116 | 114,826 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750% |
| |||||||||||||||
4.180%(c) | 01/28/70 | 621 | $ | 631,731 | ||||||||||||
Series 2019-GS01, Class A1, 144A |
| |||||||||||||||
4.000% | 01/25/59 | 1,023 | 1,038,920 | |||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 1,063 | 1,071,895 | |||||||||||||
Series 2019-GS03, Class A1, 144A |
| |||||||||||||||
3.750% | 04/25/59 | 490 | 495,771 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 1,591 | 1,602,891 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 733 | 736,769 | |||||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||||
Series2004-01, Class M1, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 02/25/34 | 1,397 | 1,392,664 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520% |
| |||||||||||||||
2.924%(c) | 06/25/35 | 731 | 729,163 | |||||||||||||
Structured Asset Investment Loan Trust, |
| |||||||||||||||
Series2004-07, Class A8, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 08/25/34 | 1,400 | 1,411,521 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 03/16/23 | EUR | 4,114 | 4,668,849 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 2,227 | 2,237,156 | |||||||||||||
Series2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 2,478 | 2,496,774 | |||||||||||||
Series2018-02, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 03/25/58 | 394 | 401,143 | |||||||||||||
Series2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 180 | 186,513 | |||||||||||||
Series2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 546 | 557,199 | |||||||||||||
Series2018-06, Class A1A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/58 | 1,979 | 2,033,038 | |||||||||||||
|
| |||||||||||||||
29,198,255 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 1.8% |
| |||||||||||||||
Earnest Student Loan Program LLC, |
| |||||||||||||||
Series2016-D, Class A1, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
3.804%(c) | 01/25/41 | 135 | 136,172 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series2018-A, Class A, 144A |
| |||||||||||||||
—%(p) | 02/25/43 | 2,980 | 3,748,486 | |||||||||||||
Series2018-C, Class A, 144A |
| |||||||||||||||
—%(p) | 08/25/43 | 3,399 | 3,460,157 | |||||||||||||
Series2018-D, Class A, 144A |
| |||||||||||||||
—%(p) | 11/25/43 | 3,485 | 3,625,026 | |||||||||||||
SLM Student Loan Trust, |
| |||||||||||||||
Series2004-02X, Class A6, 3 Month EURIBOR + 0.550% |
| |||||||||||||||
0.239%(c) | 07/25/39 | EUR | 2,100 | 2,308,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (continued) |
| |||||||||||||||
Sofi Alternative Trust, |
| |||||||||||||||
Series2019-B, Class PT, 144A |
| |||||||||||||||
—%(p) | 12/15/45 | 7,700 | $ | 8,106,906 | ||||||||||||
|
| |||||||||||||||
21,385,650 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 304,642,982 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 0.6% |
| |||||||||||||||
Chemicals — 0.0% |
| |||||||||||||||
Avantor, Inc. (United Kingdom), |
| |||||||||||||||
InitialB-2 Euro Term Loan, 1 Month EURIBOR + 3.250% |
| |||||||||||||||
3.250%(c) | 11/21/24 | EUR | 173 | 197,304 | ||||||||||||
|
| |||||||||||||||
Computers — 0.1% |
| |||||||||||||||
McAfee LLC, |
| |||||||||||||||
Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
| |||||||||||||||
10.902%(c) | 09/29/25 | 437 | 441,875 | |||||||||||||
Term B USD Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
6.152%(c) | 09/30/24 | 525 | 523,605 | |||||||||||||
|
| |||||||||||||||
965,480 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.0% |
| |||||||||||||||
EG Finco Ltd. (United Kingdom), |
| |||||||||||||||
Second Lien Term Loan, 3 Month EURIBOR + 7.750% |
| |||||||||||||||
8.750%(c) | 04/20/26 | EUR | 374 | 427,164 | ||||||||||||
|
| |||||||||||||||
Electric — 0.1% | ||||||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
2018 Incremental Term Loan, 1-3 Month LIBOR + 2.000% |
| |||||||||||||||
4.376%(c) | 12/31/25 | 518 | 517,036 | |||||||||||||
Initial TermB-1 Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.402%(c) | 08/04/23 | 271 | 270,384 | |||||||||||||
|
| |||||||||||||||
787,420 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.2% | ||||||||||||||||
Sigma Bidco BV (Netherlands), |
| |||||||||||||||
Facility B4 Loan, 3 Month GBP LIBOR + 4.000% |
| |||||||||||||||
4.853%(c) | 07/02/25 | GBP | 1,550 | 1,909,779 | ||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.1% |
| |||||||||||||||
Nidda Healthcare Holding AG (Germany), |
| |||||||||||||||
Facility C GBP, 3 Month GBP LIBOR + 4.500% |
| |||||||||||||||
5.303%(c) | 08/21/24 | GBP | 1,000 | 1,272,331 | ||||||||||||
|
| |||||||||||||||
Retail — 0.0% | ||||||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD), 3 Month LIBOR + 8.000% |
| |||||||||||||||
10.330%(c) | 04/20/26 | 665 | 656,250 | |||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
First Data Corp., |
| |||||||||||||||
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.404%(c) | 07/08/22 | 1,252 | 1,250,493 | |||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 7,466,221 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.2% |
| |||||||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-UB10, Class A3 |
| |||||||||||||||
2.903% | 07/15/49 | 2,300 | 2,341,406 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK05, Class A4 |
| |||||||||||||||
3.131% | 06/15/60 | 4,400 | $ | 4,546,931 | ||||||||||||
Series 2017-BNK06, Class A4 |
| |||||||||||||||
3.254% | 07/15/60 | 3,300 | 3,438,374 | |||||||||||||
Series 2017-BNK08, Class A3 |
| |||||||||||||||
3.229% | 11/15/50 | 1,950 | 2,029,363 | |||||||||||||
Series 2019-BN18, Class A3 |
| |||||||||||||||
3.325% | 05/15/62 | 1,500 | 1,570,636 | |||||||||||||
BBCMS Mortgage Trust, |
| |||||||||||||||
Series2016-ETC, Class A, 144A |
| |||||||||||||||
2.937% | 08/14/36 | 1,170 | 1,178,139 | |||||||||||||
Series2016-ETC, Class B, 144A |
| |||||||||||||||
3.189% | 08/14/36 | 510 | 507,224 | |||||||||||||
Series2016-ETC, Class C, 144A |
| |||||||||||||||
3.391% | 08/14/36 | 430 | 427,781 | |||||||||||||
Series2016-ETC, Class D, 144A |
| |||||||||||||||
3.729%(cc) | 08/14/36 | 1,560 | 1,549,590 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series2019-B09, Class A4 |
| |||||||||||||||
3.751% | 03/15/52 | 3,400 | 3,679,094 | |||||||||||||
Cantor Commercial Real Estate Lending, |
| |||||||||||||||
Series 2019-CF01, Class A5 |
| |||||||||||||||
3.786% | 05/15/52 | 4,000 | 4,316,921 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD05, Class A3 |
| |||||||||||||||
3.171% | 08/15/50 | 3,500 | 3,621,383 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-GC37, Class A4 |
| |||||||||||||||
3.314% | 04/10/49 | 1,600 | 1,671,736 | |||||||||||||
CityLine Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-CLNE, Class B, 144A |
| |||||||||||||||
2.871%(cc) | 11/10/31 | 2,400 | 2,405,600 | |||||||||||||
Series 2016-CLNE, Class C, 144A |
| |||||||||||||||
2.871%(cc) | 11/10/31 | 900 | 891,910 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-UBS04, Class A4 |
| |||||||||||||||
3.420% | 08/10/47 | 3,200 | 3,346,269 | |||||||||||||
Series 2014-UBS05, Class A4 |
| |||||||||||||||
3.838% | 09/10/47 | 3,600 | 3,837,631 | |||||||||||||
Series 2015-DC01, Class A4 |
| |||||||||||||||
3.078% | 02/10/48 | 5,000 | 5,127,999 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 820 | 873,398 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 1,570 | 1,679,244 | |||||||||||||
Series 2016-COR01, Class A3 |
| |||||||||||||||
2.826% | 10/10/49 | 2,500 | 2,528,390 | |||||||||||||
Series 2016-DC02, Class A5 |
| |||||||||||||||
3.765% | 02/10/49 | 240 | 256,247 | |||||||||||||
Series 2017-COR02, Class A2 |
| |||||||||||||||
3.239% | 09/10/50 | 4,500 | 4,664,796 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% |
| |||||||||||||||
4.544%(c) | 05/15/36 | 2,600 | 2,608,954 |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series2019-C16, Class A2 |
| |||||||||||||||
3.067% | 06/15/52 | 1,200 | $ | 1,214,920 | ||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series2017-C06, Class A4 |
| |||||||||||||||
3.071% | 06/10/50 | 2,800 | 2,880,681 | |||||||||||||
DBWF Mortgage Trust, |
| |||||||||||||||
Series2016-85T, Class D, 144A |
| |||||||||||||||
3.935%(cc) | 12/10/36 | 1,400 | 1,424,624 | |||||||||||||
Eleven Madison Mortgage Trust, |
| |||||||||||||||
Series 2015-11MD, Class C, 144A |
| |||||||||||||||
3.673%(cc) | 09/10/35 | 3,000 | 3,104,975 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K008, Class X1, IO |
| |||||||||||||||
1.658%(cc) | 06/25/20 | 7,471 | 78,432 | |||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.535%(cc) | 05/25/22 | 26,171 | 891,716 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.568%(cc) | 06/25/22 | 14,920 | 546,214 | |||||||||||||
Series K025, Class X1, IO |
| |||||||||||||||
0.954%(cc) | 10/25/22 | 10,132 | 242,099 | |||||||||||||
Series K027, Class X1, IO |
| |||||||||||||||
0.890%(cc) | 01/25/23 | 128,240 | 2,948,139 | |||||||||||||
Series K044, Class X1, IO |
| |||||||||||||||
0.869%(cc) | 01/25/25 | 81,908 | 2,796,100 | |||||||||||||
Series K053, Class X1, IO |
| |||||||||||||||
1.026%(cc) | 12/25/25 | 88,622 | 4,385,423 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.499%(cc) | 03/25/26 | 13,798 | 1,068,662 | |||||||||||||
Series K711, Class X1, IO |
| |||||||||||||||
1.686%(cc) | 07/25/19 | 2,419 | 302 | |||||||||||||
GS Mortgage Securities Corp. II, |
| |||||||||||||||
Series 2015-GC30, Class A3 |
| |||||||||||||||
3.119% | 05/10/50 | 3,025 | 3,126,521 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-GS06, Class A2 |
| |||||||||||||||
3.164% | 05/10/50 | 3,400 | 3,516,886 | |||||||||||||
Series 2019-GC38, Class A3 |
| |||||||||||||||
3.703% | 02/10/52 | 5,800 | 6,248,546 | |||||||||||||
IMT Trust, |
| |||||||||||||||
Series 2017-APTS, Class AFX, 144A |
| |||||||||||||||
3.478% | 06/15/34 | 310 | 324,646 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2014-C21, Class A4 |
| |||||||||||||||
3.493% | 08/15/47 | 3,160 | 3,314,503 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2016-C02, Class A3A |
| |||||||||||||||
2.881% | 06/15/49 | 1,070 | 1,090,896 | |||||||||||||
Series2017-C05, Class A4 |
| |||||||||||||||
3.414% | 03/15/50 | 1,975 | 2,076,349 | |||||||||||||
Series2017-C07, Class A4 |
| |||||||||||||||
3.147% | 10/15/50 | 3,600 | 3,721,217 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., |
| |||||||||||||||
Series2018-AON, Class E, 144A |
| |||||||||||||||
4.767%(cc) | 07/05/31 | 5,875 | 6,141,240 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2012-LC09, Class A4 |
| |||||||||||||||
2.611% | 12/15/47 | 204 | $ | 204,010 | ||||||||||||
Series 2016-JP02, Class A3 |
| |||||||||||||||
2.559% | 08/15/49 | 2,900 | 2,896,129 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series2012-C05, Class XA, IO, 144A |
| |||||||||||||||
1.615%(cc) | 08/15/45 | 37,493 | 1,330,367 | |||||||||||||
Series2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,531 | 1,560,403 | |||||||||||||
Series2013-C09, Class A3 |
| |||||||||||||||
2.834% | 05/15/46 | 2,037 | 2,068,767 | |||||||||||||
Series2013-C10, Class A3 |
| |||||||||||||||
4.103%(cc) | 07/15/46 | 4,545 | 4,814,067 | |||||||||||||
Series2016-C30, Class A5 |
| |||||||||||||||
2.860% | 09/15/49 | 2,000 | 2,030,241 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series2017-H01, Class A4 |
| |||||||||||||||
3.259% | 06/15/50 | 2,750 | 2,860,492 | |||||||||||||
Series 2017-HR02, Class A3 |
| |||||||||||||||
3.330% | 12/15/50 | 5,500 | 5,747,591 | |||||||||||||
Shops at Crystals Trust, |
| |||||||||||||||
Series 2016-CSTL, Class A, 144A |
| |||||||||||||||
3.126% | 07/05/36 | 140 | 141,934 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series2017-C02, Class A3 |
| |||||||||||||||
3.225% | 08/15/50 | 4,400 | 4,552,811 | |||||||||||||
Series2017-C07, Class A3 |
| |||||||||||||||
3.418% | 12/15/50 | 5,600 | 5,868,490 | |||||||||||||
Series2018-C10, Class A3 |
| |||||||||||||||
4.048% | 05/15/51 | 2,200 | 2,413,742 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 3,846 | 3,925,139 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-LC016, Class A4 |
| |||||||||||||||
3.548% | 08/15/50 | 4,300 | 4,499,349 | |||||||||||||
Series 2016-C032, Class A3 |
| |||||||||||||||
3.294% | 01/15/59 | 2,250 | 2,343,926 | |||||||||||||
Series2016-C34, Class A3 |
| |||||||||||||||
2.834% | 06/15/49 | 2,500 | 2,528,771 | |||||||||||||
Series2016-C35, Class A3 |
| |||||||||||||||
2.674% | 07/15/48 | 4,600 | 4,616,617 | |||||||||||||
Series2017-C40, Class A3 |
| |||||||||||||||
3.317% | 10/15/50 | 1,370 | 1,428,142 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 166,073,095 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 37.4% |
| |||||||||||||||
Aerospace & Defense — 0.7% |
| |||||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 12/01/24 | 1,600 | 1,632,000 | |||||||||||||
7.500% | 03/15/25 | 1,250 | 1,253,500 | |||||||||||||
7.875% | 04/15/27 | 1,375 | 1,376,719 |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (continued) |
| |||||||||||||||
General Dynamics Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.000% | 05/11/21 | 2,115 | $ | 2,149,246 | ||||||||||||
United Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 1,115 | 1,224,941 | |||||||||||||
|
| |||||||||||||||
7,636,406 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.222% | 08/15/24 | 2,810 | 2,828,454 | |||||||||||||
|
| |||||||||||||||
Airlines — 0.5% |
| |||||||||||||||
American Airlines2016-1 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates, Series AA |
| |||||||||||||||
3.575% | 07/15/29 | 1,616 | 1,675,520 | |||||||||||||
Continental Airlines2001-1Class A-1 Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.703% | 12/15/22 | — | (r) | 261 | ||||||||||||
Continental Airlines2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
5.983% | 10/19/23 | 1,233 | 1,307,862 | |||||||||||||
Continental Airlines2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 247 | 252,978 | |||||||||||||
Delta Air Lines2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 793 | 873,084 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 03/13/20 | 1,180 | 1,181,433 | |||||||||||||
United Airlines2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.636% | 01/02/24 | (a) | 574 | 609,488 | ||||||||||||
|
| |||||||||||||||
5,900,626 | ||||||||||||||||
|
| |||||||||||||||
Apparel — 0.2% |
| |||||||||||||||
Hanesbrands Finance Luxembourg SCA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/15/24 | EUR | 575 | 716,757 | ||||||||||||
PVH Corp., | ||||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.625% | 07/15/24 | EUR | 1,250 | 1,589,882 | ||||||||||||
|
| |||||||||||||||
2,306,639 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.7% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
3.014%(c) | 04/12/21 | 425 | 425,366 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 04/12/21 | 570 | 576,669 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 05/04/20 | 1,030 | 1,035,483 | |||||||||||||
3.350% | 05/04/21 | 1,715 | 1,739,126 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Manufacturers (continued) |
| |||||||||||||||
Ford Motor Co., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 290 | $ | 269,747 | ||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/02/23 | 1,350 | 1,431,681 | |||||||||||||
6.250% | 10/02/43 | 1,455 | 1,548,863 | |||||||||||||
6.600% | 04/01/36 | 210 | 232,471 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
3.442%(c) | 04/09/21 | 610 | 609,721 | |||||||||||||
Gtd. Notes | ||||||||||||||||
3.550% | 04/09/21 | 460 | 466,698 | |||||||||||||
|
| |||||||||||||||
8,335,825 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.5% |
| |||||||||||||||
Adient Global Holdings Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 08/15/24 | EUR | 701 | 661,599 | ||||||||||||
Adient US LLC, | ||||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/26 | (a) | 250 | 256,875 | ||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.500% | 04/01/27 | (a) | 1,225 | 1,221,937 | ||||||||||||
Cooper-Standard Automotive, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/26 | 1,200 | 1,065,000 | |||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/25 | 875 | 897,969 | |||||||||||||
LKQ Italia Bondco SpA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/24 | EUR | 1,275 | 1,604,157 | ||||||||||||
|
| |||||||||||||||
5,707,537 | ||||||||||||||||
|
| |||||||||||||||
Banks — 11.6% | ||||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.724%(c) | 04/12/23 | 400 | 398,318 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 600 | 622,860 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | — | (rr) | 1,655 | 1,665,344 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.300% | 01/11/23 | 5,870 | 6,050,659 | |||||||||||||
3.593%(ff) | 07/21/28 | 740 | 771,561 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.499%(ff) | 05/17/22 | 385 | 392,420 | |||||||||||||
3.824%(ff) | 01/20/28 | 1,715 | 1,815,410 | |||||||||||||
3.974%(ff) | 02/07/30 | 1,840 | 1,972,299 | |||||||||||||
4.078%(ff) | 04/23/40 | 2,340 | 2,495,370 | |||||||||||||
4.125% | 01/22/24 | 3,750 | 4,010,740 | |||||||||||||
4.271%(ff) | 07/23/29 | 910 | 993,898 |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,117 | $ | 1,174,868 | ||||||||||||
4.450% | 03/03/26 | 1,735 | 1,871,446 | |||||||||||||
Bank of Montreal (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.900% | 03/26/22 | 1,245 | 1,264,058 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 700 | 703,528 | |||||||||||||
3.684% | 01/10/23 | 480 | 486,287 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 1,050 | 1,119,911 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.400% | 08/14/28 | 420 | 455,039 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.500% | 03/01/23 | 855 | 879,510 | |||||||||||||
BPCE SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.500% | 10/23/27 | 300 | 305,453 | |||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
4.500% | 03/15/25 | 1,500 | 1,580,951 | |||||||||||||
Citibank NA, |
| |||||||||||||||
Sr. Unsec’d. Notes, BKNT |
| |||||||||||||||
3.050% | 05/01/20 | 4,120 | 4,142,303 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | — | (rr) | 1,355 | 1,393,374 | ||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | — | (rr) | 1,085 | 1,114,838 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 10/21/26 | 3,255 | 3,319,589 | |||||||||||||
3.887%(ff) | 01/10/28 | 1,710 | 1,809,124 | |||||||||||||
8.125% | 07/15/39 | 1,060 | 1,695,592 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 2,630 | 2,833,574 | |||||||||||||
Credit Suisse AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.625% | 09/09/24 | 1,050 | 1,106,031 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290% |
| |||||||||||||||
3.855%(c) | 02/04/21 | 1,025 | 1,016,428 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 02/04/21 | 950 | 958,394 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 900 | 896,168 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.700% | 05/30/24 | 159 | 156,430 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 1,350 | 1,391,601 | |||||||||||||
Dexia Credit Local SA (France), |
| |||||||||||||||
Gov’t. Liquid Gtd. Notes, 144A |
| |||||||||||||||
2.875% | 01/29/22 | 500 | 510,552 | |||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 07/27/26 | 280 | 284,862 | |||||||||||||
4.250% | 03/13/26 | 1,150 | 1,218,607 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
7.000% | 04/15/20 | 2,005 | $ | 2,073,463 | ||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M |
| |||||||||||||||
5.375%(ff) | — | (rr) | 1,950 | 1,952,437 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.272%(ff) | 09/29/25 | 4,063 | 4,158,057 | |||||||||||||
3.750% | 02/25/26 | 125 | 130,477 | |||||||||||||
3.814%(ff) | 04/23/29 | 1,060 | 1,107,875 | |||||||||||||
3.850% | 01/26/27 | 1,765 | 1,844,770 | |||||||||||||
5.750% | 01/24/22 | 4,200 | 4,539,292 | |||||||||||||
Sr. Unsec’d. Notes, Series D, MTN |
| |||||||||||||||
6.000% | 06/15/20 | 2,420 | 2,500,509 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600% |
| |||||||||||||||
3.120%(c) | 05/18/21 | 1,785 | 1,786,410 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.583%(ff) | 06/19/29 | 1,000 | 1,093,662 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
6.053%(c) | — | (rr) | 4,397 | 4,394,626 | ||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | — | (rr) | 1,450 | 1,562,114 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 06/23/20 | 5,400 | 5,421,371 | |||||||||||||
2.950% | 10/01/26 | 1,740 | 1,771,241 | |||||||||||||
3.200% | 01/25/23 | 470 | 482,292 | |||||||||||||
3.200% | 06/15/26 | 3,020 | 3,107,984 | |||||||||||||
3.509%(ff) | 01/23/29 | 1,435 | 1,491,877 | |||||||||||||
3.782%(ff) | 02/01/28 | 965 | 1,023,006 | |||||||||||||
3.964%(ff) | 11/15/48 | 985 | 1,045,076 | |||||||||||||
4.005%(ff) | 04/23/29 | 1,200 | 1,294,471 | |||||||||||||
4.250% | 10/15/20 | 600 | 614,812 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 10/01/27 | 420 | 454,883 | |||||||||||||
KeyCorp, |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.100% | 03/24/21 | 1,155 | 1,207,541 | |||||||||||||
Lloyds Bank PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
5.800% | 01/13/20 | 2,650 | 2,697,295 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H |
| |||||||||||||||
5.450%(ff) | — | (rr) | 975 | 972,563 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | 895 | 996,224 | |||||||||||||
5.750% | 01/25/21 | 1,920 | 2,016,630 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.125% | 01/23/23 | 1,190 | 1,216,854 | |||||||||||||
3.750% | 02/25/23 | 395 | 412,624 | |||||||||||||
3.772%(ff) | 01/24/29 | 1,875 | 1,967,139 | |||||||||||||
4.431%(ff) | 01/23/30 | 1,340 | 1,482,388 | |||||||||||||
5.500% | 07/28/21 | 2,080 | 2,209,923 | |||||||||||||
5.625% | 09/23/19 | 2,635 | 2,653,275 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.125% | 07/27/26 | 2,725 | 2,776,816 |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 750 | $ | 804,245 | ||||||||||||
PNC Financial Services Group, Inc. (The), |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
3.900% | 04/29/24 | 975 | 1,026,591 | |||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390% |
| |||||||||||||||
2.973%(c) | 04/30/21 | 1,920 | 1,925,347 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.200% | 04/30/21 | 5,215 | 5,307,605 | |||||||||||||
Santander UK Group Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 10/16/20 | 1,550 | 1,552,542 | |||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), |
| |||||||||||||||
Bank Gtd. Notes, 3 Month LIBOR + 0.350% |
| |||||||||||||||
2.938%(c) | 01/17/20 | 1,820 | 1,822,413 | |||||||||||||
UBS Group Funding Switzerland AG (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 1,100 | 1,109,616 | |||||||||||||
3.491% | 05/23/23 | 2,970 | 3,044,775 | |||||||||||||
|
| |||||||||||||||
135,930,508 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Keurig Dr. Pepper, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.551% | 05/25/21 | 970 | 990,905 | |||||||||||||
|
| |||||||||||||||
Biotechnology — 0.2% |
| |||||||||||||||
Celgene Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 08/15/21 | 1,070 | 1,066,482 | |||||||||||||
4.550% | 02/20/48 | (a) | 1,145 | 1,312,181 | ||||||||||||
|
| |||||||||||||||
2,378,663 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.3% |
| |||||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 11/15/24 | 3,000 | 3,105,000 | |||||||||||||
U.S. Concrete, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 06/01/24 | 600 | 624,000 | |||||||||||||
|
| |||||||||||||||
3,729,000 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 1.5% |
| |||||||||||||||
Ashland LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/43 | 1,400 | 1,508,500 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/01/43 | 675 | 604,125 | |||||||||||||
5.375% | 03/15/44 | 700 | 656,460 | |||||||||||||
7.125% | 05/01/20 | 141 | 145,582 | |||||||||||||
DuPont de Nemours, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.766% | 11/15/20 | 490 | 499,378 | |||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/21 | 3,550 | 3,806,393 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 11/15/33 | 465 | $ | 526,585 | ||||||||||||
5.625% | 11/15/43 | 155 | 170,558 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 1,150 | 1,190,250 | |||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 06/01/43 | 870 | 946,984 | |||||||||||||
5.250% | 01/15/45 | 420 | 465,223 | |||||||||||||
6.125% | 01/15/41 | 450 | 550,830 | |||||||||||||
Sasol Financing International Ltd. (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/14/22 | 1,525 | 1,567,194 | |||||||||||||
SASOL Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 575 | 623,097 | |||||||||||||
Sherwin-Williams Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 08/01/25 | 445 | 459,215 | |||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 04/01/23 | 3,058 | 3,582,173 | |||||||||||||
|
| |||||||||||||||
17,302,547 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.6% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.700% | 06/01/34 | 920 | 1,228,602 | |||||||||||||
7.000% | 10/15/37 | 770 | 1,051,708 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 04/15/22 | 1,500 | 1,496,250 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 10/15/25 | 700 | 711,375 | |||||||||||||
4.875% | 01/15/28 | 1,325 | 1,351,500 | |||||||||||||
5.250% | 01/15/30 | 400 | 411,000 | |||||||||||||
5.500% | 05/15/27 | 975 | 1,026,188 | |||||||||||||
|
| |||||||||||||||
7,276,623 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.1% |
| |||||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 12/15/25 | 900 | 940,500 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 1.0% |
| |||||||||||||||
American Express Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 05/17/21 | 3,695 | 3,764,778 | |||||||||||||
Capital One Financial Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 04/30/21 | 5,235 | 5,330,055 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 650 | 705,666 |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services (continued) |
| |||||||||||||||
Lehman Brothers Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
6.875% | 05/02/18 | (d) | 2,740 | $ | 47,676 | |||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.125% | 07/15/23 | (a) | 1,250 | 1,275,000 | ||||||||||||
|
| |||||||||||||||
11,123,175 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.2% |
| |||||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 07/01/23 | 550 | 569,460 | |||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/25 | (a) | 3,100 | 3,076,750 | ||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.300% | 12/01/56 | 235 | 252,895 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 2,710 | 2,774,437 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 2,325 | 2,833,880 | |||||||||||||
Eskom Holdings SOC Ltd. (South Africa), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
6.350% | 08/10/28 | 550 | 595,124 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/26/21 | 600 | 604,790 | |||||||||||||
7.125% | 02/11/25 | 390 | 408,637 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/01/39 | 1,900 | 2,246,797 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 400 | 475,250 | |||||||||||||
GenOn Energy, Inc./NRG Americas, Inc., |
| |||||||||||||||
Sec’d. Notes, 6 Month LIBOR + 6.500% |
| |||||||||||||||
9.044%(c) | 12/01/23 | 2,400 | 2,379,000 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 1,150 | 1,420,548 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 680 | 707,037 | |||||||||||||
Kentucky Utilities Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.375% | 10/01/45 | 3,050 | 3,447,396 | |||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 07/13/21 | 250 | 261,351 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 06/15/29 | (a) | 375 | 400,313 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
South Carolina Electric & Gas Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.600% | 06/15/43 | 2,025 | $ | 2,293,063 | ||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 450 | 466,312 | |||||||||||||
|
| |||||||||||||||
25,213,040 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.2% |
| |||||||||||||||
Sensata Technologies BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/25 | 1,750 | 1,824,375 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.2% |
| |||||||||||||||
GMR Hyderabad International Airport Ltd. (India), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/27/27 | 345 | 313,835 | |||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/31/26 | 605 | 601,673 | |||||||||||||
5.500% | 07/31/47 | 1,690 | 1,683,662 | |||||||||||||
|
| |||||||||||||||
2,599,170 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 0.1% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 11/15/26 | (a) | 1,200 | 1,074,000 | ||||||||||||
CPUK Finance Ltd. (United Kingdom), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 02/28/47 | GBP | 250 | 317,779 | ||||||||||||
4.875% | 02/28/47 | GBP | 125 | 158,781 | ||||||||||||
|
| |||||||||||||||
1,550,560 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.3% |
| |||||||||||||||
Ingles Markets, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 06/15/23 | 100 | 102,250 | |||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | 1,800 | 1,872,000 | |||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/35 | 725 | 760,497 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/39 | 440 | 465,906 | |||||||||||||
4.200% | 04/01/59 | 380 | 413,056 | |||||||||||||
|
| |||||||||||||||
3,613,709 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.300% | 11/15/39 | 1,000 | 1,302,894 | |||||||||||||
|
| |||||||||||||||
Gas — 0.3% |
| |||||||||||||||
Korea Gas Corp. (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 11/02/20 | 1,750 | 1,792,770 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Gas (continued) |
| |||||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 02/15/44 | 300 | $ | 334,530 | ||||||||||||
Southern Co. Gas Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.400% | 06/01/43 | 1,050 | 1,106,093 | |||||||||||||
|
| |||||||||||||||
3,233,393 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.7% |
| |||||||||||||||
Abbott Laboratories, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 11/30/21 | 2,780 | 2,826,063 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.363% | 06/06/24 | 3,415 | 3,517,218 | |||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 200 | 244,227 | ||||||||||||
2.250% | 03/07/39 | EUR | 300 | 385,702 | ||||||||||||
Stryker Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 11/30/27 | EUR | 510 | 650,749 | ||||||||||||
|
| |||||||||||||||
7,623,959 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 1.0% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/15/37 | 1,900 | 2,388,968 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 01/15/43 | 385 | 419,958 | |||||||||||||
CHS/Community Health Systems, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.125% | 06/30/24 | (a) | 625 | 467,188 | ||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 12/15/20 | 745 | 761,536 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 330 | 334,554 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 2,325 | 2,509,547 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 240 | 243,932 | |||||||||||||
3.250% | 09/01/24 | 1,495 | 1,524,121 | |||||||||||||
Synlab Bondco PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.250% | 07/01/22 | EUR | 1,100 | 1,270,823 | ||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
5.125% | 05/01/25 | 250 | 251,250 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/27 | 575 | 595,125 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 08/01/25 | 900 | 896,625 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 10/15/42 | 220 | $ | 230,608 | ||||||||||||
|
| |||||||||||||||
11,894,235 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.5% |
| |||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 07/01/22 | 1,000 | 1,017,500 | |||||||||||||
PulteGroup, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 01/15/27 | 975 | 1,021,125 | |||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 875 | 890,313 | |||||||||||||
William Lyon Homes, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 08/15/22 | 1,650 | 1,656,187 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.625% | 07/15/27 | 1,050 | 1,047,375 | |||||||||||||
|
| |||||||||||||||
5,632,500 | ||||||||||||||||
|
| |||||||||||||||
Home Furnishings — 0.0% |
| |||||||||||||||
Tempur Sealy International, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 06/15/26 | 500 | 518,750 | |||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/26 | 670 | 665,867 | |||||||||||||
|
| |||||||||||||||
Insurance — 1.0% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 07/10/25 | 2,110 | 2,209,048 | |||||||||||||
4.500% | 07/16/44 | 1,075 | 1,136,362 | |||||||||||||
Hartford Financial Services Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 04/15/22 | 500 | 536,053 | |||||||||||||
Liberty Mutual Finance Europe DAC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
1.750% | 03/27/24 | EUR | 800 | 954,800 | ||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 03/15/35 | 1,030 | 1,311,692 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 06/15/40 | 405 | 558,509 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/30/43 | 350 | 368,265 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 150 | 165,847 | |||||||||||||
Sompo International Holdings Ltd. (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 07/15/34 | 1,350 | 1,741,711 |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (continued) |
| |||||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 2,310 | $ | 2,501,224 | ||||||||||||
6.850% | 12/16/39 | 196 | 277,806 | |||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/15/20 | 500 | 518,853 | |||||||||||||
|
| |||||||||||||||
12,280,170 | ||||||||||||||||
|
| |||||||||||||||
Internet — 0.1% |
| |||||||||||||||
Netflix, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 05/15/27 | EUR | 1,050 | 1,303,656 | ||||||||||||
|
| |||||||||||||||
Lodging — 0.3% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | 1,325 | 1,355,007 | |||||||||||||
MGM Resorts International, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 03/15/23 | 1,050 | 1,137,938 | |||||||||||||
6.625% | 12/15/21 | 275 | 297,000 | |||||||||||||
Sands China Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 08/08/25 | 400 | 428,768 | |||||||||||||
Studio City Co., Ltd. (Macau), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
7.250% | 11/30/21 | 300 | 310,125 | |||||||||||||
|
| |||||||||||||||
3,528,838 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.4% |
| |||||||||||||||
CNH Industrial Capital LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 04/01/21 | 1,050 | 1,086,267 | |||||||||||||
Rockwell Automation, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 01/15/98 | 1,100 | 1,199,949 | |||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,960 | 2,057,007 | |||||||||||||
|
| |||||||||||||||
4,343,223 | ||||||||||||||||
|
| |||||||||||||||
Media — 2.2% |
| |||||||||||||||
Cablevision Systems Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.000% | 04/15/20 | 2,000 | 2,065,660 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 06/01/29 | 975 | 1,006,687 | |||||||||||||
5.500% | 05/01/26 | (a) | 3,300 | 3,453,615 | ||||||||||||
5.875% | 05/01/27 | 25 | 26,375 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.384% | 10/23/35 | 710 | 833,833 | |||||||||||||
6.484% | 10/23/45 | 855 | 1,007,454 | |||||||||||||
6.834% | 10/23/55 | 225 | 267,259 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 02/15/24 | 1,450 | $ | 1,573,250 | ||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 10/15/28 | 1,820 | 2,005,914 | |||||||||||||
4.250% | 10/15/30 | 620 | 691,931 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 2,800 | 2,838,654 | |||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 12/15/21 | 1,425 | 1,425,000 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/20/37 | 1,010 | 1,055,015 | |||||||||||||
NBCUniversal Media LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.450% | 01/15/43 | 15 | 16,536 | |||||||||||||
TCI Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 02/15/26 | 750 | 978,253 | |||||||||||||
TEGNA, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 09/15/21 | 475 | 476,188 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.000% | 01/15/25 | EUR | 1,100 | 1,297,765 | ||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 02/15/25 | 1,175 | 1,117,719 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.900% | 08/15/39 | 65 | 95,797 | |||||||||||||
7.625% | 11/30/28 | 1,415 | 1,913,369 | |||||||||||||
Ziggo BV (Netherlands), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.750% | 01/15/25 | EUR | 850 | 995,531 | ||||||||||||
|
| |||||||||||||||
25,141,805 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.1% |
| |||||||||||||||
Barrick North America Finance LLC (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 05/01/43 | 410 | 512,301 | |||||||||||||
Newmont Goldcorp Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.625% | 06/09/21 | 825 | 840,076 | |||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 295 | 372,203 | |||||||||||||
|
| |||||||||||||||
1,724,580 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.2% |
| |||||||||||||||
Textron, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.250% | 10/01/19 | 2,350 | 2,375,351 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Multi-National — 0.4% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 2,240 | $ | 2,220,400 | ||||||||||||
4.375% | 06/15/22 | 500 | 526,110 | |||||||||||||
Inter-American Development Bank (Supranational Bank), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
6.950% | 08/01/26 | 1,500 | 1,933,022 | |||||||||||||
|
| |||||||||||||||
4,679,532 | ||||||||||||||||
|
| |||||||||||||||
Office/Business Equipment — 0.1% |
| |||||||||||||||
CDW LLC/CDW Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/01/23 | 1,150 | 1,170,125 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 2.4% |
| |||||||||||||||
Anadarko Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.677%(s) | 10/10/36 | 2,000 | 944,900 | |||||||||||||
6.450% | 09/15/36 | 945 | 1,161,822 | |||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 350 | 319,375 | |||||||||||||
10.000% | 04/01/22 | 175 | 185,264 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | (a) | 1,000 | 1,085,221 | ||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.750% | 02/15/20 | 775 | 802,125 | |||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 05/09/23 | 750 | 756,689 | |||||||||||||
CNX Resources Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 03/14/27 | (a) | 975 | 833,625 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 180 | 201,482 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 850 | 1,008,989 | |||||||||||||
Encana Corp. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 02/01/38 | 200 | 244,935 | |||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.950% | 07/19/22 | 390 | 408,767 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.510% | 03/07/22 | 1,665 | 1,798,147 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,500 | 1,588,009 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | (a) | 1,160 | 1,236,708 | ||||||||||||
4.750% | 04/19/27 | 200 | 214,478 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Lukoil International Finance BV (Russia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 11/09/20 | 600 | $ | 623,748 | ||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 01/30/23 | 575 | 547,687 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 01/14/25 | EUR | 400 | 512,832 | ||||||||||||
5.299% | 01/27/25 | 625 | 663,125 | |||||||||||||
5.750% | 02/01/29 | 725 | 755,740 | |||||||||||||
6.625% | 01/16/34 | GBP | 680 | 960,717 | ||||||||||||
6.900% | 03/19/49 | 495 | 527,175 | |||||||||||||
7.375% | 01/17/27 | 405 | 463,320 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/26/29 | EUR | 1,100 | 1,194,524 | ||||||||||||
4.875% | 01/24/22 | 1,100 | 1,097,250 | |||||||||||||
5.375% | 03/13/22 | 405 | 408,058 | |||||||||||||
6.350% | 02/12/48 | 840 | 721,140 | |||||||||||||
6.375% | 01/23/45 | 1,015 | 872,900 | |||||||||||||
6.500% | 03/13/27 | 1,225 | 1,209,565 | |||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
2.750% | 04/21/27 | EUR | 700 | 696,348 | ||||||||||||
3.750% | 02/21/24 | EUR | 400 | 451,938 | ||||||||||||
4.875% | 02/21/28 | EUR | 800 | 887,848 | ||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 810 | 721,305 | |||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.500% | 04/28/20 | 1,250 | 1,249,967 | |||||||||||||
YPF SA (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 03/23/21 | (a) | 235 | 239,054 | ||||||||||||
|
| |||||||||||||||
27,594,777 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.0% |
| |||||||||||||||
Cameron International Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 07/15/38 | 450 | 599,309 | |||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.1% |
| |||||||||||||||
Ball Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 12/15/23 | EUR | 925 | 1,217,310 | ||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.9% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,020 | 1,053,841 | |||||||||||||
4.500% | 05/14/35 | 1,715 | 1,769,183 | |||||||||||||
Allergan Funding SCS, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.550% | 03/15/35 | 2,040 | 2,059,746 | |||||||||||||
Allergan Sales LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 02/15/21 | 1,350 | 1,390,467 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Bausch Health Americas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 01/31/27 | 320 | $ | 351,846 | ||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 04/15/25 | 325 | 331,897 | |||||||||||||
7.250% | 05/30/29 | 100 | 104,000 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 08/15/27 | 130 | 136,627 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 06/15/39 | 420 | 452,934 | |||||||||||||
4.250% | 10/26/49 | 1,370 | 1,514,398 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 10/15/28 | 1,320 | 1,424,102 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 270 | 281,657 | |||||||||||||
5.050% | 03/25/48 | 655 | 697,653 | |||||||||||||
5.125% | 07/20/45 | 565 | 602,524 | |||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 07/15/23 | 512 | 368,640 | |||||||||||||
Express Scripts Holding Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 02/25/26 | 3,690 | 3,982,014 | |||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 1,415 | 1,306,619 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 09/23/26 | 3,745 | 3,776,410 | |||||||||||||
Takeda Pharmaceutical Co. Ltd. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.800% | 11/26/20 | 280 | 285,080 | |||||||||||||
4.000% | 11/26/21 | 600 | 620,820 | |||||||||||||
|
| |||||||||||||||
22,510,458 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.1% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.150% | 03/15/45 | 55 | 55,927 | |||||||||||||
5.300% | 04/15/47 | 120 | 125,168 | |||||||||||||
6.000% | 06/15/48 | 50 | 57,071 | |||||||||||||
6.250% | 04/15/49 | 1,400 | 1,658,786 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 05/15/46 | 2,110 | 2,366,854 | |||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.375% | 03/30/38 | 387 | 401,886 | |||||||||||||
Magellan Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 03/15/45 | 1,000 | 965,360 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (continued) |
| |||||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/15/38 | 970 | $ | 979,320 | ||||||||||||
5.200% | 03/01/47 | 115 | 123,608 | |||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 08/15/22 | 50 | 51,500 | |||||||||||||
4.875% | 08/15/27 | 225 | 238,219 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.850% | 10/15/37 | 1,250 | 1,545,796 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 07/13/47 | 450 | 474,022 | |||||||||||||
Phillips 66 Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.680% | 02/15/45 | 1,900 | 1,966,626 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 04/01/44 | 575 | 543,159 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 01/15/45 | 1,200 | 1,257,452 | |||||||||||||
|
| |||||||||||||||
12,810,754 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
Simon Property Group LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 03/15/22 | 325 | 333,807 | |||||||||||||
|
| |||||||||||||||
Retail — 0.6% |
| |||||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700% |
| |||||||||||||||
3.288%(c) | 04/17/20 | 950 | 950,110 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 05/15/28 | 1,875 | 1,941,781 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 02/15/22 | 875 | 914,471 | |||||||||||||
5.625% | 10/15/23 | 725 | 751,818 | |||||||||||||
6.625% | 04/01/21 | 551 | 581,856 | |||||||||||||
Michaels Stores, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 07/15/27 | 800 | 796,312 | |||||||||||||
PetSmart, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/25 | 525 | 509,250 | |||||||||||||
Rite Aid Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 04/01/23 | 375 | 316,406 | |||||||||||||
|
| |||||||||||||||
6,762,004 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,675 | 1,724,194 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Semiconductors — 0.5% |
| |||||||||||||||
Broadcom, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.125% | 04/15/21 | 1,930 | $ | 1,942,497 | ||||||||||||
3.125% | 10/15/22 | 1,480 | 1,489,318 | |||||||||||||
NXP BV/NXP Funding LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/23 | 2,675 | 2,819,718 | |||||||||||||
|
| |||||||||||||||
6,251,533 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
Fidelity National Information Services, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.750% | 05/21/23 | EUR | 400 | 463,855 | ||||||||||||
Fiserv, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 10/01/22 | 1,162 | 1,197,359 | |||||||||||||
Microsoft Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/12/45 | 1,540 | 1,675,372 | |||||||||||||
4.000% | 02/12/55 | 435 | 489,007 | |||||||||||||
4.450% | 11/03/45 | 275 | 329,794 | |||||||||||||
Oracle Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 07/08/34 | 1,070 | 1,217,543 | |||||||||||||
|
| |||||||||||||||
5,372,930 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 1.5% |
| |||||||||||||||
AT&T Corp., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.750% | 11/15/31 | 55 | 76,436 | |||||||||||||
AT&T, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/15/25 | 1,295 | 1,331,267 | |||||||||||||
3.600% | 07/15/25 | 150 | 155,585 | |||||||||||||
3.800% | 02/15/27 | 1,065 | 1,108,318 | |||||||||||||
4.300% | 02/15/30 | 325 | 347,853 | |||||||||||||
4.550% | 03/09/49 | 499 | 509,330 | |||||||||||||
4.850% | 03/01/39 | 4,230 | 4,539,766 | |||||||||||||
5.250% | 03/01/37 | 680 | 763,165 | |||||||||||||
5.350% | 09/01/40 | 49 | 55,308 | |||||||||||||
Sprint Corp., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 02/15/25 | 500 | 532,500 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 01/15/26 | 1,675 | 1,810,775 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 08/10/33 | 990 | 1,115,301 | |||||||||||||
4.522% | 09/15/48 | 360 | 403,352 | |||||||||||||
5.012% | 04/15/49 | 1,000 | 1,190,990 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.016% | 12/03/29 | 120 | 129,929 | |||||||||||||
Wind Tre SpA (Italy), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.625% | 01/20/23 | EUR | 675 | 772,562 | ||||||||||||
3.125% | 01/20/25 | EUR | 1,550 | 1,757,394 | ||||||||||||
5.000% | 01/20/26 | 500 | 484,000 | |||||||||||||
|
| |||||||||||||||
17,083,831 | ||||||||||||||||
|
|
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 | $ | 305,919 | ||||||||||||
|
| |||||||||||||||
Transportation — 0.0% |
| |||||||||||||||
Lima Metro Line 2 Finance Ltd. (Peru), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.875% | 07/05/34 | 200 | 212,505 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 437,386,471 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 1.9% |
| |||||||||||||||
California — 0.6% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series S3 |
| |||||||||||||||
6.907% | 10/01/50 | 1,125 | 1,820,824 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,550 | 2,329,882 | |||||||||||||
7.625% | 03/01/40 | 725 | 1,144,007 | |||||||||||||
University of California, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.770% | 05/15/43 | 1,400 | 1,841,154 | |||||||||||||
|
| |||||||||||||||
7,135,867 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.1% |
| |||||||||||||||
Regional Transportation District, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 770 | 1,099,352 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.4% | ||||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.395% | 01/01/40 | 1,380 | 1,952,300 | |||||||||||||
State of Illinois, | ||||||||||||||||
General Obligation Unlimited, Series A |
| |||||||||||||||
5.000% | 10/01/22 | 20 | 21,841 | |||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||||||
5.000% | 11/01/22 | 2,650 | 2,899,709 | |||||||||||||
|
| |||||||||||||||
4,873,850 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.4% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
7.102% | 01/01/41 | 1,175 | 1,768,504 | |||||||||||||
Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 2,050 | 3,171,248 | |||||||||||||
|
| |||||||||||||||
4,939,752 | ||||||||||||||||
|
| |||||||||||||||
Ohio — 0.1% | ||||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 695 | 862,926 | |||||||||||||
|
| |||||||||||||||
Oregon — 0.1% | ||||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 615 | 810,557 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 800 | $ | 1,054,320 | ||||||||||||
|
| |||||||||||||||
Puerto Rico — 0.1% |
| |||||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, Series A1 |
| |||||||||||||||
5.000% | 07/01/58 | 850 | 850,000 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Revenue Bonds, Taxable, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 425 | 481,763 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 22,108,387 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.5% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/19 | 38 | 38,010 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700% |
| |||||||||||||||
4.104%(c) | 10/25/27 | 423 | 425,920 | |||||||||||||
Series2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% |
| |||||||||||||||
4.004%(c) | 04/25/28 | 1,113 | 1,117,020 | |||||||||||||
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950% |
| |||||||||||||||
3.354%(c) | 08/25/28 | 686 | 686,683 | |||||||||||||
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% |
| |||||||||||||||
3.754%(c) | 08/25/28 | 450 | 450,000 | |||||||||||||
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% |
| |||||||||||||||
4.004%(c) | 08/25/28 | 450 | 449,460 | |||||||||||||
Series2018-03A, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
3.604%(c) | 10/25/27 | 690 | 689,999 | |||||||||||||
Series2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% |
| |||||||||||||||
4.254%(c) | 10/25/27 | 1,040 | 1,041,558 | |||||||||||||
Series2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450% |
| |||||||||||||||
3.854%(c) | 04/25/29 | 820 | 821,587 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
3.940%(c) | 11/01/23 | 5,400 | 5,399,995 | |||||||||||||
CIM Trust, | ||||||||||||||||
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.440%(c) | 12/25/57 | 1,351 | 1,357,835 | |||||||||||||
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.440%(c) | 01/25/57 | 1,482 | 1,509,895 | |||||||||||||
Series2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 1,275 | 1,274,746 | |||||||||||||
Series2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 2,523 | 2,517,706 | |||||||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||||||
Series2011-12, Class 3A2, 144A |
| |||||||||||||||
4.025%(cc) | 09/25/47 | 570 | 544,979 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
3.829%(c) | 08/25/37 | 1,527 | 1,526,514 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% |
| |||||||||||||||
4.104%(c) | 11/25/28 | 1,700 | $ | 1,699,998 | ||||||||||||
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250% |
| |||||||||||||||
3.654%(c) | 04/25/29 | 450 | 450,276 | |||||||||||||
Series2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% |
| |||||||||||||||
4.204%(c) | 04/25/29 | 300 | 300,237 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, |
| |||||||||||||||
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450% |
| |||||||||||||||
3.854%(c) | 01/25/29 | 311 | 311,360 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550% |
| |||||||||||||||
6.954%(c) | 10/25/24 | 238 | 256,587 | |||||||||||||
Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300% |
| |||||||||||||||
5.704%(c) | 10/25/27 | 3,460 | 3,723,144 | |||||||||||||
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250% |
| |||||||||||||||
4.654%(c) | 11/25/28 | 543 | 548,594 | |||||||||||||
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% |
| |||||||||||||||
3.754%(c) | 03/25/29 | 699 | 703,557 | |||||||||||||
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% |
| |||||||||||||||
3.704%(c) | 04/25/29 | 1,698 | 1,703,375 | |||||||||||||
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% |
| |||||||||||||||
5.054%(c) | 01/25/49 | 250 | 255,946 | |||||||||||||
GSMSC Resecuritization Trust, |
| |||||||||||||||
Series2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140% |
| |||||||||||||||
2.544%(c) | 01/26/37 | 1,035 | 1,024,724 | |||||||||||||
Series2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% |
| |||||||||||||||
2.544%(c) | 01/26/37 | 1,400 | 1,351,474 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% |
| |||||||||||||||
3.830%(c) | 10/25/28 | 510 | 509,143 | |||||||||||||
Series2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% |
| |||||||||||||||
4.054%(c) | 05/25/29 | 650 | 649,999 | |||||||||||||
IndyMac INDX Mortgage Loan Trust, |
| |||||||||||||||
Series 2006-AR19, Class 5A2 |
| |||||||||||||||
3.949%(cc) | 08/25/36 | 348 | 324,624 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series2018-02, Class A1, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.940%(c) | 04/01/23 | 202 | 201,826 | |||||||||||||
Series2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.940%(c) | 04/01/24 | 788 | 787,535 | |||||||||||||
MetLife Securitization Trust, |
| |||||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/57 | 1,081 | 1,127,066 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 1,570 | 1,628,088 | |||||||||||||
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
3.154%(c) | 01/25/48 | 1,408 | 1,407,059 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% |
| |||||||||||||||
3.954%(c) | 07/25/28 | 500 | 499,634 | |||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series2019-01, Class PT, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.937%(c) | 11/27/20 | 15,550 | 15,550,017 |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Radnor Re Ltd. (Bermuda), |
| |||||||||||||||
Series2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
3.804%(c) | 03/25/28 | 621 | $ | 623,012 | ||||||||||||
Series2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% |
| |||||||||||||||
5.104%(c) | 03/25/28 | 360 | 360,900 | |||||||||||||
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250% |
| |||||||||||||||
3.654%(c) | 02/25/29 | 1,200 | 1,202,468 | |||||||||||||
Series2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.580%(c) | 06/25/29 | 700 | 700,000 | |||||||||||||
STACR Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 09/25/48 | 1,155 | 1,156,373 | |||||||||||||
Series 2018-HRP02, Class M1, 144A, 1 Month LIBOR + 0.850% |
| |||||||||||||||
3.254%(c) | 02/25/47 | 850 | 849,359 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series2004-01, Class 4A3 |
| |||||||||||||||
4.566%(cc) | 02/25/34 | 493 | 499,676 | |||||||||||||
Series2004-18, Class 3A1 |
| |||||||||||||||
4.352%(cc) | 12/25/34 | 2,534 | 2,547,044 | |||||||||||||
Towd Point Mortgage Funding Vantage PLC (United Kingdom), |
| |||||||||||||||
Series2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200% |
| |||||||||||||||
2.004%(c) | �� | 02/20/54 | | GBP 1,406 | | 1,789,526 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates, |
| |||||||||||||||
Series2005-01, Class 3A |
| |||||||||||||||
5.000% | 03/25/20 | 39 | 38,683 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 64,633,211 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 7.4% |
| |||||||||||||||
Argentine Republic Government International Bond (Argentina), |
| |||||||||||||||
Bonds | ||||||||||||||||
3.380%(cc) | 12/31/38 | EUR | 300 | 189,754 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 01/11/23 | 1,625 | 1,300,016 | |||||||||||||
6.875% | 04/22/21 | 1,775 | 1,557,563 | |||||||||||||
7.820% | 12/31/33 | EUR | 958 | 903,935 | ||||||||||||
7.820% | 12/31/33 | EUR | 634 | 590,143 | ||||||||||||
8.280% | 12/31/33 | (a) | 582 | 485,120 | ||||||||||||
Brazil Minas SPE via State of Minas Gerais (Brazil), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
5.333% | 02/15/28 | 1,444 | 1,487,835 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 250 | 261,750 | |||||||||||||
Dominican Republic International Bond (Dominican Republic), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 05/06/21 | 1,500 | 1,578,765 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 07/19/28 | 575 | 620,287 | |||||||||||||
7.500% | 05/06/21 | 400 | 421,004 | |||||||||||||
Ecuador Government International Bond (Ecuador), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
10.500% | 03/24/20 | 200 | 208,502 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Egypt Government International Bond (Egypt), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.750% | 04/11/25 | EUR | 875 | $ | 1,014,941 | |||||||||||
4.750% | 04/16/26 | EUR | 1,410 | 1,610,943 | ||||||||||||
6.375% | 04/11/31 | EUR | 1,015 | 1,172,378 | ||||||||||||
El Salvador Government International Bond (El Salvador), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.375% | 12/01/19 | 620 | 625,431 | |||||||||||||
Hellenic Republic Government Bond (Greece), |
| |||||||||||||||
Bonds | ||||||||||||||||
3.000%(cc) | 02/24/23 | EUR | 1,200 | 1,458,086 | ||||||||||||
3.000%(cc) | 02/24/29 | EUR | 1,000 | 1,221,259 | ||||||||||||
3.000%(cc) | 02/24/31 | EUR | 620 | 761,732 | ||||||||||||
3.000%(cc) | 02/24/32 | EUR | 1,280 | 1,551,269 | ||||||||||||
3.000%(cc) | 02/24/34 | EUR | 640 | 772,646 | ||||||||||||
3.000%(cc) | 02/24/39 | EUR | 1,000 | 1,198,650 | ||||||||||||
3.750% | 01/30/28 | EUR | 65 | 82,050 | ||||||||||||
3.900% | 01/30/33 | EUR | 1,990 | 2,533,006 | ||||||||||||
4.200% | 01/30/42 | EUR | 295 | 383,192 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 03/12/29 | EUR | 2,700 | 3,442,737 | ||||||||||||
Hellenic Republic Government International Bond (Greece), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 07/17/34 | EUR | 1,500 | 2,052,345 | ||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 02/21/23 | 436 | 479,613 | |||||||||||||
5.375% | 03/25/24 | 290 | 326,917 | |||||||||||||
5.750% | 11/22/23 | 2,300 | 2,606,171 | |||||||||||||
6.375% | 03/29/21 | 2,776 | 2,963,102 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.450% | 09/18/26 | EUR | 375 | 435,474 | ||||||||||||
3.375% | 07/30/25 | EUR | 3,125 | 4,018,938 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.875% | 07/08/21 | EUR | 1,225 | 1,469,560 | ||||||||||||
3.750% | 06/14/28 | EUR | 1,250 | 1,696,244 | ||||||||||||
Iraq International Bond (Iraq), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.800% | 01/15/28 | 450 | 442,447 | |||||||||||||
6.752% | 03/09/23 | 400 | 410,420 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.500% | 05/23/24 | 1,000 | 1,017,993 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 09/27/23 | 600 | 625,543 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.000% | 09/08/20 | 800 | 798,032 | |||||||||||||
2.625% | 04/20/22 | 1,000 | 1,012,755 | |||||||||||||
3.000% | 03/12/24 | 600 | 621,485 | |||||||||||||
Lithuania Government International Bond (Lithuania), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 02/01/22 | 1,000 | 1,103,872 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/16/25 | 450 | 474,305 |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Portugal Government International Bond (Portugal), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
5.125% | 10/15/24 | 12,675 | $ | 14,164,312 | ||||||||||||
Portugal Obrigacoes do Tesouro OT (Portugal), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/15/30 | EUR | 3,070 | 4,678,724 | ||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 04/16/24 | 445 | 456,165 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 10/17/23 | 595 | 628,394 | |||||||||||||
Provincia de Buenos Aries (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 02/15/23 | 120 | 100,321 | |||||||||||||
9.950% | 06/09/21 | 1,940 | 1,759,580 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.817% | 03/14/49 | 835 | 956,943 | |||||||||||||
5.103% | 04/23/48 | 780 | 929,175 | |||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 09/27/23 | 260 | 293,920 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.375% | 06/15/33 | (a) | 730 | 801,377 | ||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 945 | 1,230,661 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 1,000 | 1,302,287 | ||||||||||||
4.125% | 03/11/39 | EUR | 354 | 460,901 | �� | |||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 01/16/50 | 1,355 | 1,540,066 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.000% | 04/17/25 | 675 | 718,031 | |||||||||||||
Senegal Government International Bond (Senegal), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 03/13/28 | EUR | 475 | 541,322 | ||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 600 | 605,424 | |||||||||||||
Turkey Government International Bond (Turkey), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 03/30/21 | 500 | 506,987 | |||||||||||||
7.000% | 06/05/20 | 1,510 | 1,544,066 | |||||||||||||
Ukraine Government International Bond (Ukraine), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 09/01/20 | 145 | 149,552 | |||||||||||||
7.750% | 09/01/21 | 160 | 166,995 | |||||||||||||
7.750% | 09/01/22 | 1,120 | 1,183,114 | |||||||||||||
8.994% | 02/01/24 | 200 | 217,748 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.750% | 09/01/20 | 200 | 206,278 | |||||||||||||
7.750% | 09/01/22 | 930 | 982,407 | |||||||||||||
8.994% | 02/01/24 | 200 | 217,748 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 86,330,708 | ||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0% |
| |||||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
5.500% | 10/01/33 | 576 | $ | 642,706 | ||||||||||||
5.500% | 06/01/34 | 7 | 7,275 | |||||||||||||
6.000% | 11/01/33 | 178 | 197,166 | |||||||||||||
6.000% | 05/01/34 | 57 | 62,626 | |||||||||||||
6.000% | 06/01/34 | 146 | 160,254 | |||||||||||||
6.250% | 07/15/32 | (k) | 830 | 1,191,667 | ||||||||||||
6.500% | 07/01/32 | 22 | 24,680 | |||||||||||||
6.500% | 07/01/32 | 22 | 24,713 | |||||||||||||
6.500% | 08/01/32 | 44 | 48,374 | |||||||||||||
6.500% | 08/01/32 | 45 | 50,350 | |||||||||||||
6.500% | 08/01/32 | 46 | 50,828 | |||||||||||||
6.500% | 09/01/32 | 40 | 44,488 | |||||||||||||
6.500% | 09/01/32 | 115 | 128,223 | |||||||||||||
6.750% | 03/15/31 | (k) | 600 | 872,613 | ||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
5.500% | 02/01/33 | 17 | 18,719 | |||||||||||||
5.500% | 02/01/33 | 21 | 23,618 | |||||||||||||
5.500% | 03/01/33 | 24 | 25,664 | |||||||||||||
5.500% | 03/01/33 | 47 | 51,601 | |||||||||||||
5.500% | 03/01/33 | 53 | 58,365 | |||||||||||||
5.500% | 04/01/33 | 7 | 7,266 | |||||||||||||
5.500% | 04/01/33 | 34 | 37,132 | |||||||||||||
5.500% | 04/01/33 | 35 | 38,146 | |||||||||||||
5.500% | 04/01/33 | 39 | 43,437 | |||||||||||||
5.500% | 07/01/33 | 32 | 35,776 | |||||||||||||
5.500% | 07/01/33 | 37 | 40,820 | |||||||||||||
5.500% | 08/01/33 | 16 | 17,683 | |||||||||||||
5.500% | 02/01/34 | 34 | 37,289 | |||||||||||||
5.500% | 04/01/34 | 28 | 29,946 | |||||||||||||
5.500% | 06/01/34 | 38 | 42,319 | |||||||||||||
6.000% | 10/01/33 | 4 | 3,933 | |||||||||||||
6.000% | 10/01/33 | 212 | 235,791 | |||||||||||||
6.000% | 03/01/34 | 79 | 87,836 | |||||||||||||
6.000% | 02/01/35 | 212 | 242,723 | |||||||||||||
6.000% | 11/01/36 | 62 | 69,598 | |||||||||||||
6.250% | 05/15/29 | (k) | 1,090 | 1,471,297 | ||||||||||||
6.500% | 08/01/32 | 130 | 147,783 | |||||||||||||
6.500% | 09/01/32 | 105 | 117,919 | |||||||||||||
6.500% | 09/01/32 | 178 | 204,502 | |||||||||||||
6.500% | 10/01/32 | 95 | 105,345 | |||||||||||||
6.500% | 04/01/33 | 175 | 202,560 | |||||||||||||
6.500% | 11/01/33 | 3 | 3,596 | |||||||||||||
6.625% | 11/15/30 | (k) | 530 | 757,724 | ||||||||||||
7.000% | 05/01/32 | 85 | 95,018 | |||||||||||||
7.000% | 06/01/32 | 8 | 8,949 | |||||||||||||
7.125% | 01/15/30 | (k) | 785 | 1,138,598 | ||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
5.500% | 01/15/33 | 70 | 78,936 | |||||||||||||
5.500% | 02/15/33 | 47 | 52,375 | |||||||||||||
5.500% | 05/15/33 | 130 | 138,485 | |||||||||||||
5.500% | 05/15/33 | 186 | 198,320 | |||||||||||||
5.500% | 06/15/33 | 199 | 217,712 | |||||||||||||
5.500% | 09/15/33 | 106 | 116,952 | |||||||||||||
5.500% | 07/15/35 | 72 | 81,150 | |||||||||||||
6.000% | 12/15/32 | 132 | 150,523 | |||||||||||||
6.000% | 11/15/33 | 64 | 73,340 | |||||||||||||
6.000% | 01/15/34 | 12 | 13,529 |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 06/20/34 | 348 | $ | 398,740 | ||||||||||||
6.000% | 11/15/34 | 491 | 559,445 | |||||||||||||
6.500% | 09/15/32 | 86 | 94,094 | |||||||||||||
6.500% | 09/15/32 | 204 | 225,028 | |||||||||||||
6.500% | 09/15/32 | 221 | 247,641 | |||||||||||||
6.500% | 11/15/33 | 161 | 180,570 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 11,733,756 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.7% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.500% | 05/15/46 | (k) | 965 | 959,421 | ||||||||||||
2.750% | 08/15/47 | (k) | 1,950 | 2,035,160 | ||||||||||||
3.000% | 02/15/48 | (k) | 500 | 547,754 | ||||||||||||
3.000% | 02/15/49 | 262 | 287,750 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
1.375% | 05/31/21 | (k) | 5,570 | 5,528,225 | ||||||||||||
1.875% | 04/30/22 | (k) | 520 | 522,092 | ||||||||||||
2.000% | 05/31/24 | 665 | 672,819 | |||||||||||||
2.125% | 05/15/25 | (k) | 260 | 264,387 | ||||||||||||
2.500% | 12/31/20 | (k) | 1,120 | 1,130,850 | ||||||||||||
2.500% | 02/28/21 | (k) | 300 | 303,340 | ||||||||||||
2.625% | 07/15/21 | (k) | 2,350 | 2,390,666 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.783%(s) | 08/15/29 | (k) | 1,200 | 969,010 | ||||||||||||
2.878%(s) | 05/15/31 | (h)(k) | 1,200 | 924,231 | ||||||||||||
3.042%(s) | 11/15/35 | (h)(k) | 2,400 | 1,623,117 | ||||||||||||
3.202%(s) | 08/15/40 | (h)(k) | 2,400 | 1,407,941 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 19,566,763 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
PREFERRED STOCKS — 0.2% |
| |||||||||||||||
Banks — 0.1% |
| |||||||||||||||
Citigroup Capital XIII 8.953% |
| 45,000 | 1,241,550 | |||||||||||||
|
| |||||||||||||||
Capital Markets — 0.1% |
| |||||||||||||||
State Street Corp. 5.350% |
| 35,000 | 925,750 | |||||||||||||
|
| |||||||||||||||
TOTAL PREFERRED STOCKS |
| 2,167,300 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS(cost $1,084,999,950) |
| 1,122,108,894 | ||||||||||||||
|
| |||||||||||||||
SHORT-TERM INVESTMENTS — 4.5% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 4.4% |
| |||||||||||||||
PGIM Core Short-Term Bond Fund(w) |
| 3,991,217 | 36,838,936 | |||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 2,669,581 | 2,669,581 | |||||||||||||
PGIM Institutional Money Market Fund (cost $12,054,524; includes $12,031,616 of cash collateral for securities on loan)(b)(w) |
| 12,053,573 | 12,057,189 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 51,565,706 | ||||||||||||||
|
|
Value | ||||||||||
OPTIONS PURCHASED*~ — 0.1% |
| |||||||||
(cost $381,004) | $ | 800,825 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS | 52,366,531 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—100.5% | 1,174,475,425 | |||||||||
|
| |||||||||
OPTIONS WRITTEN*~ — (0.0)% | ||||||||||
(premiums received $373,652) | (142,813 | ) | ||||||||
|
| |||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—100.5% | 1,174,332,612 | |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (0.5)% | (6,066,357 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,168,266,255 | ||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $(129,097) and (0.0%) of net assets. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $11,830,851; cash collateral of $12,031,616 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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 June 30, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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. |
(p) | Interest rate not available as of June 30, 2019. |
(r) | Principal or notional amount is less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
(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 Short-Term Bond Fund, 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: |
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 123.00 | 152 | 152 | $ | 2,375 | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 126.00 | 152 | 152 | 11,875 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 97.75 | 238 | 595 | 1,488 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.25 | 238 | 595 | 11,900 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 08/16/19 | $ | 97.75 | 238 | 595 | 1,488 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 08/16/19 | $ | 98.25 | 238 | 595 | 34,213 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 09/13/19 | $ | 97.75 | 238 | 595 | 2,975 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 09/13/19 | $ | 98.25 | 238 | 595 | 47,600 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded(cost $334,537) | $ | 113,914 | ||||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Morgan Stanley & Co. International PLC | 11/21/19 | 0.13 | % | — | 3,100 | $ | 30,195 | |||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/21/19 | 0.12 | % | — | 4,700 | 48,540 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 3,026 | 43,818 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 7,356 | 99,703 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 14,601 | 207,579 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 14,800 | 215,656 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 2,942 | 41,073 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded(cost $38,739) | $ | 686,564 | ||||||||||||||||||||||||
|
|
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||||||
30- Year Interest Rate Swap, 08/19/49 | Put | Citibank, N.A. | 08/15/19 | 2.66 | % | 3 Month LIBOR | (Q) | 2.66 | %(S) | 690 | $ | 347 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Total Options Purchased(cost $381,004) | $ | 800,825 | ||||||||||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 124.50 | 304 | 304 | $ | (4,750 | ) | |||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.00 | 476 | 1,190 | (2,975 | ) | ||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 08/16/19 | $ | 98.00 | 476 | 1,190 | (17,850 | ) | ||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | �� | 09/13/19 | $ | 98.00 | 476 | 1,190 | (29,750 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded(premiums received $199,488) | $ | (55,325 | ) | |||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A56
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Options Written (continued):
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||
CDX.NA.HY.32.V1, 06/20/24 | Put | BNP Paribas S.A. | 07/17/19 | $ | 99.00 | 5.00%(Q) | CDX.NA.HY.31.V2(Q) | 30,600 | $ | (3,717 | ) | |||||||||||||||||
CDX.NA.HY.32.V1, 06/20/24 | Put | Deutsche Bank AG | 07/17/19 | $ | 100.00 | 5.00%(Q) | CDX.NA.HY.31.V2(Q) | 20,000 | (3,686 | ) | ||||||||||||||||||
CDX.NA.HY.32.V1, 06/20/24 | Put | Morgan Stanley & Co. International PLC | 09/18/19 | $ | 100.00 | 5.00%(Q) | CDX.NA.HY.31.V2(Q) | 10,000 | (12,949 | ) | ||||||||||||||||||
CDX.NA.HY.32.V1, 06/20/24 | Put | Bank of America, N.A. | 01/15/20 | $ | 98.00 | 5.00%(Q) | CDX.NA.HY.31.V2(Q) | 11,000 | (53,869 | ) | ||||||||||||||||||
iTraxx.EUR.31.V2, 06/20/29 | Put | Goldman Sachs International | 09/18/19 | 2.50% | 1.00%(Q) | iTraxx.EUR.31.V2(Q) | EUR | 70,000 | (13,267 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Swaptions (premiums received $174,164) |
| $ | (87,488 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Written (premiums received $373,652) |
| $ | (142,813 | ) | ||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2019:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
4,039 | 5 Year U.S. Treasury Notes | Sep. 2019 | $ | 477,233,094 | $ | 7,240,166 | ||||||||||
2,352 | 10 Year U.S. Treasury Notes | Sep. 2019 | 300,982,500 | 3,961,034 | ||||||||||||
189 | 10 Year U.S. Ultra Treasury Notes | Sep. 2019 | 26,105,625 | 835,548 | ||||||||||||
11 | 20 Year U.S. Treasury Bonds | Sep. 2019 | 1,711,531 | 20,422 | ||||||||||||
536 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 95,173,500 | 4,191,446 | ||||||||||||
|
| |||||||||||||||
16,248,616 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
886 | 2 Year U.S. Treasury Notes | Sep. 2019 | 190,649,203 | (1,153,706 | ) | |||||||||||
73 | 10 Year Euro-Bund | Sep. 2019 | 14,338,854 | (220,185 | ) | |||||||||||
|
| |||||||||||||||
(1,373,891 | ) | |||||||||||||||
|
| |||||||||||||||
$ | 14,874,725 | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2019:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
British Pound, | ||||||||||||||||||||||||
Expiring 07/02/19 | JPMorgan Chase Bank, N.A. | GBP | 4,800 | $ | 6,124,149 | $ | 6,097,234 | $ | — | $ | (26,915 | ) | ||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/19 | Bank of America, N.A. | EUR | 47,564 | 54,198,723 | 54,103,047 | — | (95,676 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 60,322,872 | $ | 60,200,281 | $ | — | $ | (122,591 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
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 07/22/19 | Bank of America, N.A. | AUD | 559 | $ | 400,389 | $ | 393,042 | $ | 7,347 | $ | — | |||||||||||||
British Pound, | ||||||||||||||||||||||||
Expiring 07/02/19 | BNP Paribas S.A. | GBP | 4,688 | 5,947,823 | 5,954,986 | — | (7,163 | ) | ||||||||||||||||
Expiring 07/02/19 | JPMorgan Chase Bank, N.A. | GBP | 112 | 142,685 | 142,247 | 438 | — | |||||||||||||||||
Expiring 08/02/19 | JPMorgan Chase Bank, N.A. | GBP | 4,800 | 6,133,317 | 6,106,768 | 26,549 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2019 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts (continued): |
| |||||||||||||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/19 | Citibank, N.A. | EUR | 46,524 | $ | 52,241,910 | $ | 52,920,060 | $ | — | $ | (678,150 | ) | ||||||||||||
Expiring 07/02/19 | Citibank, N.A. | EUR | 1,040 | 1,167,492 | 1,182,988 | — | (15,496 | ) | ||||||||||||||||
Expiring 07/19/19 | Bank of America, N.A. | EUR | 2,850 | 3,223,991 | 3,246,556 | — | (22,565 | ) | ||||||||||||||||
Expiring 07/19/19 | Bank of America, N.A. | EUR | 374 | 420,412 | 426,085 | — | (5,673 | ) | ||||||||||||||||
Expiring 07/19/19 | Barclays Bank PLC | EUR | 785 | 887,989 | 894,461 | — | (6,472 | ) | ||||||||||||||||
Expiring 07/19/19 | Citibank, N.A. | EUR | 1,888 | 2,144,368 | 2,150,525 | — | (6,157 | ) | ||||||||||||||||
Expiring 07/19/19 | | Morgan Stanley & Co. International PLC | | EUR | 8 | 9,193 | 9,335 | — | (142 | ) | ||||||||||||||
Expiring 08/02/19 | Bank of America, N.A. | EUR | 47,564 | 54,336,134 | 54,244,434 | 91,700 | — | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 127,055,703 | $ | 127,671,487 | $ | 126,034 | $ | (741,818 | ) | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||
$ | 126,034 | $ | (864,409 | ) | ||||||||||||||||||||
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|
|
Credit default swap agreements outstanding at June 30, 2019:
Reference Entity/ | 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 | $ | (66,292 | ) | $ | (51,964 | ) | $ | (14,328 | ) | Bank of America, N.A. | |||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 665 | (3,591 | ) | 4,137 | (7,728 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 655 | (3,537 | ) | 10,327 | (13,864 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | (1,188 | ) | 3,884 | (5,072 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | (1,187 | ) | 3,567 | (4,754 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 215 | (1,161 | ) | 1,258 | (2,419 | ) | Citibank, N.A. | |||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 115 | (621 | ) | 715 | (1,336 | ) | Citibank, N.A. | |||||||||||||||||
|
|
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|
|
| |||||||||||||||||||||
$ | (77,577 | ) | $ | (28,076 | ) | $ | (49,501 | ) | ||||||||||||||||||
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|
|
|
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2019(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): | ||||||||||||||||||||||||||||||
Brooklyn^ | 12/20/19 | —(Q) | 4,090 | * | $ | 1,390 | $ | (1,391 | ) | $ | 2,781 | Citibank, N.A. | ||||||||||||||||||
Hellenic Republic | 06/20/23 | 1.000%(Q) | 660 | 2.253 | % | (30,453 | ) | (64,559 | ) | 34,106 | Citibank, N.A. | |||||||||||||||||||
Hellenic Republic | 06/20/24 | 1.000%(Q) | 500 | 2.630 | % | (36,521 | ) | (108,125 | ) | 71,604 | Barclays Bank PLC | |||||||||||||||||||
Hellenic Republic | 12/20/25 | 1.000%(Q) | 1,280 | 3.033 | % | (144,355 | ) | (231,773 | ) | 87,418 | Bank of America, N.A. | |||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||
Kingdom of Saudi Arabia | 06/20/24 | 1.000%(Q) | 405 | 0.821 | % | 3,549 | 1,918 | 1,631 | International PLC | |||||||||||||||||||||
Kingdom of Spain | 06/20/23 | 1.000%(Q) | 2,100 | 0.311 | % | 56,446 | 31,812 | 24,634 | Bank of America, N.A. | |||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 550 | 3.268 | % | (44,888 | ) | (30,406 | ) | (14,482 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 545 | 3.268 | % | (44,480 | ) | (36,167 | ) | (8,313 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 3.268 | % | (15,098 | ) | (12,581 | ) | (2,517 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 3.268 | % | (15,098 | ) | (12,353 | ) | (2,745 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 180 | 3.268 | % | (14,691 | ) | (9,998 | ) | (4,693 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 90 | 3.268 | % | (7,346 | ) | (4,973 | ) | (2,373 | ) | Citibank, N.A. | ||||||||||||||||||
Republic of Brazil | 09/20/19 | 1.000%(Q) | 2,815 | 0.419 | % | 4,648 | 6,582 | (1,934 | ) | HSBC Bank USA, N.A. | ||||||||||||||||||||
Republic of Italy | 09/20/20 | 1.000%(Q) | 5,650 | 0.877 | % | 10,189 | 26,214 | (16,025 | ) | JPMorgan Chase Bank, N.A. | ||||||||||||||||||||
Republic of Korea | 09/20/19 | 1.000%(Q) | 2,160 | 0.094 | % | 5,196 | 4,360 | 836 | Citibank, N.A. | |||||||||||||||||||||
State of Illinois | 06/20/24 | 1.000%(Q) | 580 | 1.420 | % | (10,872 | ) | (7,441 | ) | (3,431 | ) | Citibank, N.A. | ||||||||||||||||||
|
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|
|
|
| |||||||||||||||||||||||||
$ | (282,384 | ) | $ | (448,881 | ) | $ | 166,497 | |||||||||||||||||||||||
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|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A58
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Credit default swap agreements outstanding at June 30, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.32.V1 | 06/20/29 | 1.000%(Q) | 7,525 | $ | 105,515 | $ | 17,970 | $ | (87,545 | ) | ||||||||||||||
|
|
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|
|
|
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 Agreement on credit indices - Buy Protection(1): | ||||||||||||||||||||||||||
CMBX.NA.10.AAA | 11/17/59 | 0.500%(M) | 6,000 | $ | (48,125 | ) | $ | 68,926 | $ | (117,051 | ) | Deutsche Bank AG | ||||||||||||||
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|
|
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized | Counterparty | ||||||||||||||||||
OTC Credit Default Swap Agreement on credit indices - Sell Protection(2): |
| |||||||||||||||||||||||||
CMBX.NA.6.AA | 05/11/63 | 1.500%(M) | 650 | * | $ | 14,168 | $ | (2,368 | ) | $16,536 | Deutsche Bank AG | |||||||||||||||
|
|
|
|
|
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 includeup-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 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. |
Forward rate agreement outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date(4) | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Forward Rate Agreement^: | ||||||||||||||||||||||||||
68,692 | 07/12/19 | —(3) | —(3) | $ | (130,487 | ) | $ | — | $ | (130,487 | ) | Citigroup Global Markets, Inc. | ||||||||||||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A59
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays or receives payments based on CMM102 minus 7 year CMS minus 1.3375% upon termination. |
(4) | The Portfolio may choose to terminate these agreements at any time prior to the stated termination date. |
Interest rate swap agreements outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||||||
CNH | 16,230 | 06/14/24 | 2.900%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | $ | 58 | $ | (266 | ) | $ | (324) | |||||||||||||||||
CNH | 46,000 | 06/28/24 | 2.901%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | — | (2,339 | ) | (2,339 | ) | |||||||||||||||||||
EUR | 7,065 | 05/11/21 | (0.300)%(A) | 1 Day EONIA(1)(A) | (6,014 | ) | (33,961 | ) | (27,947 | ) | ||||||||||||||||||
EUR | 8,125 | 05/11/22 | (0.250)%(A) | 1 Day EONIA(1)(A) | (5,161 | ) | (70,531 | ) | (65,370 | ) | ||||||||||||||||||
EUR | 4,650 | 05/11/23 | (0.100)%(A) | 1 Day EONIA(1)(A) | (26,137 | ) | (78,146 | ) | (52,009 | ) | ||||||||||||||||||
EUR | 3,980 | 05/11/24 | 0.050%(A) | 1 Day EONIA(1)(A) | (61,623 | ) | (104,654 | ) | (43,031 | ) | ||||||||||||||||||
EUR | 2,110 | 05/11/25 | 0.100%(A) | 1 Day EONIA(1)(A) | (12,404 | ) | (63,476 | ) | (51,072 | ) | ||||||||||||||||||
EUR | 3,815 | 05/11/26 | 0.250%(A) | 1 Day EONIA(1)(A) | (62,921 | ) | (156,822 | ) | (93,901 | ) | ||||||||||||||||||
EUR | 1,880 | 05/11/29 | 0.600%(A) | 1 Day EONIA(1)(A) | (122,780 | ) | (134,126 | ) | (11,346 | ) | ||||||||||||||||||
EUR | 2,420 | 05/11/33 | 0.750%(A) | 1 Day EONIA(1)(A) | (45,098 | ) | (190,789 | ) | (145,691 | ) | ||||||||||||||||||
EUR | 1,240 | 05/11/36 | 0.950%(A) | 1 Day EONIA(1)(A) | (23,480 | ) | (133,271 | ) | (109,791 | ) | ||||||||||||||||||
EUR | 230 | 05/11/37 | 0.950%(A) | 1 Day EONIA(1)(A) | (6,564 | ) | (24,439 | ) | (17,875 | ) | ||||||||||||||||||
EUR | 6,100 | 10/25/37 | 2.085%(A) | 3 Month EURIBOR(2)(Q) | — | 649,008 | 649,008 | |||||||||||||||||||||
EUR | 6,100 | 10/25/37 | 2.114%(A) | 6 Month EURIBOR(1)(S) | — | (668,363 | ) | (668,363 | ) | |||||||||||||||||||
EUR | 2,495 | 05/11/39 | 1.100%(A) | 1 Day EONIA(1)(A) | (257,601 | ) | (343,730 | ) | (86,129 | ) | ||||||||||||||||||
EUR | 195 | 05/11/42 | 1.100%(A) | 1 Day EONIA(1)(A) | (4,923 | ) | (28,016 | ) | (23,093 | ) | ||||||||||||||||||
EUR | 3,920 | 03/19/48 | 1.650%(A) | 3 Month EURIBOR(2)(Q) | — | 281,124 | 281,124 | |||||||||||||||||||||
EUR | 3,920 | 03/19/48 | 1.658%(A) | 6 Month EURIBOR(1)(S) | — | (279,010 | ) | (279,010 | ) | |||||||||||||||||||
GBP | 230 | 05/08/34 | 1.200%(A) | 1 Day SONIA(1)(A) | (9,088 | ) | (11,734 | ) | (2,646 | ) | ||||||||||||||||||
JPY | 4,844,850 | 12/17/20 | 0.015%(S) | 6 Month JPY LIBOR(1)(S) | — | (60,610 | ) | (60,610 | ) | |||||||||||||||||||
JPY | 2,058,960 | 01/29/21 | (0.014)%(S) | 6 Month JPY LIBOR(1)(S) | — | (22,860 | ) | (22,860 | ) | |||||||||||||||||||
43,825 | 03/12/20 | 2.405%(A) | 1 Day USOIS(2)(A) | — | 158,758 | 158,758 | ||||||||||||||||||||||
65,680 | 04/25/20 | 2.328%(A) | 1 Day USOIS(2)(A) | (1,064 | ) | 262,356 | 263,420 | |||||||||||||||||||||
43,210 | 01/10/21 | 2.408%(A) | 1 Day USOIS(1)(A) | (1,332 | ) | (507,049 | ) | (505,717 | ) | |||||||||||||||||||
24,116 | 03/31/21 | 2.173%(A) | 1 Day USOIS(2)(A) | (8,487 | ) | 240,627 | 249,114 | |||||||||||||||||||||
1,895 | 09/27/21 | 2.330%(A) | 1 Day USOIS(1)(A) | (527 | ) | (32,352 | ) | (31,825 | ) | |||||||||||||||||||
5,260 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (123,285 | ) | (123,285 | ) | ||||||||||||||||||||
4,490 | 09/27/22 | 2.360%(A) | 1 Day USOIS(1)(A) | 53 | (121,947 | ) | (122,000 | ) | ||||||||||||||||||||
6,920 | 02/15/24 | 2.115%(S) | 3 Month LIBOR(1)(Q) | 16,360 | (145,866 | ) | (162,226 | ) | ||||||||||||||||||||
16,137 | 02/15/24 | 2.151%(S) | 3 Month LIBOR(1)(Q) | (17,628 | ) | (368,113 | ) | (350,485 | ) | |||||||||||||||||||
19,590 | 02/15/24 | 2.183%(S) | 3 Month LIBOR(1)(Q) | (27,672 | ) | (477,678 | ) | (450,006 | ) | |||||||||||||||||||
3,650 | 05/15/24 | 1.808%(A) | 1 Day USOIS(1)(A) | — | (48,038 | ) | (48,038 | ) | ||||||||||||||||||||
11,070 | 08/15/24 | 2.168%(S) | 3 Month LIBOR(1)(Q) | — | (276,433 | ) | (276,433 | ) | ||||||||||||||||||||
88,455 | 08/15/24 | 2.170%(S) | 3 Month LIBOR(1)(Q) | 297,704 | (2,216,658 | ) | (2,514,362 | ) | ||||||||||||||||||||
29,940 | 08/15/24 | 2.176%(S) | 3 Month LIBOR(1)(Q) | 102,544 | (759,127 | ) | (861,671 | ) | ||||||||||||||||||||
34,400 | 11/15/24 | 2.334%(S) | 3 Month LIBOR(1)(Q) | 120,853 | (988,755 | ) | (1,109,608 | ) | ||||||||||||||||||||
6,025 | 02/28/25 | 2.454%(A) | 1 Day USOIS(1)(A) | 5,665 | (303,725 | ) | (309,390 | ) | ||||||||||||||||||||
2,040 | 02/28/25 | 3.019%(S) | 3 Month LIBOR(1)(Q) | — | (152,742 | ) | (152,742 | ) | ||||||||||||||||||||
41,999 | 05/31/25 | 2.998%(S) | 3 Month LIBOR(1)(Q) | (29,049 | ) | (2,880,750 | ) | (2,851,701 | ) | |||||||||||||||||||
2,620 | 07/31/25 | 2.802%(A) | 1 Day USOIS(1)(A) | — | (197,378 | ) | (197,378 | ) | ||||||||||||||||||||
8,910 | 07/31/25 | 3.105%(S) | 3 Month LIBOR(1)(Q) | 7,030 | (752,824 | ) | (759,854 | ) | ||||||||||||||||||||
26,843 | 07/31/25 | 3.109%(S) | 3 Month LIBOR(1)(Q) | 939 | (2,275,386 | ) | (2,276,325 | ) | ||||||||||||||||||||
4,420 | 01/31/26 | 2.236%(S) | 3 Month LIBOR(1)(Q) | — | (117,502 | ) | (117,502 | ) | ||||||||||||||||||||
26,791 | 01/31/26 | 2.269%(A) | 1 Day USOIS(1)(A) | (78,239 | ) | (1,189,227 | ) | (1,110,988 | ) | |||||||||||||||||||
4,036 | 01/31/26 | 2.406%(S) | 3 Month LIBOR(1)(Q) | — | (150,182 | ) | (150,182 | ) | ||||||||||||||||||||
6,705 | 03/12/26 | 2.290%(A) | 1 Day USOIS(1)(A) | 138 | (306,395 | ) | (306,533 | ) | ||||||||||||||||||||
18,032 | 04/30/26 | 1.876%(S) | 3 Month LIBOR(1)(Q) | (73,020 | ) | (89,953 | ) | (16,933 | ) | |||||||||||||||||||
15,934 | 02/15/27 | 1.824%(A) | 1 Day USOIS(1)(A) | 211,226 | (214,290 | ) | (425,516 | ) | ||||||||||||||||||||
6,555 | 02/15/27 | 1.899%(A) | 1 Day USOIS(1)(A) | 7,830 | (125,724 | ) | (133,554 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2019 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements (continued): | ||||||||||||||||||||||||||||
2,515 | 02/15/27 | 1.965%(A) | 1 Day USOIS(1)(A) | $ | — | $ | (60,870 | ) | $ | (60,870 | ) | |||||||||||||||||
7,480 | 02/15/27 | 2.067%(A) | 1 Day USOIS(1)(A) | (5,086 | ) | (239,554 | ) | (234,468 | ) | |||||||||||||||||||
5,020 | 05/08/27 | 2.309%(S) | 3 Month LIBOR(1)(Q) | — | (161,935 | ) | (161,935 | ) | ||||||||||||||||||||
3,295 | 05/15/27 | 1.823%(A) | 1 Day USOIS(1)(A) | — | (48,152 | ) | (48,152 | ) | ||||||||||||||||||||
2,095 | 05/15/27 | 2.295%(S) | 3 Month LIBOR(1)(Q) | — | (65,630 | ) | (65,630 | ) | ||||||||||||||||||||
16,008 | 08/15/28 | 2.579%(A) | 1 Day USOIS(1)(A) | (241,841 | ) | (1,253,545 | ) | (1,011,704 | ) | |||||||||||||||||||
9,330 | 08/15/28 | 2.835%(S) | 3 Month LIBOR(1)(Q) | (40,174 | ) | (761,526 | ) | (721,352 | ) | |||||||||||||||||||
2,905 | 02/15/42 | 1.369%(A) | 1 Day USOIS(1)(A) | 203 | 314,010 | 313,807 | ||||||||||||||||||||||
580 | 11/15/43 | 2.659%(S) | 3 Month LIBOR(1)(Q) | — | (52,264 | ) | (52,264 | ) | ||||||||||||||||||||
1,835 | 09/27/46 | 1.380%(A) | 1 Day USOIS(1)(A) | 183 | 236,224 | 236,041 | ||||||||||||||||||||||
1,100 | 04/09/48 | 2.545%(S) | 3 Month LIBOR(1)(Q) | — | (81,736 | ) | (81,736 | ) | ||||||||||||||||||||
1,020 | 05/08/48 | 2.627%(S) | 3 Month LIBOR(1)(Q) | — | (94,535 | ) | (94,535 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (397,127 | ) | $ | (17,906,162 | ) | $ | (17,509,035 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Interest Rate Swap Agreement: | ||||||||||||||||||||||||||
525 | 03/05/49 | 2.403%(Q) | 1 Week MUNIPSA(1)(Q) | $ | (75,466 | ) | $ | — | $ | (75,466 | ) | JPMorgan Chase Bank, N.A. | ||||||||||||||
|
|
|
|
|
|
(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 June 30, 2019:
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: |
| |||||||||||||||||||||||||
IOS.FN30.450.10(M) | 1 Month LIBOR(M) | Credit Suisse International | 1/12/41 | 2,579 | $ | (12,322 | ) | $ | (7,877 | ) | $ | (4,445 | ) | |||||||||||||
|
|
|
|
|
|
(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 Forward Rate and Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Forward Rate Agreements | $ | — | $ | — | $ | — | $ | (130,487 | ) | |||||||
OTC Swap Agreements | $ | 163,700 | $ | (581,976 | ) | $ | 239,546 | $ | (302,976 | ) |
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. | $ | — | $ | 20,761,313 | ||||
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|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A61
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 8,595,019 | $ | — | ||||||
Collateralized Loan Obligations. | — | 210,141,591 | — | |||||||||
Consumer Loans | — | 20,152,368 | — | |||||||||
Credit Cards | — | 2,998,104 | — | |||||||||
Home Equity Loans. | — | 11,910,225 | — | |||||||||
Other | — | 261,770 | — | |||||||||
Residential Mortgage-Backed Securities | — | 29,198,255 | — | |||||||||
Student Loans | — | 21,385,650 | — | |||||||||
Bank Loans | — | 7,466,221 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 166,073,095 | — | |||||||||
Corporate Bonds | — | 437,386,471 | — | |||||||||
Municipal Bonds | — | 22,108,387 | — | |||||||||
Residential Mortgage-Backed Securities | — | 64,633,211 | — | |||||||||
Sovereign Bonds | — | 86,330,708 | — | |||||||||
U.S. Government Agency Obligations | — | 11,733,756 | — | |||||||||
U.S. Treasury Obligations | — | 19,566,763 | — | |||||||||
Preferred Stocks | 2,167,300 | — | — | |||||||||
Affiliated Mutual Funds | 51,565,706 | — | — | |||||||||
Options Purchased | 113,914 | 686,911 | — | |||||||||
Options Written | (55,325 | ) | (87,488 | ) | — | |||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 14,874,725 | — | — | |||||||||
OTC Forward Foreign Currency Exchange Contracts | — | (738,375 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | (87,545 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (395,308 | ) | 1,390 | ||||||||
OTC Forward Rate Agreement | — | — | (130,487 | ) | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (17,509,035 | ) | — | ||||||||
OTC Interest Rate Swap Agreement | — | (75,466 | ) | — | ||||||||
OTC Total Return Swap Agreement | — | (12,322 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 68,666,320 | $ | 1,101,722,966 | $ | (129,097 | ) | |||||
|
|
|
|
|
|
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
| Asset-Backed Securities Residential Mortgage-Backed Securities | Bank Loans | Residential Mortgage-Backed Securities | Credit Default Swap Agreements | Forward Rate Agreements | |||||||||||||||
Balance as of 12/31/18 | $ | 7,996,987 | $ | 1,004,500 | $ | 5,400,000 | $ | 8,505 | (130,337 | ) | ||||||||||
Realized gain (loss) | 17,100 | — | — | 9,072 | 15,592 | |||||||||||||||
Change in unrealized appreciation (depreciation) | (60,181 | ) | — | — | 1,390 | (150 | ) | |||||||||||||
Purchases/Exchanges/Issuances | — | — | — | — | — | |||||||||||||||
Sales/Paydowns | (6,253,906 | ) | — | — | (17,577 | ) | (15,592 | ) | ||||||||||||
Accrued discount/premium | — | — | — | — | — | |||||||||||||||
Transfers into of Level 3 | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 | (1,700,000 | ) | (1,004,500 | ) | (5,400,000 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of 06/30/19 | $ | — | $ | — | $ | — | $ | 1,390 | $ | (130,487 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end | $ | — | $ | — | $ | — | $ | 1,390 | $ | (130,487 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A62
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
* | 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. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of June 30, 2019 | Valuation Methodology | Unobservable Inputs | |||||||||
Credit Default Swap Agreements | $ | 1,390 | Market Approach | Single Broker Indicative Quote | ||||||||
Forward Rate Agreements | (130,487 | ) | Market Approach | Forward Rate Volatility & Convexity Adjustment | ||||||||
|
| |||||||||||
$ | (129,097 | ) | ||||||||||
|
|
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 as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Asset-Backed Securities-Residential Mortgage-Backed Securities | $ | 1,700,000 | L3 to L2 | Single Broker Indicative Quote to Evaluated Bid | ||||||
Bank Loans | $ | 1,004,500 | | L3 to L2 | | Single Broker Indicative Quote to Multiple Broker Quotes | ||||
Residential Mortgage-Backed Securities | $ | 5,400,000 | | L3 to L2 | | Single Broker Indicative Quote to Evaluated Bid |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Collateralized Loan Obligations | 18.0 | % | ||
Commercial Mortgage-Backed Securities | 14.2 | |||
Banks | 11.7 | |||
Residential Mortgage-Backed Securities | 8.0 | |||
Sovereign Bonds | 7.4 | |||
Affiliated Mutual Funds (1.0% represents investments purchased with collateral from securities on loan) | 4.4 | |||
Oil & Gas | 2.4 | |||
Electric | 2.3 | |||
Media | 2.2 | |||
Pharmaceuticals | 2.0 | |||
Municipal Bonds | 1.9 | |||
Student Loans | 1.8 | |||
Consumer Loans | 1.7 | |||
U.S. Treasury Obligations | 1.7 | |||
Chemicals | 1.5 | |||
Telecommunications | 1.5 | |||
Pipelines | 1.1 | |||
Insurance | 1.0 | |||
Home Equity Loans | 1.0 | |||
Healthcare-Services | 1.0 | |||
U.S. Government Agency Obligations | 1.0 | |||
Diversified Financial Services | 1.0 | |||
Automobiles | 0.8 | |||
Auto Manufacturers | 0.7 | |||
Aerospace & Defense | 0.7 | |||
Healthcare-Products | 0.7 | |||
Retail | 0.6 | |||
Commercial Services | 0.6 | |||
Software | 0.6 | |||
Semiconductors | 0.5 |
Airlines | 0.5 | % | ||
Auto Parts & Equipment | 0.5 | |||
Home Builders | 0.5 | |||
Foods | 0.5 | |||
Multi-National | 0.4 | |||
Machinery-Diversified | 0.4 | |||
Building Materials | 0.3 | |||
Lodging | 0.3 | |||
Gas | 0.3 | |||
Credit Cards | 0.3 | |||
Agriculture | 0.2 | |||
Engineering & Construction | 0.2 | |||
Biotechnology | 0.2 | |||
Miscellaneous Manufacturing | 0.2 | |||
Apparel | 0.2 | |||
Computers | 0.2 | |||
Electronics | 0.2 | |||
Mining | 0.1 | |||
Savings & Loans | 0.1 | |||
Entertainment | 0.1 | |||
Internet | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Packaging & Containers | 0.1 | |||
Office/Business Equipment | 0.1 | |||
Beverages | 0.1 | |||
Capital Markets | 0.1 | |||
Options Purchased | 0.1 | |||
Housewares | 0.1 | |||
Oil & Gas Services | 0.0 | * | ||
Home Furnishings | 0.0 | * | ||
Real Estate Investment Trusts (REITs) | 0.0 | * |
SEE NOTES TO FINANCIAL STATEMENTS.
A63
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t) | ||||
Textiles | 0.0 | %* | ||
Other | 0.0 | * | ||
Transportation | 0.0 | * | ||
|
| |||
100.5 | ||||
Options Written | (0.0 | )* | ||
Liabilities in excess of other assets | (0.5 | ) | ||
|
| |||
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 value of derivative instruments as of June 30, 2019 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of | Fair Value | Statement of | Fair Value | |||||||||
Credit contracts | — | $ | — | Due from/to broker-variation margin swaps | $ | 87,545 | * | |||||
Credit contracts | Premiums paid for OTC swap agreements | 163,700 | Premiums received for OTC swap agreements | 574,099 | ||||||||
Credit contracts | — | — | Options written outstanding, at value | 87,488 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 239,546 | Unrealized depreciation on OTC swap agreements | 223,065 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 126,034 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 864,409 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 16,248,616 | * | Due from/to broker-variation margin futures | 1,373,891 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 2,151,272 | * | Due from/to broker-variation margin swaps | 19,660,307 | * | ||||||
Interest rate contracts | — | — | Premiums received for OTC swap agreements | 7,877 | ||||||||
Interest rate contracts | Unaffiliated investments | 800,825 | Options written outstanding, at value | 55,325 | ||||||||
Interest rate contracts | — | — | Unrealized depreciation on OTC forward rate agreements | 130,487 | ||||||||
Interest rate contracts | — | — | Unrealized depreciation on OTC swap agreements | 79,911 | ||||||||
|
|
|
| |||||||||
$ | 19,729,993 | $ | 23,144,404 | |||||||||
|
|
|
|
* | 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.
A64
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 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 Currency Contracts | Forward Rate Agreements | Swaps | ||||||||||||||||||
Credit contracts | $ | (23,349 | ) | $ | 301,826 | $ | — | $ | — | $ | — | $ | 349,408 | |||||||||||
Foreign exchange contracts | — | — | — | 1,422,989 | — | — | ||||||||||||||||||
Interest rate contracts | 42,337 | 61,239 | 37,296,765 | — | 173 | 3,261,479 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 18,988 | $ | 363,065 | $ | 37,296,765 | $ | 1,422,989 | $ | 173 | $ | 3,610,887 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(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) | Options Written | Futures | Forward Currency Exchange Contracts | Forward Rate Agreements | Swaps | ||||||||||||||||||
Credit contracts | $ | 19,301 | $ | 248,303 | $ | — | $ | — | $ | — | $ | (127,463 | ) | |||||||||||
Foreign exchange contracts. | — | — | — | (224,099 | ) | — | — | |||||||||||||||||
Interest rate contracts | (23,986 | ) | 144,163 | (4,351,156 | ) | — | (150 | ) | (22,398,397 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (4,685 | ) | $ | 392,466 | $ | (4,351,156 | ) | $ | (224,099 | ) | $ | (150 | ) | $ | (22,525,860 | ) | |||||||
|
|
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|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For | the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows: |
Options | Options | Futures | Futures | Forward Foreign | ||||
$160,610 | $109,055,775 | $939,400,865 | $305,436,264 | $21,899,009 |
Forward Foreign | Cross | Forward Rate | Interest Rate | Credit Default | ||||
$83,536,721 | $108,571 | $168,897,333 | $866,392,318 | $37,231,000 |
Credit Default | Total Return | Inflation Swap | ||||||
$49,010,667 | $2,671,667 | $2,840,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
(4) | Value at Trade Date. |
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 toset-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 | $ | 11,830,851 | $ | (11,830,851 | ) | $ | — | |||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A65
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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. | $ | 765,849 | $ | (475,848 | ) | $ | 290,001 | $ | (290,001 | ) | $ | — | ||||||||
Barclays Bank PLC | 205,035 | (114,597 | ) | 90,438 | — | 90,438 | ||||||||||||||
BNP Paribas S.A. | — | (10,880 | ) | (10,880 | ) | — | (10,880 | ) | ||||||||||||
Citibank, N.A. | 66,318 | (953,399 | ) | (887,081 | ) | 887,081 | — | |||||||||||||
Citigroup Global Markets, Inc. | — | (130,487 | ) | (130,487 | ) | 130,487 | — | |||||||||||||
Credit Suisse International | — | (12,322 | ) | (12,322 | ) | — | (12,322 | ) | ||||||||||||
Deutsche Bank AG | 85,462 | (123,105 | ) | (37,643 | ) | — | (37,643 | ) | ||||||||||||
Goldman Sachs International | — | (13,267 | ) | (13,267 | ) | — | (13,267 | ) | ||||||||||||
HSBC Bank USA, N.A. | 6,582 | (1,934 | ) | 4,648 | — | 4,648 | ||||||||||||||
JPMorgan Chase Bank, N.A. | 53,201 | (118,406 | ) | (65,205 | ) | — | (65,205 | ) | ||||||||||||
Morgan Stanley & Co. International PLC | 33,744 | (13,091 | ) | 20,653 | — | 20,653 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,216,191 | $ | (1,967,336 | ) | $ | (751,145 | ) | $ | 727,567 | $ | (23,578 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(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.
A66
DIVERSIFIED BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $11,830,851: | ||||
Unaffiliated investments (cost $1,085,380,954) | $ | 1,122,909,719 | ||
Affiliated investments (cost $52,029,744) | 51,565,706 | |||
Cash | 1,517,421 | |||
Foreign currency, at value (cost $136,261) | 136,186 | |||
Dividends and interest receivable | 9,486,810 | |||
Receivable for investments sold | 1,051,502 | |||
Receivable for Portfolio shares sold | 264,169 | |||
Unrealized appreciation on OTC swap agreements | 239,546 | |||
Due from broker-variation margin swaps | 189,849 | |||
Premiums paid for OTC swap agreements | 163,700 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 126,034 | |||
Tax reclaim receivable | 38,586 | |||
Prepaid expenses | 1,260 | |||
|
| |||
Total Assets | 1,187,690,488 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 12,031,616 | |||
Payable for investments purchased | 4,580,592 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 864,409 | |||
Premiums received for OTC swap agreements | 581,976 | |||
Management fee payable. | 384,726 | |||
Unrealized depreciation on OTC swap agreements | 302,976 | |||
Payable for Portfolio shares repurchased | 213,306 | |||
Accrued expenses and other liabilities | 175,277 | |||
Options written outstanding, at value (proceeds received $373,652) | 142,813 | |||
Unrealized depreciation on OTC forward rate agreements | 130,487 | |||
Due to broker-variation margin futures | 15,075 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 19,424,233 | |||
|
| |||
NET ASSETS | $ | 1,168,266,255 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 1,168,266,255 | ||
|
| |||
Net asset value and redemption price per share, $1,168,266,255 / 82,684,756 outstanding shares of beneficial interest | $ | 14.13 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income (net of $1,801 foreign withholding tax) | $ | 22,059,473 | ||
Affiliated dividend income. | 828,051 | |||
Unaffiliated dividend income | 74,672 | |||
Income from securities lending, net (including affiliated income of $13,466) | 13,770 | |||
|
| |||
Total income | 22,975,966 | |||
|
| |||
EXPENSES | ||||
Management fee | 2,272,857 | |||
Custodian and accounting fees | 96,006 | |||
Shareholders’ reports | 67,064 | |||
Audit fee | 26,610 | |||
Trustees’ fees | 10,876 | |||
Legal fees and expenses | 7,278 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 15,809 | |||
|
| |||
Total expenses | 2,501,797 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 20,474,169 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,423) | 2,823,162 | |||
Futures transactions | 37,296,765 | |||
Forward rate agreement transactions | 173 | |||
Forward currency contract transactions | 1,422,989 | |||
Options written transactions. | 363,065 | |||
Swap agreements transactions | 3,610,887 | |||
Foreign currency transactions | 172,597 | |||
|
| |||
45,689,638 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $81,310) | 45,842,636 | |||
Futures | (4,351,156 | ) | ||
Forward rate agreements | (150 | ) | ||
Forward currency contracts | (224,099 | ) | ||
Options written | 392,466 | |||
Swap agreements | (22,525,860 | ) | ||
Foreign currencies. | (167,584 | ) | ||
|
| |||
18,966,253 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 64,655,891 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 85,130,060 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 20,474,169 | $ | 38,991,560 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 45,689,638 | (15,612,916 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 18,966,253 | (26,218,514 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 85,130,060 | (2,839,870 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [1,384,881 and 6,799,295 shares, respectively] | 18,786,575 | 88,168,310 | ||||||
Portfolio shares repurchased [4,286,237 and 8,370,109 shares, respectively] | (58,575,775 | ) | (108,237,839 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (39,789,200 | ) | (20,069,529 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 736,677 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 45,340,860 | (22,172,722 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,122,925,395 | 1,145,098,117 | ||||||
|
|
|
| |||||
End of period | $ | 1,168,266,255 | $ | 1,122,925,395 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A67
EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 96.2% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 5.6% | ||||||||
Airbus SE (France) | 325,058 | $ | 46,123,993 | |||||
Boeing Co. (The) | 299,873 | 109,156,771 | ||||||
Safran SA (France) | 393,957 | 57,774,459 | ||||||
United Technologies Corp. | 289,395 | 37,679,229 | ||||||
|
| |||||||
250,734,452 | ||||||||
|
| |||||||
Banks — 7.4% | ||||||||
Bank of America Corp. | 2,680,476 | 77,733,804 | ||||||
BB&T Corp.(a) | 959,493 | 47,139,891 | ||||||
Citigroup, Inc. | 862,789 | 60,421,113 | ||||||
JPMorgan Chase & Co. | 835,171 | 93,372,118 | ||||||
PNC Financial Services Group, Inc. (The) | 391,017 | 53,678,814 | ||||||
|
| |||||||
332,345,740 | ||||||||
|
| |||||||
Beverages — 0.3% | ||||||||
Constellation Brands, Inc. | 75,416 | 14,852,427 | ||||||
|
| |||||||
Biotechnology — 0.8% | ||||||||
Alexion Pharmaceuticals, Inc.* | 267,509 | 35,038,329 | ||||||
|
| |||||||
Building Products — 0.9% | ||||||||
Johnson Controls International PLC(a) | 966,810 | 39,938,921 | ||||||
|
| |||||||
Capital Markets — 0.7% | ||||||||
Goldman Sachs Group, Inc. (The) | 155,513 | 31,817,960 | ||||||
|
| |||||||
Chemicals — 1.7% | ||||||||
FMC Corp. | 332,436 | 27,575,566 | ||||||
Linde PLC (United Kingdom) | 251,825 | 50,566,460 | ||||||
|
| |||||||
78,142,026 | ||||||||
|
| |||||||
Communications Equipment — 1.6% | ||||||||
Cisco Systems, Inc. | 1,273,611 | 69,704,730 | ||||||
|
| |||||||
Consumer Finance — 1.4% | ||||||||
Capital One Financial Corp. | 410,023 | 37,205,487 | ||||||
SLM Corp. | 2,417,395 | 23,497,079 | ||||||
|
| |||||||
60,702,566 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
Verizon Communications, Inc. | 805,199 | 46,001,019 | ||||||
|
| |||||||
Electric Utilities — 3.1% | ||||||||
American Electric Power Co., Inc. | 954,123 | 83,972,365 | ||||||
Exelon Corp. | 1,150,405 | 55,150,416 | ||||||
|
| |||||||
139,122,781 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% | ||||||||
Emerson Electric Co. | 484,436 | 32,321,570 | ||||||
|
| |||||||
Energy Equipment & Services — 0.4% | ||||||||
Schlumberger Ltd. | 442,893 | 17,600,568 | ||||||
|
| |||||||
Entertainment — 3.7% | ||||||||
Netflix, Inc.* | 223,908 | 82,245,887 | ||||||
Walt Disney Co. (The) | 587,435 | 82,029,423 | ||||||
|
| |||||||
164,275,310 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
American Tower Corp. | 248,622 | 50,830,768 | ||||||
Crown Castle International Corp. | 119,828 | 15,619,580 | ||||||
|
| |||||||
66,450,348 | ||||||||
|
|
COMMON STOCKS | ||||||||
(continued) | Shares | Value | ||||||
Food & Staples Retailing — 2.7% | ||||||||
Costco Wholesale Corp. | 196,786 | $ | 52,002,669 | |||||
Walmart, Inc. | 612,166 | 67,638,221 | ||||||
|
| |||||||
119,640,890 | ||||||||
|
| |||||||
Food Products — 1.7% | ||||||||
Conagra Brands, Inc.(a) | 870,016 | 23,072,824 | ||||||
Mondelez International, Inc. (Class A Stock) | 980,891 | 52,870,025 | ||||||
|
| |||||||
75,942,849 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.9% |
| |||||||
Edwards Lifesciences Corp.* | 221,731 | 40,962,585 | ||||||
Intuitive Surgical, Inc.*(a) | 80,011 | 41,969,770 | ||||||
Zimmer Biomet Holdings, Inc. | 387,711 | 45,649,093 | ||||||
|
| |||||||
128,581,448 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.9% |
| |||||||
Guardant Health, Inc.* | 47,846 | 4,130,545 | ||||||
Laboratory Corp. of America Holdings* | 222,035 | 38,389,852 | ||||||
|
| |||||||
42,520,397 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% |
| |||||||
Marriott International, Inc. | 204,149 | 28,640,063 | ||||||
McDonald’s Corp. | 192,142 | 39,900,208 | ||||||
|
| |||||||
68,540,271 | ||||||||
|
| |||||||
Insurance — 2.2% | ||||||||
Chubb Ltd. | 352,702 | 51,949,478 | ||||||
MetLife, Inc. | 969,518 | 48,155,959 | ||||||
|
| |||||||
100,105,437 | ||||||||
|
| |||||||
Interactive Media & Services — 6.3% | ||||||||
Alphabet, Inc. (Class A Stock)* | 81,883 | 88,662,912 | ||||||
Alphabet, Inc. (Class C Stock)* | 56,151 | 60,694,178 | ||||||
Facebook, Inc. (Class A Stock)* | 453,248 | 87,476,864 | ||||||
Tencent Holdings Ltd. (China) | 1,014,451 | 45,816,583 | ||||||
|
| |||||||
282,650,537 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.9% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 413,003 | 69,983,358 | ||||||
Amazon.com, Inc.* | 77,888 | 147,491,054 | ||||||
|
| |||||||
217,474,412 | ||||||||
|
| |||||||
IT Services — 8.0% | ||||||||
Adyen NV (Netherlands), 144A* | 73,556 | 56,823,242 | ||||||
Mastercard, Inc. (Class A Stock) | 424,947 | 112,411,230 | ||||||
PayPal Holdings, Inc.* | 417,870 | 47,829,400 | ||||||
Square, Inc. (Class A Stock)*(a) | 454,987 | 33,000,207 | ||||||
Twilio, Inc. (Class A Stock)*(a) | 187,869 | 25,615,938 | ||||||
Visa, Inc. (Class A Stock)(a) | 483,663 | 83,939,714 | ||||||
|
| |||||||
359,619,731 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.8% |
| |||||||
Illumina, Inc.*(a) | 214,234 | 78,870,247 | ||||||
|
| |||||||
Media — 1.8% | ||||||||
Comcast Corp. (Class A Stock) | 1,248,793 | 52,798,968 | ||||||
Liberty Global PLC (United Kingdom) (Class C Stock)* | 1,062,270 | 28,182,023 | ||||||
|
| |||||||
80,980,991 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A68
EQUITY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS | ||||||||
(continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels — 3.2% |
| |||||||
Chevron Corp. | 581,562 | $ | 72,369,575 | |||||
Noble Energy, Inc.(a) | 1,029,037 | 23,050,429 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 768,007 | 49,974,216 | ||||||
|
| |||||||
145,394,220 | ||||||||
|
| |||||||
Pharmaceuticals — 5.1% |
| |||||||
Allergan PLC | 41,157 | 6,890,916 | ||||||
AstraZeneca PLC (United Kingdom), ADR(a) | 2,844,723 | 117,430,165 | ||||||
Eli Lilly & Co. | 368,030 | 40,774,044 | ||||||
Pfizer, Inc. | 1,414,624 | 61,281,512 | ||||||
|
| |||||||
226,376,637 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Union Pacific Corp. | 266,515 | 45,070,352 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.8% |
| |||||||
Broadcom, Inc.(a) | 274,352 | 78,974,967 | ||||||
NVIDIA Corp. | 292,867 | 48,097,547 | ||||||
QUALCOMM, Inc. | 760,298 | 57,835,869 | ||||||
Texas Instruments, Inc. | 278,851 | 32,000,941 | ||||||
|
| |||||||
216,909,324 | ||||||||
|
| |||||||
Software — 11.3% | ||||||||
Adobe, Inc.* | 235,932 | 69,517,364 | ||||||
Microsoft Corp. | 1,285,016 | 172,140,743 | ||||||
PTC, Inc.*(a) | 320,744 | 28,789,981 | ||||||
salesforce.com, Inc.* | 618,510 | 93,846,522 | ||||||
SAP SE (Germany), ADR | 377,932 | 51,701,098 | ||||||
ServiceNow, Inc.* | 147,387 | 40,468,049 | ||||||
Workday, Inc. (Class A Stock)*(a) | 252,892 | 51,989,537 | ||||||
|
| |||||||
508,453,294 | ||||||||
|
| |||||||
Specialty Retail — 0.8% | ||||||||
Lowe’s Cos., Inc. | 334,583 | 33,762,771 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
Apple, Inc. | 101,682 | 20,124,901 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 4.1% |
| |||||||
Kering SA (France) | 70,468 | 41,586,553 | ||||||
Lululemon Athletica, Inc.* | 317,763 | 57,264,070 | ||||||
NIKE, Inc. (Class B Stock) | 807,894 | 67,822,701 | ||||||
Tapestry, Inc. | 519,011 | 16,468,219 | ||||||
|
| |||||||
183,141,543 | ||||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,313,208,999 | ||||||
|
|
SHORT-TERM INVESTMENTS — 14.2% | ||||||||
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
PGIM Core Ultra Short Bond | 142,351,169 | $ | 142,351,169 | |||||
PGIM Institutional Money Market Fund (cost $494,264,619; includes $493,345,582 of cash collateral for securities on loan)(b)(w) | 494,231,375 | 494,379,645 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 636,730,814 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 110.4% |
| 4,949,939,813 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (10.4)% |
| (467,434,560 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 4,482,505,253 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual 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 $491,162,081; cash collateral of $493,345,582 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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.
A69
EQUITY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 146,836,000 | $ | 103,898,452 | $ | — | ||||||
Banks | 332,345,740 | — | — | |||||||||
Beverages | 14,852,427 | — | — | |||||||||
Biotechnology | 35,038,329 | — | — | |||||||||
Building Products | 39,938,921 | — | — | |||||||||
Capital Markets | 31,817,960 | — | — | |||||||||
Chemicals | 78,142,026 | — | — | |||||||||
Communications Equipment | 69,704,730 | — | — | |||||||||
Consumer Finance | 60,702,566 | — | — | |||||||||
Diversified Telecommunication Services | 46,001,019 | — | — | |||||||||
Electric Utilities | 139,122,781 | — | — | |||||||||
Electrical Equipment | 32,321,570 | — | — | |||||||||
Energy Equipment & Services | 17,600,568 | — | — | |||||||||
Entertainment | 164,275,310 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 66,450,348 | — | — | |||||||||
Food & Staples Retailing | 119,640,890 | — | — | |||||||||
Food Products | 75,942,849 | — | — | |||||||||
Health Care Equipment & Supplies | 128,581,448 | — | — | |||||||||
Health Care Providers & Services | 42,520,397 | — | — | |||||||||
Hotels, Restaurants & Leisure | 68,540,271 | — | — | |||||||||
Insurance | 100,105,437 | — | — | |||||||||
Interactive Media & Services | 236,833,954 | 45,816,583 | — | |||||||||
Internet & Direct Marketing Retail | 217,474,412 | — | — | |||||||||
IT Services | 302,796,489 | 56,823,242 | — | |||||||||
Life Sciences Tools & Services | 78,870,247 | — | — | |||||||||
Media | 80,980,991 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 145,394,220 | — | — | |||||||||
Pharmaceuticals | 226,376,637 | — | — | |||||||||
Road & Rail | 45,070,352 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 216,909,324 | — | — | |||||||||
Software | 508,453,294 | — | — | |||||||||
Specialty Retail | 33,762,771 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 20,124,901 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 141,554,990 | 41,586,553 | — | |||||||||
Affiliated Mutual Funds | 636,730,814 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,701,814,983 | $ | 248,124,830 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Affiliated Mutual Funds (11.0% represents investments purchased with collateral from securities on loan) | 14.2 | % | ||
Software | 11.3 | |||
IT Services | 8.0 | |||
Banks | 7.4 | |||
Interactive Media & Services | 6.3 | |||
Aerospace & Defense | 5.6 | |||
Pharmaceuticals | 5.1 | |||
Internet & Direct Marketing Retail | 4.9 | |||
Semiconductors & Semiconductor Equipment | 4.8 | |||
Textiles, Apparel & Luxury Goods | 4.1 | |||
Entertainment | 3.7 | |||
Oil, Gas & Consumable Fuels | 3.2 | |||
Electric Utilities | 3.1 |
Health Care Equipment & Supplies | 2.9 | % | ||
Food & Staples Retailing | 2.7 | |||
Insurance | 2.2 | |||
Media | 1.8 | |||
Life Sciences Tools & Services | 1.8 | |||
Chemicals | 1.7 | |||
Food Products | 1.7 | |||
Communications Equipment | 1.6 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Equity Real Estate Investment Trusts (REITs) | 1.5 | |||
Consumer Finance | 1.4 | |||
Diversified Telecommunication Services | 1.0 | |||
Road & Rail | 1.0 | |||
Health Care Providers & Services | 0.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
EQUITY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t)
Building Products | 0.9 | % | ||
Biotechnology | 0.8 | |||
Specialty Retail | 0.8 | |||
Electrical Equipment | 0.7 | |||
Capital Markets | 0.7 | |||
Technology Hardware, Storage & Peripherals | 0.4 |
Energy Equipment & Services | 0.4 | % | ||
Beverages | 0.3 | |||
|
| |||
110.4 | ||||
Liabilities in excess of other assets | (10.4 | ) | ||
|
| |||
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 toset-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 | $ | 491,162,081 | $ | (491,162,081 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
EQUITY PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $491,162,081: | ||||
Unaffiliated investments (cost $2,742,473,501) | $ | 4,313,208,999 | ||
Affiliated investments (cost $636,615,788) | 636,730,814 | |||
Cash | 5,277 | |||
Foreign currency, at value (cost $151) | 151 | |||
Receivable for investments sold | 34,295,587 | |||
Dividends receivable | 2,754,176 | |||
Tax reclaim receivable | 1,139,026 | |||
Receivable for Portfolio shares sold | 4,075 | |||
Prepaid expenses and other assets | 12,649 | |||
|
| |||
Total Assets | 4,988,150,754 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 493,345,582 | |||
Payable for investments purchased | 8,100,774 | |||
Management fee payable. | 1,625,716 | |||
Accrued expenses and other liabilities | 1,248,091 | |||
Payable to affiliate | 676,225 | |||
Payable for Portfolio shares repurchased | 647,511 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 332 | |||
Administration fee payable. | 290 | |||
|
| |||
Total Liabilities | 505,645,501 | |||
|
| |||
NET ASSETS | $ | 4,482,505,253 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 4,482,505,253 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $4,480,862,566 / 77,193,590 outstanding shares of beneficial interest | $ | 58.05 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $1,642,687 / 28,737 outstanding shares of beneficial interest | $ | 57.16 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $623,556 foreign withholding tax, of which $13,151 is reimbursable by an affiliate) | $ | 35,961,839 | ||
Affiliated dividend income | 1,591,793 | |||
Income from securities lending, net (including affiliated income of $339,943) | 649,911 | |||
|
| |||
Total income | 38,203,543 | |||
|
| |||
EXPENSES | ||||
Management fee | 9,703,837 | |||
Distribution fee—Class II | 1,982 | |||
Administration fee—Class II | 1,189 | |||
Shareholders’ reports | 168,410 | |||
Custodian and accounting fees | 149,871 | |||
Trustees’ fees | 28,305 | |||
Audit fee | 13,321 | |||
Legal fees and expenses | 12,365 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 42,674 | |||
|
| |||
Total expenses | 10,127,251 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 28,076,292 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $3,295) | 138,938,639 | |||
Foreign currency transactions | (90,342 | ) | ||
|
| |||
138,848,297 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $112,886) | 547,493,754 | |||
Foreign currencies | 61,812 | |||
|
| |||
547,555,566 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 686,403,863 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 714,480,155 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 28,076,292 | $ | 43,908,728 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 138,848,297 | 267,278,639 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 547,555,566 | (497,934,768 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 714,480,155 | (186,747,401 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 3,364,953 | 16,251,411 | ||||||
Portfolio shares repurchased | (156,405,371 | ) | (329,183,650 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (153,040,418 | ) | (312,932,239 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 3 | 3,505,159 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 561,439,740 | (496,174,481 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,921,065,513 | 4,417,239,994 | ||||||
|
|
|
| |||||
End of period | $ | 4,482,505,253 | $ | 3,921,065,513 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 95.5% | ||||||||
COMMON STOCKS — 60.3% | Shares | Value | ||||||
Aerospace & Defense — 2.1% |
| |||||||
Airbus SE (France) | 1,932 | $ | 274,141 | |||||
Arconic, Inc. | 647,900 | 16,728,778 | ||||||
General Dynamics Corp. | 99,200 | 18,036,544 | ||||||
Lockheed Martin Corp. | 59,400 | 21,594,276 | ||||||
MTU Aero Engines AG (Germany) | 1,152 | 274,869 | ||||||
Spirit AeroSystems Holdings, Inc. (Class A Stock) | 71,300 | 5,801,681 | ||||||
United Technologies Corp. | 178,700 | 23,266,740 | ||||||
|
| |||||||
85,977,029 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% |
| |||||||
Hub Group, Inc. (Class A Stock)* | 43,000 | 1,805,140 | ||||||
SG Holdings Co. Ltd. (Japan) | 400 | 11,344 | ||||||
|
| |||||||
1,816,484 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
ANA Holdings, Inc. (Japan) | 300 | 9,945 | ||||||
Japan Airlines Co. Ltd. (Japan) | 300 | 9,586 | ||||||
Singapore Airlines Ltd. (Singapore) | 1,400 | 9,599 | ||||||
Southwest Airlines Co. | 56,400 | 2,863,992 | ||||||
|
| |||||||
2,893,122 | ||||||||
|
| |||||||
Auto Components — 0.0% |
| |||||||
Bridgestone Corp. (Japan) | 1,600 | 63,108 | ||||||
Cie Generale des Etablissements Michelin SCA (France) | 2,187 | 277,075 | ||||||
Toyota Industries Corp. (Japan) | 400 | 22,098 | ||||||
|
| |||||||
362,281 | ||||||||
|
| |||||||
Automobiles — 0.7% |
| |||||||
Ferrari NV (Italy) | 347 | 56,266 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom) | 4,355 | 60,641 | ||||||
Ford Motor Co. | 1,648,300 | 16,862,109 | ||||||
General Motors Co.(a) | 315,600 | 12,160,068 | ||||||
Honda Motor Co. Ltd. (Japan) | 4,200 | 108,754 | ||||||
Isuzu Motors Ltd. (Japan) | 1,400 | 15,958 | ||||||
Mazda Motor Corp. (Japan) | 1,500 | 15,668 | ||||||
Peugeot SA (France) | 10,934 | 269,469 | ||||||
Toyota Motor Corp. (Japan) | 2,400 | 149,279 | ||||||
Volkswagen AG (Germany) | 91 | 15,648 | ||||||
|
| |||||||
29,713,860 | ||||||||
|
| |||||||
Banks — 3.2% |
| |||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 1,440 | 28,537 | ||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 55,345 | 309,159 | ||||||
Bank LeumiLe-Israel BM (Israel) | 3,845 | 27,752 | ||||||
Bank of America Corp. | 1,532,750 | 44,449,750 | ||||||
Barclays PLC (United Kingdom) | 144,928 | 276,146 | ||||||
BNP Paribas SA (France) | 2,805 | 133,260 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 61,000 | 239,904 | ||||||
Citigroup, Inc. | 466,550 | 32,672,496 | ||||||
Citizens Financial Group, Inc. | 55,700 | 1,969,552 | ||||||
Commerzbank AG (Germany) | 2,585 | 18,613 | ||||||
Commonwealth Bank of Australia (Australia) | 692 | 40,228 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) |
| |||||||
Credit Agricole SA (France) | 3,038 | $ | 36,409 | |||||
DBS Group Holdings Ltd. (Singapore) | 12,300 | 235,966 | ||||||
DNB ASA (Norway) | 14,147 | 263,440 | ||||||
Erste Group Bank AG (Austria)* | 1,366 | 50,718 | ||||||
Hang Seng Bank Ltd. (Hong Kong) | 1,900 | 47,180 | ||||||
HSBC Holdings PLC (United Kingdom) | 24,735 | 206,465 | ||||||
Intesa Sanpaolo SpA (Italy) | 38,238 | 81,814 | ||||||
Israel Discount Bank Ltd. (Israel) (Class A Stock) | 4,449 | 18,170 | ||||||
JPMorgan Chase & Co. | 160,294 | 17,920,869 | ||||||
KBC Group NV (Belgium) | 631 | 41,418 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 182,654 | 131,510 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 73,200 | 348,279 | ||||||
Raiffeisen Bank International AG (Austria) | 7,379 | 173,311 | ||||||
Resona Holdings, Inc. (Japan) | 5,400 | 22,522 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 22,746 | 210,301 | ||||||
Societe Generale SA (France) | 2,663 | 67,292 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 3,400 | 120,236 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 3,200 | 116,259 | ||||||
United Overseas Bank Ltd. (Singapore) | 3,500 | 67,555 | ||||||
Wells Fargo & Co. | 729,500 | 34,519,940 | ||||||
|
| |||||||
134,845,051 | ||||||||
|
| |||||||
Beverages — 1.5% | ||||||||
Asahi Group Holdings Ltd. (Japan) | 3,400 | 153,132 | ||||||
Carlsberg A/S (Denmark) (Class B Stock) | 345 | 45,696 | ||||||
Coca-Cola Co. (The) | 89,700 | 4,567,524 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 5,200 | 293,800 | ||||||
Diageo PLC (United Kingdom) | 497 | 21,403 | ||||||
Keurig Dr. Pepper, Inc.(a) | 407,600 | 11,779,640 | ||||||
Monster Beverage Corp.* | 230,200 | 14,693,666 | ||||||
National Beverage Corp.(a) | 22,600 | 1,008,638 | ||||||
PepsiCo, Inc. | 243,020 | 31,867,212 | ||||||
Treasury Wine Estates Ltd. (Australia) | 1,817 | 19,073 | ||||||
|
| |||||||
64,449,784 | ||||||||
|
| |||||||
Biotechnology — 1.8% | ||||||||
AbbVie, Inc. | 170,900 | 12,427,848 | ||||||
Alexion Pharmaceuticals, Inc.* | 120,100 | 15,730,698 | ||||||
Amgen, Inc. | 19,108 | 3,521,222 | ||||||
Biogen, Inc.* | 57,800 | 13,517,686 | ||||||
Gilead Sciences, Inc. | 328,350 | 22,183,326 | ||||||
Vertex Pharmaceuticals, Inc.* | 32,000 | 5,868,160 | ||||||
|
| |||||||
73,248,940 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Building Products — 0.5% | ||||||||
Geberit AG (Switzerland) | 95 | $ | 44,347 | |||||
Johnson Controls International PLC | 412,000 | 17,019,720 | ||||||
Kingspan Group PLC (Ireland) | 855 | 46,421 | ||||||
Universal Forest Products, Inc. | 73,600 | 2,801,216 | ||||||
|
| |||||||
19,911,704 | ||||||||
|
| |||||||
Capital Markets — 1.6% | ||||||||
3i Group PLC (United Kingdom) | 20,112 | 284,502 | ||||||
Affiliated Managers Group, Inc. | 71,300 | 6,569,582 | ||||||
Ameriprise Financial, Inc. | 84,950 | 12,331,342 | ||||||
ASX Ltd. (Australia) | 1,197 | 69,233 | ||||||
Goldman Sachs Group, Inc. (The) | 98,900 | 20,234,940 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 4,100 | 145,007 | ||||||
Invesco Ltd. | 119,500 | 2,444,970 | ||||||
LPL Financial Holdings, Inc. | 35,100 | 2,863,107 | ||||||
Macquarie Group Ltd. (Australia) | 837 | 73,668 | ||||||
Morgan Stanley | 436,050 | 19,103,350 | ||||||
Raymond James Financial, Inc. | 25,500 | 2,156,025 | ||||||
Singapore Exchange Ltd. (Singapore) | 2,000 | 11,716 | ||||||
|
| |||||||
66,287,442 | ||||||||
|
| |||||||
Chemicals — 1.1% | ||||||||
Air Liquide SA (France) | 161 | 22,537 | ||||||
Air Products & Chemicals, Inc. | 14,100 | 3,191,817 | ||||||
Arkema SA (France) | 1,747 | 162,654 | ||||||
Covestro AG (Germany), 144A | 500 | 25,442 | ||||||
DuPont de Nemours, Inc. | 238,600 | 17,911,702 | ||||||
Evonik Industries AG (Germany) | 408 | 11,911 | ||||||
Huntsman Corp. | 245,800 | 5,024,152 | ||||||
Israel Chemicals Ltd. (Israel) | 33,296 | 174,548 | ||||||
LANXESS AG (Germany) | 225 | 13,400 | ||||||
LyondellBasell Industries NV (Class A Stock) | 170,400 | 14,676,552 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 3,300 | 23,104 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 900 | 12,034 | ||||||
Mitsui Chemicals, Inc. (Japan) | 500 | 12,415 | ||||||
Orica Ltd. (Australia) | 964 | 13,710 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 3,400 | 317,558 | ||||||
Showa Denko KK (Japan) | 1,300 | 38,474 | ||||||
Solvay SA (Belgium) | 185 | 19,212 | ||||||
Teijin Ltd. (Japan) | 700 | 11,951 | ||||||
Trinseo SA | 98,400 | 4,166,256 | ||||||
|
| |||||||
45,829,429 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% |
| |||||||
Securitas AB (Sweden) (Class B Stock). | 804 | 14,098 | ||||||
UniFirst Corp. | 6,100 | 1,150,277 | ||||||
|
| |||||||
1,164,375 | ||||||||
|
| |||||||
Communications Equipment — 1.0% |
| |||||||
Acacia Communications, Inc.* | 29,500 | 1,391,220 | ||||||
Cisco Systems, Inc. | 768,700 | 42,070,951 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Communications Equipment (continued) |
| |||||||
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) | 7,954 | $ | 75,563 | |||||
|
| |||||||
43,537,734 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 3,847 | 153,625 | ||||||
CIMIC Group Ltd. (Australia) | 249 | 7,827 | ||||||
Eiffage SA (France) | 200 | 19,764 | ||||||
EMCOR Group, Inc. | 75,900 | 6,686,790 | ||||||
Kajima Corp. (Japan) | 1,200 | 16,509 | ||||||
Obayashi Corp. (Japan) | 23,800 | 234,919 | ||||||
Quanta Services, Inc.(a) | 94,400 | 3,605,136 | ||||||
Shimizu Corp. (Japan) | 11,700 | 97,297 | ||||||
Taisei Corp. (Japan) | 600 | 21,839 | ||||||
Vinci SA (France) | 1,290 | 132,142 | ||||||
|
| |||||||
10,975,848 | ||||||||
|
| |||||||
Construction Materials — 0.3% | ||||||||
CRH PLC (Ireland) | 2,109 | 68,976 | ||||||
HeidelbergCement AG (Germany) | 1,513 | 122,603 | ||||||
Taiheiyo Cement Corp. (Japan) | 300 | 9,092 | ||||||
Vulcan Materials Co. | 77,600 | 10,655,256 | ||||||
|
| |||||||
10,855,927 | ||||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
Capital One Financial Corp. | 204,800 | 18,583,552 | ||||||
Navient Corp. | 174,350 | 2,379,877 | ||||||
OneMain Holdings, Inc. | 150,400 | 5,085,024 | ||||||
Synchrony Financial | 52,400 | 1,816,708 | ||||||
|
| |||||||
27,865,161 | ||||||||
|
| |||||||
Containers & Packaging — 0.0% | ||||||||
Greif, Inc. (Class A Stock) | 20,850 | 678,667 | ||||||
|
| |||||||
Distributors — 0.4% | ||||||||
Genuine Parts Co. | 137,100 | 14,200,818 | ||||||
LKQ Corp.* | 51,400 | 1,367,754 | ||||||
|
| |||||||
15,568,572 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
frontdoor, Inc.* | 90,500 | 3,941,275 | ||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 118,550 | 25,271,303 | ||||||
Jefferies Financial Group, Inc. | 112,200 | 2,157,606 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 43,800 | 232,828 | ||||||
ORIX Corp. (Japan) | 13,900 | 207,645 | ||||||
|
| |||||||
27,869,382 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.6% |
| |||||||
AT&T, Inc. | 923,900 | 30,959,889 | ||||||
Deutsche Telekom AG (Germany) | 22,027 | 381,137 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) (Class SS Stock) | 10,000 | 15,872 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 6,800 | 317,032 | ||||||
Swisscom AG (Switzerland) | 66 | 33,153 | ||||||
Telecom Italia SpA (Italy), RSP | 18,981 | 9,850 |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Telecommunication Services (continued) |
| |||||||
Telefonica SA (Spain) | 12,051 | $ | 98,986 | |||||
Telenor ASA (Norway) | 1,900 | 40,322 | ||||||
Telstra Corp. Ltd. (Australia) | 78,985 | 213,397 | ||||||
Verizon Communications, Inc. | 638,688 | 36,488,245 | ||||||
|
| |||||||
68,557,883 | ||||||||
|
| |||||||
Electric Utilities — 0.7% | ||||||||
Chubu Electric Power Co., Inc. (Japan) | 7,300 | 102,496 | ||||||
Enel SpA (Italy) | 58,884 | 411,229 | ||||||
Eversource Energy(a) | 5,400 | 409,104 | ||||||
Exelon Corp. | 409,600 | 19,636,224 | ||||||
Iberdrola SA (Spain) | 15,738 | 156,848 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 12,500 | 143,348 | ||||||
Portland General Electric Co. | 22,700 | 1,229,659 | ||||||
Southern Co. (The) | 158,200 | 8,745,296 | ||||||
|
| |||||||
30,834,204 | ||||||||
|
| |||||||
Electrical Equipment — 0.1% | ||||||||
Atkore International Group, Inc.* | 84,850 | 2,195,069 | ||||||
Hubbell, Inc. | 17,900 | 2,334,160 | ||||||
Legrand SA (France) | 656 | 47,982 | ||||||
Schneider Electric SE (France) | 1,403 | 127,275 | ||||||
Siemens Gamesa Renewable Energy SA (Spain) | 613 | 10,198 | ||||||
|
| |||||||
4,714,684 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Anixter International, Inc.* | 19,700 | 1,176,287 | ||||||
Avnet, Inc. | 27,100 | 1,226,817 | ||||||
CDW Corp. | 78,700 | 8,735,700 | ||||||
Halma PLC (United Kingdom) | 3,438 | 88,341 | ||||||
Hexagon AB (Sweden) (Class B Stock) | 661 | 36,740 | ||||||
Hitachi Ltd. (Japan) | 3,000 | 110,123 | ||||||
Ingenico Group SA (France) | 155 | 13,718 | ||||||
Keysight Technologies, Inc.* | 14,700 | 1,320,207 | ||||||
Kyocera Corp. (Japan) | 800 | 52,405 | ||||||
SYNNEX Corp | 12,100 | 1,190,640 | ||||||
Venture Corp. Ltd. (Singapore) | 700 | 8,433 | ||||||
|
| |||||||
13,959,411 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Archrock, Inc. | 192,250 | 2,037,850 | ||||||
DMC Global, Inc. | 26,100 | 1,653,435 | ||||||
|
| |||||||
3,691,285 | ||||||||
|
| |||||||
Entertainment — 0.7% | ||||||||
Nexon Co. Ltd. (Japan)* | 1,100 | 15,982 | ||||||
Viacom, Inc. (Class B Stock) | 483,950 | 14,455,587 | ||||||
Vivendi SA (France) | 2,689 | 73,978 | ||||||
Walt Disney Co. (The) | 116,700 | 16,295,988 | ||||||
|
| |||||||
30,841,535 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
American Tower Corp. | 112,200 | 22,939,290 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 29,400 | 1,473,528 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Apple Hospitality REIT, Inc. | 196,550 | $ | 3,117,283 | |||||
Brandywine Realty Trust | 97,600 | 1,397,632 | ||||||
CoreCivic, Inc. | 153,150 | 3,179,394 | ||||||
Dexus (Australia) | 2,513 | 22,932 | ||||||
DiamondRock Hospitality Co. | 142,850 | 1,477,069 | ||||||
Franklin Street Properties Corp. | 76,350 | 563,463 | ||||||
GEO Group, Inc. (The) | 246,250 | 5,173,713 | ||||||
Goodman Group (Australia) | 29,865 | 315,372 | ||||||
Host Hotels & Resorts, Inc.(a) | 466,650 | 8,502,363 | ||||||
Land Securities Group PLC (United Kingdom) | 22,353 |
| 236,652 |
| ||||
Mirvac Group (Australia) | 9,114 | 20,026 | ||||||
Nippon Building Fund, Inc. (Japan) | 3 | 20,548 | ||||||
RLJ Lodging Trust | 97,500 | 1,729,650 | ||||||
Ryman Hospitality Properties, Inc. | 56,400 | 4,573,476 | ||||||
Spirit MTA | 10,470 | 87,320 | ||||||
Vicinity Centres (Australia) | 8,335 | 14,349 | ||||||
|
| |||||||
54,844,060 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.5% | ||||||||
Colruyt SA (Belgium) | 151 | 8,749 | ||||||
ICA Gruppen AB (Sweden) | 231 | 9,923 | ||||||
J Sainsbury PLC (United Kingdom) | 91,552 | 227,768 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 10,810 |
| 242,977 |
| ||||
Kroger Co. (The) | 31,000 | 673,010 | ||||||
Seven & i Holdings Co. Ltd. (Japan) | 1,900 | 64,349 | ||||||
Sysco Corp. | 16,800 | 1,188,096 | ||||||
Tesco PLC (United Kingdom) | 25,203 | 72,530 | ||||||
Walgreens Boots Alliance, Inc.(a) | 256,900 | 14,044,723 | ||||||
Walmart, Inc. | 27,300 | 3,016,377 | ||||||
Wm Morrison Supermarkets PLC (United Kingdom) | 40,505 |
| 103,600 |
| ||||
Woolworths Group Ltd. (Australia) | 789 | 18,396 | ||||||
|
| |||||||
19,670,498 | ||||||||
|
| |||||||
Food Products — 1.2% | ||||||||
Archer-Daniels-Midland Co. | 351,250 | 14,331,000 | ||||||
Associated British Foods PLC (United Kingdom) | 919 |
| 28,768 |
| ||||
Bunge Ltd. | 15,100 | 841,221 | ||||||
J.M. Smucker Co. (The)(a) | 77,950 | 8,979,061 | ||||||
Mondelez International, Inc. | 26,600 |
| 1,433,740 |
| ||||
Nestle SA (Switzerland) | 8,991 | 930,665 | ||||||
Pilgrim’s Pride Corp.* | 193,900 | 4,923,121 | ||||||
Tate & Lyle PLC (United Kingdom) | 25,021 | 234,724 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 2,100 | 86,566 | ||||||
Tyson Foods, Inc. (Class A Stock) | 210,500 | 16,995,770 | ||||||
WH Group Ltd. (Hong Kong), 144A | 21,500 | 21,849 | ||||||
Wilmar International Ltd. (Singapore) | 91,500 | 250,169 | ||||||
|
| |||||||
49,056,654 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Gas Utilities — 0.3% | ||||||||
Tokyo Gas Co. Ltd. (Japan) | 1,000 | $ | 23,562 | |||||
UGI Corp. | 214,700 | 11,467,127 | ||||||
|
| |||||||
11,490,689 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
Abbott Laboratories | 278,400 | 23,413,440 | ||||||
Alcon, Inc. (Switzerland)* | 1,094 | 67,740 | ||||||
Baxter International, Inc. | 148,250 | 12,141,675 | ||||||
Becton, Dickinson & Co. | 7,400 | 1,864,874 | ||||||
Cooper Cos., Inc. (The) | 24,700 | 8,321,183 | ||||||
Danaher Corp. | 40,850 | 5,838,282 | ||||||
Hologic, Inc.* | 57,600 | 2,765,952 | ||||||
Hoya Corp. (Japan) | 3,900 | 299,798 | ||||||
Integer Holdings Corp.* | 40,100 | 3,365,192 | ||||||
Masimo Corp.* | 26,600 | 3,958,612 | ||||||
Medtronic PLC. | 283,200 | 27,580,848 | ||||||
Smith & Nephew PLC (United Kingdom) | 5,867 | 127,053 | ||||||
Sonova Holding AG (Switzerland) | 143 | 32,522 | ||||||
Stryker Corp. | 10,800 | 2,220,264 | ||||||
Zimmer Biomet Holdings, Inc. | 97,400 | 11,467,876 | ||||||
|
| |||||||
103,465,311 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
Alfresa Holdings Corp. (Japan) | 7,100 | 175,635 | ||||||
Anthem, Inc. | 11,200 | 3,160,752 | ||||||
Cigna Corp. | 47,400 | 7,467,870 | ||||||
CVS Health Corp. | 43,650 | 2,378,489 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 548 | 43,098 | ||||||
Fresenius SE & Co. KGaA (Germany) | 1,074 | 58,294 | ||||||
HCA Healthcare, Inc. | 121,950 | 16,483,981 | ||||||
Medipal Holdings Corp. (Japan) | 11,300 | 249,766 | ||||||
Ramsay Health Care Ltd. (Australia) | 366 | 18,561 | ||||||
Suzuken Co. Ltd. (Japan) | 200 | 11,752 | ||||||
UnitedHealth Group, Inc. | 119,000 | 29,037,190 | ||||||
|
| |||||||
59,085,388 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
Aristocrat Leisure Ltd. (Australia) | 1,467 | 31,620 | ||||||
Bloomin’ Brands, Inc. | 246,450 | 4,660,370 | ||||||
Compass Group PLC (United Kingdom) | 7,625 | 182,826 | ||||||
Darden Restaurants, Inc.(a) | 75,700 | 9,214,961 | ||||||
Flutter Entertainment PLC (Ireland) | 249 | 18,749 | ||||||
Hilton Grand Vacations, Inc.* | 158,900 | 5,056,198 | ||||||
Hilton Worldwide Holdings, Inc. | 92,800 | 9,070,272 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | 200 | 8,821 | ||||||
Oriental Land Co. Ltd. (Japan) | 500 | 62,016 | ||||||
Royal Caribbean Cruises Ltd. | 21,300 | 2,581,773 | ||||||
Sands China Ltd. (Macau) | 6,400 | 30,628 | ||||||
Sodexo SA (France) | 231 | 26,991 | ||||||
Starbucks Corp. | 284,700 | 23,866,401 | ||||||
TUI AG (Germany) | 1,434 | 14,093 | ||||||
|
| |||||||
54,825,719 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Durables — 0.0% |
| |||||||
Barratt Developments PLC (United Kingdom) | 2,562 | $ | 18,629 | |||||
Berkeley Group Holdings PLC (United Kingdom) | 5,291 | 250,780 | ||||||
Persimmon PLC (United Kingdom) | 764 | 19,392 | ||||||
Sekisui House Ltd. (Japan) | 1,600 | 26,427 | ||||||
Sony Corp. (Japan) | 3,200 | 167,573 | ||||||
|
| |||||||
482,801 | ||||||||
|
| |||||||
Household Products — 0.6% |
| |||||||
Essity AB (Sweden) (Class B Stock) | 1,539 | 47,281 | ||||||
Henkel AG & Co. KGaA (Germany) | 321 | 29,486 | ||||||
Procter & Gamble Co. (The) | 243,705 | 26,722,253 | ||||||
|
| |||||||
26,799,020 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.5% |
| |||||||
AES Corp. | 491,900 | 8,244,244 | ||||||
NRG Energy, Inc. | 293,950 | 10,323,524 | ||||||
Vistra Energy Corp. | 36,400 | 824,096 | ||||||
|
| |||||||
19,391,864 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.7% |
| |||||||
Carlisle Cos., Inc. | 43,200 | 6,065,712 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 13,000 | 127,992 | ||||||
General Electric Co. | 2,318,900 | 24,348,450 | ||||||
|
| |||||||
30,542,154 | ||||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
Aflac, Inc. | 56,900 | 3,118,689 | ||||||
Ageas (Belgium) | 468 | 24,328 | ||||||
AIA Group Ltd. (Hong Kong) | 30,800 | 333,040 | ||||||
Allianz SE (Germany) | 2,059 | 496,583 | ||||||
Allstate Corp. (The) | 119,500 | 12,151,955 | ||||||
American International Group, Inc. | 319,200 | 17,006,976 | ||||||
Aviva PLC (United Kingdom) | 9,953 | 52,680 | ||||||
Baloise Holding AG (Switzerland) | 76 | 13,453 | ||||||
CNP Assurances (France) | 441 | 10,011 | ||||||
Insurance Australia Group Ltd. (Australia) | 5,970 | 34,604 | ||||||
Japan Post Holdings Co. Ltd. (Japan) | 12,300 | 139,328 | ||||||
Legal & General Group PLC (United Kingdom) | 85,675 | 293,543 | ||||||
Loews Corp. | 23,100 | 1,262,877 | ||||||
Medibank Private Ltd. (Australia) | 6,910 | 16,920 | ||||||
MetLife, Inc. | 402,300 | 19,982,241 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 381 | 95,650 | ||||||
NN Group NV (Netherlands) | 5,590 | 224,937 | ||||||
Poste Italiane SpA (Italy), 144A | 1,329 | 13,992 | ||||||
Progressive Corp. (The) | 30,100 | 2,405,893 | ||||||
QBE Insurance Group Ltd. (Australia) | 3,390 | 28,125 | ||||||
Swiss Life Holding AG (Switzerland) | 72 | 35,721 |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Insurance (continued) | ||||||||
Tokio Marine Holdings, Inc. (Japan) | 1,700 | $ | 85,284 | |||||
UnipolSai Assicurazioni SpA | 81,747 | 209,982 | ||||||
Unum Group | 173,100 | 5,807,505 | ||||||
Zurich Insurance Group AG (Switzerland) | 654 | 227,324 | ||||||
|
| |||||||
64,071,641 | ||||||||
|
| |||||||
Interactive Media & Services — 3.0% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 24,650 | 26,691,020 | ||||||
Alphabet, Inc. (Class C Stock)* | 32,332 | 34,947,982 | ||||||
Auto Trader Group PLC (United Kingdom), 144A | 32,447 | 225,842 | ||||||
Facebook, Inc. (Class A Stock)* | 320,250 | 61,808,250 | ||||||
IAC/InterActiveCorp* | 5,300 | 1,152,909 | ||||||
TripAdvisor, Inc.*(a) | 39,000 | 1,805,310 | ||||||
|
| |||||||
126,631,313 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.9% |
| |||||||
Amazon.com, Inc.* | 27,700 | 52,453,551 | ||||||
Booking Holdings, Inc.* | 2,850 | 5,342,924 | ||||||
eBay, Inc. | 433,800 | 17,135,100 | ||||||
Qurate Retail, Inc.* | 454,500 | 5,631,255 | ||||||
Rakuten, Inc. (Japan) | 11,200 | 133,613 | ||||||
|
| |||||||
80,696,443 | ||||||||
|
| |||||||
IT Services — 3.0% | ||||||||
Accenture PLC (Class A Stock) | 121,750 | 22,495,747 | ||||||
Adyen NV (Netherlands), 144A* | 217 | 167,636 | ||||||
Capgemini SE (France) | 248 | 30,818 | ||||||
DXC Technology Co. | 262,700 | 14,487,905 | ||||||
Fidelity National Information Services, Inc. | 103,700 | 12,721,916 | ||||||
International Business Machines Corp. | 182,500 | 25,166,750 | ||||||
Leidos Holdings, Inc. | 39,900 | 3,186,015 | ||||||
Mastercard, Inc. (Class A Stock) | 14,600 | 3,862,138 | ||||||
Obic Co. Ltd. (Japan) | 800 | 90,846 | ||||||
Otsuka Corp. (Japan) | 300 | 12,077 | ||||||
Visa, Inc. (Class A Stock) | 251,900 | 43,717,245 | ||||||
Wirecard AG (Germany) | 1,549 | 262,410 | ||||||
|
| |||||||
126,201,503 | ||||||||
|
| |||||||
Leisure Products — 0.0% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 500 | 24,302 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Charles River Laboratories International, Inc.* | 6,400 | 908,160 | ||||||
IQVIA Holdings, Inc.* | 50,500 | 8,125,450 | ||||||
PRA Health Sciences, Inc.* | 64,500 | 6,395,175 | ||||||
QIAGEN NV. | 620 | 25,169 | ||||||
Sartorius Stedim Biotech (France) | 73 | 11,522 | ||||||
Thermo Fisher Scientific, Inc. | 82,700 | 24,287,336 | ||||||
|
| |||||||
39,752,812 | ||||||||
|
| |||||||
Machinery — 0.6% | ||||||||
Alfa Laval AB (Sweden) | 744 | 16,237 | ||||||
Alstom SA (France) | 393 | 18,233 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (continued) | ||||||||
Amada Holdings Co. Ltd. (Japan) | 900 | $ | 10,159 | |||||
Atlas Copco AB (Sweden) (Class A Stock) | 1,723 | 55,056 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,001 | 28,736 | ||||||
CNH Industrial NV (United Kingdom) | 2,556 | 26,216 | ||||||
Cummins, Inc. | 3,100 | 531,154 | ||||||
Daifuku Co. Ltd. (Japan) | 300 | 16,931 | ||||||
Dover Corp. | 47,700 | 4,779,540 | ||||||
Epiroc AB (Sweden) (Class B Stock) | 997 | 9,873 | ||||||
Meritor, Inc.* | 48,300 | 1,171,275 | ||||||
Metso OYJ (Finland) | 272 | 10,697 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 4,300 | 187,572 | ||||||
Oshkosh Corp. | 110,900 | 9,259,041 | ||||||
PACCAR, Inc. | 33,150 | 2,375,529 | ||||||
Sandvik AB (Sweden) | 17,836 | 327,256 | ||||||
Schindler Holding AG (Switzerland) | 64 | 13,989 | ||||||
SKF AB (Sweden) (Class B Stock) | 971 | 17,854 | ||||||
Terex Corp. | 37,000 | 1,161,800 | ||||||
Timken Co. (The) | 43,700 | 2,243,558 | ||||||
Volvo AB (Sweden) (Class B Stock) | 20,027 | 317,803 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 239,100 | 270,752 | ||||||
|
| |||||||
22,849,261 | ||||||||
|
| |||||||
Marine — 0.0% | ||||||||
AP Moller-Maersk A/S (Denmark) (Class A Stock) | 10 | 11,616 | ||||||
|
| |||||||
Media — 0.7% | ||||||||
Comcast Corp. (Class A Stock) | 402,296 | 17,009,075 | ||||||
Discovery, Inc. (Class C Stock)* | 426,200 | 12,125,390 | ||||||
Hakuhodo DY Holdings, Inc. (Japan) | 700 | 11,823 | ||||||
I-CABLE Communications Ltd. (Hong Kong)* | 3,065 | 39 | ||||||
Pearson PLC (United Kingdom) | 2,002 | 20,828 | ||||||
Publicis Groupe SA (France) | 532 | 28,105 | ||||||
RTL Group SA (Luxembourg) | 111 | 5,681 | ||||||
|
| |||||||
29,200,941 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
Alumina Ltd. (Australia) | 6,301 | 10,337 | ||||||
Anglo American PLC (South Africa) | 12,353 | 352,773 | ||||||
ArcelorMittal (Luxembourg) | 11,425 | 205,052 | ||||||
BHP Group Ltd. (Australia) | 7,552 | 218,321 | ||||||
BHP Group PLC (Australia) | 6,112 | 156,414 | ||||||
BlueScope Steel Ltd. (Australia) | 1,368 | 11,589 | ||||||
Boliden AB (Sweden) | 674 | 17,268 | ||||||
Fortescue Metals Group Ltd. (Australia). | 12,188 | 77,291 | ||||||
JFE Holdings, Inc. (Japan) | 1,300 | 19,175 | ||||||
Newcrest Mining Ltd. (Australia) | 1,980 | 44,548 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Metals & Mining (continued) | ||||||||
Nippon Steel Corp. (Japan) | 1,900 | $ | 32,735 | |||||
Rio Tinto Ltd. (Australia) | 1,018 | 74,282 | ||||||
Rio Tinto PLC (Australia) | 3,777 | 233,997 | ||||||
South32 Ltd. (Australia) | 16,028 | 35,756 | ||||||
Steel Dynamics, Inc. | 258,850 | 7,817,270 | ||||||
|
| |||||||
9,306,808 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
Ladder Capital Corp. | 117,895 | 1,958,236 | ||||||
Two Harbors Investment Corp. | 222,500 | 2,819,075 | ||||||
|
| |||||||
4,777,311 | ||||||||
|
| |||||||
Multiline Retail — 0.2% | ||||||||
Harvey Norman Holdings Ltd. (Australia) | 4,320 | 12,365 | ||||||
Macy’s, Inc.(a) | 434,150 | 9,316,859 | ||||||
Next PLC (United Kingdom) | 360 | 25,266 | ||||||
Wesfarmers Ltd. (Australia) | 2,737 | 69,487 | ||||||
|
| |||||||
9,423,977 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% | ||||||||
AGL Energy Ltd. (Australia) | 17,131 | 240,607 | ||||||
Dominion Energy, Inc. | 259,400 | 20,056,808 | ||||||
E.ON SE (Germany) | 13,046 | 141,580 | ||||||
Engie SA (France) | 4,650 | 70,472 | ||||||
National Grid PLC (United Kingdom) | 8,748 | 92,830 | ||||||
|
| |||||||
20,602,297 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
BP PLC (United Kingdom) | 20,879 | 145,690 | ||||||
Chevron Corp. | 318,300 | 39,609,252 | ||||||
ConocoPhillips | 159,200 | 9,711,200 | ||||||
Eni SpA (Italy) | 6,450 | 107,372 | ||||||
Exxon Mobil Corp. | 101,166 | 7,752,351 | ||||||
HollyFrontier Corp. | 97,800 | 4,526,184 | ||||||
Kinder Morgan, Inc. | 911,000 | 19,021,680 | ||||||
Marathon Oil Corp. | 117,500 | 1,669,675 | ||||||
Neste OYJ (Finland) | 8,517 | 289,815 | ||||||
OMV AG (Austria) | 707 | 34,506 | ||||||
Phillips 66 | 169,100 | 15,817,614 | ||||||
Repsol SA (Spain) | 9,751 | 153,067 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 11,436 | 373,680 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 9,514 | 311,737 | ||||||
Santos Ltd. (Australia) | 46,595 | 232,253 | ||||||
Snam SpA (Italy) | 8,925 | 44,348 | ||||||
TOTAL SA (France) | 2,172 | 121,682 | ||||||
Woodside Petroleum Ltd. (Australia) | 6,381 | 163,148 | ||||||
World Fuel Services Corp. | 84,200 | 3,027,832 | ||||||
|
| |||||||
103,113,086 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% | ||||||||
Oji Holdings Corp. (Japan) | 40,000 | 231,735 | ||||||
|
| |||||||
Personal Products — 0.0% | ||||||||
Avon Products, Inc. | 28,200 | 109,416 | ||||||
L’Oreal SA (France) | 698 | 198,756 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Personal Products (continued) |
| |||||||
Unilever NV (United Kingdom), CVA | 6,527 | $ | 397,374 | |||||
Unilever PLC (United Kingdom) | 3,035 | 188,591 | ||||||
USANA Health Sciences, Inc.* | 5,000 | 397,150 | ||||||
|
| |||||||
1,291,287 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% | ||||||||
Allergan PLC | 72,900 | 12,205,647 | ||||||
Astellas Pharma, Inc. (Japan) | 5,100 | 72,764 | ||||||
AstraZeneca PLC (United Kingdom) | 426 | 34,808 | ||||||
Bayer AG (Germany) | 1,251 | 86,512 | ||||||
Bristol-Myers Squibb Co. | 72,100 | 3,269,735 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 600 | 39,239 | ||||||
Eisai Co. Ltd. (Japan) | 600 | 33,983 | ||||||
Eli Lilly & Co. | 43,200 | 4,786,128 | ||||||
GlaxoSmithKline PLC | 3,194 | 63,944 | ||||||
H. Lundbeck A/S (Denmark) | 3,311 | 130,706 | ||||||
Jazz Pharmaceuticals PLC* | 9,800 | 1,397,088 | ||||||
Johnson & Johnson | 240,848 | 33,545,310 | ||||||
Kyowa Kirin Co. Ltd. (Japan) | 700 | 12,626 | ||||||
Merck & Co., Inc. | 430,000 | 36,055,500 | ||||||
Merck KGaA (Germany) | 340 | 35,547 | ||||||
Novartis AG (Switzerland) | 7,867 | 718,043 | ||||||
Novo Nordisk A/S (Denmark) | 4,553 | 232,282 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 900 | 16,155 | ||||||
Pfizer, Inc. | 139,300 | 6,034,476 | ||||||
Recordati SpA (Italy) | 932 | 38,855 | ||||||
Roche Holding AG (Switzerland) | 2,747 | 773,461 | ||||||
Sanofi (France) | 5,005 | 432,551 | ||||||
Shionogi & Co. Ltd. (Japan) | 4,600 | 265,432 | ||||||
UCB SA (Belgium) | 396 | 32,838 | ||||||
|
| |||||||
100,313,630 | ||||||||
|
| |||||||
Professional Services — 0.1% | ||||||||
Intertek Group PLC (United Kingdom) | 418 | 29,211 | ||||||
Korn Ferry | 94,200 | 3,774,594 | ||||||
Recruit Holdings Co. Ltd. (Japan) | 3,200 | 107,164 | ||||||
RELX PLC (United Kingdom) | 5,026 | 122,049 | ||||||
Wolters Kluwer NV (Netherlands) | 3,397 | 247,341 | ||||||
|
| |||||||
4,280,359 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.3% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 200,750 | 10,298,475 | ||||||
CK Asset Holdings Ltd. (Hong Kong) | 6,500 | 50,806 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 1,500 | 43,786 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 3,740 | 20,620 | ||||||
Hongkong Land Holdings Ltd. | 35,200 | 226,804 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 3,000 | 55,951 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Real Estate Management & Development (continued) |
| |||||||
Sumitomo Realty & Development Co. Ltd. (Japan) | 900 | $ | 32,180 | |||||
Swire Pacific Ltd. (Hong Kong) | 21,000 | 258,707 | ||||||
Swire Properties Ltd. (Hong Kong) | �� | 3,000 | 12,117 | |||||
Wharf Real Estate Investment Co. Ltd. (Hong Kong) | 3,000 | 21,145 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 2,000 | 14,367 | ||||||
|
| |||||||
11,034,958 | ||||||||
|
| |||||||
Road & Rail — 0.7% | ||||||||
Aurizon Holdings Ltd. (Australia) | 5,022 | 19,053 | ||||||
Central Japan Railway Co. (Japan) | 400 | 80,183 | ||||||
CSX Corp. | 146,250 | 11,315,362 | ||||||
East Japan Railway Co. (Japan) | 800 | 74,966 | ||||||
Nippon Express Co. Ltd. (Japan) | 200 | 10,658 | ||||||
Norfolk Southern Corp. | 55,850 | 11,132,581 | ||||||
Union Pacific Corp. | 26,700 | 4,515,237 | ||||||
West Japan Railway Co. (Japan) | 400 | 32,387 | ||||||
|
| |||||||
27,180,427 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
Advantest Corp. (Japan) | 500 | 13,808 | ||||||
Analog Devices, Inc. | 150,800 | 17,020,796 | ||||||
Broadcom, Inc.(a) | 4,700 | 1,352,942 | ||||||
Intel Corp. | 646,450 | 30,945,562 | ||||||
Lam Research Corp. | 7,200 | 1,352,448 | ||||||
NXP Semiconductors NV (Netherlands). | 700 | 68,327 | ||||||
QUALCOMM, Inc. | 296,100 | 22,524,327 | ||||||
STMicroelectronics NV (Switzerland) | 2,025 | 35,954 | ||||||
SUMCO Corp. (Japan) | 600 | 7,174 | ||||||
Tokyo Electron Ltd. (Japan) | 700 | 98,481 | ||||||
|
| |||||||
73,419,819 | ||||||||
|
| |||||||
Software — 4.5% |
| |||||||
Adobe, Inc.* | 46,150 | 13,598,098 | ||||||
ANSYS, Inc.* | 6,100 | 1,249,402 | ||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 300 | 34,683 | ||||||
CyberArk Software Ltd. (Israel)* | 1,700 | 217,328 | ||||||
Dassault Systemes SE (France) | 657 | 104,918 | ||||||
Fortinet, Inc.* | 13,200 | 1,014,156 | ||||||
Intuit, Inc. | 78,000 | 20,383,740 | ||||||
LogMeIn, Inc. | 13,300 | 979,944 | ||||||
Micro Focus International PLC (United Kingdom) | 4,958 | 130,060 | ||||||
Microsoft Corp. | 888,300 | 118,996,668 | ||||||
Nice Ltd. (Israel)* | 562 | 76,545 | ||||||
Oracle Corp. | 517,650 | 29,490,520 | ||||||
SAP SE (Germany) | 565 | 77,623 | ||||||
Synopsys, Inc.* | 3,000 | 386,070 | ||||||
Temenos AG (Switzerland)* | 239 | 42,799 | ||||||
|
| |||||||
186,782,554 | ||||||||
|
| |||||||
Specialty Retail — 1.0% |
| |||||||
ABC-Mart, Inc. (Japan) | 800 | 52,154 | ||||||
Asbury Automotive Group, Inc.* | 39,400 | 3,322,996 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail (continued) |
| |||||||
AutoNation, Inc.* | 128,700 | $ | 5,397,678 | |||||
Best Buy Co., Inc. | 21,700 | 1,513,141 | ||||||
Fast Retailing Co. Ltd. (Japan) | 400 | 242,458 | ||||||
Foot Locker, Inc.(a) | 243,400 | 10,203,328 | ||||||
Hennes & Mauritz AB (Sweden) (Class B Stock) | 2,272 | 40,400 | ||||||
Hikari Tsushin, Inc. (Japan) | 100 | 21,838 | ||||||
L Brands, Inc. | 108,900 | 2,842,290 | ||||||
Lithia Motors, Inc. (Class A Stock)(a) | 8,700 | 1,033,386 | ||||||
Michaels Cos., Inc. (The)*(a) | 157,500 | 1,370,250 | ||||||
Ross Stores, Inc. | 52,500 | 5,203,800 | ||||||
Sally Beauty Holdings, Inc.*(a) | 88,900 | 1,185,926 | ||||||
TJX Cos., Inc. (The) | 80,500 | 4,256,840 | ||||||
Ulta Beauty, Inc.* | 9,600 | 3,330,144 | ||||||
USS Co. Ltd. (Japan) | 600 | 11,848 | ||||||
|
| |||||||
40,028,477 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.6% |
| |||||||
Apple, Inc. | 376,300 | 74,477,296 | ||||||
FUJIFILM Holdings Corp. (Japan) | 5,600 | 284,807 | ||||||
Hewlett Packard Enterprise Co. | 878,450 | 13,132,828 | ||||||
HP, Inc. | 712,650 | 14,815,993 | ||||||
Konica Minolta, Inc. (Japan) | 7,800 | 76,209 | ||||||
NEC Corp. (Japan) | 700 | 27,633 | ||||||
Ricoh Co. Ltd. (Japan) | 5,200 | 52,048 | ||||||
Xerox Corp. | 198,200 | 7,018,262 | ||||||
|
| |||||||
109,885,076 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
adidas AG (Germany) | 763 | 235,750 | ||||||
Capri Holdings Ltd.* | 57,600 | 1,997,568 | ||||||
Hermes International (France) | 155 | 111,870 | ||||||
Kering SA (France) | 411 | 242,551 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 1,379 | 587,155 | ||||||
Moncler SpA (Italy) | 445 | 19,093 | ||||||
NIKE, Inc. (Class B Stock) | 26,100 | 2,191,095 | ||||||
Puma SE (Germany) | 210 | 14,013 | ||||||
Swatch Group AG (The) (Switzerland) | 140 | 7,594 | ||||||
Tapestry, Inc. | 440,300 | 13,970,719 | ||||||
|
| |||||||
19,377,408 | ||||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
Altria Group, Inc. | 417,850 | 19,785,198 | ||||||
British American Tobacco PLC (United Kingdom) | 8,029 | 280,717 | ||||||
Imperial Brands PLC (United Kingdom) | 8,994 | 211,116 | ||||||
Japan Tobacco, Inc. (Japan) | 2,700 | 59,586 | ||||||
Philip Morris International, Inc. | 250,700 | 19,687,471 | ||||||
|
| |||||||
40,024,088 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 1,578 | 45,264 | ||||||
ITOCHU Corp. (Japan) | 8,600 | 164,596 | ||||||
Marubeni Corp. (Japan) | 4,000 | 26,538 |
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Trading Companies & Distributors (continued) |
| |||||||
Mitsubishi Corp. (Japan) | 3,500 | $ | 92,413 | |||||
Mitsui & Co. Ltd. (Japan) | 17,200 | 280,534 | ||||||
Sumitomo Corp. (Japan) | 13,800 | 209,526 | ||||||
WESCO International, Inc.* | 86,000 | 4,355,900 | ||||||
|
| |||||||
5,174,771 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.1% |
| |||||||
Aena SME SA (Spain), 144A | 1,186 | 235,165 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (Germany) | 1,535 | 132,174 | ||||||
Kamigumi Co. Ltd. (Japan) | 9,600 | 227,497 | ||||||
Macquarie Infrastructure Corp. | 97,500 | 3,952,650 | ||||||
|
| |||||||
4,547,486 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 7,100 | 180,527 | ||||||
NTT DOCOMO, Inc. (Japan) | 3,400 | 79,301 | ||||||
SoftBank Group Corp. (Japan) | 2,000 | 95,988 | ||||||
T-Mobile US, Inc.* | 50,700 | 3,758,898 | ||||||
Vodafone Group PLC (United Kingdom) | 6,103 | 10,009 | ||||||
|
| |||||||
4,124,723 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
|
| 2,514,405,336 |
| ||||
|
| |||||||
EXCHANGE-TRADED FUND — 0.0% |
| |||||||
iShares MSCI EAFE ETF | 5,088 | 334,434 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.0% |
| |||||||
Automobiles — 0.0% |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 155 | 9,632 | ||||||
Porsche Automobil Holding SE (Germany) (PRFC) | 1,295 | 84,204 | ||||||
|
| |||||||
93,836 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 8.953% | 22,000 | 606,980 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% |
| |||||||
Sartorius AG (Germany) (PRFC) | 92 | 18,883 | ||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 441 | 43,094 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 762,793 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% | ||||||||
Construction & Engineering | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/10/19 | 3,847 | 6,037 | ||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES — 7.4% |
| |||||||||||||||
Automobiles — 2.1% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series2018-01, Class C |
| |||||||||||||||
3.500% | 01/18/24 | 1,600 | $ | 1,642,875 | ||||||||||||
Series2019-01, Class B |
| |||||||||||||||
3.130% | 02/18/25 | 1,000 | 1,018,603 | |||||||||||||
Series2019-01, Class C |
| |||||||||||||||
3.360% | 02/18/25 | 1,000 | 1,024,490 | |||||||||||||
Series2019-02, Class C |
| |||||||||||||||
2.740% | 04/18/25 | 2,000 | 2,008,413 | |||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series2015-01A, Class A, 144A |
| |||||||||||||||
2.500% | 07/20/21 | 3,300 | 3,302,972 | |||||||||||||
Series2015-02A, Class A, 144A |
| |||||||||||||||
2.630% | 12/20/21 | 4,000 | 4,010,152 | |||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.700% | 09/20/24 | 1,600 | 1,667,810 | |||||||||||||
Series2018-02A, Class A, 144A |
| |||||||||||||||
4.000% | 03/20/25 | 1,600 | 1,691,040 | |||||||||||||
Series2019-02A, Class A, 144A |
| |||||||||||||||
3.350% | 09/22/25 | 3,000 | 3,091,942 | |||||||||||||
Drive Auto Receivables Trust, |
| |||||||||||||||
Series2018-01, Class B |
| |||||||||||||||
2.880% | 02/15/22 | 505 | 504,835 | |||||||||||||
Series2019-03, Class B |
| |||||||||||||||
2.650% | 02/15/24 | 1,400 | 1,404,995 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series2017-01, Class A, 144A |
| |||||||||||||||
2.620% | 08/15/28 | 1,300 | 1,315,447 | |||||||||||||
Series2017-02, Class A, 144A |
| |||||||||||||||
2.360% | 03/15/29 | 2,500 | 2,505,560 | |||||||||||||
Series2018-01, Class A, 144A |
| |||||||||||||||
3.190% | 07/15/31 | 1,000 | 1,030,709 | |||||||||||||
Series2018-02, Class A, 144A |
| |||||||||||||||
3.470% | 01/15/30 | 3,000 | 3,142,304 | |||||||||||||
Series2019-01, Class A, 144A |
| |||||||||||||||
3.520% | 07/15/30 | 5,900 | 6,170,016 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series2017-03, Class A |
| |||||||||||||||
2.480% | 09/15/24 | 4,500 | 4,550,329 | |||||||||||||
Series2018-02, Class A |
| |||||||||||||||
3.170% | 03/15/25 | 13,350 | 13,822,020 | |||||||||||||
Ford Credit Floorplan Master Owner Trust A, |
| |||||||||||||||
Series2019-02, Class A |
| |||||||||||||||
3.060% | 04/15/26 | 1,500 | 1,546,082 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 500 | 515,350 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series2019-02, Class A, 144A |
| |||||||||||||||
2.900% | 04/15/26 | 5,700 | 5,822,124 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series2017-01A, Class A, 144A |
| |||||||||||||||
2.160% | 10/15/20 | 93 | 93,262 | |||||||||||||
Series2017-02A, Class B, 144A |
| |||||||||||||||
2.550% | 11/14/23 | 5,800 | 5,791,427 | |||||||||||||
Series2017-02A, Class C, 144A |
| |||||||||||||||
2.820% | 07/15/24 | 1,400 | 1,401,999 |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Automobiles (continued) |
| |||||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 5,200 | $ | 5,273,185 | ||||||||||||
Series2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 5,500 | 5,688,569 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series2018-04, Class C |
| |||||||||||||||
3.560% | 07/15/24 | 2,300 | 2,334,917 | |||||||||||||
Toyota Auto Loan Extended Note Trust, |
| |||||||||||||||
Series2019-01A, Class A, 144A |
| |||||||||||||||
2.560% | 11/25/31 | 5,900 | 5,969,141 | |||||||||||||
|
| |||||||||||||||
88,340,568 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 3.0% |
| |||||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.877%(c) | 07/15/29 | 500 | 500,013 | |||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% |
| |||||||||||||||
3.947%(c) | 10/15/28 | 4,500 | 4,500,668 | |||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340% |
| |||||||||||||||
3.941%(c) | 07/18/30 | 1,500 | 1,502,147 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.847%(c) | 07/15/29 | 1,500 | 1,500,882 | |||||||||||||
Series2017-11A, Class X, 144A, 3 Month LIBOR + 1.000% |
| |||||||||||||||
3.597%(c) | 04/15/29 | 469 | 468,942 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% |
| |||||||||||||||
3.408%(c) | 01/17/28 | 1,500 | 1,489,498 | |||||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.847%(c) | 04/15/29 | 3,000 | 2,991,541 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% |
| |||||||||||||||
4.001%(c) | 10/18/26 | 412 | 411,976 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.788%(c) | 10/17/31 | 9,750 | 9,716,695 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% |
| |||||||||||||||
3.607%(c) | 04/15/31 | 2,000 | 1,976,482 | |||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
3.616%(c) | 04/26/31 | 4,000 | 3,944,864 | |||||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% |
| |||||||||||||||
3.565%(c) | 02/05/31 | 250 | 247,793 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) |
| |||||||||||||||
3.732%(c) | 10/19/28 | 10,000 | 9,989,633 | |||||||||||||
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/23/29 | 1,250 | 1,248,907 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Jamestown CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
3.893%(c) | 04/20/32 | 5,750 | $ | 5,754,537 | ||||||||||||
Jefferson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AR, 3 Month LIBOR + 1.175% |
| |||||||||||||||
3.756%(c) | 10/20/31 | 6,750 | 6,699,761 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.712%(c) | 04/21/31 | 2,400 | 2,377,570 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% |
| |||||||||||||||
3.942%(c) | 04/17/30 | 2,750 | 2,752,963 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
3.857%(c) | 07/15/30 | 1,250 | 1,250,642 | |||||||||||||
Series2019-17A, Class A1, 144A |
| |||||||||||||||
—%(cc) | 07/20/32 | 10,000 | 10,000,000 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/20/31 | 7,500 | 7,475,047 | |||||||||||||
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.833%(c) | 10/30/30 | 1,500 | 1,499,794 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% |
| |||||||||||||||
3.718%(c) | 01/17/31 | 1,500 | 1,492,560 | |||||||||||||
Series2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% |
| |||||||||||||||
3.701%(c) | 07/16/31 | 2,350 | 2,335,029 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/20/31 | 8,750 | 8,728,279 | |||||||||||||
Romark CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% |
| |||||||||||||||
3.755%(c) | 07/25/31 | 1,000 | 992,859 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880% |
| |||||||||||||||
3.472%(c) | 07/20/27 | 1,000 | 1,000,008 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% |
| |||||||||||||||
3.888%(c) | 07/17/26 | 1,500 | 1,500,251 | |||||||||||||
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% |
| |||||||||||||||
3.828%(c) | 01/17/30 | 2,500 | 2,494,994 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230% |
| |||||||||||||||
3.827%(c) | 07/15/29 | 1,250 | 1,249,477 | |||||||||||||
Series2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% |
| |||||||||||||||
3.432%(c) | 04/20/28 | 4,000 | 3,976,602 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% |
| |||||||||||||||
3.927%(c) | 07/20/32 | 3,000 | 3,001,546 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% |
| |||||||||||||||
3.790%(c) | 01/25/31 | 2,500 | 2,480,805 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% |
| |||||||||||||||
3.477%(c) | 07/15/27 | 1,000 | 1,000,021 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320% |
| |||||||||||||||
3.912%(c) | 04/20/29 | 2,000 | $ | 1,999,179 | ||||||||||||
Series2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
3.738%(c) | 01/17/31 | 2,750 | 2,734,967 | |||||||||||||
Series2018-01A, Class A, 144A, 3 Month LIBOR + 1.100% |
| |||||||||||||||
3.688%(c) | 07/17/31 | 3,500 | 3,461,682 | |||||||||||||
Series2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.792%(c) | 10/20/31 | 5,750 | 5,715,010 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% |
| |||||||||||||||
3.967%(c) | 07/15/29 | 1,750 | 1,757,047 | |||||||||||||
|
| |||||||||||||||
124,220,671 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.2% |
| |||||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% |
| |||||||||||||||
3.201%(c) | 09/14/32 | 3,700 | 3,707,644 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,600 | 1,640,871 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 1,100 | 1,131,135 | |||||||||||||
|
| |||||||||||||||
6,479,650 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.3% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series2017-A05, Class A5, 1 Month LIBOR + 0.620% |
| |||||||||||||||
3.024%(c) | 04/22/26 | 2,900 | 2,918,520 | |||||||||||||
Series2018-A07, Class A7 |
| |||||||||||||||
3.960% | 10/13/30 | 6,200 | 6,884,534 | |||||||||||||
Discover Card Execution Note Trust, |
| |||||||||||||||
Series2017-A05, Class A5, 1 Month LIBOR + 0.600% |
| |||||||||||||||
2.994%(c) | 12/15/26 | 2,600 | 2,612,148 | |||||||||||||
|
| |||||||||||||||
12,415,202 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.2% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series2017-B, Class A4, 144A |
| |||||||||||||||
2.410% | 11/15/24 | 1,700 | 1,712,078 | |||||||||||||
Series2017-B, Class A5, 144A |
| |||||||||||||||
2.720% | 06/15/40 | 2,800 | 2,851,797 | |||||||||||||
Series2018-A, Class A4, 144A |
| |||||||||||||||
3.390% | 01/10/25 | 1,600 | 1,652,385 | |||||||||||||
Series2018-A, Class A5, 144A |
| |||||||||||||||
3.610% | 03/10/42 | 800 | 838,163 | |||||||||||||
Series2019-A, Class A5, 144A |
| |||||||||||||||
3.080% | 11/12/41 | 2,500 | 2,572,047 | |||||||||||||
|
| |||||||||||||||
9,626,470 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.1% |
| |||||||||||||||
CDC Mortgage Capital Trust, |
| |||||||||||||||
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% |
| |||||||||||||||
4.054%(c) | 03/25/33 | 78 | 78,562 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 05/25/33 | 149 | 149,154 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Equity Loans (continued) |
| |||||||||||||||
Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945% |
| |||||||||||||||
3.349%(c) | 06/25/34 | 452 | $ | 454,118 | ||||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||||
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% |
| |||||||||||||||
3.304%(c) | 07/25/32 | 60 | 59,806 | |||||||||||||
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% |
| |||||||||||||||
3.679%(c) | 09/25/32 | 2,097 | 2,101,123 | |||||||||||||
|
| |||||||||||||||
2,842,763 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% | ||||||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series2019-02, Class PT, 144A |
| |||||||||||||||
—%(cc) | 11/27/20 | 3,000 | 3,000,000 | |||||||||||||
Sierra Timeshare Receivables Funding LLC, |
| |||||||||||||||
Series2018-02A, Class A, 144A |
| |||||||||||||||
3.500% | 06/20/35 | 1,683 | 1,730,368 | |||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% |
| |||||||||||||||
5.204%(c) | 06/25/24 | 3,250 | 3,250,000 | |||||||||||||
|
| |||||||||||||||
7,980,368 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.6% |
| |||||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150% |
| |||||||||||||||
5.590%(c) | 12/26/46 | 3,216 | 3,231,301 | |||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,342 | 1,359,876 | |||||||||||||
Credit-Based Asset Servicing & Securitization LLC, |
| |||||||||||||||
Series 2005-CB06, Class A3 |
| |||||||||||||||
3.649% | 07/25/35 | 160 | 159,909 | |||||||||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||||||||
Series2004-03, Class M1 |
| |||||||||||||||
4.498% | 07/25/34 | 189 | 196,116 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 01/25/59 | 870 | 877,005 | |||||||||||||
Series 2019-GS03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 04/25/59 | 196 | 198,308 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438%(cc) | 05/25/59 | 1,492 | 1,502,710 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 642 | 644,673 | |||||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||||
Series2004-02, Class M1, 1 Month LIBOR + 0.795% |
| |||||||||||||||
3.199%(c) | 06/25/34 | 176 | 174,952 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series2017-03, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 01/25/61 | 2,021 | 2,029,300 | |||||||||||||
TFS (Spain), | ||||||||||||||||
Series2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 03/16/23 | EUR | 2,786 | 3,162,084 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 4,504 | 4,524,345 | |||||||||||||
Series2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% |
| |||||||||||||||
3.004%(c) | 02/25/57 | 3,674 | 3,663,418 |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||
Series2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 3,032 | $ | 3,055,059 | ||||||||||||
Series2018-02, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 03/25/58 | 378 | 384,073 | |||||||||||||
Series2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 171 | 177,631 | |||||||||||||
Series2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 637 | 650,065 | |||||||||||||
|
| |||||||||||||||
25,990,825 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.7% |
| |||||||||||||||
Commonbond Student Loan Trust, |
| |||||||||||||||
Series2017-BGS, Class A1, 144A |
| |||||||||||||||
2.680% | 09/25/42 | 2,677 | 2,678,321 | |||||||||||||
Series2018-AGS, Class A1, 144A |
| |||||||||||||||
3.210% | 02/25/44 | 1,845 | 1,882,008 | |||||||||||||
Series2018-CGS, Class A1, 144A |
| |||||||||||||||
3.870% | 02/25/46 | 804 | 834,473 | |||||||||||||
Series2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%) |
| |||||||||||||||
3.204%(c) | 02/25/46 | 897 | 892,523 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series2017-C, Class A2B, 144A |
| |||||||||||||||
2.810% | 11/25/42 | 1,935 | 1,957,237 | |||||||||||||
Series2018-B, Class A2FX, 144A |
| |||||||||||||||
3.540% | 05/26/43 | 3,000 | 3,073,298 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series2018-A, Class A2, 144A |
| |||||||||||||||
3.190% | 02/18/42 | 4,600 | 4,673,942 | |||||||||||||
Series2018-CA, Class A2, 144A |
| |||||||||||||||
3.520% | 06/16/42 | 1,700 | 1,745,969 | |||||||||||||
Series2019-CA, Class A2, 144A |
| |||||||||||||||
3.130% | 02/15/68 | 2,100 | 2,144,699 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series2019-A, Class A2FX, 144A |
| |||||||||||||||
3.690% | 06/15/48 | 3,800 | 3,988,457 | |||||||||||||
Series2019-B, Class A2FX, 144A |
| |||||||||||||||
3.090% | 08/17/48 | 2,100 | 2,134,125 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series2018-B, Class A1FX, 144A |
| |||||||||||||||
2.640% | 08/25/47 | 1,699 | 1,703,348 | |||||||||||||
Series2018-B, Class A2FX, 144A |
| |||||||||||||||
3.340% | 08/25/47 | 3,100 | 3,182,140 | |||||||||||||
|
| |||||||||||||||
30,890,540 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 308,787,057 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 0.1% |
| |||||||||||||||
Software | ||||||||||||||||
First Data Corp., |
| |||||||||||||||
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.404%(c) | 07/08/22 | 1,145 | 1,143,481 | |||||||||||||
2024A New Dollar Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.404%(c) | 04/26/24 | 750 | 749,166 | |||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 1,892,647 | ||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.6% |
| |||||||||||||||
Assurant Commercial Mortgage Trust, |
| |||||||||||||||
Series2016-01A, Class AS, 144A |
| |||||||||||||||
3.172% | 05/15/49 | 4,000 | $ | 4,008,481 | ||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK04, Class A3 |
| |||||||||||||||
3.362% | 05/15/50 | 6,500 | 6,817,301 | |||||||||||||
BBCMS Mortgage Trust, |
| |||||||||||||||
Series2018-C02, Class A4 |
| |||||||||||||||
4.047% | 12/15/51 | 5,400 | 5,942,503 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series2018-B03, Class A4 |
| |||||||||||||||
3.761% | 04/10/51 | 5,000 | 5,401,977 | |||||||||||||
Series2018-B08, Class A4 |
| |||||||||||||||
3.963% | 01/15/52 | 6,700 | 7,351,678 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-GC11, Class A3 |
| |||||||||||||||
2.815% | 04/10/46 | 1,086 | 1,107,343 | |||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 1,392 | 1,458,494 | |||||||||||||
Series 2014-GC23, Class A3 |
| |||||||||||||||
3.356% | 07/10/47 | 2,618 | 2,725,004 | |||||||||||||
Series2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 5,000 | 5,112,417 | |||||||||||||
Series 2016-GC37, Class A3 |
| |||||||||||||||
3.050% | 04/10/49 | 6,500 | 6,694,335 | |||||||||||||
Series2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 5,500 | 5,792,301 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A2 |
| |||||||||||||||
2.928% | 02/10/47 | 796 | 795,931 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 2,800 | 2,927,094 | |||||||||||||
Series 2014-CR20, Class A3 |
| |||||||||||||||
3.326% | 11/10/47 | 5,000 | 5,212,805 | |||||||||||||
Series 2015-CR27, Class A3 |
| |||||||||||||||
3.349% | 10/10/48 | 6,100 | 6,381,713 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 3,000 | 3,154,195 | |||||||||||||
Series2017-C08, Class A3 |
| |||||||||||||||
3.127% | 06/15/50 | 5,300 | 5,423,602 | |||||||||||||
FannieMae-Aces, |
| |||||||||||||||
Series2015-M17, Class A2 |
| |||||||||||||||
3.035%(cc) | 11/25/25 | 3,900 | 4,039,838 | |||||||||||||
Series2016-M07, Class AB2 |
| |||||||||||||||
2.385% | 09/25/26 | 2,400 | 2,390,877 | |||||||||||||
Series2017-M01, Class A2 |
| |||||||||||||||
2.496%(cc) | 10/25/26 | 2,200 | 2,196,925 | |||||||||||||
Series2017-M04, Class A2 |
| |||||||||||||||
2.672%(cc) | 12/25/26 | 11,800 | 11,897,082 | |||||||||||||
Series2017-M08, Class A2 |
| |||||||||||||||
3.061%(cc) | 05/25/27 | 8,250 | 8,584,491 | |||||||||||||
Series2018-M04, Class A2 |
| |||||||||||||||
3.144%(cc) | 03/25/28 | 4,325 | 4,505,671 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.535%(cc) | 05/25/22 | 23,066 | $ | 785,919 | ||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.568%(cc) | 06/25/22 | 6,522 | 238,764 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.499%(cc) | 03/25/26 | 13,795 | 1,068,472 | |||||||||||||
Series K057, Class AM |
| |||||||||||||||
2.624% | 08/25/26 | 7,230 | 7,323,779 | |||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 5,900 | 6,253,300 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 5,600 | 5,935,352 | |||||||||||||
Series K069, Class A2 |
| |||||||||||||||
3.187%(cc) | 09/25/27 | 4,900 | 5,170,403 | |||||||||||||
Series K069, Class AM |
| |||||||||||||||
3.248%(cc) | 09/25/27 | 1,050 | 1,106,348 | |||||||||||||
Series K070, Class A2 |
| |||||||||||||||
3.303%(cc) | 11/25/27 | 7,250 | 7,714,174 | |||||||||||||
Series K070, Class AM |
| |||||||||||||||
3.364%(cc) | 12/25/27 | 1,525 | 1,623,480 | |||||||||||||
Series K072, Class A2 |
| |||||||||||||||
3.444% | 12/25/27 | 2,000 | 2,148,774 | |||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 3,575 | 3,870,579 | |||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 2,575 | 2,842,837 | |||||||||||||
Series K077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 4,800 | 5,303,693 | |||||||||||||
Series K077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 950 | 1,044,889 | |||||||||||||
Series K080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 7,050 | 7,820,894 | |||||||||||||
Series K081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 3,500 | 3,863,385 | |||||||||||||
Series K086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 1,300 | 1,443,699 | |||||||||||||
Series K087, Class AM |
| |||||||||||||||
3.832%(cc) | 12/25/28 | 1,350 | 1,487,869 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 4,200 | 4,718,877 | |||||||||||||
Series K711, Class X1, IO |
| |||||||||||||||
1.686%(cc) | 07/25/19 | 1,814 | 227 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 2,260 | 2,362,824 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC28, Class A4 |
| |||||||||||||||
3.136% | 02/10/48 | 4,000 | 4,134,978 | |||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 5,800 | 6,113,939 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 5,800 | 5,814,867 | |||||||||||||
Series 2016-GS04, Class A3 |
| |||||||||||||||
3.178% | 11/10/49 | 5,500 | 5,708,190 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2014-C25, Class A4A1 |
| |||||||||||||||
3.408% | 11/15/47 | 1,400 | $ | 1,458,940 | ||||||||||||
Series2015-C27, Class A3A1 |
| |||||||||||||||
2.920% | 02/15/48 | 6,000 | 6,108,967 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series2012-CBX, Class A3 |
| |||||||||||||||
3.139% | 06/15/45 | 43 | 43,015 | |||||||||||||
Series 2012-LC09, Class A4 |
| |||||||||||||||
2.611% | 12/15/47 | 174 | 173,408 | |||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 634 | 644,075 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,351 | 1,376,826 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 10,400 | 10,344,601 | |||||||||||||
Series2018-H04, Class A3 |
| |||||||||||||||
4.043% | 12/15/51 | 1,900 | 2,093,388 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series2017-C02, Class ASB |
| |||||||||||||||
3.264% | 08/15/50 | 3,500 | 3,635,203 | |||||||||||||
Series2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 6,750 | 6,982,311 | |||||||||||||
Series2018-C09, Class A3 |
| |||||||||||||||
3.854% | 03/15/51 | 2,500 | 2,703,227 | |||||||||||||
Series2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 4,100 | 4,547,166 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series2012-C04, Class A4 |
| |||||||||||||||
2.792% | 12/10/45 | 1,700 | �� | 1,724,973 | ||||||||||||
Series2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 3,261 | 3,327,835 | |||||||||||||
Series2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 1,798 | 1,838,321 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||||||
2.642% | 11/15/49 | 8,000 | 8,006,816 | |||||||||||||
Series2017-C38, Class A4 |
| |||||||||||||||
3.190% | 07/15/50 | 4,600 | 4,755,667 | |||||||||||||
Series2018-C48, Class A4 |
| |||||||||||||||
4.037% | 01/15/52 | 7,000 | 7,699,803 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 273,287,112 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 10.1% |
| |||||||||||||||
Aerospace & Defense — 0.1% |
| |||||||||||||||
Embraer Netherlands Finance BV (Brazil), Gtd. Notes |
| |||||||||||||||
5.050% | 06/15/25 | 1,121 | 1,209,290 | |||||||||||||
Embraer Overseas Ltd. (Brazil), Gtd. Notes, 144A |
| |||||||||||||||
5.696% | 09/16/23 | 950 | 1,040,259 |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (continued) |
| |||||||||||||||
United Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 1,270 | $ | 1,395,224 | ||||||||||||
|
| |||||||||||||||
3,644,773 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.1% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 3,740 | 3,764,562 | |||||||||||||
|
| |||||||||||||||
Airlines — 0.2% |
| |||||||||||||||
American Airlines2015-1 Class A Pass-Through Trust, Pass-Through Certificates |
| |||||||||||||||
3.375% | 11/01/28 | 2,617 | 2,660,511 | |||||||||||||
Continental Airlines2009-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
7.250% | 05/10/21 | 449 | 454,993 | |||||||||||||
Continental Airlines2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 376 | 386,244 | |||||||||||||
Continental Airlines2012-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 04/29/26 | 510 | 532,857 | |||||||||||||
Delta Air Lines2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 222 | 244,746 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 03/13/20 | 2,000 | 2,002,429 | |||||||||||||
|
| |||||||||||||||
6,281,780 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.4% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
3.014%(c) | 04/12/21 | 495 | 495,427 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 04/12/21 | 655 | 662,664 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 05/04/20 | 1,205 | 1,211,414 | |||||||||||||
3.350% | 05/04/21 | 2,010 | 2,038,276 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 1,220 | 1,134,798 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.336% | 03/18/21 | 680 | 683,492 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/02/43 | 980 | 1,043,220 | |||||||||||||
6.600% | 04/01/36 | 760 | 841,323 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
3.442%(c) | 04/09/21 | 1,060 | 1,059,516 | |||||||||||||
Gtd. Notes | ||||||||||||||||
3.550% | 04/09/21 | 805 | 816,722 | |||||||||||||
3.950% | 04/13/24 | 2,800 | 2,860,651 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Manufacturers (continued) |
| |||||||||||||||
Harley-Davidson Financial Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.850% | 01/15/21 | 4,705 | $ | 4,714,205 | ||||||||||||
|
| |||||||||||||||
17,561,708 | ||||||||||||||||
|
| |||||||||||||||
Banks — 3.3% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
3.724%(c) | 04/12/23 | 800 | 796,635 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 1,000 | 1,038,100 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | — | (rr) | 445 | 496,753 | ||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | — | (rr) | 1,665 | 1,675,406 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.499%(ff) | 05/17/22 | 2,510 | 2,558,372 | |||||||||||||
3.824%(ff) | 01/20/28 | 955 | 1,010,914 | |||||||||||||
4.125% | 01/22/24 | 4,830 | 5,165,833 | |||||||||||||
4.271%(ff) | 07/23/29 | 510 | 557,020 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 2,000 | 2,103,614 | |||||||||||||
4.450% | 03/03/26 | 8,455 | 9,119,926 | |||||||||||||
Bank of America NA, |
| |||||||||||||||
Sub. Notes | ||||||||||||||||
6.000% | 10/15/36 | 410 | 540,517 | |||||||||||||
Bank of Montreal (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.900% | 03/26/22 | 1,380 | 1,401,124 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 850 | 854,284 | |||||||||||||
3.684% | 01/10/23 | (a) | 585 | 592,662 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 3,825 | 4,079,676 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | — | (rr) | 2,205 | 2,267,446 | ||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | — | (rr) | 1,375 | 1,412,812 | ||||||||||||
Jr. Sub. Notes, Series T |
| |||||||||||||||
6.250%(ff) | — | (rr) | 625 | 686,431 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 10/21/26 | 1,870 | 1,907,106 | |||||||||||||
3.700% | 01/12/26 | 6,180 | 6,505,684 | |||||||||||||
Sub. Notes | ||||||||||||||||
4.450% | 09/29/27 | 5,965 | 6,426,719 | |||||||||||||
4.750% | 05/18/46 | 820 | 927,472 | |||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.282% | 01/09/28 | 1,370 | 1,446,289 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 1,640 | 1,633,017 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 2,400 | 2,473,957 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 03/13/26 | 970 | $ | 1,027,869 | ||||||||||||
Sub. Notes | ||||||||||||||||
7.000% | 04/15/20 | 570 | 589,463 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M |
| |||||||||||||||
5.375%(ff) | — | (rr) | 2,215 | 2,217,769 | ||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | — | (rr) | 740 | 772,375 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 01/23/25 | 4,100 | 4,241,702 | |||||||||||||
3.750% | 02/25/26 | 1,010 | 1,054,255 | |||||||||||||
3.814%(ff) | 04/23/29 | 540 | 564,389 | |||||||||||||
3.850% | 01/26/27 | 2,910 | 3,041,519 | |||||||||||||
5.750% | 01/24/22 | 5,420 | 5,857,849 | |||||||||||||
Sub. Notes | ||||||||||||||||
6.750% | 10/01/37 | 104 | 136,027 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600% |
| |||||||||||||||
3.120%(c) | 05/18/21 | 2,115 | 2,116,671 | |||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240% |
| |||||||||||||||
4.693%(c) | 03/08/21 | 1,025 | 1,054,681 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 01/14/22 | 1,910 | 2,022,994 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
6.053%(c) | — | (rr) | 1,435 | 1,434,225 | ||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | — | (rr) | 1,275 | 1,373,583 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.782%(ff) | 02/01/28 | 695 | 736,777 | |||||||||||||
3.964%(ff) | 11/15/48 | 3,250 | 3,448,219 | |||||||||||||
4.005%(ff) | 04/23/29 | 2,170 | 2,340,835 | |||||||||||||
4.452%(ff) | 12/05/29 | 3,350 | 3,735,376 | |||||||||||||
Sub. Notes | ||||||||||||||||
3.875% | 09/10/24 | 3,775 | 3,968,785 | |||||||||||||
JPMorgan Chase Bank NA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.086%(ff) | 04/26/21 | 5,000 | 5,028,100 | |||||||||||||
Lloyds Bank PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.300% | 05/07/21 | 2,200 | 2,234,414 | |||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
5.800% | 01/13/20 | 1,870 | 1,903,374 | |||||||||||||
Manufacturers & Traders Trust Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 02/06/25 | 3,080 | 3,145,011 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H |
| |||||||||||||||
5.450%(ff) | — | (rr) | 840 | 837,900 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | 1,045 | 1,163,189 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.750% | 02/25/23 | 950 | 992,387 | |||||||||||||
3.772%(ff) | 01/24/29 | (a) | 8,775 | 9,206,211 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
3.875% | 01/27/26 | 675 | $ | 717,533 | ||||||||||||
4.431%(ff) | 01/23/30 | 515 | 569,724 | |||||||||||||
5.625% | 09/23/19 | 1,415 | 1,424,814 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.591%(ff) | 07/22/28 | 1,255 | 1,306,769 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 3,825 | 4,101,649 | |||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390% |
| |||||||||||||||
2.973%(c) | 04/30/21 | 2,250 | 2,256,266 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.200% | 04/30/21 | 490 | 498,701 | |||||||||||||
State Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/24/24 | 1,925 | 2,011,605 | |||||||||||||
|
| |||||||||||||||
136,810,779 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
8.000% | 11/15/39 | 1,285 | 1,896,544 | |||||||||||||
8.200% | 01/15/39 | 250 | 376,932 | |||||||||||||
Constellation Brands, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.250% | 05/01/23 | 1,400 | 1,489,636 | |||||||||||||
Keurig Dr. Pepper, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.551% | 05/25/21 | 1,150 | 1,174,784 | |||||||||||||
|
| |||||||||||||||
4,937,896 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.0% |
| |||||||||||||||
Celgene Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.550% | 02/20/48 | (a) | 1,200 | 1,375,211 | ||||||||||||
|
| |||||||||||||||
Building Materials — 0.1% |
| |||||||||||||||
Owens Corning, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 12/15/22 | 775 | 806,573 | |||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | 700 | 694,750 | |||||||||||||
5.375% | 11/15/24 | 1,400 | 1,449,000 | |||||||||||||
|
| |||||||||||||||
2,950,323 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
Celanese US Holdings LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.875% | 06/15/21 | 1,500 | 1,589,667 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.375% | 03/15/44 | 585 | 548,613 | |||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.500% | 07/19/22 | 3,680 | 3,703,690 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 11/15/41 | 45 | 49,288 | |||||||||||||
9.400% | 05/15/39 | 347 | 550,896 |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Mexichem SAB de CV (Mexico), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 09/19/22 | 2,000 | $ | 2,098,020 | ||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 11/15/33 | 345 | 390,692 | |||||||||||||
5.625% | 11/15/43 | 430 | 473,161 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 1,300 | 1,345,500 | |||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 10/01/22 | 780 | 793,022 | |||||||||||||
SASOL Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.875% | 03/27/24 | 700 | 758,552 | |||||||||||||
6.500% | 09/27/28 | 670 | 752,060 | |||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 06/01/25 | 460 | 554,697 | |||||||||||||
|
| |||||||||||||||
13,607,858 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.200% | 11/01/46 | 975 | 992,963 | |||||||||||||
6.700% | 06/01/34 | 420 | 560,884 | |||||||||||||
7.000% | 10/15/37 | 380 | 519,025 | |||||||||||||
Massachusetts Institute of Technology, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.885% | 07/01/16 | 1,500 | 1,602,554 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | 1,190 | 1,213,800 | |||||||||||||
5.250% | 01/15/30 | 385 | 395,587 | |||||||||||||
5.875% | 09/15/26 | 460 | 489,900 | |||||||||||||
|
| |||||||||||||||
5,774,713 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.0% |
| |||||||||||||||
Hewlett Packard Enterprise Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.100% | 10/04/19 | 225 | 224,685 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.4% |
| |||||||||||||||
Capital One Financial Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 05/12/20 | 2,225 | 2,227,306 | |||||||||||||
3.450% | 04/30/21 | 4,415 | 4,495,166 | |||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 07/24/24 | 800 | 841,872 | |||||||||||||
Discover Financial Services, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 11/21/22 | 900 | 938,524 | |||||||||||||
GE Capital International Funding Co. Unlimited Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.342% | 11/15/20 | 766 | 762,363 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services (continued) |
| |||||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 560 | $ | 607,958 | ||||||||||||
Lehman Brothers Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.250% | 02/06/12 | (d) | 1,715 | 28,641 | ||||||||||||
6.875% | 05/02/18 | (d) | 700 | 12,180 | ||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.650% | 02/16/21 | 1,915 | 1,933,750 | |||||||||||||
U.S. Gov’t. Gtd. Notes, Series GG |
| |||||||||||||||
2.450% | 07/15/24 | 475 | 487,296 | |||||||||||||
U.S. Gov’t. Gtd. Notes, Series NN |
| |||||||||||||||
3.250% | 06/15/25 | 330 | 350,721 | |||||||||||||
Synchrony Financial, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 02/03/20 | 2,700 | 2,700,229 | |||||||||||||
|
| |||||||||||||||
15,386,006 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.0% | ||||||||||||||||
Avista Corp., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.350% | 06/01/48 | 1,160 | 1,277,211 | |||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.350% | 10/01/36 | 550 | 740,770 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.950% | 05/15/37 | 305 | 393,707 | |||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage, Series K2 |
| |||||||||||||||
6.950% | 03/15/33 | 590 | 832,205 | |||||||||||||
Commonwealth Edison Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.750% | 08/15/47 | 1,610 | 1,668,567 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series09-C |
| |||||||||||||||
5.500% | 12/01/39 | 220 | 276,406 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 3,210 | 3,286,326 | |||||||||||||
DTE Electric Co., |
| |||||||||||||||
General Ref. Mortgage, Series A |
| |||||||||||||||
4.050% | 05/15/48 | 1,490 | 1,648,289 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
6.050% | 04/15/38 | 550 | 734,896 | |||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 09/30/42 | 570 | 608,186 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 670 | 816,645 | |||||||||||||
Eversource Energy, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 11/15/19 | 615 | 619,156 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Exelon Corp., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
3.497% | 06/01/22 | 3,470 | $ | 3,554,954 | ||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 10/01/19 | 800 | 804,851 | |||||||||||||
6.250% | 10/01/39 | 1,425 | 1,685,098 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 355 | 421,785 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
5.950% | 10/01/33 | 295 | 383,226 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 145 | 179,113 | |||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 05/15/28 | 2,910 | 3,123,081 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 470 | 488,687 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 2,170 | 2,315,377 | |||||||||||||
Niagara Mohawk Power Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.881% | 08/15/19 | 610 | 611,598 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.600% | 09/15/47 | 1,580 | 1,611,547 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/15/47 | 1,360 | 1,312,154 | |||||||||||||
5.000% | 03/15/44 | 695 | 772,534 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/15/21 | (a) | 1,760 | 1,778,807 | ||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, MTN |
| |||||||||||||||
3.000% | 05/15/27 | 1,130 | 1,150,282 | |||||||||||||
3.700% | 05/01/28 | 1,280 | 1,377,411 | |||||||||||||
Sr. Sec’d. Notes, MTN |
| |||||||||||||||
5.800% | 05/01/37 | 535 | 690,787 | |||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | 1,400 | 1,458,772 | |||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 580 | 577,613 | |||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 860 | 798,981 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 725 | 751,281 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/41 | 480 | $ | 521,409 | ||||||||||||
|
| |||||||||||||||
39,271,712 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
FLIR Systems, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 06/15/21 | 900 | 908,800 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.0% |
| |||||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/30/28 | 700 | 678,195 | |||||||||||||
5.500% | 07/31/47 | 800 | 797,000 | |||||||||||||
|
| |||||||||||||||
1,475,195 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.3% |
| |||||||||||||||
Conagra Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 10/22/21 | 3,440 | 3,535,838 | |||||||||||||
General Mills, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540% |
| |||||||||||||||
3.141%(c) | 04/16/21 | 5,635 | 5,636,883 | |||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 06/01/46 | 475 | 451,307 | |||||||||||||
5.000% | 07/15/35 | 815 | 854,903 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/49 | 1,720 | 1,850,622 | |||||||||||||
|
| |||||||||||||||
12,329,553 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
Georgia-Pacific LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.400% | 11/01/20 | 290 | 301,412 | |||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/41 | 1,595 | 1,869,617 | |||||||||||||
|
| |||||||||||||||
2,171,029 | ||||||||||||||||
|
| |||||||||||||||
Gas — 0.1% |
| |||||||||||||||
Dominion Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 11/01/43 | 65 | 73,294 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.490% | 05/15/27 | 3,285 | 3,397,944 | |||||||||||||
|
| |||||||||||||||
3,471,238 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.0% |
| |||||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 474 | 497,198 | |||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 300 | 366,340 | ||||||||||||
2.250% | 03/07/39 | EUR | 400 | 514,270 | ||||||||||||
|
| |||||||||||||||
1,377,808 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services — 0.1% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 06/15/36 | 515 | $ | 633,608 | ||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 05/15/42 | 390 | 424,541 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 640 | 648,832 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 1,155 | 1,246,678 | |||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 940 | 1,053,015 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 190 | 193,113 | |||||||||||||
New York and Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.024% | 08/01/45 | 445 | 493,182 | |||||||||||||
|
| |||||||||||||||
4,692,969 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 525 | 534,188 | |||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/26 | 1,695 | 1,684,545 | |||||||||||||
|
| |||||||||||||||
Insurance — 0.2% |
| |||||||||||||||
AXIS Specialty Finance LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 06/01/20 | 1,030 | 1,061,903 | |||||||||||||
Hartford Financial Services Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 04/15/22 | 755 | 809,440 | |||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/42 | 365 | 483,824 | |||||||||||||
7.000% | 03/15/34 | 850 | 1,114,160 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 772 | 982,129 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/30/43 | 200 | 210,437 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/39 | 660 | 939,882 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 130 | 143,735 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (continued) |
| |||||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 1,450 | $ | 1,570,032 | ||||||||||||
6.850% | 12/16/39 | 124 | 175,755 | |||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/15/20 | 350 | 363,197 | |||||||||||||
W.R. Berkley Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 08/15/19 | 460 | 461,783 | |||||||||||||
|
| |||||||||||||||
8,316,277 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.0% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | 980 | 1,002,194 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,260 | 1,322,362 | |||||||||||||
|
| |||||||||||||||
Media — 0.3% |
| |||||||||||||||
AMC Networks, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 04/01/24 | 1,520 | 1,563,700 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.375% | 04/01/38 | 1,950 | 2,088,184 | |||||||||||||
6.384% | 10/23/35 | 875 | 1,027,612 | |||||||||||||
6.484% | 10/23/45 | 1,386 | 1,633,136 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 10/15/30 | 680 | 758,891 | |||||||||||||
6.400% | 05/15/38 | 530 | 716,393 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.800% | 06/15/20 | 1,740 | 1,743,482 | |||||||||||||
NBCUniversal Media LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 01/15/23 | 330 | 337,085 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | 360 | 377,433 | |||||||||||||
Viacom, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/44 | 450 | 490,705 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 1,040 | 1,089,400 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.150% | 03/01/37 | 515 | 699,685 | |||||||||||||
6.900% | 08/15/39 | 90 | 132,642 | |||||||||||||
|
| |||||||||||||||
12,658,348 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Mining — 0.0% |
| |||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250%(ff) | 10/19/75 | 425 | $ | 442,531 | ||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 425 | 536,224 | |||||||||||||
|
| |||||||||||||||
978,755 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.0% |
| |||||||||||||||
Actuant Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 06/15/22 | 1,205 | 1,214,038 | |||||||||||||
General Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
6.000% | 08/07/19 | 264 | 264,865 | |||||||||||||
|
| |||||||||||||||
1,478,903 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.1% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 1,640 | 1,625,650 | |||||||||||||
2.750% | 01/06/23 | 315 | 317,265 | |||||||||||||
North American Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/26/22 | 1,095 | 1,098,141 | |||||||||||||
4.375% | 02/11/20 | 1,000 | 1,011,950 | |||||||||||||
|
| |||||||||||||||
4,053,006 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.5% |
| |||||||||||||||
Anadarko Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.677%(s) | 10/10/36 | 2,000 | 944,901 | |||||||||||||
4.850% | 03/15/21 | 575 | 595,226 | |||||||||||||
6.450% | 09/15/36 | 1,155 | 1,420,005 | |||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | (a) | 1,400 | 1,291,500 | ||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | (a) | 1,200 | 1,302,265 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 210 | 235,062 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 300 | 356,114 | |||||||||||||
Encana Corp. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 08/15/34 | 370 | 454,173 | |||||||||||||
6.500% | 02/01/38 | 275 | 336,785 | |||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 350 | 366,842 | |||||||||||||
6.510% | 03/07/22 | 580 | 626,381 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,995 | 2,112,053 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | (a) | 550 | $ | 586,370 | |||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 835 | 888,200 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.299% | 01/27/25 | 740 | 785,140 | |||||||||||||
5.750% | 02/01/29 | 840 | 875,616 | |||||||||||||
6.250% | 03/17/24 | 710 | 776,598 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 03/13/22 | 450 | 453,398 | |||||||||||||
5.500% | 01/21/21 | 2,110 | 2,134,265 | |||||||||||||
6.350% | 02/12/48 | 1,536 | 1,318,656 | |||||||||||||
6.500% | 06/02/41 | 1,255 | 1,113,185 | |||||||||||||
8.625% | 12/01/23 | 350 | 384,943 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 2,265 | 2,016,983 | |||||||||||||
6.875% | 08/04/26 | 1,000 | 1,012,400 | |||||||||||||
|
| |||||||||||||||
22,387,061 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Cameron International Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 06/01/21 | 2,200 | 2,252,409 | |||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.900% | 05/17/28 | 2,781 | 2,893,993 | |||||||||||||
4.000% | 12/21/25 | 183 | 193,706 | |||||||||||||
|
| |||||||||||||||
5,340,108 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
Ball Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 12/15/20 | (a) | 630 | 643,860 | ||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 800 | 845,678 | |||||||||||||
|
| |||||||||||||||
1,489,538 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.7% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,175 | 1,213,984 | |||||||||||||
4.500% | 05/14/35 | 1,910 | 1,970,343 | |||||||||||||
Allergan Funding SCS, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.550% | 03/15/35 | 2,190 | 2,211,198 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.630% |
| |||||||||||||||
2.979%(c) | 06/25/21 | 1,115 | 1,107,513 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/25/21 | 500 | 507,242 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 06/15/39 | 410 | $ | 442,150 | ||||||||||||
4.250% | 10/26/49 | 1,725 | 1,906,815 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 10/15/28 | 9,285 | 10,017,265 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 340 | 354,679 | |||||||||||||
5.050% | 03/25/48 | 3,685 | 3,924,964 | |||||||||||||
5.125% | 07/20/45 | 610 | 650,513 | |||||||||||||
5.300% | 12/05/43 | 225 | 243,905 | |||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 1,375 | 1,269,682 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.400% | 09/23/21 | 3,555 | 3,550,634 | |||||||||||||
Wyeth LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.450% | 02/01/24 | 60 | 70,852 | |||||||||||||
|
| |||||||||||||||
29,441,739 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.4% |
| |||||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.350% | 03/15/20 | 717 | 726,859 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.650% | 06/01/21 | 675 | 700,184 | |||||||||||||
4.950% | 06/15/28 | 1,115 | 1,219,050 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 02/15/25 | 1,345 | 1,422,888 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | 1,430 | 1,493,276 | |||||||||||||
4.800% | 02/15/29 | 1,750 | 1,927,451 | |||||||||||||
4.875% | 06/01/25 | 3,250 | 3,532,171 | |||||||||||||
5.200% | 03/01/47 | 40 | 42,994 | |||||||||||||
5.500% | 02/15/49 | 395 | 448,630 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.650% | 10/01/36 | 145 | 177,629 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 07/13/47 | 935 | 984,912 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.300% | 03/01/48 | 125 | 115,971 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.850% | 03/01/48 | 315 | 336,904 | |||||||||||||
4.900% | 01/15/45 | 1,000 | 1,047,876 | |||||||||||||
5.100% | 09/15/45 | 500 | 540,082 | |||||||||||||
|
| |||||||||||||||
14,716,877 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/26 | 1,050 | $ | 1,135,522 | ||||||||||||
Simon Property Group LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 03/15/22 | 230 | 236,233 | |||||||||||||
|
| |||||||||||||||
1,371,755 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.2% |
| |||||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700% |
| |||||||||||||||
3.288%(c) | 04/17/20 | 1,100 | 1,100,127 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | 4,705 | 4,904,476 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 02/15/22 | (a) | 725 | 757,705 | ||||||||||||
5.625% | 10/15/23 | 725 | 751,818 | |||||||||||||
Macy’s Retail Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 01/15/22 | 360 | 366,341 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 1,375 | 1,349,150 | ||||||||||||
|
| |||||||||||||||
9,229,617 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.0% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,455 | 1,497,732 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 0.1% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.125% | 04/15/21 | 1,310 | 1,318,482 | |||||||||||||
3.125% | 10/15/22 | 1,010 | 1,016,359 | |||||||||||||
|
| |||||||||||||||
2,334,841 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
Fidelity National Information Services, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 10/15/20 | 1,233 | 1,251,214 | |||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/12/45 | 1,210 | 1,316,364 | |||||||||||||
4.450% | 11/03/45 | 215 | 257,839 | |||||||||||||
|
| |||||||||||||||
2,825,417 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.5% |
| |||||||||||||||
AT&T Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.750% | 11/15/31 | 4 | 5,559 | |||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/15/25 | 2,355 | 2,420,952 | |||||||||||||
3.600% | 07/15/25 | 275 | 285,239 | |||||||||||||
3.800% | 02/15/27 | 1,065 | 1,108,318 | |||||||||||||
4.300% | 02/15/30 | 325 | 347,853 | |||||||||||||
4.550% | 03/09/49 | 64 | 65,325 |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
4.850% | 03/01/39 | 6,690 | $ | 7,179,913 | ||||||||||||
5.250% | 03/01/37 | 65 | 72,950 | |||||||||||||
5.350% | 09/01/40 | 82 | 92,557 | |||||||||||||
Sprint Communications, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 03/01/20 | (a) | 750 | 768,750 | ||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 1,125 | 1,125,293 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 08/15/46 | 725 | 756,819 | |||||||||||||
4.500% | 08/10/33 | 1,205 | 1,357,513 | |||||||||||||
4.862% | 08/21/46 | 860 | 1,001,289 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.016% | 12/03/29 | 1,900 | 2,057,208 | |||||||||||||
|
| |||||||||||||||
18,645,538 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 08/01/28 | 670 | 874,874 | |||||||||||||
CSX Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 05/01/37 | 715 | 923,208 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.590% | 05/17/25 | 100 | 113,870 | |||||||||||||
|
| |||||||||||||||
1,911,952 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 421,239,351 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.4% |
| |||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||||||
Taxable BP Settlement, Revenue Bonds, Series B |
| |||||||||||||||
4.263% | 09/15/32 | 240 | 263,470 | |||||||||||||
|
| |||||||||||||||
California — 0.1% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.263% | 04/01/49 | 1,325 | 1,986,652 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,270 | 1,909,001 | |||||||||||||
7.500% | 04/01/34 | 475 | 716,965 | |||||||||||||
7.625% | 03/01/40 | 215 | 339,257 | |||||||||||||
7.550% | 04/01/39 | 245 | 387,864 | |||||||||||||
|
| |||||||||||||||
5,339,739 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 680 | 970,856 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Illinois — 0.1% |
| |||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.395% | 01/01/40 | 1,030 | $ | 1,457,151 | ||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||||||
5.000% | 11/01/22 | 3,190 | 3,490,594 | |||||||||||||
|
| |||||||||||||||
4,947,745 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 1,070 | 1,655,236 | |||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Revenue Bonds, Taxable, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,130 | 1,409,212 | |||||||||||||
|
| |||||||||||||||
Ohio — 0.0% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 455 | 564,937 | |||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Revenue Bonds, Taxable, BABs, Series B2 |
| |||||||||||||||
4.879% | 12/01/34 | 300 | 350,613 | |||||||||||||
|
| |||||||||||||||
915,550 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 445 | 586,501 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 550 | 724,845 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Taxable, Revenue Bonds, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 495 | 561,112 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 17,374,266 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.6% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/19 | 24 | 24,262 | |||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series2015-R04, Class 4A1, 144A |
| |||||||||||||||
3.500%(cc) | 01/27/30 | 554 | 552,580 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series2005-A, Class 2A1 |
| |||||||||||||||
4.503%(cc) | 02/25/35 | 330 | 334,596 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series2017-01, Class M1, 144A, 1 Month LIBOR + 1.700% |
| |||||||||||||||
4.104%(c) | 10/25/27 | 498 | 501,399 |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950% |
| |||||||||||||||
3.354%(c) | 08/25/28 | 588 | $ | 588,585 | ||||||||||||
Series2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% |
| |||||||||||||||
3.754%(c) | 08/25/28 | 300 | 300,000 | |||||||||||||
Series2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% |
| |||||||||||||||
4.004%(c) | 08/25/28 | 300 | 299,640 | |||||||||||||
Series2019-02A, Class M1A, 144A, 1 Month LIBOR + 1.000% |
| |||||||||||||||
3.404%(c) | 04/25/29 | 2,210 | 2,212,534 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
3.940%(c) | 11/01/23 | 4,700 | 4,699,996 | |||||||||||||
Chase Mortgage Finance Trust, |
| |||||||||||||||
Series2007-A01, Class 1A5 |
| |||||||||||||||
4.791%(cc) | 02/25/37 | 246 | 250,444 | |||||||||||||
CIM Trust, |
| |||||||||||||||
Series2017-02, Class A1, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.440%(c) | 12/25/57 | 2,936 | 2,951,212 | |||||||||||||
Series2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
4.440%(c) | 01/25/57 | 3,128 | 3,188,250 | |||||||||||||
Series2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 3,146 | 3,146,338 | |||||||||||||
Series2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 2,956 | 2,949,111 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series2018-11R, Class 1A1, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
3.829%(c) | 08/25/37 | 1,078 | 1,077,539 | |||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 2,461 | 2,543,850 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series2019-01, Class M1A, 144A, 1 Month LIBOR + 1.250% |
| |||||||||||||||
3.654%(c) | 04/25/29 | 300 | 300,184 | |||||||||||||
Series2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% |
| |||||||||||||||
4.204%(c) | 04/25/29 | 300 | 300,237 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, |
| |||||||||||||||
Series2016-C04, Class 1M1, 1 Month LIBOR + 1.450% |
| |||||||||||||||
3.854%(c) | 01/25/29 | 370 | 370,885 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% |
| |||||||||||||||
3.704%(c) | 03/25/29 | 1,017 | 1,019,323 | |||||||||||||
Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250% |
| |||||||||||||||
4.654%(c) | 11/25/28 | 603 | 608,939 | |||||||||||||
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% |
| |||||||||||||||
3.704%(c) | 04/25/29 | 2,001 | 2,006,850 | |||||||||||||
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% |
| |||||||||||||||
3.604%(c) | 07/25/29 | 1,830 | 1,837,683 | |||||||||||||
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 03/25/30 | 3,911 | 3,915,177 | |||||||||||||
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.161%(c) | 02/25/49 | 800 | 800,000 | |||||||||||||
Gosforth Funding PLC (United Kingdom), |
| |||||||||||||||
Series2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450% |
| |||||||||||||||
2.971%(c) | 08/25/60 | 1,947 | 1,947,471 | |||||||||||||
Holmes Master Issuer PLC (United Kingdom), |
| |||||||||||||||
Series2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360% |
| |||||||||||||||
2.957%(c) | 10/15/54 | 1,949 | 1,949,018 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% |
| |||||||||||||||
4.054%(c) | 05/25/29 | 610 | $ | 609,999 | ||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series2007-A01, Class 4A1 |
| |||||||||||||||
4.661%(cc) | 07/25/35 | 122 | 125,467 | |||||||||||||
Lanark Master Issuer PLC (United Kingdom), |
| |||||||||||||||
Series2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420% |
| |||||||||||||||
2.943%(c) | 12/22/69 | 1,400 | 1,400,162 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.940%(c) | 04/01/24 | 647 | 646,675 | |||||||||||||
MetLife Securitization Trust, |
| |||||||||||||||
Series2018-01A, Class A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/57 | 901 | 939,222 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series2019-01, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 10/25/69 | 1,185 | 1,208,099 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 1,809 | 1,875,494 | |||||||||||||
Series2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
3.154%(c) | 01/25/48 | 860 | 859,869 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% |
| |||||||||||||||
3.954%(c) | 07/25/28 | 660 | 659,518 | |||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series2019-01, Class PT, 144A, 1 Month LIBOR + 1.500% |
| |||||||||||||||
3.937%(c) | 11/27/20 | 14,660 | 14,660,016 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 1,330 | 1,380,764 | |||||||||||||
STACR Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% |
| |||||||||||||||
3.154%(c) | 09/25/48 | 1,307 | 1,308,029 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series2004-01, Class 4A3 |
| |||||||||||||||
4.566%(cc) | 02/25/34 | 141 | 142,765 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, |
| |||||||||||||||
Series2005-01, Class 3A |
| |||||||||||||||
5.000% | 03/25/20 | 13 | 12,894 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 66,505,076 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 0.9% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 3,350 | 3,475,055 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 175 | 183,225 | |||||||||||||
4.375% | 07/12/21 | 500 | 517,505 | |||||||||||||
7.375% | 09/18/37 | 625 | 850,006 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Export-Import Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/01/28 | 1,040 | $ | 1,067,382 | ||||||||||||
Export-Import Bank of Korea (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 06/29/20 | 400 | 411,044 | |||||||||||||
Finnvera OYJ (Finland), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 06/04/25 | 400 | 405,302 | |||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.375% | 03/29/21 | 2,280 | 2,433,672 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/30/25 | EUR | 1,500 | 1,929,090 | ||||||||||||
4.450% | 02/11/24 | 505 | 536,239 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.875% | 01/15/24 | 950 | 1,064,804 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.150% | 07/18/24 | EUR | 2,100 | 2,540,001 | ||||||||||||
4.750% | 01/08/26 | 540 | 587,514 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 04/13/21 | 400 | 399,648 | |||||||||||||
2.125% | 10/25/23 | 1,400 | 1,395,512 | |||||||||||||
2.625% | 04/20/22 | 2,000 | 2,025,511 | |||||||||||||
3.000% | 03/12/24 | 400 | 414,324 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/22/24 | 515 | 547,708 | |||||||||||||
4.500% | 04/16/50 | 475 | 532,598 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 1,105 | 1,158,924 | |||||||||||||
4.817% | 03/14/49 | 1,060 | 1,214,802 | |||||||||||||
5.103% | 04/23/48 | 915 | 1,089,994 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 1,850 | 2,408,662 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 01/16/50 | 1,720 | 1,954,918 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 10/26/21 | 1,325 | 1,322,588 | |||||||||||||
2.875% | 03/04/23 | 1,785 | 1,805,081 | |||||||||||||
4.000% | 04/17/25 | 1,035 | 1,100,981 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 1,800 | 1,816,273 | |||||||||||||
3.250% | 06/01/23 | 800 | 832,142 | |||||||||||||
Turkey Government International Bond (Turkey), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 06/05/20 | 1,710 | 1,748,578 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.100% | 06/18/50 | 680 | 764,157 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 38,533,240 | ||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.9% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
5.500% | 07/15/36 | (k) | 1,080 | $ | 1,507,407 | |||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 1,024 | 1,014,888 | |||||||||||||
2.500% | 03/01/30 | 544 | 548,994 | |||||||||||||
3.000% | 10/01/28 | 409 | 419,394 | |||||||||||||
3.000% | 06/01/29 | 986 | 1,009,064 | |||||||||||||
3.000% | 03/01/32 | 1,162 | 1,189,981 | |||||||||||||
3.000% | 01/01/37 | 579 | 589,852 | |||||||||||||
3.000% | 01/01/43 | 1,107 | 1,126,736 | |||||||||||||
3.000% | 07/01/43 | 2,180 | 2,218,870 | |||||||||||||
3.000% | 01/01/47 | 6,704 | 6,786,002 | |||||||||||||
3.500% | 03/01/42 | 669 | 695,481 | |||||||||||||
3.500% | 06/01/42 | 397 | 412,460 | |||||||||||||
3.500% | 01/01/47 | 1,320 | 1,362,733 | |||||||||||||
4.000% | 06/01/26 | 607 | 636,249 | |||||||||||||
4.000% | 09/01/26 | 301 | 313,929 | |||||||||||||
4.000% | 10/01/39 | 869 | 916,900 | |||||||||||||
4.000% | 12/01/40 | 428 | 451,482 | |||||||||||||
4.000% | 10/01/41 | 454 | 479,538 | |||||||||||||
4.000% | 01/01/42 | 167 | 176,334 | |||||||||||||
4.000% | 10/01/45 | 702 | 735,078 | |||||||||||||
4.000% | 07/01/48 | 12,570 | 13,053,978 | |||||||||||||
4.500% | 07/01/19 | — | (r) | 147 | ||||||||||||
4.500% | 07/01/20 | 14 | 13,944 | |||||||||||||
4.500% | 09/01/39 | 313 | 336,132 | |||||||||||||
4.500% | 10/01/39 | 1,799 | 1,932,938 | |||||||||||||
4.500% | 12/01/39 | 538 | 578,403 | |||||||||||||
4.500% | 07/01/41 | 282 | 300,128 | |||||||||||||
4.500% | 07/01/41 | 1,864 | 2,003,759 | |||||||||||||
4.500% | 08/01/41 | 135 | 142,146 | |||||||||||||
4.500% | 08/01/41 | 240 | 255,543 | |||||||||||||
4.500% | 08/01/41 | 520 | 559,289 | |||||||||||||
4.500% | 10/01/41 | 150 | 158,063 | |||||||||||||
4.500% | 10/01/46 | 377 | 397,617 | |||||||||||||
4.500% | 12/01/47 | 2,141 | 2,255,863 | |||||||||||||
4.500% | 08/01/48 | 1,252 | 1,315,882 | |||||||||||||
5.000% | 05/01/34 | 24 | 26,585 | |||||||||||||
5.000% | 05/01/34 | 245 | 268,295 | |||||||||||||
5.000% | 08/01/35 | 24 | 26,178 | |||||||||||||
5.000% | 09/01/35 | 34 | 37,122 | |||||||||||||
5.000% | 10/01/36 | 38 | 41,384 | |||||||||||||
5.000% | 05/01/37 | 25 | 27,118 | |||||||||||||
5.000% | 07/01/37 | 495 | 539,444 | |||||||||||||
5.000% | 09/01/38 | 59 | 63,943 | |||||||||||||
5.000% | 09/01/38 | 62 | 67,020 | |||||||||||||
5.000% | 09/01/38 | 71 | 77,069 | |||||||||||||
5.000% | 02/01/39 | 24 | 25,920 | |||||||||||||
5.000% | 06/01/39 | 64 | 69,991 | |||||||||||||
5.500% | 02/01/34 | 34 | 36,362 | |||||||||||||
5.500% | 04/01/34 | 315 | 340,300 | |||||||||||||
5.500% | 06/01/34 | 111 | 119,663 | |||||||||||||
5.500% | 06/01/34 | 164 | 181,861 | |||||||||||||
5.500% | 05/01/37 | 53 | 58,469 | |||||||||||||
5.500% | 02/01/38 | 430 | 469,549 | |||||||||||||
5.500% | 05/01/38 | 78 | 84,830 | |||||||||||||
5.500% | 07/01/38 | 390 | 423,533 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 03/01/32 | 190 | $ | 209,610 | ||||||||||||
6.000% | 12/01/33 | 52 | 56,732 | |||||||||||||
6.000% | 07/01/36 | 4 | 4,248 | |||||||||||||
6.000% | 12/01/36 | 9 | 10,286 | |||||||||||||
6.000% | 05/01/37 | 14 | 15,843 | |||||||||||||
6.000% | 12/01/37 | 30 | 32,947 | |||||||||||||
6.000% | 01/01/38 | 4 | 4,278 | |||||||||||||
6.000% | 01/01/38 | 15 | 17,137 | |||||||||||||
6.000% | 01/01/38 | 358 | 405,705 | |||||||||||||
6.000% | 10/01/38 | 82 | 92,584 | |||||||||||||
6.000% | 08/01/39 | 48 | 54,094 | |||||||||||||
6.750% | 03/15/31 | 500 | 727,178 | |||||||||||||
7.000% | 01/01/31 | 25 | 27,717 | |||||||||||||
7.000% | 06/01/31 | 30 | 33,226 | |||||||||||||
7.000% | 09/01/31 | 4 | 4,377 | |||||||||||||
7.000% | 10/01/31 | 47 | 55,058 | |||||||||||||
7.000% | 10/01/32 | 31 | 32,325 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | 08/01/31 | 1,428 | 1,413,518 | |||||||||||||
2.500% | 01/01/28 | 1,201 | 1,211,937 | |||||||||||||
2.500% | 10/01/43 | 1,053 | 1,049,902 | |||||||||||||
2.500% | 12/01/46 | 1,888 | 1,874,225 | |||||||||||||
3.000% | TBA | 9,000 | 9,069,434 | |||||||||||||
3.000% | 02/01/27 | 1,813 | 1,855,124 | |||||||||||||
3.000% | 08/01/30 | 1,096 | 1,120,012 | |||||||||||||
3.000% | 11/01/36 | 3,027 | 3,082,745 | |||||||||||||
3.000% | 12/01/42 | 1,314 | 1,336,934 | |||||||||||||
3.000% | 12/01/42 | 1,991 | 2,024,901 | |||||||||||||
3.000% | 11/01/46 | 380 | 384,465 | |||||||||||||
3.000% | 02/01/47 | 1,876 | 1,900,212 | |||||||||||||
3.000% | 03/01/47 | 1,411 | 1,429,264 | |||||||||||||
3.500% | TBA | 32,000 | 32,709,557 | |||||||||||||
3.500% | 11/01/32 | 475 | 494,246 | |||||||||||||
3.500% | 02/01/33 | 1,545 | 1,596,481 | |||||||||||||
3.500% | 05/01/33 | 2,954 | 3,053,177 | |||||||||||||
3.500% | 06/01/39 | 702 | 722,324 | |||||||||||||
3.500% | 01/01/42 | 6,806 | 7,066,073 | |||||||||||||
3.500% | 05/01/42 | 3,363 | 3,489,428 | |||||||||||||
3.500% | 07/01/42 | 882 | 915,290 | |||||||||||||
3.500% | 08/01/42 | 370 | 383,793 | |||||||||||||
3.500% | 08/01/42 | 1,127 | 1,169,585 | |||||||||||||
3.500% | 09/01/42 | 1,028 | 1,067,605 | |||||||||||||
3.500% | 09/01/42 | 1,770 | 1,838,123 | |||||||||||||
3.500% | 11/01/42 | 655 | 680,229 | |||||||||||||
3.500% | 03/01/43 | 3,275 | 3,410,945 | |||||||||||||
3.500% | 04/01/43 | 611 | 634,718 | |||||||||||||
3.500% | 04/01/43 | 1,592 | 1,652,651 | |||||||||||||
3.500% | 07/01/43 | 291 | 302,463 | |||||||||||||
3.500% | 06/01/45 | 7,463 | 7,697,185 | |||||||||||||
3.500% | 11/01/46 | 2,152 | 2,215,758 | |||||||||||||
3.500% | 05/01/48 | 2,668 | 2,740,400 | |||||||||||||
3.500% | 06/01/48 | 6,163 | 6,365,342 | |||||||||||||
4.000% | 12/01/36 | 1,158 | 1,211,668 | |||||||||||||
4.000% | 10/01/41 | 3,669 | 3,869,347 | |||||||||||||
4.000% | 07/01/44 | 1,391 | 1,464,957 | |||||||||||||
4.000% | 09/01/44 | 3,112 | 3,258,329 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.000% | 06/01/47 | 1,838 | $ | 1,918,217 | ||||||||||||
4.000% | 09/01/47 | 667 | 694,953 | |||||||||||||
4.000% | 11/01/47 | 1,183 | 1,250,848 | |||||||||||||
4.500% | 07/01/33 | 55 | 58,318 | |||||||||||||
4.500% | 08/01/33 | 14 | 15,004 | |||||||||||||
4.500% | 09/01/33 | 45 | 48,480 | |||||||||||||
4.500% | 10/01/33 | 135 | 144,237 | |||||||||||||
4.500% | 03/01/34 | 37 | 39,625 | |||||||||||||
4.500% | 01/01/35 | 3 | 3,238 | |||||||||||||
4.500% | 07/01/39 | 935 | 1,004,254 | |||||||||||||
4.500% | 08/01/39 | 712 | 764,683 | |||||||||||||
4.500% | 09/01/39 | 513 | 550,705 | |||||||||||||
4.500% | 12/01/39 | 5 | 5,711 | |||||||||||||
4.500% | 03/01/41 | 1,705 | 1,830,433 | |||||||||||||
4.500% | 07/01/42 | 147 | 158,270 | |||||||||||||
5.000% | 03/01/34 | 250 | 271,733 | |||||||||||||
5.000% | 04/01/35 | 599 | 653,198 | |||||||||||||
5.000% | 06/01/35 | 146 | 159,812 | |||||||||||||
5.000% | 07/01/35 | 114 | 124,679 | |||||||||||||
5.000% | 07/01/35 | 148 | 161,094 | |||||||||||||
5.000% | 09/01/35 | 86 | 93,616 | |||||||||||||
5.000% | 11/01/35 | 111 | 120,725 | |||||||||||||
5.000% | 02/01/36 | 83 | 90,970 | |||||||||||||
5.500% | 02/01/33 | 115 | 124,313 | |||||||||||||
5.500% | 08/01/33 | 203 | 224,017 | |||||||||||||
5.500% | 10/01/33 | 53 | 58,074 | |||||||||||||
5.500% | 12/01/33 | 59 | 65,454 | |||||||||||||
5.500% | 12/01/34 | 150 | 166,144 | |||||||||||||
5.500% | 10/01/35 | 639 | 709,719 | |||||||||||||
5.500% | 03/01/36 | 51 | 54,652 | |||||||||||||
5.500% | 04/01/36 | 113 | 125,212 | |||||||||||||
5.500% | 01/01/37 | 72 | 79,438 | |||||||||||||
5.500% | 04/01/37 | 39 | 43,092 | |||||||||||||
5.500% | 05/01/37 | 238 | 264,230 | |||||||||||||
5.500% | 08/01/37 | 287 | 318,676 | |||||||||||||
6.000% | 05/01/21 | 35 | 35,714 | |||||||||||||
6.000% | 10/01/33 | 266 | 296,581 | |||||||||||||
6.000% | 11/01/33 | 25 | 27,663 | |||||||||||||
6.000% | 11/01/33 | 31 | 33,627 | |||||||||||||
6.000% | 01/01/34 | 258 | 292,302 | |||||||||||||
6.000% | 02/01/34 | 112 | 126,514 | |||||||||||||
6.000% | 03/01/34 | 2 | 2,432 | |||||||||||||
6.000% | 03/01/34 | 14 | 14,828 | |||||||||||||
6.000% | 03/01/34 | 40 | 43,918 | |||||||||||||
6.000% | 11/01/34 | 37 | 41,073 | |||||||||||||
6.000% | 01/01/35 | 59 | 65,592 | |||||||||||||
6.000% | 01/01/35 | 145 | 159,773 | |||||||||||||
6.000% | 02/01/35 | 3 | 3,540 | |||||||||||||
6.000% | 02/01/35 | 110 | 120,341 | |||||||||||||
6.000% | 02/01/35 | 223 | 255,335 | |||||||||||||
6.000% | 04/01/35 | 19 | 21,179 | |||||||||||||
6.000% | 12/01/35 | 90 | 98,747 | |||||||||||||
6.000% | 05/01/36 | 41 | 46,599 | |||||||||||||
6.000% | 06/01/36 | 15 | 16,798 | |||||||||||||
6.000% | 02/01/37 | 77 | 86,824 | |||||||||||||
6.000% | 06/01/37 | 39 | 44,504 |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 05/01/38 | 201 | $ | 227,824 | ||||||||||||
6.250% | 05/15/29 | (k) | 1,935 | 2,611,890 | ||||||||||||
6.500% | 09/01/32 | 1 | 1,222 | |||||||||||||
6.500% | 09/01/32 | 9 | 10,212 | |||||||||||||
6.500% | 09/01/32 | 14 | 15,122 | |||||||||||||
6.500% | 09/01/32 | 42 | 47,168 | |||||||||||||
6.500% | 09/01/32 | 45 | 50,402 | |||||||||||||
6.500% | 10/01/32 | 45 | 50,496 | |||||||||||||
6.500% | 04/01/33 | 68 | 78,761 | |||||||||||||
6.500% | 11/01/33 | 22 | 24,403 | |||||||||||||
6.500% | 01/01/34 | 44 | 48,685 | |||||||||||||
6.500% | 09/01/34 | 51 | 56,410 | |||||||||||||
6.500% | 10/01/34 | 73 | 80,850 | |||||||||||||
6.500% | 09/01/36 | 137 | 161,242 | |||||||||||||
6.500% | 10/01/36 | 41 | 47,724 | |||||||||||||
6.500% | 11/01/36 | 39 | 42,745 | |||||||||||||
6.500% | 01/01/37 | 40 | 44,363 | |||||||||||||
6.500% | 01/01/37 | 109 | 121,331 | |||||||||||||
6.500% | 09/01/37 | 18 | 21,200 | |||||||||||||
6.625% | 11/15/30 | (k) | 550 | 786,317 | ||||||||||||
7.000% | 02/01/32 | 31 | 35,335 | |||||||||||||
7.000% | 05/01/32 | 15 | 18,176 | |||||||||||||
7.000% | 06/01/32 | 14 | 15,886 | |||||||||||||
7.000% | 07/01/32 | 57 | 64,538 | |||||||||||||
7.125% | 01/15/30 | (k) | 3,600 | 5,221,595 | ||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.500% | 03/20/43 | 813 | 825,919 | |||||||||||||
2.500% | 12/20/46 | 1,021 | 1,027,272 | |||||||||||||
3.000% | 03/15/45 | 1,306 | 1,333,718 | |||||||||||||
3.000% | 11/20/45 | 1,422 | 1,456,056 | |||||||||||||
3.000% | 03/20/46 | 9,431 | 9,654,887 | |||||||||||||
3.000% | 07/20/46 | 3,703 | 3,790,571 | |||||||||||||
3.000% | 12/20/46 | 1,368 | 1,400,138 | |||||||||||||
3.000% | 02/20/47 | 2,773 | 2,838,596 | |||||||||||||
3.500% | TBA | 14,000 | 14,450,625 | |||||||||||||
3.500% | 12/20/42 | 2,058 | 2,147,196 | |||||||||||||
3.500% | 05/20/43 | 422 | 439,657 | |||||||||||||
3.500% | 03/20/45 | 1,861 | 1,931,384 | |||||||||||||
3.500% | 04/20/45 | 2,623 | 2,720,863 | |||||||||||||
3.500% | 07/20/46 | 9,538 | 9,870,539 | |||||||||||||
4.000% | 06/15/40 | 177 | 188,542 | |||||||||||||
4.000% | 05/20/41 | 330 | 349,291 | |||||||||||||
4.000% | 12/20/42 | 696 | 736,333 | |||||||||||||
4.000% | 08/20/44 | 329 | 345,700 | |||||||||||||
4.000% | 11/20/45 | 1,873 | 1,974,628 | |||||||||||||
4.000% | 12/20/45 | 1,979 | 2,086,069 | |||||||||||||
4.000% | 11/20/46 | 480 | 503,858 | |||||||||||||
4.000% | 09/20/47 | 8,445 | 8,804,959 | |||||||||||||
4.500% | 04/15/40 | 777 | 836,934 | |||||||||||||
4.500% | 01/20/41 | 1,443 | 1,539,341 | |||||||||||||
4.500% | 02/20/41 | 916 | 977,417 | |||||||||||||
4.500% | 06/20/44 | 993 | 1,058,721 | |||||||||||||
4.500% | 09/20/46 | 601 | 639,114 | |||||||||||||
4.500% | 11/20/46 | 1,209 | 1,291,711 | |||||||||||||
4.500% | 03/20/47 | 1,234 | 1,304,937 | |||||||||||||
4.500% | 05/20/48 | 2,149 | 2,240,965 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.500% | 06/20/48 | 2,952 | $ | 3,087,387 | ||||||||||||
4.500% | 08/20/48 | 9,144 | 9,552,935 | |||||||||||||
5.000% | 10/20/37 | 134 | 145,977 | |||||||||||||
5.000% | 04/20/45 | 880 | 964,740 | |||||||||||||
5.500% | 11/15/32 | 81 | 89,189 | |||||||||||||
5.500% | 02/15/33 | 61 | 67,259 | |||||||||||||
5.500% | 08/15/33 | 120 | 130,981 | |||||||||||||
5.500% | 08/15/33 | 164 | 174,418 | |||||||||||||
5.500% | 09/15/33 | 44 | 46,795 | |||||||||||||
5.500% | 09/15/33 | 84 | 92,887 | |||||||||||||
5.500% | 10/15/33 | 84 | 93,692 | |||||||||||||
5.500% | 12/15/33 | 13 | 14,281 | |||||||||||||
5.500% | 04/15/34 | 350 | 394,808 | |||||||||||||
5.500% | 07/15/35 | 72 | 81,150 | |||||||||||||
5.500% | 02/15/36 | 118 | 131,930 | |||||||||||||
6.000% | 02/15/33 | 3 | 3,207 | |||||||||||||
6.000% | 04/15/33 | 19 | 20,459 | |||||||||||||
6.000% | 09/15/33 | 19 | 21,983 | |||||||||||||
6.000% | 12/15/33 | 40 | 45,418 | |||||||||||||
6.000% | 12/15/33 | 103 | 112,719 | |||||||||||||
6.000% | 01/15/34 | 21 | 23,984 | |||||||||||||
6.000% | 01/15/34 | 35 | 39,230 | |||||||||||||
6.000% | 06/20/34 | 77 | 88,609 | |||||||||||||
6.000% | 07/15/34 | 170 | 194,176 | |||||||||||||
6.000% | 10/15/34 | 197 | 220,022 | |||||||||||||
6.500% | 10/15/23 | 1 | 992 | |||||||||||||
6.500% | 12/15/23 | 3 | 3,851 | |||||||||||||
6.500% | 01/15/24 | 1 | 1,382 | |||||||||||||
6.500% | 01/15/24 | 2 | 1,887 | |||||||||||||
6.500% | 01/15/24 | 4 | 4,668 | |||||||||||||
6.500% | 01/15/24 | 13 | 14,662 | |||||||||||||
6.500% | 01/15/24 | 18 | 19,976 | |||||||||||||
6.500% | 01/15/24 | 53 | 57,784 | |||||||||||||
6.500% | 02/15/24 | — | (r) | 330 | ||||||||||||
6.500% | 02/15/24 | — | (r) | 456 | ||||||||||||
6.500% | 02/15/24 | 2 | 2,511 | |||||||||||||
6.500% | 02/15/24 | 2 | 2,705 | |||||||||||||
6.500% | 02/15/24 | 4 | 4,114 | |||||||||||||
6.500% | 02/15/24 | 8 | 8,873 | |||||||||||||
6.500% | 02/15/24 | 11 | 11,821 | |||||||||||||
6.500% | 02/15/24 | 11 | 12,563 | |||||||||||||
6.500% | 02/15/24 | 16 | 17,253 | |||||||||||||
6.500% | 02/15/24 | 28 | 31,068 | |||||||||||||
6.500% | 04/15/24 | 2 | 1,977 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,099 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,110 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,483 | |||||||||||||
6.500% | 04/15/24 | 4 | 4,384 | |||||||||||||
6.500% | 04/15/24 | 4 | 4,543 | |||||||||||||
6.500% | 04/15/24 | 12 | 13,299 | |||||||||||||
6.500% | 05/15/24 | 12 | 12,712 | |||||||||||||
6.500% | 05/15/24 | 14 | 15,763 | |||||||||||||
6.500% | 10/15/24 | 17 | 18,660 | |||||||||||||
6.500% | 12/15/30 | 8 | 8,387 | |||||||||||||
6.500% | 01/15/32 | 21 | 23,952 | |||||||||||||
6.500% | 02/15/32 | 17 | 18,465 |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.500% | 07/15/32 | 42 | $ | 45,862 | ||||||||||||
6.500% | 08/15/32 | 6 | 6,239 | |||||||||||||
6.500% | 08/15/32 | 8 | 8,906 | |||||||||||||
6.500% | 08/15/32 | 28 | 31,033 | |||||||||||||
6.500% | 08/15/32 | 207 | 241,954 | |||||||||||||
6.500% | 06/15/35 | 5 | 5,778 | |||||||||||||
6.500% | 06/15/35 | 39 | 44,740 | |||||||||||||
6.500% | 07/15/35 | 7 | 7,688 | |||||||||||||
8.000% | 01/15/24 | 7 | 7,214 | |||||||||||||
8.000% | 04/15/25 | 5 | 5,383 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 287,873,841 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.750% | 11/15/43 | (h) | 2,900 | 3,569,945 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS |
| |||||||||||||||
0.875% | 01/15/29 | 8,410 | 8,852,269 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
1.125% | 02/28/21 | 640 | 632,775 | |||||||||||||
1.375% | 04/30/21 | 1,460 | 1,449,221 | |||||||||||||
1.625% | 04/30/23 | 530 | 527,909 | |||||||||||||
2.000% | 05/31/24 | 7,785 | 7,876,535 | |||||||||||||
2.250% | 11/15/27 | 2,430 | 2,487,712 | |||||||||||||
2.375% | 08/15/24 | 3,135 | 3,226,846 | |||||||||||||
2.375% | 05/15/29 | 8,640 | 8,928,562 | |||||||||||||
2.500% | 12/31/20 | (k) | 2,705 | 2,731,205 | ||||||||||||
2.625% | 11/15/20 | 1,000 | 1,010,273 | |||||||||||||
2.750% | 04/30/23 | (k) | 570 | 591,375 | ||||||||||||
3.125% | 11/15/28 | (k) | 6,070 | 6,657,794 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.184%(s) | 02/15/28 | 615 | 515,750 | |||||||||||||
2.241%(s) | 05/15/28 | (k) | 2,553 | 2,126,242 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 51,184,413 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,982,185,603 | ||||||||||||||
|
|
Shares | ||||||||
SHORT-TERM INVESTMENTS — 8.1% |
| |||||||
AFFILIATED MUTUAL FUNDS — 8.1% |
| |||||||
PGIM Core Short-Term Bond | 8,496,730 | 78,424,822 | ||||||
PGIM Core Ultra Short Bond | 165,312,403 | 165,312,403 | ||||||
PGIM Institutional Money Market Fund (cost $91,758,797; includes $91,594,489 of cash collateral for securities on loan)(b)(w) | 91,753,960 | 91,781,487 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 335,518,712 | ||||||
|
|
Interest | Maturity Date |
| Principal Amount (000)# | Value | ||||||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.0% |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
2.172% | 09/19/19 | 150 | $ | 149,307 | ||||||||||||
(cost $149,280) | ||||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.0% |
| 944,550 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 336,612,569 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—103.6% |
| 4,318,798,172 | ||||||||||||||
|
| |||||||||||||||
OPTIONS WRITTEN*~ — (0.0)% |
| (65,725 | ) | |||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—103.6% |
| 4,318,732,447 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.6)% |
| (151,220,021 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 4,167,512,426 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $(702,290) and (0.0)% 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 $89,919,062; cash collateral of $91,594,489 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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 June 30, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
(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. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, 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: |
Forward Commitment Contracts
U.S. Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | |||||||||||||||
Federal National Mortgage Assoc. | 2.500 | % | TBA | 08/13/19 | (2,750 | ) | $ | (2,726,797 | ) | |||||||||||
|
|
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
2 Year U.S. Treasury Notes Futures | Put | 08/23/19 | $ | 107.00 | 577 | 1,154 | $ | 63,110 | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 123.00 | 187 | 187 | 2,922 | |||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 126.00 | 187 | 187 | 14,609 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 07/12/19 | $ | 97.75 | 263 | 658 | 1,644 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.13 | 639 | 1,598 | 11,981 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.25 | 263 | 658 | 13,150 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 08/16/19 | $ | 97.75 | 263 | 658 | 1,644 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 08/16/19 | $ | 98.25 | 263 | 658 | 37,806 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 09/13/19 | $ | 97.75 | 263 | 658 | 3,287 | |||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 09/13/19 | $ | 98.25 | 263 | 658 | 52,600 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded(cost $646,677) | $ | 202,753 | ||||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Morgan Stanley & Co. International PLC | 11/21/19 | 0.13 | % | — | 600 | $ | 5,844 | |||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/21/19 | 0.12 | % | — | 900 | 9,295 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 3,379 | 48,930 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 3,285 | 47,417 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 8,212 | 111,305 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 16,302 | 231,762 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 16,540 | 241,010 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 3,285 | 45,862 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded(cost $23,424) | $ | 741,425 | ||||||||||||||||||||||||
|
|
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||||||
30- Year Interest Rate Swap, 08/19/49 | Put | Citibank, N.A. | 08/15/19 | 2.66 | % | 3 Month LIBOR | (Q) | 2.66 | %(S) | 740 | $ | 372 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Total Options Purchased(cost $678,389) |
| $ | 944,550 | |||||||||||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A98
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 124.50 | 374 | 374 | $ | (5,844 | ) | |||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 07/12/19 | $ | 97.88 | 639 | 1,598 | (3,994 | ) | ||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.00 | 526 | 1,315 | (3,287 | ) | ||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 08/16/19 | $ | 98.00 | 526 | 1,315 | (19,725 | ) | ||||||||||||||||
Eurodollar1-Year Mid Curve Futures | Put | 09/13/19 | $ | 98.00 | 526 | 1,315 | (32,875 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Options Written(premiums received $249,286) | $ | (65,725 | ) | |||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2019:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
417 | 2 Year U.S. Treasury Notes | Sep. 2019 | $ | 89,729,930 | $ | 506,626 | ||||||||||
2,323 | 5 Year U.S. Treasury Notes | Sep. 2019 | 274,476,969 | 4,070,150 | ||||||||||||
434 | 10 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 59,946,250 | 1,919,867 | ||||||||||||
853 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 151,460,812 | 6,905,353 | ||||||||||||
9 | Mini MSCI EAFE Index | Sep. 2019 | 865,485 | 15,450 | ||||||||||||
|
| |||||||||||||||
13,417,446 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
8 | 10 Year Euro-Bund | Sep. 2019 | 1,571,381 | (24,000 | ) | |||||||||||
157 | 10 Year U.S. Treasury Notes | Sep. 2019 | 20,091,094 | (41,163 | ) | |||||||||||
764 | 20 Year U.S. Treasury Bonds | Sep. 2019 | 118,873,625 | (4,649,903 | ) | |||||||||||
|
| |||||||||||||||
(4,715,066 | ) | |||||||||||||||
|
| |||||||||||||||
$ | 8,702,380 | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2019:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/19 | Citibank, N.A. | EUR | 9,088 | $ | 10,359,594 | $ | 10,337,884 | $ | — | $ | (21,710 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/19 | Citibank, N.A. | EUR 9,088 | $ | 10,205,408 | $ | 10,337,884 | $ | — | $ | (132,476 | ) | |||||||||||||
Expiring 08/02/19 | Citibank, N.A. | EUR 9,088 | 10,385,858 | 10,364,900 | 20,958 | — | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 20,591,266 | $ | 20,702,784 | $ | 20,958 | $ | (132,476 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 20,958 | $ | (154,186 | ) | ||||||||||||||||||||
|
|
|
|
Credit default swap agreements outstanding at June 30, 2019:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.32.V1 | 06/20/29 | 1.000%(Q) | 39,000 | $ | 546,946 | $ | 93,132 | $ | (453,814 | ) | ||||||||||||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A99
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 includeup-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. |
Forward rate agreements outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date(5) | Fixed Rate | Floating | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Forward Rate Agreements^: | ||||||||||||||||||||||||||
135,500 | 07/15/19 | —(3) | —(3) | $ | (218,137 | ) | $ | — | $ | (218,137 | ) | Citigroup Global Markets Inc. | ||||||||||||||
260,300 | 07/24/19 | —(4) | —(4) | (484,153 | ) | — | (484,153 | ) | Citigroup Global Markets Inc. | |||||||||||||||||
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$ | (702,290 | ) | $ | — | $ | (702,290 | ) | |||||||||||||||||||
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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. |
(3) | The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.366% upon termination. |
(4) | The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.338% upon termination. |
(5) | The Portfolio may choose to terminate these agreements at any time prior to the stated termination date. |
Interest rate swap agreements outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
EUR | 3,905 | 05/11/24 | 0.050%(A) | 1 Day EONIA(1)(A) | $ | (43,095 | ) | $ | (102,681 | ) | $ | (59,586 | ) | |||||||||||
EUR | 1,390 | 05/11/39 | 1.100%(A) | 1 Day EONIA(1)(A) | (12,624 | ) | (191,497 | ) | (178,873 | ) | ||||||||||||||
24,360 | 03/23/21 | 2.370%(A) | 1 Day USOIS(1)(A) | — | (320,572 | ) | (320,572 | ) | ||||||||||||||||
12,277 | 03/31/21 | 2.173%(A) | 1 Day USOIS(2)(A) | (4,128 | ) | 122,499 | 126,627 | |||||||||||||||||
685 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (16,055 | ) | (16,055 | ) | ||||||||||||||||
33,700 | 03/29/24 | 1.949%(A) | 1 Day USOIS(1)(A) | — | (641,390 | ) | (641,390 | ) | ||||||||||||||||
610 | 05/15/24 | 1.808%(A) | 1 Day USOIS(1)(A) | — | (8,028 | ) | (8,028 | ) | ||||||||||||||||
20,135 | 08/15/24 | 2.170%(S) | 3 Month LIBOR(1)(Q) | 49,779 | (504,577 | ) | (554,356 | ) | ||||||||||||||||
14,985 | 11/15/24 | 2.334%(S) | 3 Month LIBOR(1)(Q) | 46,829 | (430,713 | ) | (477,542 | ) | ||||||||||||||||
10,320 | 02/12/25 | 2.408%(A) | 1 Day USOIS(1)(A) | — | (488,650 | ) | (488,650 | ) | ||||||||||||||||
4,710 | 02/28/25 | 2.454%(A) | 1 Day USOIS(1)(A) | — | (237,435 | ) | (237,435 | ) | ||||||||||||||||
6,432 | 05/31/25 | 2.998%(S) | 3 Month LIBOR(1)(Q) | (4,468 | ) | (441,177 | ) | (436,709 | ) | |||||||||||||||
3,575 | 07/31/25 | 2.802%(A) | 1 Day USOIS(1)(A) | — | (269,323 | ) | (269,323 | ) | ||||||||||||||||
4,870 | 07/31/25 | 3.105%(S) | 3 Month LIBOR(1)(Q) | 3,842 | (411,476 | ) | (415,318 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2019 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
16,149 | 07/31/25 | 3.109%(S) | 3 Month LIBOR(1)(Q) | $ | 1,001 | $ | (1,368,894 | ) | $ | (1,369,895 | ) | |||||||||||||
36,240 | 01/08/26 | 2.210%(S) | 3 Month LIBOR(1)(Q) | 294,382 | (1,064,219 | ) | (1,358,601 | ) | ||||||||||||||||
860 | 01/31/26 | 2.236%(S) | 3 Month LIBOR(1)(Q) | — | (22,862 | ) | (22,862 | ) | ||||||||||||||||
5,960 | 01/31/26 | 2.269%(A) | 1 Day USOIS(1)(A) | (24,421 | ) | (264,558 | ) | (240,137 | ) | |||||||||||||||
8,033 | 02/15/27 | 1.824%(A) | 1 Day USOIS(1)(A) | 90,939 | (108,032 | ) | (198,971 | ) | ||||||||||||||||
1,575 | 02/15/27 | 1.899%(A) | 1 Day USOIS(1)(A) | 1,997 | (30,209 | ) | (32,206 | ) | ||||||||||||||||
1,325 | 02/15/27 | 1.965%(A) | 1 Day USOIS(1)(A) | — | (32,069 | ) | (32,069 | ) | ||||||||||||||||
4,595 | 02/15/27 | 2.067%(A) | 1 Day USOIS(1)(A) | (2,908 | ) | (147,159 | ) | (144,251 | ) | |||||||||||||||
1,580 | 05/15/27 | 1.823%(A) | 1 Day USOIS(1)(A) | — | (23,090 | ) | (23,090 | ) | ||||||||||||||||
655 | 05/15/27 | 2.295%(S) | 3 Month LIBOR(1)(Q) | — | (20,519 | ) | (20,519 | ) | ||||||||||||||||
25,041 | 08/15/28 | 2.579%(A) | 1 Day USOIS(1)(A) | (365,234 | ) | (1,960,928 | ) | (1,595,694 | ) | |||||||||||||||
11,635 | 08/15/28 | 2.835%(S) | 3 Month LIBOR(1)(Q) | (50,614 | ) | (949,663 | ) | (899,049 | ) | |||||||||||||||
290 | 11/15/43 | 2.659%(S) | 3 Month LIBOR(1)(Q) | — | (26,132 | ) | (26,132 | ) | ||||||||||||||||
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$ | (18,723 | ) | $ | (9,959,409 | ) | $ | (9,940,686 | ) | ||||||||||||||||
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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. |
Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Forward Rate Agreements | $ | — | $ | — | $ | — | $ | (702,290 | ) |
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. | $ | — | $ | 11,383,593 | ||||
Goldman Sachs & Co. LLC | — | 149,307 | ||||||
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Total | $ | — | $ | 11,532,900 | ||||
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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 June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks. | $ | 2,479,364,657 | $ | 35,040,679 | $ | — | ||||||
Exchange-Traded Fund | 334,434 | — | — | |||||||||
Preferred Stocks | 606,980 | 155,813 | — | |||||||||
Rights. | — | 6,037 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 88,340,568 | — | |||||||||
Collateralized Loan Obligations | — | 124,220,671 | — | |||||||||
Consumer Loans | — | 6,479,650 | — | |||||||||
Credit Cards | — | 12,415,202 | — | |||||||||
Equipment | — | 9,626,470 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Home Equity Loans | $ | — | $ | 2,842,763 | $ | — | ||||||
Other | — | 7,980,368 | — | |||||||||
Residential Mortgage-Backed Securities | — | 25,990,825 | — | |||||||||
Student Loans | — | 30,890,540 | — | |||||||||
Bank Loans. | — | 1,892,647 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 273,287,112 | — | |||||||||
Corporate Bonds | — | 421,239,351 | — | |||||||||
Municipal Bonds. | — | 17,374,266 | — | |||||||||
Residential Mortgage-Backed Securities | — | 66,505,076 | — | |||||||||
Sovereign Bonds | — | 38,533,240 | — | |||||||||
U.S. Government Agency Obligations | — | 287,873,841 | — | |||||||||
U.S. Treasury Obligations. | — | 51,333,720 | — | |||||||||
Affiliated Mutual Funds | 335,518,712 | — | — | |||||||||
Options Purchased | 202,753 | 741,797 | — | |||||||||
Options Written | (65,725 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Forward Commitment Contract | — | (2,726,797 | ) | — | ||||||||
Futures Contracts | 8,702,380 | — | — | |||||||||
OTC Forward Foreign Currency Exchange Contracts | — | (133,228 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | (453,814 | ) | — | ||||||||
OTC Forward Rate Agreements | — | — | (702,290 | ) | ||||||||
Centrally Cleared Interest Rate Swap Agreements. | — | (9,940,686 | ) | — | ||||||||
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Total | $ | 2,824,664,191 | $ | 1,489,516,111 | $ | (702,290 | ) | |||||
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* | Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at the net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Affiliated Mutual Funds (2.2% represents investments purchased with collateral from securities on loan) | 8.1 | % | ||
U.S. Government Agency Obligations | 6.9 | |||
Commercial Mortgage-Backed Securities | 6.6 | |||
Banks | 6.5 | |||
Software | 4.7 | |||
Pharmaceuticals | 3.1 | |||
Interactive Media & Services | 3.0 | |||
IT Services | 3.0 | |||
Collateralized Loan Obligations | 3.0 | |||
Automobiles | 2.8 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Health Care Equipment & Supplies | 2.5 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Residential Mortgage-Backed Securities | 2.2 | |||
Aerospace & Defense | 2.2 | |||
Internet & Direct Marketing Retail | 1.9 | |||
Biotechnology | 1.8 | |||
Semiconductors & Semiconductor Equipment | 1.8 | |||
Insurance | 1.7 | |||
Beverages | 1.6 | |||
Diversified Telecommunication Services | 1.6 | |||
Capital Markets | 1.6 | |||
Chemicals | 1.4 | |||
Health Care Providers & Services | 1.4 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 |
Hotels, Restaurants & Leisure | 1.3 | % | ||
U.S. Treasury Obligations | 1.2 | |||
Food Products | 1.2 | |||
Diversified Financial Services | 1.1 | |||
Communications Equipment | 1.0 | |||
Media | 1.0 | |||
Specialty Retail | 1.0 | |||
Tobacco | 1.0 | |||
Life Sciences Tools & Services | 1.0 | |||
Electric | 1.0 | |||
Sovereign Bonds | 0.9 | |||
Student Loans | 0.7 | |||
Entertainment | 0.7 | |||
Electric Utilities | 0.7 | |||
Industrial Conglomerates | 0.7 | |||
Consumer Finance | 0.7 | |||
Road & Rail | 0.7 | |||
Household Products | 0.6 | |||
Machinery | 0.6 | |||
Oil & Gas | 0.5 | |||
Multi-Utilities | 0.5 | |||
Building Products | 0.5 | |||
Food & Staples Retailing | 0.5 | |||
Independent Power & Renewable Electricity Producers | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Telecommunications | 0.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t)
Auto Manufacturers | 0.4 | % | ||
Municipal Bonds | 0.4 | |||
Distributors | 0.4 | |||
Pipelines | 0.4 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Credit Cards | 0.3 | |||
Foods | 0.3 | |||
Gas Utilities | 0.3 | |||
Real Estate Management & Development | 0.3 | |||
Construction & Engineering | 0.3 | |||
Construction Materials | 0.3 | |||
Airlines | 0.3 | |||
Equipment | 0.2 | |||
Multiline Retail | 0.2 | |||
Metals & Mining | 0.2 | |||
Retail | 0.2 | |||
Other | 0.2 | |||
Consumer Loans | 0.2 | |||
Commercial Services | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Mortgage Real Estate Investment Trusts (REITs) | 0.1 | |||
Electrical Equipment | 0.1 | |||
Healthcare-Services | 0.1 | |||
Transportation Infrastructure | 0.1 | |||
Professional Services | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Multi-National | 0.1 | |||
Diversified Consumer Services | 0.1 | |||
Agriculture | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Gas | 0.1 | |||
Building Materials | 0.1 |
Home Equity Loans | 0.1 | % | ||
Semiconductors | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Transportation | 0.1 | |||
Housewares | 0.1 | |||
Air Freight & Logistics | 0.0 | * | ||
Savings & Loans | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Miscellaneous Manufacturing | 0.0 | * | ||
Engineering & Construction | 0.0 | * | ||
Healthcare-Products | 0.0 | * | ||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Machinery-Diversified | 0.0 | * | ||
Personal Products | 0.0 | * | ||
Commercial Services & Supplies | 0.0 | * | ||
Lodging | 0.0 | * | ||
Mining | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Electronics | 0.0 | * | ||
Containers & Packaging | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Household Durables | 0.0 | * | ||
Auto Components | 0.0 | * | ||
Exchange-Traded Fund | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
Computers | 0.0 | * | ||
Leisure Products | 0.0 | * | ||
Marine | 0.0 | * | ||
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103.6 | ||||
Options Written | (0.0 | )* | ||
Liabilities in excess of other assets | (3.6 | ) | ||
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100.0 | % | |||
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* | 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 June 30, 2019 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Credit contracts | — | $ | — | Due from/to broker — variation margin swaps | $ | 453,814 | * | |||||
Equity contracts | Due from/to broker — variation margin futures | 15,450 | * | — | — | |||||||
Equity contracts | Unaffiliated investments | 6,037 | — | — | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 20,958 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 154,186 | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 13,401,996 | * | Due from/to broker — variation margin futures | 4,715,066 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 126,627 | * | Due from/to broker — variation margin swaps | 10,067,313 | * |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Interest rate contracts | Unaffiliated investments | $ | 944,550 | Options written outstanding, at value | $ | 65,725 | ||||||
Interest rate contracts | — | — | Unrealized depreciation on OTC forward rate agreements | 702,290 | ||||||||
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$ | 14,515,618 | $ | 16,158,394 | |||||||||
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* | 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 six months ended June 30, 2019 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 Currency Contracts | Forward Rate Agreements | Swaps | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (32,422 | ) | |||||||||||
Equity contracts | — | — | 61,346 | — | — | — | ||||||||||||||||||
Foreign exchange contracts | — | — | — | 232,953 | — | — | ||||||||||||||||||
Interest rate contracts | (1,325 | ) | 55,675 | 14,390,061 | — | 49,263 | 1,159,567 | |||||||||||||||||
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Total | $ | (1,325 | ) | $ | 55,675 | $ | 14,451,407 | $ | 232,953 | $ | 49,263 | $ | 1,127,145 | |||||||||||
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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) | Options Written | Futures | Forward Currency Exchange Contracts | Forward Rate Agreements | Swaps | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,237,024 | ) | |||||||||||||
Equity contracts | (133 | ) | — | — | 31,852 | — | — | — | ||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | (47,109 | ) | — | — | ||||||||||||||||||||
Interest rate contracts | — | (206,071 | ) | 183,561 | 1,902,421 | — | (628,167 | ) | (11,107,468 | ) | ||||||||||||||||||
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Total | $ | (133 | ) | $ | (206,071 | ) | $ | 183,561 | $ | 1,934,273 | $ | (47,109 | ) | $ | (628,167 | ) | $ | (12,344,492 | ) | |||||||||
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(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures | Futures | Forward Foreign | ||||
$299,076 | $2,449,667 | $574,320,289 | $156,954,020 | $3,453,198 |
Forward Foreign | Forward Rate | Interest Rate | Credit Default | |||
$12,866,733 | $330,566,667 | $282,886,599 | $39,000,000 |
Inflation Swap |
$3,640,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 toset-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. | $ | 89,919,062 | $ | (89,919,062 | ) | $ | — | |||||
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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. | $ | 584,077 | $ | — | $ | 584,077 | $ | (551,184 | ) | $ | 32,893 | |||||||||
Barclays Bank PLC | 151,504 | — | 151,504 | — | 151,504 | |||||||||||||||
Citibank, N.A. | 21,330 | (154,186 | ) | (132,856 | ) | — | (132,856 | ) | ||||||||||||
Citigroup Global Markets Inc. | — | (702,290 | ) | (702,290 | ) | 702,290 | — | |||||||||||||
Morgan Stanley & Co. International PLC | 5,844 | — | 5,844 | — | 5,844 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 762,755 | $ | (856,476 | ) | $ | (93,721 | ) | $ | 151,106 | $ | 57,385 | |||||||||
|
|
|
|
|
|
|
|
|
|
(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.
A105
FLEXIBLE MANAGED PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $89,919,062: | ||||
Unaffiliated investments (cost $3,417,550,011) . | $ | 3,983,279,460 | ||
Affiliated investments (cost $338,890,564) | 335,518,712 | |||
Foreign currency, at value (cost $399,697) | 402,039 | |||
Receivable for investments sold | 98,959,118 | |||
Dividends and interest receivable | 11,184,062 | |||
Tax reclaim receivable | 515,409 | |||
Due from broker-variation margin swaps | 111,984 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 20,958 | |||
Receivable from affiliate | 3,855 | |||
Receivable for Portfolio shares sold | 1,984 | |||
Prepaid expenses and other assets | 13,591 | |||
|
| |||
Total Assets | 4,430,011,172 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 163,393,215 | |||
Payable to broker for collateral for securities on loan | 91,594,489 | |||
Forward commitment contracts, at value (proceeds receivable $2,711,113) | 2,726,797 | |||
Management fee payable. | 2,023,909 | |||
Unrealized depreciation on OTC forward rate agreements | 702,290 | |||
Accrued expenses and other liabilities | 529,456 | |||
Payable for Portfolio shares repurchased | 495,505 | |||
Payable to custodian. | 454,125 | |||
Payable to affiliate | 279,470 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 154,186 | |||
Due to broker-variation margin futures | 78,599 | |||
Options written outstanding, at value (proceeds received $249,286) | 65,725 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 262,498,746 | |||
|
| |||
NET ASSETS | $ | 4,167,512,426 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 4,167,512,426 | ||
|
| |||
Net asset value and redemption price per share, $4,167,512,426 / 129,725,325 outstanding shares of beneficial interest | $ | 32.13 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $101,462 foreign withholding tax, of which $11,436 is reimbursable by an affiliate) | $ | 26,280,190 | ||
Interest income (net of $1,931 foreign withholding tax) | 24,285,704 | |||
Affiliated dividend income | 3,677,620 | |||
Income from securities lending, net (including affiliated income of $78,530) | 86,189 | |||
|
| |||
Total income | 54,329,703 | |||
|
| |||
EXPENSES | ||||
Management fee. | 12,095,571 | |||
Custodian and accounting fees | 216,773 | |||
Shareholders’ reports | 196,143 | |||
Trustees’ fees | 26,884 | |||
Audit fee. | 22,477 | |||
Legal fees and expenses. | 12,008 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 42,497 | |||
|
| |||
Total expenses | 12,617,650 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 41,712,053 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,265) | 85,242,459 | |||
Futures transactions. | 14,451,407 | |||
Forward rate agreement transactions | 49,263 | |||
Forward currency contract transactions | 232,953 | |||
Options written transactions | 55,675 | |||
Swap agreements transactions | 1,127,145 | |||
Foreign currency transactions | (18,409 | ) | ||
|
| |||
101,140,493 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $190,592) | 331,397,539 | |||
Futures | 1,934,273 | |||
Forward rate agreements | (628,167 | ) | ||
Forward currency contracts. | (47,109 | ) | ||
Options written | 183,561 | |||
Swap agreements. | (12,344,492 | ) | ||
Foreign currencies | 4,294 | |||
|
| |||
320,499,899 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 421,640,392 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 463,352,445 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 41,712,053 | $ | 72,609,431 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 101,140,493 | 235,710,436 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 320,499,899 | (472,582,378 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 463,352,445 | (164,262,511 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [89,980 and 233,974 shares, respectively] | 2,767,167 | 7,057,478 | ||||||
Portfolio shares repurchased [4,281,087 and 7,894,348 shares, respectively] | (132,148,703 | ) | (239,041,615 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (129,381,536 | ) | (231,984,137 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 14,632 | 72,588 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 333,985,541 | (396,174,060 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,833,526,885 | 4,229,700,945 | ||||||
|
|
|
| |||||
End of period. | $ | 4,167,512,426 | $ | 3,833,526,885 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A106
GLOBAL PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 96.7% | ||||||||
COMMON STOCKS — 96.1% | Shares | Value | ||||||
Australia — 2.0% |
| |||||||
AGL Energy Ltd. | 66,200 | $ | 929,788 | |||||
Aristocrat Leisure Ltd. | 105,638 | 2,276,966 | ||||||
Ausdrill Ltd. | 123,200 | 158,385 | ||||||
Caltex Australia Ltd. | 26,000 | 451,994 | ||||||
Coca-Cola Amatil Ltd. | 166,300 | 1,192,587 | ||||||
CSL Ltd. | 28,046 | 4,241,836 | ||||||
CSR Ltd. | 334,900 | 918,812 | ||||||
Fortescue Metals Group Ltd. | 201,900 | 1,280,357 | ||||||
Harvey Norman Holdings Ltd.(a) | 247,700 | 708,995 | ||||||
Inghams Group Ltd. | 268,900 | 759,214 | ||||||
Lendlease Group | 101,800 | 929,491 | ||||||
Macquarie Group Ltd. | 47,586 | 4,188,273 | ||||||
Metcash Ltd. | 412,500 | 742,674 | ||||||
Mineral Resources Ltd. | 49,500 | 521,933 | ||||||
Qantas Airways Ltd. | 387,619 | 1,468,834 | ||||||
Rio Tinto Ltd. | 26,000 | 1,897,193 | ||||||
Woodside Petroleum Ltd. | 40,800 | 1,043,164 | ||||||
|
| |||||||
23,710,496 | ||||||||
|
| |||||||
Austria — 0.2% |
| |||||||
OMV AG | 28,000 | 1,366,566 | ||||||
voestalpine AG | 28,800 | 893,909 | ||||||
|
| |||||||
2,260,475 | ||||||||
|
| |||||||
Belgium — 0.1% |
| |||||||
Bekaert SA | 22,500 | 603,779 | ||||||
UCB SA | 8,900 | 738,027 | ||||||
|
| |||||||
1,341,806 | ||||||||
|
| |||||||
Canada — 2.5% |
| |||||||
Brookfield Asset Management, Inc. (Class A Stock)(a) | 92,652 | 4,426,913 | ||||||
Canadian National Railway Co. | 58,405 | 5,405,434 | ||||||
Dollarama, Inc. | 70,479 | 2,479,453 | ||||||
Magna International, Inc.(a) | 51,755 | 2,572,223 | ||||||
Rogers Communications, Inc. (Class B Stock) | 49,568 | 2,653,367 | ||||||
TC Energy Corp. | 136,116 | 6,740,464 | ||||||
Toronto-Dominion Bank (The) | 78,529 | 4,588,629 | ||||||
|
| |||||||
28,866,483 | ||||||||
|
| |||||||
China — 2.4% |
| |||||||
Alibaba Group Holding Ltd., ADR* | 78,555 | 13,311,145 | ||||||
China Merchants Bank Co. Ltd. | 864,000 | 4,312,190 | ||||||
China Resources Cement Holdings Ltd. | 1,234,000 | 1,197,314 | ||||||
Kingboard Holdings Ltd. | 216,000 | 602,480 | ||||||
NetEase, Inc., ADR | 11,985 | 3,065,403 | ||||||
Tencent Holdings Ltd. | 105,800 | 4,778,343 | ||||||
Xinyi Solar Holdings Ltd. | 926,000 | 457,253 | ||||||
|
| |||||||
27,724,128 | ||||||||
|
| |||||||
Denmark — 0.9% | ||||||||
Coloplast A/S (Class B Stock) | 32,261 | 3,644,478 | ||||||
Danske Bank A/S | 61,200 | 967,430 | ||||||
Dfds A/S | 11,300 | 480,286 | ||||||
DSV A/S | 16,987 | 1,668,886 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Denmark (continued) |
| |||||||
Orsted A/S, 144A | 40,130 | $ | 3,466,106 | |||||
|
| |||||||
10,227,186 | ||||||||
|
| |||||||
Finland — 0.2% | ||||||||
Neste OYJ | 28,172 | 958,632 | ||||||
Nordea Bank Abp | 83,600 | 607,150 | ||||||
UPM-Kymmene OYJ | 44,300 | 1,178,417 | ||||||
|
| |||||||
2,744,199 | ||||||||
|
| |||||||
France — 4.3% |
| |||||||
Airbus SE | 36,349 | 5,157,729 | ||||||
Arkema SA | 6,700 | 623,802 | ||||||
Atos SE | 4,900 | 410,126 | ||||||
AXA SA | 54,100 | 1,420,775 | ||||||
BNP Paribas SA | 23,200 | 1,102,187 | ||||||
Bouygues SA | 17,700 | 656,286 | ||||||
Capgemini SE | 31,820 | 3,954,117 | ||||||
Carrefour SA(a) | 41,800 | 807,270 | ||||||
Cie Generale des Etablissements Michelin SCA | 12,000 | 1,520,302 | ||||||
CNP Assurances | 42,800 | 971,551 | ||||||
Credit Agricole SA | 78,500 | 940,780 | ||||||
Engie SA | 50,000 | 757,758 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 13,190 | 5,616,080 | ||||||
Natixis SA | 146,400 | 590,665 | ||||||
Orange SA | 82,400 | 1,298,609 | ||||||
Peugeot SA | 24,200 | 596,410 | ||||||
Renault SA | 12,300 | 773,833 | ||||||
Safran SA | 34,420 | 5,047,751 | ||||||
Sanofi | 50,200 | 4,338,475 | ||||||
Societe Generale SA | 28,600 | 722,705 | ||||||
TOTAL SA | 68,100 | 3,815,153 | ||||||
TOTAL SA, ADR | 169,639 | 9,464,160 | ||||||
Valeo SA | 8,300 | 269,658 | ||||||
Worldline SA/France, 144A* | 1,960 | 142,674 | ||||||
|
| |||||||
50,998,856 | ||||||||
|
| |||||||
Germany — 2.2% |
| |||||||
Allianz SE | 8,500 | 2,050,005 | ||||||
Aurubis AG | 10,800 | 527,232 | ||||||
BASF SE | 13,300 | 968,589 | ||||||
Bayerische Motoren Werke AG | 14,800 | 1,095,127 | ||||||
Covestro AG, 144A | 26,100 | 1,328,058 | ||||||
Daimler AG | 17,600 | 978,386 | ||||||
Deutsche Lufthansa AG | 54,200 | 927,828 | ||||||
Deutsche Post AG | 18,500 | 608,254 | ||||||
Evonik Industries AG | 36,500 | 1,065,586 | ||||||
Infineon Technologies AG | 162,619 | 2,869,881 | ||||||
METRO AG | 46,000 | 841,108 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 4,200 | 1,054,414 | ||||||
Rational AG | 3,382 | 2,336,253 | ||||||
Rheinmetall AG | 9,700 | 1,188,616 | ||||||
SAP SE | 36,215 | 4,975,448 | ||||||
Siemens AG | 10,600 | 1,261,454 | ||||||
Volkswagen AG | 7,400 | 1,272,463 | ||||||
|
| |||||||
25,348,702 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Hong Kong — 1.0% | ||||||||
AIA Group Ltd. | 642,800 | $ | 6,950,598 | |||||
CK Hutchison Holdings Ltd. | 143,000 | 1,407,912 | ||||||
Lee & Man Paper Manufacturing Ltd. | 1,049,000 | 735,136 | ||||||
PAX Global Technology Ltd. | 933,000 | 380,522 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | �� | 288,653 | |||||
WH Group Ltd., 144A | 1,291,500 | 1,312,461 | ||||||
Wheelock & Co. Ltd. | 67,000 | 481,293 | ||||||
Yue Yuen Industrial Holdings Ltd. | 296,500 | 812,391 | ||||||
|
| |||||||
12,368,966 | ||||||||
|
| |||||||
India — 0.3% | ||||||||
HDFC Bank Ltd., ADR | 26,011 | 3,382,471 | ||||||
|
| |||||||
Ireland — 0.4% | ||||||||
Kingspan Group PLC | 68,939 | 3,742,909 | ||||||
Smurfit Kappa Group PLC | 35,200 | 1,066,216 | ||||||
|
| |||||||
4,809,125 | ||||||||
|
| |||||||
Israel — 0.3% | ||||||||
Bank Hapoalim BM | 91,200 | 677,416 | ||||||
Check Point Software Technologies Ltd.*(a) | 28,746 | 3,323,325 | ||||||
|
| |||||||
4,000,741 | ||||||||
|
| |||||||
Italy — 0.7% | ||||||||
A2A SpA | 546,200 | 947,648 | ||||||
Enel SpA | 476,200 | 3,325,643 | ||||||
Ferrari NV | 7,427 | 1,204,277 | ||||||
Leonardo SpA | 74,400 | 944,195 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 87,600 | 902,267 | ||||||
UnipolSai Assicurazioni SpA(a) | 253,700 | 651,673 | ||||||
|
| |||||||
7,975,703 | ||||||||
|
| |||||||
Japan — 5.6% | ||||||||
AGC, Inc. | 29,800 | 1,031,395 | ||||||
Aisan Industry Co. Ltd. | 68,400 | 434,894 | ||||||
Aisin Seiki Co. Ltd. | 14,000 | 482,818 | ||||||
Astellas Pharma, Inc. | 88,200 | 1,258,393 | ||||||
Daikin Industries Ltd. | 23,300 | 3,054,500 | ||||||
Dowa Holdings Co. Ltd. | 21,700 | 699,084 | ||||||
Enplas Corp. | 200 | 5,946 | ||||||
Fujikura Ltd. | 95,500 | 359,527 | ||||||
Hazama Ando Corp. | 85,900 | 574,593 | ||||||
Hitachi Capital Corp. | 28,500 | 634,729 | ||||||
Hitachi High-Technologies Corp. | 17,300 | 891,949 | ||||||
Isuzu Motors Ltd. | 78,200 | 891,386 | ||||||
ITOCHU Corp. | 102,900 | 1,969,415 | ||||||
Japan Airlines Co. Ltd. | 28,000 | 894,676 | ||||||
Japan Aviation Electronics Industry Ltd. | 46,000 | 677,883 | ||||||
JTEKT Corp. | 50,800 | 619,148 | ||||||
Kaneka Corp. | 14,800 | 557,961 | ||||||
KDDI Corp. | 117,600 | 2,990,129 | ||||||
Keihin Corp. | 54,300 | 779,520 | ||||||
Keiyo Bank Ltd. (The) | 76,500 | 448,174 | ||||||
Keyence Corp. | 8,500 | 5,241,398 | ||||||
Komatsu Ltd. | 44,900 | 1,085,905 | ||||||
Konica Minolta, Inc. | 87,900 | 858,819 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (continued) | ||||||||
Lintec Corp. | 30,000 | $ | 626,325 | |||||
Marubeni Corp. | 173,200 | 1,149,086 | ||||||
Mazda Motor Corp. | 56,700 | 592,234 | ||||||
Mitsubishi Chemical Holdings Corp. | 82,800 | 579,686 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 46,900 | 627,094 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 248,600 | 1,182,816 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 165,800 | 881,344 | ||||||
Mitsui & Co. Ltd. | 61,800 | 1,007,965 | ||||||
Mitsui Chemicals, Inc. | 31,500 | 782,130 | ||||||
Mitsui Sugar Co. Ltd. | 25,400 | 525,571 | ||||||
Mixi, Inc. | 17,800 | 357,524 | ||||||
Mizuho Financial Group, Inc. | 597,700 | 866,814 | ||||||
Nikon Corp. | 45,200 | 640,744 | ||||||
Nippon Telegraph & Telephone Corp. | 69,300 | 3,230,931 | ||||||
Nishi-Nippon Financial Holdings, Inc. | 48,600 | 350,292 | ||||||
Nissan Motor Co. Ltd. | 161,600 | 1,158,096 | ||||||
Nitori Holdings Co. Ltd. | 19,500 | 2,588,261 | ||||||
NTN Corp. | 275,500 | 821,119 | ||||||
NTT DOCOMO, Inc. | 24,800 | 578,434 | ||||||
ORIX Corp. | 44,600 | 666,256 | ||||||
Resona Holdings, Inc. | 355,300 | 1,481,835 | ||||||
Sawai Pharmaceutical Co. Ltd. | 9,200 | 497,077 | ||||||
Shiseido Co. Ltd. | 50,400 | 3,812,886 | ||||||
SKY Perfect JSAT Holdings, Inc. | 151,000 | 589,487 | ||||||
SMC Corp. | 6,000 | 2,248,468 | ||||||
Sompo Holdings, Inc. | 26,800 | 1,036,208 | ||||||
Sumitomo Forestry Co. Ltd. | 50,100 | 601,224 | ||||||
Sumitomo Heavy Industries Ltd. | 32,300 | 1,114,122 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,900 | 1,198,828 | ||||||
Teijin Ltd. | 67,300 | 1,148,983 | ||||||
Toagosei Co. Ltd. | 53,700 | 565,720 | ||||||
Toho Holdings Co. Ltd. | 12,400 | 278,280 | ||||||
Towa Pharmaceutical Co. Ltd. | 28,200 | 717,241 | ||||||
Toyo Tire Corp. | 35,200 | 464,187 | ||||||
Toyoda Gosei Co. Ltd. | 33,200 | 648,976 | ||||||
Toyota Motor Corp. | 15,730 | 978,400 | ||||||
Tsubakimoto Chain Co. | 17,000 | 556,274 | ||||||
Ube Industries Ltd. | 30,100 | 625,429 | ||||||
Ulvac, Inc. | 12,700 | 403,298 | ||||||
Yokohama Rubber Co. Ltd. (The) | 45,000 | 828,749 | ||||||
|
| |||||||
65,450,636 | ||||||||
|
| |||||||
Luxembourg — 0.1% | ||||||||
Tenaris SA | 121,841 | 1,597,398 | ||||||
|
| |||||||
Macau — 0.2% | ||||||||
Galaxy Entertainment Group Ltd. | 404,000 | 2,724,043 | ||||||
|
| |||||||
Netherlands — 2.4% | ||||||||
ABN AMRO Bank NV, CVA, 144A | 45,300 | 969,083 | ||||||
Adyen NV, 144A* | 2,698 | 2,084,250 | ||||||
Aegon NV | 95,000 | 472,024 |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Netherlands (continued) | ||||||||
ING Groep NV | 75,400 | $ | 873,952 | |||||
Koninklijke Ahold Delhaize NV | 95,900 | 2,155,546 | ||||||
Koninklijke Philips NV | 102,367 | 4,452,940 | ||||||
NN Group NV | 27,800 | 1,118,649 | ||||||
NXP Semiconductors NV | 78,957 | 7,706,993 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 113,991 | 3,721,645 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 109,100 | 3,574,783 | ||||||
Signify NV, 144A | 47,000 | 1,388,647 | ||||||
|
| |||||||
28,518,512 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Air New Zealand Ltd. | 485,600 | 865,510 | ||||||
|
| |||||||
Norway — 0.2% | ||||||||
DNB ASA | 68,200 | 1,269,995 | ||||||
Equinor ASA | 37,300 | 735,400 | ||||||
Leroy Seafood Group ASA | 123,600 | 820,576 | ||||||
|
| |||||||
2,825,971 | ||||||||
|
| |||||||
Singapore — 0.1% | ||||||||
DBS Group Holdings Ltd. | 62,300 | 1,195,177 | ||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Bid Corp. Ltd. | 73,428 | 1,597,889 | ||||||
Investec PLC | 79,700 | 518,110 | ||||||
|
| |||||||
2,115,999 | ||||||||
|
| |||||||
Spain — 1.0% | ||||||||
ACS Actividades de Construccion y Servicios SA(a) | 94,478 | 3,772,863 | ||||||
Amadeus IT Group SA | 51,664 | 4,099,339 | ||||||
Banco Santander SA | 137,900 | 638,449 | ||||||
Iberdrola SA | 97,700 | 973,698 | ||||||
Mapfre SA | 219,300 | 641,545 | ||||||
Repsol SA | 85,300 | 1,339,001 | ||||||
|
| |||||||
11,464,895 | ||||||||
|
| |||||||
Sweden — 1.2% | ||||||||
Atlas Copco AB (Class A Stock) | 121,163 | 3,871,590 | ||||||
Boliden AB | 35,400 | 906,930 | ||||||
Electrolux AB (Class B Stock) | 37,400 | 956,228 | ||||||
Hexagon AB (Class B Stock) | 57,189 | 3,178,687 | ||||||
JM AB(a) | 25,700 | 590,540 | ||||||
Sandvik AB | 45,200 | 829,332 | ||||||
SKF AB (Class B Stock) | 58,700 | 1,079,350 | ||||||
Swedbank AB (Class A Stock) | 18,400 | 276,543 | ||||||
Volvo AB (Class B Stock) | 133,200 | 2,113,715 | ||||||
|
| |||||||
13,802,915 | ||||||||
|
| |||||||
Switzerland — 2.7% | ||||||||
ALSO Holding AG* | 690 | 98,665 | ||||||
Baloise Holding AG | 9,000 | 1,593,116 | ||||||
Credit Suisse Group AG* | 79,900 | 955,009 | ||||||
Helvetia Holding AG | 7,000 | 879,094 | ||||||
Landis+Gyr Group AG | 7,900 | 629,321 | ||||||
Lonza Group AG* | 14,236 | 4,813,855 | ||||||
Partners Group Holding AG | 4,538 | 3,567,191 | ||||||
Roche Holding AG | 20,000 | 5,631,314 | ||||||
Sika AG | 18,137 | 3,102,119 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Switzerland (continued) |
| |||||||
Swiss Life Holding AG | 3,400 | $ | 1,686,825 | |||||
Swiss Re AG | 14,000 | 1,422,290 | ||||||
Swisscom AG | 2,200 | 1,105,112 | ||||||
Temenos AG* | 22,701 | 4,065,181 | ||||||
UBS Group AG* | 83,800 | 996,571 | ||||||
Zurich Insurance Group AG | 4,700 | 1,633,672 | ||||||
|
| |||||||
32,179,335 | ||||||||
|
| |||||||
Taiwan — 0.4% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 651,000 | 4,987,127 | ||||||
|
| |||||||
United Kingdom — 4.9% | ||||||||
3i Group PLC | 97,100 | 1,373,564 | ||||||
Abcam PLC | 51,495 | 965,313 | ||||||
Aviva PLC | 164,200 | 869,086 | ||||||
Babcock International Group PLC | 42,900 | 249,588 | ||||||
BAE Systems PLC | 286,300 | 1,801,962 | ||||||
Barclays PLC | 373,500 | 711,666 | ||||||
Barratt Developments PLC | 109,300 | 794,763 | ||||||
Bellway PLC | 25,400 | 898,478 | ||||||
Berkeley Group Holdings PLC | 13,700 | 649,345 | ||||||
Bovis Homes Group PLC | 66,300 | 870,583 | ||||||
BP PLC | 355,000 | 2,477,130 | ||||||
British American Tobacco PLC | 15,800 | 552,414 | ||||||
BT Group PLC | 365,300 | 912,567 | ||||||
Centrica PLC | 457,200 | 508,751 | ||||||
Compass Group PLC | 170,775 | 4,094,701 | ||||||
Crest Nicholson Holdings PLC | 143,814 | 652,508 | ||||||
Debenhams PLC*^ | 228,400 | 5,303 | ||||||
Diageo PLC | 99,004 | 4,263,539 | ||||||
Experian PLC | 147,779 | 4,477,918 | ||||||
GlaxoSmithKline PLC | 156,200 | 3,127,141 | ||||||
Go-Ahead Group PLC (The) | 34,500 | 866,498 | ||||||
Imperial Brands PLC | 44,600 | 1,046,897 | ||||||
Inchcape PLC | 66,600 | 521,703 | ||||||
International Consolidated Airlines Group SA | 150,000 | 907,758 | ||||||
J Sainsbury PLC | 324,800 | 808,055 | ||||||
Keller Group PLC | 48,200 | 376,083 | ||||||
Kingfisher PLC | 255,800 | 697,431 | ||||||
Legal & General Group PLC | 415,000 | 1,421,890 | ||||||
Lloyds Banking Group PLC | 1,954,100 | 1,406,941 | ||||||
London Stock Exchange Group PLC | 44,284 | 3,089,181 | ||||||
Marks & Spencer Group PLC | 279,900 | 747,579 | ||||||
Meggitt PLC | 72,300 | 482,362 | ||||||
National Express Group PLC | 154,700 | 789,979 | ||||||
Paragon Banking Group PLC | 105,900 | 590,702 | ||||||
Premier Foods PLC* | 357,756 | 153,456 | ||||||
QinetiQ Group PLC | 214,000 | 759,914 | ||||||
Quilter PLC, 144A | 73,300 | 130,843 | ||||||
Redrow PLC | 77,600 | 536,782 | ||||||
RELX PLC | 171,688 | 4,169,171 | ||||||
Royal Mail PLC | 120,900 | 325,684 | ||||||
RPC Group PLC | 42,000 | 423,099 | ||||||
Segro PLC | 328,193 | 3,044,492 | ||||||
St. James’s Place PLC | 126,243 | 1,762,416 |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
United Kingdom (continued) | ||||||||
Tate&LylePLC. | 109,000 | $ | 1,022,537 | |||||
Taylor Wimpey PLC | 263,400 | 528,105 | ||||||
Vesuvius PLC | 81,100 | 565,011 | ||||||
|
| |||||||
57,430,889 | ||||||||
|
| |||||||
United States — 59.5% | ||||||||
Adobe, Inc.* | 32,994 | 9,721,682 | ||||||
Alphabet, Inc. (Class C Stock)* | 10,709 | 11,575,465 | ||||||
Amazon.com, Inc.* | 9,040 | 17,118,415 | ||||||
American International Group, Inc. | 162,740 | 8,670,787 | ||||||
Amphenol Corp. (Class A Stock) | 106,538 | 10,221,256 | ||||||
Applied Materials, Inc. | 90,550 | 4,066,600 | ||||||
AT&T, Inc. | 60,350 | 2,022,329 | ||||||
Autodesk, Inc.* | 73,163 | 11,918,253 | ||||||
AXA Equitable Holdings, Inc. | 74,234 | 1,551,491 | ||||||
Bank of New York Mellon Corp. (The) | 84,588 | 3,734,560 | ||||||
Becton, Dickinson & Co. | 12,144 | 3,060,409 | ||||||
Boeing Co. (The) | 17,003 | 6,189,262 | ||||||
Booking Holdings, Inc.* | 5,295 | 9,926,589 | ||||||
Brown-Forman Corp. (Class B Stock)(a) | 161,581 | 8,956,435 | ||||||
Bunge Ltd. | 59,826 | 3,332,906 | ||||||
BWX Technologies, Inc. | 131,964 | 6,875,324 | ||||||
Carnival Corp. | 54,350 | 2,529,992 | ||||||
CF Industries Holdings, Inc. | 61,012 | 2,849,871 | ||||||
Chubb Ltd. | 49,154 | 7,239,893 | ||||||
Cintas Corp. | 50,234 | 11,920,026 | ||||||
Cisco Systems, Inc. | 150,632 | 8,244,089 | ||||||
Citigroup, Inc. | 51,816 | 3,628,674 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 27,700 | 1,755,903 | ||||||
Comcast Corp. (Class A Stock) | 108,655 | 4,593,933 | ||||||
Conagra Brands, Inc.(a) | 88,621 | 2,350,229 | ||||||
Corteva, Inc.* | 24,324 | 719,261 | ||||||
Costco Wholesale Corp. | 31,168 | 8,236,456 | ||||||
CVS Health Corp. | 93,235 | 5,080,375 | ||||||
Danaher Corp. | 94,633 | 13,524,948 | ||||||
DexCom, Inc.* | 74,069 | 11,098,499 | ||||||
Dow, Inc. | 34,458 | 1,699,124 | ||||||
Duke Energy Corp. | 23,340 | 2,059,522 | ||||||
DuPont de Nemours, Inc. | 40,024 | 3,004,602 | ||||||
Edwards Lifesciences Corp.* | 50,326 | 9,297,225 | ||||||
Electronic Arts, Inc.* | 111,137 | 11,253,733 | ||||||
EQT Corp. | 47,686 | 753,916 | ||||||
Equitrans Midstream Corp. | 51,178 | 1,008,718 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 63,807 | 11,683,700 | ||||||
Evergy, Inc. | 67,965 | 4,088,095 | ||||||
Exxon Mobil Corp. | 92,670 | 7,101,302 | ||||||
Ferguson PLC | 38,444 | 2,736,733 | ||||||
Fifth Third Bancorp | 205,939 | 5,745,698 | ||||||
FleetCor Technologies, Inc.* | 20,853 | 5,856,565 | ||||||
Fortive Corp. | 142,383 | 11,607,062 | ||||||
Fortune Brands Home & Security, Inc. | 73,026 | 4,171,975 | ||||||
Fox Corp. (Class B Stock) | 94,000 | 3,433,820 |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (continued) | ||||||||
Franklin Resources, Inc.(a) | 83,707 | $ | 2,913,004 | |||||
General Electric Co. | 663,250 | 6,964,125 | ||||||
Genpact Ltd. | 272,258 | 10,370,307 | ||||||
Gilead Sciences, Inc. | 47,711 | 3,223,355 | ||||||
Hess Corp. | 29,045 | 1,846,391 | ||||||
Hologic, Inc.* | 68,640 | 3,296,093 | ||||||
Illinois Tool Works, Inc.(a) | 19,255 | 2,903,847 | ||||||
International Paper Co. | 103,355 | 4,477,339 | ||||||
Intuit, Inc. | 50,786 | 13,271,905 | ||||||
Intuitive Surgical, Inc.* | 25,465 | 13,357,666 | ||||||
Johnson & Johnson | 51,463 | 7,167,767 | ||||||
Johnson Controls International PLC | 88,675 | 3,663,164 | ||||||
JPMorgan Chase & Co. | 109,963 | 12,293,863 | ||||||
Kimberly-Clark Corp. | 43,867 | 5,846,594 | ||||||
Kohl’s Corp.(a) | 20,706 | 984,570 | ||||||
Las Vegas Sands Corp. | 39,392 | 2,327,673 | ||||||
Loews Corp. | 61,426 | 3,358,159 | ||||||
Marsh & McLennan Cos., Inc. | 47,344 | 4,722,564 | ||||||
Mattel, Inc.*(a) | 61,037 | 684,225 | ||||||
Medtronic PLC. | 82,407 | 8,025,618 | ||||||
Merck & Co., Inc. | 64,705 | 5,425,514 | ||||||
MetLife, Inc. | 95,323 | 4,734,693 | ||||||
Microsoft Corp. | 221,481 | 29,669,595 | ||||||
Morgan Stanley | 162,796 | 7,132,093 | ||||||
News Corp. (Class A Stock) | 159,800 | 2,155,702 | ||||||
NextEra Energy, Inc. | 4,000 | 819,440 | ||||||
Nielsen Holdings PLC(a) | 92,247 | 2,084,782 | ||||||
Occidental Petroleum Corp. | 95,200 | 4,786,656 | ||||||
PayPal Holdings, Inc.* | 136,957 | 15,676,098 | ||||||
PepsiCo, Inc. | 22,868 | 2,998,681 | ||||||
Perrigo Co. PLC(a) | 53,856 | 2,564,623 | ||||||
Pfizer, Inc. | 217,334 | 9,414,909 | ||||||
PG&E Corp.* | 49,500 | 1,134,540 | ||||||
Philip Morris International, Inc. | 61,714 | 4,846,400 | ||||||
Pioneer Natural Resources Co. | 21,412 | 3,294,450 | ||||||
QUALCOMM, Inc. | 94,201 | 7,165,870 | ||||||
Raytheon Co. | 17,385 | 3,022,904 | ||||||
Roper Technologies, Inc. | 40,839 | 14,957,692 | ||||||
salesforce.com, Inc.* | 73,583 | 11,164,749 | ||||||
SBA Communications Corp.* | 67,526 | 15,182,546 | ||||||
Sempra Energy | 11,100 | 1,525,584 | ||||||
Sherwin-Williams Co. (The) | 26,096 | 11,959,536 | ||||||
Signature Bank | 13,900 | 1,679,676 | ||||||
SL Green Realty Corp. | 28,050 | 2,254,379 | ||||||
Southern Co. (The) | 150,982 | 8,346,285 | ||||||
Southwest Airlines Co. | 85,836 | 4,358,752 | ||||||
Stericycle, Inc.*(a) | 44,291 | 2,114,895 | ||||||
TE Connectivity Ltd. | 32,051 | 3,069,845 | ||||||
Texas Instruments, Inc. | 39,050 | 4,481,378 | ||||||
Thermo Fisher Scientific, Inc. | 59,010 | 17,330,057 | ||||||
TJX Cos., Inc. (The) | 181,330 | 9,588,730 | ||||||
Tyson Foods, Inc. (Class A Stock) | 118,047 | 9,531,115 | ||||||
U.S. Bancorp | 84,235 | 4,413,914 | ||||||
United Parcel Service, Inc. (Class B Stock) | 51,050 | 5,271,933 | ||||||
Verizon Communications, Inc. | 124,098 | 7,089,719 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (continued) | ||||||||
Visa, Inc. (Class A Stock)(a) | 98,983 | $ | 17,178,500 | |||||
Walmart, Inc. | 44,953 | 4,966,857 | ||||||
Walt Disney Co. (The) | 8,467 | 1,182,332 | ||||||
Wells Fargo & Co. | 260,422 | 12,323,169 | ||||||
Weyerhaeuser Co. | 162,244 | 4,273,507 | ||||||
Zimmer Biomet Holdings, Inc. | 20,108 | 2,367,516 | ||||||
Zoetis, Inc. | 147,272 | 16,713,899 | ||||||
|
| |||||||
700,167,446 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,131,085,190 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.6% |
| |||||||
United States | ||||||||
Becton, Dickinson & Co., CVT, 6.125% | 13,865 | 858,382 | ||||||
NextEra Energy, Inc., CVT, 6.123% | 54,098 | 3,512,583 | ||||||
Sempra Energy Series A, CVT, 6.000% | 21,874 | 2,438,732 | ||||||
Sempra Energy Series B, CVT, 6.750% | 4,673 | 518,797 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 7,328,494 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% | ||||||||
Spain | ||||||||
ACS Actividades de Construccion y Servicios SA, expiring 07/10/19 | 94,478 | 148,255 | ||||||
Repsol SA, expiring 07/05/19 | 85,300 | 47,314 | ||||||
|
| |||||||
TOTAL RIGHTS |
| 195,569 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,138,609,253 | ||||||
|
|
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 6.8% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 34,278,649 | $ | 34,278,649 | |||||
PGIM Institutional Money Market Fund (cost $45,286,353; includes $45,185,473 of cash collateral for securities on loan)(b)(w) | 45,283,869 | 45,297,454 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 79,576,103 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 103.5% |
| 1,218,185,356 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)% |
| (40,792,197 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,177,393,159 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $5,303 and 0.0% 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 $44,473,907; cash collateral of $45,185,473 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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. |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 23,710,496 | $ | — | ||||||
Austria | — | 2,260,475 | — | |||||||||
Belgium | — | 1,341,806 | — | |||||||||
Canada | 28,866,483 | — | — | |||||||||
China | 16,376,548 | 11,347,580 | — | |||||||||
Denmark | — | 10,227,186 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Finland | $ | — | $ | 2,744,199 | $ | — | ||||||
France | 9,464,160 | 41,534,696 | — | |||||||||
Germany | — | 25,348,702 | — | |||||||||
Hong Kong | — | 12,368,966 | — | |||||||||
India | 3,382,471 | — | — | |||||||||
Ireland | — | 4,809,125 | — | |||||||||
Israel | 3,323,325 | 677,416 | — | |||||||||
Italy | — | 7,975,703 | — | |||||||||
Japan | — | 65,450,636 | — | |||||||||
Luxembourg | — | 1,597,398 | — | |||||||||
Macau | — | 2,724,043 | — | |||||||||
Netherlands | 7,706,993 | 20,811,519 | — | |||||||||
New Zealand | — | 865,510 | — | |||||||||
Norway | — | 2,825,971 | — | |||||||||
Singapore | — | 1,195,177 | — | |||||||||
South Africa | — | 2,115,999 | — | |||||||||
Spain | — | 11,464,895 | — | |||||||||
Sweden | — | 13,802,915 | — | |||||||||
Switzerland | — | 32,179,335 | — | |||||||||
Taiwan | — | 4,987,127 | — | |||||||||
United Kingdom | — | 57,425,586 | 5,303 | |||||||||
United States | 697,430,713 | 2,736,733 | — | |||||||||
Preferred Stocks | ||||||||||||
United States | 7,328,494 | — | — | |||||||||
Rights | ||||||||||||
Spain | — | 195,569 | — | |||||||||
Affiliated Mutual Funds | 79,576,103 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 853,455,290 | $ | 364,724,763 | $ | 5,303 | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Software | 7.3 | % | ||
Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan) | 6.8 | |||
Health Care Equipment & Supplies | 6.2 | |||
Banks | 6.0 | |||
IT Services | 5.1 | |||
Pharmaceuticals | 5.0 | |||
Oil, Gas & Consumable Fuels | 4.6 | |||
Insurance | 4.5 | |||
Internet & Direct Marketing Retail | 3.4 | |||
Capital Markets | 2.9 | |||
Chemicals | 2.9 | |||
Machinery | 2.7 | |||
Semiconductors & Semiconductor Equipment | 2.5 | |||
Aerospace & Defense | 2.5 | |||
Electric Utilities | 2.4 | |||
Electronic Equipment, Instruments & Components | 2.3 | |||
Industrial Conglomerates | 2.2 | |||
Equity Real Estate Investment Trusts (REITs) | 2.2 | |||
Life Sciences Tools & Services | 1.9 | |||
Food & Staples Retailing | 1.8 | |||
Food Products | 1.7 | |||
Beverages | 1.6 | |||
Interactive Media & Services | 1.4 |
Building Products | 1.4 | % | ||
Diversified Telecommunication Services | 1.4 | |||
Entertainment | 1.4 | |||
Personal Products | 1.3 | |||
Commercial Services & Supplies | 1.2 | |||
Hotels, Restaurants & Leisure | 1.1 | |||
Specialty Retail | 1.1 | |||
Professional Services | 1.0 | |||
Media | 0.9 | |||
Airlines | 0.9 | |||
Road & Rail | 0.9 | |||
Automobiles | 0.8 | |||
Biotechnology | 0.8 | |||
Communications Equipment | 0.7 | |||
Household Durables | 0.7 | |||
Auto Components | 0.6 | |||
Multi-Utilities | 0.6 | |||
Metals & Mining | 0.6 | |||
Trading Companies & Distributors | 0.6 | |||
Textiles, Apparel & Luxury Goods | 0.6 | |||
Tobacco | 0.5 | |||
Wireless Telecommunication Services | 0.5 | |||
Air Freight & Logistics | 0.5 | |||
Containers & Packaging | 0.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t) | ||||
Household Products | 0.5 | % | ||
Construction & Engineering | 0.4 | |||
Health Care Providers & Services | 0.4 | |||
Multiline Retail | 0.4 | |||
Diversified Financial Services | 0.3 | |||
Construction Materials | 0.2 | |||
Paper & Forest Products | 0.2 | |||
Electrical Equipment | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Technology Hardware, Storage & Peripherals | 0.1 |
Leisure Products | 0.1 | % | ||
Consumer Finance | 0.1 | |||
Thrifts & Mortgage Finance | 0.0 | * | ||
Distributors | 0.0 | * | ||
Marine | 0.0 | * | ||
|
| |||
103.5 | ||||
Liabilities in excess of other assets | (3.5 | ) | ||
|
| |||
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 June 30, 2019 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 | ||||||||
Equity contracts | Unaffiliated investments | $ | 195,569 | — | $ | — | ||||||
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Rights(1) | |||
Equity contracts | $ | 25,017 | ||
|
|
(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) | |||
Equity contracts | $ | (8,024 | ) | |
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
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 toset-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 | $ | 44,473,907 | $ | (44,473,907 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
GLOBAL PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $44,473,907: | ||||
Unaffiliated investments (cost $821,270,055) | $ | 1,138,609,253 | ||
Affiliated investments (cost $79,565,002) | 79,576,103 | |||
Foreign currency, at value (cost $3,321,347) | 3,345,028 | |||
Tax reclaim receivable | 1,997,715 | |||
Dividends and interest receivable | 1,646,844 | |||
Receivable for investments sold | 418,418 | |||
Receivable from affiliate | 36,287 | |||
Receivable for Portfolio shares sold | 834 | |||
Prepaid expenses | 1,260 | |||
|
| |||
Total Assets | 1,225,631,742 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 45,185,473 | |||
Payable to affiliate | 939,263 | |||
Payable for investments purchased | 859,279 | |||
Management fee payable | 680,509 | |||
Accrued expenses and other liabilities | 329,285 | |||
Payable for Portfolio shares repurchased | 237,187 | |||
Payable to custodian | 6,607 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 48,238,583 | |||
|
| |||
NET ASSETS | $ | 1,177,393,159 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 1,177,393,159 | ||
|
| |||
Net asset value and redemption price per share, $1,177,393,159 / 31,152,659 outstanding shares of beneficial interest | $ | 37.79 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $1,051,564 foreign withholding tax, of which $88,638 is reimbursable by an affiliate) | $ | 13,902,789 | ||
Affiliated dividend income | 409,907 | |||
Income from securities lending, net (including affiliated income of $72,140) | 156,869 | |||
|
| |||
Total income | 14,469,565 | |||
|
| |||
EXPENSES | ||||
Management fee | 4,172,320 | |||
Custodian and accounting fees | 157,588 | |||
Shareholders’ reports | 65,969 | |||
Audit fee | 14,064 | |||
Trustees’ fees | 10,919 | |||
Legal fees and expenses | 7,274 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 21,499 | |||
|
| |||
Total expenses | 4,454,930 | |||
Less: Fee waiver and/or expense reimbursement | (178,018 | ) | ||
|
| |||
Net expenses | 4,276,912 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 10,192,653 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $136) | 16,733,652 | |||
Foreign currency transactions | (45,967 | ) | ||
|
| |||
16,687,685 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $11,649) | 160,394,750 | |||
Foreign currencies | 36,137 | |||
|
| |||
160,430,887 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 177,118,572 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 187,311,225 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 10,192,653 | $ | 15,130,916 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 16,687,685 | 72,526,568 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 160,430,887 | (166,392,080 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 187,311,225 | (78,734,596 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [439,671 and 414,359 shares, respectively] | 16,221,124 | 14,682,656 | ||||||
Portfolio shares repurchased [917,200 and 1,780,900 shares, respectively] | (32,899,019 | ) | (62,730,947 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (16,677,895 | ) | (48,048,291 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 85,664 | 520,841 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 170,718,994 | (126,262,046 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,006,674,165 | 1,132,936,211 | ||||||
|
|
|
| |||||
End of period | $ | 1,177,393,159 | $ | 1,006,674,165 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A114
GOVERNMENT INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 96.1% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 13.3% |
| |||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% |
| |||||||||||||||
3.901%(c) | 01/16/30 | 250 | $ | 249,563 | ||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040% |
| |||||||||||||||
3.628%(c) | 07/17/28 | 500 | 498,554 | |||||||||||||
Series2016-10A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.778%(c) | 01/24/29 | 2,250 | 2,250,684 | |||||||||||||
Series2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% |
| |||||||||||||||
3.595%(c) | 05/17/31 | 1,500 | 1,479,546 | |||||||||||||
BlueMountain CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330% |
| |||||||||||||||
3.927%(c) | 04/13/27 | 1,750 | 1,750,825 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% |
| |||||||||||||||
3.912%(c) | 01/20/32 | 750 | 751,595 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
3.852%(c) | 04/22/30 | 2,000 | 1,995,480 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.831%(c) | 10/24/30 | 2,000 | 1,999,965 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% |
| |||||||||||||||
3.817%(c) | 07/15/30 | 2,000 | 1,994,860 | |||||||||||||
Flagship CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850% |
| |||||||||||||||
3.451%(c) | 01/16/26 | 2,323 | 2,318,410 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.872%(c) | 10/23/29 | 500 | 499,563 | |||||||||||||
Limerock CLO LLC (Cayman Islands), |
| |||||||||||||||
Series2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.792%(c) | 10/20/26 | 1,207 | 1,207,290 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.440% |
| |||||||||||||||
4.058%(c) | 04/15/29 | 2,000 | 2,003,062 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
3.857%(c) | 07/15/30 | 250 | 250,128 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.833%(c) | 10/30/30 | 3,750 | 3,749,486 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.480% |
| |||||||||||||||
4.044%(c) | 05/15/32 | 2,000 | 2,001,868 | |||||||||||||
Regatta VIII Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-01A, Class A, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.838%(c) | 10/17/30 | 1,000 | 997,300 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.842%(c) | 10/23/31 | 1,000 | 995,754 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Series2019-01A, Class A, 144A, 3 Month LIBOR + 1.370% |
| |||||||||||||||
3.939%(c) | 01/20/32 | 1,000 | $ | 1,004,745 | ||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% |
| |||||||||||||||
3.927%(c) | 07/20/32 | 2,500 | 2,501,289 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.842%(c) | 10/20/29 | 2,000 | 1,997,522 | |||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 32,497,489 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 18.3% |
| |||||||||||||||
FannieMae-Aces, | ||||||||||||||||
Series2012-M02, Class A2 |
| |||||||||||||||
2.717% | 02/25/22 | 156 | 158,013 | |||||||||||||
Series2015-M01, Class AB2 |
| |||||||||||||||
2.465% | 09/25/24 | 356 | 363,705 | |||||||||||||
Series2015-M03, Class AB2 |
| |||||||||||||||
2.625% | 10/25/24 | 942 | 962,331 | |||||||||||||
Series2015-M08, Class AB2 |
| |||||||||||||||
2.829%(cc) | 01/25/25 | 842 | 868,308 | |||||||||||||
Series2015-M10, Class A2 |
| |||||||||||||||
3.092%(cc) | 04/25/27 | 1,600 | 1,667,285 | |||||||||||||
Series2015-M17, Class A2 |
| |||||||||||||||
3.035%(cc) | 11/25/25 | 1,500 | 1,553,784 | |||||||||||||
Series2016-M11, Class A2 |
| |||||||||||||||
2.369%(cc) | 07/25/26 | 1,200 | 1,194,365 | |||||||||||||
Series2016-M13, Class A2 |
| |||||||||||||||
2.564%(cc) | 09/25/26 | 2,100 | 2,115,640 | |||||||||||||
Series2018-M14, Class A1 |
| |||||||||||||||
3.578%(cc) | 08/25/28 | 940 | 1,006,790 | |||||||||||||
Series2019-M01, Class A2 |
| |||||||||||||||
3.673%(cc) | 09/25/28 | 1,100 | 1,191,828 | |||||||||||||
Series2019-M02, Class A1 |
| |||||||||||||||
3.024% | 08/25/28 | 1,087 | 1,127,396 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K008, Class X1, IO |
| |||||||||||||||
1.658%(cc) | 06/25/20 | 14,942 | 156,864 | |||||||||||||
Series K019, Class X1, IO |
| |||||||||||||||
1.748%(cc) | 03/25/22 | 15,820 | 593,457 | |||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.535%(cc) | 05/25/22 | 8,428 | 287,163 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.568%(cc) | 06/25/22 | 8,934 | 327,074 | |||||||||||||
Series K025, Class X1, IO |
| |||||||||||||||
0.954%(cc) | 10/25/22 | 25,017 | 597,748 | |||||||||||||
Series K060, Class AM |
| |||||||||||||||
3.300%(cc) | 10/25/26 | 1,930 | 2,039,618 | |||||||||||||
Series K064, Class A2 |
| |||||||||||||||
3.224% | 03/25/27 | 2,200 | 2,325,210 | |||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 1,100 | 1,165,869 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 1,700 | 1,801,803 |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K076, Class A2 |
| |||||||||||||||
3.900% | 04/25/28 | 1,500 | $ | 1,665,896 | ||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 425 | 469,206 | |||||||||||||
Series K077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 900 | 994,442 | |||||||||||||
Series K077, Class AM | ||||||||||||||||
3.850%(cc) | 05/25/28 | 180 | 197,979 | |||||||||||||
Series K078, Class AM | ||||||||||||||||
3.920% | 06/25/28 | 525 | 578,854 | |||||||||||||
Series K079, Class AM | ||||||||||||||||
3.930% | 06/25/28 | 675 | 746,476 | |||||||||||||
Series K080, Class AM | ||||||||||||||||
3.986%(cc) | 07/25/28 | 1,900 | 2,107,759 | |||||||||||||
Series K081, Class AM | ||||||||||||||||
3.900%(cc) | 08/25/28 | 1,500 | 1,655,736 | |||||||||||||
Series K083, Class A2 | ||||||||||||||||
4.050%(cc) | 09/25/28 | 625 | 702,052 | |||||||||||||
Series K083, Class AM | ||||||||||||||||
4.030%(cc) | 10/25/28 | 250 | 279,229 | |||||||||||||
Series K084, Class AM | ||||||||||||||||
3.880%(cc) | 10/25/28 | 1,300 | 1,434,275 | |||||||||||||
Series K085, Class AM | ||||||||||||||||
4.060%(cc) | 10/25/28 | 650 | 727,857 | |||||||||||||
Series K086, Class A2 | ||||||||||||||||
3.859%(cc) | 11/25/28 | 1,400 | 1,554,578 | |||||||||||||
Series K086, Class AM | ||||||||||||||||
3.919%(cc) | 12/25/28 | 200 | 222,108 | |||||||||||||
Series K087, Class AM | ||||||||||||||||
3.832%(cc) | 12/25/28 | 200 | 220,425 | |||||||||||||
Series K088, Class AM | ||||||||||||||||
3.761%(cc) | 01/25/29 | 520 | 571,190 | |||||||||||||
Series K090, Class AM | ||||||||||||||||
3.492%(cc) | 03/25/29 | 800 | 860,292 | |||||||||||||
Series K091, Class AM | ||||||||||||||||
3.566% | 03/25/29 | 850 | 921,029 | |||||||||||||
Series K151, Class A3 | ||||||||||||||||
3.511% | 04/25/30 | 400 | 430,012 | |||||||||||||
Series K157, Class A2 | ||||||||||||||||
3.990%(cc) | 05/25/33 | 1,700 | 1,910,022 | |||||||||||||
Series K158, Class A2 | ||||||||||||||||
3.900%(cc) | 12/25/30 | 700 | 778,042 | |||||||||||||
Series K711, Class X1, IO |
| |||||||||||||||
1.686%(cc) | 07/25/19 | 691 | 86 | |||||||||||||
Series KC03, Class A2 | ||||||||||||||||
3.499% | 01/25/26 | 650 | 687,111 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 1,100 | 1,150,047 | |||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K073, Class A2 | ||||||||||||||||
3.350% | 01/25/28 | 2,200 | 2,346,944 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 44,715,898 | ||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS — 1.2% |
| |||||||||||||||
Diversified Financial Services |
| |||||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.650% | 02/16/21 | 1,655 | $ | 1,671,204 | ||||||||||||
U.S. Gov’t. Gtd. Notes, Series BB |
| |||||||||||||||
4.300% | 12/15/21 | 1,255 | 1,324,301 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 2,995,505 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1% |
| |||||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series2003-E, Class A1, 1 Month LIBOR + 0.620% |
| |||||||||||||||
3.024%(c) | 10/25/28 | 17 | 17,108 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series2004-01, Class 4A3 |
| |||||||||||||||
4.566%(cc) | 02/25/34 | 81 | 82,089 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 99,197 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 39.0% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.625% | 10/01/20 | 170 | 171,457 | |||||||||||||
3.000% | 10/12/21 | 600 | 615,981 | |||||||||||||
3.250% | 11/16/28 | 1,025 | 1,113,875 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 300 | 297,316 | |||||||||||||
2.375% | 02/16/21 | 1,375 | 1,386,906 | |||||||||||||
2.500% | 03/01/30 | 544 | 548,994 | |||||||||||||
2.750% | 06/19/23 | 190 | 196,725 | |||||||||||||
3.000% | 06/01/29 | 394 | 403,626 | |||||||||||||
3.000% | 01/01/37 | 802 | 817,366 | |||||||||||||
3.000% | 06/01/45 | 493 | 501,613 | |||||||||||||
3.500% | 12/01/32 | 760 | 785,363 | |||||||||||||
3.500% | 07/01/42 | 656 | 681,167 | |||||||||||||
3.500% | 10/01/42 | 1,108 | 1,151,586 | |||||||||||||
3.500% | 08/01/43 | 1,225 | 1,273,009 | |||||||||||||
3.500% | 10/01/45 | 591 | 610,214 | |||||||||||||
4.000% | 06/01/26 | 54 | 56,258 | |||||||||||||
4.000% | 09/01/26 | 201 | 209,286 | |||||||||||||
4.000% | 09/01/40 | 397 | 418,753 | |||||||||||||
4.000% | 12/01/40 | 404 | 426,460 | |||||||||||||
4.000% | 12/01/40 | 428 | 451,482 | |||||||||||||
4.500% | 09/01/39 | 1,408 | 1,512,592 | |||||||||||||
4.500% | 08/01/48 | 946 | 993,447 | |||||||||||||
5.000% | 06/01/33 | 277 | 300,481 | |||||||||||||
5.000% | 05/01/34 | 281 | 305,690 | |||||||||||||
5.500% | 05/01/37 | 53 | 58,469 | |||||||||||||
5.500% | 02/01/38 | 184 | 201,235 | |||||||||||||
5.500% | 05/01/38 | 78 | 84,830 | |||||||||||||
6.000% | 09/01/34 | 72 | 78,563 | |||||||||||||
6.000% | 01/01/37 | 85 | 96,251 | |||||||||||||
6.000% | 09/01/38 | 52 | 58,626 | |||||||||||||
6.000% | 08/01/39 | 68 | 77,664 | |||||||||||||
6.500% | 09/01/32 | 31 | 34,863 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
Federal Home Loan Mortgage Corp., MTN |
| |||||||||||||||
3.208%(s) | 12/11/25 | 600 | $ | 528,023 | ||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.000% | 10/24/19 | 2,300 | 2,291,511 | |||||||||||||
1.875% | 09/24/26 | 400 | 395,923 | |||||||||||||
2.000% | 08/01/31 | 286 | 282,704 | |||||||||||||
2.375% | 01/19/23 | 155 | 158,047 | |||||||||||||
2.500% | 02/05/24 | 520 | 535,625 | |||||||||||||
2.500% | 06/01/28 | 1,743 | 1,758,693 | |||||||||||||
2.500% | 02/01/43 | 197 | 196,479 | |||||||||||||
2.500% | 12/01/46 | 686 | 681,536 | |||||||||||||
2.875% | 09/12/23 | 420 | 437,427 | |||||||||||||
3.000% | TBA | 3,500 | 3,527,002 | |||||||||||||
3.000% | 08/01/28 | 897 | 917,224 | |||||||||||||
3.000% | 02/01/31 | 1,114 | 1,139,103 | |||||||||||||
3.000% | 11/01/36 | 757 | 770,686 | |||||||||||||
3.000% | 03/01/43 | 977 | 993,408 | |||||||||||||
3.000% | 07/01/43 | 874 | 891,620 | |||||||||||||
3.000% | 07/01/43 | 1,092 | 1,111,139 | |||||||||||||
3.000% | 11/01/46 | 445 | 450,289 | |||||||||||||
3.500% | TBA | 8,000 | 8,177,389 | |||||||||||||
3.500% | 02/01/33 | 223 | 230,725 | |||||||||||||
3.500% | 06/01/39 | 281 | 288,930 | |||||||||||||
3.500% | 04/01/42 | 475 | 493,119 | |||||||||||||
3.500% | 06/01/42 | 820 | 851,365 | |||||||||||||
3.500% | 07/01/42 | 882 | 915,290 | |||||||||||||
3.500% | 06/01/45 | 1,964 | 2,025,200 | |||||||||||||
3.500% | 12/01/46 | 422 | 434,341 | |||||||||||||
4.000% | 09/01/40 | 1,482 | 1,562,302 | |||||||||||||
4.000% | 06/01/42 | 1,063 | 1,120,556 | |||||||||||||
4.000% | 09/01/44 | 778 | 814,582 | |||||||||||||
4.000% | 10/01/45 | 1,001 | 1,048,026 | |||||||||||||
4.000% | 10/01/46 | 346 | 362,757 | |||||||||||||
4.000% | 02/01/47 | 468 | 487,658 | |||||||||||||
4.000% | 06/01/47 | 588 | 613,830 | |||||||||||||
4.000% | 07/01/47 | 658 | 686,041 | |||||||||||||
4.000% | 11/01/47 | 467 | 485,742 | |||||||||||||
4.500% | 05/01/40 | 1,983 | 2,129,426 | |||||||||||||
4.500% | 04/01/42 | 750 | 805,393 | |||||||||||||
5.000% | 12/01/31 | 27 | 28,215 | |||||||||||||
5.000% | 03/01/34 | 333 | 362,310 | |||||||||||||
5.000% | 06/01/35 | 146 | 159,812 | |||||||||||||
5.000% | 07/01/35 | 74 | 80,547 | |||||||||||||
5.000% | 05/01/36 | 99 | 108,369 | |||||||||||||
5.500% | 02/01/34 | 215 | 239,110 | |||||||||||||
5.500% | 09/01/34 | 255 | 282,553 | |||||||||||||
5.500% | 02/01/35 | 236 | 257,285 | |||||||||||||
5.500% | 06/01/35 | 69 | 73,770 | |||||||||||||
5.500% | 06/01/35 | 112 | 120,257 | |||||||||||||
5.500% | 09/01/35 | 40 | 42,434 | |||||||||||||
5.500% | 09/01/35 | 103 | 110,984 | |||||||||||||
5.500% | 10/01/35 | 238 | 264,026 | |||||||||||||
5.500% | 11/01/35 | 156 | 167,457 | |||||||||||||
5.500% | 11/01/35 | 342 | 380,178 | |||||||||||||
5.500% | 11/01/35 | 453 | 494,308 | |||||||||||||
6.000% | 05/01/21 | 12 | 11,905 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 12/01/33 | 11 | $ | 11,659 | ||||||||||||
6.000% | 02/01/34 | 112 | 126,516 | |||||||||||||
6.000% | 08/01/34 | — | (r) | 437 | ||||||||||||
6.000% | 11/01/34 | 1 | 619 | |||||||||||||
6.000% | 11/01/34 | 1 | 1,097 | |||||||||||||
6.000% | 12/01/34 | 1 | 1,036 | |||||||||||||
6.000% | 01/01/35 | 21 | 23,395 | |||||||||||||
6.000% | 01/01/36 | 86 | 94,934 | |||||||||||||
6.000% | 05/01/38 | 44 | 49,775 | |||||||||||||
6.500% | 07/01/32 | 224 | 257,246 | |||||||||||||
6.500% | 08/01/32 | 76 | 84,490 | |||||||||||||
6.500% | 10/01/32 | 248 | 286,919 | |||||||||||||
6.500% | 10/01/37 | 122 | 140,148 | |||||||||||||
6.625% | 11/15/30 | 435 | 621,906 | |||||||||||||
7.000% | 12/01/31 | 1 | 535 | |||||||||||||
7.000% | 12/01/31 | 82 | 94,565 | |||||||||||||
7.000% | 01/01/36 | 16 | 18,383 | |||||||||||||
8.000% | 10/01/23 | — | (r) | 163 | ||||||||||||
8.000% | 09/01/24 | 1 | 966 | |||||||||||||
8.000% | 11/01/24 | 1 | 1,097 | |||||||||||||
8.000% | 01/01/26 | — | (r) | 339 | ||||||||||||
9.000% | 02/01/25 | 8 | 8,381 | |||||||||||||
9.000% | 04/01/25 | 4 | 4,269 | |||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.500% | 12/20/46 | 279 | 280,165 | |||||||||||||
3.000% | 03/15/45 | 1,567 | 1,600,462 | |||||||||||||
3.000% | 09/20/46 | 1,522 | 1,559,091 | |||||||||||||
3.000% | 10/20/46 | 380 | 388,813 | |||||||||||||
3.000% | 04/20/47 | 1,578 | 1,615,395 | |||||||||||||
3.500% | TBA | 3,500 | 3,612,656 | |||||||||||||
3.500% | 01/20/43 | 1,077 | 1,123,637 | |||||||||||||
3.500% | 04/20/43 | 530 | 553,299 | |||||||||||||
3.500% | 03/20/45 | 931 | 965,692 | |||||||||||||
3.500% | 04/20/45 | 786 | 815,170 | |||||||||||||
3.500% | 04/20/46 | 1,304 | 1,349,555 | |||||||||||||
3.500% | 07/20/46 | 2,016 | 2,086,147 | |||||||||||||
4.000% | 06/15/40 | 181 | 192,095 | |||||||||||||
4.000% | 08/20/46 | 757 | 792,748 | |||||||||||||
4.000% | 11/20/46 | 480 | 503,858 | |||||||||||||
4.000% | 09/20/47 | 860 | 896,801 | |||||||||||||
4.500% | 02/20/41 | 530 | 565,006 | |||||||||||||
4.500% | 03/20/41 | 452 | 482,654 | |||||||||||||
4.500% | 06/20/44 | 343 | 366,410 | |||||||||||||
4.500% | 09/20/46 | 447 | 475,725 | |||||||||||||
4.500% | 11/20/46 | 907 | 968,783 | |||||||||||||
4.500% | 01/20/47 | 111 | 117,817 | |||||||||||||
5.000% | 07/15/33 | 138 | 150,020 | |||||||||||||
5.000% | 09/15/33 | 214 | 232,293 | |||||||||||||
5.000% | 04/15/34 | 80 | 84,044 | |||||||||||||
5.500% | 03/15/34 | 278 | 310,989 | |||||||||||||
5.500% | 03/15/36 | 62 | 70,133 | |||||||||||||
6.500% | 07/15/32 | 17 | 18,807 | |||||||||||||
6.500% | 08/15/32 | 2 | 2,573 | |||||||||||||
6.500% | 08/15/32 | 3 | 3,658 | |||||||||||||
6.500% | 08/15/32 | 12 | 12,930 | |||||||||||||
6.500% | 08/15/32 | 85 | 99,526 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
7.000% | 05/15/23 | 3 | $ | 3,347 | ||||||||||||
7.000% | 06/15/23 | 1 | 781 | |||||||||||||
7.000% | 06/15/23 | 4 | 3,766 | |||||||||||||
7.000% | 06/15/23 | 10 | 10,180 | |||||||||||||
7.000% | 07/15/23 | 1 | 525 | |||||||||||||
7.000% | 07/15/23 | 11 | 10,783 | |||||||||||||
7.000% | 08/15/23 | — | (r) | 79 | ||||||||||||
7.000% | 08/15/23 | 3 | 3,492 | |||||||||||||
7.000% | 08/15/23 | 6 | 6,085 | |||||||||||||
7.000% | 09/15/23 | 1 | 1,142 | |||||||||||||
7.000% | 10/15/23 | 2 | 2,606 | |||||||||||||
7.000% | 10/15/23 | 4 | 4,063 | |||||||||||||
7.000% | 11/15/23 | 3 | 2,768 | |||||||||||||
7.000% | 11/15/23 | 7 | 7,248 | |||||||||||||
7.000% | 01/15/24 | 45 | 47,720 | |||||||||||||
7.000% | 05/15/24 | 39 | 40,759 | |||||||||||||
7.000% | 08/15/28 | 40 | 45,508 | |||||||||||||
7.500% | 12/15/25 | 3 | 3,662 | |||||||||||||
7.500% | 12/15/25 | 27 | 28,980 | |||||||||||||
7.500% | 02/15/26 | 5 | 5,168 | |||||||||||||
8.500% | 09/15/24 | 51 | 54,643 | |||||||||||||
8.500% | 04/15/25 | 6 | 6,304 | |||||||||||||
Hashemite Kingdom of Jordan Government, USAID Bond, Gov’t. |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/30/25 | 1,580 | 1,658,980 | |||||||||||||
Israel Government, USAID Bond, Gov’t. Gtd. Notes |
| |||||||||||||||
5.500% | 09/18/23 | 1,220 | 1,394,379 | |||||||||||||
Israel Government, USAID Bond, Gov’t. Gtd. Notes |
| |||||||||||||||
2.652%(s) | 08/15/23 | 500 | 458,367 | |||||||||||||
2.744%(s) | 08/15/23 | 500 | 458,798 | |||||||||||||
2.923%(s) | 11/15/25 | 500 | 434,084 | |||||||||||||
2.961%(s) | 05/15/26 | 500 | 427,033 | |||||||||||||
2.997%(s) | 02/15/26 | 400 | 343,592 | |||||||||||||
3.040%(s) | 11/15/26 | 400 | 336,745 | |||||||||||||
3.141%(s) | 05/15/23 | 400 | 368,902 | |||||||||||||
3.329%(s) | 05/15/25 | 600 | 527,625 | |||||||||||||
Residual Funding Corp. Strips Principal |
| |||||||||||||||
2.040%(s) | 01/15/21 | 400 | 387,939 | |||||||||||||
Residual Funding Corp. Strips Principal, Bonds, PO |
| |||||||||||||||
3.168%(s) | 04/15/30 | 2,305 | 1,766,601 | |||||||||||||
Resolution Funding Corp. Strips Interest, Bonds, IO |
| |||||||||||||||
3.657%(s) | 04/15/30 | 500 | 385,799 | |||||||||||||
Tennessee Valley Authority |
| |||||||||||||||
5.880% | 04/01/36 | 230 | 317,207 | |||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 03/15/20 | 365 | 365,403 | |||||||||||||
2.875% | 02/01/27 | 175 | 182,953 | |||||||||||||
6.750% | 11/01/25 | 510 | 649,027 | |||||||||||||
7.125% | 05/01/30 | 530 | 764,603 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 95,346,252 | ||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS — 24.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.000% | 02/15/49 | 250 | $ | 274,570 | ||||||||||||
3.750% | 11/15/43 | 3,110 | 3,828,459 | |||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS |
| |||||||||||||||
0.875% | 01/15/29 | 2,232 | 2,348,887 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
1.125% | 02/28/21 | 1,585 | 1,567,107 | |||||||||||||
1.750% | 06/15/22 | 1,210 | 1,211,702 | |||||||||||||
1.750% | 05/15/23 | 1,360 | 1,360,744 | |||||||||||||
1.875% | 04/30/22 | 410 | 411,650 | |||||||||||||
2.000% | 05/31/24 | 1,290 | 1,305,168 | |||||||||||||
2.125% | 08/15/21 | 4,210 | 4,242,068 | |||||||||||||
2.125% | 09/30/21 | (k) | 6,185 | 6,237,186 | ||||||||||||
2.125% | 06/30/22 | 2,055 | 2,079,243 | |||||||||||||
2.125% | 05/31/26 | 6,890 | 7,005,192 | |||||||||||||
2.250% | 11/15/27 | 5,910 | 6,050,362 | |||||||||||||
2.375% | 08/15/24 | 3,960 | 4,076,016 | |||||||||||||
2.375% | 05/15/29 | 990 | 1,023,064 | |||||||||||||
2.625% | 11/15/20 | 130 | 131,336 | |||||||||||||
2.750% | 04/30/23 | 4,480 | 4,648,000 | |||||||||||||
2.875% | 11/15/21 | 90 | 92,369 | |||||||||||||
3.125% | 11/15/28 | 1,665 | 1,826,232 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.384%(s) | 05/15/29 | 565 | 459,344 | |||||||||||||
2.184%(s) | 02/15/28 | 550 | 461,239 | |||||||||||||
2.404%(s) | 08/15/21 | (k) | 1,585 | 1,525,835 | ||||||||||||
2.499%(s) | 02/15/22 | 835 | 797,010 | |||||||||||||
2.750%(s) | 08/15/27 | 2,575 | 2,186,126 | |||||||||||||
2.783%(s) | 08/15/29 | 500 | 403,754 | |||||||||||||
2.878%(s) | 05/15/31 | 500 | 385,096 | |||||||||||||
3.042%(s) | 11/15/35 | 1,000 | 676,299 | |||||||||||||
3.202%(s) | 08/15/40 | 800 | 469,314 | |||||||||||||
4.138%(s) | 02/15/42 | (k) | 3,725 | 2,076,902 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 59,160,274 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 234,814,615 | ||||||||||||||
|
|
Shares | ||||||||
SHORT-TERM INVESTMENTS — 10.3% |
| |||||||
AFFILIATED MUTUAL FUNDS — 10.2% |
| |||||||
PGIM Core Short-Term Bond Fund(w) | 2,390,850 | 22,067,549 | ||||||
PGIM Core Ultra Short Bond Fund(w) | 2,905,195 | 2,905,195 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 24,972,744 | ||||||
|
| |||||||
OPTIONS PURCHASED*~ — 0.1% |
| |||||||
(cost $186,911) |
| 334,863 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 25,307,607 | ||||||
|
| |||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.4% |
| 260,122,222 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A118
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Value | ||||||||
OPTIONS WRITTEN*~ — (0.0)% | ||||||||
(premiums received $66,418) |
| $ | (17,501 | ) | ||||
|
| |||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.4% |
| 260,104,721 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (6.4)% |
| (15,692,782 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 244,411,939 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $(57,320) and (0.0)% of net assets. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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. |
(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. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund and 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: |
Forward Commitment Contracts:
U.S. Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | |||||||||||||||
Federal National Mortgage Assoc. | 2.500 | % | TBA | 08/13/19 | (750 | ) | $ | (743,672 | ) | |||||||||||
|
|
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
2 Year U.S. Treasury Notes Futures | Put | 08/23/19 | $ | 107.00 | 153 | 306 | $ | 16,735 | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 123.00 | 50 | 50 | 781 | |||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 126.00 | 50 | 50 | 3,906 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 97.75 | 70 | 175 | 438 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.13 | 170 | 425 | 3,188 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.25 | 70 | 175 | 3,500 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 08/16/19 | $ | 97.75 | 70 | 175 | 438 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 08/16/19 | $ | 98.25 | 70 | 175 | 10,063 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 09/13/19 | $ | 97.75 | 70 | 175 | 875 | |||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 09/13/19 | $ | 98.25 | 70 | 175 | 14,000 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded(cost $172,096) | $ | 53,924 | ||||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Morgan Stanley & Co. International PLC | 11/21/19 | 0.13 | % | — | 700 | $ | 6,818 | |||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/21/19 | 0.12 | % | — | 1,000 | 10,328 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 1,227 | 17,768 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 1,193 | 17,220 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 2,982 | 40,418 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 5,920 | 84,163 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 6,000 | 87,428 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 1,193 | 16,655 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded(cost $11,679) |
| $ | 280,798 | |||||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A119
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||
30-Year Interest Rate Swap, 08/19/49 | Put | Citibank, N.A. | 08/15/19 | 2.66 | % | 3 Month LIBOR(Q) | 2.66%(S) | 280 | $ | 141 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased(cost $186,911) | $ | 334,863 | ||||||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/26/19 | $ | 124.50 | 100 | 100 | $ | (1,563 | ) | |||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 97.88 | 170 | 425 | (1,063 | ) | ||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 07/12/19 | $ | 98.00 | 140 | 350 | (875 | ) | ||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 08/16/19 | $ | 98.00 | 140 | 350 | (5,250 | ) | ||||||||||||||||
Eurodollars1-Year Mid Curve Futures | Put | 09/13/19 | $ | 98.00 | 140 | 350 | (8,750 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Options Written(premiums received $66,418) | $ | (17,501 | ) | |||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2019:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
132 | 2 Year U.S. Treasury Notes | Sep. 2019 | $ | 28,403,719 | $ | 162,384 | ||||||||||
512 | 5 Year U.S. Treasury Notes | Sep. 2019 | 60,496,000 | 781,515 | ||||||||||||
152 | 10 Year U.S. Ultra Treasury Notes | Sep. 2019 | 20,995,000 | 671,101 | ||||||||||||
158 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 28,054,875 | 1,310,559 | ||||||||||||
|
| |||||||||||||||
2,925,559 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
57 | 10 Year U.S. Treasury Notes | Sep. 2019 | 7,294,219 | (5,629 | ) | |||||||||||
212 | 20 Year U.S. Treasury Bonds | Sep. 2019 | 32,985,875 | (1,288,190 | ) | |||||||||||
|
| |||||||||||||||
(1,293,819 | ) | |||||||||||||||
|
| |||||||||||||||
$ | 1,631,740 | |||||||||||||||
|
|
Forward rate agreements outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date(5) | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Forward Rate Agreements^: | ||||||||||||||||||||||||||
2,100 | 07/15/19 | —(3) | —(3) | $ | (3,381 | ) | $ | — | $ | (3,381 | ) | Citigroup Global Markets, Inc. | ||||||||||||||
29,000 | 07/24/19 | —(4) | —(4) | (53,939 | ) | — | (53,939 | ) | Citigroup Global Markets, Inc. | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (57,320 | ) | $ | — | $ | (57,320 | ) | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays or receives payment based on CMM102 minus 7 year CMS minus 1.3655% upon termination. |
(4) | The Portfolio pays or receives payment based on CMM102 minus 7 Year CMS minus 1.3375% upon termination. |
(5) | The Portfolio may choose to terminate these agreements at any time prior to the stated termination date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2019:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciaton (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
5,570 | 03/23/21 | 2.370%(A) | 1 Day USOIS(1)(A) | $ | — | $ | (73,300 | ) | $ | (73,300 | ) | |||||||||||||
3,017 | 03/31/21 | 2.173%(A) | 1 Day USOIS(2)(A) | (917 | ) | 30,104 | 31,021 | |||||||||||||||||
8,120 | 03/29/24 | 1.949%(A) | 1 Day USOIS(1)(A) | — | (154,543 | ) | (154,543 | ) | ||||||||||||||||
17,565 | 08/15/24 | 2.170%(S) | 3 Month LIBOR(1)(Q) | (4,680 | ) | (440,175 | ) | (435,495 | ) | |||||||||||||||
4,670 | 11/15/24 | 2.334%(S) | 3 Month LIBOR(1)(Q) | 14,367 | (134,229 | ) | (148,596 | ) | ||||||||||||||||
3,785 | 02/12/25 | 2.408%(A) | 1 Day USOIS(1)(A) | — | (179,219 | ) | (179,219 | ) | ||||||||||||||||
590 | 02/28/25 | 2.454%(A) | 1 Day USOIS(1)(A) | — | (29,742 | ) | (29,742 | ) | ||||||||||||||||
1,669 | 05/31/25 | 2.998%(S) | 3 Month LIBOR(1)(Q) | (1,080 | ) | (114,478 | ) | (113,398 | ) | |||||||||||||||
1,305 | 07/31/25 | 3.105%(S) | 3 Month LIBOR(1)(Q) | 1,030 | (110,262 | ) | (111,292 | ) | ||||||||||||||||
4,951 | 07/31/25 | 3.109%(S) | 3 Month LIBOR(1)(Q) | 313 | (419,679 | ) | (419,992 | ) | ||||||||||||||||
1,920 | 01/08/26 | 2.210%(S) | 3 Month LIBOR(1)(Q) | 70,520 | (56,383 | ) | (126,903 | ) | ||||||||||||||||
370 | 01/31/26 | 2.236%(S) | 3 Month LIBOR(1)(Q) | — | (9,836 | ) | (9,836 | ) | ||||||||||||||||
1,943 | 01/31/26 | 2.269%(A) | 1 Day USOIS(1)(A) | (5,490 | ) | (86,248 | ) | (80,758 | ) | |||||||||||||||
1,377 | 04/30/26 | 1.876%(S) | 3 Month LIBOR(1)(Q) | (5,519 | ) | (6,870 | ) | (1,351 | ) | |||||||||||||||
2,102 | 02/15/27 | 1.824%(A) | 1 Day USOIS(1)(A) | 29,738 | (28,268 | ) | (58,006 | ) | ||||||||||||||||
790 | 02/15/27 | 1.899%(A) | 1 Day USOIS(1)(A) | 984 | (15,152 | ) | (16,136 | ) | ||||||||||||||||
530 | 02/15/27 | 1.965%(A) | 1 Day USOIS(1)(A) | — | (12,827 | ) | (12,827 | ) | ||||||||||||||||
1,445 | 02/15/27 | 2.067%(A) | 1 Day USOIS(1)(A) | (911 | ) | (46,277 | ) | (45,366 | ) | |||||||||||||||
260 | 05/15/27 | 2.295%(S) | 3 Month LIBOR(1)(Q) | — | (8,145 | ) | (8,145 | ) | ||||||||||||||||
7,914 | 08/15/28 | 2.579%(A) | 1 Day USOIS(1)(A) | (142,564 | ) | (619,757 | ) | (477,193 | ) | |||||||||||||||
3,451 | 08/15/28 | 2.835%(S) | 3 Month LIBOR(1)(Q) | (13,709 | ) | (281,675 | ) | (267,966 | ) | |||||||||||||||
145 | 11/15/43 | 2.659%(S) | 3 Month LIBOR(1)(Q) | — | (13,066 | ) | (13,066 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (57,918 | ) | $ | (2,810,027 | ) | $ | (2,752,109 | ) | ||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Forward Rate Agreements | $ | — | $ | — | $ | — | $ | (57,320 | ) |
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. | $ | — | $ | 3,001,728 | ||||
|
|
|
|
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.
A121
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 32,497,489 | $ | — | ||||||
Commercial Mortgage-Backed Securities | — | 44,715,898 | — | |||||||||
Corporate Bonds | — | 2,995,505 | — | |||||||||
Residential Mortgage-Backed Securities. | — | 99,197 | — | |||||||||
U.S. Government Agency Obligations | — | 95,346,252 | — | |||||||||
U.S. Treasury Obligations | — | 59,160,274 | — | |||||||||
Affiliated Mutual Funds | 24,972,744 | — | — | |||||||||
Options Purchased | 53,924 | 280,939 | — | |||||||||
Options Written | (17,501 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Forward Commitment Contract | — | (743,672 | ) | — | ||||||||
Futures Contracts | 1,631,740 | — | — | |||||||||
OTC Forward Rate Agreements | — | — | (57,320 | ) | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (2,752,109 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 26,640,907 | $ | 231,599,773 | $ | (57,320 | ) | |||||
|
|
|
|
|
|
* | Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
U.S. Government Agency Obligations | 39.0 | % | ||
U.S. Treasury Obligations | 24.2 | |||
Commercial Mortgage-Backed Securities | 18.3 | |||
Collateralized Loan Obligations | 13.3 | |||
Affiliated Mutual Funds | 10.2 | |||
Diversified Financial Services | 1.2 | |||
Options Purchased | 0.1 |
Residential Mortgage-Backed Securities | 0.1 | % | ||
|
| |||
106.4 | ||||
Options Written | (0.0 | )* | ||
Liabilities in excess of other assets | (6.4 | ) | ||
|
| |||
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 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 June 30, 2019 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of | Fair Value | Statement of | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 2,925,559 | * | Due from/to broker — variation margin futures | $ | 1,293,819 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 31,021 | * | Due from/to broker — variation margin swaps | 2,783,130 | * | ||||||
Interest rate contracts | Unaffiliated investments | 334,863 | Options written outstanding, at value | 17,501 | ||||||||
Interest rate contracts | — | — | Unrealized depreciation on OTC forward rate agreements | 57,320 | ||||||||
|
|
|
| |||||||||
$ | 3,291,443 | $ | 4,151,770 | |||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A122
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
* | 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 six months ended June 30, 2019 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, | Options Purchased(1) | Options Written | Futures | Forward Rate Agreements | Swaps | |||||||||||||||
Interest rate contracts | $ | (834 | ) | $ | 13,712 | $ | 2,249,978 | $ | 2,322 | $ | 426,818 | |||||||||
|
|
|
|
|
|
|
|
|
|
(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, | Options Purchased(2) | Options Written | Futures | Forward Rate Agreements | Swaps | |||||||||||||||
Interest rate contracts | $ | (27,227 | ) | $ | 48,917 | $ | 837,171 | $ | (56,444 | ) | $ | (3,241,603 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | |||
$83,878 | $639,667 | $124,266,734 | $34,871,761 |
Forward Rate | Inflation Swap | Interest Rate | ||
$21,433,333 | $1,120,000 | $82,904,333 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives 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 where the legal right toset-off exists, is presented in the summary below.
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. | $ | 212,009 | $ | — | $ | 212,009 | $ | — | $ | 212,009 | ||||||||||
Barclays Bank PLC | 61,971 | — | 61,971 | — | 61,971 | |||||||||||||||
Citibank, N.A. | 141 | — | 141 | — | 141 | |||||||||||||||
Citigroup Global Markets, Inc. | — | (57,320 | ) | (57,320 | ) | — | (57,320 | ) | ||||||||||||
Morgan Stanley & Co. International PLC | 6,818 | — | 6,818 | — | 6,818 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 280,939 | $ | (57,320 | ) | $ | 223,619 | $ | — | $ | 223,619 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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.
A123
GOVERNMENT INCOME PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $228,362,032) | $ | 235,149,478 | ||
Affiliated investments (cost $25,739,818) | 24,972,744 | |||
Cash | 136,989 | |||
Receivable for investments sold | 36,389,411 | |||
Dividends and interest receivable | 938,793 | |||
Due from broker—variation margin swaps | 60,736 | |||
Receivable for Portfolio shares sold | 217 | |||
Prepaid expenses | 275 | |||
|
| |||
Total Assets | 297,648,643 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 51,831,620 | |||
Forward commitment contracts, at value (proceeds receivable $739,395) | 743,672 | |||
Payable for Portfolio shares repurchased | 396,990 | |||
Accrued expenses and other liabilities | 103,116 | |||
Management fee payable | 80,357 | |||
Unrealized depreciation on OTC forward rate agreements | 57,320 | |||
Options written outstanding, at value (proceeds received $66,418) | 17,501 | |||
Due to broker—variation margin futures | 5,148 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 53,236,704 | |||
|
| |||
NET ASSETS | $ | 244,411,939 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 244,411,939 | ||
|
| |||
Net asset value and redemption price per share, $244,411,939 / 18,339,631 outstanding shares of beneficial interest | $ | 13.33 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 2,957,933 | ||
Affiliated dividend income | 401,826 | |||
Income from securities lending, net (including affiliated income of $592) | 698 | |||
|
| |||
Total income | 3,360,457 | |||
|
| |||
EXPENSES | ||||
Management fee | 450,252 | |||
Shareholders’ reports | 53,321 | |||
Custodian and accounting fees | 42,102 | |||
Audit fee | 17,288 | |||
Trustees’ fees | 5,993 | |||
Legal fees and expenses. | 5,812 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 8,607 | |||
|
| |||
Total expenses | 588,672 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 2,771,785 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(74,756)) | 1,200,590 | |||
Futures transactions | 2,249,978 | |||
Forward rate agreement transactions | 2,322 | |||
Options written transactions | 13,712 | |||
Swap agreements transactions | 426,818 | |||
|
| |||
3,893,420 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $180,837) | 6,965,746 | |||
Futures | 837,171 | |||
Forward rate agreements | (56,444 | ) | ||
Options written | 48,917 | |||
Swap agreements. | (3,241,603 | ) | ||
|
| |||
4,553,787 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 8,447,207 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 11,218,992 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 2,771,785 | $ | 5,254,682 | ||||
Net realized gain (loss) on investment transactions | 3,893,420 | (4,787,292 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 4,553,787 | 470,821 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 11,218,992 | 938,211 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [2,096,504 and 1,165,919 shares, respectively] | 27,224,079 | 14,482,217 | ||||||
Portfolio shares repurchased [1,169,527 and 3,097,890 shares, respectively] | (15,113,382 | ) | (38,486,314 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 12,110,697 | (24,004,097 | ) | |||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 246 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 23,329,689 | (23,065,640 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 221,082,250 | 244,147,890 | ||||||
|
|
|
| |||||
End of period | $ | 244,411,939 | $ | 221,082,250 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A124
GOVERNMENT MONEY MARKET PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
REPURCHASE AGREEMENTS(m) — 8.0% |
| |||||||||||||||
Credit Agricole Corporate & Investment Bank, 2.68%, dated 06/26/19, due 07/03/19 in the amount of $20,010,422 |
|
| 20,000 |
| $ | 20,000,000 |
| |||||||||
State Street Bank & Trust Co., 2.50%, dated 06/28/19, due 07/01/19 in the amount of $24,515,106 |
|
| 24,510 |
|
| 24,510,000 |
| |||||||||
|
| |||||||||||||||
TOTAL REPURCHASE AGREEMENTS |
|
| 44,510,000 |
| ||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 69.5% |
| |||||||||||||||
Federal Farm Credit Bank |
| |||||||||||||||
1.400% | 07/24/19 | 1,500 | 1,499,154 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.080)% |
| |||||||||||||||
2.314%(c) | 07/15/19 | 3,000 | 2,999,962 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.065)% |
| |||||||||||||||
2.329%(c) | 12/17/19 | 7,000 | 6,999,905 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.070)% |
| |||||||||||||||
2.332%(c) | 01/28/20 | 9,000 | 9,000,000 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)% |
| |||||||||||||||
2.352%(c) | 05/29/20 | 6,000 | 5,997,242 | |||||||||||||
2.362%(c) | 01/08/20 | 7,000 | 7,000,000 | |||||||||||||
2.381%(c) | 02/04/20 | 5,000 | 5,000,000 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.075)% |
| |||||||||||||||
2.355%(c) | 11/05/19 | 8,000 | 7,999,063 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.045)% |
| |||||||||||||||
2.359%(c) | 02/25/20 | 6,000 | 6,000,000 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.025)% |
| |||||||||||||||
2.379%(c) | 01/24/20 | 8,000 | 8,000,361 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.040)% |
| |||||||||||||||
2.381%(c) | 02/06/20 | 7,000 | 6,999,580 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.000% |
| |||||||||||||||
2.401%(c) | 04/14/20 | 8,000 | 8,000,000 | |||||||||||||
2.404%(c) | 06/25/20 | 1,000 | 1,000,017 | |||||||||||||
Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030% |
| |||||||||||||||
2.410%(c) | 07/28/20 | 5,000 | 5,000,000 | |||||||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.030% |
| |||||||||||||||
2.450%(c) | 02/06/20 | 2,000 | 1,999,878 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.050% |
| |||||||||||||||
2.462%(c) | 02/10/20 | 4,500 | 4,502,017 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.170% |
| |||||||||||||||
2.571%(c) | 11/14/19 | 8,000 | 8,005,960 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.190% |
| |||||||||||||||
2.584%(c) | 07/15/19 | 11,000 | 11,000,960 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.180% |
| |||||||||||||||
2.584%(c) | 10/24/19 | 9,000 | 9,005,947 | |||||||||||||
2.592%(c) | 10/11/19 | 8,000 | 8,004,725 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.160% |
| |||||||||||||||
2.600%(c) | 12/02/19 | 12,000 | 12,009,497 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.210)% |
| |||||||||||||||
2.133%(c) | 06/22/20 | 7,000 | 6,992,926 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.230)% |
| |||||||||||||||
2.290%(c) | 12/03/19 | 8,000 | 7,999,193 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.220)% |
| |||||||||||||||
2.305%(c) | 08/23/19 | 7,000 | $ | 7,000,000 | ||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.260)% |
| |||||||||||||||
2.321%(c) | 10/11/19 | 5,500 | 5,498,175 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.090)% |
| |||||||||||||||
2.322%(c) | 09/10/19 | 5,000 | 4,999,654 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.080)% |
| |||||||||||||||
2.331%(c) | 11/13/19 | 3,000 | 2,999,409 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.065)% |
| |||||||||||||||
2.339%(c) | 01/23/20 | 1,000 | 999,755 | |||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.342%(n) | 07/17/19 | 27,000 | 26,972,024 | |||||||||||||
2.344%(n) | 09/04/19 | 8,000 | 7,966,344 | |||||||||||||
2.405%(n) | 07/10/19 | 7,000 | 6,995,817 | |||||||||||||
2.411%(n) | 08/02/19 | 22,000 | 21,953,120 | |||||||||||||
2.423%(n) | 07/26/19 | 11,000 | 10,981,606 | |||||||||||||
2.429%(n) | 07/24/19 | 8,000 | 7,987,662 | |||||||||||||
2.480% | 07/18/19 | 6,000 | 5,999,917 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.055)% |
| |||||||||||||||
2.358%(c) | 03/12/20 | 5,000 | 4,998,715 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.040)% |
| |||||||||||||||
2.362%(c) | 08/26/19 | 9,000 | 9,000,230 | |||||||||||||
2.362%(c) | 08/30/19 | 2,000 | 2,000,026 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.030)% |
| |||||||||||||||
2.382%(c) | 11/08/19 | 20,000 | 19,999,963 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.175)% |
| |||||||||||||||
2.385%(c) | 05/08/20 | 4,000 | 3,997,887 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.025)% |
| |||||||||||||||
2.388%(c) | 12/12/19 | 6,000 | 6,000,000 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.010)% |
| |||||||||||||||
2.394%(c) | 04/24/20 | 5,500 | 5,500,000 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.163)% |
| |||||||||||||||
2.435%(c) | 07/05/19 | 2,250 | 2,250,029 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + 0.125% |
| |||||||||||||||
2.444%(c) | 07/01/20 | 3,000 | 3,007,437 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045% |
| |||||||||||||||
2.465%(c) | 09/28/20 | 2,000 | 2,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050% |
| |||||||||||||||
2.470%(c) | 01/17/20 | 1,000 | 1,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
1.300% | 08/28/19 | 3,000 | 2,994,693 | |||||||||||||
2.495% | 05/20/20 | 3,000 | 3,000,000 | |||||||||||||
2.495% | 06/04/20 | 9,000 | 9,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.225)% |
| |||||||||||||||
2.296%(c) | 08/27/19 | 5,000 | 5,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)% |
| |||||||||||||||
2.312%(c) | 08/08/19 | 6,000 | 6,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + (0.010)% |
| |||||||||||||||
2.410%(c) | 08/05/19 | 10,000 | 10,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.010% |
| |||||||||||||||
2.430%(c) | 07/09/19 | 7,000 | 7,000,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.165)% |
| |||||||||||||||
2.433%(c) | 07/05/19 | 6,750 | $ | 6,750,030 | ||||||||||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.030% |
| |||||||||||||||
2.450%(c) | 10/01/19 | 8,000 | 8,000,000 | |||||||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060% |
| |||||||||||||||
2.480%(c) | 07/30/20 | 2,000 | 2,000,000 | |||||||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.160% |
| |||||||||||||||
2.580%(c) | 01/30/20 | 4,500 | 4,503,653 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 385,372,533 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 24.1% |
| |||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
2.301%(n) | 10/03/19 | 19,500 | 19,385,678 | |||||||||||||
2.348%(n) | 08/06/19 | 13,000 | 12,970,004 | |||||||||||||
2.399%(n) | 07/18/19 | 13,000 | 12,985,361 | |||||||||||||
2.419%(n) | 07/16/19 | 7,000 | 6,993,066 | |||||||||||||
2.421%(n) | 10/10/19 | 13,000 | 12,912,750 | |||||||||||||
2.421%(n) | 10/17/19 | 7,000 | 6,949,768 | |||||||||||||
2.490%(n) | 08/08/19 | 7,000 | 6,982,075 | |||||||||||||
2.503%(n) | 08/15/19 | 20,500 | 20,437,524 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
2.516%(n) | 09/19/19 | 9,000 | $ | 8,950,990 | ||||||||||||
2.520%(n) | 09/05/19 | 25,000 | 24,887,494 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 133,454,710 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 101.6% |
| 563,337,243 | ||||||||||||||
LIABILITIES IN EXCESS OF |
| (8,742,597 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 554,594,646 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual 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 June 30, 2019. |
(m) | Repurchase agreements are collateralized by a Foreign Treasury Security (coupon rate 2.375%, maturity date 08/10/27), FHLMC (coupon rate 3.000%, maturity date 07/01/46), FNMA (coupon rate 4.000%, maturity date 11/01/48), and a U.S. Treasury Security (coupon rate 0.375%, maturity date 07/15/27), with the aggregate value, including accrued interest, of $45,407,942. |
(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 June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Repurchase Agreements | $ | — | $ | 44,510,000 | $ | — | ||||||
U.S. Government Agency Obligations | — | 385,372,533 | — | |||||||||
U.S. Treasury Obligations | — | 133,454,710 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | — | $ | 563,337,243 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
U.S. Government Agency Obligations | 69.5 | % | ||
U.S. Treasury Obligations | 24.1 |
Repurchase Agreements | 8.0 | % | ||
|
| |||
101.6 | ||||
Liabilities in excess of other assets | (1.6 | ) | ||
|
| |||
100.0 | % | |||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A126
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 toset-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 | Credit Agricole Corporate & Investment Bank | $ | 20,000,000 | $ | (20,000,000 | ) | $ | — | ||||||||
Repurchase Agreements | State Street Bank & Trust Co. | 24,510,000 | (24,510,000 | ) | — | |||||||||||
|
| |||||||||||||||
$ | 44,510,000 | |||||||||||||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A127
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)as of June 30, 2019
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 563,337,243 | ||
Cash | 661 | |||
Interest receivable | 658,237 | |||
Receivable for Portfolio shares sold | 76,682 | |||
Prepaid expenses | 618 | |||
|
| |||
Total Assets | 564,073,441 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 7,460,531 | |||
Payable for Portfolio shares repurchased | 1,789,457 | |||
Management fee payable | 135,678 | |||
Accrued expenses and other liabilities | 92,149 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 9,478,795 | |||
|
| |||
NET ASSETS | $ | 554,594,646 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 554,594,646 | ||
|
| |||
Net asset value and redemption price per share, $554,594,646 / 55,450,319 outstanding shares of beneficial interest | $ | 10.00 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
Interest income | $ | 6,610,712 | ||
|
| |||
EXPENSES | ||||
Management fee | 808,276 | |||
Shareholders’ reports | 55,509 | |||
Custodian and accounting fees | 34,581 | |||
Audit fee | 12,227 | |||
Trustees’ fees | 7,767 | |||
Legal fees and expenses | 6,351 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 8,066 | |||
|
| |||
Total expenses | 938,074 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 5,672,638 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions | 13,828 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,686,466 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 5,672,638 | $ | 8,494,528 | ||||
Net realized gain (loss) on investment transactions | 13,828 | 2,882 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 5,686,466 | 8,497,410 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | (5,615,208 | ) | (8,508,150 | ) | ||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [21,895,470 and 40,499,240 shares, respectively] | 218,954,704 | 404,992,401 | ||||||
Portfolio shares issued in reinvestment of distributions [561,521 and 850,815 shares, respectively] | 5,615,208 | 8,508,150 | ||||||
Portfolio shares repurchased [20,643,072 and 43,674,368 shares, respectively] | (206,430,712 | ) | (436,743,676 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 18,139,200 | (23,243,125 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 18,210,458 | (23,253,865 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 536,384,188 | 559,638,053 | ||||||
|
|
|
| |||||
End of period | $ | 554,594,646 | $ | 536,384,188 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A128
HIGH YIELD BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 99.0% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 8.1% |
| |||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
Adams Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.100% |
| |||||||||||||||
3.697%(c) | 07/15/26 | 1,399 | $ | 1,399,975 | ||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% |
| |||||||||||||||
3.947%(c) | 10/15/28 | 4,200 | 4,200,624 | |||||||||||||
CBAM Ltd. (Cayman Islands), |
| |||||||||||||||
Series2018-06A, Class A, 144A, 3 Month LIBOR + 0.940% |
| |||||||||||||||
3.537%(c) | 07/15/31 | 2,500 | 2,495,218 | |||||||||||||
Flatiron CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AR, 144A, 3 Month LIBOR + 0.890% |
| |||||||||||||||
3.487%(c) | 04/15/27 | 1,625 | 1,625,607 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2019-01A, Class A1, 144A, 3 Month LIBOR + 1.440% |
| |||||||||||||||
4.058%(c) | 04/15/29 | 4,175 | 4,181,392 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2013-04A, Class AR, 144A, 3 Month LIBOR + 0.900% |
| |||||||||||||||
3.435%(c) | 08/13/25 | 888 | 890,249 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-13A, Class A1R, 144A, 3 Month LIBOR + 1.080% |
| |||||||||||||||
3.663%(c) | 07/30/27 | 2,000 | 1,999,187 | |||||||||||||
Regatta Funding LP (Cayman Islands), |
| |||||||||||||||
Series2013-02A, Class A1R2, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
3.745%(c) | 01/15/29 | 5,000 | 5,001,186 | |||||||||||||
Riserva CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-03A, Class AR, 144A, 3 Month LIBOR + 1.140% |
| |||||||||||||||
3.538%(c) | 10/18/28 | 5,000 | 4,997,500 | |||||||||||||
Silvermore CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.170% |
| |||||||||||||||
3.688%(c) | 05/15/26 | 1,713 | 1,713,109 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-02A, Class AR, 144A, 3 Month LIBOR + 1.290% |
| |||||||||||||||
3.882%(c) | 10/20/28 | 2,500 | 2,501,204 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2016-06A, Class AR, 144A, 3 Month LIBOR + 1.200% |
| |||||||||||||||
3.576%(c) | 01/15/29 | 2,500 | 2,498,518 | |||||||||||||
Series2018-IA, Class A1, 144A, 3 Month LIBOR + 0.830% |
| |||||||||||||||
3.416%(c) | 04/26/28 | 5,000 | 4,971,106 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
3.724%(c) | 07/20/29 | 2,000 | 2,000,085 | |||||||||||||
West CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series2014-01A, Class A1R, 144A, 3 Month LIBOR + 0.920% |
| |||||||||||||||
3.521%(c) | 07/18/26 | 1,127 | 1,125,565 | |||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 41,600,525 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 3.6% |
| |||||||||||||||
Chemicals — 0.5% |
| |||||||||||||||
Solenis International, LP, |
| |||||||||||||||
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500% |
| |||||||||||||||
11.022%(c) | 06/26/26 | 649 | 639,934 | |||||||||||||
Term Loan | ||||||||||||||||
—%(p) | 06/26/26 | 1,931 | 1,894,234 | |||||||||||||
|
| |||||||||||||||
2,534,168 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Commercial Services — 0.5% |
| |||||||||||||||
Refinitiv US Holdings, Inc., |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
6.152%(c) | 10/01/25 | 2,637 | $ | 2,554,824 | ||||||||||||
|
| |||||||||||||||
Computers — 1.1% |
| |||||||||||||||
McAfee LLC, |
| |||||||||||||||
Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
| |||||||||||||||
10.902%(c) | 09/29/25 | 2,798 | 2,825,991 | |||||||||||||
Term B USD Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
6.152%(c) | 09/30/24 | 3,010 | 3,003,692 | |||||||||||||
|
| |||||||||||||||
5,829,683 | ||||||||||||||||
|
| |||||||||||||||
Electric — 0.2% |
| |||||||||||||||
Calpine Corp., |
| |||||||||||||||
Term Loan (05/15), 3 Month LIBOR + 2.500% |
| |||||||||||||||
4.830%(c) | 01/15/24 | 943 | 937,098 | |||||||||||||
|
| |||||||||||||||
Entertainment — 0.1% |
| |||||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Initial TermB-5 Loan, 1 Month LIBOR + 2.750% |
| |||||||||||||||
5.192%(c) | 08/14/24 | 373 | 367,619 | |||||||||||||
|
| |||||||||||||||
Mining — 0.3% |
| |||||||||||||||
Aleris International, Inc., | ||||||||||||||||
Initial Term Loan, 1 Month LIBOR + 4.750% |
| |||||||||||||||
7.152%(c) | 02/27/23 | 1,562 | 1,561,545 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.3% |
| |||||||||||||||
Citgo Petroleum Corp., |
| |||||||||||||||
2019 Incremental Term B Loan, 3 Month LIBOR + 5.000% |
| |||||||||||||||
7.600%(c) | 03/27/24 | 650 | 650,000 | |||||||||||||
Term B Loan, 3 Month LIBOR + 4.500% |
| |||||||||||||||
7.100%(c) | 07/29/21 | 673 | 672,817 | |||||||||||||
|
| |||||||||||||||
1,322,817 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.1% |
| |||||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD), 3 Month LIBOR + 8.000% |
| |||||||||||||||
10.330%(c) | 04/20/26 | 567 | 560,213 | |||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
Boxer Parent Co., Inc., | ||||||||||||||||
Initial Dollar Term Loan, 3 Month LIBOR + 4.250% |
| |||||||||||||||
6.580%(c) | 10/02/25 | 1,224 | 1,159,024 | |||||||||||||
Finastra USA, Inc., | ||||||||||||||||
Dollar Term Loan (Second Lien), 1 Month LIBOR + 7.250% |
| |||||||||||||||
9.652%(c) | 06/13/25 | 1,075 | 1,063,712 | |||||||||||||
Kronos, Inc., |
| |||||||||||||||
Initial Term Loan (Second Lien), 3 Month LIBOR + 8.250% |
| |||||||||||||||
10.829%(c) | 11/01/24 | 525 | 540,969 | |||||||||||||
|
| |||||||||||||||
2,763,705 | ||||||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 18,431,672 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 86.4% |
| |||||||||||||||
Advertising — 0.4% |
| |||||||||||||||
Clear Channel International BV, |
| |||||||||||||||
Gtd. Notes, 144A | ||||||||||||||||
8.750% | 12/15/20 | 250 | 255,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
A129
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Advertising (continued) |
| |||||||||||||||
Mood Media Borrower LLC/Mood MediaCo-Issuer, Inc., |
| |||||||||||||||
Sec’d. Notes, Cash pays ((6 Month LIBOR + 14.000%)/(1—Statutory Reserves)) or PIK 8.000% (Cap N/A, Floor 1.000%) |
| |||||||||||||||
16.873%(c) | 07/01/24 | 281 | $ | 244,110 | ||||||||||||
National CineMedia LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 08/15/26 | 1,625 | 1,547,813 | |||||||||||||
|
| |||||||||||||||
2,047,548 | ||||||||||||||||
|
| |||||||||||||||
Aerospace & Defense — 2.4% |
| |||||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 03/15/22 | 225 | 228,094 | |||||||||||||
6.125% | 01/15/23 | 250 | 253,437 | |||||||||||||
7.450% | 05/01/34 | 75 | 73,500 | |||||||||||||
7.500% | 12/01/24 | 4,075 | 4,156,500 | |||||||||||||
7.500% | 03/15/25 | 675 | 676,890 | |||||||||||||
7.875% | 04/15/27 | 2,625 | 2,628,281 | |||||||||||||
8.750% | 12/01/21 | 2,575 | 2,806,750 | |||||||||||||
TransDigm UK Holdings PLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.875% | 05/15/26 | 200 | 202,375 | |||||||||||||
TransDigm, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
6.375% | 06/15/26 | 332 | 334,490 | |||||||||||||
6.500% | 07/15/24 | 625 | 632,031 | |||||||||||||
6.500% | 05/15/25 | 175 | 177,013 | |||||||||||||
|
| |||||||||||||||
12,169,361 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
Vector Group Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/01/25 | 1,275 | 1,181,645 | |||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 1.9% |
| |||||||||||||||
Allison Transmission, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 10/01/27 | 350 | 347,375 | |||||||||||||
5.875% | 06/01/29 | (a) | 225 | 236,813 | ||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 01/15/43 | 700 | 610,919 | |||||||||||||
5.291% | 12/08/46 | 3,575 | 3,325,330 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.584% | 03/18/24 | 625 | 670,861 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 10/01/28 | 1,425 | 1,496,576 | |||||||||||||
5.200% | 04/01/45 | 150 | 143,240 | |||||||||||||
Navistar International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 11/01/25 | (a) | 2,575 | 2,697,313 | ||||||||||||
|
| |||||||||||||||
9,528,427 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 2.2% |
| |||||||||||||||
Adient Global Holdings Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 08/15/26 | 2,775 | 2,206,125 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Parts & Equipment (continued) |
| |||||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.250% | 04/01/25 | (a) | 1,200 | $ | 1,194,000 | |||||||||||
6.250% | 03/15/26 | (a) | 2,623 | 2,590,212 | ||||||||||||
6.500% | 04/01/27 | (a) | 100 | 99,750 | ||||||||||||
Cooper-Standard Automotive, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/26 | 1,725 | 1,530,937 | |||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/25 | 475 | 487,469 | |||||||||||||
6.500% | 06/01/26 | (a) | 1,950 | 2,052,375 | ||||||||||||
IHO Verwaltungs GmbH (Germany), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, Cash coupon 4.750% or PIK 5.500% |
| |||||||||||||||
4.750% | 09/15/26 | (a) | 200 | 194,750 | ||||||||||||
Meritor, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.250% | 02/15/24 | 150 | 154,313 | |||||||||||||
Titan International, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes | ||||||||||||||||
6.500% | 11/30/23 | 1,000 | 867,500 | |||||||||||||
|
| |||||||||||||||
11,377,431 | ||||||||||||||||
|
| |||||||||||||||
Banks — 0.3% | ||||||||||||||||
CIT Group, Inc., |
| |||||||||||||||
Sub. Notes | ||||||||||||||||
6.125% | 03/09/28 | (a) | 1,475 | 1,677,812 | ||||||||||||
|
| |||||||||||||||
Beverages — 0.2% |
| |||||||||||||||
Cott Holdings, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 04/01/25 | 1,175 | 1,197,031 | |||||||||||||
|
| |||||||||||||||
Building Materials — 1.6% |
| |||||||||||||||
Cemex SAB de CV (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.700% | 01/11/25 | 320 | 332,464 | |||||||||||||
Cornerstone Building Brands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 04/15/26 | (a) | 1,400 | 1,363,250 | ||||||||||||
Griffon Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.250% | 03/01/22 | 1,200 | 1,194,000 | |||||||||||||
Masonite International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 09/15/26 | 360 | 370,800 | |||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | 1,000 | 992,500 | |||||||||||||
5.375% | 11/15/24 | 275 | 284,625 | |||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.125% | 07/15/23 | 200 | 202,500 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 06/01/25 | (a) | 725 | 726,812 | ||||||||||||
6.500% | 03/15/27 | 400 | 416,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A130
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Building Materials (continued) |
| |||||||||||||||
U.S. Concrete, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.375% | 06/01/24 | 2,000 | $ | 2,080,000 | ||||||||||||
|
| |||||||||||||||
7,962,951 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 3.9% |
| |||||||||||||||
Alpha 2 BV (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500% |
| |||||||||||||||
8.750% | 06/01/23 | (a) | 1,525 | 1,498,312 | ||||||||||||
Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/25 | 450 | 443,250 | |||||||||||||
Ashland LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/43 | 1,905 | 2,052,637 | |||||||||||||
Chemours Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 05/15/27 | (a) | 865 | 823,913 | ||||||||||||
7.000% | 05/15/25 | 700 | 731,500 | |||||||||||||
Cornerstone Chemical Co., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 08/15/24 | 1,110 | 1,040,625 | |||||||||||||
Element Solutions, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 12/01/25 | 730 | 760,113 | |||||||||||||
Hexion, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
13.750% | 02/01/22 | (d) | 1,225 | 211,313 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.375% | 02/01/22 | (a)(d) | 650 | 495,625 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.875% | 07/15/27 | 840 | 846,300 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 225 | 232,875 | |||||||||||||
5.000% | 05/01/25 | 200 | 209,000 | |||||||||||||
5.250% | 06/01/27 | 2,850 | 3,031,687 | |||||||||||||
PQ Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/22 | 200 | 207,068 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.250% | 04/01/25 | 1,755 | 1,623,375 | |||||||||||||
Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.000% | 10/01/26 | (a) | 840 | 863,100 | ||||||||||||
TPC Group, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 12/15/20 | 1,710 | 1,703,587 | |||||||||||||
Tronox Finance PLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 10/01/25 | 1,130 | 1,096,100 | |||||||||||||
Tronox, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 04/15/26 | (a) | 1,220 | 1,209,325 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Venator Finance Sarl/Venator Materials LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 07/15/25 | (a) | 1,155 | $ | 1,059,713 | |||||||||||
|
| |||||||||||||||
20,139,418 | ||||||||||||||||
|
| |||||||||||||||
Coal — 0.1% |
| |||||||||||||||
Warrior Met Coal, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.000% | 11/01/24 | 599 | 624,458 | |||||||||||||
|
| |||||||||||||||
Commercial Services — 3.9% |
| |||||||||||||||
Allied Universal Holdco LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.625% | 07/15/26 | 600 | 609,000 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 07/15/27 | 1,900 | 1,892,875 | |||||||||||||
Laureate Education, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 05/01/25 | 3,095 | 3,381,287 | |||||||||||||
Refinitiv US Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 11/15/26 | 4,080 | 4,196,280 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | 4,700 | 4,794,000 | |||||||||||||
5.250% | 01/15/30 | 900 | 924,750 | |||||||||||||
5.500% | 05/15/27 | 975 | 1,026,188 | |||||||||||||
5.875% | 09/15/26 | 1,200 | 1,278,000 | |||||||||||||
6.500% | 12/15/26 | 950 | 1,028,375 | |||||||||||||
Verscend Escrow Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 08/15/26 | 600 | 623,250 | |||||||||||||
|
| |||||||||||||||
19,754,005 | ||||||||||||||||
|
| |||||||||||||||
Computers — 1.3% |
| |||||||||||||||
Banff Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 09/01/26 | 4,570 | 3,964,475 | |||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 12/15/25 | 1,150 | 1,201,750 | |||||||||||||
NCR Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 625 | 630,287 | |||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/25 | 819 | 843,570 | |||||||||||||
|
| |||||||||||||||
6,640,082 | ||||||||||||||||
|
| |||||||||||||||
Distribution/Wholesale — 0.5% |
| |||||||||||||||
Global Partners LP/GLP Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.250% | 07/15/22 | 424 | 428,240 | |||||||||||||
7.000% | 06/15/23 | 1,300 | 1,316,250 | |||||||||||||
H&E Equipment Services, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 09/01/25 | 750 | 771,375 | |||||||||||||
|
| |||||||||||||||
2,515,865 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A131
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services — 2.6% |
| |||||||||||||||
Fairstone Financial, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.875% | 07/15/24 | 430 | $ | 438,063 | ||||||||||||
LPL Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 09/15/25 | 1,375 | 1,407,656 | |||||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.125% | 07/15/26 | 4,650 | 4,719,750 | |||||||||||||
Navient Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.250% | 09/25/23 | 375 | 400,313 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
8.000% | 03/25/20 | 200 | 207,000 | |||||||||||||
Springleaf Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 01/15/28 | 1,125 | 1,181,250 | |||||||||||||
6.875% | 03/15/25 | 1,100 | 1,204,478 | |||||||||||||
7.125% | 03/15/26 | 2,925 | 3,204,703 | |||||||||||||
VFH Parent LLC/OrchestraCo-Issuer, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/15/22 | 425 | 440,372 | |||||||||||||
|
| |||||||||||||||
13,203,585 | ||||||||||||||||
|
| |||||||||||||||
Electric — 3.0% |
| |||||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 02/01/24 | 1,800 | 1,782,000 | |||||||||||||
5.750% | 01/15/25 | 5,950 | 5,905,375 | |||||||||||||
GenOn Energy, Inc./NRG Americas, Inc., |
| |||||||||||||||
Sec’d. Notes, 6 Month LIBOR + 6.500% |
| |||||||||||||||
9.044%(c) | 12/01/23 | (a) | 947 | 938,649 | ||||||||||||
Keystone Power Pass-Through Holders LLC/Conemaugh Power |
| |||||||||||||||
Pass-Through Holders, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.000% | 12/01/23 | 171 | 174,857 | |||||||||||||
Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A |
| |||||||||||||||
13.000% | 06/01/24 | 516 | 526,147 | |||||||||||||
Mirant Corp., | ||||||||||||||||
Bonds, 144A | ||||||||||||||||
7.400% | 07/15/49^ | (d) | 250 | 250 | ||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.750% | 01/15/28 | (a) | 950 | 1,018,875 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 06/15/29 | (a) | 225 | 240,187 | ||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 815 | 844,544 | |||||||||||||
5.500% | 09/01/26 | 1,261 | 1,331,931 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 02/15/27 | 2,350 | 2,488,062 | |||||||||||||
|
| |||||||||||||||
15,250,877 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Itron, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/15/26 | 450 | $ | 460,125 | ||||||||||||
Sensata Technologies BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 10/15/23 | 275 | 286,688 | |||||||||||||
|
| |||||||||||||||
746,813 | ||||||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.7% |
| |||||||||||||||
AECOM, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | 1,525 | 1,586,000 | |||||||||||||
5.875% | 10/15/24 | 700 | 758,100 | |||||||||||||
TopBuild Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 05/01/26 | 1,425 | 1,457,062 | |||||||||||||
|
| |||||||||||||||
3,801,162 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 3.3% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 06/15/25 | (a) | 1,175 | 1,088,402 | ||||||||||||
5.875% | 11/15/26 | (a) | 1,950 | 1,745,250 | ||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 10/15/25 | 3,800 | 3,811,875 | |||||||||||||
Golden Entertainment, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.625% | 04/15/26 | 500 | 511,250 | |||||||||||||
International Game Technology PLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 01/15/27 | 450 | 492,188 | |||||||||||||
6.500% | 02/15/25 | (a) | 775 | 846,688 | ||||||||||||
Jacobs Entertainment, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.875% | 02/01/24 | 1,325 | 1,414,437 | |||||||||||||
Penn National Gaming, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 01/15/27 | (a) | 1,625 | 1,604,687 | ||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 05/15/21 | 3,400 | 3,446,750 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 03/15/26 | 1,227 | 1,288,338 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.000% | 10/15/25 | 175 | 176,750 | |||||||||||||
Twin River Worldwide Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/27 | 500 | 521,250 | |||||||||||||
|
| |||||||||||||||
16,947,865 | ||||||||||||||||
|
| |||||||||||||||
Foods — 2.0% | ||||||||||||||||
B&G Foods, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 04/01/25 | (a) | 525 | 530,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods (continued) |
| |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | 1,325 | $ | 1,378,000 | ||||||||||||
5.875% | 07/15/24 | 825 | 848,719 | |||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 04/15/29 | 1,755 | 1,906,369 | |||||||||||||
Pilgrim’s Pride Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 09/30/27 | 2,550 | 2,642,437 | |||||||||||||
Post Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 08/15/26 | 400 | 405,500 | |||||||||||||
5.625% | 01/15/28 | 1,850 | 1,900,875 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.500% | 12/15/29 | 650 | 651,625 | |||||||||||||
|
| |||||||||||||||
10,263,775 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.0% |
| |||||||||||||||
Mercer International, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 02/01/24 | 125 | 129,375 | |||||||||||||
|
| |||||||||||||||
Gas — 0.9% |
| |||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 05/20/25 | 1,450 | 1,526,125 | |||||||||||||
5.625% | 05/20/24 | 275 | 292,875 | |||||||||||||
5.750% | 05/20/27 | 1,475 | 1,548,750 | |||||||||||||
5.875% | 08/20/26 | 975 | 1,033,500 | |||||||||||||
|
| |||||||||||||||
4,401,250 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 4.6% |
| |||||||||||||||
Acadia Healthcare Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 03/01/24 | 750 | 781,875 | |||||||||||||
CHS/Community Health Systems, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 02/01/22 | 300 | 202,500 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.125% | 06/30/24 | (a) | 2,242 | 1,675,895 | ||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.250% | 03/31/23 | 925 | 890,313 | |||||||||||||
DaVita, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 05/01/25 | 400 | 394,900 | |||||||||||||
Hadrian Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 05/01/26 | 1,050 | 992,250 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 3,225 | 3,480,984 | |||||||||||||
5.625% | 09/01/28 | 275 | 297,688 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 01/15/27 | (a) | 3,500 | 3,443,125 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.750% | 12/01/26 | (a) | 2,875 | $ | 3,011,562 | |||||||||||
Select Medical Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 06/01/21 | 275 | 275,371 | |||||||||||||
Surgery Center Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 07/01/25 | (a) | 625 | 540,625 | ||||||||||||
10.000% | 04/15/27 | 875 | 872,813 | |||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/27 | 1,300 | 1,345,500 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 06/15/23 | (a) | 1,125 | 1,129,219 | ||||||||||||
7.000% | 08/01/25 | (a) | 1,890 | 1,882,912 | ||||||||||||
8.125% | 04/01/22 | 2,150 | 2,254,812 | |||||||||||||
|
| |||||||||||||||
23,472,344 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 4.7% |
| |||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 08/01/25 | 1,375 | 1,326,875 | |||||||||||||
9.875% | 04/01/27 | 1,125 | 1,185,469 | |||||||||||||
Beazer Homes USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 10/15/27 | 650 | 563,680 | |||||||||||||
6.750% | 03/15/25 | 850 | 813,875 | |||||||||||||
7.250% | 02/01/23 | 25 | 24,375 | |||||||||||||
8.750% | 03/15/22 | 350 | 364,000 | |||||||||||||
Brookfield Residential Properties, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 05/15/25 | 1,450 | 1,464,500 | |||||||||||||
Century Communities, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/27 | 1,300 | 1,317,875 | |||||||||||||
KB Home, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 06/15/27 | 250 | 266,875 | |||||||||||||
7.500% | 09/15/22 | 75 | 83,531 | |||||||||||||
7.625% | 05/15/23 | 675 | 754,313 | |||||||||||||
Lennar Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 05/30/25 | 325 | 344,094 | |||||||||||||
5.250% | 06/01/26 | 75 | 79,875 | |||||||||||||
5.375% | 10/01/22 | 400 | 424,000 | |||||||||||||
M/I Homes, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 08/01/25 | 425 | 431,375 | |||||||||||||
6.750% | 01/15/21 | 475 | 482,719 | |||||||||||||
Mattamy Group Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 10/01/25 | 775 | 816,656 | |||||||||||||
6.875% | 12/15/23 | 900 | 937,125 |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Home Builders (continued) |
| |||||||||||||||
Meritage Homes Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 06/06/27 | 1,300 | $ | 1,319,500 | ||||||||||||
6.000% | 06/01/25 | 1,275 | 1,370,625 | |||||||||||||
New Home Co., Inc. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.250% | 04/01/22 | 975 | 918,937 | |||||||||||||
PulteGroup, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 01/15/27 | 650 | 680,750 | |||||||||||||
5.500% | 03/01/26 | 400 | 432,000 | |||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 05/15/22 | 350 | 361,813 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 1,150 | 1,170,125 | |||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 03/01/24 | 275 | 283,938 | |||||||||||||
5.875% | 04/15/23 | 1,150 | 1,207,500 | |||||||||||||
William Lyon Homes, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 01/31/25 | 1,525 | 1,505,937 | |||||||||||||
6.000% | 09/01/23 | 375 | 380,625 | |||||||||||||
7.000% | 08/15/22 | 1,300 | 1,304,875 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.625% | 07/15/27 | 1,525 | 1,521,187 | |||||||||||||
|
| |||||||||||||||
24,139,024 | ||||||||||||||||
|
| |||||||||||||||
Home Furnishings — 0.1% |
| |||||||||||||||
Tempur Sealy International, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 06/15/26 | (a) | 475 | 492,813 | ||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.1% |
| |||||||||||||||
Spectrum Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 07/15/25 | 725 | 753,094 | |||||||||||||
|
| |||||||||||||||
Housewares — 0.2% |
| |||||||||||||||
ScottsMiracle-Gro Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 12/15/26 | 785 | 796,775 | |||||||||||||
|
| |||||||||||||||
Internet — 0.8% |
| |||||||||||||||
Zayo Group LLC/Zayo Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 04/01/23 | 295 | 301,638 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 01/15/27 | 3,815 | 3,887,027 | |||||||||||||
|
| |||||||||||||||
4,188,665 | ||||||||||||||||
|
| |||||||||||||||
Iron/Steel — 0.7% |
| |||||||||||||||
Cleveland-Cliffs, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 03/01/25 | 515 | 512,425 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/27 | 2,450 | 2,382,625 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Iron/Steel (continued) |
| |||||||||||||||
United States Steel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 03/15/26 | 725 | $ | 645,250 | ||||||||||||
|
| |||||||||||||||
3,540,300 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.2% |
| |||||||||||||||
Boyd Gaming Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 08/15/26 | 575 | 604,469 | |||||||||||||
Interval Acquisition Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 04/15/23 | 350 | 355,250 | |||||||||||||
MGM Resorts International, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/01/26 | 75 | 75,375 | |||||||||||||
|
| |||||||||||||||
1,035,094 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.6% |
| |||||||||||||||
ATS Automation Tooling Systems, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 06/15/23 | 600 | 619,500 | |||||||||||||
Cloud Crane LLC, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
10.125% | 08/01/24 | 1,725 | 1,854,375 | |||||||||||||
RBS Global, Inc./Rexnord LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 12/15/25 | 500 | 506,250 | |||||||||||||
|
| |||||||||||||||
2,980,125 | ||||||||||||||||
|
| |||||||||||||||
Media — 6.8% |
| |||||||||||||||
AMC Networks, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 08/01/25 | (a) | 635 | 641,350 | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 02/01/28 | 1,905 | 1,945,386 | |||||||||||||
5.125% | 05/01/23 | (a) | 600 | 612,562 | ||||||||||||
5.375% | 06/01/29 | 200 | 206,500 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 02/15/24 | 4,625 | 5,018,125 | |||||||||||||
Gtd. Notes, Series A |
| |||||||||||||||
6.500% | 11/15/22 | 1,376 | 1,406,960 | |||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 02/01/28 | 350 | 363,563 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 12/15/21 | 2,315 | 2,315,000 | |||||||||||||
5.125% | 12/15/21 | 2,100 | 2,100,000 | |||||||||||||
7.500% | 04/01/28 | 475 | 521,455 | |||||||||||||
Cumulus Media New Holdings, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 07/01/26 | 750 | 747,975 | |||||||||||||
DISH DBS Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/15/23 | (a) | 250 | 241,563 | ||||||||||||
5.875% | 11/15/24 | (a) | 755 | 714,419 | ||||||||||||
7.750% | 07/01/26 | (a) | 7,825 | 7,590,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
Entercom Media Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/27 | 575 | $ | 598,000 | ||||||||||||
Gray Television, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 07/15/26 | (a) | 1,335 | 1,385,062 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/27 | 485 | 526,225 | |||||||||||||
Midcontinent Communications/Midcontinent Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.875% | 08/15/23 | 675 | 700,312 | |||||||||||||
Quebecor Media, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/23 | 860 | 920,200 | |||||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.625% | 02/15/25 | 900 | 870,750 | |||||||||||||
6.875% | 02/15/23 | 1,735 | 1,735,000 | |||||||||||||
Sinclair Television Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 08/01/24 | 380 | 388,550 | |||||||||||||
5.875% | 03/15/26 | 275 | 281,105 | |||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 05/15/23 | (a) | 1,315 | 1,285,412 | ||||||||||||
5.125% | 02/15/25 | 935 | 889,419 | |||||||||||||
6.750% | 09/15/22 | 205 | 208,204 | |||||||||||||
Ziggo Bond Co. BV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 01/15/27 | 475 | 476,188 | |||||||||||||
|
| |||||||||||||||
34,689,535 | ||||||||||||||||
|
| |||||||||||||||
Metal Fabricate/Hardware — 0.3% |
| |||||||||||||||
TriMas Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 10/15/25 | 337 | 341,212 | |||||||||||||
Zekelman Industries, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.875% | 06/15/23 | 1,185 | 1,250,916 | |||||||||||||
|
| |||||||||||||||
1,592,128 | ||||||||||||||||
|
| |||||||||||||||
Mining — 2.5% | ||||||||||||||||
Constellium NV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 02/15/26 | (a) | 1,175 | 1,207,313 | ||||||||||||
6.625% | 03/01/25 | (a) | 1,060 | 1,102,400 | ||||||||||||
Eldorado Gold Corp. (Canada), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 06/01/24 | 1,300 | 1,300,000 | |||||||||||||
First Quantum Minerals Ltd. (Zambia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 03/01/24 | 1,320 | 1,234,200 | |||||||||||||
6.875% | 03/01/26 | 200 | 185,500 | |||||||||||||
7.000% | 02/15/21 | 215 | 219,300 | |||||||||||||
7.250% | 04/01/23 | 200 | 194,750 | |||||||||||||
7.500% | 04/01/25 | 1,525 | 1,452,562 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Mining (continued) |
| |||||||||||||||
Freeport-McMoRan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 03/15/23 | 2,240 | $ | 2,240,000 | ||||||||||||
4.550% | 11/14/24 | (a) | 285 | 291,341 | ||||||||||||
IAMGOLD Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 04/15/25 | 1,260 | 1,304,100 | |||||||||||||
New Gold, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 11/15/22 | 515 | 480,238 | |||||||||||||
6.375% | 05/15/25 | 100 | 82,750 | |||||||||||||
Novelis Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 09/30/26 | 1,660 | 1,680,750 | |||||||||||||
6.250% | 08/15/24 | 100 | 104,846 | |||||||||||||
|
| |||||||||||||||
13,080,050 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.3% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 425 | 443,063 | |||||||||||||
FXI Holdings, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.875% | 11/01/24 | 925 | 862,562 | |||||||||||||
|
| |||||||||||||||
1,305,625 | ||||||||||||||||
|
| |||||||||||||||
Office/Business Equipment — 0.1% |
| |||||||||||||||
CDW LLC/CDW Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 12/01/24 | 620 | 662,780 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 9.4% |
| |||||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.875% | 12/15/24 | 5,200 | 2,015,000 | |||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | (a) | 1,300 | 1,199,250 | ||||||||||||
5.625% | 06/01/23 | (a) | 1,175 | 1,134,110 | ||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 1,825 | 1,665,312 | |||||||||||||
10.000% | 04/01/22 | 2,050 | 2,170,232 | |||||||||||||
Centennial Resource Production LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 01/15/26 | 425 | 403,750 | |||||||||||||
Chesapeake Energy Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.000% | 06/15/27 | (a) | 4,325 | 3,811,406 | ||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.750% | 02/15/20 | 4,675 | 4,838,625 | |||||||||||||
CNX Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 04/15/22 | 1,369 | 1,327,930 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 03/14/27 | (a) | 1,125 | 961,875 |
SEE NOTES TO FINANCIAL STATEMENTS.
A135
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
CrownRock LP/CrownRock Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 10/15/25 | 800 | $ | 802,000 | ||||||||||||
Denbury Resources, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.000% | 05/15/21 | 350 | 344,750 | |||||||||||||
Diamond Offshore Drilling, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 08/15/25 | (a) | 425 | 403,750 | ||||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/30/28 | 825 | 868,313 | |||||||||||||
Ensco Rowan PLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 10/01/24 | (a) | 500 | 372,500 | ||||||||||||
5.750% | 10/01/44 | 400 | 230,000 | |||||||||||||
7.750% | 02/01/26 | 2,050 | 1,527,250 | |||||||||||||
Extraction Oil & Gas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 02/01/26 | 2,000 | 1,615,000 | |||||||||||||
7.375% | 05/15/24 | 950 | 812,250 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 12/01/24 | 75 | 74,625 | |||||||||||||
5.750% | 10/01/25 | 1,275 | 1,278,187 | |||||||||||||
6.250% | 11/01/28 | 900 | 904,500 | |||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 01/30/23 | 3,750 | 3,571,875 | |||||||||||||
7.000% | 03/31/24 | 875 | 831,250 | |||||||||||||
Nabors Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 02/01/25 | (a) | 2,750 | 2,437,187 | ||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.299% | 01/27/25 | 250 | 265,250 | |||||||||||||
7.375% | 01/17/27 | 350 | 400,400 | |||||||||||||
8.750% | 05/23/26 | 425 | 524,820 | |||||||||||||
Precision Drilling Corp. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.750% | 12/15/23 | 525 | 535,343 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 01/15/26 | (a) | 1,225 | 1,185,187 | ||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 05/15/25 | (a) | 650 | 570,375 | ||||||||||||
5.875% | 07/01/22 | 2,125 | 2,103,750 | |||||||||||||
Rowan Cos., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.375% | 06/15/25 | 75 | 58,125 | |||||||||||||
Seven Generations Energy Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 09/30/25 | 650 | 625,625 | |||||||||||||
Seventy Seven Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 07/15/22 | ^(d) | 275 | 3 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Sunoco LP/Sunoco Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 02/15/26 | 850 | $ | 885,063 | ||||||||||||
5.875% | 03/15/28 | 100 | 103,625 | |||||||||||||
Transocean Pontus Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 08/01/25 | 378 | 389,340 | |||||||||||||
Transocean, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 11/01/25 | 1,925 | 1,823,937 | |||||||||||||
7.500% | 01/15/26 | 1,125 | 1,071,563 | |||||||||||||
WPX Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 09/15/24 | 400 | 410,500 | |||||||||||||
5.750% | 06/01/26 | (a) | 400 | 415,500 | ||||||||||||
6.000% | 01/15/22 | 675 | 703,688 | |||||||||||||
8.250% | 08/01/23 | 325 | 370,500 | |||||||||||||
|
| |||||||||||||||
48,043,521 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Nine Energy Service, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.750% | 11/01/23 | 400 | 390,000 | |||||||||||||
|
| |||||||||||||||
Packaging & Containers — 1.3% |
| |||||||||||||||
ARD Finance SA (Luxembourg), |
| |||||||||||||||
Sr. Sec’d. Notes, Cash coupon 7.125% or PIK 7.875% |
| |||||||||||||||
7.125% | 09/15/23 | 2,650 | 2,709,625 | |||||||||||||
ARD Securities Finance SARL (Luxembourg), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, Cash coupon 8.750% or PIK 8.750% |
| |||||||||||||||
8.750% | 01/31/23 | 809 | 815,111 | |||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 05/15/24 | 1,725 | 1,817,719 | |||||||||||||
Owens-Brockway Glass Container, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 08/15/25 | (a) | 200 | 218,000 | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 07/15/24 | 900 | 930,618 | |||||||||||||
Sealed Air Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 12/01/24 | 75 | 78,750 | |||||||||||||
|
| |||||||||||||||
6,569,823 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.9% |
| |||||||||||||||
Bausch Health Americas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 01/31/27 | 150 | 164,928 | |||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 03/01/23 | 269 | 271,152 | |||||||||||||
6.125% | 04/15/25 | (a) | 3,750 | 3,829,575 | ||||||||||||
7.000% | 01/15/28 | 775 | 803,094 | |||||||||||||
7.250% | 05/30/29 | 810 | 842,400 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 08/15/27 | 170 | 178,666 |
SEE NOTES TO FINANCIAL STATEMENTS.
A136
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 02/01/25 | 1,200 | $ | 804,000 | ||||||||||||
Mallinckrodt International Finance SA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 04/15/23 | 125 | 88,125 | |||||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 04/15/25 | (a) | 1,250 | 837,500 | ||||||||||||
NVA Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.875% | 04/01/26 | 1,860 | 1,943,700 | |||||||||||||
|
| |||||||||||||||
9,763,140 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 2.6% |
| |||||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 09/15/24 | 375 | 372,656 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/15/28 | 1,675 | 1,658,250 | |||||||||||||
CNX Midstream Partners LP/CNX Midstream Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 03/15/26 | 675 | 641,250 | |||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 05/15/29 | 450 | 462,375 | |||||||||||||
5.600% | 04/01/44 | 260 | 244,400 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.450% | 11/03/36 | 750 | 787,500 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.500% | 10/15/20 | 900 | 954,639 | |||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 08/15/27 | 700 | 741,125 | |||||||||||||
7.768% | 12/15/37 | 675 | 857,250 | |||||||||||||
Rockies Express Pipeline LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 04/15/40 | 2,419 | 2,698,177 | |||||||||||||
7.500% | 07/15/38 | 325 | 371,952 | |||||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 09/15/24 | 875 | 903,438 | |||||||||||||
5.500% | 01/15/28 | 1,725 | 1,744,406 | |||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 03/15/24 | 675 | 702,000 | |||||||||||||
|
| |||||||||||||||
13,139,418 | ||||||||||||||||
|
| |||||||||||||||
Real Estate — 1.0% |
| |||||||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.875% | 11/15/25 | 1,175 | 1,180,898 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate (continued) |
| |||||||||||||||
Forestar Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 04/15/24 | 750 | $ | 786,563 | ||||||||||||
Greystar Real Estate Partners LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 12/01/25 | 1,450 | 1,479,000 | |||||||||||||
Howard Hughes Corp. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 03/15/25 | 450 | 464,940 | |||||||||||||
Hunt Cos., Inc., | ||||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/15/26 | 1,525 | 1,441,125 | |||||||||||||
|
| |||||||||||||||
5,352,526 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/26 | 875 | 946,269 | |||||||||||||
MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 09/01/26 | 775 | 795,344 | |||||||||||||
4.500% | 01/15/28 | 1,175 | 1,166,187 | |||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 10/15/27 | 1,075 | 1,107,250 | |||||||||||||
5.250% | 08/01/26 | 375 | 390,937 | |||||||||||||
Sabra Health Care LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 08/15/26 | 400 | 416,380 | |||||||||||||
|
| |||||||||||||||
4,822,367 | ||||||||||||||||
|
| |||||||||||||||
Retail — 4.9% | ||||||||||||||||
Beacon Roofing Supply, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 11/01/25 | (a) | 500 | 495,000 | ||||||||||||
Brinker International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/24 | 475 | 483,906 | |||||||||||||
Caleres, Inc., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.250% | 08/15/23 | 580 | 598,850 | |||||||||||||
CEC Entertainment, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.000% | 02/15/22 | 1,975 | 1,987,344 | |||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 06/15/23 | 1,100 | 965,250 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 05/01/21 | 375 | 340,312 | |||||||||||||
6.750% | 01/15/22 | 975 | 862,875 | |||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.625% | 06/15/20 | (a) | 1,950 | 1,433,250 | ||||||||||||
8.625% | 06/15/20 | 1,775 | 1,304,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
A137
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (continued) | ||||||||||||||||
Golden Nugget, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.750% | 10/01/25 | (a) | 1,800 | $ | 1,890,000 | |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 10/15/24 | 1,225 | 1,261,750 | |||||||||||||
L Brands, Inc., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 07/01/36 | 1,775 | 1,526,500 | |||||||||||||
6.875% | 11/01/35 | 1,450 | 1,289,572 | |||||||||||||
Michaels Stores, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 07/15/27 | 700 | 696,773 | |||||||||||||
PetSmart, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 03/15/23 | 450 | 421,875 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/25 | 2,500 | 2,425,000 | |||||||||||||
Rite Aid Corp., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 04/01/23 | 2,875 | 2,425,781 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 2,500 | 2,453,000 | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 06/01/24 | 1,175 | 1,180,875 | |||||||||||||
5.750% | 03/01/25 | 175 | 176,313 | |||||||||||||
Superior Plus LP/Superior General Partner, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 07/15/26 | 1,075 | 1,111,281 | |||||||||||||
|
| |||||||||||||||
25,330,132 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.1% |
| |||||||||||||||
Sensata Technologies UK Financing Co. PLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 02/15/26 | 650 | 690,625 | |||||||||||||
|
| |||||||||||||||
Software — 0.9% |
| |||||||||||||||
Dun & Bradstreet Corp. (The), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.875% | 08/15/26 | 285 | 301,031 | |||||||||||||
Infor US, Inc., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 05/15/22 | 2,345 | 2,386,272 | |||||||||||||
Informatica LLC, | ||||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.125% | 07/15/23 | 260 | 264,594 | |||||||||||||
RP Crown Parent LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.375% | 10/15/24 | 1,555 | 1,621,088 | |||||||||||||
|
| |||||||||||||||
4,572,985 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 8.6% |
| |||||||||||||||
Anixter, Inc., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 03/01/23 | 250 | 265,938 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 12/01/25 | 750 | 813,750 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
C&W Senior Financing DAC (Ireland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 09/15/27 | 1,125 | $ | 1,161,675 | ||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 04/01/25 | 1,563 | 1,594,260 | |||||||||||||
Sr. Unsec’d. Notes, Series P |
| |||||||||||||||
7.600% | 09/15/39 | 725 | 676,135 | |||||||||||||
Sr. Unsec’d. Notes, Series U |
| |||||||||||||||
7.650% | 03/15/42 | (a) | 1,100 | 1,028,610 | ||||||||||||
CommScope Technologies LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/15/25 | 2,145 | 2,010,315 | |||||||||||||
CommScope, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 06/15/24 | 160 | 152,640 | |||||||||||||
8.250% | 03/01/27 | (a) | 1,045 | 1,065,743 | ||||||||||||
Digicel Group One Ltd. (Jamaica), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.250% | 12/30/22 | 1,304 | 717,200 | |||||||||||||
Digicel Group Two Ltd. (Jamaica), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.250% | 09/30/22 | 656 | 144,320 | |||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 9.125% or PIK 9.125% |
| |||||||||||||||
9.125% | 04/01/24 | 201 | 42,180 | |||||||||||||
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. (Saint Lucia), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 05/25/24 | 550 | 519,750 | |||||||||||||
Digicel Ltd. (Jamaica), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 03/01/23 | 4,085 | 2,287,600 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 04/15/21 | (a) | 875 | 654,063 | ||||||||||||
Embarq Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.995% | 06/01/36 | 2,965 | 2,869,586 | |||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 08/01/23 | 545 | 497,313 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.750% | 07/15/25 | 1,595 | 1,626,900 | |||||||||||||
Northwestern Bell Telephone, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 05/01/30 | 100 | 106,708 | |||||||||||||
ORBCOMM, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.000% | 04/01/24 | 1,850 | 1,905,500 | |||||||||||||
Sprint Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 11/15/28 | 1,150 | 1,181,970 | |||||||||||||
8.750% | 03/15/32 | 3,585 | 4,149,637 | |||||||||||||
Sprint Corp., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.125% | 06/15/24 | 795 | 842,938 | |||||||||||||
7.625% | 02/15/25 | 2,190 | 2,332,350 | |||||||||||||
7.625% | 03/01/26 | 1,000 | 1,066,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A138
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
West Corp., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 10/15/25 | 3,800 | $ | 3,325,000 | ||||||||||||
Wind Tre SpA (Italy), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.000% | 01/20/26 | 7,765 | 7,516,520 | |||||||||||||
Xplornet Communications, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A, Cash coupon 9.625% or PIK 10.625% |
| |||||||||||||||
9.625% | 06/01/22 | 3,341 | 3,407,864 | |||||||||||||
|
| |||||||||||||||
43,962,465 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.7% |
| |||||||||||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc. (Greece), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.375% | 01/15/22 | 600 | 406,500 | |||||||||||||
XPO Logistics, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 06/15/22 | 905 | 923,100 | |||||||||||||
6.750% | 08/15/24 | (a) | 2,000 | 2,132,500 | ||||||||||||
|
| |||||||||||||||
3,462,100 | ||||||||||||||||
|
| |||||||||||||||
Trucking & Leasing — 0.5% |
| |||||||||||||||
Avolon Holdings Funding Ltd. (Ireland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 05/15/24 | 975 | 1,041,680 | |||||||||||||
Park Aerospace Holdings Ltd. (Ireland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 03/15/23 | 925 | 954,748 | |||||||||||||
5.500% | 02/15/24 | 550 | 592,889 | |||||||||||||
|
| |||||||||||||||
2,589,317 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 442,977,507 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.0% |
| |||||||||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||||||
Series2005-07, Class 1A1 |
| |||||||||||||||
4.100%(cc) | 10/25/35 | 6 | 4,686 | |||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series2005-43, Class 4A3 |
| |||||||||||||||
3.677%(cc) | 10/25/35 | 3 | 2,413 | |||||||||||||
Series 2006-HY13, Class 4A1 |
| |||||||||||||||
4.419%(cc) | 02/25/37 | 4 | 3,331 | |||||||||||||
Series 2006-OA09, Class 2A1A, 1 Month LIBOR + 0.210% |
| |||||||||||||||
2.593%(c) | 07/20/46 | 4 | 3,111 | |||||||||||||
American Home Mortgage Assets Trust, |
| |||||||||||||||
Series2006-04, Class 1A12, 1 Month LIBOR + 0.210% |
| |||||||||||||||
2.614%(c) | 10/25/46 | 24 | 16,957 | |||||||||||||
American Home Mortgage Investment Trust, |
| |||||||||||||||
Series2005-02, Class 4A1, 6 Month LIBOR + 1.500% |
| |||||||||||||||
4.044%(c) | 09/25/45 | 1 | 1,089 | |||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series2006-B, Class 2A1 |
| |||||||||||||||
4.285%(cc) | 03/20/36 | 6 | 5,897 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CHL Mortgage Pass-Through Trust, |
| |||||||||||||||
Series2005-02, Class 2A1, 1 Month LIBOR + 0.640% |
| |||||||||||||||
3.044%(c) | 03/25/35 | 5 | $ | 4,948 | ||||||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||||||
Series2007-10, Class 22AA |
| |||||||||||||||
4.291%(cc) | 09/25/37 | 16 | 15,107 | |||||||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||||||
Series2006-05, Class 2A1A, 1 Month LIBOR + 0.180% |
| |||||||||||||||
2.570%(c) | 07/19/46 | 6 | 4,836 | |||||||||||||
IndyMac INDX Mortgage Loan Trust, |
| |||||||||||||||
Series 2006-AR12, Class A1, 1 Month LIBOR + 0.190% |
| |||||||||||||||
2.594%(c) | 09/25/46 | 5 | 5,062 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series2007-S03, Class 1A96 |
| |||||||||||||||
6.000% | 08/25/37 | 15 | 12,018 | |||||||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||||||
Series 2006-OA01, Class 1A1, 1 Month LIBOR + 0.210% |
| |||||||||||||||
2.614%(c) | 04/25/46 | 4 | 3,446 | |||||||||||||
RALI Series Trust, |
| |||||||||||||||
Series 2006-QA02, Class 3A1 |
| |||||||||||||||
5.804%(cc) | 02/25/36 | 16 | 14,940 | |||||||||||||
Series 2007-QS04, Class 2A1, 1 Month LIBOR + 0.330% |
| |||||||||||||||
2.734%(c) | 03/25/37 | 13 | 3,692 | |||||||||||||
Residential Asset Securitization Trust, |
| |||||||||||||||
Series2007-A05, Class 2A3 |
| |||||||||||||||
6.000% | 05/25/37 | 4 | 3,220 | |||||||||||||
SunTrust Alternative Loan Trust, |
| |||||||||||||||
Series2006-01F, Class 3A, 1 Month LIBOR + 0.350% |
| |||||||||||||||
2.754%(c) | 04/25/36 | 15 | 4,122 | |||||||||||||
WaMu Mortgage Pass-Through Certificates Series Trust, |
| |||||||||||||||
Series 2007-HY01, Class 2A3 |
| |||||||||||||||
3.961%(cc) | 02/25/37 | 3 | 3,142 | |||||||||||||
Series 2007-HY01, Class 4A1 |
| |||||||||||||||
4.077%(cc) | 02/25/37 | 4 | 4,241 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 116,258 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
COMMON STOCKS — 0.8% |
| |||||||||||||||
Electric Utilities — 0.5% |
| |||||||||||||||
GenOn Holdings, Inc. (Class A Stock)*^ |
| 11,837 | 2,213,469 | |||||||||||||
|
| |||||||||||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||||||||||
Keycon Power Holdings LLC*^ |
| 2,150 | 655,750 | |||||||||||||
Vistra Energy Corp. |
| 44,042 | 997,111 | |||||||||||||
|
| |||||||||||||||
1,652,861 | ||||||||||||||||
|
| |||||||||||||||
Media — 0.0% | ||||||||||||||||
Mood Media Corp.*^ |
| 88,166 | 881 | |||||||||||||
Mood Media Corp.*^ |
| 71,972 | 720 | |||||||||||||
|
| |||||||||||||||
1,601 | ||||||||||||||||
|
| |||||||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||||||||||
Ascent Resources – Marcellus LLC |
| |||||||||||||||
(Class A Stock)^ |
| 4,593 | 12,057 |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Frontera Energy Corp. (Colombia) | 7,600 | $ | 76,000 | |||||
|
| |||||||
88,057 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,955,988 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.1% |
| |||||||
Capital Markets — 0.1% | ||||||||
Goldman Sachs Group, Inc. (The), Series K, 6.375% |
| 11,850 |
|
| 325,282 |
| ||
|
| |||||||
Construction Materials — 0.0% | ||||||||
New Millennium Homes LLC^ | 408 | 8,170 | ||||||
|
| |||||||
Media — 0.0% | ||||||||
Adelphia Communications Corp.^ | 700 | 1 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 333,453 | ||||||
|
| |||||||
Units | ||||||||
WARRANTS* — 0.0% | ||||||||
Oil, Gas & Consumable Fuels | ||||||||
Ascent Resources—Marcellus LLC, expiring 03/30/23*^ | 30,044 | 3,755 | ||||||
Ascent Resources—Marcellus LLC, expiring 03/30/23*^ | 23,368 | 1,753 | ||||||
|
| |||||||
TOTAL WARRANTS |
| 5,508 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 507,420,911 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS — 12.9% |
| |||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond | 2,313,561 | 2,313,561 | ||||||
PGIM Institutional Money Market Fund (cost $63,784,006; includes $63,660,817 of cash collateral for securities on loan)(b)(w) | 63,786,091 | 63,805,226 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 66,118,787 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 111.9% |
| 573,539,698 | ||||||
LIABILITIES IN EXCESS OF |
| (61,157,921 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 512,381,777 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $2,896,809 and 0.6% 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 $61,895,688; cash collateral of $63,660,817 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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 June 30, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2019. 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. |
(p) | Interest rate not available as of June 30, 2019. |
(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 June 30, 2019:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
109 | 2 Year U.S. Treasury Notes | Sep. 2019 | $ | 23,454,586 | $ | 135,067 | ||||||||||
56 | 5 Year U.S. Treasury Notes | Sep. 2019 | 6,616,750 | 106,906 | ||||||||||||
27 | 10 Year U.S. Treasury Notes | Sep. 2019 | 3,455,156 | 3,477 |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Futures contracts outstanding at June 30, 2019 (continued):
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions (cont’d): | ||||||||||||||||
8 | 20 Year U.S. Treasury Bonds | Sep. 2019 | $ | 1,244,750 | $ | 34,457 | ||||||||||
|
| |||||||||||||||
279,907 | ||||||||||||||||
|
| |||||||||||||||
Short Position: | ||||||||||||||||
16 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 2,841,000 | (122,564 | ) | |||||||||||
|
| |||||||||||||||
$ | 157,343 | |||||||||||||||
|
|
Credit default swap agreements outstanding at June 30, 2019:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.32.V1 | 06/20/24 | 5.000%(Q) | 20,000 | $ | (1,480,000 | ) | $ | (1,536,730 | ) | $ | (56,730 | ) | ||||||||||||
|
|
|
|
|
|
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 includeup-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. |
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. | $1,170,000 | $— | ||
|
|
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.
A141
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 41,600,525 | $ | — | ||||||
Bank Loans | — | 18,431,672 | — | |||||||||
Corporate Bonds. | — | 442,977,254 | 253 | |||||||||
Residential Mortgage-Backed Securities. | — | 116,258 | — | |||||||||
Common Stocks | 1,073,111 | — | 2,882,877 | |||||||||
Preferred Stocks | 325,282 | — | 8,171 | |||||||||
Warrants. | — | — | 5,508 | |||||||||
Affiliated Mutual Funds | 66,118,787 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 157,343 | — | — | |||||||||
Centrally Cleared Credit Default Swap Agreement | — | (56,730 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 67,674,523 | $ | 503,068,979 | $ | 2,896,809 | ||||||
|
|
|
|
|
|
* | 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 June 30, 2019 were as follows:
Affiliated Mutual Funds (12.4% represents investments purchased with collateral from securities on loan) | 12.9 | % | ||
Oil & Gas | 9.7 | |||
Telecommunications | 8.6 | |||
Collateralized Loan Obligations | 8.1 | |||
Media | 6.8 | |||
Retail | 5.0 | |||
Home Builders | 4.7 | |||
Healthcare-Services | 4.6 | |||
Chemicals | 4.4 | |||
Commercial Services | 4.4 | |||
Entertainment | 3.4 | |||
Electric | 3.2 | |||
Mining | 2.8 | |||
Diversified Financial Services | 2.6 | |||
Pipelines | 2.6 | |||
Computers | 2.4 | |||
Aerospace & Defense | 2.4 | |||
Auto Parts & Equipment | 2.2 | |||
Foods | 2.0 | |||
Pharmaceuticals | 1.9 | |||
Auto Manufacturers | 1.9 | |||
Building Materials | 1.6 | |||
Software | 1.4 | |||
Packaging & Containers | 1.3 | |||
Real Estate | 1.0 | |||
Real Estate Investment Trusts (REITs) | 0.9 | |||
Gas | 0.9 | |||
Internet | 0.8 | |||
Engineering & Construction | 0.7 | |||
Iron/Steel | 0.7 | |||
Transportation | 0.7 |
Machinery-Diversified | 0.6 | % | ||
Trucking & Leasing | 0.5 | |||
Distribution/Wholesale | 0.5 | |||
Electric Utilities | 0.5 | |||
Advertising | 0.4 | |||
Banks | 0.3 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Metal Fabricate/Hardware | 0.3 | |||
Miscellaneous Manufacturing | 0.3 | |||
Beverages | 0.2 | |||
Agriculture | 0.2 | |||
Lodging | 0.2 | |||
Housewares | 0.2 | |||
Household Products/Wares | 0.1 | |||
Electronics | 0.1 | |||
Semiconductors | 0.1 | |||
Office/Business Equipment | 0.1 | |||
Coal | 0.1 | |||
Home Furnishings | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Capital Markets | 0.1 | |||
Forest Products & Paper | 0.0 | * | ||
Residential Mortgage-Backed Securities | 0.0 | * | ||
Oil, Gas & Consumable Fuels | 0.0 | * | ||
Construction Materials | 0.0 | * | ||
|
| |||
111.9 | ||||
Liabilities in excess of other assets | (11.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A142
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 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 June 30, 2019 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of | Fair Value | Statement of | Fair Value | |||||||||
Credit contracts | — | $ | — | Due from/to broker — variation margin swaps | $ | 56,730 | * | |||||
Equity contracts | Unaffiliated investments | 5,508 | — | — | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 279,907 | * | Due from/to broker — variation margin futures | 122,564 | * | ||||||
|
|
|
| |||||||||
$ | 285,415 | $ | 179,294 | |||||||||
|
|
|
|
* | 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 six months ended June 30, 2019 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | Swaps | ||||||||||
Credit contracts | $ | — | $ | 21,888 | ||||||||
Interest rate contracts | 495,499 | — | ||||||||||
|
|
|
|
|
| |||||||
Total | $ | 495,499 | $ | 21,888 | ||||||||
|
|
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2019 are as follows:
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Warrants(1) | Futures | Swaps | |||||||||
Credit contracts | $ | — | $ | — | $ | (56,730 | ) | |||||
Equity contracts | 1,035 | — | — | |||||||||
Interest rate contracts | — | (335,199 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,035 | $ | (335,199 | ) | $ | (56,730 | ) | ||||
|
|
|
|
|
|
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:
Futures Contracts — | Futures Contracts — | |
$35,513,878 | $1,856,219 |
Credit Default Swap Agreements — |
$6,666,667 |
(1) Notional Amount in USD.
SEE NOTES TO FINANCIAL STATEMENTS.
A143
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 toset-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. | $ | 61,895,688 | $ | (61,895,688 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
HIGH YIELD BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $61,895,688: | ||||
Unaffiliated investments (cost $500,066,897) | $ | 507,420,911 | ||
Affiliated investments (cost $66,097,567) | 66,118,787 | |||
Cash | 20,599 | |||
Dividends and interest receivable | 8,014,091 | |||
Receivable for investments sold | 4,542,818 | |||
Deposits with broker for centrally cleared/exchange-traded derivatives | 1,170,000 | |||
Receivable for Portfolio shares sold | 165,782 | |||
Tax reclaim receivable | 3,546 | |||
Prepaid expenses and other assets | 20,878 | |||
|
| |||
Total Assets | 587,477,412 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 63,660,817 | |||
Payable for investments purchased | 10,730,306 | |||
Accrued expenses and other liabilities | 245,236 | |||
Payable for Portfolio shares repurchased | 220,893 | |||
Management fee payable | 209,191 | |||
Due to broker-variation margin swaps | 23,562 | |||
Payable to affiliate | 3,546 | |||
Due to broker-variation margin futures | 1,104 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 75,095,635 | |||
|
| |||
NET ASSETS | $ | 512,381,777 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 512,381,777 | ||
|
| |||
Net asset value and redemption price per share, $512,381,777 / 93,061,826 outstanding shares of beneficial interest | $ | 5.51 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 16,199,298 | ||
Affiliated dividend income | 139,941 | |||
Income from securities lending, net (including affiliated income of $131,148) | 139,114 | |||
Unaffiliated dividend income (net of $518 foreign withholding tax, of which $94 is reimbursable by an affiliate) | 106,865 | |||
|
| |||
Total income | 16,585,218 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,364,550 | |||
Shareholders’ reports | 61,578 | |||
Custodian and accounting fees | 57,969 | |||
Audit fee | 23,208 | |||
Trustees’ fees | 7,339 | |||
Legal fees and expenses. | 6,214 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 13,110 | |||
|
| |||
Total expenses | 1,539,265 | |||
Less: Fee waiver and/or expense reimbursement | (125,078 | ) | ||
|
| |||
Net expenses | 1,414,187 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 15,171,031 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $5,675) | 3,011,122 | |||
Futures transactions | 495,499 | |||
Swap agreements transactions | 21,888 | |||
Foreign currency transactions | (3,392 | ) | ||
|
| |||
3,525,117 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $25,451) | 33,555,474 | |||
Futures | (335,199 | ) | ||
Swap agreements. | (56,730 | ) | ||
Foreign currencies | (1,277 | ) | ||
|
| |||
33,162,268 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 36,687,385 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 51,858,416 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 15,171,031 | $ | 32,464,769 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 3,525,117 | 4,147,138 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 33,162,268 | (42,748,253 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 51,858,416 | (6,136,346 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS | — | (14,221,775 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [1,392,327 and 4,306,490 shares, respectively] | 7,403,303 | 21,980,492 | ||||||
Portfolio shares issued in reinvestment of distributions [0 and 2,833,023 shares, respectively] | — | 14,221,775 | ||||||
Portfolio shares repurchased [3,874,508 and 9,834,319 shares, respectively] | (20,570,822 | ) | (50,202,169 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (13,167,519 | ) | (13,999,902 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 2,830 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 38,690,897 | (34,355,193 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 473,690,880 | 508,046,073 | ||||||
|
|
|
| |||||
End of period | $ | 512,381,777 | $ | 473,690,880 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A145
JENNISON PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 99.1% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 5.1% |
| |||||||
Airbus SE (France) | 157,276 | $ | 22,316,624 | |||||
Boeing Co. (The) | 159,281 | 57,979,877 | ||||||
Safran SA (France) | 203,556 | 29,851,831 | ||||||
|
| |||||||
110,148,332 | ||||||||
|
| |||||||
Automobiles — 1.1% |
| |||||||
Tesla, Inc.*(a) | 110,726 | 24,742,832 | ||||||
|
| |||||||
Banks — 0.9% | ||||||||
JPMorgan Chase & Co. | 171,899 | 19,218,308 | ||||||
|
| |||||||
Beverages — 0.7% | ||||||||
Constellation Brands, Inc. (Class A Stock)(a) | 82,871 | 16,320,615 | ||||||
|
| |||||||
Biotechnology — 4.2% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 212,400 | 27,820,152 | ||||||
BioMarin Pharmaceutical, Inc.* | 205,422 | 17,594,394 | ||||||
Exact Sciences Corp.*(a) | 59,766 | 7,054,779 | ||||||
Sage Therapeutics, Inc.*(a) | 62,850 | 11,507,206 | ||||||
Vertex Pharmaceuticals, Inc.* | 150,723 | 27,639,584 | ||||||
|
| |||||||
91,616,115 | ||||||||
|
| |||||||
Capital Markets — 1.2% |
| |||||||
S&P Global, Inc. | 118,492 | 26,991,293 | ||||||
|
| |||||||
Entertainment — 4.7% |
| |||||||
Netflix, Inc.* | 195,805 | 71,923,093 | ||||||
Walt Disney Co. (The) | 218,113 | 30,457,299 | ||||||
|
| |||||||
102,380,392 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
American Tower Corp. | 60,741 | 12,418,498 | ||||||
Crown Castle International Corp. | 99,520 | 12,972,432 | ||||||
|
| |||||||
25,390,930 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
Costco Wholesale Corp. | 167,685 | 44,312,438 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.5% |
| |||||||
Danaher Corp. | 157,299 | 22,481,173 | ||||||
Edwards Lifesciences Corp.* | 124,111 | 22,928,266 | ||||||
Intuitive Surgical, Inc.* | 59,433 | 31,175,580 | ||||||
|
| |||||||
76,585,019 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.6% |
| |||||||
Guardant Health, Inc.*(a) | 46,899 | 4,048,791 | ||||||
UnitedHealth Group, Inc. | 32,963 | 8,043,301 | ||||||
|
| |||||||
12,092,092 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.2% |
| |||||||
Chipotle Mexican Grill, Inc.* | 33,401 | 24,478,925 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 160,153 | 22,467,864 | ||||||
|
| |||||||
46,946,789 | ||||||||
|
| |||||||
Interactive Media & Services — 10.7% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 49,797 | 53,920,192 | ||||||
Alphabet, Inc. (Class C Stock)* | 49,821 | 53,852,017 | ||||||
Facebook, Inc. (Class A Stock)* | 423,379 | 81,712,147 | ||||||
Tencent Holdings Ltd. (China) | 980,631 | 44,289,139 | ||||||
|
| |||||||
233,773,495 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Internet & Direct Marketing Retail — 8.8% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 345,271 | $ | 58,506,171 | |||||
Amazon.com, Inc.* | 70,451 | 133,408,127 | ||||||
|
| |||||||
191,914,298 | ||||||||
|
| |||||||
IT Services — 13.9% |
| |||||||
Adyen NV (Netherlands), 144A* | 35,118 | 27,129,243 | ||||||
FleetCor Technologies, Inc.* | 125,029 | 35,114,395 | ||||||
Mastercard, Inc. (Class A Stock) | 341,739 | 90,400,218 | ||||||
PayPal Holdings, Inc.* | 333,328 | 38,152,723 | ||||||
Square, Inc. (Class A Stock)* | 297,363 | 21,567,738 | ||||||
Twilio, Inc. (Class A Stock)*(a) | 74,016 | 10,092,082 | ||||||
Visa, Inc. (Class A Stock)(a) | 457,651 | 79,425,331 | ||||||
|
| |||||||
301,881,730 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.3% |
| |||||||
Illumina, Inc.* | 134,453 | 49,498,872 | ||||||
|
| |||||||
Personal Products — 1.8% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 215,621 | 39,482,361 | ||||||
|
| |||||||
Pharmaceuticals — 1.4% |
| |||||||
AstraZeneca PLC (United Kingdom), ADR(a) | 723,824 | 29,879,455 | ||||||
|
| |||||||
Road & Rail — 1.8% |
| |||||||
Uber Technologies, Inc.*(a) | 250,896 | 11,636,557 | ||||||
Union Pacific Corp. | 168,804 | 28,546,444 | ||||||
|
| |||||||
40,183,001 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Broadcom, Inc.(a) | 87,462 | 25,176,811 | ||||||
NVIDIA Corp. | 259,633 | 42,639,528 | ||||||
QUALCOMM, Inc. | 398,731 | 30,331,467 | ||||||
Xilinx, Inc. | 83,076 | 9,796,322 | ||||||
|
| |||||||
107,944,128 | ||||||||
|
| |||||||
Software — 17.0% | ||||||||
Adobe, Inc.* | 222,245 | 65,484,489 | ||||||
Microsoft Corp. | 827,758 | 110,886,462 | ||||||
salesforce.com, Inc.* | 571,733 | 86,749,048 | ||||||
SAP SE (Germany), ADR | 87,759 | 12,005,431 | ||||||
ServiceNow, Inc.* | 116,207 | 31,906,956 | ||||||
Splunk, Inc.*(a) | 190,695 | 23,979,896 | ||||||
Workday, Inc. (Class A Stock)*(a) | 178,586 | 36,713,710 | ||||||
Zoom Video Communications, Inc. (Class A Stock)*(a) | 12,920 | 1,147,167 | ||||||
|
| |||||||
368,873,159 | ||||||||
|
| |||||||
Specialty Retail — 1.2% |
| |||||||
Home Depot, Inc. (The)(a) | 123,764 | 25,739,199 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.6% |
| |||||||
Apple, Inc. | 288,212 | 57,042,919 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 5.2% |
| |||||||
Kering SA (France) | 51,134 | 30,176,630 | ||||||
Lululemon Athletica, Inc.* | 199,896 | 36,023,258 |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
JENNISON PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods (continued) |
| |||||||
NIKE, Inc. (Class B Stock) | 551,206 | $ | 46,273,744 | |||||
|
| |||||||
112,473,632 | ||||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,155,431,404 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 13.1% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 19,148,701 | 19,148,701 | ||||||
PGIM Institutional Money Market Fund | 265,822,008 | 265,901,755 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 285,050,456 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 112.2% |
| 2,440,481,860 | ||||||
LIABILITIES IN EXCESS OF |
| (265,924,626 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 2,174,557,234 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual 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 $262,983,825; cash collateral of $265,390,221 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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. |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 57,979,877 | $ | 52,168,455 | $ | — | ||||||
Automobiles | 24,742,832 | — | — | |||||||||
Banks | 19,218,308 | — | — | |||||||||
Beverages | 16,320,615 | — | — | |||||||||
Biotechnology | 91,616,115 | — | — | |||||||||
Capital Markets | 26,991,293 | — | — | |||||||||
Entertainment | 102,380,392 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 25,390,930 | — | — | |||||||||
Food & Staples Retailing | 44,312,438 | — | — | |||||||||
Health Care Equipment & Supplies | 76,585,019 | — | — | |||||||||
Health Care Providers & Services | 12,092,092 | — | — | |||||||||
Hotels, Restaurants & Leisure | 46,946,789 | — | — | |||||||||
Interactive Media & Services | 189,484,356 | 44,289,139 | — | |||||||||
Internet & Direct Marketing Retail | 191,914,298 | — | — | |||||||||
IT Services | 274,752,487 | 27,129,243 | — | |||||||||
Life Sciences Tools & Services | 49,498,872 | — | — | |||||||||
Personal Products | 39,482,361 | — | — | |||||||||
Pharmaceuticals | 29,879,455 | — | — | |||||||||
Road & Rail | 40,183,001 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 107,944,128 | — | — | |||||||||
Software | 368,873,159 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A147
JENNISON PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Specialty Retail | $ | 25,739,199 | $ | — | $ | — | ||||||
Technology Hardware, Storage & Peripherals | 57,042,919 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 82,297,002 | 30,176,630 | — | |||||||||
Affiliated Mutual Funds | 285,050,456 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 2,286,718,393 | $ | 153,763,467 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Software | 17.0 | % | ||
IT Services | 13.9 | |||
Affiliated Mutual Funds (12.2% represents investments purchased with collateral from securities on loan) | 13.1 | |||
Interactive Media & Services | 10.7 | |||
Internet & Direct Marketing Retail | 8.8 | |||
Textiles, Apparel & Luxury Goods | 5.2 | |||
Aerospace & Defense | 5.1 | |||
Semiconductors & Semiconductor Equipment | 5.0 | |||
Entertainment | 4.7 | |||
Biotechnology | 4.2 | |||
Health Care Equipment & Supplies | 3.5 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Life Sciences Tools & Services | 2.3 | |||
Hotels, Restaurants & Leisure | 2.2 |
Food & Staples Retailing | 2.0 | % | ||
Road & Rail | 1.8 | |||
Personal Products | 1.8 | |||
Pharmaceuticals | 1.4 | |||
Capital Markets | 1.2 | |||
Specialty Retail | 1.2 | |||
Equity Real Estate Investment Trusts (REITs) | 1.2 | |||
Automobiles | 1.1 | |||
Banks | 0.9 | |||
Beverages | 0.7 | |||
Health Care Providers & Services | 0.6 | |||
|
| |||
112.2 | ||||
Liabilities in excess of other assets | (12.2 | ) | ||
|
| |||
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 toset-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 | $ | 262,983,825 | $ | (262,983,825 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A148
JENNISON PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS |
| |||
Investments at value, including securities on loan of $262,983,825: | ||||
Unaffiliated investments (cost $1,034,687,573) | $ | 2,155,431,404 | ||
Affiliated investments (cost $284,997,171) | 285,050,456 | |||
Receivable for investments sold | 8,813,664 | |||
Dividends and interest receivable | 434,332 | |||
Tax reclaim receivable | 297,108 | |||
Receivable for Portfolio shares sold | 65,809 | |||
Prepaid expenses | 2,381 | |||
|
| |||
Total Assets | 2,450,095,154 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 265,390,221 | |||
Payable for investments purchased | 7,848,598 | |||
Management fee payable | 1,045,438 | |||
Accrued expenses and other liabilities | 615,861 | |||
Payable for Portfolio shares repurchased | 486,445 | |||
Payable to affiliate | 129,772 | |||
Distribution fee payable | 12,814 | |||
Administration fee payable | 7,791 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 275,537,920 | |||
|
| |||
NET ASSETS | $ | 2,174,557,234 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 2,174,557,234 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $2,110,620,608 / 28,448,090 outstanding shares of beneficial interest | $ | 74.19 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $63,936,626 / 900,658 outstanding shares of beneficial interest | $ | 70.99 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $191,199 foreign withholding tax) | $ | 8,764,181 | ||
Income from securities lending, net (including affiliated income of $177,849) | 181,015 | |||
Affiliated dividend income | 105,569 | |||
|
| |||
Total income | 9,050,765 | |||
|
| |||
EXPENSES | ||||
Management fee. | 6,256,232 | |||
Distribution fee—Class II | 80,546 | |||
Administration fee—Class II | 48,328 | |||
Custodian and accounting fees | 93,259 | |||
Shareholders’ reports | 82,666 | |||
Trustees’ fees | 16,032 | |||
Audit fee | 12,444 | |||
Legal fees and expenses | 8,724 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 24,926 | |||
|
| |||
Total expenses | 6,628,454 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 2,422,311 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $902) | 112,796,048 | |||
Foreign currency transactions | (22,115 | ) | ||
|
| |||
112,773,933 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $52,941) | 275,753,843 | |||
Foreign currencies | (347 | ) | ||
|
| |||
275,753,496 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 388,527,429 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 390,949,740 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 2,422,311 | $ | 3,698,910 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 112,773,933 | 149,826,255 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 275,753,496 | (158,047,281 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 390,949,740 | (4,522,116 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 13,278,182 | 46,087,602 | ||||||
Portfolio shares repurchased | (94,048,290 | ) | (174,423,180 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (80,770,108 | ) | (128,335,578 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 8,215 | 142,910 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 310,187,847 | (132,714,784 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,864,369,387 | 1,997,084,171 | ||||||
|
|
|
| |||||
End of period | $ | 2,174,557,234 | $ | 1,864,369,387 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A149
NATURAL RESOURCES PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.6% | ||||||||
COMMON STOCKS — 94.3% | Shares | Value | ||||||
Commodity Chemicals — 1.0% |
| |||||||
LyondellBasell Industries NV (Class A Stock) | 46,455 | $ | 4,001,169 | |||||
|
| |||||||
Construction Materials — 2.4% |
| |||||||
HeidelbergCement AG (Germany) | 62,060 | 5,028,924 | ||||||
Vulcan Materials Co. | 35,365 | 4,855,968 | ||||||
|
| |||||||
9,884,892 | ||||||||
|
| |||||||
Diversified Chemicals — 1.1% |
| |||||||
BASF SE (Germany) | 60,725 | 4,422,375 | ||||||
|
| |||||||
Diversified Metals & Mining — 9.0% |
| |||||||
BHP Group Ltd. (Australia) | 625,877 | 18,093,453 | ||||||
Rio Tinto PLC (Australia) | 255,081 | 15,803,076 | ||||||
South32 Ltd. (Australia) | 1,285,447 | 2,867,606 | ||||||
|
| |||||||
36,764,135 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals — 2.9% |
| |||||||
CF Industries Holdings, Inc. | 48,760 | 2,277,580 | ||||||
FMC Corp. | 52,495 | 4,354,460 | ||||||
Nutrien Ltd. (Canada) | 96,932 | 5,185,053 | ||||||
|
| |||||||
11,817,093 | ||||||||
|
| |||||||
Heavy Electrical Equipment — 1.3% |
| |||||||
Siemens Gamesa Renewable Energy SA (Spain) | 168,270 | 2,799,364 | ||||||
Vestas Wind Systems A/S (Denmark) | 29,890 | 2,583,961 | ||||||
|
| |||||||
5,383,325 | ||||||||
|
| |||||||
Industrial Gases — 7.3% | ||||||||
Air Liquide SA (France) | 39,825 | 5,574,858 | ||||||
Air Products & Chemicals, Inc.(a) | 52,120 | 11,798,405 | ||||||
Linde PLC (United Kingdom) | 60,815 | 12,211,652 | ||||||
|
| |||||||
29,584,915 | ||||||||
|
| |||||||
Integrated Oil & Gas — 28.5% |
| |||||||
BP PLC (United Kingdom) | 1,903,406 | 13,281,647 | ||||||
Chevron Corp. | 198,785 | 24,736,805 | ||||||
Exxon Mobil Corp. | 357,015 | 27,358,060 | ||||||
Occidental Petroleum Corp. | 78,240 | 3,933,907 | ||||||
Royal Dutch Shell PLC (Netherlands), (Class A Stock) | 444,390 | 14,520,779 | ||||||
Royal Dutch Shell PLC (Netherlands), (Class B Stock) | 323,523 | 10,600,592 | ||||||
Suncor Energy, Inc. (Canada) | 246,161 | 7,678,727 | ||||||
TOTAL SA (France) | 243,056 | 13,616,678 | ||||||
|
| |||||||
115,727,195 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services — 2.4% |
| |||||||
Schlumberger Ltd. | 240,940 | 9,574,956 | ||||||
|
| |||||||
Oil & Gas Exploration & Production — 17.5% |
| |||||||
Cabot Oil & Gas Corp. | 111,105 | 2,550,971 | ||||||
Concho Resources, Inc. | 41,772 | 4,310,035 | ||||||
ConocoPhillips | 160,560 | 9,794,160 | ||||||
Continental Resources, Inc.* | 189,900 | 7,992,891 | ||||||
Devon Energy Corp. | 64,925 | 1,851,661 | ||||||
Diamondback Energy, Inc. | 88,705 | 9,666,184 | ||||||
EOG Resources, Inc. | 113,776 | 10,599,372 | ||||||
Hess Corp. | 65,915 | 4,190,216 | ||||||
Marathon Oil Corp. | 391,115 | 5,557,744 | ||||||
Parsley Energy, Inc. (Class A Stock)* | 237,390 | 4,512,784 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production (continued) |
| |||||||
Pioneer Natural Resources Co. | 51,681 | $ | 7,951,639 | |||||
WPX Energy, Inc.* | 175,065 | 2,014,998 | ||||||
|
| |||||||
70,992,655 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing — 6.0% |
| |||||||
Marathon Petroleum Corp. | 143,490 | 8,018,221 | ||||||
Phillips 66 | 45,955 | 4,298,631 | ||||||
Valero Energy Corp. | 142,922 | 12,235,552 | ||||||
|
| |||||||
24,552,404 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation — 8.2% |
| |||||||
Enbridge, Inc. (Canada) | 117,152 | 4,231,446 | ||||||
Kinder Morgan, Inc. | 430,590 | 8,990,719 | ||||||
ONEOK, Inc. | 93,945 | 6,464,355 | ||||||
TC Energy Corp. (Canada) | 69,389 | 3,439,910 | ||||||
Williams Cos., Inc. (The) | 356,345 | 9,991,914 | ||||||
|
| |||||||
33,118,344 | ||||||||
|
| |||||||
Precious Metals & Minerals — 0.0% |
| |||||||
Sedibelo Platinum Mines Ltd. (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*^(f) | 129,100 | — | ||||||
|
| |||||||
Railroads — 1.8% |
| |||||||
Kansas City Southern | 28,410 | 3,460,906 | ||||||
Union Pacific Corp. | 23,465 | 3,968,166 | ||||||
|
| |||||||
7,429,072 | ||||||||
|
| |||||||
Specialty Chemicals — 4.9% |
| |||||||
Ecolab, Inc. | 64,743 | 12,782,858 | ||||||
Sherwin-Williams Co. (The) | 7,945 | 3,641,114 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 37,100 | 3,465,121 | ||||||
|
| |||||||
19,889,093 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 383,141,623 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 3.3% |
| |||||||
Invesco Solar ETF | 156,430 | 4,422,276 | ||||||
VanEck Vectors Gold Miners ETF | 340,160 | 8,694,490 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 13,116,766 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 396,258,389 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 4.6% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 7,111,044 | 7,111,044 | ||||||
PGIM Institutional Money Market Fund | 11,692,313 | 11,695,821 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 18,806,865 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 102.2% |
| 415,065,254 | ||||||
LIABILITIES IN EXCESS OF |
| (8,793,391 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 406,271,863 | |||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A150
NATURAL RESOURCES PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $0 and 0.0% 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 $11,606,064; cash collateral of $11,676,728 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(f) | Indicates a restricted security; the original cost of such security is $1,102,975. The value of $0 is 0.0% 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. |
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 June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Commodity Chemicals | $ | 4,001,169 | $ | — | $ | — | ||||||
Construction Materials | 4,855,968 | 5,028,924 | — | |||||||||
Diversified Chemicals | — | 4,422,375 | — | |||||||||
Diversified Metals & Mining | — | 36,764,135 | — | |||||||||
Fertilizers & Agricultural Chemicals | 11,817,093 | — | — | |||||||||
Heavy Electrical Equipment | — | 5,383,325 | — | |||||||||
Industrial Gases | 24,010,057 | 5,574,858 | — | |||||||||
Integrated Oil & Gas | 63,707,499 | 52,019,696 | — | |||||||||
Oil & Gas Equipment & Services | 9,574,956 | — | — | |||||||||
Oil & Gas Exploration & Production | 70,992,655 | — | — | |||||||||
Oil & Gas Refining & Marketing | 24,552,404 | — | — | |||||||||
Oil & Gas Storage & Transportation | 33,118,344 | — | — | |||||||||
Precious Metals & Minerals | — | — | — | |||||||||
Railroads | 7,429,072 | — | — | |||||||||
Specialty Chemicals | 16,423,972 | 3,465,121 | — | |||||||||
Exchange-Traded Funds | 13,116,766 | — | — | |||||||||
Affiliated Mutual Funds | 18,806,865 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 302,406,820 | $ | 112,658,434 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Integrated Oil & Gas | 28.5 | % | ||
Oil & Gas Exploration & Production | 17.5 | |||
Diversified Metals & Mining | 9.0 | |||
Oil & Gas Storage & Transportation | 8.2 | |||
Industrial Gases | 7.3 | |||
Oil & Gas Refining & Marketing | 6.0 | |||
Specialty Chemicals | 4.9 | |||
Affiliated Mutual Funds (2.9% represents investments purchased with collateral from securities on loan) | 4.6 | |||
Exchange-Traded Funds | 3.3 | |||
Fertilizers & Agricultural Chemicals | 2.9 | |||
Oil & Gas Equipment & Services | 2.4 |
Construction Materials | 2.4 | % | ||
Railroads | 1.8 | |||
Heavy Electrical Equipment | 1.3 | |||
Diversified Chemicals | 1.1 | |||
Commodity Chemicals | 1.0 | |||
Precious Metals & Minerals | 0.0 | * | ||
|
| |||
102.2 | ||||
Liabilities in excess of other assets | (2.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A151
NATURAL RESOURCES PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 toset-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 | $ | 11,606,064 | $ | (11,606,064 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
NATURAL RESOURCES PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $11,606,064: | ||||
Unaffiliated investments (cost $322,177,841) | $ | 396,258,389 | ||
Affiliated investments (cost $18,805,866) | 18,806,865 | |||
Foreign currency, at value (cost $3,642) | 3,635 | |||
Receivable for investments sold | 4,093,475 | |||
Tax reclaim receivable | 814,833 | |||
Dividends and interest receivable | 331,967 | |||
Receivable for Portfolio shares sold | 89,224 | |||
Prepaid expenses | 511 | |||
|
| |||
Total Assets | 420,398,899 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 11,676,728 | |||
Payable for investments purchased | 1,380,142 | |||
Payable to affiliate | 629,533 | |||
Accrued expenses and other liabilities | 147,107 | |||
Management fee payable | 142,981 | |||
Payable for Portfolio shares repurchased | 132,873 | |||
Distribution fee payable | 10,431 | |||
Administration fee payable | 6,261 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 14,127,036 | |||
|
| |||
NET ASSETS | $ | 406,271,863 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 406,271,863 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $354,100,928 / 14,186,320 outstanding shares of beneficial interest | $ | 24.96 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $52,170,935 / 2,166,184 outstanding shares of beneficial interest | $ | 24.08 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $285,550 foreign withholding tax) | $ | 7,928,557 | ||
Affiliated dividend income | 86,510 | |||
Income from securities lending, net (including affiliated income of $25,738) | 40,361 | |||
|
| |||
Total income | 8,055,428 | |||
|
| |||
EXPENSES | ||||
Management fee | 897,123 | |||
Distribution fee—Class II | 63,295 | |||
Administration fee—Class II | 37,977 | |||
Shareholders’ reports | 74,464 | |||
Custodian and accounting fees | 41,291 | |||
Audit fee | 13,466 | |||
Trustees’ fees | 7,122 | |||
Legal fees and expenses | 6,090 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 9,817 | |||
|
| |||
Total expenses | 1,155,942 | |||
Less: Fee waivers and/or expense reimbursement | (15,949 | ) | ||
|
| |||
Net expenses | 1,139,993 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 6,915,435 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $2,168) | (10,704,741 | ) | ||
Foreign currency transactions | (40,642 | ) | ||
|
| |||
(10,745,383 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $847) | 53,682,917 | |||
Foreign currencies | 31,182 | |||
|
| |||
53,714,099 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 42,968,716 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 49,884,151 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 6,915,435 | $ | 10,152,169 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (10,745,383 | ) | 12,374,583 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 53,714,099 | (105,102,532 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 49,884,151 | (82,575,780 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 4,739,618 | 32,236,320 | ||||||
Portfolio shares repurchased | (21,167,343 | ) | (54,963,059 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (16,427,725 | ) | (22,726,739 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 6,508 | 91,663 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 33,462,934 | (105,210,856 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 372,808,929 | 478,019,785 | ||||||
|
|
|
| |||||
End of period | $ | 406,271,863 | $ | 372,808,929 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A153
SMALL CAPITALIZATION STOCK PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 99.6% | ||||||||
COMMON STOCKS — 99.5% | Shares | Value | ||||||
Aerospace & Defense — 2.2% |
| |||||||
AAR Corp. | 34,821 | $ | 1,281,064 | |||||
Aerojet Rocketdyne Holdings, Inc.*(a) | 77,365 | 3,463,631 | ||||||
Aerovironment, Inc.* | 22,834 | 1,296,286 | ||||||
Cubic Corp. | 30,643 | 1,975,861 | ||||||
Mercury Systems, Inc.* | 59,198 | 4,164,579 | ||||||
Moog, Inc. (Class A Stock) | 34,724 | 3,250,514 | ||||||
National Presto Industries, Inc.(a) | 5,369 | 500,874 | ||||||
Triumph Group, Inc.(a) | 53,400 | 1,222,860 | ||||||
|
| |||||||
17,155,669 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
Atlas Air Worldwide Holdings, Inc.* | 27,590 | 1,231,618 | ||||||
Echo Global Logistics, Inc.* | 29,630 | 618,378 | ||||||
Forward Air Corp. | 30,686 | 1,815,077 | ||||||
Hub Group, Inc. (Class A Stock)* | 36,430 | 1,529,331 | ||||||
|
| |||||||
5,194,404 | ||||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
Allegiant Travel Co. | 13,804 | 1,980,874 | ||||||
Hawaiian Holdings, Inc. | 51,380 | 1,409,353 | ||||||
SkyWest, Inc. | 54,730 | 3,320,469 | ||||||
|
| |||||||
6,710,696 | ||||||||
|
| |||||||
Auto Components — 2.1% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | 119,650 | 1,526,734 | ||||||
Cooper Tire & Rubber Co. | 53,500 | 1,687,925 | ||||||
Cooper-Standard Holdings, Inc.* | 17,480 | 800,934 | ||||||
Dorman Products, Inc.* | 31,000 | 2,701,340 | ||||||
Fox Factory Holding Corp.* | 40,800 | 3,366,408 | ||||||
Garrett Motion, Inc. (Switzerland)*(a) | 79,400 | 1,218,790 | ||||||
Gentherm, Inc.* | 35,950 | 1,503,788 | ||||||
LCI Industries | 26,779 | 2,410,110 | ||||||
Motorcar Parts of America, Inc.*(a) | 19,950 | 427,130 | ||||||
Standard Motor Products, Inc. | 21,499 | 974,765 | ||||||
Superior Industries International, Inc. | 24,168 | 83,621 | ||||||
|
| |||||||
16,701,545 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
Winnebago Industries, Inc.(a) | 30,981 | 1,197,416 | ||||||
|
| |||||||
Banks — 8.8% |
| |||||||
Ameris Bancorp(a) | 42,670 | 1,672,237 | ||||||
Banc of California, Inc. | 45,420 | 634,517 | ||||||
Banner Corp. | 33,430 | 1,810,234 | ||||||
Berkshire Hills Bancorp, Inc. | 48,600 | 1,525,554 | ||||||
Boston Private Financial Holdings, Inc. | 89,362 | 1,078,599 | ||||||
Brookline Bancorp, Inc.(a) | 85,232 | 1,310,868 | ||||||
Central Pacific Financial Corp. | 30,570 | 915,877 | ||||||
City Holding Co.(a) | 17,624 | 1,344,006 | ||||||
Columbia Banking System, Inc. | 78,598 | 2,843,676 | ||||||
Community Bank System, Inc.(a) | 55,106 | 3,628,179 | ||||||
Customers Bancorp, Inc.* | 30,450 | 639,450 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) |
| |||||||
CVB Financial Corp.(a) | 109,100 | $ | 2,294,373 | |||||
Eagle Bancorp, Inc. | 34,000 | 1,840,420 | ||||||
Fidelity Southern Corp. | 23,950 | 741,732 | ||||||
First BanCorp. (Puerto Rico) | 231,722 | 2,558,211 | ||||||
First Commonwealth Financial Corp. | 104,910 | 1,413,138 | ||||||
First Financial Bancorp | 105,303 | 2,550,439 | ||||||
First Midwest Bancorp, Inc. | 119,070 | 2,437,363 | ||||||
Franklin Financial Network, Inc. | 13,150 | 366,359 | ||||||
Glacier Bancorp, Inc.(a) | 90,433 | 3,667,058 | ||||||
Great Western Bancorp, Inc. | 60,830 | 2,172,848 | ||||||
Hanmi Financial Corp. | 33,086 | 736,825 | ||||||
Heritage Financial Corp.(a) | 35,550 | 1,050,147 | ||||||
Hope Bancorp, Inc. | 128,554 | 1,771,474 | ||||||
Independent Bank Corp. | 36,686 | 2,793,639 | ||||||
LegacyTexas Financial Group, Inc. | 48,460 | 1,972,807 | ||||||
National Bank Holdings Corp. (Class A Stock) | 27,790 | 1,008,777 | ||||||
NBT Bancorp, Inc. | 46,760 | 1,753,968 | ||||||
OFG Bancorp (Puerto Rico) | 46,520 | 1,105,780 | ||||||
Old National Bancorp | 159,677 | 2,649,041 | ||||||
Opus Bank. | 22,950 | 484,475 | ||||||
Pacific Premier Bancorp, Inc. | 48,250 | 1,489,960 | ||||||
Preferred Bank | 14,950 | 706,388 | ||||||
S&T Bancorp, Inc. | 36,723 | 1,376,378 | ||||||
Seacoast Banking Corp. of Florida* | 54,800 | 1,394,112 | ||||||
ServisFirst Bancshares, Inc.(a) | 49,150 | 1,683,879 | ||||||
Simmons First National Corp. (Class A Stock) | 102,546 | 2,385,220 | ||||||
Southside Bancshares, Inc. | 33,786 | 1,093,991 | ||||||
Tompkins Financial Corp. | 13,334 | 1,088,054 | ||||||
Triumph Bancorp, Inc.* | 26,300 | 764,015 | ||||||
United Community Banks, Inc. | 84,527 | 2,414,091 | ||||||
Veritex Holdings, Inc. | 48,770 | 1,265,582 | ||||||
Westamerica Bancorporation(a) | 28,850 | 1,777,448 | ||||||
|
| |||||||
70,211,189 | ||||||||
|
| |||||||
Beverages — 0.3% | ||||||||
Coca-Cola Consolidated, Inc. | 5,050 | 1,511,213 | ||||||
MGP Ingredients, Inc.(a) | 13,700 | 908,447 | ||||||
|
| |||||||
2,419,660 | ||||||||
|
| |||||||
Biotechnology — 2.6% |
| |||||||
Acorda Therapeutics, Inc.*(a) | 42,350 | 324,825 | ||||||
AMAG Pharmaceuticals, Inc.*(a) | 35,550 | 355,145 | ||||||
Anika Therapeutics, Inc.*(a) | 15,200 | 617,424 | ||||||
Arrowhead Pharmaceuticals, Inc.*(a) | 101,400 | 2,687,100 | ||||||
Cytokinetics, Inc.* | 61,650 | 693,562 | ||||||
Eagle Pharmaceuticals, Inc.*(a) | 11,040 | 614,707 | ||||||
Emergent BioSolutions, Inc.* | 48,357 | 2,336,127 | ||||||
Enanta Pharmaceuticals, Inc.*(a) | 17,070 | 1,440,367 | ||||||
Momenta Pharmaceuticals, Inc.* | 104,990 | 1,307,125 | ||||||
Myriad Genetics, Inc.* | 78,350 | 2,176,563 | ||||||
Progenics Pharmaceuticals, Inc.* | 90,500 | 558,385 | ||||||
REGENXBIO, Inc.* | 32,900 | 1,690,073 |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Biotechnology (continued) | ||||||||
Repligen Corp.*(a) | 44,950 | $ | 3,863,452 | |||||
Spectrum Pharmaceuticals, Inc.* | 113,150 | 974,221 | ||||||
Vanda Pharmaceuticals, Inc.* | 56,100 | 790,449 | ||||||
|
| |||||||
20,429,525 | ||||||||
|
| |||||||
Building Products — 1.9% |
| |||||||
AAON, Inc.(a) | 43,519 | 2,183,783 | ||||||
American Woodmark Corp.* | 16,080 | 1,360,690 | ||||||
Apogee Enterprises, Inc. | 28,458 | 1,236,216 | ||||||
Gibraltar Industries, Inc.*(a) | 34,458 | 1,390,725 | ||||||
Griffon Corp. | 36,929 | 624,839 | ||||||
Insteel Industries, Inc. | 19,550 | 407,031 | ||||||
Patrick Industries, Inc.* | 24,300 | 1,195,317 | ||||||
PGT Innovations, Inc.* | 62,100 | 1,038,312 | ||||||
Quanex Building Products Corp. | 35,128 | 663,568 | ||||||
Simpson Manufacturing Co., Inc. | 43,003 | 2,857,979 | ||||||
Universal Forest Products, Inc. | 65,642 | 2,498,334 | ||||||
|
| |||||||
15,456,794 | ||||||||
|
| |||||||
Capital Markets — 0.9% |
| |||||||
Blucora, Inc.* | 51,712 | 1,570,493 | ||||||
Donnelley Financial Solutions, Inc.* | 36,287 | 484,069 | ||||||
Greenhill & Co., Inc.(a) | 18,600 | 252,774 | ||||||
INTL. FCStone, Inc.* | 17,150 | 678,969 | ||||||
Piper Jaffray Cos | 15,215 | 1,130,018 | ||||||
Virtus Investment Partners, Inc. | 7,460 | 801,204 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock)(a) | 80,300 | 1,338,601 | ||||||
WisdomTree Investments, Inc.(a) | 125,550 | 774,643 | ||||||
|
| |||||||
7,030,771 | ||||||||
|
| |||||||
Chemicals — 2.6% |
| |||||||
A. Schulman, Inc., CVR^ | 32,486 | 3 | ||||||
AdvanSix, Inc.* | 30,330 | 740,962 | ||||||
American Vanguard Corp. | 27,698 | 426,826 | ||||||
Balchem Corp. | 34,563 | 3,455,263 | ||||||
Ferro Corp.* | 87,250 | 1,378,550 | ||||||
FutureFuel Corp. | 27,550 | 322,060 | ||||||
Hawkins, Inc. | 10,300 | 447,123 | ||||||
HB Fuller Co. | 54,388 | 2,523,603 | ||||||
Innophos Holdings, Inc. | 20,980 | 610,728 | ||||||
Innospec, Inc. | 26,220 | 2,392,313 | ||||||
Koppers Holdings, Inc.* | 22,080 | 648,269 | ||||||
Kraton Corp.* | 34,190 | 1,062,283 | ||||||
Livent Corp.* | 155,350 | 1,075,022 | ||||||
LSB Industries, Inc.* | 21,800 | 85,020 | ||||||
Quaker Chemical Corp. | 14,298 | 2,900,778 | ||||||
Rayonier Advanced Materials, Inc.(a) | 52,270 | 339,232 | ||||||
Stepan Co. | 21,740 | 1,998,123 | ||||||
Tredegar Corp. | 27,185 | 451,815 | ||||||
|
| |||||||
20,857,973 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.8% |
| |||||||
ABM Industries, Inc.(a) | 70,883 | 2,835,320 | ||||||
Brady Corp. (Class A Stock) | 52,712 | 2,599,756 | ||||||
Interface, Inc. | 63,812 | 978,238 | ||||||
LSC Communications, Inc. | 35,117 | 128,879 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Commercial Services & Supplies (continued) |
| |||||||
Matthews International Corp. (Class A Stock) | 33,920 | $ | 1,182,112 | |||||
Mobile Mini, Inc. | 48,057 | 1,462,375 | ||||||
Multi-Color Corp. | 14,950 | 747,052 | ||||||
Pitney Bowes, Inc.(a) | 192,000 | 821,760 | ||||||
RR Donnelley & Sons Co. | 75,233 | 148,209 | ||||||
Team, Inc.*(a) | 32,010 | 490,393 | ||||||
Tetra Tech, Inc. | 58,618 | 4,604,444 | ||||||
UniFirst Corp. | 16,460 | 3,103,862 | ||||||
US Ecology, Inc. | 23,600 | 1,405,144 | ||||||
Viad Corp. | 21,677 | 1,435,884 | ||||||
|
| |||||||
21,943,428 | ||||||||
|
| |||||||
Communications Equipment — 1.4% |
| |||||||
ADTRAN, Inc. | 51,010 | 777,902 | ||||||
Applied Optoelectronics, Inc.*(a) | 20,100 | 206,628 | ||||||
CalAmp Corp.* | 35,450 | 414,056 | ||||||
Comtech Telecommunications Corp. | 25,859 | 726,896 | ||||||
Digi International, Inc.* | 29,564 | 374,872 | ||||||
Extreme Networks, Inc.* | 126,150 | 816,190 | ||||||
Finisar Corp.* | 126,500 | 2,893,055 | ||||||
Harmonic, Inc.* | 94,074 | 522,111 | ||||||
NETGEAR, Inc.* | 33,716 | 852,678 | ||||||
Viavi Solutions, Inc.* | 244,140 | 3,244,621 | ||||||
|
| |||||||
10,829,009 | ||||||||
|
| |||||||
Construction & Engineering — 0.7% |
| |||||||
Aegion Corp.* | 33,457 | 615,609 | ||||||
Arcosa, Inc. | 51,700 | 1,945,471 | ||||||
Comfort Systems USA, Inc. | 39,484 | 2,013,289 | ||||||
MYR Group, Inc.* | 17,770 | 663,709 | ||||||
|
| |||||||
5,238,078 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
U.S. Concrete, Inc.*(a) | 16,850 | 837,277 | ||||||
|
| |||||||
Consumer Finance — 1.2% | ||||||||
Encore Capital Group, Inc.*(a) | 27,490 | 931,086 | ||||||
Enova International, Inc.* | 35,939 | 828,394 | ||||||
EZCORP, Inc. (Class A Stock)*(a) | 55,671 | 527,204 | ||||||
FirstCash, Inc. | 46,181 | 4,619,024 | ||||||
PRA Group, Inc.*(a) | 48,557 | 1,366,394 | ||||||
World Acceptance Corp.* | 6,782 | 1,112,994 | ||||||
|
| |||||||
9,385,096 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
Myers Industries, Inc. | 37,820 | 728,791 | ||||||
|
| |||||||
Distributors — 0.2% | ||||||||
Core-Mark Holding Co., Inc. | 48,990 | 1,945,883 | ||||||
|
| |||||||
Diversified Consumer Services — 0.8% |
| |||||||
American Public Education, Inc.* | 17,633 | 521,584 | ||||||
Career Education Corp.* | 74,830 | 1,427,008 | ||||||
Regis Corp.* | 31,550 | 523,730 | ||||||
Strategic Education, Inc. | 23,501 | 4,183,178 | ||||||
|
| |||||||
6,655,500 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
ATN International, Inc. | 11,600 | 669,668 |
SEE NOTES TO FINANCIAL STATEMENTS.
A155
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Telecommunication Services (continued) |
| |||||||
Cincinnati Bell, Inc.* | 52,430 | $ | 259,529 | |||||
Cogent Communications Holdings, Inc. | 44,620 | 2,648,643 | ||||||
Consolidated Communications Holdings, Inc.(a) | 75,390 | 371,673 | ||||||
Frontier Communications Corp.*(a) | 111,500 | 195,125 | ||||||
Iridium Communications, Inc.* | 102,770 | 2,390,430 | ||||||
Vonage Holdings Corp.* | 238,050 | 2,697,106 | ||||||
|
| |||||||
9,232,174 | ||||||||
|
| |||||||
Electric Utilities — 0.4% | ||||||||
El Paso Electric Co. | 43,468 | 2,842,807 | ||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
AZZ, Inc. | 27,992 | 1,288,192 | ||||||
Encore Wire Corp. | 22,391 | 1,311,665 | ||||||
Powell Industries, Inc. | 9,372 | 356,136 | ||||||
Vicor Corp.* | 17,331 | 538,127 | ||||||
|
| |||||||
3,494,120 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.4% |
| |||||||
Anixter International, Inc.* | 30,944 | 1,847,666 | ||||||
Arlo Technologies, Inc.* | 78,604 | 315,202 | ||||||
Badger Meter, Inc. | 31,114 | 1,857,195 | ||||||
Bel Fuse, Inc. (Class B Stock) | 10,722 | 184,097 | ||||||
Benchmark Electronics, Inc. | 41,120 | 1,032,934 | ||||||
Control4 Corp.* | 28,500 | 676,875 | ||||||
CTS Corp. | 35,054 | 966,789 | ||||||
Daktronics, Inc. | 42,158 | 260,115 | ||||||
ePlus, Inc.* | 14,560 | 1,003,766 | ||||||
Fabrinet (Thailand)* | 39,380 | 1,956,005 | ||||||
FARO Technologies, Inc.* | 18,584 | 977,147 | ||||||
II-VI, Inc.*(a) | 63,762 | 2,331,139 | ||||||
Insight Enterprises, Inc.* | 38,285 | 2,228,187 | ||||||
Itron, Inc.* | 35,780 | 2,238,755 | ||||||
KEMET Corp. | 61,850 | 1,163,399 | ||||||
Knowles Corp.* | 96,900 | 1,774,239 | ||||||
Methode Electronics, Inc. | 39,446 | 1,126,972 | ||||||
MTS Systems Corp. | 19,185 | 1,122,898 | ||||||
OSI Systems, Inc.* | 18,050 | 2,032,971 | ||||||
Park Electrochemical Corp. | 20,844 | 347,886 | ||||||
Plexus Corp.* | 32,230 | 1,881,265 | ||||||
Rogers Corp.* | 19,881 | 3,431,063 | ||||||
Sanmina Corp.* | 73,790 | 2,234,361 | ||||||
ScanSource, Inc.* | 27,453 | 893,870 | ||||||
TTM Technologies, Inc.* | 99,799 | 1,017,950 | ||||||
|
| |||||||
34,902,746 | ||||||||
|
| |||||||
Energy Equipment & Services — 2.1% |
| |||||||
Archrock, Inc. | 138,700 | 1,470,220 | ||||||
C&J Energy Services, Inc.* | 65,200 | 768,056 | ||||||
Diamond Offshore Drilling, Inc.*(a) | 68,900 | 611,143 | ||||||
DMC Global, Inc. | 15,200 | 962,920 | ||||||
Dril-Quip, Inc.*(a) | 38,750 | 1,860,000 | ||||||
Era Group, Inc.* | 20,921 | 174,481 | ||||||
Exterran Corp.* | 33,650 | 478,503 | ||||||
Geospace Technologies Corp.* | 14,210 | 214,713 | ||||||
Gulf Island Fabrication, Inc.* | 14,277 | 101,367 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Energy Equipment & Services (continued) |
| |||||||
Helix Energy Solutions Group, Inc.* | 148,810 | $ | 1,284,230 | |||||
KLX Energy Services Holdings, Inc.* | 24,750 | 505,643 | ||||||
Matrix Service Co.* | 28,513 | 577,673 | ||||||
Nabors Industries Ltd.(a) | 351,600 | 1,019,640 | ||||||
Newpark Resources, Inc.* | 96,650 | 717,143 | ||||||
Noble Corp. PLC*(a) | 261,850 | 489,660 | ||||||
Oil States International, Inc.* | 64,550 | 1,181,265 | ||||||
ProPetro Holding Corp.* | 79,300 | 1,641,510 | ||||||
SEACOR Holdings, Inc.* | 18,691 | 888,009 | ||||||
Superior Energy Services, Inc.* | 161,600 | 210,080 | ||||||
TETRA Technologies, Inc.* | 131,191 | 213,841 | ||||||
US Silica Holdings, Inc.(a) | 78,220 | 1,000,434 | ||||||
|
| |||||||
16,370,531 | ||||||||
|
| |||||||
Entertainment — 0.1% | ||||||||
Marcus Corp. (The) | 23,358 | 769,880 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.4% |
| |||||||
Acadia Realty Trust(a) | 88,515 | 2,422,656 | ||||||
Agree Realty Corp.(a) | 41,150 | 2,635,657 | ||||||
American Assets Trust, Inc. | 49,980 | 2,355,058 | ||||||
Armada Hoffler Properties, Inc. | 56,050 | 927,627 | ||||||
CareTrust REIT, Inc. | 102,205 | 2,430,435 | ||||||
CBL & Associates Properties, Inc.(a) | 184,750 | 192,140 | ||||||
Cedar Realty Trust, Inc. | 91,716 | 243,047 | ||||||
Chatham Lodging Trust | 49,800 | 939,726 | ||||||
Chesapeake Lodging Trust | 64,900 | 1,844,458 | ||||||
Community Healthcare Trust, Inc. | 19,150 | 754,702 | ||||||
DiamondRock Hospitality Co.(a) | 214,740 | 2,220,412 | ||||||
Easterly Government Properties, Inc. | 72,700 | 1,316,597 | ||||||
Four Corners Property Trust, Inc. | 73,109 | 1,998,069 | ||||||
Franklin Street Properties Corp. | 114,252 | 843,180 | ||||||
Getty Realty Corp. | 36,364 | 1,118,557 | ||||||
Global Net Lease, Inc. | 89,650 | 1,758,933 | ||||||
Hersha Hospitality Trust(a) | 38,450 | 635,963 | ||||||
Independence Realty Trust, Inc. | 95,600 | 1,106,092 | ||||||
Innovative Industrial Properties, Inc.(a) | 10,550 | 1,303,558 | ||||||
iStar, Inc.(a) | 69,100 | 858,222 | ||||||
Kite Realty Group Trust | 89,572 | 1,355,224 | ||||||
Lexington Realty Trust | 222,936 | 2,097,828 | ||||||
LTC Properties, Inc.(a) | 42,446 | 1,938,084 | ||||||
National Storage Affiliates Trust | 60,850 | 1,760,999 | ||||||
NorthStar Realty Europe Corp. | 53,400 | 877,362 | ||||||
Office Properties Income Trust(a) | 51,300 | 1,347,651 | ||||||
Pennsylvania Real Estate Investment Trust(a) | 63,522 | 412,893 | ||||||
Retail Opportunity Investments Corp. | 121,960 | 2,089,175 | ||||||
RPT Realty | 85,650 | 1,037,221 | ||||||
Saul Centers, Inc. | 12,470 | 699,941 | ||||||
Summit Hotel Properties, Inc.(a) | 112,100 | 1,285,787 | ||||||
Universal Health Realty Income Trust | 13,530 | 1,149,103 |
SEE NOTES TO FINANCIAL STATEMENTS.
A156
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Urstadt Biddle Properties, Inc. (Class A Stock) | 31,940 | $ | 670,740 | |||||
Washington Prime Group, Inc.(a) | 198,350 | 757,697 | ||||||
Washington Real Estate Investment Trust | 85,550 | 2,286,751 | ||||||
Whitestone REIT(a) | 41,950 | 532,346 | ||||||
Xenia Hotels & Resorts, Inc.(a) | 120,250 | 2,507,212 | ||||||
|
| |||||||
50,711,103 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.3% |
| |||||||
Andersons, Inc. (The) | 28,224 | 768,822 | ||||||
Chefs’ Warehouse, Inc. (The)* | 24,550 | 860,969 | ||||||
SpartanNash Co. | 38,126 | 444,930 | ||||||
United Natural Foods, Inc.*(a) | 55,700 | 499,629 | ||||||
|
| |||||||
2,574,350 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
B&G Foods, Inc.(a) | 69,880 | 1,453,504 | ||||||
Calavo Growers, Inc.(a) | 16,780 | 1,623,297 | ||||||
Cal-Maine Foods, Inc.(a) | 32,460 | 1,354,231 | ||||||
Darling Ingredients, Inc.* | 176,030 | 3,501,237 | ||||||
Dean Foods Co.(a) | 97,250 | 89,840 | ||||||
J&J Snack Foods Corp. | 16,108 | 2,592,583 | ||||||
John B Sanfilippo & Son, Inc. | 9,470 | 754,664 | ||||||
Seneca Foods Corp. (Class A Stock)* | 7,170 | 199,541 | ||||||
|
| |||||||
11,568,897 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
Northwest Natural Holding Co. | 32,555 | 2,262,573 | ||||||
South Jersey Industries, Inc. | 98,784 | 3,331,984 | ||||||
|
| |||||||
5,594,557 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.2% |
| |||||||
AngioDynamics, Inc.* | 39,600 | 779,724 | ||||||
Cardiovascular Systems, Inc.* | 37,200 | 1,596,996 | ||||||
CONMED Corp. | 27,779 | 2,377,049 | ||||||
CryoLife, Inc.* | 36,653 | 1,097,024 | ||||||
Cutera, Inc.* | 14,950 | 310,661 | ||||||
Heska Corp.* | 7,500 | 638,775 | ||||||
Integer Holdings Corp.* | 32,094 | 2,693,328 | ||||||
Invacare Corp.(a) | 35,352 | 183,477 | ||||||
Lantheus Holdings, Inc.* | 41,450 | 1,173,035 | ||||||
LeMaitre Vascular, Inc.(a) | 17,000 | 475,660 | ||||||
Meridian Bioscience, Inc.(a) | 45,125 | 536,085 | ||||||
Merit Medical Systems, Inc.* | 58,808 | 3,502,605 | ||||||
Mesa Laboratories, Inc. | 3,700 | 904,058 | ||||||
Natus Medical, Inc.* | 36,215 | 930,363 | ||||||
Neogen Corp.* | 55,723 | 3,460,956 | ||||||
OraSure Technologies, Inc.* | 65,600 | 608,768 | ||||||
Orthofix Medical, Inc.* | 20,350 | 1,076,108 | ||||||
Surmodics, Inc.* | 14,292 | 616,986 | ||||||
Tactile Systems Technology, Inc.*(a) | 18,300 | 1,041,636 | ||||||
Varex Imaging Corp.* | 40,900 | 1,253,585 | ||||||
|
| |||||||
25,256,879 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.7% |
| |||||||
Addus HomeCare Corp.* | 10,850 | 813,207 | ||||||
AMN Healthcare Services, Inc.* | 49,869 | 2,705,393 | ||||||
BioTelemetry, Inc.* | 36,100 | 1,738,215 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services (continued) |
| |||||||
Community Health Systems, Inc.*(a) | 124,410 | $ | 332,175 | |||||
CorVel Corp.* | 9,710 | 844,867 | ||||||
Cross Country Healthcare, Inc.* | 38,513 | 361,252 | ||||||
Diplomat Pharmacy, Inc.*(a) | 60,440 | 368,080 | ||||||
Ensign Group, Inc. (The) | 53,230 | 3,029,852 | ||||||
LHC Group, Inc.* | 31,378 | 3,752,181 | ||||||
Magellan Health, Inc.* | 25,711 | 1,908,528 | ||||||
Owens & Minor, Inc.(a) | 66,200 | 211,840 | ||||||
Providence Service Corp. (The)* | 11,850 | 679,479 | ||||||
Select Medical Holdings Corp.* | 115,660 | 1,835,524 | ||||||
Tivity Health, Inc.*(a) | 50,668 | 832,982 | ||||||
US Physical Therapy, Inc. | 13,690 | 1,677,983 | ||||||
|
| |||||||
21,091,558 | ||||||||
|
| |||||||
Health Care Technology — 1.2% |
| |||||||
Computer Programs & Systems, Inc. | 13,086 | 363,660 | ||||||
HealthStream, Inc.* | 27,250 | 704,685 | ||||||
HMS Holdings Corp.* | 93,150 | 3,017,128 | ||||||
NextGen Healthcare, Inc.* | 51,134 | 1,017,567 | ||||||
Omnicell, Inc.* | 44,122 | 3,795,816 | ||||||
Tabula Rasa HealthCare, Inc.*(a) | 19,550 | 976,131 | ||||||
|
| |||||||
9,874,987 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
BJ’s Restaurants, Inc. | 22,172 | 974,238 | ||||||
Bloomin’ Brands, Inc. | 98,050 | 1,854,126 | ||||||
Chuy’s Holdings, Inc.*(a) | 17,900 | 410,268 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 38,920 | 1,575,092 | ||||||
Dine Brands Global, Inc.(a) | 18,815 | 1,796,268 | ||||||
El Pollo Loco Holdings, Inc.* | 23,000 | 245,180 | ||||||
Fiesta Restaurant Group, Inc.* | 24,750 | 325,215 | ||||||
Monarch Casino & Resort, Inc.* | 12,681 | 541,986 | ||||||
Red Robin Gourmet Burgers, Inc.*(a) | 13,913 | 425,320 | ||||||
Ruth’s Hospitality Group, Inc. | 30,148 | 684,661 | ||||||
Shake Shack, Inc. (Class A Stock)* | 27,940 | 2,017,268 | ||||||
Wingstop, Inc. | 31,500 | 2,984,625 | ||||||
|
| |||||||
13,834,247 | ||||||||
|
| |||||||
Household Durables — 2.3% |
| |||||||
Cavco Industries, Inc.* | 9,150 | 1,441,491 | ||||||
Century Communities, Inc.* | 29,400 | 781,452 | ||||||
Ethan Allen Interiors, Inc. | 26,289 | 553,646 | ||||||
Installed Building Products, Inc.* | 22,500 | 1,332,450 | ||||||
iRobot Corp.*(a) | 30,000 | 2,749,200 | ||||||
La-Z-Boy, Inc. | 49,871 | 1,529,045 | ||||||
LGI Homes, Inc.*(a) | 20,130 | 1,437,886 | ||||||
M/I Homes, Inc.* | 29,470 | 841,074 | ||||||
MDC Holdings, Inc. | 52,665 | 1,726,359 | ||||||
Meritage Homes Corp.* | 38,487 | 1,975,923 | ||||||
TopBuild Corp.* | 36,850 | 3,049,706 | ||||||
Universal Electronics, Inc.* | 14,844 | 608,901 | ||||||
William Lyon Homes (Class A Stock)* | 35,050 | 638,961 | ||||||
|
| |||||||
18,666,094 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A157
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Products — 0.5% |
| |||||||
Central Garden & Pet Co.*(a) | 10,950 | $ | 295,103 | |||||
Central Garden & Pet Co. (Class A Stock)* | 44,058 | 1,085,589 | ||||||
WD-40 Co.(a) | 14,759 | 2,347,271 | ||||||
|
| |||||||
3,727,963 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% |
| |||||||
Raven Industries, Inc. | 38,580 | 1,384,250 | ||||||
|
| |||||||
Insurance — 3.5% |
| |||||||
Ambac Financial Group, Inc.* | 48,550 | 818,068 | ||||||
American Equity Investment Life Holding Co. | 97,090 | 2,636,964 | ||||||
AMERISAFE, Inc. | 20,664 | 1,317,743 | ||||||
eHealth, Inc.* | 20,341 | 1,751,360 | ||||||
Employers Holdings, Inc. | 34,265 | 1,448,382 | ||||||
HCI Group, Inc.(a) | 7,130 | 288,551 | ||||||
Horace Mann Educators Corp. | 43,970 | 1,771,551 | ||||||
James River Group Holdings Ltd. | 32,250 | 1,512,525 | ||||||
ProAssurance Corp. | 57,386 | 2,072,209 | ||||||
RLI Corp.(a) | 41,920 | 3,592,963 | ||||||
Safety Insurance Group, Inc. | 15,660 | 1,489,736 | ||||||
Selective Insurance Group, Inc. | 63,287 | 4,739,563 | ||||||
Stewart Information Services Corp. | 25,402 | 1,028,527 | ||||||
Third Point Reinsurance Ltd. (Bermuda)* | 79,100 | 816,312 | ||||||
United Fire Group, Inc. | 22,901 | 1,109,783 | ||||||
United Insurance Holdings Corp. | 22,800 | 325,128 | ||||||
Universal Insurance Holdings, Inc. | 34,090 | 951,111 | ||||||
|
| |||||||
27,670,476 | ||||||||
|
| |||||||
Interactive Media & Services — 0.1% |
| |||||||
Care.com, Inc.* | 28,450 | 312,381 | ||||||
QuinStreet, Inc.* | 41,650 | 660,153 | ||||||
|
| |||||||
972,534 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% |
| |||||||
Liquidity Services, Inc.* | 28,150 | 171,434 | ||||||
PetMed Express, Inc.(a) | 21,531 | 337,391 | ||||||
Shutterfly, Inc.* | 36,650 | 1,852,657 | ||||||
Shutterstock, Inc. | 19,950 | 781,840 | ||||||
Stamps.com, Inc.* | 17,410 | 788,151 | ||||||
|
| |||||||
3,931,473 | ||||||||
|
| |||||||
IT Services — 1.9% |
| |||||||
Cardtronics PLC (Class A Stock)*(a) | 40,160 | 1,097,170 | ||||||
CSG Systems International, Inc. | 35,474 | 1,732,195 | ||||||
EVERTEC, Inc. (Puerto Rico) | 64,100 | 2,096,070 | ||||||
ExlService Holdings, Inc.* | 36,700 | 2,426,971 | ||||||
ManTech International Corp. (Class A Stock) | 28,550 | 1,880,018 | ||||||
NIC, Inc. | 71,450 | 1,146,058 | ||||||
Perficient, Inc.* | 35,264 | 1,210,260 | ||||||
Sykes Enterprises, Inc.* | 42,210 | 1,159,087 | ||||||
TTEC Holdings, Inc. | 14,897 | 694,051 | ||||||
Unisys Corp.*(a) | 54,800 | 532,656 | ||||||
Virtusa Corp.* | 29,700 | 1,319,571 | ||||||
|
| |||||||
15,294,107 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Leisure Products — 0.4% | ||||||||
Callaway Golf Co. | 94,490 | $ | 1,621,449 | |||||
Nautilus, Inc.* | 31,100 | 68,731 | ||||||
Sturm Ruger & Co., Inc.(a) | 18,717 | 1,019,702 | ||||||
Vista Outdoor, Inc.*(a) | 61,100 | 542,568 | ||||||
|
| |||||||
3,252,450 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% |
| |||||||
Cambrex Corp.* | 35,932 | 1,681,977 | ||||||
Luminex Corp. | 44,570 | 919,925 | ||||||
Medpace Holdings, Inc.* | 27,950 | 1,828,489 | ||||||
NeoGenomics, Inc.*(a) | 109,350 | 2,399,139 | ||||||
|
| |||||||
6,829,530 | ||||||||
|
| |||||||
Machinery — 5.9% |
| |||||||
Actuant Corp. (Class A Stock) | 65,584 | 1,627,139 | ||||||
Alamo Group, Inc. | 10,310 | 1,030,278 | ||||||
Albany International Corp. (Class A Stock) | 32,614 | 2,704,027 | ||||||
Astec Industries, Inc. | 24,090 | 784,370 | ||||||
Barnes Group, Inc. | 50,516 | 2,846,072 | ||||||
Briggs & Stratton Corp. | 44,676 | 457,482 | ||||||
Chart Industries, Inc.* | 38,050 | 2,925,284 | ||||||
CIRCOR International, Inc.* | 21,228 | 976,488 | ||||||
EnPro Industries, Inc. | 22,158 | 1,414,567 | ||||||
ESCO Technologies, Inc. | 27,831 | 2,299,397 | ||||||
Federal Signal Corp. | 64,350 | 1,721,363 | ||||||
Franklin Electric Co., Inc. | 41,230 | 1,958,425 | ||||||
Greenbrier Cos., Inc. (The) | 34,630 | 1,052,752 | ||||||
Harsco Corp.* | 85,750 | 2,352,980 | ||||||
Hillenbrand, Inc. | 66,918 | 2,647,945 | ||||||
John Bean Technologies Corp.(a) | 33,817 | 4,096,253 | ||||||
Lindsay Corp.(a) | 11,579 | 951,910 | ||||||
Lydall, Inc.* | 18,806 | 379,881 | ||||||
Mueller Industries, Inc. | 60,468 | 1,769,898 | ||||||
Proto Labs, Inc.* | 28,750 | 3,335,575 | ||||||
SPX Corp.* | 46,920 | 1,549,298 | ||||||
SPX FLOW, Inc.* | 45,410 | 1,900,863 | ||||||
Standex International Corp. | 13,570 | 992,510 | ||||||
Tennant Co. | 19,450 | 1,190,340 | ||||||
Titan International, Inc. | 53,700 | 262,593 | ||||||
Wabash National Corp. | 58,940 | 958,954 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 29,661 | 2,763,812 | ||||||
|
| |||||||
46,950,456 | ||||||||
|
| |||||||
Marine — 0.2% | ||||||||
Matson, Inc. | 45,800 | 1,779,330 | ||||||
|
| |||||||
Media — 0.5% | ||||||||
EW Scripps Co. (The) | 60,311 | 922,155 | ||||||
Gannett Co., Inc. | 122,190 | 997,070 | ||||||
New Media Investment Group, Inc. | 57,920 | 546,765 | ||||||
Scholastic Corp. | 29,870 | 992,879 | ||||||
TechTarget, Inc.* | 23,350 | 496,188 | ||||||
|
| |||||||
3,955,057 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A158
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Metals & Mining — 0.7% | ||||||||
AK Steel Holding Corp.*(a) | 337,090 | $ | 798,903 | |||||
Century Aluminum Co.*(a) | 52,013 | 359,410 | ||||||
Haynes International, Inc. | 13,310 | 423,391 | ||||||
Kaiser Aluminum Corp. | 17,260 | 1,684,749 | ||||||
Materion Corp. | 21,778 | 1,476,766 | ||||||
Olympic Steel, Inc. | 9,638 | 131,559 | ||||||
SunCoke Energy, Inc.* | 68,850 | 611,388 | ||||||
TimkenSteel Corp.*(a) | 41,510 | 337,476 | ||||||
|
| |||||||
5,823,642 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
Apollo Commercial Real Estate Finance, Inc. | 146,900 | 2,701,491 | ||||||
ARMOUR Residential REIT, Inc. | 56,050 | 1,044,772 | ||||||
Capstead Mortgage Corp. | 90,650 | 756,928 | ||||||
Granite Point Mortgage Trust, Inc. | 57,250 | 1,098,627 | ||||||
Invesco Mortgage Capital, Inc.(a) | 137,150 | 2,210,858 | ||||||
New York Mortgage Trust, Inc.(a) | 221,650 | 1,374,230 | ||||||
PennyMac Mortgage Investment Trust | 81,630 | 1,781,983 | ||||||
Redwood Trust, Inc.(a) | 103,300 | 1,707,549 | ||||||
|
| |||||||
12,676,438 | ||||||||
|
| |||||||
Multiline Retail — 0.2% | ||||||||
Big Lots, Inc. | 42,650 | 1,220,217 | ||||||
J.C. Penney Co., Inc.*(a) | 334,800 | 381,672 | ||||||
|
| |||||||
1,601,889 | ||||||||
|
| |||||||
Multi-Utilities — 0.4% | ||||||||
Avista Corp. | 70,333 | 3,136,852 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.7% |
| |||||||
Bonanza Creek Energy, Inc.* | 20,050 | 418,644 | ||||||
Carrizo Oil & Gas, Inc.*(a) | 91,420 | 916,028 | ||||||
CONSOL Energy, Inc.* | 29,450 | 783,664 | ||||||
Denbury Resources, Inc.*(a) | 491,750 | 609,770 | ||||||
Green Plains, Inc. | 41,250 | 444,675 | ||||||
Gulfport Energy Corp.* | 154,000 | 756,140 | ||||||
HighPoint Resources Corp.*(a) | 117,280 | 213,450 | ||||||
Laredo Petroleum, Inc.*(a) | 161,650 | 468,785 | ||||||
Par Pacific Holdings, Inc.* | 32,100 | 658,692 | ||||||
PDC Energy, Inc.* | 70,826 | 2,553,986 | ||||||
Penn Virginia Corp.*(a) | 14,450 | 443,326 | ||||||
Renewable Energy Group, Inc.*(a) | 40,000 | 634,400 | ||||||
REX American Resources Corp.* | 6,030 | 439,587 | ||||||
Ring Energy, Inc.* | 63,700 | 207,025 | ||||||
SRC Energy, Inc.* | 258,820 | 1,283,747 | ||||||
Unit Corp.* | 58,720 | 522,021 | ||||||
Whiting Petroleum Corp.*(a) | 97,600 | 1,823,168 | ||||||
|
| |||||||
13,177,108 | ||||||||
|
| |||||||
Paper & Forest Products — 0.7% |
| |||||||
Boise Cascade Co. | 41,590 | 1,169,095 | ||||||
Clearwater Paper Corp.* | 17,650 | 326,349 | ||||||
Mercer International, Inc. (Canada) | 46,050 | 712,393 | ||||||
Neenah, Inc. | 18,088 | 1,221,844 | ||||||
P.H. Glatfelter Co. | 46,960 | 792,685 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Paper & Forest Products (continued) |
| |||||||
Schweitzer-Mauduit International, Inc. | 33,096 | $ | 1,098,125 | |||||
|
| |||||||
5,320,491 | ||||||||
|
| |||||||
Personal Products — 0.7% | ||||||||
Avon Products, Inc. (United Kingdom)* | 472,850 | 1,834,658 | ||||||
Inter Parfums, Inc. | 18,550 | 1,233,389 | ||||||
Medifast, Inc.(a) | 12,790 | 1,640,957 | ||||||
USANA Health Sciences, Inc.* | 14,000 | 1,112,020 | ||||||
|
| |||||||
5,821,024 | ||||||||
|
| |||||||
Pharmaceuticals — 1.4% | ||||||||
Akorn, Inc.* | 100,650 | 518,348 | ||||||
Amphastar Pharmaceuticals, Inc.* | 37,750 | 796,903 | ||||||
ANI Pharmaceuticals, Inc.* | 8,990 | 738,978 | ||||||
Assertio Therapeutics, Inc.*(a) | 68,220 | 235,359 | ||||||
Corcept Therapeutics, Inc.*(a) | 111,650 | 1,244,897 | ||||||
Endo International PLC* | 213,950 | 881,474 | ||||||
Innoviva, Inc.* | 72,250 | 1,051,960 | ||||||
Lannett Co., Inc.*(a) | 36,300 | 219,978 | ||||||
Medicines Co. (The)*(a) | 74,390 | 2,713,003 | ||||||
Phibro Animal Health Corp. (Class A Stock) | 21,750 | 690,998 | ||||||
Supernus Pharmaceuticals, Inc.* | 55,960 | 1,851,716 | ||||||
|
| |||||||
10,943,614 | ||||||||
|
| |||||||
Professional Services — 2.0% | ||||||||
Exponent, Inc. | 55,530 | 3,250,726 | ||||||
Forrester Research, Inc. | 11,132 | 523,538 | ||||||
FTI Consulting, Inc.* | 40,650 | 3,408,096 | ||||||
Heidrick & Struggles International, Inc. | 20,514 | 614,805 | ||||||
Kelly Services, Inc. (Class A Stock) | 33,189 | 869,220 | ||||||
Korn Ferry | 60,350 | 2,418,224 | ||||||
Navigant Consulting, Inc. | 42,100 | 976,299 | ||||||
Resources Connection, Inc. | 32,200 | 515,522 | ||||||
TrueBlue, Inc.* | 42,848 | 945,227 | ||||||
WageWorks, Inc.* | 42,660 | 2,166,701 | ||||||
|
| |||||||
15,688,358 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
HFF, Inc. (Class A Stock) | 42,600 | 1,937,448 | ||||||
Marcus & Millichap, Inc.* | 23,000 | 709,550 | ||||||
RE/MAX Holdings, Inc. (Class A Stock) | 19,100 | 587,516 | ||||||
Realogy Holdings Corp.(a) | 121,350 | 878,574 | ||||||
|
| |||||||
4,113,088 | ||||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
ArcBest Corp. | 27,345 | 768,668 | ||||||
Heartland Express, Inc. | 50,798 | 917,920 | ||||||
Marten Transport Ltd. | 41,250 | 748,688 | ||||||
Saia, Inc.*(a) | 27,650 | 1,788,125 | ||||||
|
| |||||||
4,223,401 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
Advanced Energy Industries, Inc.* | 40,857 | 2,299,023 |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Axcelis Technologies, Inc.* | 35,200 | $ | 529,760 | |||||
Brooks Automation, Inc. | 77,135 | 2,988,981 | ||||||
Cabot Microelectronics Corp. | 31,071 | 3,420,296 | ||||||
CEVA, Inc.* | 23,400 | 569,790 | ||||||
Cohu, Inc. | 43,547 | 671,930 | ||||||
Diodes, Inc.* | 42,770 | 1,555,545 | ||||||
DSP Group, Inc.* | 21,128 | 303,398 | ||||||
FormFactor, Inc.* | 79,500 | 1,245,765 | ||||||
Ichor Holdings Ltd.*(a) | 23,800 | 562,632 | ||||||
Kopin Corp.*(a) | 70,906 | 77,288 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore) | 69,532 | 1,567,947 | ||||||
MaxLinear, Inc.* | 68,700 | 1,610,328 | ||||||
Nanometrics, Inc.* | 26,200 | 909,402 | ||||||
PDF Solutions, Inc.* | 29,650 | 389,008 | ||||||
Photronics, Inc.* | 71,400 | 585,480 | ||||||
Power Integrations, Inc. | 31,330 | 2,512,039 | ||||||
Rambus, Inc.* | 117,200 | 1,411,088 | ||||||
Rudolph Technologies, Inc.* | 33,074 | 913,835 | ||||||
SMART Global Holdings, Inc.*(a) | 13,400 | 308,066 | ||||||
SolarEdge Technologies, Inc.*(a) | 47,700 | 2,979,342 | ||||||
Ultra Clean Holdings, Inc.*(a) | 41,650 | 579,768 | ||||||
Veeco Instruments, Inc.* | 51,583 | 630,344 | ||||||
Xperi Corp. | 52,717 | 1,085,443 | ||||||
|
| |||||||
29,706,498 | ||||||||
|
| |||||||
Software — 2.5% | ||||||||
8x8, Inc.*(a) | 102,750 | 2,476,275 | ||||||
Agilysys, Inc.* | 18,832 | 404,323 | ||||||
Alarm.com Holdings, Inc.*(a) | 37,750 | 2,019,625 | ||||||
Bottomline Technologies DE, Inc.* | 40,460 | 1,789,950 | ||||||
Ebix, Inc.(a) | 23,447 | 1,177,508 | ||||||
LivePerson, Inc.* | 63,800 | 1,788,952 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 8,770 | 1,256,829 | ||||||
Monotype Imaging Holdings, Inc. | 44,000 | 740,960 | ||||||
OneSpan, Inc.* | 33,450 | 473,987 | ||||||
Progress Software Corp. | 47,597 | 2,076,181 | ||||||
Qualys, Inc.* | 36,020 | 3,136,622 | ||||||
SPS Commerce, Inc.* | 19,200 | 1,962,432 | ||||||
TiVo Corp. | 133,250 | 982,052 | ||||||
|
| |||||||
20,285,696 | ||||||||
|
| |||||||
Specialty Retail — 3.7% | ||||||||
Abercrombie & Fitch Co. (Class A Stock)(a) | 70,900 | 1,137,236 | ||||||
Asbury Automotive Group, Inc.* | 20,910 | 1,763,549 | ||||||
Ascena Retail Group, Inc.*(a) | 185,100 | 112,911 | ||||||
Barnes & Noble Education, Inc.* | 36,576 | 122,895 | ||||||
Barnes & Noble, Inc. | 60,860 | 407,153 | ||||||
Boot Barn Holdings, Inc.* | 30,300 | 1,079,892 | ||||||
Buckle, Inc. (The)(a) | 30,409 | 526,380 | ||||||
Caleres, Inc. | 45,154 | 899,468 | ||||||
Cato Corp. (The) (Class A Stock) | 24,453 | 301,261 | ||||||
Chico’s FAS, Inc.(a) | 124,500 | 419,565 | ||||||
Children’s Place, Inc. (The)(a) | 16,965 | 1,618,122 | ||||||
Conn’s, Inc.*(a) | 26,100 | 465,102 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail (continued) | ||||||||
Designer Brands, Inc. (Class A Stock) | 61,300 | $ | 1,175,121 | |||||
Express, Inc.* | 70,130 | 191,455 | ||||||
GameStop Corp. (Class A Stock)(a) | 108,650 | 594,316 | ||||||
Genesco, Inc.* | 18,612 | 787,102 | ||||||
Group 1 Automotive, Inc. | 18,814 | 1,540,678 | ||||||
Guess?, Inc.(a) | 53,220 | 859,503 | ||||||
Haverty Furniture Cos., Inc.(a) | 19,861 | 338,233 | ||||||
Hibbett Sports, Inc.*(a) | 19,546 | 355,737 | ||||||
Kirkland’s, Inc.* | 12,200 | 27,572 | ||||||
Lithia Motors, Inc. (Class A Stock)(a) | 23,890 | 2,837,654 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 30,522 | 352,529 | ||||||
MarineMax, Inc.* | 24,392 | 401,004 | ||||||
Monro, Inc.(a) | 35,442 | 3,023,203 | ||||||
Office Depot, Inc. | 581,500 | 1,197,890 | ||||||
Rent-A-Center, Inc.* | 48,000 | 1,278,240 | ||||||
RH*(a) | 17,300 | 1,999,880 | ||||||
Shoe Carnival, Inc.(a) | 10,410 | 287,316 | ||||||
Sleep Number Corp.*(a) | 32,300 | 1,304,597 | ||||||
Sonic Automotive, Inc. (Class A Stock) | 25,397 | 593,020 | ||||||
Tailored Brands, Inc.(a) | 53,587 | 309,197 | ||||||
Tile Shop Holdings, Inc. | 39,750 | 159,000 | ||||||
Vitamin Shoppe, Inc.* | 16,100 | 63,434 | ||||||
Zumiez, Inc.*(a) | 20,300 | 529,830 | ||||||
|
| |||||||
29,060,045 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.6% |
| |||||||
3D Systems Corp.*(a) | 124,150 | 1,129,765 | ||||||
Cray, Inc.* | 43,980 | 1,531,384 | ||||||
Diebold Nixdorf, Inc.*(a) | 81,200 | 743,792 | ||||||
Electronics For Imaging, Inc.* | 46,120 | 1,702,289 | ||||||
|
| |||||||
5,107,230 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
Crocs, Inc.* | 69,943 | 1,381,374 | ||||||
Fossil Group, Inc.*(a) | 48,550 | 558,325 | ||||||
G-III Apparel Group Ltd.* | 44,500 | 1,309,190 | ||||||
Kontoor Brands, Inc.* | 49,600 | 1,389,792 | ||||||
Movado Group, Inc. | 17,667 | 477,009 | ||||||
Oxford Industries, Inc.(a) | 18,216 | 1,380,773 | ||||||
Steven Madden Ltd. | 83,505 | 2,834,995 | ||||||
Unifi, Inc.* | 15,380 | 279,454 | ||||||
Vera Bradley, Inc.* | 21,750 | 261,000 | ||||||
Wolverine World Wide, Inc. | 94,924 | 2,614,207 | ||||||
|
| |||||||
12,486,119 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.8% | ||||||||
Axos Financial, Inc.* | 57,590 | 1,569,328 | ||||||
Dime Community Bancshares, Inc. | 32,471 | 616,624 | ||||||
Flagstar Bancorp, Inc. | 30,800 | 1,020,712 | ||||||
HomeStreet, Inc.* | 28,750 | 852,150 | ||||||
Meta Financial Group, Inc. | 29,600 | 830,280 | ||||||
NMI Holdings, Inc. (Class A Stock)* | 72,250 | 2,051,177 |
SEE NOTES TO FINANCIAL STATEMENTS.
A160
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Thrifts & Mortgage Finance (continued) |
| |||||||
Northfield Bancorp, Inc. | 50,450 | $ | 787,525 | |||||
Northwest Bancshares, Inc. | 113,310 | 1,995,389 | ||||||
Oritani Financial Corp. | 41,000 | 727,340 | ||||||
Provident Financial Services, Inc. | 65,710 | 1,593,467 | ||||||
TrustCo Bank Corp. NY | 102,595 | 812,552 | ||||||
Walker & Dunlop, Inc. | 30,270 | 1,610,667 | ||||||
|
| |||||||
14,467,211 | ||||||||
|
| |||||||
Tobacco — 0.2% | ||||||||
Universal Corp. | 26,700 | 1,622,559 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.8% |
| |||||||
Applied Industrial Technologies, Inc. | 41,308 | 2,541,681 | ||||||
DXP Enterprises, Inc.* | 17,100 | 647,919 | ||||||
GMS, Inc.* | 34,550 | 760,100 | ||||||
Kaman Corp. | 29,902 | 1,904,458 | ||||||
Veritiv Corp.* | 13,680 | 265,666 | ||||||
|
| |||||||
6,119,824 | ||||||||
|
| |||||||
Water Utilities — 0.7% | ||||||||
American States Water Co. | 39,332 | 2,959,339 | ||||||
California Water Service Group | 51,460 | 2,605,420 | ||||||
|
| |||||||
5,564,759 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
Spok Holdings, Inc. | 18,680 | 280,947 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 790,688,053 | ||||||
|
| |||||||
EXCHANGE-TRADED FUND — 0.1% |
| |||||||
iShares Core S&PSmall-Cap ETF(a) | ||||||||
(cost $540,853) | 11,400 | 892,392 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 791,580,445 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 16.9% |
| |||||||
AFFILIATED MUTUAL FUNDS — 16.9% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 509,588 | 509,588 | ||||||
PGIM Institutional Money Market Fund | 133,382,534 | 133,422,549 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 133,932,137 | ||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.0% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
2.167% | 09/19/19 | 400 | $ | 398,153 | ||||||||
|
| |||||||||||
(cost $398,084) | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 134,330,290 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 116.5% |
| 925,910,735 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (16.5)% |
| (131,100,368 | ) | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 794,810,367 | |||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $3 and 0.0% 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 $131,420,943; cash collateral of $133,133,153 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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 June 30, 2019:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
37 | Russell 2000 E-Mini Index | Sep. 2019 | $ | 2,899,135 | $ | 25,671 | ||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A161
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 | $ — | $ | 398,153 | |||
|
|
|
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 June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 17,155,669 | $ | — | $ | — | ||||||
Air Freight & Logistics | 5,194,404 | — | — | |||||||||
Airlines | 6,710,696 | — | — | |||||||||
Auto Components | 16,701,545 | — | — | |||||||||
Automobiles | 1,197,416 | — | — | |||||||||
Banks | 70,211,189 | — | — | |||||||||
Beverages | 2,419,660 | — | — | |||||||||
Biotechnology | 20,429,525 | — | — | |||||||||
Building Products | 15,456,794 | — | — | |||||||||
Capital Markets | 7,030,771 | — | — | |||||||||
Chemicals | 20,857,970 | — | 3 | |||||||||
Commercial Services & Supplies | 21,943,428 | — | — | |||||||||
Communications Equipment | 10,829,009 | — | — | |||||||||
Construction & Engineering | 5,238,078 | — | — | |||||||||
Construction Materials | 837,277 | — | — | |||||||||
Consumer Finance | 9,385,096 | — | — | |||||||||
Containers & Packaging | 728,791 | — | — | |||||||||
Distributors | 1,945,883 | — | — | |||||||||
Diversified Consumer Services | 6,655,500 | — | — | |||||||||
Diversified Telecommunication Services | 9,232,174 | — | — | |||||||||
Electric Utilities | 2,842,807 | — | — | |||||||||
Electrical Equipment | 3,494,120 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 34,902,746 | — | — | |||||||||
Energy Equipment & Services | 16,370,531 | — | — | |||||||||
Entertainment | 769,880 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 50,711,103 | — | — | |||||||||
Food & Staples Retailing | 2,574,350 | — | — | |||||||||
Food Products | 11,568,897 | — | — | |||||||||
Gas Utilities | 5,594,557 | — | — | |||||||||
Health Care Equipment & Supplies | 25,256,879 | — | — | |||||||||
Health Care Providers & Services | 21,091,558 | — | — | |||||||||
Health Care Technology | 9,874,987 | — | — | |||||||||
Hotels, Restaurants & Leisure | 13,834,247 | — | — | |||||||||
Household Durables | 18,666,094 | — | — | |||||||||
Household Products | 3,727,963 | — | — | |||||||||
Industrial Conglomerates | 1,384,250 | — | — | |||||||||
Insurance | 27,670,476 | — | — | |||||||||
Interactive Media & Services | 972,534 | — | — | |||||||||
Internet & Direct Marketing Retail | 3,931,473 | — | — | |||||||||
IT Services | 15,294,107 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A162
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Leisure Products | $ | 3,252,450 | $ | — | $ | — | ||||||
Life Sciences Tools & Services | 6,829,530 | — | — | |||||||||
Machinery | 46,950,456 | — | — | |||||||||
Marine | 1,779,330 | — | — | |||||||||
Media | 3,955,057 | — | — | |||||||||
Metals & Mining | 5,823,642 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 12,676,438 | — | — | |||||||||
Multiline Retail | 1,601,889 | — | — | |||||||||
Multi-Utilities | 3,136,852 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 13,177,108 | — | — | |||||||||
Paper & Forest Products | 5,320,491 | — | — | |||||||||
Personal Products | 5,821,024 | — | — | |||||||||
Pharmaceuticals | 10,943,614 | — | — | |||||||||
Professional Services | 15,688,358 | — | — | |||||||||
Real Estate Management & Development | 4,113,088 | — | — | |||||||||
Road & Rail | 4,223,401 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 29,706,498 | — | — | |||||||||
Software | 20,285,696 | — | — | |||||||||
Specialty Retail | 29,060,045 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 5,107,230 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 12,486,119 | — | — | |||||||||
Thrifts & Mortgage Finance | 14,467,211 | — | — | |||||||||
Tobacco | 1,622,559 | — | — | |||||||||
Trading Companies & Distributors | 6,119,824 | — | — | |||||||||
Water Utilities | 5,564,759 | — | — | |||||||||
Wireless Telecommunication Services | 280,947 | — | — | |||||||||
Exchange-Traded Fund | 892,392 | — | — | |||||||||
Affiliated Mutual Funds | 133,932,137 | — | — | |||||||||
U.S. Treasury Obligation | — | 398,153 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 25,671 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 925,538,250 | $ | 398,153 | $ | 3 | ||||||
|
|
|
|
|
|
* | 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 June 30, 2019 were as follows:
Affiliated Mutual Funds (16.8% represents investments purchased with collateral from securities on loan) | 16.9 | % | ||
Banks | 8.8 | |||
Equity Real Estate Investment Trusts (REITs) | 6.4 | |||
Machinery | 5.9 | |||
Electronic Equipment, Instruments & Components | 4.4 | |||
Semiconductors & Semiconductor Equipment | 3.7 | |||
Specialty Retail | 3.7 | |||
Insurance | 3.5 | |||
Health Care Equipment & Supplies | 3.2 | |||
Commercial Services & Supplies | 2.8 | |||
Health Care Providers & Services | 2.7 | |||
Chemicals | 2.6 | |||
Biotechnology | 2.6 | |||
Software | 2.5 | |||
Household Durables | 2.3 | |||
Aerospace & Defense | 2.2 |
Auto Components | 2.1 | % | ||
Energy Equipment & Services | 2.1 | |||
Professional Services | 2.0 | |||
Building Products | 1.9 | |||
IT Services | 1.9 | |||
Thrifts & Mortgage Finance | 1.8 | |||
Hotels, Restaurants & Leisure | 1.7 | |||
Oil, Gas & Consumable Fuels | 1.7 | |||
Mortgage Real Estate Investment Trusts (REITs) | 1.6 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
Food Products | 1.5 | |||
Pharmaceuticals | 1.4 | |||
Communications Equipment | 1.4 | |||
Health Care Technology | 1.2 | |||
Consumer Finance | 1.2 | |||
Diversified Telecommunication Services | 1.2 | |||
Capital Markets | 0.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A163
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t) | ||||
Life Sciences Tools & Services | 0.9 | % | ||
Airlines | 0.8 | |||
Diversified Consumer Services | 0.8 | |||
Trading Companies & Distributors | 0.8 | |||
Metals & Mining | 0.7 | |||
Personal Products | 0.7 | |||
Gas Utilities | 0.7 | |||
Water Utilities | 0.7 | |||
Paper & Forest Products | 0.7 | |||
Construction & Engineering | 0.7 | |||
Air Freight & Logistics | 0.7 | |||
Technology Hardware, Storage & Peripherals | 0.6 | |||
Road & Rail | 0.5 | |||
Real Estate Management & Development | 0.5 | |||
Media | 0.5 | |||
Internet & Direct Marketing Retail | 0.5 | |||
Household Products | 0.5 | |||
Electrical Equipment | 0.4 | |||
Leisure Products | 0.4 | |||
Multi-Utilities | 0.4 | |||
Electric Utilities | 0.4 |
Food & Staples Retailing | 0.3 | % | ||
Beverages | 0.3 | |||
Distributors | 0.2 | |||
Marine | 0.2 | |||
Tobacco | 0.2 | |||
Multiline Retail | 0.2 | |||
Industrial Conglomerates | 0.2 | |||
Automobiles | 0.1 | |||
Interactive Media & Services | 0.1 | |||
Exchange-Traded Fund | 0.1 | |||
Construction Materials | 0.1 | |||
Entertainment | 0.1 | |||
Containers & Packaging | 0.1 | |||
U.S. Treasury Obligation | 0.0 | * | ||
Wireless Telecommunication Services | 0.0 | * | ||
|
| |||
116.5 | ||||
Liabilities in excess of other assets | (16.5 | ) | ||
|
| |||
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 June 30, 2019 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Equity contracts | Due from/to broker — variation margin futures | $ | 25,671 | * | — | $ | — | |||||
|
|
|
|
* | 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 six months ended June 30, 2019 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 257,517 | ||
|
| |||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| |||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 74,911 | ||
|
|
For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:
Futures |
$2,849,945 |
(1) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A164
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
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 toset-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 | $ | 131,420,943 | $ | (131,420,943 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A165
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $131,420,943: | ||||
Unaffiliated investments (cost $550,281,736) | $ | 791,978,598 | ||
Affiliated investments (cost $133,892,152) | 133,932,137 | |||
Cash | 2,077 | |||
Receivable for investments sold | 4,637,962 | |||
Dividends and interest receivable | 905,441 | |||
Due from broker-variation margin futures | 18,839 | |||
Receivable for Portfolio shares sold | 2,137 | |||
Tax reclaim receivable | 1,316 | |||
Prepaid expenses | 990 | |||
|
| |||
Total Assets | 931,479,497 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 133,133,153 | |||
Payable for investments purchased | 2,750,584 | |||
Accrued expenses and other liabilities | 381,574 | |||
Management fee payable | 221,850 | |||
Payable for Portfolio shares repurchased | 179,673 | |||
Payable to affiliate | 1,316 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 136,669,130 | |||
|
| |||
NET ASSETS | $ | 794,810,367 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 794,810,367 | ||
|
| |||
Net asset value and redemption price per share, $794,810,367 / 19,918,222 outstanding shares of beneficial interest | $ | 39.90 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $2,389 foreign withholding tax) | $ | 5,636,139 | ||
Income from securities lending, net (including affiliated income of $203,370) | 249,038 | |||
Affiliated dividend income | 32,275 | |||
Interest income | 4,529 | |||
|
| |||
Total income | 5,921,981 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,383,377 | |||
Shareholders’ reports | 60,178 | |||
Custodian and accounting fees | 48,731 | |||
Audit fee | 12,199 | |||
Trustees’ fees | 9,274 | |||
Legal fees and expenses | 6,709 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 14,574 | |||
|
| |||
Total expenses | 1,540,339 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 4,381,642 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $6,050) | 22,638,631 | |||
Futures transactions | 257,517 | |||
|
| |||
22,896,148 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $49,713) | 70,779,741 | |||
Futures | 74,911 | |||
|
| |||
70,854,652 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 93,750,800 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 98,132,442 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 4,381,642 | $ | 8,573,028 | ||||
Net realized gain (loss) on investment transactions | 22,896,148 | 85,710,946 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 70,854,652 | (162,215,890 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 98,132,442 | (67,931,916 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [179,745 and 490,945 shares, respectively] | 7,052,754 | 20,132,914 | ||||||
Portfolio shares repurchased [991,338 and 1,834,501 shares, respectively] | (38,998,439 | ) | (73,623,277 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (31,945,685 | ) | (53,490,363 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 57 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 66,186,757 | (121,422,222 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 728,623,610 | 850,045,832 | ||||||
|
|
|
| |||||
End of period | $ | 794,810,367 | $ | 728,623,610 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A166
STOCK INDEX PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.9% | ||||||||
COMMON STOCKS — 97.6% | Shares | Value | ||||||
Aerospace & Defense — 2.5% |
| |||||||
Arconic, Inc. | 71,992 | $ | 1,858,834 | |||||
Boeing Co. (The) | 90,816 | 33,057,932 | ||||||
General Dynamics Corp. | 47,500 | 8,636,450 | ||||||
Huntington Ingalls Industries, Inc. | 7,600 | 1,708,024 | ||||||
L3 Technologies, Inc. | 13,600 | 3,334,312 | ||||||
L3Harris Technologies, Inc.(a) | 20,500 | 3,877,165 | ||||||
Lockheed Martin Corp. | 42,498 | 15,449,723 | ||||||
Northrop Grumman Corp. | 29,526 | 9,540,146 | ||||||
Raytheon Co. | 49,018 | 8,523,250 | ||||||
Textron, Inc. | 42,650 | 2,262,156 | ||||||
TransDigm Group, Inc.* | 8,400 | 4,063,920 | ||||||
United Technologies Corp. | 140,467 | 18,288,803 | ||||||
|
| |||||||
110,600,715 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
C.H. Robinson Worldwide, Inc.(a) | 24,100 | 2,032,835 | ||||||
Expeditors International of Washington, Inc. | 30,100 | 2,283,386 | ||||||
FedEx Corp. | 41,640 | 6,836,872 | ||||||
United Parcel Service, Inc. (Class B Stock) | 120,000 | 12,392,400 | ||||||
|
| |||||||
23,545,493 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Alaska Air Group, Inc.(a) | 21,200 | 1,354,892 | ||||||
American Airlines Group, Inc. | 70,100 | 2,285,961 | ||||||
Delta Air Lines, Inc. | 105,400 | 5,981,450 | ||||||
Southwest Airlines Co. | 86,137 | 4,374,037 | ||||||
United Continental Holdings, Inc.* | 39,800 | 3,484,490 | ||||||
|
| |||||||
17,480,830 | ||||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
Aptiv PLC | 45,400 | 3,669,682 | ||||||
BorgWarner, Inc. | 35,500 | 1,490,290 | ||||||
|
| |||||||
5,159,972 | ||||||||
|
| |||||||
Automobiles — 0.4% |
| |||||||
Ford Motor Co. | 669,159 | 6,845,497 | ||||||
General Motors Co. | 225,200 | 8,676,956 | ||||||
Harley-Davidson, Inc.(a) | 28,400 | 1,017,572 | ||||||
|
| |||||||
16,540,025 | ||||||||
|
| |||||||
Banks — 5.4% |
| |||||||
Bank of America Corp. | 1,549,882 | 44,946,578 | ||||||
BB&T Corp.(a) | 132,300 | 6,499,899 | ||||||
Citigroup, Inc. | 408,122 | 28,580,784 | ||||||
Citizens Financial Group, Inc. | 82,000 | 2,899,520 | ||||||
Comerica, Inc. | 28,150 | 2,044,816 | ||||||
Fifth Third Bancorp | 133,449 | 3,723,227 | ||||||
First Republic Bank | 27,700 | 2,704,905 | ||||||
Huntington Bancshares, Inc. | 183,075 | 2,530,097 | ||||||
JPMorgan Chase & Co. | 565,795 | 63,255,881 | ||||||
KeyCorp. | 177,600 | 3,152,400 | ||||||
M&T Bank Corp. | 24,000 | 4,081,680 | ||||||
People’s United Financial, Inc.(a) | 63,300 | 1,062,174 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) |
| |||||||
PNC Financial Services Group, Inc. (The) | 78,593 | $ | 10,789,247 | |||||
Regions Financial Corp. | 179,512 | 2,681,909 | ||||||
SunTrust Banks, Inc. | 76,700 | 4,820,595 | ||||||
SVB Financial Group* | 9,300 | 2,088,687 | ||||||
U.S. Bancorp | 260,581 | 13,654,444 | ||||||
Wells Fargo & Co. | 709,576 | 33,577,136 | ||||||
Zions Bancorp NA | 33,400 | 1,535,732 | ||||||
|
| |||||||
234,629,711 | ||||||||
|
| |||||||
Beverages — 1.8% |
| |||||||
Brown-Forman Corp. (Class B Stock)(a) | 29,825 | 1,653,200 | ||||||
Coca-Cola Co. (The) | 666,850 | 33,956,002 | ||||||
Constellation Brands, Inc. (Class A Stock)(a) | 28,500 | 5,612,790 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 32,300 | 1,808,800 | ||||||
Monster Beverage Corp.* | 68,300 | 4,359,589 | ||||||
PepsiCo, Inc. | 243,494 | 31,929,368 | ||||||
|
| |||||||
79,319,749 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
AbbVie, Inc. | 256,500 | 18,652,680 | ||||||
Alexion Pharmaceuticals, Inc.* | 38,700 | 5,068,926 | ||||||
Amgen, Inc. | 108,004 | 19,902,977 | ||||||
Biogen, Inc.* | 34,675 | 8,109,442 | ||||||
Celgene Corp.* | 121,800 | 11,259,192 | ||||||
Gilead Sciences, Inc | 221,900 | 14,991,564 | ||||||
Incyte Corp.* | 30,500 | 2,591,280 | ||||||
Regeneron Pharmaceuticals, Inc.* | 13,630 | 4,266,190 | ||||||
Vertex Pharmaceuticals, Inc.* | 44,400 | 8,142,072 | ||||||
|
| |||||||
92,984,323 | ||||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
A.O. Smith Corp. | 24,800 | 1,169,568 | ||||||
Allegion PLC | 16,533 | 1,827,723 | ||||||
Fortune Brands Home & Security, Inc. | 25,100 | 1,433,963 | ||||||
Johnson Controls International PLC | 145,115 | 5,994,701 | ||||||
Masco Corp. | 52,530 | 2,061,277 | ||||||
|
| |||||||
12,487,232 | ||||||||
|
| |||||||
Capital Markets — 2.6% |
| |||||||
Affiliated Managers Group, Inc. | 9,530 | 878,094 | ||||||
Ameriprise Financial, Inc. | 23,850 | 3,462,066 | ||||||
Bank of New York Mellon Corp. (The) | 152,049 | 6,712,963 | ||||||
BlackRock, Inc. | 20,940 | 9,827,142 | ||||||
Cboe Global Markets, Inc. | 19,300 | 2,000,059 | ||||||
Charles Schwab Corp. (The) | 206,200 | 8,287,178 | ||||||
CME Group, Inc.(a) | 61,360 | 11,910,590 | ||||||
E*TRADE Financial Corp. | 44,510 | 1,985,146 | ||||||
Franklin Resources, Inc.(a) | 53,600 | 1,865,280 | ||||||
Goldman Sachs Group, Inc. (The) | 59,420 | 12,157,332 | ||||||
Intercontinental Exchange, Inc. | 97,990 | 8,421,261 |
SEE NOTES TO FINANCIAL STATEMENTS.
A167
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Capital Markets (continued) |
| |||||||
Invesco Ltd. | 70,800 | $ | 1,448,568 | |||||
Moody’s Corp. | 28,420 | 5,550,710 | ||||||
Morgan Stanley | 225,810 | 9,892,736 | ||||||
MSCI, Inc. | 14,600 | 3,486,334 | ||||||
Nasdaq, Inc. | 20,100 | 1,933,017 | ||||||
Northern Trust Corp. | 38,400 | 3,456,000 | ||||||
Raymond James Financial, Inc. | 22,600 | 1,910,830 | ||||||
S&P Global, Inc. | 42,880 | 9,767,635 | ||||||
State Street Corp. | 65,575 | 3,676,135 | ||||||
T. Rowe Price Group, Inc. | 41,700 | 4,574,907 | ||||||
|
| |||||||
113,203,983 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products & Chemicals, Inc.(a) | 37,800 | 8,556,786 | ||||||
Albemarle Corp.(a) | 17,800 | 1,253,298 | ||||||
Celanese Corp. | 22,200 | 2,393,160 | ||||||
CF Industries Holdings, Inc. | 39,800 | 1,859,058 | ||||||
Corteva, Inc.* | 130,656 | 3,863,498 | ||||||
Dow, Inc. | 131,122 | 6,465,626 | ||||||
DuPont de Nemours, Inc. | 130,656 | 9,808,346 | ||||||
Eastman Chemical Co. | 24,400 | 1,899,052 | ||||||
Ecolab, Inc. | 43,600 | 8,608,384 | ||||||
FMC Corp. | 23,150 | 1,920,292 | ||||||
International Flavors & Fragrances, Inc.(a) | 17,340 | 2,515,861 | ||||||
Linde PLC (United Kingdom) | 94,800 | 19,035,840 | ||||||
LyondellBasell Industries NV (Class A Stock) | 53,700 | 4,625,181 | ||||||
Mosaic Co. (The) | 60,800 | 1,521,824 | ||||||
PPG Industries, Inc. | 40,800 | 4,761,768 | ||||||
Sherwin-Williams Co. (The) | 14,200 | 6,507,718 | ||||||
|
| |||||||
85,595,692 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Cintas Corp. | 14,700 | 3,488,163 | ||||||
Copart, Inc.*(a) | 35,100 | 2,623,374 | ||||||
Republic Services, Inc. | 37,435 | 3,243,368 | ||||||
Rollins, Inc. | 24,150 | 866,261 | ||||||
Waste Management, Inc. | 67,630 | 7,802,473 | ||||||
|
| |||||||
18,023,639 | ||||||||
|
| |||||||
Communications Equipment — 1.2% |
| |||||||
Arista Networks, Inc.* | 9,200 | 2,388,504 | ||||||
Cisco Systems, Inc. | 751,675 | 41,139,173 | ||||||
F5 Networks, Inc.* | 10,600 | 1,543,678 | ||||||
Juniper Networks, Inc. | 59,700 | 1,589,811 | ||||||
Motorola Solutions, Inc. | 28,227 | 4,706,287 | ||||||
|
| |||||||
51,367,453 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
Jacobs Engineering Group, Inc. | 20,900 | 1,763,751 | ||||||
Quanta Services, Inc. | 26,200 | 1,000,578 | ||||||
|
| |||||||
2,764,329 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc. | 10,800 | 2,485,188 | ||||||
Vulcan Materials Co. | 22,700 | 3,116,937 | ||||||
|
| |||||||
5,602,125 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Consumer Finance — 0.7% |
| |||||||
American Express Co. | 119,700 | $ | 14,775,768 | |||||
Capital One Financial Corp. | 82,069 | 7,446,941 | ||||||
Discover Financial Services | 57,905 | 4,492,849 | ||||||
Synchrony Financial | 115,830 | 4,015,826 | ||||||
|
| |||||||
30,731,384 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Amcor PLC (United Kingdom)*(a) | 269,600 | 3,097,704 | ||||||
Avery Dennison Corp. | 14,900 | 1,723,632 | ||||||
Ball Corp. | 57,800 | 4,045,422 | ||||||
International Paper Co. | 70,167 | 3,039,634 | ||||||
Packaging Corp. of America | 16,700 | 1,591,844 | ||||||
Sealed Air Corp. | 28,620 | 1,224,364 | ||||||
Westrock Co. | 43,561 | 1,588,670 | ||||||
|
| |||||||
16,311,270 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 25,325 | 2,623,164 | ||||||
LKQ Corp.* | 55,100 | 1,466,211 | ||||||
|
| |||||||
4,089,375 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% |
| |||||||
H&R Block, Inc. | 35,900 | 1,051,870 | ||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 336,360 | 71,701,861 | ||||||
Jefferies Financial Group, Inc. | 50,600 | 973,038 | ||||||
|
| |||||||
72,674,899 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 2.0% |
| |||||||
AT&T, Inc. | 1,260,671 | 42,245,085 | ||||||
CenturyLink, Inc.(a) | 163,843 | 1,926,794 | ||||||
Verizon Communications, Inc. | 715,038 | 40,850,121 | ||||||
|
| |||||||
85,022,000 | ||||||||
|
| |||||||
Electric Utilities — 1.9% |
| |||||||
Alliant Energy Corp. | 40,900 | 2,007,372 | ||||||
American Electric Power Co., Inc. | 84,740 | 7,457,967 | ||||||
Duke Energy Corp. | 125,048 | 11,034,235 | ||||||
Edison International | 56,300 | 3,795,183 | ||||||
Entergy Corp.(a) | 31,900 | 3,283,467 | ||||||
Evergy, Inc. | 44,600 | 2,682,690 | ||||||
Eversource Energy(a) | 54,500 | 4,128,920 | ||||||
Exelon Corp. | 168,073 | 8,057,420 | ||||||
FirstEnergy Corp. | 87,280 | 3,736,457 | ||||||
NextEra Energy, Inc. | 82,475 | 16,895,828 | ||||||
Pinnacle West Capital Corp. | 19,600 | 1,844,164 | ||||||
PPL Corp. | 124,500 | 3,860,745 | ||||||
Southern Co. (The) | 179,300 | 9,911,704 | ||||||
Xcel Energy, Inc.(a) | 88,695 | 5,276,466 | ||||||
|
| |||||||
83,972,618 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
AMETEK, Inc. | 40,200 | 3,651,768 | ||||||
Eaton Corp. PLC | 73,761 | 6,142,816 | ||||||
Emerson Electric Co. | 106,500 | 7,105,680 | ||||||
Rockwell Automation, Inc. | 20,820 | 3,410,941 | ||||||
|
| |||||||
20,311,205 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A168
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
Amphenol Corp. (Class A Stock) | 51,800 | $ | 4,969,692 | |||||
Corning, Inc. | 137,200 | 4,559,156 | ||||||
FLIR Systems, Inc. | 24,100 | 1,303,810 | ||||||
IPG Photonics Corp.*(a) | 6,200 | 956,350 | ||||||
Keysight Technologies, Inc.* | 32,700 | 2,936,787 | ||||||
TE Connectivity Ltd. | 59,300 | 5,679,754 | ||||||
|
| |||||||
20,405,549 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.4% |
| |||||||
Baker Hughes a GE Co. | 87,548 | 2,156,307 | ||||||
Halliburton Co. | 150,200 | 3,415,548 | ||||||
Helmerich & Payne, Inc.(a) | 18,900 | 956,718 | ||||||
National Oilwell Varco, Inc. | 66,200 | 1,471,626 | ||||||
Schlumberger Ltd. | 237,498 | 9,438,171 | ||||||
TechnipFMC PLC (United Kingdom) | 74,200 | 1,924,748 | ||||||
|
| |||||||
19,363,118 | ||||||||
|
| |||||||
Entertainment — 2.0% |
| |||||||
Activision Blizzard, Inc. | 131,700 | 6,216,240 | ||||||
Electronic Arts, Inc.* | 52,200 | 5,285,772 | ||||||
Netflix, Inc.* | 75,290 | 27,655,523 | ||||||
Take-Two Interactive Software, Inc.* | 19,500 | 2,213,835 | ||||||
Viacom, Inc. (Class B Stock) | 60,543 | 1,808,419 | ||||||
Walt Disney Co. (The) | 302,172 | 42,195,298 | ||||||
|
| |||||||
85,375,087 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.9% |
| |||||||
Alexandria Real Estate Equities, Inc.(a) | 18,800 | 2,652,492 | ||||||
American Tower Corp. | 76,500 | 15,640,425 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 27,387 | 1,372,636 | ||||||
AvalonBay Communities, Inc. | 23,718 | 4,819,023 | ||||||
Boston Properties, Inc. | 26,500 | 3,418,500 | ||||||
Crown Castle International Corp. | 71,700 | 9,346,095 | ||||||
Digital Realty Trust, Inc.(a) | 35,400 | 4,169,766 | ||||||
Duke Realty Corp. | 62,200 | 1,966,142 | ||||||
Equinix, Inc. | 14,385 | 7,254,212 | ||||||
Equity Residential | 63,200 | 4,798,144 | ||||||
Essex Property Trust, Inc. | 11,370 | 3,319,244 | ||||||
Extra Space Storage, Inc.(a) | 22,000 | 2,334,200 | ||||||
Federal Realty Investment Trust | 12,800 | 1,648,128 | ||||||
HCP, Inc. | 81,400 | 2,603,172 | ||||||
Host Hotels & Resorts, Inc. | 127,426 | 2,321,702 | ||||||
Iron Mountain, Inc.(a) | 49,230 | 1,540,899 | ||||||
Kimco Realty Corp.(a) | 71,800 | 1,326,864 | ||||||
Macerich Co. (The)(a) | 18,400 | 616,216 | ||||||
Mid-America Apartment Communities, Inc. | 19,500 | 2,296,320 | ||||||
Prologis, Inc. | 108,128 | 8,661,053 | ||||||
Public Storage | 25,950 | 6,180,512 | ||||||
Realty Income Corp. | 52,300 | 3,607,131 | ||||||
Regency Centers Corp. | 29,700 | 1,982,178 | ||||||
SBA Communications Corp.* | 19,530 | 4,391,125 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Simon Property Group, Inc.(a) | 53,061 | $ | 8,477,025 | |||||
SL Green Realty Corp. | 15,400 | 1,237,698 | ||||||
UDR, Inc.(a) | 47,000 | 2,109,830 | ||||||
Ventas, Inc.(a) | 61,504 | 4,203,798 | ||||||
Vornado Realty Trust | 30,257 | 1,939,474 | ||||||
Welltower, Inc.(a) | 67,900 | 5,535,887 | ||||||
Weyerhaeuser Co. | 128,930 | 3,396,016 | ||||||
|
| |||||||
125,165,907 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% | ||||||||
Costco Wholesale Corp. | 75,792 | 20,028,794 | ||||||
Kroger Co. (The) | 137,400 | 2,982,954 | ||||||
Sysco Corp. | 82,500 | 5,834,400 | ||||||
Walgreens Boots Alliance, Inc. | 137,900 | 7,538,993 | ||||||
Walmart, Inc. | 245,800 | 27,158,442 | ||||||
|
| |||||||
63,543,583 | ||||||||
|
| |||||||
Food Products — 1.1% | ||||||||
Archer-Daniels-Midland Co. | 96,838 | 3,950,990 | ||||||
Campbell Soup Co.(a) | 33,200 | 1,330,324 | ||||||
Conagra Brands, Inc.(a) | 82,800 | 2,195,856 | ||||||
General Mills, Inc.(a) | 102,900 | 5,404,308 | ||||||
Hershey Co. (The) | 24,400 | 3,270,332 | ||||||
Hormel Foods Corp.(a) | 47,500 | 1,925,650 | ||||||
J.M. Smucker Co. (The)(a) | 19,600 | 2,257,724 | ||||||
Kellogg Co.(a) | 43,700 | 2,341,009 | ||||||
Kraft Heinz Co. (The) | 107,137 | 3,325,533 | ||||||
Lamb Weston Holdings, Inc. | 25,000 | 1,584,000 | ||||||
McCormick & Co., Inc.(a) | 20,800 | 3,224,208 | ||||||
Mondelez International, Inc. (Class A Stock) | 249,411 | 13,443,253 | ||||||
Tyson Foods, Inc. (Class A Stock) | 50,500 | 4,077,370 | ||||||
|
| |||||||
48,330,557 | ||||||||
|
| |||||||
Gas Utilities — 0.0% | ||||||||
Atmos Energy Corp. | 19,500 | 2,058,420 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.4% |
| |||||||
Abbott Laboratories | 304,425 | 25,602,142 | ||||||
ABIOMED, Inc.* | 7,900 | 2,057,871 | ||||||
Align Technology, Inc.* | 12,600 | 3,448,620 | ||||||
Baxter International, Inc. | 83,100 | 6,805,890 | ||||||
Becton, Dickinson & Co. | 46,349 | 11,680,411 | ||||||
Boston Scientific Corp.* | 237,399 | 10,203,409 | ||||||
Cooper Cos., Inc. (The) | 8,630 | 2,907,361 | ||||||
Danaher Corp. | 108,900 | 15,563,988 | ||||||
DENTSPLY SIRONA, Inc. | 39,300 | 2,293,548 | ||||||
Edwards Lifesciences Corp.* | 36,050 | 6,659,877 | ||||||
Hologic, Inc.* | 47,400 | 2,276,148 | ||||||
IDEXX Laboratories, Inc.* | 15,000 | 4,129,950 | ||||||
Intuitive Surgical, Inc.* | 19,650 | 10,307,408 | ||||||
Medtronic PLC. | 232,428 | 22,636,163 | ||||||
ResMed, Inc. | 24,800 | 3,026,344 | ||||||
Stryker Corp. | 53,600 | 11,019,088 | ||||||
Teleflex, Inc. | 7,900 | 2,616,085 | ||||||
Varian Medical Systems, Inc.* | 15,800 | 2,150,854 | ||||||
Zimmer Biomet Holdings, Inc. | 35,286 | 4,154,574 | ||||||
|
| |||||||
149,539,731 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A169
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services — 2.6% |
| |||||||
AmerisourceBergen Corp. | 27,800 | $ | 2,370,228 | |||||
Anthem, Inc. | 44,600 | 12,586,566 | ||||||
Cardinal Health, Inc. | 53,075 | 2,499,832 | ||||||
Centene Corp.* | 70,900 | 3,717,996 | ||||||
Cigna Corp. | 66,252 | 10,438,003 | ||||||
CVS Health Corp. | 223,799 | 12,194,807 | ||||||
DaVita, Inc.* | 22,500 | 1,265,850 | ||||||
HCA Healthcare, Inc. | 46,400 | 6,271,888 | ||||||
Henry Schein, Inc.*(a) | 26,500 | 1,852,350 | ||||||
Humana, Inc. | 23,670 | 6,279,651 | ||||||
Laboratory Corp. of America Holdings* | 17,400 | 3,008,460 | ||||||
McKesson Corp. | 33,507 | 4,503,006 | ||||||
Quest Diagnostics, Inc. | 23,300 | 2,372,173 | ||||||
UnitedHealth Group, Inc. | 166,300 | 40,578,863 | ||||||
Universal Health Services, Inc. (Class B Stock) | 15,100 | 1,968,889 | ||||||
WellCare Health Plans, Inc.* | 8,600 | 2,451,602 | ||||||
|
| |||||||
114,360,164 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp. | 57,100 | 4,185,430 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
Carnival Corp. | 68,900 | 3,207,295 | ||||||
Chipotle Mexican Grill, Inc.* | 4,320 | 3,166,042 | ||||||
Darden Restaurants, Inc. | 21,550 | 2,623,281 | ||||||
Hilton Worldwide Holdings, Inc. | 51,300 | 5,014,062 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 48,923 | 6,863,408 | ||||||
McDonald’s Corp. | 132,310 | 27,475,494 | ||||||
MGM Resorts International | 86,500 | 2,471,305 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 37,500 | 2,011,125 | ||||||
Royal Caribbean Cruises Ltd. | 29,800 | 3,612,058 | ||||||
Starbucks Corp. | 215,500 | 18,065,365 | ||||||
Wynn Resorts Ltd. | 16,000 | 1,983,840 | ||||||
Yum! Brands, Inc. | 53,100 | 5,876,577 | ||||||
|
| |||||||
82,369,852 | ||||||||
|
| |||||||
Household Durables — 0.3% | ||||||||
D.R. Horton, Inc. | 59,600 | 2,570,548 | ||||||
Garmin Ltd. | 20,600 | 1,643,880 | ||||||
Leggett & Platt, Inc.(a) | 22,700 | 870,999 | ||||||
Lennar Corp. (Class A Stock) | 49,900 | 2,418,154 | ||||||
Mohawk Industries, Inc.* | 10,900 | 1,607,423 | ||||||
Newell Brands, Inc.(a) | 71,149 | 1,097,117 | ||||||
PulteGroup, Inc. | 45,185 | 1,428,750 | ||||||
Whirlpool Corp.(a) | 10,967 | 1,561,262 | ||||||
|
| |||||||
13,198,133 | ||||||||
|
| |||||||
Household Products — 1.7% | ||||||||
Church & Dwight Co., Inc. | 42,300 | 3,090,438 | ||||||
Clorox Co. (The)(a) | 21,900 | 3,353,109 | ||||||
Colgate-Palmolive Co. | 148,900 | 10,671,663 | ||||||
Kimberly-Clark Corp. | 59,588 | 7,941,889 | ||||||
Procter & Gamble Co. (The) | 433,476 | 47,530,643 | ||||||
|
| |||||||
72,587,742 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 113,400 | $ | 1,900,584 | |||||
NRG Energy, Inc. | 50,700 | 1,780,584 | ||||||
|
| |||||||
3,681,168 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
3M Co. | 99,870 | 17,311,466 | ||||||
General Electric Co. | 1,504,347 | 15,795,643 | ||||||
Honeywell International, Inc. | 126,300 | 22,050,717 | ||||||
Roper Technologies, Inc. | 17,900 | 6,556,054 | ||||||
|
| |||||||
61,713,880 | ||||||||
|
| |||||||
Insurance — 2.3% |
| |||||||
Aflac, Inc. | 131,200 | 7,191,072 | ||||||
Allstate Corp. (The) | 57,988 | 5,896,800 | ||||||
American International Group, Inc. | 151,529 | 8,073,465 | ||||||
Aon PLC | 41,525 | 8,013,494 | ||||||
Arthur J Gallagher & Co. | 31,400 | 2,750,326 | ||||||
Assurant, Inc. | 9,900 | 1,053,162 | ||||||
Chubb Ltd. | 79,230 | 11,669,787 | ||||||
Cincinnati Financial Corp. | 26,128 | 2,708,690 | ||||||
Everest Re Group Ltd. | 7,000 | 1,730,260 | ||||||
Hartford Financial Services Group, Inc. (The) | 62,300 | 3,471,356 | ||||||
Lincoln National Corp. | 36,863 | 2,375,820 | ||||||
Loews Corp. | 47,126 | 2,576,378 | ||||||
Marsh & McLennan Cos., Inc. | 86,900 | 8,668,275 | ||||||
MetLife, Inc. | 167,580 | 8,323,699 | ||||||
Principal Financial Group, Inc.(a) | 45,700 | 2,646,944 | ||||||
Progressive Corp. (The) | 100,300 | 8,016,979 | ||||||
Torchmark Corp. | 18,375 | 1,643,827 | ||||||
Travelers Cos., Inc. (The) | 45,698 | 6,832,765 | ||||||
Unum Group | 37,456 | 1,256,649 | ||||||
Willis Towers Watson PLC | 22,500 | 4,309,650 | ||||||
|
| |||||||
99,209,398 | ||||||||
|
| |||||||
Interactive Media & Services — 4.6% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 51,849 | 56,142,097 | ||||||
Alphabet, Inc. (Class C Stock)* | 53,210 | 57,515,221 | ||||||
Facebook, Inc. (Class A Stock)* | 415,820 | 80,253,260 | ||||||
TripAdvisor, Inc.*(a) | 18,200 | 842,478 | ||||||
Twitter, Inc.* | 125,000 | 4,362,500 | ||||||
|
| |||||||
199,115,556 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.7% |
| |||||||
Amazon.com, Inc.* | 71,670 | 135,716,462 | ||||||
Booking Holdings, Inc.* | 7,740 | 14,510,256 | ||||||
eBay, Inc. | 150,100 | 5,928,950 | ||||||
Expedia Group, Inc. | 20,800 | 2,767,024 | ||||||
|
| |||||||
158,922,692 | ||||||||
|
| |||||||
IT Services — 5.2% | ||||||||
Accenture PLC (Class A Stock) | 110,500 | 20,417,085 | ||||||
Akamai Technologies, Inc.* | 28,500 | 2,283,990 | ||||||
Alliance Data Systems Corp. | 8,310 | 1,164,480 | ||||||
Automatic Data Processing, Inc. | 75,160 | 12,426,203 | ||||||
Broadridge Financial Solutions, Inc. | 20,500 | 2,617,440 |
SEE NOTES TO FINANCIAL STATEMENTS.
A170
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (continued) | ||||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 99,800 | $ | 6,326,322 | |||||
DXC Technology Co. | 48,350 | 2,666,503 | ||||||
Fidelity National Information Services, Inc. | 56,500 | 6,931,420 | ||||||
Fiserv, Inc.*(a) | 67,800 | 6,180,648 | ||||||
FleetCor Technologies, Inc.* | 15,200 | 4,268,920 | ||||||
Gartner, Inc.* | 15,700 | 2,526,758 | ||||||
Global Payments, Inc. | 27,100 | 4,339,523 | ||||||
International Business Machines Corp. | 154,325 | 21,281,417 | ||||||
Jack Henry & Associates, Inc. | 12,600 | 1,687,392 | ||||||
Mastercard, Inc. (Class A Stock) | 156,300 | 41,346,039 | ||||||
Paychex, Inc.(a) | 55,350 | 4,554,751 | ||||||
PayPal Holdings, Inc.* | 202,400 | 23,166,704 | ||||||
Total System Services, Inc. | 28,593 | 3,667,624 | ||||||
VeriSign, Inc.* | 18,200 | 3,806,712 | ||||||
Visa, Inc. (Class A Stock)(a) | 303,000 | 52,585,650 | ||||||
Western Union Co. (The)(a) | 77,404 | 1,539,566 | ||||||
|
| |||||||
225,785,147 | ||||||||
|
| |||||||
Leisure Products — 0.0% | ||||||||
Hasbro, Inc. | 20,050 | 2,118,884 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Agilent Technologies, Inc. | 54,782 | 4,090,572 | ||||||
Illumina, Inc.* | 25,400 | 9,351,010 | ||||||
IQVIA Holdings, Inc.* | 27,500 | 4,424,750 | ||||||
Mettler-Toledo International, Inc.* | 4,320 | 3,628,800 | ||||||
PerkinElmer, Inc. | 19,200 | 1,849,728 | ||||||
Thermo Fisher Scientific, Inc. | 69,700 | 20,469,496 | ||||||
Waters Corp.* | 12,400 | 2,668,976 | ||||||
|
| |||||||
46,483,332 | ||||||||
|
| |||||||
Machinery — 1.5% | ||||||||
Caterpillar, Inc. | 99,700 | 13,588,113 | ||||||
Cummins, Inc. | 25,500 | 4,369,170 | ||||||
Deere & Co. | 54,950 | 9,105,765 | ||||||
Dover Corp. | 25,600 | 2,565,120 | ||||||
Flowserve Corp. | 22,500 | 1,185,525 | ||||||
Fortive Corp. | 50,600 | 4,124,912 | ||||||
Illinois Tool Works, Inc.(a) | 52,475 | 7,913,755 | ||||||
Ingersoll-Rand PLC | 42,200 | 5,345,474 | ||||||
PACCAR, Inc. | 60,128 | 4,308,772 | ||||||
Parker-Hannifin Corp. | 22,787 | 3,874,018 | ||||||
Pentair PLC | 28,707 | 1,067,900 | ||||||
Snap-on, Inc.(a) | 9,900 | 1,639,836 | ||||||
Stanley Black & Decker, Inc. | 25,935 | 3,750,460 | ||||||
Wabtec Corp.(a) | 25,912 | 1,859,445 | ||||||
Xylem, Inc. | 31,200 | 2,609,568 | ||||||
|
| |||||||
67,307,833 | ||||||||
|
| |||||||
Media — 1.4% | ||||||||
CBS Corp. (Class B Stock) | 58,968 | 2,942,503 | ||||||
Charter Communications, Inc. (Class A Stock)*(a) | 30,280 | 11,966,050 | ||||||
Comcast Corp. (Class A Stock) | 782,992 | 33,104,902 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Media (continued) | ||||||||
Discovery, Inc. (Class A Stock)*(a) | 26,300 | $ | 807,410 | |||||
Discovery, Inc. (Class C Stock)* | 61,400 | 1,746,830 | ||||||
DISH Network Corp. (Class A Stock)* | 40,200 | 1,544,082 | ||||||
Fox Corp. (Class A Stock) | 60,466 | 2,215,474 | ||||||
Fox Corp. (Class B Stock) | 28,066 | 1,025,251 | ||||||
Interpublic Group of Cos., Inc. (The) | 66,762 | 1,508,154 | ||||||
News Corp. (Class A Stock) | 63,625 | 858,301 | ||||||
News Corp. (Class B Stock) | 19,300 | 269,428 | ||||||
Omnicom Group, Inc.(a) | 38,800 | 3,179,660 | ||||||
|
| |||||||
61,168,045 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
Freeport-McMoRan, Inc. | 248,512 | 2,885,224 | ||||||
Newmont Goldcorp Corp. | 140,503 | 5,405,151 | ||||||
Nucor Corp. | 52,800 | 2,909,280 | ||||||
|
| |||||||
11,199,655 | ||||||||
|
| |||||||
Multiline Retail — 0.5% | ||||||||
Dollar General Corp. | 45,400 | 6,136,264 | ||||||
Dollar Tree, Inc.* | 40,647 | 4,365,081 | ||||||
Kohl’s Corp.(a) | 28,500 | 1,355,175 | ||||||
Macy’s, Inc. | 53,620 | 1,150,685 | ||||||
Nordstrom, Inc.(a) | 20,000 | 637,200 | ||||||
Target Corp. | 90,068 | 7,800,790 | ||||||
|
| |||||||
21,445,195 | ||||||||
|
| |||||||
Multi-Utilities — 1.1% | ||||||||
Ameren Corp. | 42,300 | 3,177,153 | ||||||
CenterPoint Energy, Inc. | 85,510 | 2,448,151 | ||||||
CMS Energy Corp. | 48,800 | 2,826,008 | ||||||
Consolidated Edison, Inc. | 54,600 | 4,787,328 | ||||||
Dominion Energy, Inc. | 138,540 | 10,711,913 | ||||||
DTE Energy Co. | 31,600 | 4,041,008 | ||||||
NiSource, Inc. | 62,000 | 1,785,600 | ||||||
Public Service Enterprise Group, Inc. | 86,800 | 5,105,576 | ||||||
Sempra Energy | 47,154 | 6,480,846 | ||||||
WEC Energy Group, Inc. | 54,576 | 4,550,001 | ||||||
|
| |||||||
45,913,584 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.5% |
| |||||||
Anadarko Petroleum Corp. | 86,326 | 6,091,163 | ||||||
Apache Corp.(a) | 64,550 | 1,870,013 | ||||||
Cabot Oil & Gas Corp. | 75,300 | 1,728,888 | ||||||
Chevron Corp. | 329,162 | 40,960,919 | ||||||
Cimarex Energy Co. | 16,600 | 984,878 | ||||||
Concho Resources, Inc. | 34,200 | 3,528,756 | ||||||
ConocoPhillips | 197,529 | 12,049,269 | ||||||
Devon Energy Corp. | 72,800 | 2,076,256 | ||||||
Diamondback Energy, Inc. | 26,900 | 2,931,293 | ||||||
EOG Resources, Inc. | 99,200 | 9,241,472 | ||||||
Exxon Mobil Corp. | 732,604 | 56,139,444 | ||||||
Hess Corp. | 44,075 | 2,801,848 | ||||||
HollyFrontier Corp. | 28,300 | 1,309,724 | ||||||
Kinder Morgan, Inc. | 337,343 | 7,043,722 | ||||||
Marathon Oil Corp. | 142,994 | 2,031,945 |
SEE NOTES TO FINANCIAL STATEMENTS.
A171
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Marathon Petroleum Corp. | 116,587 | $ | 6,514,882 | |||||
Noble Energy, Inc. | 82,700 | 1,852,480 | ||||||
Occidental Petroleum Corp. | 130,000 | 6,536,400 | ||||||
ONEOK, Inc. | 70,740 | 4,867,619 | ||||||
Phillips 66 | 72,964 | 6,825,053 | ||||||
Pioneer Natural Resources Co. | 29,400 | 4,523,484 | ||||||
Valero Energy Corp. | 72,200 | 6,181,042 | ||||||
Williams Cos., Inc. (The) | 208,300 | 5,840,732 | ||||||
|
| |||||||
193,931,282 | ||||||||
|
| |||||||
Personal Products — 0.2% | ||||||||
Coty, Inc. (Class A Stock) | 56,000 | 750,400 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 38,100 | 6,976,491 | ||||||
|
| |||||||
7,726,891 | ||||||||
|
| |||||||
Pharmaceuticals — 4.5% | ||||||||
Allergan PLC | 54,356 | 9,100,825 | ||||||
Bristol-Myers Squibb Co. | 281,940 | 12,785,979 | ||||||
Eli Lilly & Co. | 149,600 | 16,574,184 | ||||||
Johnson & Johnson | 460,696 | 64,165,739 | ||||||
Merck & Co., Inc. | 446,703 | 37,456,047 | ||||||
Mylan NV* | 89,200 | 1,698,368 | ||||||
Nektar Therapeutics*(a) | 28,500 | 1,014,030 | ||||||
Perrigo Co. PLC | 21,800 | 1,038,116 | ||||||
Pfizer, Inc. | 960,123 | 41,592,528 | ||||||
Zoetis, Inc. | 82,400 | 9,351,576 | ||||||
|
| |||||||
194,777,392 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
Equifax, Inc. | 21,000 | 2,840,040 | ||||||
IHS Markit Ltd.* | 61,500 | 3,918,780 | ||||||
Nielsen Holdings PLC | 60,500 | 1,367,300 | ||||||
Robert Half International, Inc. | 21,600 | 1,231,416 | ||||||
Verisk Analytics, Inc. | 28,100 | 4,115,526 | ||||||
|
| |||||||
13,473,062 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 54,100 | 2,775,330 | ||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
CSX Corp.(a) | 134,072 | 10,373,151 | ||||||
J.B. Hunt Transport Services, Inc. | 15,100 | 1,380,291 | ||||||
Kansas City Southern | 17,500 | 2,131,850 | ||||||
Norfolk Southern Corp. | 46,300 | 9,228,979 | ||||||
Union Pacific Corp. | 123,800 | 20,935,818 | ||||||
|
| |||||||
44,050,089 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
Advanced Micro Devices, Inc.*(a) | 148,500 | 4,509,945 | ||||||
Analog Devices, Inc. | 63,823 | 7,203,702 | ||||||
Applied Materials, Inc. | 165,400 | 7,428,114 | ||||||
Broadcom, Inc.(a) | 68,560 | 19,735,682 | ||||||
Intel Corp. | 778,100 | 37,247,647 | ||||||
KLA-Tencor Corp. | 28,400 | 3,356,880 | ||||||
Lam Research Corp. | 26,600 | 4,996,544 | ||||||
Maxim Integrated Products, Inc. | 46,300 | 2,769,666 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Microchip Technology, Inc.(a) | 40,600 | $ | 3,520,020 | |||||
Micron Technology, Inc.* | 192,700 | 7,436,293 | ||||||
NVIDIA Corp. | 104,650 | 17,186,669 | ||||||
Qorvo, Inc.* | 21,886 | 1,457,826 | ||||||
QUALCOMM, Inc. | 209,750 | 15,955,683 | ||||||
Skyworks Solutions, Inc. | 30,400 | 2,349,008 | ||||||
Texas Instruments, Inc.(a) | 162,600 | 18,659,976 | ||||||
Xilinx, Inc.(a) | 43,600 | 5,141,312 | ||||||
|
| |||||||
158,954,967 | ||||||||
|
| |||||||
Software — 6.6% | ||||||||
Adobe, Inc.* | 84,575 | 24,920,024 | ||||||
ANSYS, Inc.* | 14,500 | 2,969,890 | ||||||
Autodesk, Inc.* | 37,770 | 6,152,733 | ||||||
Cadence Design Systems, Inc.* | 49,000 | 3,469,690 | ||||||
Citrix Systems, Inc. | 22,100 | 2,168,894 | ||||||
Fortinet, Inc.* | 25,400 | 1,951,482 | ||||||
Intuit, Inc. | 44,600 | 11,655,318 | ||||||
Microsoft Corp. | 1,329,300 | 178,073,028 | ||||||
Oracle Corp. | 429,995 | 24,496,815 | ||||||
Red Hat, Inc.* | 30,300 | 5,689,128 | ||||||
salesforce.com, Inc.* | 133,500 | 20,255,955 | ||||||
Symantec Corp. | 108,911 | 2,369,903 | ||||||
Synopsys, Inc.* | 25,600 | 3,294,464 | ||||||
|
| |||||||
287,467,324 | ||||||||
|
| |||||||
Specialty Retail — 2.3% | ||||||||
Advance Auto Parts, Inc. | 12,560 | 1,935,999 | ||||||
AutoZone, Inc.* | 4,410 | 4,848,663 | ||||||
Best Buy Co., Inc. | 41,425 | 2,888,565 | ||||||
CarMax, Inc.*(a) | 30,100 | 2,613,583 | ||||||
Foot Locker, Inc. | 20,900 | 876,128 | ||||||
Gap, Inc. (The)(a) | 37,187 | 668,250 | ||||||
Home Depot, Inc. (The)(a) | 192,869 | 40,110,966 | ||||||
L Brands, Inc.(a) | 39,696 | 1,036,066 | ||||||
Lowe’s Cos., Inc. | 137,875 | 13,912,966 | ||||||
O’Reilly Automotive, Inc.* | 13,560 | 5,007,979 | ||||||
Ross Stores, Inc. | 64,600 | 6,403,152 | ||||||
Tiffany & Co.(a) | 18,500 | 1,732,340 | ||||||
TJX Cos., Inc. (The) | 213,300 | 11,279,304 | ||||||
Tractor Supply Co. | 21,200 | 2,306,560 | ||||||
Ulta Beauty, Inc.* | 9,700 | 3,364,833 | ||||||
|
| |||||||
98,985,354 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.9% |
| |||||||
Apple, Inc. | 760,215 | 150,461,753 | ||||||
Hewlett Packard Enterprise Co. | 244,266 | 3,651,777 | ||||||
HP, Inc. | 269,366 | 5,600,119 | ||||||
NetApp, Inc.(a) | 43,600 | 2,690,120 | ||||||
Seagate Technology PLC(a) | 45,600 | 2,148,672 | ||||||
Western Digital Corp. | 50,868 | 2,418,773 | ||||||
Xerox Corp. | 36,002 | 1,274,831 | ||||||
|
| |||||||
168,246,045 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Capri Holdings Ltd.* | 26,500 | 919,020 | ||||||
Hanesbrands, Inc.(a) | 62,100 | 1,069,362 | ||||||
NIKE, Inc. (Class B Stock) | 217,800 | 18,284,310 | ||||||
PVH Corp. | 13,300 | 1,258,712 |
SEE NOTES TO FINANCIAL STATEMENTS.
A172
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods (continued) |
| |||||||
Ralph Lauren Corp. | 9,500 | $ | 1,079,105 | |||||
Tapestry, Inc. | 50,300 | 1,596,019 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 31,200 | 790,920 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 33,303 | 739,327 | ||||||
VF Corp. | 55,744 | 4,869,238 | ||||||
|
| |||||||
30,606,013 | ||||||||
|
| |||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc. | 324,900 | 15,384,015 | ||||||
Philip Morris International, Inc. | 269,500 | 21,163,835 | ||||||
|
| |||||||
36,547,850 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. | 98,500 | 3,210,115 | ||||||
United Rentals, Inc.* | 14,500 | 1,923,135 | ||||||
W.W. Grainger, Inc. | 8,020 | 2,151,205 | ||||||
|
| |||||||
7,284,455 | ||||||||
|
| |||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc.(a) | 31,400 | 3,642,400 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 4,236,485,988 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.3% |
| |||||||
iShares Core S&P 500 ETF | 34,400 | 10,139,400 | ||||||
SPDR S&P 500 ETF Trust | 14,000 | 4,102,000 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 14,241,400 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,250,727,388 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 8.7% |
| |||||||
AFFILIATED MUTUAL FUNDS — 8.6% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 79,681,981 | 79,681,981 | ||||||
PGIM Institutional Money Market Fund | 291,995,428 | 292,083,027 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 371,765,008 | ||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.1% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
2.167% | 09/19/19 | |||||||||||
(cost $4,478,450) | 4,500 | $ | 4,479,223 | |||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 376,244,231 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 106.6% |
| 4,626,971,619 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (6.6)% |
| (287,897,503 | ) | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 4,339,074,116 | |||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual 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 $287,589,056; cash collateral of $291,442,764 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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: |
SEE NOTES TO FINANCIAL STATEMENTS.
A173
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Futures contracts outstanding at June 30, 2019:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
247 | S&P 500 E-Mini Index | Sep. 2019 | $ | 36,360,870 | $ | 360,988 | ||||||||||
68 | S&P 500 Stock Index | Sep. 2019 | 50,051,400 | 826,303 | ||||||||||||
|
| |||||||||||||||
$ | 1,187,291 | |||||||||||||||
|
|
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 | $ | — | $ | 4,479,223 | ||||
|
|
|
|
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 June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 110,600,715 | $ | — | $ | — | ||||||
Air Freight & Logistics | 23,545,493 | — | — | |||||||||
Airlines | 17,480,830 | — | — | |||||||||
Auto Components | 5,159,972 | — | — | |||||||||
Automobiles | 16,540,025 | — | — | |||||||||
Banks | 234,629,711 | — | — | |||||||||
Beverages | 79,319,749 | — | — | |||||||||
Biotechnology | 92,984,323 | — | — | |||||||||
Building Products | 12,487,232 | — | — | |||||||||
Capital Markets | 113,203,983 | — | — | |||||||||
Chemicals | 85,595,692 | — | — | |||||||||
Commercial Services & Supplies | 18,023,639 | — | — | |||||||||
Communications Equipment | 51,367,453 | — | — | |||||||||
Construction & Engineering | 2,764,329 | — | — | |||||||||
Construction Materials | 5,602,125 | — | — | |||||||||
Consumer Finance | 30,731,384 | — | — | |||||||||
Containers & Packaging | 16,311,270 | — | — | |||||||||
Distributors | 4,089,375 | — | — | |||||||||
Diversified Consumer Services | 1,051,870 | — | — | |||||||||
Diversified Financial Services | 72,674,899 | — | — | |||||||||
Diversified Telecommunication Services | 85,022,000 | — | — | |||||||||
Electric Utilities | 83,972,618 | — | — | |||||||||
Electrical Equipment | 20,311,205 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 20,405,549 | — | — | |||||||||
Energy Equipment & Services | 19,363,118 | — | — | |||||||||
Entertainment | 85,375,087 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 125,165,907 | — | — | |||||||||
Food & Staples Retailing | 63,543,583 | — | — | |||||||||
Food Products | 48,330,557 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A174
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Gas Utilities | $ | 2,058,420 | $ | — | $ | — | ||||||
Health Care Equipment & Supplies | 149,539,731 | — | — | |||||||||
Health Care Providers & Services | 114,360,164 | — | — | |||||||||
Health Care Technology | 4,185,430 | — | — | |||||||||
Hotels, Restaurants & Leisure | 82,369,852 | — | — | |||||||||
Household Durables | 13,198,133 | — | — | |||||||||
Household Products | 72,587,742 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 3,681,168 | — | — | |||||||||
Industrial Conglomerates | 61,713,880 | — | — | |||||||||
Insurance | 99,209,398 | — | — | |||||||||
Interactive Media & Services | 199,115,556 | — | — | |||||||||
Internet & Direct Marketing Retail | 158,922,692 | — | — | |||||||||
IT Services | 225,785,147 | — | — | |||||||||
Leisure Products | 2,118,884 | — | — | |||||||||
Life Sciences Tools & Services | 46,483,332 | — | — | |||||||||
Machinery | 67,307,833 | — | — | |||||||||
Media | 61,168,045 | — | — | |||||||||
Metals & Mining | 11,199,655 | — | — | |||||||||
Multiline Retail | 21,445,195 | — | — | |||||||||
Multi-Utilities | 45,913,584 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 193,931,282 | — | — | |||||||||
Personal Products | 7,726,891 | — | — | |||||||||
Pharmaceuticals | 194,777,392 | — | — | |||||||||
Professional Services | 13,473,062 | — | — | |||||||||
Real Estate Management & Development | 2,775,330 | — | — | |||||||||
Road & Rail | 44,050,089 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 158,954,967 | — | — | |||||||||
Software | 287,467,324 | — | — | |||||||||
Specialty Retail | 98,985,354 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 168,246,045 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 30,606,013 | — | — | |||||||||
Tobacco | 36,547,850 | — | — | |||||||||
Trading Companies & Distributors | 7,284,455 | — | — | |||||||||
Water Utilities | 3,642,400 | — | — | |||||||||
Exchange-Traded Funds | 14,241,400 | — | — | |||||||||
Affiliated Mutual Funds | 371,765,008 | — | — | |||||||||
U.S. Treasury Obligation | — | 4,479,223 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 1,187,291 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,623,679,687 | $ | 4,479,223 | $ | — | ||||||
|
|
|
|
|
|
* | 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 June 30, 2019 were as follows:
Affiliated Mutual Funds (6.7% represents investments purchased with collateral from securities on loan) | 8.6 | % | ||
Software | 6.6 | |||
Banks | 5.4 | |||
IT Services | 5.2 | |||
Interactive Media & Services | 4.6 | |||
Pharmaceuticals | 4.5 | |||
Oil, Gas & Consumable Fuels | 4.5 |
Technology Hardware, Storage & Peripherals | 3.9 | % | ||
Semiconductors & Semiconductor Equipment | 3.7 | |||
Internet & Direct Marketing Retail | 3.7 | |||
Health Care Equipment & Supplies | 3.4 | |||
Equity Real Estate Investment Trusts (REITs) | 2.9 | |||
Health Care Providers & Services | 2.6 | |||
Capital Markets | 2.6 | |||
Aerospace & Defense | 2.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A175
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t) | ||||
Insurance | 2.3 | % | ||
Specialty Retail | 2.3 | |||
Biotechnology | 2.1 | |||
Chemicals | 2.0 | |||
Entertainment | 2.0 | |||
Diversified Telecommunication Services | 2.0 | |||
Electric Utilities | 1.9 | |||
Hotels, Restaurants & Leisure | 1.9 | |||
Beverages | 1.8 | |||
Diversified Financial Services | 1.7 | |||
Household Products | 1.7 | |||
Machinery | 1.5 | |||
Food & Staples Retailing | 1.5 | |||
Industrial Conglomerates | 1.4 | |||
Media | 1.4 | |||
Communications Equipment | 1.2 | |||
Food Products | 1.1 | |||
Life Sciences Tools & Services | 1.1 | |||
Multi-Utilities | 1.1 | |||
Road & Rail | 1.0 | |||
Tobacco | 0.8 | |||
Consumer Finance | 0.7 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Air Freight & Logistics | 0.5 | |||
Multiline Retail | 0.5 | |||
Electronic Equipment, Instruments & Components | 0.5 | |||
Electrical Equipment | 0.5 | |||
Energy Equipment & Services | 0.4 |
Commercial Services & Supplies | 0.4 | % | ||
Airlines | 0.4 | |||
Automobiles | 0.4 | |||
Containers & Packaging | 0.4 | |||
Exchange-Traded Funds | 0.3 | |||
Professional Services | 0.3 | |||
Household Durables | 0.3 | |||
Building Products | 0.3 | |||
Metals & Mining | 0.2 | |||
Personal Products | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
Construction Materials | 0.1 | |||
Auto Components | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Health Care Technology | 0.1 | |||
Distributors | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Water Utilities | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Construction & Engineering | 0.1 | |||
Leisure Products | 0.0 | * | ||
Gas Utilities | 0.0 | * | ||
Diversified Consumer Services | 0.0 | * | ||
|
| |||
106.6 | ||||
Liabilities in excess of other assets | (6.6 | ) | ||
|
| |||
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 June 30, 2019 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Equity contracts | Due from/to broker — variation margin futures | $ | 1,187,291 | * | — | $ | — | |||||
|
|
|
|
* | 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 six months ended June 30, 2019 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Futures | |||
Equity contracts | $ | 11,854,744 | ||
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Futures | |||
Equity contracts | $ | 4,062,070 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A176
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
For the six months ended June 30, 2019, the Portfolio’s average volume of derivative activities is as follows:
Futures Contracts— |
$95,587,213 |
(1) | Notional Amount in USD. |
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 toset-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 | $ | 287,589,056 | $ | (287,589,056 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A177
STOCK INDEX PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $287,589,056: | ||||
Unaffiliated investments (cost $1,294,172,028) | $ | 4,255,206,611 | ||
Affiliated investments (cost $371,708,142) | 371,765,008 | |||
Dividends receivable | 3,557,813 | |||
Receivable for investments sold | 1,282,157 | |||
Receivable for Portfolio shares sold | 609,959 | |||
Due from broker-variation margin futures | 390,355 | |||
Prepaid expenses | 4,425 | |||
|
| |||
Total Assets | 4,632,816,328 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 291,442,764 | |||
Management fee payable. | 1,037,728 | |||
Accrued expenses and other liabilities | 798,034 | |||
Payable for investments purchased | 241,497 | |||
Payable for Portfolio shares repurchased | 221,209 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 293,742,212 | |||
|
| |||
NET ASSETS | $ | 4,339,074,116 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 4,339,074,116 | ||
|
| |||
Net asset value and redemption price per share, $4,339,074,116 / 64,750,806 outstanding shares of beneficial interest | $ | 67.01 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 40,250,684 | ||
Affiliated dividend income | 1,204,349 | |||
Income from securities lending, net (including affiliated income of $141,842) | 162,687 | |||
Interest income (net of $11 foreign withholding tax) | 60,551 | |||
|
| |||
Total income | 41,678,271 | |||
|
| |||
EXPENSES | ||||
Management fee. | 6,124,028 | |||
Custodian and accounting fees | 123,428 | |||
Shareholders’ reports | 82,492 | |||
Trustees’ fees | 26,917 | |||
Audit fee. | 12,227 | |||
Legal fees and expenses. | 11,909 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 38,271 | |||
|
| |||
Total expenses | 6,424,569 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 35,253,702 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(13,169)) | 14,716,897 | |||
Futures transactions. | 11,854,744 | |||
|
| |||
26,571,641 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $58,323) | 610,229,150 | |||
Futures | 4,062,070 | |||
|
| |||
614,291,220 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 640,862,861 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 676,116,563 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 35,253,702 | $ | 66,061,210 | ||||
Net realized gain (loss) on investment transactions | 26,571,641 | 100,320,190 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 614,291,220 | (339,473,709 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 676,116,563 | (173,092,309 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [1,997,690 and 3,148,487 shares, respectively] | 124,204,105 | 190,000,727 | ||||||
Portfolio shares repurchased [2,087,659 and 4,457,788 shares, respectively] | (133,568,718 | ) | (272,872,840 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (9,364,613 | ) | (82,872,113 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 666,751,950 | (255,964,422 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,672,322,166 | 3,928,286,588 | ||||||
|
|
|
| |||||
End of period | $ | 4,339,074,116 | $ | 3,672,322,166 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A178
VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.3% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 4.3% |
| |||||||
Airbus SE (France) | 95,474 | $ | 13,547,251 | |||||
Boeing Co. (The) | 68,030 | 24,763,600 | ||||||
United Technologies Corp. | 160,919 | 20,951,654 | ||||||
|
| |||||||
59,262,505 | ||||||||
|
| |||||||
Banks — 13.6% | ||||||||
Bank of America Corp. | 1,261,554 | 36,585,066 | ||||||
BB&T Corp.(a) | 261,052 | 12,825,485 | ||||||
Citigroup, Inc. | 485,257 | 33,982,547 | ||||||
JPMorgan Chase & Co. | 494,230 | 55,254,914 | ||||||
PNC Financial Services Group, Inc. (The) | 166,883 | 22,909,698 | ||||||
SunTrust Banks, Inc. | 200,835 | 12,622,480 | ||||||
Wells Fargo & Co. | 285,034 | 13,487,809 | ||||||
|
| |||||||
187,667,999 | ||||||||
|
| |||||||
Beverages — 1.0% | ||||||||
PepsiCo, Inc. | 102,414 | 13,429,548 | ||||||
|
| |||||||
Building Products — 1.6% |
| |||||||
Johnson Controls International PLC(a) | 523,094 | 21,609,013 | ||||||
|
| |||||||
Capital Markets — 1.2% |
| |||||||
Goldman Sachs Group, Inc. (The) | 81,459 | 16,666,511 | ||||||
|
| |||||||
Chemicals — 3.2% |
| |||||||
FMC Corp. | 170,884 | 14,174,828 | ||||||
Linde PLC (United Kingdom) | 146,712 | 29,459,769 | ||||||
|
| |||||||
43,634,597 | ||||||||
|
| |||||||
Communications Equipment — 3.2% |
| |||||||
Cisco Systems, Inc. | 611,365 | 33,460,007 | ||||||
Nokia OYJ (Finland), ADR(a) | 2,003,708 | 10,038,577 | ||||||
|
| |||||||
43,498,584 | ||||||||
|
| |||||||
Consumer Finance — 2.8% | ||||||||
Capital One Financial Corp. | 264,488 | 23,999,641 | ||||||
SLM Corp. | 1,526,236 | 14,835,014 | ||||||
|
| |||||||
38,834,655 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 2.0% |
| |||||||
Verizon Communications, Inc. | 490,306 | 28,011,182 | ||||||
|
| |||||||
Electric Utilities — 4.3% |
| |||||||
American Electric Power Co., Inc. | 375,731 | 33,068,086 | ||||||
Exelon Corp. | 549,130 | 26,325,292 | ||||||
|
| |||||||
59,393,378 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% | ||||||||
Emerson Electric Co. | 205,302 | 13,697,749 | ||||||
|
| |||||||
Energy Equipment & Services — 0.4% |
| |||||||
Schlumberger Ltd. | 139,817 | 5,556,328 | ||||||
|
| |||||||
Entertainment — 1.5% | ||||||||
Walt Disney Co. (The) | 150,588 | 21,028,108 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.5% |
| |||||||
American Campus Communities, Inc. | 284,610 | 13,137,598 | ||||||
American Tower Corp. | 106,251 | 21,723,017 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Boston Properties, Inc. | 102,876 | $ | 13,271,004 | |||||
|
| |||||||
48,131,619 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.5% | ||||||||
Walmart, Inc. | 306,505 | 33,865,737 | ||||||
|
| |||||||
Food Products — 2.7% | ||||||||
Conagra Brands, Inc.(a) | 375,231 | 9,951,126 | ||||||
Mondelez International, Inc. (Class A Stock) | 512,500 | 27,623,750 | ||||||
|
| |||||||
37,574,876 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
Zimmer Biomet Holdings, Inc. | 153,121 | 18,028,467 | ||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
Laboratory Corp. of America Holdings* | 112,606 | 19,469,577 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
McDonald’s Corp. | 91,370 | 18,973,894 | ||||||
|
| |||||||
Household Products — 2.2% | ||||||||
Procter & Gamble Co. (The) | 281,448 | 30,860,773 | ||||||
|
| |||||||
Insurance — 4.3% | ||||||||
Brighthouse Financial, Inc.* | 174,560 | 6,404,607 | ||||||
Chubb Ltd. | 204,273 | 30,087,370 | ||||||
MetLife, Inc. | 452,906 | 22,495,841 | ||||||
|
| |||||||
58,987,818 | ||||||||
|
| |||||||
Interactive Media & Services — 1.1% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 13,472 | 14,587,482 | ||||||
|
| |||||||
Media — 3.2% | ||||||||
Comcast Corp. (Class A Stock) | 704,041 | 29,766,853 | ||||||
Liberty Global PLC (United Kingdom) (Class C Stock)* | 551,562 | 14,632,940 | ||||||
|
| |||||||
44,399,793 | ||||||||
|
| |||||||
Multi-Utilities — 1.5% | ||||||||
Ameren Corp. | 283,577 | 21,299,468 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.0% |
| |||||||
Anadarko Petroleum Corp. | 95,684 | 6,751,463 | ||||||
Chevron Corp. | 349,677 | 43,513,806 | ||||||
Noble Energy, Inc.(a) | 591,507 | 13,249,757 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 440,791 | 28,682,271 | ||||||
Suncor Energy, Inc. (Canada) | 598,657 | 18,654,152 | ||||||
Williams Cos., Inc. (The) | 447,633 | 12,551,629 | ||||||
|
| |||||||
123,403,078 | ||||||||
|
| |||||||
Pharmaceuticals — 9.9% | ||||||||
Allergan PLC | 25,356 | 4,245,355 | ||||||
AstraZeneca PLC (United Kingdom), ADR | 556,140 | 22,957,459 | ||||||
Bristol-Myers Squibb Co. | 272,058 | 12,337,830 | ||||||
Elanco Animal Health, Inc.*(a) | 249,143 | 8,421,033 | ||||||
Eli Lilly & Co. | 215,840 | 23,912,914 | ||||||
Merck & Co., Inc. | 329,676 | 27,643,333 | ||||||
Pfizer, Inc. | 862,380 | 37,358,302 | ||||||
|
| |||||||
136,876,226 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A179
VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Road & Rail — 1.8% | ||||||||
Union Pacific Corp. | 148,318 | $ | 25,082,057 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
Broadcom, Inc.(a) | 79,244 | 22,811,178 | ||||||
QUALCOMM, Inc. | 208,948 | 15,894,674 | ||||||
Texas Instruments, Inc.(a) | 127,540 | 14,636,491 | ||||||
|
| |||||||
53,342,343 | ||||||||
|
| |||||||
Software — 3.5% | ||||||||
Microsoft Corp. | 137,059 | 18,360,424 | ||||||
PTC, Inc.*(a) | 157,760 | 14,160,537 | ||||||
SAP SE (Germany), ADR | 111,361 | 15,234,185 | ||||||
|
| |||||||
47,755,146 | ||||||||
|
| |||||||
Specialty Retail — 2.5% | ||||||||
Lowe’s Cos., Inc. | 144,585 | 14,590,072 | ||||||
Ross Stores, Inc.(a) | 197,922 | 19,618,029 | ||||||
|
| |||||||
34,208,101 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
Apple, Inc. | 55,071 | 10,899,652 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Tapestry, Inc. | 319,985 | 10,153,124 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,340,189,388 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 11.0% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 30,443,558 | 30,443,558 |
Shares | Value | |||||||
AFFILIATED MUTUAL FUNDS (continued) |
| |||||||
PGIM Institutional Money Market Fund | 120,576,125 | $ | 120,612,297 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 151,055,855 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 108.3% |
| 1,491,245,243 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.3)% |
| (114,752,471 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,376,492,772 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual 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 $118,932,180; cash collateral of $120,382,073 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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. |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 45,715,254 | $ | 13,547,251 | $ | — | ||||||
Banks | 187,667,999 | — | — | |||||||||
Beverages | 13,429,548 | — | — | |||||||||
Building Products | 21,609,013 | — | — | |||||||||
Capital Markets | 16,666,511 | — | — | |||||||||
Chemicals | 43,634,597 | — | — | |||||||||
Communications Equipment | 43,498,584 | — | — | |||||||||
Consumer Finance | 38,834,655 | — | — | |||||||||
Diversified Telecommunication Services | 28,011,182 | — | — | |||||||||
Electric Utilities | 59,393,378 | — | — | |||||||||
Electrical Equipment | 13,697,749 | — | — | |||||||||
Energy Equipment & Services | 5,556,328 | — | — | |||||||||
Entertainment | 21,028,108 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 48,131,619 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A180
VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Food & Staples Retailing | $ | 33,865,737 | $ | — | $ | — | ||||||
Food Products | 37,574,876 | — | — | |||||||||
Health Care Equipment & Supplies | 18,028,467 | — | — | |||||||||
Health Care Providers & Services | 19,469,577 | — | — | |||||||||
Hotels, Restaurants & Leisure | 18,973,894 | — | — | |||||||||
Household Products | 30,860,773 | — | — | |||||||||
Insurance | 58,987,818 | — | — | |||||||||
Interactive Media & Services | 14,587,482 | — | — | |||||||||
Media | 44,399,793 | — | — | |||||||||
Multi-Utilities | 21,299,468 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 123,403,078 | — | — | |||||||||
Pharmaceuticals | 136,876,226 | — | — | |||||||||
Road & Rail | 25,082,057 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 53,342,343 | — | — | |||||||||
Software | 47,755,146 | — | — | |||||||||
Specialty Retail | 34,208,101 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 10,899,652 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 10,153,124 | — | — | |||||||||
Affiliated Mutual Funds | 151,055,855 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,477,697,992 | $ | 13,547,251 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Banks | 13.6 | % | ||
Affiliated Mutual Funds (8.7% represents investments purchased with collateral from securities on loan) | 11.0 | |||
Pharmaceuticals | 9.9 | |||
Oil, Gas & Consumable Fuels | 9.0 | |||
Electric Utilities | 4.3 | |||
Aerospace & Defense | 4.3 | |||
Insurance | 4.3 | |||
Semiconductors & Semiconductor Equipment | 3.9 | |||
Equity Real Estate Investment Trusts (REITs) | 3.5 | |||
Software | 3.5 | |||
Media | 3.2 | |||
Chemicals | 3.2 | |||
Communications Equipment | 3.2 | |||
Consumer Finance | 2.8 | |||
Food Products | 2.7 | |||
Specialty Retail | 2.5 | |||
Food & Staples Retailing | 2.5 | |||
Household Products | 2.2 |
Diversified Telecommunication Services | 2.0 | % | ||
Road & Rail | 1.8 | |||
Building Products | 1.6 | |||
Multi-Utilities | 1.5 | |||
Entertainment | 1.5 | |||
Health Care Providers & Services | 1.4 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Health Care Equipment & Supplies | 1.3 | |||
Capital Markets | 1.2 | |||
Interactive Media & Services | 1.1 | |||
Electrical Equipment | 1.0 | |||
Beverages | 1.0 | |||
Technology Hardware, Storage & Peripherals | 0.8 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Energy Equipment & Services | 0.4 | |||
|
| |||
108.3 | ||||
Liabilities in excess of other assets | (8.3 | ) | ||
|
| |||
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 toset-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 | $ | 118,932,180 | $ | (118,932,180 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A181
VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $118,932,180: | ||||
Unaffiliated investments (cost $932,930,480) | $ | 1,340,189,388 | ||
Affiliated investments (cost $151,031,854) | 151,055,855 | |||
Receivable for investments sold | 5,211,720 | |||
Dividends and interest receivable | 1,323,226 | |||
Tax reclaim receivable | 912,797 | |||
Receivable for Portfolio shares sold | 13,541 | |||
Prepaid expenses | 30,240 | |||
|
| |||
Total Assets | 1,498,736,767 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 120,382,073 | |||
Payable to affiliate | 645,358 | |||
Management fee payable | 447,089 | |||
Payable for Portfolio shares repurchased | 411,156 | |||
Accrued expenses and other liabilities | 340,029 | |||
Payable to custodian | 15,047 | |||
Distribution fee payable | 1,414 | |||
Affiliated transfer agent fee payable | 980 | |||
Administration fee payable | 849 | |||
|
| |||
Total Liabilities | 122,243,995 | |||
|
| |||
NET ASSETS | $ | 1,376,492,772 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 1,376,492,772 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $1,369,497,520 / 41,199,615 outstanding shares of beneficial interest | $ | 33.24 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $6,995,252 / 214,455 outstanding shares of beneficial interest | $ | 32.62 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $191,044 foreign withholding tax) | $ | 16,337,311 | ||
Affiliated dividend income | 469,732 | |||
Income from securities lending, net (including affiliated income of $104,377) | 298,199 | |||
|
| |||
Total income | 17,105,242 | |||
|
| |||
EXPENSES | ||||
Management fee. | 2,669,303 | |||
Distribution fee—Class II | 8,373 | |||
Administration fee—Class II | 5,024 | |||
Shareholders’ reports | 74,601 | |||
Custodian and accounting fees | 53,719 | |||
Audit fee | 12,425 | |||
Trustees’ fees | 12,189 | |||
Legal fees and expenses | 7,593 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 17,509 | |||
|
| |||
Total expenses | 2,866,033 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 14,239,209 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $11,582) | 44,214,854 | |||
Foreign currency transactions | 37,325 | |||
|
| |||
44,252,179 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $26,201) | 141,440,758 | |||
Foreign currencies | (32,314 | ) | ||
|
| |||
141,408,444 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 185,660,623 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 199,899,832 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 14,239,209 | $ | 25,041,785 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 44,252,179 | 69,745,880 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 141,408,444 | (230,175,408 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 199,899,832 | (135,387,743 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 2,936,081 | 7,491,489 | ||||||
Portfolio shares repurchased | (58,917,797 | ) | (128,220,347 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (55,981,716 | ) | (120,728,858 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 1,759 | 937,697 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 143,919,875 | (255,178,904 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,232,572,897 | 1,487,751,801 | ||||||
|
|
|
| |||||
End of period | $ | 1,376,492,772 | $ | 1,232,572,897 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A182
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains to the 13 Portfolios listed below together with their investment objectives. Each Portfolio is a diversified portfolio except Natural Resources Portfolio which is anon-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.
High Yield Bond Portfolio: High total return.
Jennison Portfolio: Long-term growth of capital.
Natural Resources Portfolio: Long-term growth of capital.
Small Capitalization Stock Portfolio: Long-term growth of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
Value Portfolio: Capital appreciation.
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. 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 the Portfolios 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.
B1
For the fiscal reportingperiod-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 Portfolio’s 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 and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 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 inopen-end,non-exchange-traded mutual 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.
B2
The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also includes 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.
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.
Illiquid Securities: Pursuant to Rule22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR): Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.
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.
B3
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 forward currency 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 (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 Portfolio’s 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 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 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.
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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 may acquire interests in loans directly (by way of assignment from the selling institution) 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, 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: 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, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral ismarked-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.
Forward Rate Agreements: Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.
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
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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 (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. Any 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. A Portfolio’s 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.
Inflation Swaps: Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.
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.
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Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
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. A Portfolio’s 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 Portfolio 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 toset-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 toset-off the amount owed with the amount owed by the other party, the reporting party intends toset-off and the right ofset-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 orre-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.
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As of June 30, 2019, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. 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 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 receive pursuant to debt restructuring, securities thatpay-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. 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. 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 on the Statement of Operations as “Income from securities lending, net”.
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
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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.
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 theex-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 as referenced in Note 3. 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 theex-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 has a management agreement with PGIM Investments on behalf of the Portfolios. 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 PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”) (a wholly-owned subsidiary of PGIM, Inc.), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Allianz Global Investors U.S. LLC (“Allianz”), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates 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.
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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 | 0.72 | * | |||
Government Income Portfolio | 0.40 | 0.40 | ||||
Government Money Market Portfolio | 0.30 | 0.30 | ||||
High Yield Bond | 0.55 | 0.50 | ** | |||
Jennison Portfolio | 0.60 | 0.60 | ||||
Natural Resources Portfolio | 0.45 | 0.44 | *** | |||
Small Capitalization Stock Portfolio | 0.35 | 0.35 | ||||
Stock Index Portfolio | 0.30% up to $4 billion 0.25% over $4 billion | 0.30 | ||||
Value Portfolio | 0.40 | 0.40 |
* | The Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.032% of the average daily net assets of the Portfolio. |
** | The Manager has contractually agreed through June 30, 2020 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, acquired fund fees and expenses, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of the Portfolio to 0.57% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year. |
*** | The Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio. |
At June 30, 2019, 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 & QMA | |
Diversified Bond Portfolio | PFI | |
Equity Portfolio | Jennison | |
Flexible Managed Portfolio | PFI & QMA | |
Global Portfolio | Brown, LSV, QMA, T. Rowe & William Blair | |
Government Income Portfolio | PFI | |
Government Money Market Portfolio | PFI | |
High Yield Bond Portfolio | PFI | |
Jennison Portfolio | Jennison | |
Natural Resources Portfolio | Allianz | |
Small Capitalization Stock Portfolio | QMA | |
Stock Index Portfolio | QMA | |
Value Portfolio | Jennison |
The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II shares pursuant to a plan of distribution (the “Class II Plan”), 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 Class II Plan, the Class II 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 shares.
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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 June 30, 2019, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 60,670 | ||
Global Portfolio | 15,532 | |||
Jennison Portfolio | 26,876 | |||
Value Portfolio | 19,538 |
PIMS, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“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 certainout-of-pocket expenses paid tonon-affiliates, where applicable.
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 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. Earnings from the Core Funds and the Money Market Fund 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 approvedRule 17a-7 procedures. Rule17a-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 Rule17a-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 such17a-7 transaction were effected in accordance with the Series Fund’s Rule17a-7 procedures. For the reporting period ended June 30, 2019, no17a-7 transactions were entered into by the Portfolios.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“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 Portfolios. 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.
B11
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 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 in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018 and for the six months ended June 30, 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.
During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process 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 accrued or paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnership for tax purposes.
Portfolio | 2019 Withholding Tax | |||
Conservative Balanced Portfolio | $ | 6,877 | ||
Equity Portfolio | 13,151 | |||
Flexible Managed Portfolio | 11,436 | |||
Global Portfolio | 88,638 | |||
High Yield Bond Portfolio | 94 |
B12
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 | 2019 Payments | |||
Conservative Balanced Portfolio | $ | 30,155 | ||
Equity Portfolio | 187,890 | |||
Flexible Managed Portfolio | 32,384 | |||
Global Portfolio | 141,863 | |||
High Yield Bond Portfolio | 189 | |||
Jennison Portfolio | 89,894 | |||
Natural Resources Portfolio | 24,872 | |||
Value Portfolio | 218,256 |
The following amounts have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | Opportunity Loss | |||
Conservative Balanced Portfolio | $ | 13,184 | ||
Equity Portfolio | 3 | |||
Flexible Managed Portfolio | 14,632 | |||
Global Portfolio | 85,664 | |||
Jennison Portfolio | 8,215 | |||
Natural Resources Portfolio | 6,508 | |||
Value Portfolio | 1,759 |
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 reporting period ended June 30, 2019, were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 823,851,966 | $ | 843,248,186 | ||||
Diversified Bond Portfolio | 161,394,421 | 132,319,201 | ||||||
Equity Portfolio | 925,736,563 | 1,089,156,347 | ||||||
Flexible Managed Portfolio | 2,361,082,236 | 2,406,411,065 | ||||||
Global Portfolio | 146,556,939 | 158,628,666 | ||||||
Government Income Portfolio | 278,182,442 | 276,827,982 | ||||||
High Yield Bond | 158,685,366 | 144,060,155 | ||||||
Jennison Portfolio | 487,464,238 | 582,338,809 | ||||||
Natural Resources Portfolio | 156,071,776 | 158,468,111 | ||||||
Small Capitalization Stock Portfolio | 60,989,959 | 88,289,235 | ||||||
Stock Index Portfolio | 87,626,599 | 46,631,956 | ||||||
Value Portfolio | 161,337,605 | 188,285,721 |
B13
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:
Conservative Balanced Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 60,098,231 | $ | 986,294 | $ | — | $ | 130,688 | $ | — | $ | 61,215,213 | 6,632,201 | $ | 986,102 | ||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
321,028,979 | 222,541,677 | 282,538,169 | — | — | 261,032,487 | 261,032,487 | 3,720,045 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
35,065,786 | 183,324,641 | 148,081,776 | 17,985 | (1,048 | ) | 70,325,588 | 70,304,496 | 51,639 | ** | |||||||||||||||||||||
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$ | 416,192,996 | $ | 406,852,612 | $ | 430,619,945 | $ | 148,673 | $ | (1,048 | ) | $ | 392,573,288 | $ | 4,757,786 | ||||||||||||||||
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Diversified Bond Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 36,166,743 | $ | 593,546 | $ | — | $ | 78,647 | $ | — | $ | 36,838,936 | 3,991,217 | $ | 590,570 | ||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
3,312,505 | 157,060,462 | 157,703,386 | — | — | 2,669,581 | 2,669,581 | 237,481 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
5,294,940 | 46,348,377 | 39,590,214 | 2,663 | 1,423 | 12,057,189 | 12,053,573 | 13,466 | ** | ||||||||||||||||||||||
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$ | 44,774,188 | $ | 204,002,385 | $ | 197,293,600 | $ | 81,310 | $ | 1,423 | $ | 51,565,706 | $ | 841,517 | |||||||||||||||||
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Equity Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 122,077,957 | $ | 506,978,328 | $ | 486,705,116 | $ | — | $ | — | $ | 142,351,169 | 142,351,169 | $ | 1,591,793 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
233,962,135 | 1,615,209,453 | 1,354,908,124 | 112,886 | 3,295 | 494,379,645 | 494,231,375 | 339,943 | ** | ||||||||||||||||||||||
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$ | 356,040,092 | $ | 2,122,187,781 | $ | 1,841,613,240 | $ | 112,886 | $ | 3,295 | $ | 636,730,814 | $ | 1,931,736 | |||||||||||||||||
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Flexible Managed Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 76,993,820 | $ | 1,263,574 | $ | — | $ | 167,428 | $ | — | $ | 78,424,822 | 8,496,730 | $ | 1,263,574 | ||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
219,948,136 | 444,707,070 | 499,342,803 | — | — | 165,312,403 | 165,312,403 | 2,414,046 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
42,949,501 | 420,723,536 | 371,915,979 | 23,164 | 1,265 | 91,781,487 | 91,753,960 | 78,530 | ** | ||||||||||||||||||||||
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$ | 339,891,457 | $ | 866,694,180 | $ | 871,258,782 | $ | 190,592 | $ | 1,265 | $ | 335,518,712 | $ | 3,756,150 | |||||||||||||||||
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B14
Global Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 29,089,153 | $ | 157,931,234 | $ | 152,741,738 | $ | — | $ | — | $ | 34,278,649 | 34,278,649 | $ | 409,907 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
42,891,241 | 188,823,505 | 186,429,077 | 11,649 | 136 | 45,297,454 | 45,283,869 | 72,140 | ** | ||||||||||||||||||||||
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$ | 71,980,394 | $ | 346,754,739 | $ | 339,170,815 | $ | 11,649 | $ | 136 | $ | 79,576,103 | $ | 482,047 | |||||||||||||||||
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Government Income Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 22,597,532 | $ | 363,936 | $ | 1,000,000 | $ | 180,837 | $ | (74,756 | ) | $ | 22,067,549 | 2,390,850 | $ | 367,802 | |||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
2,506 | 53,168,528 | 50,265,839 | — | — | 2,905,195 | 2,905,195 | 34,024 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
— | 2,593,793 | 2,593,793 | — | — | — | — | 592 | ** | ||||||||||||||||||||||
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$ | 22,600,038 | $ | 56,126,257 | $ | 53,859,632 | $ | 180,837 | $ | (74,756 | ) | $ | 24,972,744 | $ | 402,418 | ||||||||||||||||
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High Yield Bond | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 11,299,269 | $ | 67,635,487 | $ | 76,621,195 | $ | — | $ | — | $ | 2,313,561 | 2,313,561 | $ | 139,941 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
77,044,159 | 99,056,120 | 112,326,179 | 25,451 | 5,675 | 63,805,226 | 63,786,091 | 131,148 | ** | ||||||||||||||||||||||
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$ | 88,343,428 | $ | 166,691,607 | $ | 188,947,374 | $ | 25,451 | $ | 5,675 | $ | 66,118,787 | $ | 271,089 | |||||||||||||||||
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Jennison Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 3,388,912 | $ | 227,481,486 | $ | 211,721,697 | $ | — | $ | — | $ | 19,148,701 | 19,148,701 | $ | 105,569 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
121,502,704 | 737,483,997 | 593,138,789 | 52,941 | 902 | 265,901,755 | 265,822,008 | 177,849 | ** | ||||||||||||||||||||||
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$ | 124,891,616 | $ | 964,965,483 | $ | 804,860,486 | $ | 52,941 | $ | 902 | $ | 285,050,456 | $ | 283,418 | |||||||||||||||||
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Natural Resources Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 16,380,536 | $ | 65,399,634 | $ | 74,669,126 | $ | — | $ | — | $ | 7,111,044 | 7,111,044 | $ | 86,510 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
21,775,231 | 142,982,417 | 153,064,842 | 847 | 2,168 | 11,695,821 | 11,692,313 | 25,738 | ** | ||||||||||||||||||||||
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$ | 38,155,767 | $ | 208,382,051 | $ | 227,733,968 | $ | 847 | $ | 2,168 | $ | 18,806,865 | $ | 112,248 | |||||||||||||||||
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B15
Small Capitalization Stock Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 1,836,274 | $ | 35,803,707 | $ | 37,130,393 | $ | — | $ | — | $ | 509,588 | 509,588 | $ | 32,275 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
138,987,251 | 132,658,679 | 138,279,144 | 49,713 | 6,050 | 133,422,549 | 133,382,534 | 203,370 | ** | ||||||||||||||||||||||
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$ | 140,823,525 | $ | 168,462,386 | $ | 175,409,537 | $ | 49,713 | $ | 6,050 | $ | 133,932,137 | $ | 235,645 | |||||||||||||||||
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Stock Index Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 78,324,947 | $ | 150,065,767 | $ | 148,708,733 | $ | — | $ | — | $ | 79,681,981 | 79,681,981 | $ | 1,204,349 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
95,420,772 | 734,807,991 | 538,190,890 | 58,323 | (13,169 | ) | 292,083,027 | 291,995,428 | 141,842 | ** | |||||||||||||||||||||
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$ | 173,745,719 | $ | 884,873,758 | $ | 686,899,623 | $ | 58,323 | $ | (13,169 | ) | $ | 371,765,008 | $ | 1,346,191 | ||||||||||||||||
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Value Portfolio | ||||||||||||||||||||||||||||||
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 50,056,662 | $ | 85,420,608 | $ | 105,033,712 | $ | — | $ | — | $ | 30,443,558 | 30,443,558 | $ | 469,732 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
50,976,349 | 660,987,354 | 591,389,189 | 26,201 | 11,582 | 120,612,297 | 120,576,125 | 104,377 | ** | ||||||||||||||||||||||
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$ | 101,033,011 | $ | 746,407,962 | $ | 696,422,901 | $ | 26,201 | $ | 11,582 | $ | 151,055,855 | $ | 574,109 | |||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | This amount is included in “Income from securities lending, net” 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 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. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. | Borrowings |
The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “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 SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the
B16
unused portion of the SCA. The Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.
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 Funds in the SCA equitably.
The following Portfolios utilized the SCA during the reporting period ended June 30, 2019. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.
Portfolio | Average Balance Outstanding | Weighted Average Interest Rates | Number of Days Outstanding | Maximum Balance Outstanding | Balance Outstanding at June 30, 2019 | |||||||||||||||
Diversified Bond Portfolio | $ | 245,000 | 3.67 | % | 1 | $ | 245,000 | $ | — | |||||||||||
Global Portfolio | 190,000 | 3.66 | 1 | 190,000 | — | |||||||||||||||
Government Income Portfolio | 473,417 | 3.73 | 12 | 2,535,000 | — | |||||||||||||||
High Yield Bond Portfolio | 156,000 | 3.65 | 1 | 156,000 | — | |||||||||||||||
Jennison Portfolio | 837,125 | 3.69 | 8 | 1,523,000 | — | |||||||||||||||
Natural Resources Portfolio | 125,333 | 3.72 | 3 | 145,000 | — | |||||||||||||||
Small Capitalization Stock | ||||||||||||||||||||
Portfolio | 264,000 | 3.65 | 5 | 270,000 | — | |||||||||||||||
Value Portfolio | 510,000 | 3.70 | 3 | 510,000 | — |
7. | Capital and Ownership |
The Portfolios offer Class I shares and certain Portfolios offer Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I 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 ofnon-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts ofnon-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. As of June 30, 2019, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding. 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.
As of June 30, 2019, all of Class I shares of record of each Portfolio were owned by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”), Pruco Life Insurance Company (“PRULIFE”) and Prudential Insurance Company of America (“PICA”) on behalf of owners of the variable insurance products issued by each of these entities; and by other Portfolios as part of their investments.
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares:
Portfolio | Number of Shareholders | % of Outstanding Shares | % held by an Affiliate of Prudential | |||||||||
Conservative Balanced Portfolio | 4 | 96 | 96 | |||||||||
Diversified Bond Portfolio | 5 | 94 | 94 | |||||||||
Equity Portfolio | 4 | 92 | 92 | |||||||||
Flexible Managed Portfolio | 4 | 97 | 97 | |||||||||
Global Portfolio | 3 | 90 | 90 | |||||||||
Government Income Portfolio | 3 | 92 | 92 |
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Number of Shareholders | % of Outstanding Shares | % held by an Affiliate of Prudential | ||||||||||
Government Money Market Portfolio | 3 | 86 | 86 | |||||||||
High Yield Bond | 4 | 92 | 92 | |||||||||
Jennison Portfolio | 4 | 91 | 91 | |||||||||
Natural Resources Portfolio | 4 | 94 | 84 | |||||||||
Small Capitalization Stock Portfolio | 4 | 96 | 96 | |||||||||
Stock Index Portfolio | 5 | 93 | 93 | |||||||||
Value Portfolio | 4 | 95 | 95 |
One unaffiliated shareholder of record of Natural Resources Portfolio, Class II shares, held 10% of the Portfolio’s aggregate outstanding shares.
Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:
Equity Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 60,113 | $ | 3,364,916 | |||||
Portfolio shares repurchased | (2,824,556 | ) | (156,323,573 | ) | ||||
Capital contributions | — | 3 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (2,764,443 | ) | $ | (152,958,654 | ) | |||
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| |||||
Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 288,901 | $ | 15,724,745 | |||||
Portfolio shares repurchased | (6,033,417 | ) | (328,510,611 | ) | ||||
Capital contributions | — | 3,503,826 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (5,744,516 | ) | $ | (309,282,040 | ) | |||
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Class II: | ||||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 1 | $ | 37 | |||||
Portfolio shares repurchased | (1,523 | ) | (81,798 | ) | ||||
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Net increase (decrease) in shares outstanding | (1,522 | ) | $ | (81,761 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 9,548 | $ | 526,666 | |||||
Portfolio shares repurchased | (12,293 | ) | (673,039 | ) | ||||
Capital contributions | — | 1,333 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (2,745 | ) | $ | (145,040 | ) | |||
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Jennison Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 132,064 | $ | 9,402,183 | |||||
Portfolio shares repurchased | (1,144,993 | ) | (80,713,980 | ) | ||||
Capital contributions | — | 7,972 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (1,012,929 | ) | $ | (71,303,825 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 286,745 | $ | 19,297,456 | |||||
Portfolio shares repurchased | (2,220,756 | ) | (149,829,068 | ) | ||||
Capital contributions | — | 138,296 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (1,934,011 | ) | $ | (130,393,316 | ) | |||
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B18
Class II: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 57,542 | $ | 3,875,999 | |||||
Portfolio shares repurchased | (198,427 | ) | (13,334,310 | ) | ||||
Capital contributions | — | 243 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (140,885 | ) | $ | (9,458,068 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 408,588 | $ | 26,790,146 | |||||
Portfolio shares repurchased | (383,201 | ) | (24,594,112 | ) | ||||
Capital contributions | — | $ | 4,614 | |||||
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| |||||
Net increase (decrease) in shares outstanding | 25,387 | $ | 2,200,648 | |||||
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Natural Resources Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 69,602 | $ | 1,680,797 | |||||
Portfolio shares repurchased | (634,332 | ) | (15,427,687 | ) | ||||
Capital contributions | — | 5,677 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (564,730 | ) | $ | (13,741,213 | ) | |||
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| |||||
Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 302,691 | $ | 7,763,447 | |||||
Portfolio shares repurchased | (1,369,097 | ) | (35,904,874 | ) | ||||
Capital contributions | — | 79,822 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (1,066,406 | ) | $ | (28,061,605 | ) | |||
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| |||||
Class II: | ||||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 130,833 | $ | 3,058,821 | |||||
Portfolio shares repurchased | (243,632 | ) | (5,739,656 | ) | ||||
Capital contributions | — | 831 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (112,799 | ) | $ | (2,680,004 | ) | |||
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| |||||
Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 974,088 | $ | 24,472,873 | |||||
Portfolio shares repurchased | (745,534 | ) | (19,058,185 | ) | ||||
Capital contributions | — | 11,841 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | 228,554 | $ | 5,426,529 | |||||
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Value Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 90,277 | $ | 2,885,665 | |||||
Portfolio shares repurchased | (1,844,527 | ) | (58,741,737 | ) | ||||
Capital contributions | — | 1,750 | ||||||
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|
| |||||
Net increase (decrease) in shares outstanding | (1,754,250 | ) | $ | (55,854,322 | ) | |||
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| |||||
Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 234,464 | $ | 7,379,990 | |||||
Portfolio shares repurchased | (4,008,985 | ) | (127,480,952 | ) | ||||
Capital contributions | — | 933,024 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (3,774,521 | ) | $ | (119,167,938 | ) | |||
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B19
Class II: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 1,606 | $ | 50,416 | |||||
Portfolio shares repurchased | (5,599 | ) | (176,060 | ) | ||||
Capital contributions | — | 9 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (3,993 | ) | $ | (125,635 | ) | |||
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| |||||
Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 3,613 | $ | 111,499 | |||||
Portfolio shares repurchased | (23,499 | ) | (739,395 | ) | ||||
Capital contributions | — | 4,673 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | (19,886 | ) | $ | (623,223 | ) | |||
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8. | Risks of Investing in the Portfolios |
The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:
Bond Obligations Risk: The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios 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 the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.
Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully 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 rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.
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 Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market indexes and the performance of the Portfolios 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 Securities Risk: The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which each Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the 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.
Geographic Concentration Risk: The Portfolios’ performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.
B20
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.
Liquidity Risk: The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. 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 Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios 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 Portfolios have unsettled or open transactions defaults.
Non-diversification Risk: Anon-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry than a diversified portfolio. Investing in anon-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of anon-diversified portfolio.
Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also includeso-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, in addition to the expenses of the Portfolio.
Risks of Investing in Treasury Inflation Protected Securities (TIPS): The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in
B21
periods of deflation, holders at maturity receive no less than the par value of the bond. However, if the Portfolios purchase TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, they may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period the Portfolio hold TIPS, the Portfolios may earn less on the security than on a conventional bond.
U.S. Government and Agency Securities Risk: U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.
9. | Recent Accounting Pronouncements and Reporting Updates |
In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolios’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.
B22
Financial Highlights
(unaudited)
Conservative Balanced Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.50 | $ | 27.17 | $ | 24.18 | $ | 22.54 | $ | 22.45 | $ | 20.63 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.30 | 0.53 | 0.45 | 0.42 | 0.39 | 0.36 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.70 | (1.20 | ) | 2.54 | 1.20 | (0.30 | ) | 1.46 | ||||||||||||||||
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Total from investment operations | 3.00 | (0.67 | ) | 2.99 | 1.62 | 0.09 | 1.82 | |||||||||||||||||
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Capital Contributions | — | (b)(c) | — | (b)(c) | — | 0.02 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 29.50 | $ | 26.50 | $ | 27.17 | $ | 24.18 | $ | 22.54 | $ | 22.45 | ||||||||||||
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Total Return(e) | 11.32 | %(f) | (2.47 | )%(f) | 12.37 | % | 7.28 | %(g) | 0.40 | % | 8.82 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,517 | $ | 2,370 | $ | 2,595 | $ | 2,473 | $ | 2,554 | $ | 2,574 | ||||||||||||
Average net assets (in millions) | $ | 2,476 | $ | 2,535 | $ | 2,535 | $ | 2,487 | $ | 2,522 | $ | 2,530 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.59 | %(i) | 0.59 | % | 0.58 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.59 | %(i) | 0.59 | % | 0.58 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||
Net investment income (loss) | 2.11 | %(i) | 1.94 | % | 1.75 | % | 1.79 | % | 1.70 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate(j) | 41 | % | 101 | % | 136 | % | 185 | % | 208 | % | 134 | % | ||||||||||||
Diversified Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 13.12 | $ | 13.14 | $ | 12.28 | $ | 11.64 | $ | 11.66 | $ | 11.01 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.45 | 0.42 | 0.43 | 0.41 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.77 | (0.48 | ) | 0.44 | 0.21 | (0.43 | ) | 0.34 | ||||||||||||||||
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Total from investment operations | 1.01 | (0.03 | ) | 0.86 | 0.64 | (0.02 | ) | 0.77 | ||||||||||||||||
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Less Dividends and Distributions: | — | — | — | — | — | (0.12 | ) | |||||||||||||||||
Capital Contributions | — | 0.01 | (b) | — | — | (c)(d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 14.13 | $ | 13.12 | $ | 13.14 | $ | 12.28 | $ | 11.64 | $ | 11.66 | ||||||||||||
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Total Return(e) | 7.70 | % | (0.15 | )%(k) | 7.00 | % | 5.50 | %(f) | (0.17 | )% | 7.09 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,168 | $ | 1,123 | $ | 1,145 | $ | 1,105 | $ | 1,085 | $ | 1,068 | ||||||||||||
Average net assets (in millions) | $ | 1,146 | $ | 1,132 | $ | 1,123 | $ | 1,121 | $ | 1,074 | $ | 1,089 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.44 | %(i) | 0.44 | % | 0.44 | % | 0.44 | % | 0.46 | % | 0.44 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.44 | %(i) | 0.44 | % | 0.44 | % | 0.44 | % | 0.46 | % | 0.44 | % | ||||||||||||
Net investment income (loss) | 3.60 | %(i) | 3.44 | % | 3.28 | % | 3.52 | % | 3.48 | % | 3.73 | % | ||||||||||||
Portfolio turnover rate(j) | 20 | % | 51 | % | 71 | % | 49 | % | 81 | % | 50 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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) | Annualized. |
(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 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 (0.23)%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(unaudited)
Equity Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 49.02 | $ | 51.52 | $ | 40.96 | $ | 39.47 | $ | 38.56 | $ | 35.81 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.36 | 0.53 | 0.41 | 0.38 | 0.34 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 8.67 | (3.07 | ) | 10.15 | 1.07 | 0.57 | 2.56 | |||||||||||||||||
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Total from investment operations | 9.03 | (2.54 | ) | 10.56 | 1.45 | 0.91 | 2.75 | |||||||||||||||||
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Capital Contributions | — | (b)(c) | 0.04 | (b) | — | 0.04 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 58.05 | $ | 49.02 | $ | 51.52 | $ | 40.96 | $ | 39.47 | $ | 38.56 | ||||||||||||
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Total Return(e) | 18.42 | %(f) | (4.85 | )%(g) | 25.78 | % | 3.78 | %(h) | 2.36 | % | 7.68 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,481 | $ | 3,920 | $ | 4,416 | $ | 3,742 | $ | 3,846 | $ | 4,018 | ||||||||||||
Average net assets (in millions) | $ | 4,347 | $ | 4,497 | $ | 4,099 | $ | 3,615 | $ | 3,959 | $ | 3,977 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.47 | %(j) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.47 | %(j) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||
Net investment income (loss) | 1.30 | %(j) | 0.98 | % | 0.89 | % | 1.01 | % | 0.86 | % | 0.52 | % | ||||||||||||
Portfolio turnover rate(k) | 22 | % | 37 | % | 55 | % | 39 | % | 37 | % | 51 | % | ||||||||||||
Equity Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 48.37 | $ | 51.04 | $ | 40.74 | $ | 39.42 | $ | 38.66 | $ | 36.05 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.32 | 0.23 | 0.23 | 0.18 | 0.04 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 8.55 | (3.03 | ) | 10.07 | 1.05 | 0.58 | 2.57 | |||||||||||||||||
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Total from investment operations | 8.79 | (2.71 | ) | 10.30 | 1.28 | 0.76 | 2.61 | |||||||||||||||||
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Capital Contributions | — | (b)(c) | 0.04 | (b) | — | 0.04 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 57.16 | $ | 48.37 | $ | 51.04 | $ | 40.74 | $ | 39.42 | $ | 38.66 | ||||||||||||
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Total Return(e) | 18.19 | %(f) | (5.23 | )%(g) | 25.28 | % | 3.35 | %(h) | 1.97 | % | 7.24 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2 | $ | 2 | $ | 2 | $ | 2 | $ | 2 | $ | 2 | ||||||||||||
Average net assets (in millions) | $ | 2 | $ | 2 | $ | 2 | $ | 2 | $ | 2 | $ | 2 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.87 | %(j) | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.87 | %(j) | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||||
Net investment income (loss) | 0.90 | %(j) | 0.59 | % | 0.50 | % | 0.61 | % | 0.46 | % | 0.11 | % | ||||||||||||
Portfolio turnover rate(k) | 22 | % | 37 | % | 55 | % | 39 | % | 37 | % | 51 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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) | Annualized. |
(k) | 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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(unaudited)
Flexible Managed Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 28.63 | $ | 29.88 | $ | 25.99 | $ | 23.95 | $ | 23.71 | $ | 21.35 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.32 | 0.53 | 0.45 | 0.44 | 0.42 | 0.37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 3.18 | (1.78 | ) | 3.44 | 1.58 | (0.18 | ) | 1.99 | ||||||||||||||||
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Total from investment operations | 3.50 | (1.25 | ) | 3.89 | 2.02 | 0.24 | 2.36 | |||||||||||||||||
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Capital Contributions | — | (b)(c) | — | (b)(c) | — | 0.02 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 32.13 | $ | 28.63 | $ | 29.88 | $ | 25.99 | $ | 23.95 | $ | 23.71 | ||||||||||||
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Total Return(e) | 12.19 | %(f) | (4.18 | )%(f) | 14.97 | % | 8.52 | %(g) | 1.01 | % | 11.05 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,168 | $ | 3,834 | $ | 4,230 | $ | 3,890 | $ | 3,769 | $ | 3,944 | ||||||||||||
Average net assets (in millions) | $ | 4,065 | $ | 4,157 | $ | 4,043 | $ | 3,799 | $ | 3,878 | $ | 3,834 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.63 | %(i) | 0.63 | % | 0.62 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.63 | %(i) | 0.63 | % | 0.62 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||
Net investment income (loss) | 2.07 | %(i) | 1.75 | % | 1.62 | % | 1.78 | % | 1.74 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate(j)(k) | 64 | % | 139 | % | 175 | % | 203 | % | 213 | % | 161 | % | ||||||||||||
Global Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 31.83 | $ | 34.33 | $ | 27.50 | $ | 26.33 | $ | 25.72 | $ | 24.91 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.32 | 0.47 | 0.42 | 0.34 | 0.34 | 0.37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 5.64 | (2.99 | ) | 6.41 | 0.81 | 0.27 | 0.44 | |||||||||||||||||
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Total from investment operations | 5.96 | (2.52 | ) | 6.83 | 1.15 | 0.61 | 0.81 | |||||||||||||||||
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Capital Contributions | — | (b)(c) | 0.02 | (b) | — | 0.02 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 37.79 | $ | 31.83 | $ | 34.33 | $ | 27.50 | $ | 26.33 | $ | 25.72 | ||||||||||||
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Total Return(e) | 18.79 | %(f) | (7.28 | )%(l) | 24.84 | % | 4.44 | %(m) | 2.37 | % | 3.25 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,177 | $ | 1,007 | $ | 1,133 | $ | 955 | $ | 965 | $ | 719 | ||||||||||||
Average net assets (in millions) | $ | 1,122 | $ | 1,140 | $ | 1,052 | $ | 942 | $ | 813 | $ | 744 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.77 | %(i) | 0.77 | % | 0.79 | % | 0.80 | % | 0.81 | % | 0.81 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.80 | %(i) | 0.80 | % | 0.81 | % | 0.81 | % | 0.82 | % | 0.82 | % | ||||||||||||
Net investment income (loss) | 1.83 | %(i) | 1.33 | % | 1.34 | % | 1.29 | % | 1.28 | % | 1.45 | % | ||||||||||||
Portfolio turnover rate(j) | 14 | % | 28 | % | 33 | % | 40 | % | 33 | % | 37 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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) | Annualized. |
(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 turnover rate may be higher. |
(k) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(l) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%. |
(m) | 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
(unaudited)
Government Income Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019(a) | Year Ended December 31, | |||||||||||||||||||||||
2018(a) | 2017(a) | 2016(a) | 2015(a) | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.70 | $ | 12.62 | $ | 12.26 | $ | 12.00 | $ | 11.92 | $ | 11.30 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.16 | 0.28 | 0.23 | 0.20 | 0.18 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.47 | (0.20 | ) | 0.13 | 0.06 | (0.10 | ) | 0.45 | ||||||||||||||||
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Total from investment operations | 0.63 | 0.08 | 0.36 | 0.26 | 0.08 | 0.66 | ||||||||||||||||||
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Less Dividends and Distributions: | — | — | — | — | — | (0.04 | ) | |||||||||||||||||
Capital Contributions | — | — | (b)(c) | — | — | (c)(d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 13.33 | $ | 12.70 | $ | 12.62 | $ | 12.26 | $ | 12.00 | $ | 11.92 | ||||||||||||
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Total Return(e) | 4.96 | % | 0.63 | %(f) | 2.94 | % | 2.17 | %(f) | 0.67 | % | 5.86 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 244 | $ | 221 | $ | 244 | $ | 226 | $ | 232 | $ | 339 | ||||||||||||
Average net assets (in millions) | $ | 227 | $ | 231 | $ | 252 | $ | 236 | $ | 325 | $ | 341 | ||||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.52 | %(h) | 0.51 | % | 0.53 | % | 0.51 | % | 0.48 | % | 0.47 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.52 | %(h) | 0.51 | % | 0.53 | % | 0.51 | % | 0.48 | % | 0.47 | % | ||||||||||||
Net investment income (loss) | 2.46 | %(h) | 2.28 | % | 1.84 | % | 1.60 | % | 1.48 | % | 1.73 | % | ||||||||||||
Portfolio turnover rate(i)(j) | 147 | % | 284 | % | 495 | % | 705 | % | 746 | % | 830 | % | ||||||||||||
Government Money Market Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019(a) | Year Ended December 31, | |||||||||||||||||||||||
2018(a) | 2017(a) | 2016(a) | 2015(a) | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 10.00 | $ | 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) | 0.10 | 0.15 | 0.06 | 0.01 | — | (c) | — | (c) | ||||||||||||||||
Less Dividends and Distributions: | (0.10 | ) | (0.15 | ) | (0.06 | ) | (0.01 | ) | — | (c) | — | (c) | ||||||||||||
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Net Asset Value, end of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||
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Total Return(e) | 1.04 | % | 1.53 | % | 0.56 | % | 0.10 | % | — | %(k) | — | %(k) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 555 | $ | 536 | $ | 560 | $ | 724 | $ | 651 | $ | 824 | ||||||||||||
Average net assets (in millions) | $ | 543 | $ | 560 | $ | 665 | $ | 717 | $ | 725 | $ | 846 | ||||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.35 | %(h) | 0.35 | % | 0.35 | % | 0.35 | % | 0.19 | % | 0.16 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.35 | %(h) | 0.35 | % | 0.35 | % | 0.35 | % | 0.44 | % | 0.44 | % | ||||||||||||
Net investment income (loss) | 2.11 | %(h) | 1.52 | % | 0.55 | % | 0.09 | % | — | %(k) | — | %(k) |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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) | Annualized. |
(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 turnover rate may be higher. |
(k) | Less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(unaudited)
High Yield Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019(a) | Year Ended December 31, | |||||||||||||||||||||||
2018(a) | 2017(a) | 2016(a) | 2015(a) | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 4.96 | $ | 5.17 | $ | 5.10 | $ | 4.68 | $ | 5.11 | $ | 5.29 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.16 | 0.33 | 0.32 | 0.32 | 0.31 | 0.32 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.39 | (0.39 | ) | 0.07 | 0.42 | (0.42 | ) | (0.18 | ) | |||||||||||||||
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Total from investment operations | 0.55 | (0.06 | ) | 0.39 | 0.74 | (0.11 | ) | 0.14 | ||||||||||||||||
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Less Dividends and Distributions: | — | (0.15 | ) | (0.32 | ) | (0.32 | ) | (0.32 | ) | (0.32 | ) | |||||||||||||
Capital Contributions | — | — | (b)(c) | — | — | (c)(d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 5.51 | $ | 4.96 | $ | 5.17 | $ | 5.10 | $ | 4.68 | $ | 5.11 | ||||||||||||
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Total Return(e) | 10.89 | % | (1.26 | )%(f) | 7.80 | % | 16.24 | %(f) | (2.45 | )% | 2.71 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 512 | $ | 474 | $ | 508 | $ | 3,568 | $ | 3,160 | $ | 3,246 | ||||||||||||
Average net assets (in millions) | $ | 500 | $ | 499 | $ | 3,549 | $ | 3,362 | $ | 3,251 | $ | 3,206 | ||||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.57 | %(h) | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.62 | %(h) | 0.62 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||
Net investment income (loss) | 6.11 | %(h) | 6.50 | % | 6.17 | % | 6.61 | % | 6.21 | % | 5.95 | % | ||||||||||||
Portfolio turnover rate(i) | 30 | % | 47 | % | 54 | %(j) | 39 | % | 46 | % | 48 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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) | Annualized. |
(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 turnover rate may be higher. |
(j) | The Portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities transferred as a result ofin-kind transactions. If such transactions were included, the portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
(unaudited)
Jennison Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019(a) | Year Ended December 31, | |||||||||||||||||||||||
2018(a) | 2017(a) | 2016(a) | 2015(a) | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 61.21 | $ | 61.69 | $ | 45.13 | $ | 45.54 | $ | 40.85 | $ | 37.15 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.09 | 0.13 | 0.13 | 0.10 | 0.06 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 12.89 | (0.61 | ) | 16.43 | (0.55 | ) | 4.63 | 3.64 | ||||||||||||||||
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Total from investment operations | 12.98 | (0.48 | ) | 16.56 | (0.45 | ) | 4.69 | 3.70 | ||||||||||||||||
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Capital Contributions | — | (b)(c) | — | (b)(c) | — | 0.04 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 74.19 | $ | 61.21 | $ | 61.69 | $ | 45.13 | $ | 45.54 | $ | 40.85 | ||||||||||||
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Total Return(e) | 21.21 | %(f) | (0.78 | )%(f) | 36.69 | % | (0.90 | )%(g) | 11.48 | % | 9.96 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,111 | $ | 1,803 | $ | 1,937 | $ | 1,520 | $ | 1,655 | $ | 1,580 | ||||||||||||
Average net assets (in millions) | $ | 2,038 | $ | 2,052 | $ | 1,761 | $ | 1,529 | $ | 1,651 | $ | 1,550 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.62 | %(i) | 0.62 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.62 | %(i) | 0.62 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||
Net investment income (loss) | 0.24 | %(i) | 0.19 | % | 0.25 | % | 0.23 | % | 0.14 | % | 0.15 | % | ||||||||||||
Portfolio turnover rate(j) | 23 | % | 38 | % | 51 | % | 35 | % | 31 | % | 34 | % | ||||||||||||
Jennison Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019(a) | Year Ended December 31, | |||||||||||||||||||||||
2018(a) | 2017(a) | 2016(a) | 2015(a) | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 58.68 | $ | 59.38 | $ | 43.62 | $ | 44.19 | $ | 39.80 | $ | 36.33 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.05 | ) | (0.14 | ) | (0.08 | ) | (0.07 | ) | (0.11 | ) | (0.10 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 12.36 | (0.56 | ) | 15.84 | (0.54 | ) | 4.50 | 3.57 | ||||||||||||||||
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Total from investment operations | 12.31 | (0.70 | ) | 15.76 | (0.61 | ) | 4.39 | 3.47 | ||||||||||||||||
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Capital Contributions | — | (b)(c) | — | (b)(c) | — | 0.04 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 70.99 | $ | 58.68 | $ | 59.38 | $ | 43.62 | $ | 44.19 | $ | 39.80 | ||||||||||||
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Total Return(e) | 20.98 | %(f) | (1.18 | )%(f) | 36.13 | % | (1.29 | )%(g) | 11.03 | % | 9.55 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 64 | $ | 61 | $ | 60 | $ | 41 | $ | 60 | $ | 44 | ||||||||||||
Average net assets (in millions) | $ | 65 | $ | 70 | $ | 49 | $ | 50 | $ | 50 | $ | 41 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.02 | %(i) | 1.02 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.02 | %(i) | 1.02 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||
Net investment income (loss) | (0.16 | )%(i) | (0.22 | )% | (0.16 | )% | (0.17 | )% | (0.26 | )% | (0.25 | )% | ||||||||||||
Portfolio turnover rate(j) | 23 | % | 38 | % | 51 | % | 35 | % | 31 | % | 34 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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 (0.99)% and (1.38)% for Class I and Class II, respectively. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | Annualized. |
(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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
(unaudited)
Natural Resources Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 21.99 | $ | 26.84 | $ | 26.89 | $ | 21.45 | $ | 29.87 | $ | 37.29 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.42 | 0.60 | 0.40 | 0.26 | 0.29 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.55 | (5.46 | ) | (0.45 | ) | 5.15 | (8.71 | ) | (7.65 | ) | ||||||||||||||
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Total from investment operations | 2.97 | (4.86 | ) | (0.05 | ) | 5.41 | (8.42 | ) | (7.42 | ) | ||||||||||||||
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Capital Contributions | — | (b)(c) | 0.01 | (b) | — | 0.03 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 24.96 | $ | 21.99 | $ | 26.84 | $ | 26.89 | $ | 21.45 | $ | 29.87 | ||||||||||||
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Total Return(e) | 13.51 | %(f) | (18.07 | )%(g) | (0.19 | )% | 25.36 | %(h) | (28.19 | )% | (19.90 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 354 | $ | 324 | $ | 425 | $ | 456 | $ | 386 | $ | 589 | ||||||||||||
Average net assets (in millions) | $ | 351 | $ | 398 | $ | 410 | $ | 416 | $ | 515 | $ | 791 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.52 | %(j) | 0.51 | % | 0.52 | % | 0.56 | % | 0.48 | % | 0.45 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.53 | %(j) | 0.52 | % | 0.53 | % | 0.57 | % | 0.51 | % | 0.50 | % | ||||||||||||
Net investment income (loss) | 3.52 | %(j) | 2.30 | % | 1.60 | % | 1.08 | % | 1.06 | % | 0.59 | % | ||||||||||||
Portfolio turnover rate(k) | 40 | % | 108 | % | 114 | % | 140 | % | 29 | % | 24 | % | ||||||||||||
Natural Resources Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 21.26 | $ | 26.06 | $ | 26.20 | $ | 20.99 | $ | 29.35 | $ | 36.78 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.36 | 0.49 | 0.29 | 0.15 | 0.18 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.46 | (5.30 | ) | (0.43 | ) | 5.03 | (8.54 | ) | (7.50 | ) | ||||||||||||||
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Total from investment operations | 2.82 | (4.81 | ) | (0.14 | ) | 5.18 | (8.36 | ) | (7.43 | ) | ||||||||||||||
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Capital Contributions | — | (b)(c) | 0.01 | (b) | — | 0.03 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 24.08 | $ | 21.26 | $ | 26.06 | $ | 26.20 | $ | 20.99 | $ | 29.35 | ||||||||||||
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Total Return(e) | 13.31 | %(f) | (18.42 | )%(g) | (0.53 | )% | 24.82 | %(h) | (28.48 | )% | (20.20 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 52 | $ | 48 | $ | 53 | $ | 42 | $ | 30 | $ | 44 | ||||||||||||
Average net assets (in millions) | $ | 51 | $ | 52 | $ | 48 | $ | 38 | $ | 41 | $ | 52 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.92 | %(j) | 0.91 | % | 0.92 | % | 0.96 | % | 0.88 | % | 0.85 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.93 | %(j) | 0.92 | % | 0.93 | % | 0.97 | % | 0.91 | % | 0.90 | % | ||||||||||||
Net investment income (loss) | 3.12 | %(j) | 1.93 | % | 1.21 | % | 0.64 | % | 0.66 | % | 0.19 | % | ||||||||||||
Portfolioturnover rate(k) | 40 | % | 108 | % | 114 | % | 140 | % | 29 | % | 24 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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 (18.11)% and (18.46)% 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 25.22% and 24.68% for Class I and Class II, respectively. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | Annualized. |
(k) | 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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
(unaudited)
Small Capitalization Stock Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 35.15 | $ | 38.51 | $ | 34.08 | $ | 26.94 | $ | 27.57 | $ | 26.16 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.40 | 0.39 | 0.35 | 0.30 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 4.53 | (3.76 | ) | 4.04 | 6.72 | (0.93 | ) | 1.16 | ||||||||||||||||
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Total from investment operations | 4.75 | (3.36 | ) | 4.43 | 7.07 | (0.63 | ) | 1.41 | ||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | 0.07 | (d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 39.90 | $ | 35.15 | $ | 38.51 | $ | 34.08 | $ | 26.94 | $ | 27.57 | ||||||||||||
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Total Return(e) | 13.51 | % | (8.73 | )%(f) | 13.00 | % | 26.50 | %(g) | (2.29 | )% | 5.39 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 795 | $ | 729 | $ | 850 | $ | 811 | $ | 682 | $ | 751 | ||||||||||||
Average net assets (in millions) | $ | 797 | $ | 871 | $ | 811 | $ | 704 | $ | 732 | $ | 741 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.39 | %(i) | 0.39 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.39 | %(i) | 0.39 | % | 0.40 | % | 0.42 | % | 0.45 | % | 0.45 | % | ||||||||||||
Net investment income (loss) | 1.11 | %(i) | 0.98 | % | 1.11 | % | 1.21 | % | 1.06 | % | 0.96 | % | ||||||||||||
Portfolio turnover rate(j) | 8 | % | 18 | % | 17 | % | 20 | % | 16 | % | 15 | % | ||||||||||||
Stock Index Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 56.64 | $ | 59.38 | $ | 50.70 | $ | 48.59 | $ | 49.33 | $ | 47.02 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.54 | 1.00 | 0.92 | 0.89 | 0.86 | 0.79 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 9.83 | (3.74 | ) | 9.75 | 4.52 | (0.26 | ) | 5.20 | ||||||||||||||||
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Total from investment operations | 10.37 | (2.74 | ) | 10.67 | 5.41 | 0.60 | 5.99 | |||||||||||||||||
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Less Dividends and Distributions: | — | — | (1.99 | ) | (3.37 | ) | (1.34 | ) | (3.68 | ) | ||||||||||||||
Capital Contributions | — | — | — | 0.07 | (d) | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 67.01 | $ | 56.64 | $ | 59.38 | $ | 50.70 | $ | 48.59 | $ | 49.33 | ||||||||||||
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Total Return(e) | 18.31 | % | (4.61 | )% | 21.46 | % | 11.83 | %(k) | 1.18 | % | 13.31 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,339 | $ | 3,672 | $ | 3,928 | $ | 3,305 | $ | 3,010 | $ | 3,313 | ||||||||||||
Average net assets (in millions) | $ | 4,140 | $ | 4,051 | $ | 3,630 | $ | 3,122 | $ | 3,299 | $ | 3,076 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.31 | %(i) | 0.31 | % | 0.32 | % | 0.32 | % | 0.32 | % | 0.32 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.31 | %(i) | 0.31 | % | 0.32 | % | 0.34 | % | 0.37 | % | 0.37 | % | ||||||||||||
Net investment income (loss) | 1.72 | %(i) | 1.63 | % | 1.69 | % | 1.84 | % | 1.74 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate(j) | 1 | % | 4 | % | 4 | % | 5 | % | 9 | % | 5 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(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 26.24%. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | Annualized. |
(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 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 11.69%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
(unaudited)
Value Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 28.55 | $ | 31.68 | $ | 27.08 | $ | 24.31 | $ | 26.48 | $ | 24.05 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.34 | 0.56 | 0.47 | 0.46 | 0.39 | 0.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 4.35 | (3.71 | ) | 4.13 | 2.28 | (2.56 | ) | 2.14 | ||||||||||||||||
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Total from investment operations | 4.69 | (3.15 | ) | 4.60 | 2.74 | (2.17 | ) | 2.43 | ||||||||||||||||
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Capital Contributions | — | (b)(c) | 0.02 | (b) | — | 0.03 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 33.24 | $ | 28.55 | $ | 31.68 | $ | 27.08 | $ | 24.31 | $ | 26.48 | ||||||||||||
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Total Return(e) | 16.43 | %(f) | (9.88 | )%(g) | 16.99 | % | 11.39 | %(h) | (8.19 | )% | 10.10 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,369 | $ | 1,226 | $ | 1,480 | $ | 1,375 | $ | 1,355 | $ | 1,593 | ||||||||||||
Average net assets (in millions) | $ | 1,339 | $ | 1,417 | $ | 1,413 | $ | 1,290 | $ | 1,493 | $ | 1,584 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.43 | %(j) | 0.43 | % | 0.43 | % | 0.42 | % | 0.43 | % | 0.40 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.43 | %(j) | 0.43 | % | 0.43 | % | 0.42 | % | 0.43 | % | 0.42 | % | ||||||||||||
Net investment income (loss) | 2.14 | %(j) | 1.76 | % | 1.63 | % | 1.90 | % | 1.52 | % | 1.13 | % | ||||||||||||
Portfolio turnover rate(k) | 12 | % | 23 | % | 16 | % | 24 | % | 32 | % | 37 | % | ||||||||||||
Value Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 28.07 | $ | 31.27 | $ | 26.84 | $ | 24.19 | $ | 26.45 | $ | 24.12 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.27 | 0.42 | 0.35 | 0.37 | 0.29 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 4.28 | (3.64 | ) | 4.08 | 2.25 | (2.55 | ) | 2.15 | ||||||||||||||||
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Total from investment operations | 4.55 | (3.22 | ) | 4.43 | 2.62 | (2.26 | ) | 2.33 | ||||||||||||||||
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Capital Contributions | — | (b)(c) | 0.02 | (b) | — | 0.03 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 32.62 | $ | 28.07 | $ | 31.27 | $ | 26.84 | $ | 24.19 | $ | 26.45 | ||||||||||||
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Total Return(e) | 16.21 | %(f) | (10.23 | )%(g) | 16.51 | % | 10.95 | %(h) | (8.54 | )% | 9.66 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 7 | $ | 6 | $ | 8 | $ | 7 | $ | 10 | $ | 11 | ||||||||||||
Average net assets (in millions) | $ | 7 | $ | 7 | $ | 7 | $ | 8 | $ | 10 | $ | 8 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.83 | %(j) | 0.83 | % | 0.83 | % | 0.82 | % | 0.83 | % | 0.80 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.83 | %(j) | 0.83 | % | 0.83 | % | 0.82 | % | 0.83 | % | 0.82 | % | ||||||||||||
Net investment income (loss) | 1.73 | %(j) | 1.36 | % | 1.23 | % | 1.53 | % | 1.12 | % | 0.73 | % | ||||||||||||
Portfolio turnover rate(k) | 12 | % | 23 | % | 16 | % | 24 | % | 32 | % | 37 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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 (9.94)% and (10.29)% 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 11.27% and 10.83% for Class I and Class II, respectively. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | Annualized. |
(k) | 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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June18-19, 2019 (the Meeting) and approved the renewal of the agreements through July 31, 2020, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.
The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on aPortfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., Jennison Associates LLC (Jennison) and QMA LLC (formerly, Quantitative Management Associates LLC) (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolios’ liquidity risk management program. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each
subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for theday-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM Fixed Income, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced.
Other Benefits to PGIM Investments and the Subadvisers
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolios for theone-, three-, five- andten-year periods ended December 31, 2018, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2018. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided, and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Conservative Balanced Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 2nd Quartile | |||||
Actual Management Fees:3rd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Diversified Bond Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Equity Portfolio | ||||||||
Net Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 3rd Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Gross Total Expenses:1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over theone-year period, though it underperformed over the three-, five- andten-year periods. |
• | The Board noted that the Portfolio outperformed its Peer Universe and benchmark index in each of the last two calendar years. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Flexible Managed Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:3rd Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- andten-year periods, though it underperformed its benchmark index over theone-year period. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Global Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:* | ||||||||
Net Total Expenses: * |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that the Manager had contractually agreed to waive 0.032% of its management fee through June 30, 2020. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
* | Note: Quartiles for Actual Management Fees and Net Total Expenses are unavailable because the peer group consists of four funds. |
Government Income Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Government Money Market Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 2nd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the1-day yield for the Portfolio does not fall below 0.00%. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
High Yield Bond Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over theone-, three- and five-year periods, though it underperformed its benchmark index over theten-year period. |
• | The Board noted that PGIM Investments had contractually agreed to cap Portfolio expenses (exclusive of certain fees and expenses) at 0.57% through June 30, 2020. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Jennison Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees:2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over theone-, five- andten-year periods, though it underperformed its benchmark index over the three-year period. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Natural Resources Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 3rd Quartile | 3rd Quartile | 3rd Quartile | |||||
Actual Management Fee:1st Quartile | ||||||||
Net Total Expenses:1st Quartile |
• | The Board noted that the Portfolio underperformed its benchmark index over all periods. |
• | The Board noted that in February 2016, the Portfolio appointed a new subadviser to replace the Portfolio’s prior subadviser, and that as a result, the Portfolio’s longer-term performance was not solely attributable to the Portfolio’s current subadviser. |
• | The Board noted the Portfolio outperformed its Peer Universe median over theone- and three-year period ended March 31, 2019 (which reflects performance achieved by the current portfolio manager). |
• | The Board noted that it would be prudent to allow the Portfolio’s current subadviser to further develop its longer-term performance record. |
• | The Board noted that the Manager had contractually agreed to waive 0.008% of its management fee through June 30, 2020. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be prudent to allow the new subadviser time to develop a performance record, and that it would be in the best interests of the Portfolio and its shareholders to renew the management agreement, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Small Capitalization Stock Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Stock Index Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:4th Quartile | ||||||||
Net Total Expenses:4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Value Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 4th Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Net Total Expenses:1st Quartile |
• | The Board noted that the Portfolio underperformed its benchmark index over all periods. |
• | The Board further noted information provided by the Manager indicating that the Portfolio’s recent performance had shown improvement, with the Portfolio outperforming its benchmark index and Peer Universe median in the first quarter of 2019, as well as over the three-year period ended March 31, 2019 (which reflects entirely performance achieved by the current portfolio manager). |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) atwww.sec.gov and on the Fund’s website atwww.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website atwww.sec.gov or call (800) SEC-0330.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
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Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2019 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.
PSF-SAR-A
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2019, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
SP International Growth Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2019 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2019 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual 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 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
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. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2019 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2019 |
SP International Growth Portfolio |
| |||||||
Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
Alibaba Group Holding Ltd. | Internet & Direct Marketing Retail | China | 2.6% | |||||
AIA Group Ltd. | Insurance | Hong Kong | 2.2% | |||||
LVMH Moet Hennessy Louis Vuitton SE | Textiles, Apparel & Luxury Goods | France | 2.2% | |||||
Safran SA | Aerospace & Defense | France | 2.1% | |||||
Airbus SE | Aerospace & Defense | France | 1.9% | |||||
L’Oreal SA | Personal Products | France | 1.8% | |||||
Adyen NV | IT Services | Netherlands | 1.7% | |||||
HDFC Bank Ltd. | Banks | India | 1.7% | |||||
Tencent Holdings Ltd. | Interactive Media & Services | China | 1.7% | |||||
Experian PLC | Professional Services | United Kingdom | 1.6% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2019 |
As a contract owner investing in the Portfolio 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 January 1, 2019 through June 30, 2019.
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 Portfolio | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP International Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,212.60 | 1.01 | % | $ | 5.54 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.79 | 1.01 | % | $ | 5.06 | ||||||||||
SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,211.20 | 1.41 | % | $ | 7.73 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,017.80 | 1.41 | % | $ | 7.05 |
* 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 181 days in the six-month period ended June 30, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP INTERNATIONAL GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.4% | ||||||||
COMMON STOCKS — 96.1% | Shares | Value | ||||||
Argentina — 1.0% | ||||||||
MercadoLibre, Inc.* | 1,312 | $ | 802,642 | |||||
|
| |||||||
Australia — 2.7% | ||||||||
Aristocrat Leisure Ltd. | 14,660 | 315,988 | ||||||
Cochlear Ltd. | 3,828 | 556,718 | ||||||
CSL Ltd. | 3,892 | 588,648 | ||||||
Insurance Australia Group Ltd. | 34,401 | 199,397 | ||||||
Macquarie Group Ltd. | 6,604 | 581,250 | ||||||
|
| |||||||
2,242,001 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
BAWAG Group AG, 144A* | 8,478 | 356,021 | ||||||
|
| |||||||
Belgium — 0.4% | ||||||||
KBC Group NV | 5,172 | 339,483 | ||||||
|
| |||||||
Canada — 5.2% | ||||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 5,127 | 322,642 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 12,858 | 614,355 | ||||||
Canadian National Railway Co. | 8,105 | 750,125 | ||||||
Dollarama, Inc. | 9,781 | 344,096 | ||||||
Rogers Communications, Inc. (Class B Stock) | 6,879 | 368,232 | ||||||
Shopify, Inc. (Class A Stock)* | 3,042 | 913,056 | ||||||
Suncor Energy, Inc. | 9,828 | 306,574 | ||||||
Toronto-Dominion Bank (The) | 10,898 | 636,795 | ||||||
|
| |||||||
4,255,875 | ||||||||
|
| |||||||
China — 7.9% | ||||||||
Alibaba Group Holding Ltd., ADR* | 12,767 | 2,163,368 | ||||||
China Merchants Bank Co. Ltd. (Class H Stock) | 120,000 | 598,915 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. (Class A Stock) | 42,060 | 404,268 | ||||||
Kweichow Moutai Co. Ltd. (Class A Stock) | 6,576 | 942,261 | ||||||
NetEase, Inc., ADR | 1,663 | 425,346 | ||||||
Tencent Holdings Ltd. | 30,288 | 1,367,925 | ||||||
Wuxi Biologics Cayman, Inc., 144A* | 60,938 | 549,420 | ||||||
|
| |||||||
6,451,503 | ||||||||
|
| |||||||
Denmark — 1.9% | ||||||||
Coloplast A/S (Class B Stock) | 4,477 | 505,760 | ||||||
DSV A/S | 2,348 | 230,679 | ||||||
Novo Nordisk A/S (Class B Stock) | 7,385 | 376,763 | ||||||
Orsted A/S, 144A | 5,569 | 481,006 | ||||||
|
| |||||||
1,594,208 | ||||||||
|
| |||||||
Finland — 0.2% | ||||||||
Neste OYJ | 3,932 | 133,798 | ||||||
|
| |||||||
France — 14.4% | ||||||||
Air Liquide SA | 1,557 | 217,955 | ||||||
Airbus SE | 11,245 | 1,595,605 | ||||||
Arkema SA | 1,670 | 155,485 | ||||||
Capgemini SE | 4,416 | 548,755 | ||||||
Dassault Systemes SE | 6,856 | 1,094,848 | ||||||
Kering SA | 846 | 499,265 | ||||||
L’Oreal SA | 5,171 | 1,472,451 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 4,213 | 1,793,825 |
COMMON STOCKS (continued) | Shares | Value | ||||||
France (continued) | ||||||||
Pernod Ricard SA | 6,434 | $ | 1,186,139 | |||||
Remy Cointreau SA(a) | 4,175 | 602,529 | ||||||
Safran SA | 11,488 | 1,684,735 | ||||||
Schneider Electric SE | 2,446 | 221,891 | ||||||
SPIE SA | 9,989 | 185,937 | ||||||
TOTAL SA | 8,720 | 488,519 | ||||||
Valeo SA | 1,056 | 34,308 | ||||||
|
| |||||||
11,782,247 | ||||||||
|
| |||||||
Germany — 5.7% | ||||||||
adidas AG | 2,202 | 680,370 | ||||||
Brenntag AG | 6,153 | 303,412 | ||||||
Continental AG | 1,597 | 232,716 | ||||||
CTS Eventim AG & Co. KGaA | 7,658 | 356,787 | ||||||
Deutsche Boerse AG | 1,372 | 194,147 | ||||||
Gerresheimer AG | 5,060 | 373,047 | ||||||
Infineon Technologies AG | 37,899 | 668,837 | ||||||
Rational AG | 469 | 323,981 | ||||||
SAP SE | 6,054 | 831,737 | ||||||
SAP SE, ADR | 3,422 | 468,129 | ||||||
Scout24 AG, 144A | 4,435 | 235,711 | ||||||
|
| |||||||
4,668,874 | ||||||||
|
| |||||||
Hong Kong — 3.5% | ||||||||
AIA Group Ltd. | 167,910 | 1,815,611 | ||||||
Techtronic Industries Co. Ltd. | 132,440 | 1,016,634 | ||||||
|
| |||||||
2,832,245 | ||||||||
|
| |||||||
India — 1.7% | ||||||||
HDFC Bank Ltd., ADR | 10,682 | 1,389,087 | ||||||
|
| |||||||
Ireland — 2.1% | ||||||||
AerCap Holdings NV* | 8,460 | 440,005 | ||||||
CRH PLC | 9,677 | 315,639 | ||||||
Kerry Group PLC (Class A Stock) | 3,487 | 416,098 | ||||||
Kingspan Group PLC | 9,567 | 519,422 | ||||||
|
| |||||||
1,691,164 | ||||||||
|
| |||||||
Israel — 1.1% | ||||||||
Check Point Software Technologies Ltd.*(a) | 8,150 | 942,221 | ||||||
|
| |||||||
Italy — 2.5% | ||||||||
Brunello Cucinelli SpA | 19,082 | 644,272 | ||||||
Ferrari NV | 7,533 | 1,221,465 | ||||||
Nexi SpA, 144A* | 16,990 | 175,289 | ||||||
|
| |||||||
2,041,026 | ||||||||
|
| |||||||
Japan — 7.6% | ||||||||
Bridgestone Corp. | 8,200 | 323,428 | ||||||
Daikin Industries Ltd. | 6,500 | 852,114 | ||||||
Hoya Corp. | 5,400 | 415,104 | ||||||
Kao Corp. | 4,100 | 313,329 | ||||||
Keyence Corp. | 1,850 | 1,140,775 | ||||||
Kose Corp. | 2,400 | 403,852 | ||||||
Nitori Holdings Co. Ltd. | 2,700 | 358,374 | ||||||
Persol Holdings Co. Ltd. | 10,100 | 238,150 | ||||||
Sanwa Holdings Corp. | 27,100 | 291,944 | ||||||
Shionogi & Co. Ltd. | 6,600 | 380,837 | ||||||
Shiseido Co. Ltd. | 7,000 | 529,568 | ||||||
SMC Corp. | 1,600 | 599,591 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (continued) | ||||||||
Terumo Corp. | 1,400 | $ | 41,851 | |||||
Toyota Motor Corp. | 5,300 | 329,658 | ||||||
|
| |||||||
6,218,575 | ||||||||
|
| |||||||
Luxembourg — 0.3% | ||||||||
Tenaris SA | 16,909 | 221,686 | ||||||
|
| |||||||
Macau — 0.5% | ||||||||
Galaxy Entertainment Group Ltd. | 56,000 | 377,590 | ||||||
|
| |||||||
Netherlands — 5.4% | ||||||||
Adyen NV, 144A* | 1,822 | 1,407,525 | ||||||
ASML Holding NV | 5,898 | 1,230,476 | ||||||
Heineken NV | 3,661 | 408,319 | ||||||
Koninklijke Philips NV | 14,206 | 617,958 | ||||||
NXP Semiconductors NV | 2,952 | 288,145 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 15,819 | 516,468 | ||||||
|
| |||||||
4,468,891 | ||||||||
|
| |||||||
Portugal — 0.2% | ||||||||
Galp Energia SGPS SA | 13,045 | 200,895 | ||||||
|
| |||||||
Singapore — 0.5% | ||||||||
DBS Group Holdings Ltd. | 20,700 | 397,113 | ||||||
|
| |||||||
South Africa — 0.3% | ||||||||
Bid Corp. Ltd. | 10,190 | 221,748 | ||||||
|
| |||||||
Spain — 1.3% | ||||||||
ACS Actividades de Construccion y Servicios SA(a) | 13,111 | 523,571 | ||||||
Amadeus IT Group SA | 7,170 | 568,912 | ||||||
|
| |||||||
1,092,483 | ||||||||
|
| |||||||
Sweden — 1.6% | ||||||||
Assa Abloy AB (Class B Stock) | 9,184 | 207,605 | ||||||
Atlas Copco AB (Class A Stock) | 16,814 | 537,267 | ||||||
Hexagon AB (Class B Stock) | 7,936 | 441,100 | ||||||
Swedbank AB (Class A Stock) | 8,893 | 133,658 | ||||||
|
| |||||||
1,319,630 | ||||||||
|
| |||||||
Switzerland — 10.7% | ||||||||
Alcon, Inc.* | 2,795 | 173,065 | ||||||
Cie Financiere Richemont SA | 3,104 | �� | 263,159 | |||||
Givaudan SA | 390 | 1,102,181 | ||||||
Julius Baer Group Ltd.* | 6,439 | 286,315 | ||||||
Lonza Group AG* | 2,851 | 964,056 | ||||||
Novartis AG | 13,975 | 1,275,537 | ||||||
Partners Group Holding AG | 1,065 | 837,166 | ||||||
Roche Holding AG | 1,820 | 512,449 | ||||||
SGS SA | 124 | 315,801 | ||||||
SIG Combibloc Group AG* | 21,610 | 249,433 | ||||||
Sika AG | 2,509 | 429,135 | ||||||
Sonova Holding AG | 2,214 | 503,530 | ||||||
Straumann Holding AG | 1,128 | 996,944 | ||||||
Temenos AG* | 3,150 | 564,086 | ||||||
UBS Group AG* | 25,031 | 297,675 | ||||||
|
| |||||||
8,770,532 | ||||||||
|
| |||||||
Taiwan — 0.8% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 90,000 | 689,465 | ||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Thailand — 0.5% | ||||||||
Sea Ltd., ADR*(a) | 13,143 | $ | 436,610 | |||||
|
| |||||||
United Kingdom — 11.1% |
| |||||||
Abcam PLC | 7,146 | 133,957 | ||||||
Ashtead Group PLC | 19,684 | 564,628 | ||||||
AstraZeneca PLC | 5,309 | 433,787 | ||||||
Bunzl PLC | 18,335 | 483,858 | ||||||
Compass Group PLC | 43,477 | 1,042,455 | ||||||
DCC PLC | 3,603 | 321,749 | ||||||
Diageo PLC | 13,739 | 591,661 | ||||||
Electrocomponents PLC | 2,375 | 19,103 | ||||||
Experian PLC | 44,284 | 1,341,869 | ||||||
Fevertree Drinks PLC | 6,066 | 178,976 | ||||||
London Stock Exchange Group PLC | 11,009 | 767,970 | ||||||
Prudential PLC | 18,776 | 409,708 | ||||||
Reckitt Benckiser Group PLC | 4,256 | 335,845 | ||||||
RELX PLC | 41,785 | 1,014,683 | ||||||
Rentokil Initial PLC | 55,295 | 279,439 | ||||||
Segro PLC, REIT | 45,545 | 422,500 | ||||||
Spectris PLC | 5,863 | 214,526 | ||||||
St. James’s Place PLC | 40,820 | 569,868 | ||||||
|
| |||||||
9,126,582 | ||||||||
|
| |||||||
United States — 4.6% | ||||||||
Aon PLC | 2,172 | 419,153 | ||||||
Core Laboratories NV | 1,903 | 99,489 | ||||||
Ferguson PLC | 10,861 | 773,168 | ||||||
Lululemon Athletica, Inc.* | 6,706 | 1,208,488 | ||||||
Samsonite International SA, 144A* | 156,592 | 360,379 | ||||||
Sensata Technologies Holding PLC* | 9,114 | 446,586 | ||||||
Spotify Technology SA* | 3,410 | 498,610 | ||||||
|
| |||||||
3,805,873 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 78,870,068 | ||||||
|
| |||||||
PREFERRED STOCK — 1.3% |
| |||||||
Germany | ||||||||
Sartorius AG (PRFC) | 5,073 | 1,041,218 | ||||||
|
| |||||||
(cost $401,980) | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 79,911,286 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 4.6% |
| |||||||
AFFILIATED MUTUAL FUNDS — 3.8% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 827,994 | 827,994 | ||||||
PGIM Institutional Money Market Fund (cost $2,291,184; includes $2,287,769 of cash collateral for securities on loan)(b)(w) | 2,290,743 | 2,291,430 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 3,119,424 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Shares | Value | |||||||
UNAFFILIATED FUND — 0.8% | ||||||||
BlackRock Liquidity Funds FedFund | 703,366 | $ | 703,366 | |||||
|
| |||||||
(cost $703,366) | ||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 3,822,790 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 102.0% |
| 83,734,076 | ||||||
LIABILITIES IN EXCESS OF |
| (1,669,606 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 82,064,470 | |||||
|
|
Below is a list of the abbreviation(s) used in the semiannual report:
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. |
ADR | American Depositary Receipt | |
LIBOR | London Interbank Offered Rate | |
OTC | Over-the-counter | |
PRFC | Preference Shares | |
REIT(s) | Real Estate Investment Trust(s) |
* | 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 $2,229,489; cash collateral of $2,287,769 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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. |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Argentina | $ | 802,642 | $ | — | $ | — | ||||||
Australia | — | 2,242,001 | — | |||||||||
Austria | — | 356,021 | — | |||||||||
Belgium | — | 339,483 | — | |||||||||
Canada | 4,255,875 | — | — | |||||||||
China | 2,588,714 | 3,862,789 | — | |||||||||
Denmark | — | 1,594,208 | — | |||||||||
Finland | — | 133,798 | — | |||||||||
France | — | 11,782,247 | — | |||||||||
Germany | 468,129 | 4,200,745 | — | |||||||||
Hong Kong | — | 2,832,245 | — | |||||||||
India | 1,389,087 | — | — | |||||||||
Ireland | 440,005 | 1,251,159 | — | |||||||||
Israel | 942,221 | — | — | |||||||||
Italy | — | 2,041,026 | — | |||||||||
Japan | — | 6,218,575 | — | |||||||||
Luxembourg | — | 221,686 | — | |||||||||
Macau | — | 377,590 | — | |||||||||
Netherlands | 288,145 | 4,180,746 | — | |||||||||
Portugal | — | 200,895 | — | |||||||||
Singapore | — | 397,113 | — | |||||||||
South Africa | — | 221,748 | — | |||||||||
Spain | — | 1,092,483 | — | |||||||||
Sweden | — | 1,319,630 | — | |||||||||
Switzerland | — | 8,770,532 | — | |||||||||
Taiwan | — | 689,465 | — | |||||||||
Thailand | 436,610 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
United Kingdom | $ | — | $ | 9,126,582 | $ | — | ||||||
United States | 2,672,326 | 1,133,547 | — | |||||||||
Preferred Stock | ||||||||||||
Germany | — | 1,041,218 | — | |||||||||
Affiliated Mutual Funds | 3,119,424 | — | — | |||||||||
Unaffiliated Fund | 703,366 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 18,106,544 | $ | 65,627,532 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Textiles, Apparel & Luxury Goods | 6.6 | % | ||
Health Care Equipment & Supplies | 6.0 | |||
Capital Markets | 5.0 | |||
Beverages | 4.8 | |||
Software | 4.7 | |||
Banks | 4.7 | |||
IT Services | 4.4 | |||
Pharmaceuticals | 4.1 | |||
Aerospace & Defense | 4.0 | |||
Affiliated Mutual Funds (2.8% represents investments purchased with collateral from securities on loan) | 3.8 | |||
Internet & Direct Marketing Retail | 3.6 | |||
Professional Services | 3.5 | |||
Semiconductors & Semiconductor Equipment | 3.4 | |||
Insurance | 3.4 | |||
Personal Products | 3.3 | |||
Trading Companies & Distributors | 3.2 | |||
Machinery | 3.1 | |||
Life Sciences Tools & Services | 2.4 | |||
Chemicals | 2.3 | |||
Building Products | 2.2 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
Hotels, Restaurants & Leisure | 2.2 | |||
Entertainment | 2.0 | |||
Oil, Gas & Consumable Fuels | 2.0 |
Interactive Media & Services | 2.0 | % | ||
Automobiles | 1.9 | |||
Road & Rail | 1.2 | |||
Biotechnology | 0.9 | |||
Electrical Equipment | 0.9 | |||
Unaffiliated Fund | 0.8 | |||
Auto Components | 0.7 | |||
Food & Staples Retailing | 0.7 | |||
Construction & Engineering | 0.6 | |||
Electric Utilities | 0.6 | |||
Commercial Services & Supplies | 0.6 | |||
Equity Real Estate Investment Trusts (REITs) | 0.5 | |||
Food Products | 0.5 | |||
Wireless Telecommunication Services | 0.5 | |||
Specialty Retail | 0.4 | |||
Multiline Retail | 0.4 | |||
Household Products | 0.4 | |||
Industrial Conglomerates | 0.4 | |||
Energy Equipment & Services | 0.4 | |||
Construction Materials | 0.4 | |||
Containers & Packaging | 0.3 | |||
|
| |||
102.0 | ||||
Liabilities in excess of other assets | (2.0 | ) | ||
|
| |||
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 toset-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 | $ | 2,229,489 | $ | (2,229,489 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $2,229,489: | ||||
Unaffiliated investments (cost $58,540,388) | $ | 80,614,652 | ||
Affiliated investments (cost $3,119,178) | 3,119,424 | |||
Foreign currency, at value (cost $68,317) | 69,864 | |||
Receivable for investments sold | 634,806 | |||
Tax reclaim receivable | 385,971 | |||
Dividends and interest receivable | 123,581 | |||
Receivable for Portfolio shares sold | 835 | |||
Receivable from affiliate | 558 | |||
Prepaid expenses and other assets | 833 | |||
|
| |||
Total Assets | 84,950,524 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 2,287,769 | |||
Payable for investments purchased | 224,392 | |||
Payable to affiliate | 196,942 | |||
Accrued expenses and other liabilities | 120,799 | |||
Management fee payable | 40,786 | |||
Payable for Portfolio shares repurchased | 13,437 | |||
Affiliated transfer agent fee payable | 980 | |||
Payable to custodian | 906 | |||
Distribution fee payable | 27 | |||
Administration fee payable | 16 | |||
|
| |||
Total Liabilities | 2,886,054 | |||
|
| |||
NET ASSETS | $ | 82,064,470 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 82,064,470 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $81,927,133 / 9,636,605 outstanding shares of beneficial interest | $ | 8.50 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $137,337 / 16,748 outstanding shares of beneficial interest | $ | 8.20 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $98,852 foreign withholding tax, of which $2,979 is reimbursable by an affiliate) | $ | 931,912 | ||
Affiliated dividend income | 18,311 | |||
Income from securities lending, net (including affiliated income of $4,651) | 8,940 | |||
|
| |||
Total income | 959,163 | |||
|
| |||
EXPENSES | ||||
Management fee | 329,376 | |||
Distribution fee—Class II | 161 | |||
Administration fee—Class II | 97 | |||
Custodian and accounting fees | 86,982 | |||
Shareholders’ reports | 25,389 | |||
Audit fee | 15,025 | |||
Legal fees and expenses | 5,599 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,299 | |||
Trustees’ fees | 5,272 | |||
Miscellaneous | 11,017 | |||
|
| |||
Total expenses | 484,217 | |||
Less: Fee waivers and/or expense reimbursement | (92,582 | ) | ||
|
| |||
Net expenses | 391,635 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 567,528 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $969) | 1,399,128 | |||
Foreign currency transactions | (1,347 | ) | ||
|
| |||
1,397,781 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $267) | 12,817,758 | |||
Foreign currencies | (5,442 | ) | ||
|
| |||
12,812,316 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 14,210,097 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 14,777,625 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 567,528 | $ | 683,634 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 1,397,781 | 3,665,756 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 12,812,316 | (14,941,382 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 14,777,625 | (10,591,992 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 1,431,445 | 5,226,397 | ||||||
Portfolio shares repurchased | (4,485,009 | ) | (8,903,625 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (3,053,564 | ) | (3,677,228 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | 87,941 | 87,325 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 11,812,002 | (14,181,895 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 70,252,468 | 84,434,363 | ||||||
|
|
|
| |||||
End of period | $ | 82,064,470 | $ | 70,252,468 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP International Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio.
The investment objective of the Portfolio is long-term growth of capital.
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. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The 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 the 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 reportingperiod-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 Portfolio’s 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 and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 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.
B1
Investments inopen-end,non-exchange-traded mutual 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 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.
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.
Illiquid Securities: Pursuant to Rule22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on forward currency transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s 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.
B2
Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, 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 the 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 Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right toset-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 toset-off the amount owed with the amount owed by the other party, the reporting party intends toset-off and the right ofset-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.
Securities Lending: The Portfolio lends its 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. 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. 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 on the Statement of Operations as “Income from securities lending, net”.
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 theex-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. 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, the Portfolio is treated as a separate taxpaying entity. The 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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 as referenced in Note 3. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on theex-date.
B3
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 Portfolio, has a management agreement with PGIM Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadviser’s performance of such services. The Manager has entered into separate subadvisory agreements with each of Jennison Associates LLC (“Jennison”), Neuberger Berman Investment Advisors, LLC and William Blair & Company LLC (collectively, the “subadvisers”), under which the subadvisers provide investment advisory services for the Portfolio. The Manager pays for the services of the subadvisers, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets of the Fund. The Manager has contractually agreed through June 30, 2020 to waive a portion of its management fee equal to an annual rate of 0.019% of the average daily net assets of the Portfolio. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.
The Manager has contractually agreed through June 30, 2020 to limit the net annual operating expenses (exclusive of distribution and service(12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 1.01% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year. The effective management fee rate net of waivers and/or expense reimbursements was 0.61% for the reporting period ended June 30, 2019.
The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), 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 Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolio. 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 Portfolio, 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 June 30, 2019, brokerage commission recaptured under these agreements was $1,480.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“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 certainout-of-pocket expenses paid tonon-affiliates, where applicable.
B4
The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approvedRule 17a-7 procedures. Rule17a-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 Rule17a-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 such17a-7 transactions were effected in accordance with the Series Fund’s Rule17a-7 procedures. For the reporting period ended June 30, 2019, no17a-7 transactions were entered into by the Portfolio.
In March 2019, the Portfolio was reimbursed by the Investment Manager for costs incurred due to a portfolio allocation error. The reimbursement amount is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the period ended June 30, 2019.
Portfolio | Capital Contributions | |||
SP International Growth | $ | 12 |
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“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 Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolio’s “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
B5
methodology was subsequently reviewed by a consultant retained by the Series Fund’s independent trustees. In May 2019, Prudential made an additional payments to the Portfolios relating to the opportunity loss upon the final review of the methodology used for the Portfolio’s rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payment for the Portfolio are disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018 and for the six months ended June 30, 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.
During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process 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 amount has been accrued or paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolio’s status as partnership for tax purposes.
Portfolio | 2019 Withholding Tax | |||
SP International Growth | $ | 2,979 |
The following amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as partnerships for tax purposes.
Portfolio | 2019 Payments | |||
SP International Growth | $ | 27,174 |
The following amount has been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences as described above for certain countries due to the Portfolio’s status as partnerships for tax purposes.
Portfolio | Opportunity Loss | |||
SP International Growth | $ | 87,929 |
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 reporting period ended June 30, 2019, were $12,443,754 and $14,991,970, respectively.
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A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 940,237 | $ | 8,236,546 | $ | 8,348,789 | $ | — | $ | — | $ | 827,994 | 827,994 | $ | 18,311 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
4,201,382 | 17,846,084 | 19,757,272 | 267 | 969 | 2,291,430 | 2,290,743 | 4,651 | ** | ||||||||||||||||||||||
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$ | 5,141,619 | $ | 26,082,630 | $ | 28,106,061 | $ | 267 | $ | 969 | $ | 3,119,424 | $ | 22,962 | |||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | This amount is included in “Income from securities lending, net” on the Statement of Operations. |
5. | Tax Information |
The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 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 the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. | Borrowings |
The Series Fund, on behalf of the Portfolio, along with other affiliated registered investment companies (the “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 SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The Fund’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.
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 Funds in the SCA equitably.
The Portfolio did not utilize the SCA during the reporting period ended June 30, 2019.
7. | Capital and Ownership |
The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance
B7
and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts ofnon-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts ofnon-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. As of June 30, 2019, the Portfolio has Class II shares outstanding. The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
As of June 30, 2019, all shares of the Portfolio were owned of record by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”), Pruco Life Insurance Company (“PRU LIFE”) and Pruco Life Insurance Company (“SKANDIA LIFE”) on behalf of the owners of the variable insurance products issued by each of these entities.
In addition, the following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares:
Portfolio | Number of Shareholders | % of Outstanding Shares | % held by an Affiliate of Prudential | |||||||||
SP International Growth | 4 | 100 | 100 |
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 185,125 | $ | 1,431,445 | |||||
Portfolio shares repurchased | (559,846 | ) | (4,479,406 | ) | ||||
Capital contributions | — | 87,794 | ||||||
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Net increase (decrease) in shares outstanding | (374,721 | ) | $ | (2,960,167 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 650,361 | $ | 5,226,397 | |||||
Portfolio shares repurchased | (1,104,289 | ) | (8,893,515 | ) | ||||
Capital contributions | — | 87,174 | ||||||
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Net increase (decrease) in shares outstanding | (453,928 | ) | $ | (3,579,944 | ) | |||
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Six months ended June 30, 2019: | ||||||||
Portfolio shares repurchased | (752 | ) | $ | (5,603 | ) | |||
Capital contributions | — | 147 | ||||||
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Net increase (decrease) in shares outstanding | (752 | ) | $ | (5,456 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares repurchased | (1,392 | ) | $ | (10,110 | ) | |||
Capital contributions | — | 151 | ||||||
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Net increase (decrease) in shares outstanding | (1,392 | ) | $ | (9,959 | ) | |||
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8. | Risks of Investing in the Portfolio |
The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below:
Emerging Markets and Foreign Securities Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets.
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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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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.
Geographic Concentration Risk: The Portfolio’s performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. 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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.
9. | Recent Accounting Pronouncements and Reporting Updates |
In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolio’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.
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Financial Highlights
(unaudited)
SP International Growth Portfolio—Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period. | $ | 7.01 | $ | 8.05 | $ | 5.92 | $ | 6.14 | $ | 5.94 | $ | 6.30 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.06 | 0.07 | 0.05 | 0.05 | 0.03 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.42 | (1.12 | ) | 2.08 | (0.28 | ) | 0.17 | (0.39 | ) | |||||||||||||||
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Total from investment operations | 1.48 | (1.05 | ) | 2.13 | (0.23 | ) | 0.20 | (0.36 | ) | |||||||||||||||
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Capital Contributions | 0.01 | (b)(c) | 0.01 | (c) | — | 0.01 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 8.50 | $ | 7.01 | $ | 8.05 | $ | 5.92 | $ | 6.14 | $ | 5.94 | ||||||||||||
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Total Return(e) | 21.26 | %(f) | (12.92 | )%(g) | 35.98 | % | (3.58 | )%(h) | 3.37 | % | (5.71 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 81.9 | $ | 70.1 | $ | 84.3 | $ | 63.9 | $ | 71.5 | $ | 74.5 | ||||||||||||
Average net assets (in millions) | $ | 78.0 | $ | 81.8 | $ | 75.1 | $ | 66.7 | $ | 76.2 | $ | 80.2 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.01 | %(j) | 1.01 | % | 1.01 | % | 1.03 | % | 1.22 | % | 1.23 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.25 | %(j) | 1.20 | % | 1.34 | % | 1.25 | % | 1.23 | % | 1.24 | % | ||||||||||||
Net investment income (loss) | 1.47 | %(j) | 0.83 | % | 0.67 | % | 0.80 | % | 0.51 | % | 0.55 | % | ||||||||||||
Portfolio turnover rate(k) | 16 | % | 37 | % | 45 | % | 57 | % | 48 | % | 55 | % | ||||||||||||
SP International Growth Portfolio—Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period. | $ | 6.77 | $ | 7.81 | $ | 5.76 | $ | 6.01 | $ | 5.83 | $ | 6.21 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.04 | 0.03 | 0.03 | 0.04 | 0.01 | 0.01 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.38 | (1.08 | ) | 2.02 | (0.30 | ) | 0.17 | (0.39 | ) | |||||||||||||||
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Total from investment operations | 1.42 | (1.05 | ) | 2.05 | (0.26 | ) | 0.18 | (0.38 | ) | |||||||||||||||
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Capital Contributions | 0.01 | (b)(c) | 0.01 | (c) | — | 0.01 | (d) | — | — | |||||||||||||||
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Net Asset Value, end of period | $ | 8.20 | $ | 6.77 | $ | 7.81 | $ | 5.76 | $ | 6.01 | $ | 5.83 | ||||||||||||
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Total Return(e) | 21.12 | %(f) | (13.32 | )%(g) | 35.59 | % | (4.16 | )%(h) | 3.09 | % | (6.12 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.3 | $ | 6.1 | $ | 6.9 | ||||||||||||
Average net assets (in millions) | $ | 0.1 | $ | 0.1 | $ | 0.3 | $ | 4.3 | $ | 6.8 | $ | 7.9 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.41 | %(j) | 1.41 | % | 1.41 | % | 1.43 | % | 1.62 | % | 1.63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.65 | %(j) | 1.60 | % | 1.72 | % | 1.65 | % | 1.63 | % | 1.64 | % | ||||||||||||
Net investment income (loss) | 1.07 | %(j) | 0.44 | % | 0.39 | % | 0.61 | % | 0.13 | % | 0.17 | % | ||||||||||||
Portfolio turnover rate(k) | 16 | % | 37 | % | 45 | % | 57 | % | 48 | % | 55 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(c) | 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. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 21.12% and 20.97% for Class l and Class ll, respectively. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (13.04)% and (13.45)% 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 (3.74)% and (4.33)% for Class I and Class II, respectively. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | Annualized. |
(k) | 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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements: SP International Growth Portfolio
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) and the SP International Growth Portfolio’s (the Portfolio’s) subadvisory agreements. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June18-19, 2019 (the Meeting) and approved the renewal of the agreements through July 31, 2020, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.
The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, the Portfolio and the Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on aPortfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board noted that Jennison Associates LLC (Jennison), which serves as a subadviser to the Portfolio, is affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolio’s liquidity risk management program. With respect to PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM
Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for theday-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolio by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadvisers
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio for theone-, three-, five- andten-year periods ended December 31, 2018, except as otherwise noted below. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2018. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided, and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP International Growth Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 2nd Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that the Manager had contractually agreed to waive 0.019% of its management fee through June 30, 2020. |
• | The Board further noted that the Manager had contractually agreed to cap the Portfolio’s operating expenses at 1.01% (exclusive of certain fees and expenses) through June 30, 2020. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) atwww.sec.gov and on the Fund’s website atwww.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website atwww.sec.gov or call (800) SEC-0330.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3714
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Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call(800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2019 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.
PSF-SAR-SP INTL GROWTH
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2019, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
SP Prudential U.S. Emerging Growth Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2019 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2019 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual 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 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
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. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2019 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2019 |
SP Prudential U.S. Emerging Growth Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Global Payments, Inc. | IT Services | 2.5% | ||||
Waste Connections, Inc. | Commercial Services & Supplies | 2.3% | ||||
O’Reilly Automotive, Inc. | Specialty Retail | 2.2% | ||||
Fiserv, Inc. | IT Services | 1.9% | ||||
Tractor Supply Co. | Specialty Retail | 1.8% | ||||
Ball Corp. | Containers & Packaging | 1.8% | ||||
Advanced Micro Devices, Inc. | Semiconductors & Semiconductor Equipment | 1.7% | ||||
Xilinx, Inc. | Semiconductors & Semiconductor Equipment | 1.6% | ||||
Take-Two Interactive Software, Inc. | Entertainment | 1.5% | ||||
Copart, Inc. | Commercial Services & Supplies | 1.5% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2019 |
As a contract owner investing in the Portfolio 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 January 1, 2019 through June 30, 2019.
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 Portfolio | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Prudential US Emerging Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,274.40 | 0.69 | % | $ | 3.89 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.37 | 0.69 | % | $ | 3.46 | ||||||||||
SP Prudential US Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,272.40 | 1.09 | % | $ | 6.14 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.39 | 1.09 | % | $ | 5.46 |
* 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 181 days in the six-month period ended June 30, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.7% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 1.2% |
| |||||||
HEICO Corp. (Class A Stock) | 30,511 | $ | 3,153,922 | |||||
|
| |||||||
Auto Components — 0.5% |
| |||||||
Aptiv PLC | 17,584 | 1,421,315 | ||||||
|
| |||||||
Automobiles — 0.2% |
| |||||||
Tesla, Inc.*(a) | 1,847 | 412,731 | ||||||
|
| |||||||
Banks — 1.7% |
| |||||||
East West Bancorp, Inc. | 48,260 | 2,257,120 | ||||||
First Republic Bank | 23,580 | 2,302,587 | ||||||
|
| |||||||
4,559,707 | ||||||||
|
| |||||||
Biotechnology — 4.2% |
| |||||||
Agios Pharmaceuticals, Inc.*(a) | 15,811 | 788,653 | ||||||
Alnylam Pharmaceuticals, Inc.* | 12,361 | 896,914 | ||||||
BioMarin Pharmaceutical, Inc.* | 9,725 | 832,946 | ||||||
Exact Sciences Corp.*(a) | 32,741 | 3,864,748 | ||||||
Exelixis, Inc.* | 77,524 | 1,656,688 | ||||||
Intercept Pharmaceuticals, Inc.*(a) | 10,555 | 839,861 | ||||||
Moderna, Inc.*(a) | 33,066 | 484,086 | ||||||
Sage Therapeutics, Inc.*(a) | 10,263 | 1,879,053 | ||||||
|
| |||||||
11,242,949 | ||||||||
|
| |||||||
Building Products — 2.0% |
| |||||||
Fortune Brands Home & Security, Inc. | 44,353 | 2,533,887 | ||||||
Lennox International, Inc.(a) | 9,922 | 2,728,550 | ||||||
|
| |||||||
5,262,437 | ||||||||
|
| |||||||
Capital Markets — 3.5% |
| |||||||
MSCI, Inc. | 9,948 | 2,375,483 | ||||||
Nasdaq, Inc. | 22,438 | 2,157,862 | ||||||
S&P Global, Inc. | 11,612 | 2,645,098 | ||||||
TD Ameritrade Holding Corp. | 44,064 | 2,199,675 | ||||||
|
| |||||||
9,378,118 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.8% |
| |||||||
Copart, Inc.* | 54,610 | 4,081,551 | ||||||
Waste Connections, Inc. | 63,508 | 6,070,095 | ||||||
|
| |||||||
10,151,646 | ||||||||
|
| |||||||
Communications Equipment — 1.1% |
| |||||||
Arista Networks, Inc.* | 10,893 | 2,828,041 | ||||||
|
| |||||||
Construction Materials — 1.5% |
| |||||||
Vulcan Materials Co. | 28,459 | 3,907,705 | ||||||
|
| |||||||
Containers & Packaging — 3.1% |
| |||||||
Avery Dennison Corp. | 31,193 | 3,608,406 | ||||||
Ball Corp. | 66,690 | 4,667,633 | ||||||
|
| |||||||
8,276,039 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
Bright Horizons Family Solutions, Inc.* | 20,807 | 3,139,152 | ||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
AMETEK, Inc. | 40,883 | 3,713,812 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 5.4% |
| |||||||
Amphenol Corp. (Class A Stock) | 39,241 | 3,764,781 | ||||||
Corning, Inc. | 57,411 | 1,907,767 | ||||||
FLIR Systems, Inc. | 31,337 | 1,695,332 | ||||||
Keysight Technologies, Inc.* | 41,307 | 3,709,782 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
Zebra Technologies Corp. | 15,996 | $ | 3,351,002 | |||||
|
| |||||||
14,428,664 | ||||||||
|
| |||||||
Entertainment — 2.7% |
| |||||||
Spotify Technology SA* | 21,556 | 3,151,918 | ||||||
Take-Two Interactive Software, Inc.*(a) | 36,261 | 4,116,712 | ||||||
|
| |||||||
7,268,630 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.2% |
| |||||||
DexCom, Inc.* | 18,677 | 2,798,562 | ||||||
Insulet Corp.*(a) | 20,575 | 2,456,243 | ||||||
ResMed, Inc. | 26,227 | 3,200,481 | ||||||
|
| |||||||
8,455,286 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.7% |
| |||||||
Acadia Healthcare Co., Inc.*(a) | 38,011 | 1,328,484 | ||||||
Centene Corp.* | 45,237 | 2,372,228 | ||||||
WellCare Health Plans, Inc.* | 12,210 | 3,480,705 | ||||||
|
| |||||||
7,181,417 | ||||||||
|
| |||||||
Health Care Technology — 2.5% |
| |||||||
Teladoc Health, Inc.*(a) | 45,096 | 2,994,825 | ||||||
Veeva Systems, Inc. (Class A Stock)* | 22,395 | 3,630,454 | ||||||
|
| |||||||
6,625,279 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
Hilton Worldwide Holdings, Inc. | 36,447 | 3,562,330 | ||||||
Red Rock Resorts, Inc. (Class A Stock) | 66,854 | 1,436,024 | ||||||
|
| |||||||
4,998,354 | ||||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
NVR, Inc.* | 659 | 2,220,995 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
Progressive Corp. (The) | 29,256 | 2,338,432 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.7% |
| |||||||
Wayfair, Inc. (Class A Stock)* | 13,519 | 1,973,774 | ||||||
|
| |||||||
IT Services — 10.6% |
| |||||||
Booz Allen Hamilton Holding Corp. | 58,446 | 3,869,710 | ||||||
Fiserv, Inc.*(a) | 56,262 | 5,128,844 | ||||||
Gartner, Inc.* | 13,650 | 2,196,831 | ||||||
Global Payments, Inc. | 40,666 | 6,511,847 | ||||||
GoDaddy, Inc. (Class A Stock)* | 38,055 | 2,669,558 | ||||||
Okta, Inc.* | 18,707 | 2,310,501 | ||||||
Shopify, Inc. (Canada) (Class A Stock)* | 7,399 | 2,220,810 | ||||||
Square, Inc. (Class A Stock)*(a) | 22,884 | 1,659,776 | ||||||
Worldpay, Inc. (Class A Stock)* | 12,852 | 1,575,013 | ||||||
|
| |||||||
28,142,890 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
Illumina, Inc.* | 5,576 | 2,052,804 | ||||||
|
| |||||||
Machinery — 4.3% |
| |||||||
Ingersoll-Rand PLC | 28,409 | 3,598,568 | ||||||
Nordson Corp. | 13,692 | 1,934,817 | ||||||
Oshkosh Corp. | 14,966 | 1,249,511 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (continued) |
| |||||||
Parker-Hannifin Corp. | 10,028 | $ | 1,704,860 | |||||
Stanley Black & Decker, Inc. | 20,225 | 2,924,737 | ||||||
|
| |||||||
11,412,493 | ||||||||
|
| |||||||
Media — 0.6% |
| |||||||
New York Times Co. (The) (Class A Stock)(a) | 50,934 | 1,661,467 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.9% |
| |||||||
Concho Resources, Inc. | 22,132 | 2,283,580 | ||||||
|
| |||||||
Pharmaceuticals — 2.7% |
| |||||||
Catalent, Inc.* | 44,145 | 2,393,100 | ||||||
Elanco Animal Health, Inc.* | 55,565 | 1,878,097 | ||||||
Jazz Pharmaceuticals PLC* | 20,376 | 2,904,803 | ||||||
|
| |||||||
7,176,000 | ||||||||
|
| |||||||
Professional Services — 3.1% |
| |||||||
CoStar Group, Inc.* | 3,153 | 1,746,951 | ||||||
IHS Markit Ltd.* | 50,164 | 3,196,450 | ||||||
Verisk Analytics, Inc. | 22,398 | 3,280,411 | ||||||
|
| |||||||
8,223,812 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 60,266 | 3,091,646 | ||||||
|
| |||||||
Road & Rail — 1.3% |
| |||||||
Lyft, Inc. (Class A Stock)*(a) | 21,214 | 1,393,972 | ||||||
Old Dominion Freight Line, Inc. | 12,905 | 1,926,200 | ||||||
|
| |||||||
3,320,172 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.2% |
| |||||||
Advanced Micro Devices, Inc.*(a) | 145,103 | 4,406,778 | ||||||
Lam Research Corp. | 19,143 | 3,595,821 | ||||||
Marvell Technology Group Ltd. | 108,490 | 2,589,656 | ||||||
Microchip Technology, Inc.(a) | 18,780 | 1,628,226 | ||||||
Xilinx, Inc.(a) | 37,075 | 4,371,884 | ||||||
|
| |||||||
16,592,365 | ||||||||
|
| |||||||
Software — 11.3% |
| |||||||
Autodesk, Inc.* | 11,021 | 1,795,321 | ||||||
DocuSign, Inc.*(a) | 23,523 | 1,169,328 | ||||||
Fair Isaac Corp.* | 7,358 | 2,310,559 | ||||||
Intuit, Inc. | 10,702 | 2,796,754 | ||||||
Palo Alto Networks, Inc.* | 16,907 | 3,444,970 | ||||||
Paycom Software, Inc.* | 13,458 | 3,051,198 | ||||||
Proofpoint, Inc.* | 21,828 | 2,624,817 | ||||||
ServiceNow, Inc.* | 9,572 | 2,628,184 | ||||||
Slack Technologies, Inc. | 23,701 | 888,787 | ||||||
Splunk, Inc.* | 26,688 | 3,356,016 | ||||||
Synopsys, Inc.* | 30,790 | 3,962,365 | ||||||
Trade Desk, Inc. (The) | 8,570 | 1,952,075 | ||||||
|
| |||||||
29,980,374 | ||||||||
|
| |||||||
Specialty Retail — 6.9% |
| |||||||
American Eagle Outfitters, Inc. | 47,950 | 810,355 | ||||||
National Vision Holdings, Inc.* | 50,335 | 1,546,795 | ||||||
O’Reilly Automotive, Inc.* | 15,748 | 5,816,051 | ||||||
Ross Stores, Inc. | 40,709 | 4,035,076 | ||||||
Tractor Supply Co.(a) | 43,038 | 4,682,535 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail (continued) |
| |||||||
Ulta Beauty, Inc.* | 4,371 | $ | 1,516,256 | |||||
|
| |||||||
18,407,068 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
Lululemon Athletica, Inc.* | 20,965 | 3,778,103 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
W.W. Grainger, Inc. | 1,755 | 470,744 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 259,531,923 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 19.2% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 6,484,495 | 6,484,495 | ||||||
PGIM Institutional Money Market Fund (cost $44,523,144; includes $44,444,275 of cash collateral for securities on loan)(b)(w) | 44,513,223 | 44,526,578 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 51,011,073 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 116.9% |
| 310,542,996 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (16.9)% |
| (44,788,743 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 265,754,253 | |||||
|
|
Below is a list of the abbreviation(s) used in the semiannual report:
LIBOR | London Interbank Offered Rate |
* | 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 $43,834,378; cash collateral of $44,444,275 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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.
A2
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 3,153,922 | $ | — | $ | — | ||||||
Auto Components | 1,421,315 | — | — | |||||||||
Automobiles | 412,731 | — | — | |||||||||
Banks | 4,559,707 | — | — | |||||||||
Biotechnology | 11,242,949 | — | — | |||||||||
Building Products | 5,262,437 | — | — | |||||||||
Capital Markets | 9,378,118 | — | — | |||||||||
Commercial Services & Supplies | 10,151,646 | — | — | |||||||||
Communications Equipment | 2,828,041 | — | — | |||||||||
Construction Materials | 3,907,705 | — | — | |||||||||
Containers & Packaging | 8,276,039 | — | — | |||||||||
Diversified Consumer Services | 3,139,152 | — | — | |||||||||
Electrical Equipment | 3,713,812 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 14,428,664 | — | — | |||||||||
Entertainment | 7,268,630 | — | — | |||||||||
Health Care Equipment & Supplies | 8,455,286 | — | — | |||||||||
Health Care Providers & Services | 7,181,417 | — | — | |||||||||
Health Care Technology | 6,625,279 | — | — | |||||||||
Hotels, Restaurants & Leisure | 4,998,354 | — | — | |||||||||
Household Durables | 2,220,995 | — | — | |||||||||
Insurance | 2,338,432 | — | — | |||||||||
Internet & Direct Marketing Retail | 1,973,774 | — | — | |||||||||
IT Services | 28,142,890 | — | — | |||||||||
Life Sciences Tools & Services | 2,052,804 | — | — | |||||||||
Machinery | 11,412,493 | — | — | |||||||||
Media | 1,661,467 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 2,283,580 | — | — | |||||||||
Pharmaceuticals | 7,176,000 | — | — | |||||||||
Professional Services | 8,223,812 | — | — | |||||||||
Real Estate Management & Development | 3,091,646 | — | — | |||||||||
Road & Rail | 3,320,172 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 16,592,365 | — | — | |||||||||
Software | 29,980,374 | — | — | |||||||||
Specialty Retail | 18,407,068 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 3,778,103 | — | — | |||||||||
Trading Companies & Distributors | 470,744 | — | — | |||||||||
Affiliated Mutual Funds | 51,011,073 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 310,542,996 | $ | — | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Affiliated Mutual Funds (16.7% represents investments purchased with collateral from securities on loan) | 19.2 | % | ||
Software | 11.3 | |||
IT Services | 10.6 | |||
Specialty Retail | 6.9 | |||
Semiconductors & Semiconductor Equipment | 6.2 | |||
Electronic Equipment, Instruments & Components | 5.4 | |||
Machinery | �� | 4.3 | ||
Biotechnology | 4.2 | |||
Commercial Services & Supplies | 3.8 | |||
Capital Markets | 3.5 | |||
Health Care Equipment & Supplies | 3.2 |
Containers & Packaging | 3.1 | % | ||
Professional Services | 3.1 | |||
Entertainment | 2.7 | |||
Health Care Providers & Services | 2.7 | |||
Pharmaceuticals | 2.7 | |||
Health Care Technology | 2.5 | |||
Building Products | 2.0 | |||
Hotels, Restaurants & Leisure | 1.9 | |||
Banks | 1.7 | |||
Construction Materials | 1.5 | |||
Textiles, Apparel & Luxury Goods | 1.4 | |||
Electrical Equipment | 1.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification (con’t) | ||||
Road & Rail | 1.3 | % | ||
Aerospace & Defense | 1.2 | |||
Diversified Consumer Services | 1.2 | |||
Real Estate Management & Development | 1.2 | |||
Communications Equipment | 1.1 | |||
Insurance | 0.9 | |||
Oil, Gas & Consumable Fuels | 0.9 | |||
Household Durables | 0.8 | |||
Life Sciences Tools & Services | 0.8 |
Internet & Direct Marketing Retail | 0.7 | % | ||
Media | 0.6 | |||
Auto Components | 0.5 | |||
Trading Companies & Distributors | 0.2 | |||
Automobiles | 0.2 | |||
|
| |||
116.9 | ||||
Liabilities in excess of other assets | (16.9 | ) | ||
|
| |||
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 toset-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 | $ | 43,834,378 | $ | (43,834,378 | ) | $ | — | |||||
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $43,834,378: | ||||
Unaffiliated investments (cost $203,789,418) | $ | 259,531,923 | ||
Affiliated investments (cost $51,007,639) | 51,011,073 | |||
Receivable for investments sold | 17,886,514 | |||
Dividends receivable | 57,136 | |||
Receivable for Portfolio shares sold | 26,557 | |||
Tax reclaim receivable | 5,878 | |||
Prepaid expenses and other assets | 2,716 | |||
|
| |||
Total Assets | 328,521,797 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 44,444,275 | |||
Payable for investments purchased | 17,999,249 | |||
Accrued expenses and other liabilities | 132,086 | |||
Management fee payable | 127,945 | |||
Payable for Portfolio shares repurchased | 56,931 | |||
Payable to affiliate | 5,878 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 125 | |||
Administration fee payable | 75 | |||
|
| |||
Total Liabilities | 62,767,544 | |||
|
| |||
NET ASSETS | $ | 265,754,253 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 265,754,253 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $265,132,398 / 15,260,997 outstanding shares of beneficial interest | $ | 17.37 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $621,855 / 38,158 outstanding shares of beneficial interest | $ | 16.30 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $3,379 foreign withholding tax) | $ | 752,451 | ||
Affiliated dividend income | 104,633 | |||
Income from securities lending, net (including affiliated income of $30,151) | 97,515 | |||
|
| |||
Total income | 954,599 | |||
|
| |||
EXPENSES | ||||
Management fee | 741,662 | |||
Distribution fee—Class II | 748 | |||
Administration fee—Class II | 449 | |||
Shareholders’ reports | 44,637 | |||
Custodian and accounting fees | 27,372 | |||
Audit fee | 13,736 | |||
Trustees’ fees | 5,994 | |||
Legal fees and expenses | 5,762 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 7,671 | |||
|
| |||
Total expenses | 853,328 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 101,271 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $267) | 42,703,462 | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $3,135) | 15,770,316 | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 58,473,778 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 58,575,049 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 101,271 | $ | 379,610 | ||||
Net realized gain (loss) on investment transactions | 42,703,462 | 16,268,452 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 15,770,316 | (34,364,908 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 58,575,049 | (17,716,846 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 3,924,174 | 8,022,446 | ||||||
Portfolio shares repurchased | (12,078,218 | ) | (25,384,122 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (8,154,044 | ) | (17,361,676 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 11,284 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 50,421,005 | (35,067,238 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 215,333,248 | 250,400,486 | ||||||
|
|
|
| |||||
End of period | $ | 265,754,253 | $ | 215,333,248 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP Prudential U.S. Emerging Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio.
The investment objective of the Portfolio is long-term capital appreciation.
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. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The 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 the 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 reportingperiod-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 Portfolio’s 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 and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 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.
B1
Investments inopen-end,non-exchange-traded mutual 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 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.
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.
Illiquid Securities: Pursuant to Rule22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on forward currency transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s 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.
B2
Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, 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 the Portfolio. 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 Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right toset-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 toset-off the amount owed with the amount owed by the other party, the reporting party intends toset-off and the right ofset-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.
Securities Lending: The Portfolio lends its 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. 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. 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 on the Statement of Operations as “Income from securities lending, net”.
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 theex-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. 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, the Portfolio is treated as a separate taxpaying entity. The 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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 as referenced in Note 3. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on theex-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.
B3
2. | Agreements |
The Series Fund, on behalf of the Portfolio, has a management agreement with PGIM Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadviser’s performance of such services. Effective January 26, 2019, the Manager has entered into a subadvisory agreement with J.P. Morgan Investment Management, Inc. (“J.P. Morgan”) (the “subadviser”), under which J.P. Morgan provides investment advisory services for the Portfolio. The Manager pays for the services of the subadviser, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses. Prior to January 26, 2019, the Manager had a subadvisory agreement with Jennison Associates LLC.
The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.60% of the Portfolio’s average daily net assets of the Fund. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.
The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), 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 Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolio. 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 Portfolio, 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 June 30, 2019, brokerage commission recaptured under these agreements was $1,068.
PGIM Investments and PIMS are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“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 certainout-of-pocket expenses paid tonon-affiliates, where applicable.
The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule17a-7 procedures. Rule17a-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 Rule17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly
B4
summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such17a-7 transactions were effected in accordance with the Series Fund’s Rule17a-7 procedures. For the reporting period ended June 30, 2019, no17a-7 transactions were entered into by the Portfolio.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“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 Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolio’s “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. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payment for the Portfolio are disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018.
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.
During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process 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
B5
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 amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as partnerships for tax purposes.
Portfolio | 2019 Payments | |||
SP Prudential U.S. Emerging Growth | $ | 2,253 |
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 reporting period ended June 30, 2019, were $212,625,096 and $216,762,544, respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 11,121,333 | $ | 36,680,970 | $ | 41,317,808 | $ | — | $ | — | $ | 6,484,495 | 6,484,495 | $ | 104,633 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
19,740,874 | 123,380,481 | 98,598,179 | 3,135 | 267 | 44,526,578 | 44,513,223 | 30,151 | ** | ||||||||||||||||||||||
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$ | 30,862,207 | $ | 160,061,451 | $ | 139,915,987 | $ | 3,135 | $ | 267 | $ | 51,011,073 | $ | 134,784 | |||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | This amount is included in “Income from securities lending, net” on the Statement of Operations. |
5. | Tax Information |
The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. | Borrowings |
The Series Fund, on behalf of the Portfolio, along with other affiliated registered investment companies (the “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 SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The Fund’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.
B6
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 Funds in the SCA equitably.
The Portfolio did not utilize the SCA during the reporting period ended June 30, 2019.
7. | Capital and Ownership |
The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I 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 ofnon-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts ofnon-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. As of June 30, 2019, the Portfolio has Class II shares outstanding. The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
As of June 30, 2019, all of Class I shares of the Portfolio were owned of record by the following affiliates of the Manager: Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PRU LIFE”) and Pruco Life Insurance Company (“PLAZ”) on behalf of the owners of the variable insurance products issued by each of these entities.
In addition, the following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares:
Portfolio | Number of Shareholders | % of Outstanding Shares | % held by an Affiliate of Prudential | |||||||||
SP Prudential U.S. Emerging Growth | 3 | 97 | 97 |
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 242,163 | $ | 3,900,780 | |||||
Portfolio shares repurchased | (746,162 | ) | (12,011,055 | ) | ||||
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Net increase (decrease) in shares outstanding | (503,999 | ) | $ | (8,110,275 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 526,326 | $ | 7,945,032 | |||||
Portfolio shares repurchased | (1,659,004 | ) | (25,324,498 | ) | ||||
Capital contributions | — | 11,256 | ||||||
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Net increase (decrease) in shares outstanding | (1,132,678 | ) | $ | (17,368,210 | ) | |||
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Class II: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 1,498 | $ | 23,394 | |||||
Portfolio shares repurchased | (4,437 | ) | (67,163 | ) | ||||
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Net increase (decrease) in shares outstanding | (2,939 | ) | $ | (43,769 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 5,372 | $ | 77,414 | |||||
Portfolio shares repurchased | (4,223 | ) | (59,624 | ) | ||||
Capital contributions | — | 28 | ||||||
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Net increase (decrease) in shares outstanding | 1,149 | $ | 17,818 | |||||
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B7
8. | Risks of Investing in the Portfolio |
The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below:
Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully 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 rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.
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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. 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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.
9. | Recent Accounting Pronouncements and Reporting Updates |
In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolio’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.
B8
Financial Highlights
(Unaudited)
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 13.63 | $ | 14.79 | $ | 12.08 | $ | 11.58 | $ | 11.86 | $ | 10.83 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.01 | 0.02 | 0.02 | 0.01 | — | (b) | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 3.73 | (1.18 | ) | 2.69 | 0.47 | (0.28 | ) | 1.01 | ||||||||||||||||
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Total from investment operations | 3.74 | (1.16 | ) | 2.71 | 0.48 | (0.28 | ) | 1.03 | ||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | 0.02 | (d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 17.37 | $ | 13.63 | $ | 14.79 | $ | 12.08 | $ | 11.58 | $ | 11.86 | ||||||||||||
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Total Return(e) | 27.44 | % | (7.84 | )%(f) | 22.43 | % | 4.32 | %(g) | (2.36 | )% | 9.51 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 265.1 | $ | 214.8 | $ | 249.8 | $ | 217.7 | $ | 223.3 | $ | 249.1 | ||||||||||||
Average net assets (in millions) | $ | 248.7 | $ | 248.2 | $ | 235.7 | $ | 215.0 | $ | 244.7 | $ | 245.3 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.69 | %(i) | 0.68 | % | 0.71 | % | 0.69 | % | 0.67 | % | 0.68 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.69 | %(i) | 0.68 | % | 0.71 | % | 0.69 | % | 0.67 | % | 0.68 | % | ||||||||||||
Net investment income (loss) | 0.08 | %(i) | 0.15 | % | 0.18 | % | 0.10 | % | (0.01 | )% | 0.22 | % | ||||||||||||
Portfolio turnover rate(j) | 89 | % | 43 | % | 39 | % | 35 | % | 34 | % | 45 | % | ||||||||||||
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.81 | $ | 13.95 | $ | 11.44 | $ | 11.02 | $ | 11.33 | $ | 10.38 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.03 | ) | (0.03 | ) | (0.03 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 3.51 | (1.11 | ) | 2.54 | 0.43 | (0.26 | ) | 0.97 | ||||||||||||||||
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Total from investment operations | 3.49 | (1.14 | ) | 2.51 | 0.40 | (0.31 | ) | 0.95 | ||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | 0.02 | (d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 16.30 | $ | 12.81 | $ | 13.95 | $ | 11.44 | $ | 11.02 | $ | 11.33 | ||||||||||||
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Total Return(e) | 27.24 | % | (8.17 | )%(f) | 21.94 | % | 3.81 | %(g) | (2.74 | )% | 9.15 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 0.6 | $ | 0.5 | $ | 0.6 | $ | 0.8 | $ | 0.8 | $ | 1.0 | ||||||||||||
Average net assets (in millions) | $ | 0.6 | $ | 0.6 | $ | 0.8 | $ | 0.8 | $ | 1.0 | $ | 0.8 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.09 | %(i) | 1.08 | % | 1.10 | % | 1.09 | % | 1.07 | % | 1.08 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.09 | %(i) | 1.08 | % | 1.10 | % | 1.09 | % | 1.07 | % | 1.08 | % | ||||||||||||
Net investment income (loss) | (0.32 | )%(i) | (0.24 | )% | (0.22 | )% | (0.30 | )% | (0.40 | )% | (0.19 | )% | ||||||||||||
Portfolio turnover rate(j) | 89 | % | 43 | % | 39 | % | 35 | % | 34 | % | 45 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Less than $0.005 per share. |
(c) | 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. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period 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 4.15% and 3.63% for Class I and Class II, respectively. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | Annualized. |
(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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Approval of Advisory Agreements
Renewal of Management Agreement: SP Prudential U.S. Emerging Growth Portfolio
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) on behalf of the SP Prudential U.S. Emerging Growth Portfolio (the Portfolio).1 As is further discussed and explained below, in considering the renewal of the agreement, the Board, including all of the Independent Trustees, met on June18-19, 2019 (the Meeting) and approved the renewal of the agreement through July 31, 2020, after concluding that the renewal of the agreement was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreement, and had the opportunity to ask questions and request further information in connection with the consideration of the agreement. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.
The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments, are in the best interests of the Trust, the Portfolio and the Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on aPortfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolio’s liquidity risk management program. With respect to PGIM Investments’ oversight of the subadviser, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations
1 | Because the Board approved a new subadvisory agreement between J.P. Morgan Investment Management, Inc. (J.P. Morgan) and PGIM Investments in September 2018 with respect to the Portfolio, and the initial approval of the new subadvisory agreement is effective for two years from execution, at the Meeting the Board did not consider the renewal of the Portfolio’s subadvisory agreement with J.P. Morgan. The Board noted that it would consider the renewal of the J.P. Morgan subadvisory agreement as part of its annual consideration of the renewal of the Trust’s management and subadvisory agreements in 2020. |
of the subadviser. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and the subadviser. The Board was provided with information pertaining to PGIM Investments’ organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments
The Board considered potential ancillary benefits that might be received by PGIM Investments and its affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the benefits derived by PGIM Investments were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board did not consider or evaluate the Portfolio’s historical performance, because the Portfolio’s subadviser assumed management of the Portfolio in January 2019, and therefore none of the Portfolio’s historical performance was attributable to the Portfolio’s current subadviser.
The Board considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2018. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds, and for expenses, the lowest cost mutual funds).
The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP Prudential U.S. Emerging Growth Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees:1st Quartile | ||||||||
Net Total Expenses:1st Quartile |
• | The Board noted that the Portfolio underperformed its benchmark index over all periods. |
• | The Board noted that in January 2019 the Portfolio appointed a new subadviser to replace the Portfolio’s prior subadviser, and that as a result, the Portfolio’s historical performance was not attributable to the Portfolio’s current subadviser. |
• | The Board also noted that because of the recent inception date for the new subadviser, it did not evaluate or consider the renewal of the Portfolio’s subadvisory agreement, but would consider the renewal of the subadvisory agreement in 2020. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the management agreement, and that the management fees and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) atwww.sec.gov and on the Fund’s website atwww.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website atwww.sec.gov or call (800) SEC-0330.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3714
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Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call(800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2019 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.
PSF-SAR-SP US EM GROWTH
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2019, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
SP Small Cap Value Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2019 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2019 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual 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 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
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. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2019 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2019 |
SP Small Cap Value Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
iShares Russell 2000 Value ETF | Exchange-Traded Fund | 1.1% | ||||
Chesapeake Lodging Trust | Equity Real Estate Investment Trusts (REITs) | 1.1% | ||||
Healthcare Realty Trust, Inc. | Equity Real Estate Investment Trusts (REITs) | 1.1% | ||||
Portland General Electric Co. | Electric Utilities | 1.0% | ||||
ALLETE, Inc. | Electric Utilities | 1.0% | ||||
Acadia Realty Trust | Equity Real Estate Investment Trusts (REITs) | 1.0% | ||||
Rexnord Corp. | Machinery | 1.0% | ||||
PS Business Parks, Inc. | Equity Real Estate Investment Trusts (REITs) | 0.9% | ||||
Pebblebrook Hotel Trust | Equity Real Estate Investment Trusts (REITs) | 0.9% | ||||
National Health Investors, Inc. | Equity Real Estate Investment Trusts (REITs) | 0.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2019 |
As a contract owner investing in the Portfolio 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 January 1, 2019 through June 30, 2019.
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 Portfolio | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Small Cap Value (Class I) | Actual | $ | 1,000.00 | $ | 1,158.20 | 1.00 | % | $ | 5.35 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.84 | 1.00 | % | $ | 5.01 |
* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP SMALL CAP VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.5% | ||||||||
COMMON STOCKS — 96.4% | Shares | Value | ||||||
Aerospace & Defense — 1.2% | ||||||||
Aerojet Rocketdyne Holdings, Inc.*(a) | 12,010 | $ | 537,688 | |||||
Curtiss-Wright Corp. | 3,397 | 431,861 | ||||||
Mercury Systems, Inc.* | 5,355 | 376,724 | ||||||
Moog, Inc. (Class A Stock) | 6,600 | 617,826 | ||||||
Parsons Corp.* | 12,538 | 462,151 | ||||||
Triumph Group, Inc. | 8,305 | 190,184 | ||||||
|
| |||||||
2,616,434 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% | ||||||||
Air Transport Services Group, Inc.* | 25,487 | 621,883 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 10,831 | 483,496 | ||||||
|
| |||||||
1,105,379 | ||||||||
|
| |||||||
Airlines — 0.8% | ||||||||
SkyWest, Inc. | 29,069 | 1,763,616 | ||||||
|
| |||||||
Auto Components — 1.1% | ||||||||
American Axle & Manufacturing Holdings, Inc.* | 71,169 | 908,116 | ||||||
Dana, Inc. | 37,059 | 738,957 | ||||||
Dorman Products, Inc.* | 5,867 | 511,250 | ||||||
Standard Motor Products, Inc. | 2,102 | 95,305 | ||||||
|
| |||||||
2,253,628 | ||||||||
|
| |||||||
Banks — 18.1% | ||||||||
Amalgamated Bank | 22,629 | 394,876 | ||||||
Ameris Bancorp. | 15,194 | 595,453 | ||||||
Atlantic Union Bankshares Corp. | 39,885 | 1,409,137 | ||||||
BancorpSouth Bank | 44,554 | 1,293,848 | ||||||
Bank of Hawaii Corp. | 2,863 | 237,371 | ||||||
Banner Corp. | 30,176 | 1,634,030 | ||||||
Brookline Bancorp, Inc. | 49,657 | 763,725 | ||||||
Bryn Mawr Bank Corp. | 13,104 | 489,041 | ||||||
CenterState Bank Corp. | 74,346 | 1,712,188 | ||||||
Chemical Financial Corp.(a) | 16,578 | 681,522 | ||||||
Columbia Banking System, Inc. | 42,886 | 1,551,615 | ||||||
Community Bank System, Inc. | 24,354 | 1,603,467 | ||||||
ConnectOne Bancorp, Inc. | 32,991 | 747,576 | ||||||
CVB Financial Corp. | 83,327 | 1,752,367 | ||||||
FB Financial Corp. | 20,758 | 759,743 | ||||||
First Financial Bankshares, Inc.(a) | 44,743 | 1,377,637 | ||||||
First Merchants Corp. | 40,268 | 1,526,157 | ||||||
First Midwest Bancorp, Inc. | 40,274 | 824,409 | ||||||
First of Long Island Corp. (The) | 13,834 | 277,787 | ||||||
Flushing Financial Corp. | 17,995 | 399,489 | ||||||
Glacier Bancorp, Inc.(a) | 44,702 | 1,812,666 | ||||||
Great Western Bancorp, Inc. | 45,047 | 1,609,079 | ||||||
Heritage Financial Corp. | 25,572 | 755,397 | ||||||
Home BancShares, Inc. | 35,582 | 685,309 | ||||||
Independent Bank Corp.(a) | 21,584 | 1,643,622 | ||||||
Independent Bank Group, Inc. | 25,380 | 1,394,885 | ||||||
Lakeland Financial Corp. | 23,049 | 1,079,385 | ||||||
LegacyTexas Financial Group, Inc. | 35,517 | 1,445,897 | ||||||
Old Line Bancshares, Inc. | 10,671 | 283,955 | ||||||
Pacific Premier Bancorp, Inc. | 17,309 | 534,502 | ||||||
Pinnacle Financial Partners, Inc. | 16,197 | 931,004 | ||||||
Renasant Corp. | 43,946 | 1,579,419 | ||||||
Sandy Spring Bancorp, Inc. | 14,099 | 491,773 | ||||||
South State Corp. | 14,829 | 1,092,452 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) | ||||||||
Texas Capital Bancshares, Inc.* | 3,377 | $ | 207,246 | |||||
Towne Bank | 24,052 | 656,139 | ||||||
TriCo Bancshares | 17,411 | 658,136 | ||||||
United Community Banks, Inc. | 44,151 | 1,260,953 | ||||||
|
| |||||||
38,153,257 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
MGP Ingredients, Inc. | 3,485 | 231,090 | ||||||
|
| |||||||
Biotechnology — 0.2% | ||||||||
Emergent BioSolutions, Inc.* | 9,566 | 462,133 | ||||||
|
| |||||||
Building Products — 0.4% | ||||||||
Armstrong World Industries, Inc. | 8,081 | 785,473 | ||||||
|
| |||||||
Capital Markets — 1.7% | ||||||||
BrightSphere Investment Group PLC | 28,160 | 321,306 | ||||||
Houlihan Lokey, Inc. | 20,025 | 891,713 | ||||||
PJT Partners, Inc. (Class A Stock) | 9,785 | 396,488 | ||||||
Stifel Financial Corp. | 27,438 | 1,620,488 | ||||||
Virtu Financial, Inc. (Class A Stock)(a) | 15,757 | 343,188 | ||||||
|
| |||||||
3,573,183 | ||||||||
|
| |||||||
Chemicals — 1.6% | ||||||||
HB Fuller Co. | 12,913 | 599,163 | ||||||
Ingevity Corp.* | 13,740 | 1,445,036 | ||||||
Innospec, Inc. | 1,979 | 180,564 | ||||||
Kraton Corp.* | 3,285 | 102,065 | ||||||
PolyOne Corp. | 6,940 | 217,847 | ||||||
Quaker Chemical Corp. | 2,771 | 562,180 | ||||||
Sensient Technologies Corp. | 2,278 | 167,387 | ||||||
Tronox Holdings PLC (Class A Stock) | 9,619 | 122,931 | ||||||
|
| |||||||
3,397,173 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.8% | ||||||||
ABM Industries, Inc.(a) | 19,689 | 787,560 | ||||||
Advanced Disposal Services, Inc.* | 11 | 351 | ||||||
Brady Corp. (Class A Stock) | 16,268 | 802,338 | ||||||
|
| |||||||
1,590,249 | ||||||||
|
| |||||||
Communications Equipment — 2.1% | ||||||||
Ciena Corp.* | 15,052 | 619,089 | ||||||
Lumentum Holdings, Inc.* | 21,563 | 1,151,680 | ||||||
NetScout Systems, Inc.* | 51,865 | 1,316,852 | ||||||
Plantronics, Inc. | 9,875 | 365,770 | ||||||
Viavi Solutions, Inc.* | 77,921 | 1,035,570 | ||||||
|
| |||||||
4,488,961 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% | ||||||||
EMCOR Group, Inc. | 12,908 | 1,137,195 | ||||||
Granite Construction, Inc. | 17,566 | 846,330 | ||||||
|
| |||||||
1,983,525 | ||||||||
|
| |||||||
Construction Materials — 0.2% | ||||||||
Summit Materials, Inc. | 26,742 | 514,783 | ||||||
|
| |||||||
Diversified Consumer Services — 0.8% | ||||||||
Adtalem Global Education, Inc.* | 13,126 | 591,326 | ||||||
Chegg, Inc.* | 9,968 | 384,665 | ||||||
OneSpaWorld Holdings Ltd. (Bahamas)* | 46,267 | 717,139 | ||||||
|
| |||||||
1,693,130 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electric Utilities — 3.4% | ||||||||
ALLETE, Inc. | 24,523 | $ | 2,040,559 | |||||
El Paso Electric Co. | 2,946 | 192,668 | ||||||
IDACORP, Inc. | 9,929 | 997,170 | ||||||
PNM Resources, Inc. | 32,947 | 1,677,332 | ||||||
Portland General Electric Co. | 40,525 | 2,195,239 | ||||||
|
| |||||||
7,102,968 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
CTS Corp. | 26,768 | 738,262 | ||||||
FARO Technologies, Inc.* | 7,042 | 370,268 | ||||||
II-VI, Inc.*(a) | 18,766 | 686,085 | ||||||
Knowles Corp.* | 41,411 | 758,235 | ||||||
Rogers Corp.* | 3,754 | 647,865 | ||||||
SYNNEX Corp. | 11,624 | 1,143,802 | ||||||
|
| |||||||
4,344,517 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.6% | ||||||||
Apergy Corp.* | 49,027 | 1,644,366 | ||||||
Cactus, Inc. (Class A Stock)* | 41,123 | 1,361,994 | ||||||
ProPetro Holding Corp.* | 20,935 | 433,354 | ||||||
|
| |||||||
3,439,714 | ||||||||
|
| |||||||
Entertainment — 0.6% | ||||||||
Live Nation Entertainment, Inc.* | 20,229 | 1,340,171 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 10.1% |
| |||||||
Acadia Realty Trust | 73,772 | 2,019,140 | ||||||
Chatham Lodging Trust | 21,960 | 414,385 | ||||||
Chesapeake Lodging Trust | 81,556 | 2,317,821 | ||||||
Columbia Property Trust, Inc. | 65,032 | 1,348,764 | ||||||
CyrusOne, Inc. | 32,295 | 1,864,067 | ||||||
Healthcare Realty Trust, Inc. | 71,421 | 2,236,906 | ||||||
Hudson Pacific Properties, Inc. | 31,736 | 1,055,857 | ||||||
Life Storage, Inc. | 8,311 | 790,210 | ||||||
National Health Investors, Inc. | 24,655 | 1,923,830 | ||||||
Pebblebrook Hotel Trust(a) | 68,972 | 1,943,631 | ||||||
Preferred Apartment Communities, Inc. (Class A Stock) | 28,453 | 425,372 | ||||||
PS Business Parks, Inc. | 11,684 | 1,969,105 | ||||||
RLJ Lodging Trust | 89,738 | 1,591,952 | ||||||
STAG Industrial, Inc. | 43,460 | 1,314,230 | ||||||
|
| |||||||
21,215,270 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 31,144 | 822,202 | ||||||
Grocery Outlet Holding Corp.* | 12,580 | 413,630 | ||||||
Performance Food Group Co.* | 16,888 | 676,027 | ||||||
|
| |||||||
1,911,859 | ||||||||
|
| |||||||
Food Products — 1.9% | ||||||||
Darling Ingredients, Inc.* | 45,633 | 907,640 | ||||||
Hostess Brands, Inc.*(a) | 50,451 | 728,512 | ||||||
Nomad Foods Ltd. (United Kingdom)* | 47,047 | 1,004,924 | ||||||
Simply Good Foods Co. (The)* | 59,422 | 1,430,882 | ||||||
|
| |||||||
4,071,958 | ||||||||
|
| |||||||
Gas Utilities — 1.7% | ||||||||
Chesapeake Utilities Corp. | 17,361 | 1,649,642 | ||||||
New Jersey Resources Corp. | 37,871 | 1,884,840 | ||||||
|
| |||||||
3,534,482 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Equipment & Supplies — 1.6% |
| |||||||
Avanos Medical, Inc.* | 26,871 | $ | 1,171,844 | |||||
CONMED Corp. | 12,847 | 1,099,318 | ||||||
Orthofix Medical, Inc.* | 10,265 | 542,813 | ||||||
Wright Medical Group NV* | 19,792 | 590,198 | ||||||
|
| |||||||
3,404,173 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.5% |
| |||||||
Acadia Healthcare Co., Inc.*(a) | 13,786 | 481,821 | ||||||
AMN Healthcare Services, Inc.* | 11,722 | 635,918 | ||||||
|
| |||||||
1,117,739 | ||||||||
|
| |||||||
Health Care Technology — 0.9% | ||||||||
Allscripts Healthcare Solutions, Inc.* | 117,311 | 1,364,327 | ||||||
HMS Holdings Corp.* | 16,006 | 518,434 | ||||||
|
| |||||||
1,882,761 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% | ||||||||
Boyd Gaming Corp. | 24,342 | 655,774 | ||||||
Dine Brands Global, Inc. | 6,337 | 604,993 | ||||||
Eldorado Resorts, Inc.*(a) | 21,329 | 982,627 | ||||||
Jack in the Box, Inc. | 4,754 | 386,928 | ||||||
Wendy’s Co. (The)(a) | 45,619 | 893,220 | ||||||
|
| |||||||
3,523,542 | ||||||||
|
| |||||||
Household Durables — 1.5% | ||||||||
KB Home | 43,026 | 1,107,059 | ||||||
Meritage Homes Corp.* | 18,298 | 939,419 | ||||||
TopBuild Corp.* | 12,975 | 1,073,811 | ||||||
|
| |||||||
3,120,289 | ||||||||
|
| |||||||
Household Products — 0.1% | ||||||||
Central Garden & Pet Co. | 5,314 | 130,937 | ||||||
|
| |||||||
Insurance — 4.8% | ||||||||
AMERISAFE, Inc. | 9,701 | 618,633 | ||||||
CNO Financial Group, Inc. | 31,605 | 527,171 | ||||||
Enstar Group Ltd. (Bermuda)* | 4,466 | 778,335 | ||||||
James River Group Holdings Ltd. | 23,887 | 1,120,300 | ||||||
Kemper Corp. | 11,776 | 1,016,151 | ||||||
Kinsale Capital Group, Inc. | 17,492 | 1,600,168 | ||||||
Primerica, Inc. | 7,755 | 930,212 | ||||||
ProAssurance Corp. | 11,155 | 402,807 | ||||||
RLI Corp.(a) | 13,980 | 1,198,226 | ||||||
Selective Insurance Group, Inc. | 25,374 | 1,900,259 | ||||||
|
| |||||||
10,092,262 | ||||||||
|
| |||||||
Interactive Media & Services — 0.4% | ||||||||
Cars.com, Inc.*(a) | 39,051 | 770,086 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.6% |
| |||||||
Liberty Expedia Holdings, Inc. (Class A Stock)* | 20,865 | 997,138 | ||||||
Revolve Group, Inc.*(a) | 7,679 | 264,926 | ||||||
|
| |||||||
1,262,064 | ||||||||
|
| |||||||
IT Services — 1.7% | ||||||||
CACI International, Inc. (Class A Stock)* | 4,062 | 831,045 | ||||||
KBR, Inc. | 64,732 | 1,614,416 | ||||||
LiveRamp Holdings, Inc.* | 22,442 | 1,087,988 | ||||||
|
| |||||||
3,533,449 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Cambrex Corp.*(a) | 11,709 | $ | 548,098 | |||||
Syneos Health, Inc.* | 28,502 | 1,456,167 | ||||||
|
| |||||||
2,004,265 | ||||||||
|
| |||||||
Machinery — 5.0% | ||||||||
Alamo Group, Inc. | 4,065 | 406,215 | ||||||
CIRCOR International, Inc.* | 15,478 | 711,988 | ||||||
Federal Signal Corp. | 37,124 | 993,067 | ||||||
ITT, Inc. | 15,643 | 1,024,304 | ||||||
Kennametal, Inc. | 27,337 | 1,011,196 | ||||||
Navistar International Corp.* | 12,040 | 414,778 | ||||||
RBC Bearings, Inc.* | 5,314 | 886,428 | ||||||
Rexnord Corp.* | 66,732 | 2,016,641 | ||||||
Terex Corp. | 23,482 | 737,335 | ||||||
TriMas Corp.* | 39,235 | 1,215,108 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 11,381 | 1,060,481 | ||||||
|
| |||||||
10,477,541 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
Gray Television, Inc.* | 50,211 | 822,958 | ||||||
Liberty Latin America Ltd. (Chile) (Class C Stock)* | 44,434 | 763,821 | ||||||
MSG Networks, Inc. (Class A Stock)* | 4,998 | 103,659 | ||||||
Nexstar Media Group, Inc. (Class A Stock) | 8,075 | 815,575 | ||||||
TEGNA, Inc. | 6,922 | 104,868 | ||||||
|
| |||||||
2,610,881 | ||||||||
|
| |||||||
Metals & Mining — 1.9% | ||||||||
Allegheny Technologies, Inc.* | 54,323 | 1,368,940 | ||||||
Carpenter Technology Corp. | 15,948 | 765,185 | ||||||
Cleveland-Cliffs, Inc.(a) | 77,120 | 822,870 | ||||||
Constellium SE* | 51,005 | 512,090 | ||||||
Royal Gold, Inc. | 4,886 | 500,766 | ||||||
|
| |||||||
3,969,851 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
Granite Point Mortgage Trust, Inc. | 21,716 | 416,730 | ||||||
MFA Financial, Inc. | 177,948 | 1,277,667 | ||||||
PennyMac Mortgage Investment Trust | 38,315 | 836,416 | ||||||
Redwood Trust, Inc. | 54,084 | 894,009 | ||||||
Two Harbors Investment Corp. | 97,805 | 1,239,189 | ||||||
|
| |||||||
4,664,011 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.1% | ||||||||
Brigham Minerals, Inc. | 15,855 | 340,248 | ||||||
Callon Petroleum Co.*(a) | 196,047 | 1,291,950 | ||||||
Centennial Resource Development, Inc. (Class A Stock)* | 21,708 | 164,764 | ||||||
Delek US Holdings, Inc. | 22,144 | 897,275 | ||||||
Falcon Minerals Corp. | 61,038 | 512,719 | ||||||
Golar LNG Ltd. (Bermuda) | 69,445 | 1,283,344 | ||||||
Matador Resources Co.* | 51,481 | 1,023,442 | ||||||
PBF Energy, Inc. (Class A Stock) | 8,849 | 276,974 | ||||||
PDC Energy, Inc.* | 30,876 | 1,113,388 | ||||||
Rattler Midstream LP* | 30,231 | 586,179 | ||||||
Viper Energy Partners LP | 58,002 | 1,787,622 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
WPX Energy, Inc.* | 133,341 | $ | 1,534,755 | |||||
|
| |||||||
10,812,660 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% | ||||||||
Boise Cascade Co. | 4,284 | 120,423 | ||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
Prestige Consumer Healthcare, Inc.*(a) | 26,784 | 848,517 | ||||||
|
| |||||||
Professional Services — 0.4% | ||||||||
ASGN, Inc.* | 14,785 | 895,971 | ||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
Kennedy-Wilson Holdings, Inc. | 51,251 | 1,054,233 | ||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
Saia, Inc.* | 15,462 | 999,928 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
Cree, Inc.*(a) | 10,669 | 599,384 | ||||||
Entegris, Inc. | 22,464 | 838,357 | ||||||
Lattice Semiconductor Corp.* | 51,090 | 745,403 | ||||||
Nanometrics, Inc.* | 18,369 | 637,588 | ||||||
Semtech Corp.* | 16,291 | 782,783 | ||||||
Silicon Laboratories, Inc.* | 5,231 | 540,885 | ||||||
Synaptics, Inc.* | 12,197 | 355,421 | ||||||
|
| |||||||
4,499,821 | ||||||||
|
| |||||||
Software — 1.9% | ||||||||
Avaya Holdings Corp.* | 27,923 | 332,563 | ||||||
Bottomline Technologies DE, Inc.* | 9,693 | 428,818 | ||||||
CommVault Systems, Inc.* | 23,671 | 1,174,555 | ||||||
Cornerstone OnDemand, Inc.* | 18,506 | 1,072,053 | ||||||
Verint Systems, Inc.*(a) | 19,389 | 1,042,740 | ||||||
|
| |||||||
4,050,729 | ||||||||
|
| |||||||
Specialty Retail — 2.4% | ||||||||
Aaron’s, Inc.(a) | 16,805 | 1,031,995 | ||||||
Abercrombie & Fitch Co. | 21,125 | 338,845 | ||||||
Asbury Automotive Group, Inc.* | 9,886 | 833,785 | ||||||
Bed Bath & Beyond, Inc.(a) | 22,302 | 259,149 | ||||||
Burlington Stores, Inc.*(a) | 7,272 | 1,237,331 | ||||||
Designer Brands, Inc. | 13,063 | 250,418 | ||||||
Guess?, Inc. | 39,034 | 630,399 | ||||||
Sally Beauty Holdings, Inc.*(a) | 27,652 | 368,878 | ||||||
Shoe Carnival, Inc.(a) | 4,103 | 113,243 | ||||||
|
| �� | ||||||
5,064,043 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Columbia Sportswear Co. | 8,534 | 854,765 | ||||||
Crocs, Inc.* | 16,668 | 329,193 | ||||||
G-III Apparel Group Ltd.* | 11,049 | 325,062 | ||||||
|
| |||||||
1,509,020 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 2.4% |
| |||||||
MGIC Investment Corp.* | 130,555 | 1,715,493 | ||||||
OceanFirst Financial Corp. | 44,728 | 1,111,491 | ||||||
Provident Financial Services, Inc. | 36,898 | 894,776 | ||||||
Washington Federal, Inc.(a) | 37,564 | 1,312,110 | ||||||
|
| |||||||
5,033,870 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Trading Companies & Distributors — 2.0% |
| |||||||
Beacon Roofing Supply, Inc.* | 36,708 | $ | 1,347,918 | |||||
Foundation Building Materials, Inc.* | 21,240 | 377,647 | ||||||
H&E Equipment Services, Inc. | 24,380 | 709,214 | ||||||
Kaman Corp. | 16,924 | 1,077,890 | ||||||
Univar, Inc.* | 36,797 | 811,006 | ||||||
|
| |||||||
4,323,675 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 203,349,694 | ||||||
|
| |||||||
EXCHANGE-TRADED FUND — 1.1% |
| |||||||
iShares Russell 2000 Value ETF(a) | 19,310 | 2,326,855 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 205,676,549 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 12.4% |
| |||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond Fund(w) | 1,870,723 | 1,870,723 | ||||||
PGIM Institutional Money Market Fund (cost $24,237,017; includes $24,188,835 of cash collateral for securities on loan)(b)(w) | 24,236,855 | 24,244,126 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 26,114,849 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 109.9% |
| 231,791,398 | ||||||
LIABILITIES IN EXCESS OF |
| (20,791,402 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 210,999,996 | |||||
|
|
See below for a list of the abbreviation(s) used in the semiannual report:
ETF | Exchange-Traded Fund | |
LIBOR | London Interbank Offered Rate | |
REIT(s) | Real Estate Investment Trust(s) |
* | 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 $23,901,186; cash collateral of $24,188,835 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Fund, 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. |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense. | $ | 2,616,434 | $ | — | $ | — | ||||||
Air Freight & Logistics. | 1,105,379 | — | — | |||||||||
Airlines | 1,763,616 | — | — | |||||||||
Auto Components | 2,253,628 | — | — | |||||||||
Banks | 38,153,257 | — | — | |||||||||
Beverages | 231,090 | — | — | |||||||||
Biotechnology | 462,133 | — | — | |||||||||
Building Products | 785,473 | — | — | |||||||||
Capital Markets | 3,573,183 | — | — | |||||||||
Chemicals. | 3,397,173 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Commercial Services & Supplies | $ | 1,590,249 | $ | — | $ | — | ||||||
Communications Equipment | 4,488,961 | — | — | |||||||||
Construction & Engineering | 1,983,525 | — | — | |||||||||
Construction Materials | 514,783 | — | — | |||||||||
Diversified Consumer Services | 1,693,130 | — | — | |||||||||
Electric Utilities. | 7,102,968 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 4,344,517 | — | — | |||||||||
Energy Equipment & Services. | 3,439,714 | — | — | |||||||||
Entertainment. | 1,340,171 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 21,215,270 | — | — | |||||||||
Food & Staples Retailing | 1,911,859 | — | — | |||||||||
Food Products | 4,071,958 | — | — | |||||||||
Gas Utilities | 3,534,482 | — | — | |||||||||
Health Care Equipment & Supplies | 3,404,173 | — | — | |||||||||
Health Care Providers & Services | 1,117,739 | — | — | |||||||||
Health Care Technology | 1,882,761 | — | — | |||||||||
Hotels, Restaurants & Leisure. | 3,523,542 | — | — | |||||||||
Household Durables | 3,120,289 | — | — | |||||||||
Household Products | 130,937 | — | — | |||||||||
Insurance | 10,092,262 | — | — | |||||||||
Interactive Media & Services | 770,086 | — | — | |||||||||
Internet & Direct Marketing Retail | 1,262,064 | — | — | |||||||||
IT Services | 3,533,449 | — | — | |||||||||
Life Sciences Tools & Services | 2,004,265 | — | — | |||||||||
Machinery | 10,477,541 | — | — | |||||||||
Media | 2,610,881 | — | — | |||||||||
Metals & Mining | 3,969,851 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 4,664,011 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 10,812,660 | — | — | |||||||||
Paper & Forest Products | 120,423 | — | — | |||||||||
Pharmaceuticals | 848,517 | — | — | |||||||||
Professional Services | 895,971 | — | — | |||||||||
Real Estate Management & Development | 1,054,233 | — | — | |||||||||
Road & Rail | 999,928 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 4,499,821 | — | — | |||||||||
Software | 4,050,729 | — | — | |||||||||
Specialty Retail | 5,064,043 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 1,509,020 | — | — | |||||||||
Thrifts & Mortgage Finance | 5,033,870 | — | — | |||||||||
Trading Companies & Distributors | 4,323,675 | — | — | |||||||||
Exchange-Traded Fund | 2,326,855 | — | — | |||||||||
Affiliated Mutual Funds | 26,114,849 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 231,791,398 | $ | — | $ | — | ||||||
|
|
|
|
|
|
Industry Allocation:
The industry allocation of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Banks | 18.1 | % | ||
Affiliated Mutual Funds (11.5% represents investments purchased with collateral from securities on loan) | 12.4 | |||
Equity Real Estate Investment Trusts (REITs) | 10.1 | |||
Oil, Gas & Consumable Fuels | 5.1 | |||
Machinery | 5.0 | |||
Insurance | 4.8 | |||
Electric Utilities | 3.4 | |||
Specialty Retail | 2.4 |
Thrifts & Mortgage Finance | 2.4 | % | ||
Mortgage Real Estate Investment Trusts (REITs) | 2.2 | |||
Semiconductors & Semiconductor Equipment | 2.1 | |||
Communications Equipment | 2.1 | |||
Electronic Equipment, Instruments & Components | 2.1 | |||
Trading Companies & Distributors | 2.0 | |||
Food Products | 1.9 | |||
Software | 1.9 | |||
Metals & Mining | 1.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Allocation (con’t) | ||||
Capital Markets | 1.7 | % | ||
Gas Utilities | 1.7 | |||
IT Services | 1.7 | |||
Hotels, Restaurants & Leisure | 1.7 | |||
Energy Equipment & Services | 1.6 | |||
Health Care Equipment & Supplies | 1.6 | |||
Chemicals | 1.6 | |||
Household Durables | 1.5 | |||
Aerospace & Defense | 1.2 | |||
Media | 1.2 | |||
Auto Components | 1.1 | |||
Exchange-Traded Fund | 1.1 | |||
Life Sciences Tools & Services | 1.0 | |||
Construction & Engineering | 0.9 | |||
Food & Staples Retailing | 0.9 | |||
Health Care Technology | 0.9 | |||
Airlines | 0.8 | |||
Diversified Consumer Services | 0.8 | |||
Commercial Services & Supplies | 0.8 |
Textiles, Apparel & Luxury Goods | 0.7 | % | ||
Entertainment | 0.6 | |||
Internet & Direct Marketing Retail | 0.6 | |||
Health Care Providers & Services | 0.5 | |||
Air Freight & Logistics | 0.5 | |||
Real Estate Management & Development | 0.5 | |||
Road & Rail | 0.5 | |||
Professional Services | 0.4 | |||
Pharmaceuticals | 0.4 | |||
Building Products | 0.4 | |||
Interactive Media & Services | 0.4 | |||
Construction Materials | 0.2 | |||
Biotechnology | 0.2 | |||
Beverages | 0.1 | |||
Household Products | 0.1 | |||
Paper & Forest Products | 0.1 | |||
|
| |||
109.9 | ||||
Liabilities in excess of other assets | (9.9 | ) | ||
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| |||
100.0 | % | |||
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|
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 toset-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 | $ | 23,901,186 | $ | (23,901,186 | ) | $ | — | |||||
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|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
SP SMALL CAP VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $23,901,186: | ||||
Unaffiliated investments (cost $168,195,206) | $ | 205,676,549 | ||
Affiliated investments (cost $26,107,740) | 26,114,849 | |||
Receivable for investments sold | 14,988,923 | |||
Dividends and interest receivable | 373,405 | |||
Receivable for Portfolio shares sold | 77,832 | |||
Tax reclaim receivable | 5,875 | |||
Prepaid expenses | 258 | |||
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| |||
Total Assets | 247,237,691 | |||
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| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 24,188,835 | |||
Payable for investments purchased | 11,737,823 | |||
Management fee payable | 150,636 | |||
Accrued expenses and other liabilities | 124,559 | |||
Payable for Portfolio shares repurchased | 28,987 | |||
Payable to affiliate | 5,875 | |||
Affiliated transfer agent fee payable | 980 | |||
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| |||
Total Liabilities | 36,237,695 | |||
|
| |||
NET ASSETS | $ | 210,999,996 | ||
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| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 210,999,996 | ||
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| |||
Net asset value and redemption price per share, $210,999,996 / 8,029,462 outstanding shares of beneficial interest | $ | 26.28 | ||
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|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 1,676,249 | ||
Affiliated dividend income | 60,763 | |||
Income from securities lending, net (including affiliated income of $29,892) | 30,761 | |||
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| |||
Total income | 1,767,773 | |||
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| |||
EXPENSES | ||||
Management fee | 909,213 | |||
Custodian and accounting fees | 37,282 | |||
Shareholders’ reports | 34,393 | |||
Audit fee | 14,529 | |||
Trustees’ fees | 5,973 | |||
Legal fees and expenses. | 5,772 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 7,406 | |||
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| |||
Total expenses | 1,019,865 | |||
Less: Fee waiver and/or expense reimbursement | (8,082 | ) | ||
|
| |||
Net expenses | 1,011,783 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 755,990 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,654) | 3,503,218 | |||
Foreign currency transactions | (517 | ) | ||
|
| |||
3,502,701 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $8,099) | 24,236,889 | |||
Foreign currencies | 517 | |||
|
| |||
24,237,406 | ||||
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| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 27,740,107 | |||
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| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 28,496,097 | ||
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|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 755,990 | $ | 1,011,136 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 3,502,701 | 13,544,446 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 24,237,406 | (43,215,396 | ) | |||||
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| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 28,496,097 | (28,659,814 | ) | |||||
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PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [359,463 and 391,841 shares, respectively] | 9,286,177 | 10,182,721 | ||||||
Portfolio shares repurchased [264,752 and 603,195 shares, respectively] | (6,785,087 | ) | (15,962,030 | ) | ||||
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| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 2,501,090 | (5,779,309 | ) | |||||
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| |||||
CAPITAL CONTRIBUTIONS | — | 8,507 | ||||||
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| |||||
TOTAL INCREASE (DECREASE) | 30,997,187 | (34,430,616 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 180,002,809 | 214,433,425 | ||||||
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End of period | $ | 210,999,996 | $ | 180,002,809 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A7
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP Small Cap Value Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio.
The investment objective of the Portfolio is long-term growth of capital.
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. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The 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 the 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 reportingperiod-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 Portfolio’s 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 and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 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.
B1
Investments inopen-end,non-exchange-traded mutual 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 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.
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.
Illiquid Securities: Pursuant to Rule22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on forward currency transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s 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.
B2
Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, 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 the Portfolio. 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 Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right toset-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 toset-off the amount owed with the amount owed by the other party, the reporting party intends toset-off and the right ofset-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.
Securities Lending: The Portfolio lends its 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. 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. 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 on the Statement of Operations as “Income from securities lending, net”.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): The Portfolio 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.
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 theex-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.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The 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). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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 as referenced in Note 3. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on theex-date.
B3
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 Portfolio, has a management agreement with PGIM Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadviser’s performance of such services. The Manager has entered into a subadvisory agreement with Goldman Sachs Asset Management, L.P. (“GSAM”) (the “subadviser”), under which GSAM provides investment advisory services for the Portfolio. The Manager pays for the services of the subadviser, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.90% of the Portfolio’s average daily net assets of the Fund. The Manager has contractually agreed through June 30, 2020 to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio. The effective management fee rate net of waiver was 0.89% for the reporting period ended June 30, 2019. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.
The Series Fund, on behalf of the Portfolio, 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 June 30, 2019, brokerage commission recaptured under these agreements was $0.
PGIM Investments is an indirect, wholly-owned subsidiary of Prudential Financial, Inc. (“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 certainout-of-pocket expenses paid tonon-affiliates, where applicable.
The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule17a-7 procedures. Rule17a-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 Rule17a-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 such17a-7 transactions were effected in accordance with the Series Fund’s Rule17a-7 procedures. For the reporting period ended June 30, 2019, no17a-7 transactions were entered into by the Portfolio.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“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
B4
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 Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolio’s “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 Series Fund’s 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 Portfolios’ independent trustees. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payment for the Portfolio are disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018.
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.
During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process 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.
B5
The following amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as a partnership for tax purposes.
Portfolio | 2019 Payments | |||
SP Small Cap Value | — |
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 reporting period ended June 30, 2019, were $61,258,319 and $58,763,259, respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 4,136,174 | $ | 17,916,719 | $ | 20,182,170 | $ | — | $ | — | $ | 1,870,723 | 1,870,723 | $ | 60,763 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
24,086,172 | 40,218,277 | 40,070,076 | 8,099 | 1,654 | 24,244,126 | 24,236,855 | 29,892 | ** | ||||||||||||||||||||||
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$ | 28,222,346 | $ | 58,134,996 | $ | 60,252,246 | $ | 8,099 | $ | 1,654 | $ | 26,114,849 | $ | 90,655 | |||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | This amount is included in “Income from securities lending, net” on the Statement of Operations. |
5. | Tax Information |
The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. | Borrowings |
The Series Fund, on behalf of the Portfolio, along with other affiliated registered investment companies (the “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 SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The Fund’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.
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.
B6
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 Funds in the SCA equitably.
The Portfolio did not utilize the SCA during the reporting period ended June 30, 2019.
7. | Capital and Ownership |
The shares of the Portfolio are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
As of June 30, 2019, all shares of the Portfolio were owned of record by the following affiliates of the Manager: Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”), and Pruco Life Insurance Company (“PRU LIFE”) on behalf of the owners of the variable insurance products issued by each of these entities.
In addition, the following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares:
Portfolio | Number of Shareholders | % of Outstanding Shares | % held by an Affiliate of Prudential | |||||||||
SP Small Cap Value | 3 | 96 | 96 |
8. | Risks of Investing in the Portfolio |
The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below:
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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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 Securities Risk: The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolio’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 Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. 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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.
Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also includeso-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
B7
In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which it invests, in addition to the expenses of the Portfolio.
Small Company Risk: Small company stocks present above-average risks in comparison to larger companies. Small companies usually offer a smaller range of products and services than larger companies. Smaller companies may also have limited financial resources and may lack management depth. As a result, stocks issued by smaller companies may be less liquid and fluctuate in value more than the stocks of larger, more established companies.
9. | Recent Accounting Pronouncements and Reporting Updates |
In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolio’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.
B8
Financial Highlights
(Unaudited)
SP Small Cap Value Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2019(a) | Year Ended December 31, | |||||||||||||||||||||||
2018(a) | 2017(a) | 2016(a) | 2015(a) | 2014 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 22.69 | $ | 26.32 | $ | 23.46 | $ | 18.70 | $ | 19.76 | $ | 18.83 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.09 | 0.13 | 0.12 | 0.15 | 0.10 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 3.50 | (3.76 | ) | 2.74 | 4.60 | (1.16 | ) | 0.79 | ||||||||||||||||
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Total from investment operations | 3.59 | (3.63 | ) | 2.86 | 4.75 | (1.06 | ) | 0.93 | ||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | 0.01 | (d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 26.28 | $ | 22.69 | $ | 26.32 | $ | 23.46 | $ | 18.70 | $ | 19.76 | ||||||||||||
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Total Return(e) | 15.82 | % | (13.79 | )%(f) | 12.19 | % | 25.45 | %(g) | (5.36 | )% | 4.94 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 211 | $ | 180 | $ | 214 | $ | 211 | $ | 190 | $ | 217 | ||||||||||||
Average net assets (in millions) | $ | 204 | $ | 211 | $ | 208 | $ | 189 | $ | 207 | $ | 218 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement . | 1.00 | %(i) | 0.99 | % | 1.01 | % | 1.01 | % | 1.02 | % | 0.99 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.01 | %(i) | 1.00 | % | 1.02 | % | 1.02 | % | 1.03 | % | 1.00 | % | ||||||||||||
Net investment income (loss) | 0.75 | %(i) | 0.48 | % | 0.51 | % | 0.75 | % | 0.54 | % | 0.56 | % | ||||||||||||
Portfolio turnover rate(j) | 30 | % | 58 | % | 62 | % | 57 | % | 94 | % | 41 | % |
(a) | Calculated based on average shares outstanding during the period. |
(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) | Less than $0.005 per share. |
(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 period reported and includes reinvestment of 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 return 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period includes the impact of 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 25.40%. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | Annualized. |
(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 turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements: SP Small Cap Value Portfolio
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) and the SP Small Cap Value Portfolio’s (the Portfolio’s) subadvisory agreement with Goldman Sachs Asset Management, L.P (Goldman Sachs or the subadviser). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June18-19, 2019 (the Meeting) and approved the renewal of the agreements through July 31, 2020, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.
The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and Goldman Sachs, which serves as subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, the Portfolio and the Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on aPortfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and Goldman Sachs. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolio’s liquidity risk management program. With respect to PGIM Investments’ oversight of Goldman Sachs, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by Goldman Sachs, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’
evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of Goldman Sachs, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for theday-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and the subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolio by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadviser
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio for theone-, three-, five- andten-year periods ended December 31, 2018, except as otherwise noted below. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2018. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided, and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP Small Cap Value Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 2nd Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees:3rd Quartile | ||||||||
Net Total Expenses:3rd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- andten-year periods, though it underperformed its benchmark index over theone-year period. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
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After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) atwww.sec.gov and on the Fund’s website atwww.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website atwww.sec.gov or call (800) SEC-0330.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call(800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2019 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.
PSF-SAR-SP SMALL CAP VAL
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2019, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
Jennison 20/20 Focus Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2019 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |
Section B | Notes to Financial Statements | |
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2019 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual 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 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
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. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2019 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2019 |
Jennison 20/20 Focus Portfolio |
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Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 7.1% | ||||
PNC Financial Services Group, Inc. (The) | Banks | 3.8% | ||||
American Electric Power Co., Inc. | Electric Utilities | 3.8% | ||||
Mastercard, Inc. (Class A Stock) | IT Services | 3.5% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 3.5% | ||||
Walmart, Inc. | Food & Staples Retailing | 3.2% | ||||
salesforce.com, Inc. | Software | 3.1% | ||||
JPMorgan Chase & Co. | Banks | 3.0% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 2.9% | ||||
Illumina, Inc. | Life Sciences Tools & Services | 2.8% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2019 |
As a contract owner investing in the Portfolio 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 January 1, 2019 through June 30, 2019.
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 Portfolio | Beginning Account Value January 1, 2019 | Ending Account Value June 30, 2019 | Annualized Expense Ratio based on the | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,174.50 | 0.87 | % | $ | 4.69 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||||
Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,171.80 | 1.27 | % | $ | 6.84 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.50 | 1.27 | % | $ | 6.36 |
* 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 181 days in the six-month period ended June 30, 2019, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
JENNISON 20/20 FOCUS PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
LONG-TERM INVESTMENTS — 97.6% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 3.7% |
| |||||||
Boeing Co. (The) | 8,955 | $ | 3,259,709 | |||||
United Technologies Corp. | 28,424 | 3,700,805 | ||||||
|
| |||||||
6,960,514 | ||||||||
|
| |||||||
Automobiles — 0.8% | ||||||||
Tesla, Inc.*(a) | 6,789 | 1,517,070 | ||||||
|
| |||||||
Banks — 6.8% | ||||||||
JPMorgan Chase & Co. | 49,603 | 5,545,615 | ||||||
PNC Financial Services Group, Inc. (The) | 52,245 | 7,172,194 | ||||||
|
| |||||||
12,717,809 | ||||||||
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| |||||||
Chemicals — 1.2% | ||||||||
Linde PLC (United Kingdom) | 11,085 | 2,225,868 | ||||||
|
| |||||||
Consumer Finance — 2.0% | ||||||||
SLM Corp. | 385,350 | 3,745,602 | ||||||
|
| |||||||
Electric Utilities — 5.0% | ||||||||
American Electric Power Co., Inc. | 80,136 | 7,052,769 | ||||||
Exelon Corp. | 45,765 | 2,193,974 | ||||||
|
| |||||||
9,246,743 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.6% |
| |||||||
Schlumberger Ltd. | 28,936 | 1,149,917 | ||||||
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| |||||||
Entertainment — 5.1% | ||||||||
Netflix, Inc.* | 13,015 | 4,780,670 | ||||||
Walt Disney Co. (The) | 33,892 | 4,732,679 | ||||||
|
| |||||||
9,513,349 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.2% |
| |||||||
Walmart, Inc. | 53,545 | 5,916,187 | ||||||
|
| |||||||
Food Products — 2.7% | ||||||||
Mondelez International, Inc. (Class A Stock) | 93,460 | 5,037,494 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
Intuitive Surgical, Inc.* | 4,489 | 2,354,705 | ||||||
Zimmer Biomet Holdings, Inc. | 28,898 | 3,402,451 | ||||||
|
| |||||||
5,757,156 | ||||||||
|
| |||||||
Insurance — 2.6% | ||||||||
MetLife, Inc. | 98,750 | 4,904,913 | ||||||
|
| |||||||
Interactive Media & Services — 6.5% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 5,027 | 5,443,235 | ||||||
Facebook, Inc. (Class A Stock)* | 23,761 | 4,585,873 | ||||||
Tencent Holdings Ltd. (China), ADR | 44,280 | 2,004,113 | ||||||
|
| |||||||
12,033,221 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.7% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 24,103 | 4,084,253 | ||||||
Amazon.com, Inc.* | 3,422 | 6,480,002 | ||||||
|
| |||||||
10,564,255 | ||||||||
|
| |||||||
IT Services — 8.5% | ||||||||
Adyen NV (Netherlands), 144A* | 6,042 | 4,667,546 | ||||||
Mastercard, Inc. (Class A Stock) | 24,579 | 6,501,883 | ||||||
PayPal Holdings, Inc.* | 41,108 | 4,705,222 | ||||||
|
| |||||||
15,874,651 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Life Sciences Tools & Services — 2.8% |
| |||||||
Illumina, Inc.* | 14,123 | $ | 5,199,382 | |||||
|
| |||||||
Media — 2.6% | ||||||||
Comcast Corp. (Class A Stock) | 113,932 | 4,817,045 | ||||||
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| |||||||
Oil, Gas & Consumable Fuels — 3.3% |
| |||||||
Noble Energy, Inc. | 104,045 | 2,330,608 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR(a) | 58,271 | 3,791,694 | ||||||
|
| |||||||
6,122,302 | ||||||||
|
| |||||||
Pharmaceuticals — 6.3% | ||||||||
AstraZeneca PLC (United Kingdom), ADR(a) | 118,954 | 4,910,421 | ||||||
Eli Lilly & Co. | 26,218 | 2,904,692 | ||||||
Pfizer, Inc. | 90,106 | 3,903,392 | ||||||
|
| |||||||
11,718,505 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.3% |
| |||||||
NVIDIA Corp. | 22,726 | 3,732,291 | ||||||
QUALCOMM, Inc. | 48,392 | 3,681,179 | ||||||
Texas Instruments, Inc. | 38,501 | 4,418,375 | ||||||
|
| |||||||
11,831,845 | ||||||||
|
| |||||||
Software — 13.2% | ||||||||
Adobe, Inc.* | 17,166 | 5,057,962 | ||||||
Microsoft Corp. | 98,876 | 13,245,429 | ||||||
salesforce.com, Inc.* | 37,431 | 5,679,405 | ||||||
SAP SE (Germany), ADR | 3,921 | 536,393 | ||||||
|
| |||||||
24,519,189 | ||||||||
|
| |||||||
Specialty Retail — 1.1% | ||||||||
Lowe’s Cos., Inc. | 19,752 | 1,993,174 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 4.5% |
| |||||||
Lululemon Athletica, Inc.* | 28,149 | 5,072,731 | ||||||
NIKE, Inc. (Class B Stock) | 39,774 | 3,339,028 | ||||||
|
| |||||||
8,411,759 | ||||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 181,777,950 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 5.0% |
| |||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond Fund(w) | 2,626,892 | 2,626,892 | ||||||
PGIM Institutional Money Market Fund (cost $6,692,327; includes $6,677,324 of cash collateral for securities on loan)(b)(w) | 6,692,794 | 6,694,802 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 9,321,694 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 102.6% |
| 191,099,644 | ||||||
Liabilities in excess of other assets — (2.6)% |
| (4,780,826 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 186,318,818 | |||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Below is a list of the abbreviation(s) used in the semiannual report:
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. | |
ADR | American Depositary Receipt | |
LIBOR | London Interbank Offered Rate | |
OTC | Over-the-counter |
* | 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 $6,551,024; cash collateral of $6,677,324 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security 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. |
The following is a summary of the inputs used as of June 30, 2019 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 6,960,514 | $ | — | $ | — | ||||||
Automobiles | 1,517,070 | — | — | |||||||||
Banks | 12,717,809 | — | — | |||||||||
Chemicals | 2,225,868 | — | — | |||||||||
Consumer Finance | 3,745,602 | — | — | |||||||||
Electric Utilities | 9,246,743 | — | — | |||||||||
Energy Equipment & Services | 1,149,917 | — | — | |||||||||
Entertainment | 9,513,349 | — | — | |||||||||
Food & Staples Retailing | 5,916,187 | — | — | |||||||||
Food Products | 5,037,494 | — | — | |||||||||
Health Care Equipment & Supplies | 5,757,156 | — | — | |||||||||
Insurance | 4,904,913 | — | — | |||||||||
Interactive Media & Services | 12,033,221 | — | — | |||||||||
Internet & Direct Marketing Retail | 10,564,255 | — | — | |||||||||
IT Services | 11,207,105 | 4,667,546 | — | |||||||||
Life Sciences Tools & Services | 5,199,382 | — | — | |||||||||
Media | 4,817,045 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 6,122,302 | — | — | |||||||||
Pharmaceuticals | 11,718,505 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 11,831,845 | — | — | |||||||||
Software | 24,519,189 | — | — | |||||||||
Specialty Retail | 1,993,174 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 8,411,759 | — | — | |||||||||
Affiliated Mutual Funds | 9,321,694 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 186,432,098 | $ | 4,667,546 | $ | — | ||||||
|
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|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2019 (unaudited) |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2019 were as follows:
Software | 13.2 | % | ||
IT Services | 8.5 | |||
Banks | 6.8 | |||
Interactive Media & Services | 6.5 | |||
Semiconductors & Semiconductor Equipment | 6.3 | |||
Pharmaceuticals | 6.3 | |||
Internet & Direct Marketing Retail | 5.7 | |||
Entertainment | 5.1 | |||
Electric Utilities | 5.0 | |||
Affiliated Mutual Funds (3.6% represents investments | ||||
purchased with collateral from securities on loan) | 5.0 | |||
Textiles, Apparel & Luxury Goods | 4.5 | |||
Aerospace & Defense | 3.7 | |||
Oil, Gas & Consumable Fuels | 3.3 | |||
Food & Staples Retailing | 3.2 |
Health Care Equipment & Supplies | 3.1 | % | ||
Life Sciences Tools & Services | 2.8 | |||
Food Products | 2.7 | |||
Insurance | 2.6 | |||
Media | 2.6 | |||
Consumer Finance | 2.0 | |||
Chemicals | 1.2 | |||
Specialty Retail | 1.1 | |||
Automobiles | 0.8 | |||
Energy Equipment & Services | 0.6 | |||
|
| |||
102.6 | ||||
Liabilities in excess of other assets | (2.6 | ) | ||
|
| |||
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 toset-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 | $ | 6,551,024 | $ | (6,551,024 | ) | $ | — |
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2019
ASSETS | ||||
Investments at value, including securities on loan of $6,551,024: | ||||
Unaffiliated investments (cost $126,827,848) | $ | 181,777,950 | ||
Affiliated investments (cost $9,319,219) | 9,321,694 | |||
Receivable for investments sold | 2,614,305 | |||
Dividends receivable | 68,795 | |||
Tax reclaim receivable | 49,069 | |||
Receivable for Portfolio shares sold | 31,655 | |||
Prepaid expenses | 261 | |||
|
| |||
Total Assets | 193,863,729 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 6,677,324 | |||
Payable for investments purchased | 356,075 | |||
Payable to custodian | 174,102 | |||
Management fee payable | 113,027 | |||
Accrued expenses and other liabilities | 90,211 | |||
Payable for Portfolio shares repurchased | 76,892 | |||
Distribution fee payable | 24,178 | |||
Payable to affiliate | 17,613 | |||
Administration fee payable | 14,509 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 7,544,911 | |||
|
| |||
NET ASSETS | $ | 186,318,818 | ||
|
| |||
Net assets were comprised of: | ||||
Partners Equity | $ | 186,318,818 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $67,170,900 / 1,937,684 outstanding shares of beneficial interest | $ | 34.67 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $119,147,918 / 3,609,385 outstanding shares of beneficial interest | $ | 33.01 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2019
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $8,529 foreign withholding tax) | $ | 1,376,801 | ||
Affiliated dividend income | 33,228 | |||
Income from securities lending, net (including affiliated income of $13,922) | 21,517 | |||
|
| |||
Total income | 1,431,546 | |||
|
| |||
EXPENSES | ||||
Management fee | 687,598 | |||
Distribution fee—Class II | 148,344 | |||
Administration fee—Class II | 89,007 | |||
Custodian and accounting fees | 43,134 | |||
Shareholders’ reports | 25,714 | |||
Audit fee | 12,199 | |||
Trustees’ fees | 5,966 | |||
Legal fees and expenses | 5,736 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,941) | 5,297 | |||
Miscellaneous | 8,935 | |||
|
| |||
Total expenses | 1,031,930 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 399,616 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,724) | 8,765,591 | |||
Foreign currency transactions | 136 | |||
|
| |||
8,765,727 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $2,472) | 20,046,366 | |||
Foreign currencies | 301 | |||
|
| |||
20,046,667 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 28,812,394 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 29,212,010 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2019 | Year Ended December 31, 2018 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 399,616 | $ | 1,138,340 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 8,765,727 | 7,095,611 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 20,046,667 | (17,157,347 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 29,212,010 | (8,923,396 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 3,688,120 | 14,559,333 | ||||||
Portfolio shares repurchased | (24,148,101 | ) | (53,237,975 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (20,459,981 | ) | (38,678,642 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 106,774 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 8,752,029 | (47,495,264 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 177,566,789 | 225,062,053 | ||||||
|
|
|
| |||||
End of period | $ | 186,318,818 | $ | 177,566,789 | ||||
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|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A4
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
The Prudential Series Fund (“Series Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the Jennison 20/20 Focus Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio.
The investment objective of the Portfolio is long-term growth of capital.
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. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The 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 the 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 reportingperiod-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 Portfolio’s 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 and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 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.
B1
Investments inopen-end,non-exchange-traded mutual 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 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.
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.
Illiquid Securities: Pursuant to Rule22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Series Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Series Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Series Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Series Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 Portfolio 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 the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on forward currency 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.
B2
Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, 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 the 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 Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right toset-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 toset-off the amount owed with the amount owed by the other party, the reporting party intends toset-off and the right ofset-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.
Securities Lending: The Portfolio lends its 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. 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. 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 on the Statement of Operations as “Income from securities lending, net”.
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 theex-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. 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, the Portfolio is treated as a separate taxpaying entity. The 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). The Portfolio is not generally subject to entity-level taxation. Shareholders of the 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 the 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 as referenced in Note 3. The 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 the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on theex-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.
B3
2. | Agreements |
The Series Fund, on behalf of the Portfolio, has entered into an investment management agreement with the Manager. Pursuant to this agreement, the Manager has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. The Manager has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “subadviser”), under which Jennison provides investment advisory services for the Portfolio. The Manager pays for the services of the subadviser, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.75% of the Portfolio’s average daily net assets of the Portfolio. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.
The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), 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 Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with the Manager, which acts as the administrator of the Class II shares of the Portfolio. 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 Portfolio, 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 June 30, 2019, brokerage commission recaptured under these agreements was $1,686.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“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 certainout-of-pocket expenses paid tonon-affiliates, where applicable.
The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its 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. Through the Portfolio’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approvedRule 17a-7 procedures. Rule17a-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 Rule17a-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 such17a-7 transactions were effected in accordance with the Series Fund’s Rule17a-7
B4
procedures. Any17a-7 transactions for the reporting period are disclosed in the note, below. For the reporting period ended June 30, 2019, no such transactions were entered into by the Portfolio.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“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 Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolio’s “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. The aggregate previously unreimbursed excess withholding tax and opportunity loss payment for the Portfolio are disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2018.
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.
During the reporting period and in consultation with the Series Fund’s independent trustees, Prudential instituted a process 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.
B5
The following amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as a partnership for tax purposes.
Portfolio | 2019 Payments | |||
Jennison 20/20 Focus | $ | — |
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 reporting period ended June 30, 2019, were $58,329,748 and $76,436,367, respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2019, is presented as follows:
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 5,478,500 | $ | 36,755,768 | $ | 39,607,376 | $ | — | $ | — | $ | 2,626,892 | 2,626,892 | $ | 33,228 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
7,706,108 | 77,547,402 | 78,562,904 | 2,472 | 1,724 | 6,694,802 | 6,692,794 | 13,922 | ** | ||||||||||||||||||||||
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$ | 13,184,608 | $ | 114,303,170 | $ | 118,170,280 | $ | 2,472 | $ | 1,724 | $ | 9,321,694 | $ | 47,150 | |||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | This amount is included in “Income from securities lending, net” on the Statement of Operations. |
5. | Tax Information |
The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership 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 partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 Portfolio’s 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 Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. | Borrowings |
The Series Fund, on behalf of the Portfolio, along with other affiliated registered investment companies (the “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 SCA provides for a commitment of $900 million for the period October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The Fund’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the1-month LIBOR rate or (3) zero percent.
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
B6
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 Funds in the SCA equitably.
The Portfolio utilized the SCA during the reporting period ended June 30, 2019. The average daily balance for the 12 days that the Portfolio had loans outstanding during the period was approximately $478,083, borrowed at a weighted average interest rate of 3.76%. The maximum loan outstanding amount during the period was $1,216,000. At June 30, 2019, the Portfolio did not have an outstanding loan amount.
7. | Capital and Ownership |
The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I 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 ofnon-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts ofnon-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 Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
As of June 30, 2019, all of Class I shares of record of the Portfolio were owned by the Pruco Life Insurance Company (“PLAZ”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PLAZ. PLAZ is an indirect, wholly-owned subsidiary of Prudential.
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares.
Portfolio | Number of Shareholders | % of Outstanding Shares | % held by an Affiliate of Prudential | |||||||||
Jennison 20/20 Focus | 4 | 90 | 32 |
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 48,401 | $ | 1,607,892 | |||||
Portfolio shares repurchased | (107,997 | ) | (3,571,652 | ) | ||||
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Net increase (decrease) in shares outstanding | (59,596 | ) | $ | (1,963,760 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 155,156 | $ | 5,029,990 | |||||
Portfolio shares repurchased | (367,935 | ) | (12,015,117 | ) | ||||
Capital contributions | — | 35,270 | ||||||
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Net increase (decrease) in shares outstanding | (212,779 | ) | $ | (6,949,857 | ) | |||
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Class II: | ||||||||
Six months ended June 30, 2019: | ||||||||
Portfolio shares sold | 65,335 | $ | 2,080,228 | |||||
Portfolio shares repurchased | (666,754 | ) | (20,576,449 | ) | ||||
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Net increase (decrease) in shares outstanding | (601,419 | ) | $ | (18,496,221 | ) | |||
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Year ended December 31, 2018: | ||||||||
Portfolio shares sold | 306,232 | $ | 9,529,343 | |||||
Portfolio shares repurchased | (1,320,167 | ) | (41,222,858 | ) | ||||
Capital contributions | — | 71,504 | ||||||
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Net increase (decrease) in shares outstanding | (1,013,935 | ) | $ | (31,622,011 | ) | |||
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B7
8. | Risks of Investing in the Portfolio |
The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below:
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 Portfolio invests could go down. The Portfolio’s holdings can vary significantly from broad market indexes and the performance of the Portfolio 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 Securities Risk: The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolio’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 Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. 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 Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.
9. | Recent Accounting Pronouncements and Reporting Updates |
In August 2018, the FASB issued Accounting Standards Update (“ASU”)No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolio’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.
B8
Financial Highlights
(Unaudited)
Jennison 20/20 Focus Portfolio — Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 29.52 | $ | 31.19 | $ | 23.94 | $ | 23.56 | $ | 22.16 | $ | 20.69 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.11 | 0.26 | 0.10 | 0.09 | 0.07 | 0.02 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 5.04 | (1.95 | ) | 7.15 | 0.27 | 1.33 | 1.45 | |||||||||||||||||
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Total from investment operations | 5.15 | (1.69 | ) | 7.25 | 0.36 | 1.40 | 1.47 | |||||||||||||||||
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Capital Contributions | — | 0.02 | (c) | — | 0.02 | (d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 34.67 | $ | 29.52 | $ | 31.19 | $ | 23.94 | $ | 23.56 | $ | 22.16 | ||||||||||||
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Total Return(e) | 17.45 | % | (5.35 | )%(f) | 30.28 | % | 1.61 | %(g) | 6.32 | % | 7.10 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 67 | $ | 59 | $ | 69 | $ | 59 | $ | 65 | $ | 67 | ||||||||||||
Average net assets (in millions) | $ | 65 | $ | 69 | $ | 65 | $ | 60 | $ | 67 | $ | 69 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.87 | %(i) | 0.82 | % | 0.82 | % | 0.83 | % | 0.83 | % | 0.83 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.87 | %(i) | 0.84 | % | 0.87 | % | 0.83 | % | 0.83 | % | 0.83 | % | ||||||||||||
Net investment income (loss) | 0.69 | %(i) | 0.80 | % | 0.36 | % | 0.39 | % | 0.30 | % | 0.08 | % | ||||||||||||
Portfolio turnover rate(j) | 32 | % | 42 | % | 99 | % | 69 | % | 64 | % | 97 | % | ||||||||||||
Jennison 20/20 Focus Portfolio — Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 | Year Ended December 31, | |||||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 28.17 | $ | 29.88 | $ | 23.03 | $ | 22.75 | $ | 21.49 | $ | 20.14 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.05 | 0.13 | (0.01 | ) | — | (b) | (0.02 | ) | (0.07 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 4.79 | (1.86 | ) | 6.86 | 0.26 | 1.28 | 1.42 | |||||||||||||||||
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Total from investment operations | 4.84 | (1.73 | ) | 6.85 | 0.26 | 1.26 | 1.35 | |||||||||||||||||
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Capital Contributions | — | 0.02 | (c) | — | 0.02 | (d) | — | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 33.01 | $ | 28.17 | $ | 29.88 | $ | 23.03 | $ | 22.75 | $ | 21.49 | ||||||||||||
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Total Return(e) | 17.18 | % | (5.72 | )%(f) | 29.74 | % | 1.23 | %(g) | 5.86 | % | 6.70 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 119 | $ | 119 | $ | 156 | $ | 143 | $ | 160 | $ | 173 | ||||||||||||
Average net assets (in millions) | $ | 120 | $ | 147 | $ | 151 | $ | 146 | $ | 169 | $ | 177 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.27 | %(i) | 1.22 | % | 1.22 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.27 | %(i) | 1.24 | % | 1.27 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||||
Net investment income (loss) | 0.30 | %(i) | 0.40 | % | (0.04 | )% | (0.01 | )% | (0.10 | )% | (0.33 | )% | ||||||||||||
Portfolio turnover rate(j) | 32 | % | 42 | % | 99 | % | 69 | % | 64 | % | 97 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Less than $0.005 per share. |
(c) | 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. |
(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 period reported and includes reinvestment of 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 generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the period includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (5.41)% and (5.79)% for the Class l and ll, respectively. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.53% and 1.14% for Class l and class ll, respectively. |
(h) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(i) | Annualized. |
(j) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements: Jennison 20/20 Focus Portfolio
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (PGIM Investments) and the Jennison 20/20 Focus Portfolio’s (the Portfolio’s) subadvisory agreement with Jennison Associates LLC (Jennison or the subadviser). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June18-19, 2019 (the Meeting) and approved the renewal of the agreements through July 31, 2020, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from PGIM Investments and subadviser personnel, such as portfolio managers.
The Board determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and the subadviser, which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, the Portfolio and the Portfolio’s shareholders, in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on aPortfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and the subadviser. The Board noted that Jennison, which serves as the Portfolio’s subadviser, is affiliated with PGIM Investments. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser, the provision of recordkeeping, compliance and other services to the Trust, and PGIM Investments’ role as administrator of the Portfolio’s liquidity risk management program. With respect to PGIM Investments’ oversight of the subadviser, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadviser. The Board also considered that PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the
Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management personnel responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for theday-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and the subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadviser
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PGIM Investments at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PGIM Investments and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio for theone-, three-, five- andten-year periods ended December 31, 2018, except as otherwise noted below. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2018. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and the Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deemed appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided, and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Jennison 20/20 Focus Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 3rd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over theone-, five- andten-year periods, though it underperformed its benchmark index over the three-year period. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) atwww.sec.gov and on the Fund’s website atwww.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website atwww.sec.gov or call (800) SEC-0330.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3714
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Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800) 778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2019 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.
PSF-SAR-20/20 Focus
Item 2 – | Code of Ethics – Not required, as this is not an annual filing. | |
Item 3 – | Audit Committee Financial Expert – Not required, as this is not an annual filing. | |
Item 4 – | Principal Accountant Fees and Services – Not required, as this is not an annual filing. | |
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 forClosed-End Management Investment Companies – Not applicable. | |
Item 8 – | Portfolio Managers ofClosed-End Management Investment Companies – Not applicable. | |
Item 9 – | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers – Not applicable. |
Item 10 – | Submission of Matters to a Vote of Security Holders – Not applicable. | |
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 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 forClosed-End
Management Investment Companies – Not applicable. | |
Item 13 – | Exhibits | |
(a) (1) Code of Ethics – Not required, as this is not an annual filing. | ||
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto asExhibit EX-99.CERT. | ||
(3) Any written solicitation to purchase securities under Rule23c-1. – Not applicable. | ||
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto asExhibit 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 Series Fund | |
By: | /s/ Andrew R. French | |
Andrew R. French | ||
Secretary | ||
Date: | August 21, 2019 |
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/ Timothy S. Cronin | |
Timothy S. Cronin | ||
Principal Executive Officer | ||
Date: | August 21, 2019 | |
By: | /s/ Christian J. Kelly | |
Christian J. Kelly | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | August 21, 2019 |