UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811- 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: | 12/31/2020 | |
Date of reporting period: | 6/30/2020 |
Item 1 – Reports to Stockholders
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. 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 each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report 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, 2020 |
∎ | 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 | A116 | |||
Government Money Market Portfolio | A126 | |||
High Yield Bond Portfolio | A130 | |||
Jennison Portfolio | A149 | |||
Natural Resources Portfolio | A153 | |||
Small Capitalization Stock Portfolio | A158 | |||
Stock Index Portfolio | A171 | |||
Value Portfolio | A183 | |||
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, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This 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 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2020 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
Conservative Balanced Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 2.8% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 2.7% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 2.1% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.0% | ||||
Federal National Mortgage Assoc., 3.000%, TBA | U.S. Government Agency Obligations | 0.9% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 0.8% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 0.8% | ||||
Johnson & Johnson | Pharmaceuticals | 0.7% | ||||
Berkshire Hathaway, Inc. (Class B Stock) | Diversified Financial Services | 0.6% | ||||
Visa, Inc. (Class A Stock) | IT Services | 0.6% |
Diversified Bond Portfolio |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 40.2% | |||
AA | 2.9% | |||
A | 11.4% | |||
BBB | 21.7% | |||
BB | 8.8% | |||
B | 4.4% | |||
CCC and Below | 1.7% | |||
NR | 9.4% | |||
Cash & Equivalents | (0.5)% | |||
Total | 100.0% |
Equity Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.0% | ||||
Microsoft Corp. | Software | 4.5% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 4.5% | ||||
AstraZeneca PLC (United Kingdom), ADR | Pharmaceuticals | 3.1% | ||||
Tesla, Inc. | Automobiles | 2.6% | ||||
Netflix, Inc. | Entertainment | 2.4% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 2.3% | ||||
Eli Lilly & Co. | Pharmaceuticals | 2.2% | ||||
Adobe, Inc. | Software | 2.1% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.1% |
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.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
Flexible Managed Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 3.9% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 3.8% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 2.3% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 1.7% | ||||
Procter & Gamble Co. (The) | Household Products | 1.0% | ||||
Intel Corp. | Semiconductors & Semiconductor Equipment | 1.0% | ||||
NVIDIA Corp. | Semiconductors & Semiconductor Equipment | 1.0% | ||||
Johnson & Johnson | Pharmaceuticals | 0.8% | ||||
Cisco Systems, Inc. | Communications Equipment | 0.8% | ||||
AT&T, Inc. | Diversified Telecommunication Services | 0.8% |
Global Portfolio |
| |||||||
Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
Microsoft Corp. | Software | United States | 2.5% | |||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | United States | 1.7% | |||||
Thermo Fisher Scientific, Inc. | Life Sciences Tools & Services | United States | 1.6% | |||||
PayPal Holdings, Inc. | IT Services | United States | 1.6% | |||||
Electronic Arts, Inc. | Entertainment | United States | 1.5% | |||||
SBA Communications Corp. | Equity Real Estate Investment Trusts (REITs) | United States | 1.4% | |||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | United States | 1.4% | |||||
Zoetis, Inc. | Pharmaceuticals | United States | 1.4% | |||||
Mastercard, Inc. (Class A Stock) | IT Services | United States | 1.4% | |||||
Autodesk, Inc. | Software | United States | 1.3% |
Government Income Portfolio |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 98.9% | |||
AA | 2.4% | |||
NR | 0.6% | |||
Cash & Equivalents | (1.9)% | |||
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.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
Government Money Market Portfolio |
| |||||||
Ten Largest Holdings | Interest Rate | Maturity Date | (% of Net Assets | ) | ||||
U.S. Treasury Bills | 0.148% | 09/03/2020 | 3.6% | |||||
U.S. Treasury Bills | 0.114% | 07/07/2020 | 3.2% | |||||
U.S. Treasury Bills | 0.159% | 09/24/2020 | 3.1% | |||||
U.S. Treasury Bills | 0.132% | 08/27/2020 | 2.7% | |||||
U.S. Treasury Bills | 0.053% | 10/01/2020 | 2.5% | |||||
Federal Home Loan Bank | 0.303% | 09/01/2020 | 2.5% | |||||
U.S. Treasury Bills | 0.118% | 08/04/2020 | 2.2% | |||||
Federal Home Loan Bank | 0.160% | 03/04/2021 | 2.2% | |||||
Federal Home Loan Bank | 0.165% | 09/11/2020 | 1.9% | |||||
Federal Home Loan Mortgage Corp. | 0.100% | 07/10/2020 | 1.9% |
Holdings reflect only short-term investments.
High Yield Bond |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 10.8% | |||
BBB | 1.6% | |||
BB | 26.4% | |||
B | 32.5% | |||
CCC and Below | 25.1% | |||
NR | 2.1% | |||
Cash & Equivalents | 1.5% | |||
Total | 100.0% |
Jennison Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 7.5% | ||||
Microsoft Corp. | Software | 5.9% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.5% | ||||
Netflix, Inc. | Entertainment | 4.1% | ||||
Tesla, Inc. | Automobiles | 4.0% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 3.5% | ||||
Mastercard, Inc. (Class A Stock) | IT Services | 3.3% | ||||
NVIDIA Corp. | Semiconductors & Semiconductor Equipment | 3.0% | ||||
Adobe, Inc. | Software | 3.0% | ||||
salesforce.com, Inc. | Software | 3.0% |
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.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
Natural Resources Portfolio |
| |||||||
Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
Exxon Mobil Corp. | Integrated Oil & Gas | United States | 4.8% | |||||
Chevron Corp. | Integrated Oil & Gas | United States | 3.9% | |||||
BHP Group Ltd. | Diversified Metals & Mining | Australia | 3.8% | |||||
Rio Tinto PLC | Diversified Metals & Mining | Australia | 3.7% | |||||
TOTAL SA | Integrated Oil & Gas | France | 3.1% | |||||
Linde PLC | Industrial Gases | United Kingdom | 3.0% | |||||
Invesco Solar ETF | Exchange-Traded Funds | United States | 2.6% | |||||
Marathon Petroleum Corp. | Oil & Gas Refining & Marketing | United States | 2.6% | |||||
BP PLC | Integrated Oil & Gas | United Kingdom | 2.4% | |||||
Valero Energy Corp. | Oil & Gas Refining & Marketing | United States | 2.4% |
Small Capitalization Stock Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Exponent, Inc. | Professional Services | 0.6% | ||||
Wingstop, Inc. | Hotels, Restaurants & Leisure | 0.6% | ||||
Neogen Corp. | Health Care Equipment & Supplies | 0.6% | ||||
Momenta Pharmaceuticals, Inc. | Biotechnology | 0.6% | ||||
Agree Realty Corp. | Equity Real Estate Investment Trusts (REITs) | 0.5% | ||||
Power Integrations, Inc. | Semiconductors & Semiconductor Equipment | 0.5% | ||||
Emergent BioSolutions, Inc. | Biotechnology | 0.5% | ||||
NeoGenomics, Inc. | Life Sciences Tools & Services | 0.5% | ||||
Fox Factory Holding Corp. | Auto Components | 0.5% | ||||
Lithia Motors, Inc. (Class A Stock) | Specialty Retail | 0.5% |
Stock Index Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 5.9% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.7% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 4.4% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.1% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 1.6% | ||||
Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 1.6% | ||||
Johnson & Johnson | Pharmaceuticals | 1.4% | ||||
Berkshire Hathaway, Inc. (Class B Stock) | Diversified Financial Services | 1.3% | ||||
Visa, Inc. (Class A Stock) | IT Services | 1.2% | ||||
Procter & Gamble Co. (The) | Household Products | 1.1% |
Value Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
JPMorgan Chase & Co. | Banks | 3.6% | ||||
Linde PLC (United Kingdom), | Chemicals | 2.7% | ||||
Chevron Corp. | Oil, Gas & Consumable Fuels | 2.6% | ||||
Union Pacific Corp. | Road & Rail | 2.3% | ||||
Walmart, Inc. | Food & Staples Retailing | 2.3% | ||||
Verizon Communications, Inc. | Diversified Telecommunication Services | 2.2% | ||||
Chubb Ltd. | Insurance | 2.2% | ||||
AstraZeneca PLC (United Kingdom), ADR | Pharmaceuticals | 2.2% | ||||
Citigroup, Inc. | Banks | 2.1% | ||||
Microsoft Corp. | Software | 2.1% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2020 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 997.50 | 0.58 | % | $ | 2.88 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.98 | 0.58 | % | $ | 2.92 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,036.40 | 0.44 | % | $ | 2.23 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.68 | 0.44 | % | $ | 2.21 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,018.00 | 0.47 | % | $ | 2.36 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.53 | 0.47 | % | $ | 2.36 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,015.90 | 0.87 | % | $ | 4.36 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.54 | 0.87 | % | $ | 4.37 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 977.90 | 0.62 | % | $ | 3.05 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.78 | 0.62 | % | $ | 3.12 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 941.20 | 0.76 | % | $ | 3.67 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.08 | 0.76 | % | $ | 3.82 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,063.50 | 0.51 | % | $ | 2.62 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.33 | 0.51 | % | $ | 2.56 | ||||||||||
Government Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,003.00 | 0.30 | % | $ | 1.49 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.37 | 0.30 | % | $ | 1.51 | ||||||||||
Government Money Market (Class III) | Actual** | $ | 1,000.00 | $ | 1,000.00 | 0.19 | % | $ | 0.23 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.92 | 0.19 | % | $ | 0.96 | ||||||||||
High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 958.40 | 0.57 | % | $ | 2.78 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.03 | 0.57 | % | $ | 2.87 |
The Prudential Series Fund
Fees and Expenses — unaudited (continued) | June 30, 2020 |
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,194.10 | 0.62 | % | $ | 3.38 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.78 | 0.62 | % | $ | 3.12 | ||||||||||
Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,097.90 | 1.02 | % | $ | 5.39 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.06 | 1.02 | % | $ | 5.19 | ||||||||||
Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 817.60 | 0.57 | % | $ | 2.58 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.03 | 0.57 | % | $ | 2.87 | ||||||||||
Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 816.10 | 0.97 | % | $ | 4.38 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.04 | 0.97 | % | $ | 4.87 | ||||||||||
Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 820.60 | 0.40 | % | $ | 1.81 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.87 | 0.40 | % | $ | 2.01 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 968.10 | 0.31 | % | $ | 1.52 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.32 | 0.31 | % | $ | 1.56 | ||||||||||
Value (Class I) | Actual | $ | 1,000.00 | $ | 848.00 | 0.43 | % | $ | 1.98 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.73 | 0.43 | % | $ | 2.16 | ||||||||||
Value (Class II) | Actual | $ | 1,000.00 | $ | 846.20 | 0.83 | % | $ | 3.81 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.74 | 0.83 | % | $ | 4.17 |
* 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 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
** “Actual” expenses are calculated using the 44-day period ended June 30, 2020 due to the inception date of May 18, 2020.
Glossary |
The following abbreviations are used in the Portfolios’ descriptions:
AUD Australian Dollar |
BRL Brazilian Real |
CAD Canadian Dollar |
CNH Chinese Renminbi |
COP Colombian Peso |
EUR Euro |
GBP British Pound |
HUF Hungarian Forint |
JPY Japanese Yen |
NZD New Zealand Dollar |
USD US Dollar |
ZAR South African Rand |
144A — Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. |
A — Annual payment frequency for swaps |
ABS — Asset-Backed Security |
Aces — Alternative Credit Enhancements Securities |
ADR — American Depositary Receipt |
BABs — Build America Bonds |
BBR — New Zealand Bank Bill Rate |
BBSW — Australian Bank Bill Swap Reference Rate |
BROIS — Brazil Overnight Index Swap |
BUBOR — Budapest Interbank Offered Rate |
CDX — Credit Derivative Index |
CLO — Collateralized Loan Obligation |
CMBS — Collateralized Mortgage-Backed Security |
CMBX — Commercial Mortgage-Backed Index |
CMS — Constant Maturity Swap |
COOIS — Colombia Overnight Interbank Reference Rate |
CVA — Certificate Van Aandelen (Bearer) |
CVT — Convertible Security |
EAFE — Europe, Australasia, Far East |
EMTN — Euro Medium Term Note |
EONIA — Euro Overnight Index Average |
ETF — Exchange-Traded Fund |
EURIBOR — Euro Interbank Offered Rate |
FHLB — Federal Home Loan Bank |
FHLMC — Federal Home Loan Mortgage Corporation |
GDR — Global Depositary Receipt |
GMTN — Global Medium Term Note |
IO — Interest Only (Principal amount represents notional) |
JIBAR — Johannesburg Interbank Agreed Rate |
L2 — Level 2 |
L3 — Level 3 |
LIBOR — London Interbank Offered Rate |
LP — Limited Partnership |
M — Monthly payment frequency for swaps |
MASTR — Morgan Stanley Structured Asset Security |
MSCI — Morgan Stanley Capital International |
MTN — Medium Term Note |
OOTC — OTC Bulletin Board – Other OTC |
OTC — Over-the-counter |
PIK — Payment-in-Kind |
PJSC — Public Joint-Stock Company |
PO — Principal Only |
PRFC — Preference Shares |
Q — Quarterly payment frequency for swaps |
REITs — Real Estate Investment Trust |
REMICS — Real Estate Mortgage Investment Conduit Security |
RSP — Savings Shares |
S — Semiannual payment frequency for swaps |
S&P — Standard & Poor’s |
SONIA — Sterling Overnight Index Average |
SPDR — Standard & Poor’s Depositary Receipts |
Strips — Separate Trading of Registered Interest and Principal of Securities |
T — Swap payment upon termination |
TBA — To Be Announced |
USAID — United States Agency for International Development |
USOIS — United States Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS
A1
CONSERVATIVE BALANCED PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 88.1% |
| |||||||
COMMON STOCKS — 48.2% |
| |||||||
Aerospace & Defense — 0.8% | ||||||||
BAE Systems PLC (United Kingdom) | 21,840 | $ | 131,284 | |||||
Boeing Co. (The) | 24,250 | 4,445,025 | ||||||
General Dynamics Corp. | 10,500 | 1,569,330 | ||||||
Howmet Aerospace, Inc. | 17,280 | 273,888 | ||||||
Huntington Ingalls Industries, Inc. | 1,900 | 331,531 | ||||||
L3Harris Technologies, Inc. | 9,770 | 1,657,676 | ||||||
Leonardo SpA (Italy) | 1,411 | 9,437 | ||||||
Lockheed Martin Corp. | 11,220 | 4,094,402 | ||||||
Northrop Grumman Corp. | 7,062 | 2,171,141 | ||||||
Raytheon Technologies Corp. | 66,555 | 4,101,119 | ||||||
Teledyne Technologies, Inc.* | 1,600 | 497,520 | ||||||
Textron, Inc. | 10,400 | 342,264 | ||||||
TransDigm Group, Inc.(a) | 2,400 | 1,060,920 | ||||||
|
| |||||||
20,685,537 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
C.H. Robinson Worldwide, Inc.(a) | 5,900 | 466,454 | ||||||
Deutsche Post AG | 10,434 | 384,624 | ||||||
Expeditors International of Washington, Inc. | 7,900 | 600,716 | ||||||
FedEx Corp. | 10,880 | 1,525,593 | ||||||
SG Holdings Co. Ltd. (Japan) | 7,500 | 244,800 | ||||||
United Parcel Service, Inc. (Class B Stock) | 31,900 | 3,546,642 | ||||||
Yamato Holdings Co. Ltd. (Japan) | 1,100 | 23,787 | ||||||
|
| |||||||
6,792,616 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
Alaska Air Group, Inc. | 5,700 | 206,682 | ||||||
American Airlines Group, | 14,400 | 188,208 | ||||||
Delta Air Lines, Inc.(a) | 25,800 | 723,690 | ||||||
easyJet PLC (United Kingdom) | 550 | 4,659 | ||||||
Qantas Airways Ltd. (Australia) | 2,613 | 6,907 | ||||||
Southwest Airlines Co. | 24,100 | 823,738 | ||||||
United Airlines Holdings, | 9,700 | 335,717 | ||||||
|
| |||||||
2,289,601 | ||||||||
|
| |||||||
Auto Components — 0.1% | ||||||||
Aptiv PLC | 11,900 | 927,248 | ||||||
BorgWarner, Inc.(a) | 9,600 | 338,880 | ||||||
Cie Generale des Etablissements Michelin SCA (France)* | 2,728 | 282,226 | ||||||
Faurecia SE (France)* | 266 | 10,460 | ||||||
|
| |||||||
1,558,814 | ||||||||
|
| |||||||
Automobiles — 0.1% | ||||||||
Ferrari NV (Italy) | 1,049 | 179,758 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 19,584 | 199,648 | ||||||
Ford Motor Co.(a) | 175,785 | 1,068,773 | ||||||
General Motors Co. | 56,200 | 1,421,860 | ||||||
Peugeot SA (France)* | 14,533 | 238,503 | ||||||
Subaru Corp. (Japan) | 2,200 | 45,754 | ||||||
Toyota Motor Corp. (Japan) | 7,500 | 470,273 | ||||||
Volkswagen AG (Germany)* | 111 | 17,961 | ||||||
|
| |||||||
3,642,530 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Banks — 1.8% | ||||||||
ABN AMRO Bank NV (Netherlands), 144A, CVA | 1,508 | $ | 13,123 | |||||
Bank of America Corp. | 353,141 | 8,387,099 | ||||||
Bankia SA (Spain) | 268,478 | 287,365 | ||||||
Bankinter SA (Spain) | 2,327 | 11,165 | ||||||
Banque Cantonale Vaudoise (Switzerland) | 108 | 10,532 | ||||||
Barclays PLC (United Kingdom) | 60,309 | 85,758 | ||||||
BNP Paribas SA (France)* | 4,633 | 185,233 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 106,500 | 340,438 | ||||||
Citigroup, Inc. | 94,135 | 4,810,298 | ||||||
Citizens Financial Group, Inc. | 17,800 | 449,272 | ||||||
Comerica, Inc. | 5,600 | 213,360 | ||||||
Commonwealth Bank of Australia (Australia) | 7,856 | 379,244 | ||||||
Danske Bank A/S (Denmark)* | 2,232 | 29,892 | ||||||
DBS Group Holdings Ltd. (Singapore) | 2,800 | 41,982 | ||||||
DNB ASA (Norway)* | 3,340 | 44,333 | ||||||
Erste Group Bank AG (Austria)* | 1,000 | 23,669 | ||||||
Fifth Third Bancorp | 30,521 | 588,445 | ||||||
FinecoBank Banca Fineco SpA (Italy)* | 2,088 | 28,296 | ||||||
First Republic Bank | 7,700 | 816,123 | ||||||
HSBC Holdings PLC (United Kingdom) | 12,757 | 59,820 | ||||||
Huntington Bancshares, Inc. | 42,136 | 380,699 | ||||||
Intesa Sanpaolo SpA (Italy)* | 51,392 | 98,972 | ||||||
Japan Post Bank Co. Ltd. (Japan) | 1,400 | 10,400 | ||||||
JPMorgan Chase & Co. | 137,845 | 12,965,701 | ||||||
KeyCorp. | 41,800 | 509,124 | ||||||
M&T Bank Corp. | 5,800 | 603,026 | ||||||
Mebuki Financial Group, Inc. (Japan) | 118,400 | 274,583 | ||||||
Mediobanca Banca di Credito Finanziario SpA (Italy) | 2,220 | 16,053 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 9,000 | 35,290 | ||||||
Mizrahi Tefahot Bank Ltd. (Israel) | 14,214 | 266,151 | ||||||
Mizuho Financial Group, Inc. (Japan) | 81,900 | 100,356 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 1,700 | 11,042 | ||||||
People’s United Financial, | 18,300 | 211,731 | ||||||
PNC Financial Services Group, Inc. (The) | 19,233 | 2,023,504 | ||||||
Raiffeisen Bank International AG (Austria)* | 5,276 | 94,382 | ||||||
Regions Financial Corp. | 40,203 | 447,057 | ||||||
Resona Holdings, Inc. (Japan) | 7,400 | 25,277 | ||||||
Seven Bank Ltd. (Japan) | 38,700 | 105,791 | ||||||
Shinsei Bank Ltd. (Japan) | 700 | 8,454 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A | 40,055 | 348,971 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 9,000 | 253,133 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 2,000 | 56,108 | ||||||
SVB Financial Group* | 2,400 | 517,272 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock)* | 5,353 | 51,034 | ||||||
Swedbank AB (Sweden) | 1,470 | 18,875 | ||||||
Truist Financial Corp. | 60,901 | 2,286,833 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Banks (cont’d.) | ||||||||
U.S. Bancorp | 61,985 | $ | 2,282,288 | |||||
Wells Fargo & Co. | 168,764 | 4,320,358 | ||||||
Zions Bancorp NA | 6,350 | 215,900 | ||||||
|
| |||||||
45,343,812 | ||||||||
|
| |||||||
Beverages — 0.8% | ||||||||
Asahi Group Holdings Ltd. (Japan) | 3,100 | 108,809 | ||||||
Brown-Forman Corp. (Class B Stock)(a) | 8,475 | 539,518 | ||||||
Carlsberg A/S (Denmark) (Class B Stock) | 372 | 49,389 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 1,677 | 10,110 | ||||||
Coca-Cola Co. (The) | 174,901 | 7,814,577 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 6,600 | 249,216 | ||||||
Coca-Cola HBC AG (Switzerland) | 720 | 18,148 | ||||||
Constellation Brands, Inc. (Class A Stock) | 7,600 | 1,329,620 | ||||||
Diageo PLC (United Kingdom) | 770 | 25,620 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 2,900 | 61,157 | ||||||
Molson Coors Beverage Co. (Class B Stock) | 8,800 | 302,368 | ||||||
Monster Beverage Corp.* | 16,900 | 1,171,508 | ||||||
PepsiCo, Inc. | 62,807 | 8,306,854 | ||||||
Pernod Ricard SA (France) | 285 | 44,985 | ||||||
|
| |||||||
20,031,879 | ||||||||
|
| |||||||
Biotechnology — 1.2% | ||||||||
AbbVie, Inc. | 79,701 | 7,825,044 | ||||||
Alexion Pharmaceuticals, Inc.* | 10,300 | 1,156,072 | ||||||
Amgen, Inc. | 26,637 | 6,282,603 | ||||||
Biogen, Inc.* | 7,460 | 1,995,923 | ||||||
CSL Ltd. (Australia) | 110 | 21,977 | ||||||
Gilead Sciences, Inc. | 56,700 | 4,362,498 | ||||||
Incyte Corp.* | 8,200 | 852,554 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4,640 | 2,893,736 | ||||||
Vertex Pharmaceuticals, Inc.* | 11,800 | 3,425,658 | ||||||
|
| |||||||
28,816,065 | ||||||||
|
| |||||||
Building Products — 0.2% | ||||||||
A.O. Smith Corp. | 5,600 | 263,872 | ||||||
Allegion PLC(a) | 4,033 | 412,253 | ||||||
Carrier Global Corp. | 35,702 | 793,299 | ||||||
Cie de Saint-Gobain (France)* | 1,700 | 61,686 | ||||||
Fortune Brands Home & Security, Inc. | 6,600 | 421,938 | ||||||
Geberit AG (Switzerland) | 128 | 64,352 | ||||||
Johnson Controls International PLC | 33,622 | 1,147,855 | ||||||
Kingspan Group PLC (Ireland) | 527 | 34,122 | ||||||
Masco Corp. | 11,900 | 597,499 | ||||||
Trane Technologies PLC | 10,700 | 952,086 | ||||||
|
| |||||||
4,748,962 | ||||||||
|
| |||||||
Capital Markets — 1.3% | ||||||||
Ameriprise Financial, Inc. | 5,520 | 828,221 | ||||||
Bank of New York Mellon Corp. (The) | 36,458 | 1,409,102 | ||||||
BlackRock, Inc. | 7,000 | 3,808,630 | ||||||
Cboe Global Markets, Inc. | 5,100 | 475,728 | ||||||
Charles Schwab Corp. (The) | 51,850 | 1,749,419 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Capital Markets (cont’d.) |
| |||||||
CME Group, Inc. | 16,300 | $ | 2,649,402 | |||||
Credit Suisse Group AG (Switzerland) | 8,463 | 88,597 | ||||||
Deutsche Boerse AG (Germany) | 655 | 119,021 | ||||||
E*TRADE Financial Corp. | 9,720 | 483,376 | ||||||
Franklin Resources, Inc.(a) | 11,900 | 249,543 | ||||||
Goldman Sachs Group, Inc. (The) | 14,000 | 2,766,680 | ||||||
Hargreaves Lansdown PLC (United Kingdom) | 1,170 | 23,703 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 4,200 | 179,672 | ||||||
Intercontinental Exchange, Inc. | 24,755 | 2,267,558 | ||||||
Invesco Ltd.(a) | 16,000 | 172,160 | ||||||
Magellan Financial Group Ltd. (Australia) | 8,343 | 341,117 | ||||||
MarketAxess Holdings, Inc. | 1,720 | 861,582 | ||||||
Moody’s Corp. | 7,350 | 2,019,265 | ||||||
Morgan Stanley | 54,580 | 2,636,214 | ||||||
MSCI, Inc. | 4,000 | 1,335,280 | ||||||
Nasdaq, Inc. | 5,100 | 609,297 | ||||||
Nomura Holdings, Inc. (Japan) | 75,100 | 335,851 | ||||||
Northern Trust Corp. | 9,200 | 729,928 | ||||||
Raymond James Financial, Inc. | 5,900 | 406,097 | ||||||
S&P Global, Inc. | 10,900 | 3,591,332 | ||||||
Singapore Exchange Ltd. (Singapore) | 11,700 | 70,368 | ||||||
Standard Life Aberdeen PLC (United Kingdom) | 8,750 | 29,155 | ||||||
State Street Corp. | 15,900 | 1,010,445 | ||||||
T. Rowe Price Group, Inc. | 10,300 | 1,272,050 | ||||||
UBS Group AG (Switzerland) | 29,884 | 348,046 | ||||||
|
| |||||||
32,866,839 | ||||||||
|
| |||||||
Chemicals — 0.9% | ||||||||
Air Products & Chemicals, Inc. | 10,000 | 2,414,600 | ||||||
Albemarle Corp.(a) | 5,100 | 393,771 | ||||||
Arkema SA (France) | 275 | 26,426 | ||||||
Asahi Kasei Corp. (Japan) | 4,300 | 35,297 | ||||||
BASF SE (Germany) | 3,190 | 179,595 | ||||||
Celanese Corp. | 5,600 | 483,504 | ||||||
CF Industries Holdings, Inc. | 8,900 | 250,446 | ||||||
Corteva, Inc. | 32,947 | 882,650 | ||||||
Dow, Inc.(a) | 32,947 | 1,342,920 | ||||||
DuPont de Nemours, Inc. | 33,247 | 1,766,413 | ||||||
Eastman Chemical Co. | 6,400 | 445,696 | ||||||
Ecolab, Inc. | 11,200 | 2,228,240 | ||||||
Evonik Industries AG (Germany) | 756 | 19,332 | ||||||
FMC Corp. | 6,200 | 617,644 | ||||||
Givaudan SA (Switzerland) | 32 | 119,754 | ||||||
International Flavors & Fragrances, Inc.(a) | 5,000 | 612,300 | ||||||
Linde PLC (United Kingdom) | 23,800 | 5,048,218 | ||||||
LyondellBasell Industries NV (Class A Stock) | 11,700 | 768,924 | ||||||
Mosaic Co. (The) | 15,600 | 195,156 | ||||||
Nissan Chemical Corp. (Japan) | 500 | 25,659 | ||||||
Orica Ltd. (Australia) | 1,990 | 23,078 | ||||||
PPG Industries, Inc. | 11,000 | 1,166,660 | ||||||
Sherwin-Williams Co. (The) | 3,750 | 2,166,938 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,200 | 140,447 | ||||||
Showa Denko KK (Japan) | 200 | 4,477 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Chemicals (cont’d.) |
| |||||||
Symrise AG (Germany) | 104 | $ | 12,117 | |||||
Tosoh Corp. (Japan) | 5,600 | 76,374 | ||||||
Yara International ASA (Norway) | 1,334 | 46,511 | ||||||
|
| |||||||
21,493,147 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Cintas Corp. | 3,900 | 1,038,804 | ||||||
Copart, Inc.* | 9,800 | 816,046 | ||||||
Dai Nippon Printing Co. Ltd. (Japan) | 900 | 20,626 | ||||||
Republic Services, Inc. | 9,565 | 784,808 | ||||||
Rollins, Inc. | 6,600 | 279,774 | ||||||
Secom Co. Ltd. (Japan) | 800 | 69,919 | ||||||
Toppan Printing Co. Ltd. (Japan) | 5,000 | 83,486 | ||||||
Waste Management, Inc. | 17,542 | 1,857,873 | ||||||
|
| |||||||
4,951,336 | ||||||||
|
| |||||||
Communications Equipment — 0.5% |
| |||||||
Arista Networks, Inc.*(a) | 2,600 | 546,078 | ||||||
Cisco Systems, Inc. | 191,800 | 8,945,552 | ||||||
F5 Networks, Inc.* | 2,900 | 404,492 | ||||||
Juniper Networks, Inc. | 14,200 | 324,612 | ||||||
Motorola Solutions, Inc. | 7,689 | 1,077,459 | ||||||
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) | 10,677 | 99,016 | ||||||
|
| |||||||
11,397,209 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 5,655 | 143,731 | ||||||
Eiffage SA (France)* | 271 | 24,873 | ||||||
HOCHTIEF AG (Germany) | 88 | 7,873 | ||||||
Jacobs Engineering Group, Inc. | 6,300 | 534,240 | ||||||
Obayashi Corp. (Japan) | 31,100 | 290,670 | ||||||
Quanta Services, Inc. | 6,100 | 239,303 | ||||||
Shimizu Corp. (Japan) | 33,600 | 275,957 | ||||||
Skanska AB (Sweden) (Class B Stock)* | 1,152 | 23,542 | ||||||
Taisei Corp. (Japan) | 700 | 25,458 | ||||||
Vinci SA (France) | 920 | 84,956 | ||||||
|
| |||||||
1,650,603 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
CRH PLC (Ireland) | 2,786 | 96,052 | ||||||
HeidelbergCement AG (Germany) | 3,565 | 191,975 | ||||||
LafargeHolcim Ltd. (Switzerland)* | 6,970 | 309,333 | ||||||
Martin Marietta Materials, Inc. | 2,800 | 578,396 | ||||||
Vulcan Materials Co. | 6,000 | 695,100 | ||||||
|
| |||||||
1,870,856 | ||||||||
|
| |||||||
Consumer Finance — 0.2% | ||||||||
American Express Co. | 29,900 | 2,846,480 | ||||||
Capital One Financial Corp. | 20,561 | 1,286,913 | ||||||
Discover Financial Services | 13,940 | 698,255 | ||||||
Synchrony Financial | 22,872 | 506,843 | ||||||
|
| |||||||
5,338,491 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
Amcor PLC(a) | 70,650 | 721,337 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Containers & Packaging (cont’d.) |
| |||||||
Avery Dennison Corp. | 3,800 | $ | 433,542 | |||||
Ball Corp. | 14,800 | 1,028,452 | ||||||
International Paper Co. | 16,673 | 587,056 | ||||||
Packaging Corp. of America | 4,200 | 419,160 | ||||||
Sealed Air Corp. | 6,700 | 220,095 | ||||||
Westrock Co. | 10,444 | 295,147 | ||||||
|
| |||||||
3,704,789 | ||||||||
|
| |||||||
Distributors — 0.0% | ||||||||
Genuine Parts Co. | 6,500 | 565,240 | ||||||
LKQ Corp.* | 12,200 | 319,640 | ||||||
|
| |||||||
884,880 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% |
| |||||||
H&R Block, Inc. | 8,600 | 122,808 | ||||||
|
| |||||||
Diversified Financial Services — 0.6% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 88,000 | 15,708,880 | ||||||
EXOR NV (Netherlands) | 377 | 21,735 | ||||||
M&G PLC (United Kingdom) | 35,259 | 73,455 | ||||||
ORIX Corp. (Japan) | 4,500 | 55,450 | ||||||
|
| |||||||
15,859,520 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
AT&T, Inc. | 322,336 | 9,744,217 | ||||||
CenturyLink, Inc.(a) | 41,379 | 415,031 | ||||||
Deutsche Telekom AG (Germany) | 14,249 | 241,050 | ||||||
Elisa OYJ (Finland) | 504 | 30,658 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 16,400 | 382,206 | ||||||
Orange SA (France) | 5,325 | 63,813 | ||||||
Proximus SADP (Belgium) | 560 | 11,432 | ||||||
Telecom Italia SpA (Italy), RSP | 22,010 | 8,575 | ||||||
Telefonica Deutschland Holding AG (Germany) | 52,242 | 155,093 | ||||||
Telenor ASA (Norway) | 1,512 | 22,054 | ||||||
United Internet AG (Germany) | 357 | 15,217 | ||||||
Verizon Communications, Inc. | 187,176 | 10,319,013 | ||||||
|
| |||||||
21,408,359 | ||||||||
|
| |||||||
Electric Utilities — 0.9% | ||||||||
Alliant Energy Corp. | 11,200 | 535,808 | ||||||
American Electric Power Co., Inc. | 22,460 | 1,788,714 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 22,900 | 286,938 | ||||||
CK Infrastructure Holdings Ltd. (Hong Kong) | 2,500 | 12,892 | ||||||
Duke Energy Corp.(a) | 33,261 | 2,657,221 | ||||||
Edison International | 16,700 | 906,977 | ||||||
Endesa SA (Spain) | 1,140 | 28,161 | ||||||
Enel SpA (Italy) | 46,695 | 404,443 | ||||||
Entergy Corp. | 8,900 | 834,909 | ||||||
Evergy, Inc. | 10,600 | 628,474 | ||||||
Eversource Energy | 15,200 | 1,265,704 | ||||||
Exelon Corp. | 43,413 | 1,575,458 | ||||||
FirstEnergy Corp. | 24,406 | 946,465 | ||||||
Fortum OYJ (Finland) | 1,519 | 29,057 | ||||||
Iberdrola SA (Spain) | 50,227 | 583,816 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Electric Utilities (cont’d.) | ||||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 11,700 | $ | 111,816 | |||||
NextEra Energy, Inc. | 22,200 | 5,331,774 | ||||||
NRG Energy, Inc. | 10,400 | 338,624 | ||||||
Pinnacle West Capital | 5,300 | 388,437 | ||||||
PPL Corp. | 34,200 | 883,728 | ||||||
Southern Co. (The) | 47,800 | 2,478,430 | ||||||
Terna Rete Elettrica Nazionale SpA (Italy) | 4,836 | 33,359 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 1,500 | 14,273 | ||||||
Xcel Energy, Inc. | 23,810 | 1,488,125 | ||||||
|
| |||||||
23,553,603 | ||||||||
|
| |||||||
Electrical Equipment — 0.2% | ||||||||
ABB Ltd. (Switzerland) | 6,374 | 144,565 | ||||||
AMETEK, Inc. | 10,300 | 920,511 | ||||||
Eaton Corp. PLC | 18,137 | 1,586,625 | ||||||
Emerson Electric Co. | 27,000 | 1,674,810 | ||||||
Fuji Electric Co. Ltd. (Japan) | 500 | 13,670 | ||||||
Legrand SA (France) | 910 | 69,579 | ||||||
Rockwell Automation, Inc. | 5,500 | 1,171,500 | ||||||
Schneider Electric SE (France) | 4,417 | 494,351 | ||||||
|
| |||||||
6,075,611 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Amphenol Corp. (Class A Stock) | 13,300 | 1,274,273 | ||||||
CDW Corp. | 6,500 | 755,170 | ||||||
Corning, Inc. | 34,200 | 885,780 | ||||||
FLIR Systems, Inc. | 6,100 | 247,477 | ||||||
Hexagon AB (Sweden) (Class B Stock)* | 3,791 | 223,033 | ||||||
Hitachi Ltd. (Japan) | 3,300 | 104,832 | ||||||
IPG Photonics Corp.* | 1,700 | 272,663 | ||||||
Keysight Technologies, Inc.* | 8,400 | 846,552 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 2,100 | 123,125 | ||||||
TDK Corp. (Japan) | 500 | 49,653 | ||||||
TE Connectivity Ltd. | 14,900 | 1,215,095 | ||||||
Venture Corp. Ltd. (Singapore) | 1,000 | 11,671 | ||||||
Zebra Technologies Corp. | 2,430 | 621,959 | ||||||
|
| |||||||
6,631,283 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Baker Hughes Co. | 28,798 | 443,201 | ||||||
Halliburton Co. | 37,100 | 481,558 | ||||||
National Oilwell Varco, Inc. | 14,100 | 172,725 | ||||||
Schlumberger Ltd. | 60,324 | 1,109,359 | ||||||
TechnipFMC PLC (United Kingdom) | 18,400 | 125,856 | ||||||
|
| |||||||
2,332,699 | ||||||||
|
| |||||||
Entertainment — 1.0% | ||||||||
Activision Blizzard, Inc. | 34,900 | 2,648,910 | ||||||
Electronic Arts, Inc.* | 13,100 | 1,729,855 | ||||||
Live Nation Entertainment, Inc.* | 6,000 | 265,980 | ||||||
Netflix, Inc.* | 19,970 | 9,087,149 | ||||||
Nexon Co. Ltd. (Japan) | 1,800 | 40,654 | ||||||
Nintendo Co. Ltd. (Japan) | 700 | 312,863 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Entertainment (cont’d.) | ||||||||
Take-Two Interactive Software, Inc.* | 5,300 | $ | 739,721 | |||||
Walt Disney Co. (The) | 81,782 | 9,119,511 | ||||||
|
| |||||||
23,944,643 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
Alexandria Real Estate Equities, Inc. | 5,600 | 908,600 | ||||||
American Tower Corp. | 20,060 | 5,186,312 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 6,936 | 261,071 | ||||||
AvalonBay Communities, Inc. | 6,575 | 1,016,758 | ||||||
Boston Properties, Inc. | 6,500 | 587,470 | ||||||
British Land Co. PLC (The) (United Kingdom) | 3,024 | 14,531 | ||||||
CapitaLand Commercial Trust (Singapore) | 9,800 | 11,964 | ||||||
Crown Castle International Corp. | 18,900 | 3,162,915 | ||||||
Daiwa House REIT Investment Corp. (Japan) | 7 | 16,477 | ||||||
Digital Realty Trust, Inc.(a) | 12,100 | 1,719,531 | ||||||
Duke Realty Corp. | 16,500 | 583,935 | ||||||
Equinix, Inc. | 4,054 | 2,847,124 | ||||||
Equity Residential | 16,300 | 958,766 | ||||||
Essex Property Trust, Inc. | 3,150 | 721,886 | ||||||
Extra Space Storage, Inc. | 5,800 | 535,746 | ||||||
Federal Realty Investment Trust | 3,300 | 281,193 | ||||||
GLP J-REIT (Japan) | 13 | 18,860 | ||||||
Goodman Group (Australia) | 10,066 | 104,033 | ||||||
Healthpeak Properties, Inc. | 23,400 | 644,904 | ||||||
Host Hotels & Resorts, Inc.(a) | 29,682 | 320,269 | ||||||
Iron Mountain, Inc.(a) | 11,002 | 287,152 | ||||||
Japan Prime Realty Investment Corp. (Japan) | 9 | 26,444 | ||||||
Japan Real Estate Investment Corp. (Japan) | 5 | 25,724 | ||||||
Japan Retail Fund Investment Corp. (Japan) | 9 | 11,284 | ||||||
Kimco Realty Corp.(a) | 18,700 | 240,108 | ||||||
Klepierre SA (France) | 14,863 | 297,441 | ||||||
Land Securities Group PLC (United Kingdom) | 2,508 | 17,205 | ||||||
Mid-America Apartment Communities, Inc. | 5,300 | 607,751 | ||||||
Prologis, Inc. | 33,477 | 3,124,408 | ||||||
Public Storage(a) | 6,800 | 1,304,852 | ||||||
Realty Income Corp. | 15,700 | 934,150 | ||||||
Regency Centers Corp. | 7,900 | 362,531 | ||||||
SBA Communications Corp. | 5,100 | 1,519,392 | ||||||
Scentre Group (Australia) | 19,018 | 28,682 | ||||||
Simon Property Group, Inc. | 14,193 | 970,517 | ||||||
SL Green Realty Corp. | 3,300 | 162,657 | ||||||
Stockland (Australia) | 122,505 | 283,621 | ||||||
UDR, Inc. | 13,000 | 485,940 | ||||||
United Urban Investment Corp. (Japan) | 11 | 11,918 | ||||||
Ventas, Inc.(a) | 16,318 | 597,565 | ||||||
Vornado Realty Trust(a) | 6,325 | 241,678 | ||||||
Welltower, Inc. | 18,800 | 972,900 | ||||||
Weyerhaeuser Co. | 33,318 | 748,322 | ||||||
|
| |||||||
33,164,587 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
Coles Group Ltd. (Australia) | 3,854 | $ | 46,048 | |||||
Colruyt SA (Belgium) | 200 | 11,024 | ||||||
Costco Wholesale Corp. | 20,000 | 6,064,200 | ||||||
J Sainsbury PLC (United Kingdom) | 6,112 | 15,786 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 13,656 | 373,745 | ||||||
Kroger Co. (The) | 35,492 | 1,201,404 | ||||||
Seven &i Holdings Co. Ltd. (Japan) | 2,000 | 65,290 | ||||||
Sysco Corp. | 22,600 | 1,235,316 | ||||||
Walgreens Boots Alliance, Inc. | 33,300 | 1,411,587 | ||||||
Walmart, Inc. | 64,100 | 7,677,898 | ||||||
Wm Morrison Supermarkets PLC (United Kingdom) | 8,409 | 19,944 | ||||||
Woolworths Group Ltd. (Australia) | 11,871 | 306,408 | ||||||
|
| |||||||
18,428,650 | ||||||||
|
| |||||||
Food Products — 0.6% | ||||||||
Archer-Daniels-Midland Co. | 24,326 | 970,607 | ||||||
Campbell Soup Co.(a) | 7,900 | 392,077 | ||||||
Conagra Brands, Inc. | 21,500 | 756,155 | ||||||
General Mills, Inc.(a) | 27,400 | 1,689,210 | ||||||
Hershey Co. (The) | 6,700 | 868,454 | ||||||
Hormel Foods Corp.(a) | 12,200 | 588,894 | ||||||
J.M. Smucker Co. (The)(a) | 5,100 | 539,631 | ||||||
Kellogg Co. | 11,800 | 779,508 | ||||||
Kraft Heinz Co. (The) | 27,917 | 890,273 | ||||||
Lamb Weston Holdings, | 6,600 | 421,938 | ||||||
McCormick & Co., Inc.(a) | 5,820 | 1,044,166 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 400 | 31,827 | ||||||
Mondelez International, Inc. (Class A Stock) | 64,553 | 3,300,595 | ||||||
Nestle SA (Switzerland) | 7,758 | 860,385 | ||||||
Orkla ASA (Norway) | 2,598 | 22,826 | ||||||
Tate & Lyle PLC (United Kingdom) | 7,241 | 60,001 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 300 | 16,783 | ||||||
Tyson Foods, Inc. (Class A Stock) | 13,300 | 794,143 | ||||||
WH Group Ltd. (Hong Kong), 144A | 350,000 | 302,027 | ||||||
Wilmar International Ltd. (China) | 3,900 | 11,477 | ||||||
|
| |||||||
14,340,977 | ||||||||
|
| |||||||
Gas Utilities — 0.0% | ||||||||
Atmos Energy Corp. | 5,900 | 587,522 | ||||||
Enagas SA (Spain) | 1,262 | 30,926 | ||||||
Naturgy Energy Group SA (Spain) | 9,092 | 169,226 | ||||||
Snam SpA (Italy) | 6,780 | 33,121 | ||||||
Tokyo Gas Co. Ltd. (Japan) | 900 | 21,523 | ||||||
|
| |||||||
842,318 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
Abbott Laboratories | 80,000 | 7,314,400 | ||||||
ABIOMED, Inc.* | 2,060 | 497,614 | ||||||
Align Technology, Inc.* | 3,300 | 905,652 | ||||||
Baxter International, Inc. | 23,000 | 1,980,300 | ||||||
Becton, Dickinson & Co. | 13,410 | 3,208,611 | ||||||
Boston Scientific Corp.* | 63,767 | 2,238,859 | ||||||
Cooper Cos., Inc. (The) | 2,240 | 635,353 | ||||||
Danaher Corp. | 28,500 | 5,039,655 | ||||||
DENTSPLY SIRONA, Inc. | 9,600 | 422,976 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Health Care Equipment & Supplies (cont’d.) |
| |||||||
DexCom, Inc.* | 4,200 | $ | 1,702,680 | |||||
DiaSorin SpA (Italy) | 210 | 40,363 | ||||||
Edwards Lifesciences Corp.* | 28,000 | 1,935,080 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) | 2,001 | 45,833 | ||||||
Hologic, Inc.* | 11,500 | 655,500 | ||||||
IDEXX Laboratories, Inc.* | 3,900 | 1,287,624 | ||||||
Intuitive Surgical, Inc.* | 5,280 | 3,008,702 | ||||||
Medtronic PLC | 60,690 | 5,565,273 | ||||||
ResMed, Inc. | 6,700 | 1,286,400 | ||||||
Siemens Healthineers AG (Germany), 144A | 515 | 24,793 | ||||||
STERIS PLC | 3,850 | 590,744 | ||||||
Stryker Corp. | 14,600 | 2,630,774 | ||||||
Teleflex, Inc. | 2,200 | 800,756 | ||||||
Varian Medical Systems, | 4,100 | 502,332 | ||||||
West Pharmaceutical Services, Inc. | 3,500 | 795,095 | ||||||
Zimmer Biomet Holdings, Inc. | 9,600 | 1,145,856 | ||||||
|
| |||||||
44,261,225 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
Alfresa Holdings Corp. (Japan) | 3,500 | 73,060 | ||||||
AmerisourceBergen Corp. | 6,900 | 695,313 | ||||||
Anthem, Inc. | 11,400 | 2,997,972 | ||||||
Cardinal Health, Inc. | 13,150 | 686,298 | ||||||
Centene Corp.* | 26,250 | 1,668,187 | ||||||
Cigna Corp. | 16,700 | 3,133,755 | ||||||
CVS Health Corp. | 59,183 | 3,845,120 | ||||||
DaVita, Inc.*(a) | 4,000 | 316,560 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany)* | 1,450 | 125,102 | ||||||
Fresenius SE & Co. KGaA (Germany)* | 5,716 | 285,627 | ||||||
HCA Healthcare, Inc. | 11,800 | 1,145,308 | ||||||
Henry Schein, Inc.*(a) | 6,800 | 397,052 | ||||||
Humana, Inc. | 6,050 | 2,345,887 | ||||||
Laboratory Corp. of America Holdings* | 4,600 | 764,106 | ||||||
McKesson Corp. | 7,630 | 1,170,595 | ||||||
Medipal Holdings Corp. (Japan) | 15,200 | 292,827 | ||||||
Quest Diagnostics, Inc. | 6,200 | 706,552 | ||||||
Suzuken Co. Ltd. (Japan) | 8,200 | 306,109 | ||||||
UnitedHealth Group, Inc. | 42,960 | 12,671,052 | ||||||
Universal Health Services, Inc. (Class B Stock) | 3,900 | 362,271 | ||||||
|
| |||||||
33,988,753 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
Cerner Corp.(a) | 13,800 | 945,990 | ||||||
M3, Inc. (Japan) | 1,000 | 42,522 | ||||||
|
| |||||||
988,512 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% |
| |||||||
Carnival Corp.(a) | 19,300 | 316,906 | ||||||
Chipotle Mexican Grill, Inc.* | 1,170 | 1,231,261 | ||||||
Darden Restaurants, Inc. | 5,950 | 450,832 | ||||||
Domino’s Pizza, Inc. | 1,800 | 664,992 | ||||||
Evolution Gaming Group AB (Sweden), 144A | 4,369 | 263,583 | ||||||
Flutter Entertainment PLC (Ireland) | 468 | 61,726 |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Hotels, Restaurants & Leisure (cont’d.) |
| |||||||
Galaxy Entertainment Group Ltd. (Macau) | 8,000 | $ | 54,497 | |||||
Hilton Worldwide Holdings, Inc. | 12,400 | 910,780 | ||||||
Las Vegas Sands Corp. | 15,600 | 710,424 | ||||||
Marriott International, Inc. (Class A Stock) | 12,128 | 1,039,733 | ||||||
McDonald’s Corp. | 33,700 | 6,216,639 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | 1,600 | 86,304 | ||||||
MGM Resorts | 20,800 | 349,440 | ||||||
Norwegian Cruise Line Holdings Ltd.*(a) | 9,900 | 162,657 | ||||||
Royal Caribbean Cruises Ltd.(a) | 7,300 | 367,190 | ||||||
Starbucks Corp. | 52,900 | 3,892,911 | ||||||
Wynn Resorts Ltd. | 4,700 | 350,103 | ||||||
Yum! Brands, Inc. | 13,600 | 1,181,976 | ||||||
|
| |||||||
18,311,954 | ||||||||
|
| |||||||
Household Durables — 0.2% |
| |||||||
Barratt Developments PLC (United Kingdom) | 3,530 | 21,847 | ||||||
Berkeley Group Holdings PLC (United Kingdom) | 5,598 | 289,615 | ||||||
Casio Computer Co. Ltd. (Japan) | 700 | 12,271 | ||||||
D.R. Horton, Inc. | 15,000 | 831,750 | ||||||
Garmin Ltd. | 6,500 | 633,750 | ||||||
Husqvarna AB (Sweden) (Class B Stock) | 1,380 | 11,381 | ||||||
Leggett & Platt, Inc. | 5,400 | 189,810 | ||||||
Lennar Corp. (Class A Stock) | 12,400 | 764,088 | ||||||
Mohawk Industries, Inc.* | 2,940 | 299,174 | ||||||
Newell Brands, Inc. | 15,914 | 252,714 | ||||||
NVR, Inc.* | 160 | 521,400 | ||||||
Persimmon PLC (United Kingdom)* | 988 | 28,108 | ||||||
PulteGroup, Inc. | 10,322 | 351,258 | ||||||
Sekisui House Ltd. (Japan) | 2,200 | 41,869 | ||||||
Sony Corp. (Japan) | 9,200 | 633,016 | ||||||
Taylor Wimpey PLC (United Kingdom) | 10,680 | 18,995 | ||||||
Whirlpool Corp.(a) | 3,026 | 391,958 | ||||||
|
| |||||||
5,293,004 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
Church & Dwight Co., Inc. | 11,100 | 858,030 | ||||||
Clorox Co. (The) | 5,700 | 1,250,409 | ||||||
Colgate-Palmolive Co. | 38,800 | 2,842,488 | ||||||
Essity AB (Sweden) (Class B Stock)* | 10,847 | 351,028 | ||||||
Henkel AG & Co. KGaA (Germany) | 363 | 30,293 | ||||||
Kimberly-Clark Corp. | 15,400 | 2,176,790 | ||||||
Lion Corp. (Japan) | 800 | 19,216 | ||||||
Procter & Gamble Co. (The) | 112,025 | 13,394,829 | ||||||
|
| |||||||
20,923,083 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.0% |
| |||||||
AES Corp. (The) | 27,000 | 391,230 | ||||||
|
| |||||||
Industrial Conglomerates — 0.6% |
| |||||||
3M Co. | 26,100 | 4,071,339 | ||||||
CK Hutchison Holdings Ltd. (United Kingdom) | 43,000 | 276,507 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Industrial Conglomerates (cont’d.) |
| |||||||
General Electric Co. | 395,630 | $ | 2,702,153 | |||||
Honeywell International, Inc. | 31,812 | 4,599,697 | ||||||
Roper Technologies, Inc. | 4,720 | 1,832,587 | ||||||
Siemens AG (Germany) | 2,653 | 314,798 | ||||||
Toshiba Corp. (Japan) | 1,700 | 54,524 | ||||||
|
| |||||||
13,851,605 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
Admiral Group PLC (United Kingdom) | 672 | 19,118 | ||||||
Aegon NV (Netherlands) | 96,981 | 291,013 | ||||||
Aflac, Inc. | 32,400 | 1,167,372 | ||||||
Ageas SA/NV (Belgium) | 624 | 22,197 | ||||||
AIA Group Ltd. (Hong Kong) | 11,800 | 110,307 | ||||||
Allianz SE (Germany) | 1,467 | 301,379 | ||||||
Allstate Corp. (The) | 14,200 | 1,377,258 | ||||||
American International Group, Inc. | 38,239 | 1,192,292 | ||||||
Aon PLC (Class A Stock) | 10,500 | 2,022,300 | ||||||
Arthur J Gallagher & Co. | 9,000 | 877,410 | ||||||
Assurant, Inc. | 3,000 | 309,870 | ||||||
Aviva PLC (United Kingdom) | 13,083 | 44,646 | ||||||
Chubb Ltd. | 20,486 | 2,593,937 | ||||||
Cincinnati Financial Corp. | 7,237 | 463,385 | ||||||
Everest Re Group Ltd. | 1,840 | 379,408 | ||||||
Globe Life, Inc.(a) | 4,325 | 321,045 | ||||||
Hannover Rueck SE (Germany) | 135 | 23,390 | ||||||
Hartford Financial Services Group, Inc. (The) | 16,400 | 632,220 | ||||||
Japan Post Holdings Co. Ltd. (Japan) | 5,500 | 39,188 | ||||||
Japan Post Insurance Co. Ltd. (Japan) | 8,300 | 109,347 | ||||||
Legal & General Group PLC (United Kingdom) | 120,873 | 330,666 | ||||||
Lincoln National Corp. | 8,318 | 306,019 | ||||||
Loews Corp. | 11,275 | 386,620 | ||||||
Marsh & McLennan Cos., Inc. | 23,100 | 2,480,247 | ||||||
Medibank Private Ltd. (Australia) | 9,681 | 20,033 | ||||||
MetLife, Inc. | 34,850 | 1,272,722 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 506 | 131,967 | ||||||
NN Group NV (Netherlands) | 10,176 | 342,530 | ||||||
Principal Financial Group, Inc. | 10,900 | 452,786 | ||||||
Progressive Corp. (The) | 26,500 | 2,122,915 | ||||||
Sompo Holdings, Inc. (Japan) | 1,200 | 41,249 | ||||||
Sony Financial Holdings, Inc. (Japan) | 600 | 14,435 | ||||||
Swiss Life Holding AG (Switzerland)* | 719 | 267,821 | ||||||
T&D Holdings, Inc. (Japan) | 2,000 | 17,074 | ||||||
Travelers Cos., Inc. (The) | 11,435 | 1,304,162 | ||||||
Unum Group | 6,610 | 109,660 | ||||||
W.R. Berkley Corp. | 6,500 | 372,385 | ||||||
Willis Towers Watson PLC | 6,040 | 1,189,578 | ||||||
Zurich Insurance Group AG (Switzerland) | 505 | 178,868 | ||||||
|
| |||||||
23,638,819 | ||||||||
|
| |||||||
Interactive Media & Services — 2.6% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 13,580 | 19,257,119 | ||||||
Alphabet, Inc. (Class C Stock)* | 13,283 | 18,776,981 | ||||||
Facebook, Inc. (Class A Stock)* | 108,830 | 24,712,028 | ||||||
Twitter, Inc.* | 34,900 | 1,039,671 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Interactive Media & Services (cont’d.) |
| |||||||
Z Holdings Corp. (Japan) | 3,600 | $ | 17,578 | |||||
|
| |||||||
63,803,377 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 2.3% |
| |||||||
Amazon.com, Inc.* | 19,010 | 52,445,168 | ||||||
Booking Holdings, Inc.* | 1,920 | 3,057,293 | ||||||
eBay, Inc. | 29,900 | 1,568,255 | ||||||
Expedia Group, Inc. | 6,150 | 505,530 | ||||||
Ocado Group PLC (United Kingdom)* | 1,485 | 37,450 | ||||||
|
| |||||||
57,613,696 | ||||||||
|
| |||||||
IT Services — 2.7% | ||||||||
Accenture PLC (Class A Stock) | 28,900 | 6,205,408 | ||||||
Akamai Technologies, | 7,500 | 803,175 | ||||||
Atos SE (France)* | 335 | 28,748 | ||||||
Automatic Data Processing, Inc. | 19,500 | 2,903,355 | ||||||
Broadridge Financial Solutions, Inc. | 5,100 | 643,569 | ||||||
Capgemini SE (France) | 1,571 | 181,304 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 24,500 | 1,392,090 | ||||||
DXC Technology Co. | 11,328 | 186,912 | ||||||
Fidelity National Information Services, Inc. | 28,000 | 3,754,520 | ||||||
Fiserv, Inc.* | 25,500 | 2,489,310 | ||||||
FleetCor Technologies, Inc.* | 3,800 | 955,814 | ||||||
Fujitsu Ltd. (Japan) | 2,100 | 246,034 | ||||||
Gartner, Inc.* | 4,400 | 533,852 | ||||||
Global Payments, Inc. | 13,577 | 2,302,931 | ||||||
International Business Machines Corp. | 40,200 | 4,854,954 | ||||||
Jack Henry & Associates, Inc. | 3,500 | 644,105 | ||||||
Leidos Holdings, Inc. | 6,400 | 599,488 | ||||||
Mastercard, Inc. (Class A Stock) | 40,000 | 11,828,000 | ||||||
NEC Corp. (Japan) | 400 | 19,169 | ||||||
Nomura Research Institute Ltd. (Japan) | 9,700 | 264,849 | ||||||
Otsuka Corp. (Japan) | 4,100 | 216,113 | ||||||
Paychex, Inc. | 14,800 | 1,121,100 | ||||||
PayPal Holdings, Inc.* | 53,200 | 9,269,036 | ||||||
VeriSign, Inc.* | 4,600 | 951,418 | ||||||
Visa, Inc. (Class A Stock)(a) | 76,400 | 14,758,188 | ||||||
Western Union Co. (The)(a) | 17,610 | 380,728 | ||||||
|
| |||||||
67,534,170 | ||||||||
|
| |||||||
Leisure Products — 0.0% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 700 | 36,783 | ||||||
Hasbro, Inc. | 5,700 | 427,215 | ||||||
|
| |||||||
463,998 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 13,814 | 1,220,743 | ||||||
Bio-Rad Laboratories, Inc. (Class A Stock)* | 1,100 | 496,639 | ||||||
Illumina, Inc.* | 6,700 | 2,481,345 | ||||||
IQVIA Holdings, Inc.* | 8,000 | 1,135,040 | ||||||
Mettler-Toledo International, Inc.* | 1,100 | 886,105 | ||||||
PerkinElmer, Inc. | 5,300 | 519,877 | ||||||
QIAGEN NV* | 786 | 33,792 | ||||||
Sartorius Stedim Biotech (France) | 96 | 24,416 | ||||||
Thermo Fisher Scientific, Inc. | 17,880 | 6,478,639 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Life Sciences Tools & Services (cont’d.) |
| |||||||
Waters Corp.*(a) | 2,800 | $ | 505,120 | |||||
|
| |||||||
13,781,716 | ||||||||
|
| |||||||
Machinery — 0.7% | ||||||||
Alfa Laval AB (Sweden)* | 1,071 | 23,715 | ||||||
Amada Co. Ltd. (Japan) | 27,900 | 228,089 | ||||||
Atlas Copco AB (Sweden) (Class A Stock) | 10,643 | 453,396 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,378 | 50,972 | ||||||
Caterpillar, Inc. | 24,500 | 3,099,250 | ||||||
Cummins, Inc. | 6,700 | 1,160,842 | ||||||
Deere & Co. | 14,180 | 2,228,387 | ||||||
Dover Corp. | 6,400 | 617,984 | ||||||
Epiroc AB (Sweden) (Class A Stock) | 7,936 | 99,407 | ||||||
Epiroc AB (Sweden) (Class B Stock) | 1,360 | 16,695 | ||||||
Flowserve Corp. | 4,200 | 119,784 | ||||||
Fortive Corp. | 13,650 | 923,559 | ||||||
GEA Group AG (Germany) | 561 | 17,848 | ||||||
IDEX Corp. | 3,510 | 554,720 | ||||||
Illinois Tool Works, Inc. | 13,000 | 2,273,050 | ||||||
Ingersoll Rand, Inc.* | 14,600 | 410,552 | ||||||
Kone OYJ (Finland) (Class B Stock) | 1,346 | 92,665 | ||||||
MINEBEA MITSUMI, Inc. (Japan) | 1,300 | 23,594 | ||||||
Nabtesco Corp. (Japan) | 400 | (r) | 12,345 | |||||
Otis Worldwide Corp. | 18,601 | 1,057,653 | ||||||
PACCAR, Inc. | 16,043 | 1,200,819 | ||||||
Parker-Hannifin Corp. | 5,965 | 1,093,206 | ||||||
Pentair PLC | 7,677 | 291,649 | ||||||
Sandvik AB (Sweden)* | 997 | 18,868 | ||||||
Schindler Holding AG (Switzerland) | 71 | 16,880 | ||||||
SKF AB (Sweden) (Class B Stock) | 1,326 | 24,876 | ||||||
Snap-on, Inc.(a) | 2,400 | 332,424 | ||||||
Stanley Black & Decker, Inc. | 7,297 | 1,017,056 | ||||||
Volvo AB (Sweden) (Class B Stock)* | 5,107 | 80,412 | ||||||
Westinghouse Air Brake Technologies Corp. | 7,951 | 457,739 | ||||||
Xylem, Inc. | 8,500 | 552,160 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 13,600 | 9,123 | ||||||
|
| |||||||
18,559,719 | ||||||||
|
| |||||||
Marine — 0.0% | ||||||||
AP Moller – Maersk A/S (Denmark) (Class A Stock) | 12 | 13,085 | ||||||
|
| |||||||
Media — 0.6% | ||||||||
Charter Communications, Inc. (Class A Stock)* | 6,840 | 3,488,673 | ||||||
Comcast Corp. (Class A Stock) | 206,080 | 8,032,998 | ||||||
Discovery, Inc. (Class A Stock)*(a) | 6,000 | 126,600 | ||||||
Discovery, Inc. (Class C Stock)* | 14,100 | 271,566 | ||||||
DISH Network Corp. (Class A Stock)* | 9,717 | 335,334 | ||||||
Fox Corp. (Class A | 14,200 | 380,844 | ||||||
Fox Corp. (Class B Stock) | 6,633 | 178,030 | ||||||
Interpublic Group of Cos., Inc. (The) | 16,431 | 281,956 | ||||||
News Corp. (Class A Stock) | 16,175 | 191,835 | ||||||
News Corp. (Class B Stock) | 4,800 | 57,360 | ||||||
Omnicom Group, Inc.(a) | 9,300 | 507,780 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Media (cont’d.) | ||||||||
Publicis Groupe SA (France) | 6,462 | $ | 210,120 | |||||
Telenet Group Holding NV (Belgium) | 6,020 | 248,698 | ||||||
ViacomCBS, Inc. (Class B Stock)(a) | 22,530 | 525,400 | ||||||
|
| |||||||
14,837,194 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
Alumina Ltd. (Australia) | 8,448 | 9,585 | ||||||
Anglo American PLC (South Africa) | 15,280 | 357,798 | ||||||
ArcelorMittal SA (Luxembourg)* | 2,502 | 26,842 | ||||||
BHP Group Ltd. (Australia) | 10,236 | 255,067 | ||||||
BHP Group PLC (Australia) | 13,769 | 284,392 | ||||||
BlueScope Steel Ltd. (Australia) | 821 | 6,673 | ||||||
Boliden AB (Sweden) | 945 | 21,663 | ||||||
Evolution Mining Ltd. (Australia) | 5,566 | 22,043 | ||||||
Fortescue Metals Group Ltd. (Australia) | 39,262 | 379,030 | ||||||
Freeport-McMoRan, Inc. | 63,788 | 738,027 | ||||||
Newcrest Mining Ltd. (Australia) | 2,607 | 57,617 | ||||||
Newmont Corp. | 36,300 | 2,241,162 | ||||||
Northern Star Resources Ltd. (Australia) | 2,472 | 23,243 | ||||||
Nucor Corp. | 14,000 | 579,740 | ||||||
Rio Tinto Ltd. (Australia) | 1,286 | 87,316 | ||||||
Rio Tinto PLC (Australia) | 10,066 | 571,332 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 900 | 25,225 | ||||||
|
| |||||||
5,686,755 | ||||||||
|
| |||||||
Multiline Retail — 0.3% | ||||||||
Dollar General Corp. | 11,400 | 2,171,814 | ||||||
Dollar Tree, Inc.* | 10,965 | 1,016,236 | ||||||
Kohl’s Corp. | 4,700 | 97,619 | ||||||
Pan Pacific International Holdings Corp. (Japan) | 1,500 | 32,946 | ||||||
Target Corp. | 22,600 | 2,710,418 | ||||||
Wesfarmers Ltd. (Australia) | 3,921 | 122,246 | ||||||
|
| |||||||
6,151,279 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% | ||||||||
AGL Energy Ltd. (Australia) | 2,317 | 27,442 | ||||||
Ameren Corp.(a) | 11,500 | 809,140 | ||||||
CenterPoint Energy, Inc. | 20,900 | 390,203 | ||||||
CMS Energy Corp.(a) | 13,100 | 765,302 | ||||||
Consolidated Edison, Inc. | 15,000 | 1,078,950 | ||||||
Dominion Energy, Inc. | 37,915 | 3,077,940 | ||||||
DTE Energy Co. | 8,600 | 924,500 | ||||||
National Grid PLC (United Kingdom) | 11,934 | 146,693 | ||||||
NiSource, Inc. | 17,300 | 393,402 | ||||||
Public Service Enterprise Group, Inc. | 22,400 | 1,101,184 | ||||||
Sempra Energy(a) | 13,219 | 1,549,663 | ||||||
WEC Energy Group, Inc. | 14,213 | 1,245,769 | ||||||
|
| |||||||
11,510,188 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.3% |
| |||||||
Apache Corp. | 13,914 | 187,839 | ||||||
Cabot Oil & Gas Corp. | 17,000 | 292,060 | ||||||
Chevron Corp. | 84,522 | 7,541,898 | ||||||
Concho Resources, Inc. | 8,900 | 458,350 | ||||||
ConocoPhillips | 48,477 | 2,037,004 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Oil, Gas & Consumable Fuels (cont’d.) |
| |||||||
Devon Energy Corp. | 13,500 | $ | 153,090 | |||||
Diamondback Energy, Inc. | 7,200 | 301,104 | ||||||
EOG Resources, Inc. | 26,300 | 1,332,358 | ||||||
Exxon Mobil Corp. | 191,299 | 8,554,891 | ||||||
Hess Corp. | 11,300 | 585,453 | ||||||
HollyFrontier Corp. | 5,400 | 157,680 | ||||||
Inpex Corp. (Japan) | 42,300 | 263,657 | ||||||
Kinder Morgan, Inc. | 86,098 | 1,306,107 | ||||||
Koninklijke Vopak NV (Netherlands) | 256 | 13,574 | ||||||
Lundin Energy AB (Sweden) | 2,491 | 61,098 | ||||||
Marathon Oil Corp.(a) | 28,782 | 176,146 | ||||||
Marathon Petroleum Corp. | 29,419 | 1,099,682 | ||||||
Neste OYJ (Finland) | 1,469 | 57,684 | ||||||
Noble Energy, Inc. | 16,800 | 150,528 | ||||||
Occidental Petroleum Corp.(a) | 39,104 | 715,603 | ||||||
OMV AG (Austria)* | 6,338 | 214,501 | ||||||
ONEOK, Inc. | 18,100 | 601,282 | ||||||
Origin Energy Ltd. (Australia) | 60,060 | 244,947 | ||||||
Phillips 66 | 19,738 | 1,419,162 | ||||||
Pioneer Natural Resources Co. | 7,450 | 727,865 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 14,702 | 235,889 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 3,301 | 50,412 | ||||||
Santos Ltd. (Australia) | 60,705 | 224,294 | ||||||
TOTAL SA (France) | 8,086 | 312,481 | ||||||
Valero Energy Corp. | 18,900 | 1,111,698 | ||||||
Williams Cos., Inc. (The) | 52,900 | 1,006,158 | ||||||
|
| |||||||
31,594,495 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% |
| |||||||
Oji Holdings Corp. (Japan) | 1,400 | 6,427 | ||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
Coty, Inc. (Class A Stock)(a) | 11,100 | 49,617 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 10,400 | 1,962,272 | ||||||
Kao Corp. (Japan) | 700 | 55,448 | ||||||
L’Oreal SA (France)* | 351 | 112,883 | ||||||
Unilever NV (United Kingdom) | 10,141 | 541,173 | ||||||
Unilever PLC (United Kingdom) | 3,891 | 209,959 | ||||||
|
| |||||||
2,931,352 | ||||||||
|
| |||||||
Pharmaceuticals — 2.2% | ||||||||
Astellas Pharma, Inc. (Japan) | 24,600 | 410,499 | ||||||
AstraZeneca PLC (United Kingdom) | 1,570 | 164,754 | ||||||
Bayer AG (Germany) | 2,160 | 160,875 | ||||||
Bristol-Myers Squibb Co. | 102,370 | 6,019,356 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 5,700 | 305,102 | ||||||
Eisai Co. Ltd. (Japan) | 800 | 63,411 | ||||||
Eli Lilly & Co. | 38,100 | 6,255,258 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 30,207 | 614,697 | ||||||
Hikma Pharmaceuticals PLC (Jordan) | 512 | 14,109 | ||||||
Johnson & Johnson | 119,258 | 16,771,253 | ||||||
Kyowa Kirin Co. Ltd. (Japan) | 800 | 21,002 | ||||||
Merck & Co., Inc. | 114,233 | 8,833,638 | ||||||
Mylan NV* | 23,300 | 374,664 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Pharmaceuticals (cont’d.) | ||||||||
Novartis AG (Switzerland) | 10,988 | $ | 961,885 | |||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 6,084 | 396,607 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 1,400 | 40,796 | ||||||
Orion OYJ (Finland) (Class B Stock) | 2,255 | 108,906 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 1,400 | 61,019 | ||||||
Perrigo Co. PLC | 6,200 | 342,674 | ||||||
Pfizer, Inc. | 251,270 | 8,216,529 | ||||||
Recordati SpA (Italy) | 354 | 17,729 | ||||||
Roche Holding AG (Switzerland) | 3,274 | 1,140,402 | ||||||
Sanofi (France) | 4,491 | 460,364 | ||||||
Shionogi & Co. Ltd. (Japan) | 2,700 | 169,031 | ||||||
UCB SA (Belgium) | 440 | 51,142 | ||||||
Zoetis, Inc. | 21,500 | 2,946,360 | ||||||
|
| |||||||
54,922,062 | ||||||||
|
| |||||||
Professional Services — 0.2% | ||||||||
Adecco Group AG (Switzerland) | 513 | 24,273 | ||||||
Equifax, Inc. | 5,500 | 945,340 | ||||||
IHS Markit Ltd. | 18,000 | 1,359,000 | ||||||
Nielsen Holdings PLC | 13,200 | 196,152 | ||||||
Nihon M&A Center, Inc. (Japan) | 400 | 18,258 | ||||||
Recruit Holdings Co. Ltd. (Japan) | 9,300 | 320,521 | ||||||
RELX PLC (United Kingdom) | 5,920 | 137,873 | ||||||
Robert Half International, | 4,700 | 248,301 | ||||||
Teleperformance (France)* | 124 | 31,620 | ||||||
Verisk Analytics, Inc. | 7,400 | 1,259,480 | ||||||
Wolters Kluwer NV (Netherlands) | 4,522 | 354,814 | ||||||
|
| |||||||
4,895,632 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% |
| |||||||
Aroundtown SA (Germany)* | 3,861 | 22,249 | ||||||
CBRE Group, Inc. (Class A Stock)*(a) | 14,500 | 655,690 | ||||||
CK Asset Holdings Ltd. (Hong Kong) | 11,500 | 68,632 | ||||||
Daito Trust Construction Co. Ltd. (Japan) | 300 | 27,561 | ||||||
Deutsche Wohnen SE (Germany) | 1,255 | 56,554 | ||||||
Hulic Co. Ltd. (Japan) | 1,100 | 10,332 | ||||||
Lendlease Group (Australia) | 2,334 | 20,166 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 4,100 | 60,879 | ||||||
Nomura Real Estate Holdings, Inc. (Japan) | 8,700 | 161,345 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 10,000 | 12,590 | ||||||
Wharf Real Estate Investment Co. Ltd. (Hong Kong) | 2,000 | 9,577 | ||||||
|
| |||||||
1,105,575 | ||||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
Aurizon Holdings Ltd. (Australia) | 92,424 | 315,424 | ||||||
CSX Corp. | 34,600 | 2,413,004 | ||||||
J.B. Hunt Transport Services, Inc. | 4,100 | 493,394 | ||||||
Kansas City Southern | 4,300 | 641,947 | ||||||
Norfolk Southern Corp. | 11,600 | 2,036,612 | ||||||
Old Dominion Freight Line, Inc. | 4,265 | 723,302 | ||||||
Union Pacific Corp. | 30,700 | 5,190,449 | ||||||
|
| |||||||
11,814,132 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Advanced Micro Devices, Inc.* | 53,000 | $ | 2,788,330 | |||||
Advantest Corp. (Japan) | 6,800 | 388,789 | ||||||
Analog Devices, Inc. | 16,658 | 2,042,937 | ||||||
Applied Materials, Inc. | 41,500 | 2,508,675 | ||||||
ASML Holding NV (Netherlands) | 545 | 201,375 | ||||||
Broadcom, Inc. | 18,080 | 5,706,229 | ||||||
Infineon Technologies AG (Germany) | 4,264 | 101,219 | ||||||
Intel Corp. | 191,500 | 11,457,445 | ||||||
KLA Corp. | 7,050 | 1,371,084 | ||||||
Lam Research Corp. | 6,570 | 2,125,132 | ||||||
Lasertec Corp. (Japan) | 300 | 28,590 | ||||||
Maxim Integrated Products, Inc. | 12,400 | 751,564 | ||||||
Microchip Technology, Inc.(a) | 11,100 | 1,168,941 | ||||||
Micron Technology, Inc.* | 50,300 | 2,591,456 | ||||||
NVIDIA Corp. | 27,850 | 10,580,494 | ||||||
Qorvo, Inc.* | 5,407 | 597,636 | ||||||
QUALCOMM, Inc. | 50,900 | 4,642,589 | ||||||
Skyworks Solutions, Inc. | 7,600 | 971,736 | ||||||
STMicroelectronics NV (Switzerland) | 2,333 | 63,891 | ||||||
SUMCO Corp. (Japan) | 3,200 | 49,446 | ||||||
Texas Instruments, Inc.(a) | 41,500 | 5,269,255 | ||||||
Tokyo Electron Ltd. (Japan) | 700 | 172,776 | ||||||
Xilinx, Inc. | 11,000 | 1,082,290 | ||||||
|
| |||||||
56,661,879 | ||||||||
|
| |||||||
Software — 4.4% | ||||||||
Adobe, Inc.* | 21,800 | 9,489,758 | ||||||
ANSYS, Inc.* | 4,000 | 1,166,920 | ||||||
Autodesk, Inc.* | 10,000 | 2,391,900 | ||||||
Cadence Design Systems, Inc.* | 12,700 | 1,218,692 | ||||||
Check Point Software Technologies Ltd. | 2,800 | 300,804 | ||||||
Citrix Systems, Inc. | 5,400 | 798,714 | ||||||
Fortinet, Inc.* | 6,100 | 837,347 | ||||||
Intuit, Inc. | 11,800 | 3,495,042 | ||||||
Microsoft Corp. | 343,090 | 69,822,246 | ||||||
NortonLifeLock, Inc. | 22,978 | 455,654 | ||||||
Oracle Corp. | 94,200 | 5,206,434 | ||||||
Oracle Corp. (Japan) | 200 | 23,738 | ||||||
Paycom Software, Inc.*(a) | 2,220 | 687,601 | ||||||
salesforce.com, Inc.* | 40,750 | 7,633,697 | ||||||
SAP SE (Germany) | 1,580 | 222,052 | ||||||
ServiceNow, Inc.* | 8,670 | 3,511,870 | ||||||
Synopsys, Inc.* | 7,000 | 1,365,000 | ||||||
TeamViewer AG (Germany), 144A* | 450 | 24,769 | ||||||
Trend Micro, Inc. (Japan) | 500 | 28,116 | ||||||
Tyler Technologies, Inc.* | 1,600 | 555,008 | ||||||
|
| |||||||
109,235,362 | ||||||||
|
| |||||||
Specialty Retail — 1.1% | ||||||||
Advance Auto Parts, Inc. | 3,100 | 441,595 | ||||||
AutoZone, Inc.* | 1,100 | 1,240,932 | ||||||
Best Buy Co., Inc. | 10,625 | 927,244 | ||||||
CarMax, Inc.*(a) | 7,500 | 671,625 | ||||||
Gap, Inc. (The) | 9,500 | 119,890 | ||||||
Hennes & Mauritz AB (Sweden) (Class B Stock) | 1,836 | 26,835 | ||||||
Hikari Tsushin, Inc. (Japan) | 1,100 | 250,846 | ||||||
Home Depot, Inc. (The) | 48,670 | 12,192,322 |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Specialty Retail (cont’d.) | ||||||||
Industria de Diseno Textil SA (Spain) | 11,778 | $ | 313,322 | |||||
JD Sports Fashion PLC (United Kingdom) | 27,482 | 212,798 | ||||||
Kingfisher PLC (United Kingdom) | 7,480 | 20,463 | ||||||
L Brands, Inc. | 7,206 | 107,874 | ||||||
Lowe’s Cos., Inc. | 34,200 | 4,621,104 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 300 | 58,790 | ||||||
O’Reilly Automotive, Inc.* | 3,400 | 1,433,678 | ||||||
Ross Stores, Inc. | 16,100 | 1,372,364 | ||||||
Tiffany & Co. | 5,220 | 636,527 | ||||||
TJX Cos., Inc. (The) | 54,200 | 2,740,352 | ||||||
Tractor Supply Co. | 5,300 | 698,487 | ||||||
Ulta Beauty, Inc.* | 2,600 | 528,892 | ||||||
Yamada Denki Co. Ltd. (Japan) | 2,300 | 11,405 | ||||||
|
| |||||||
28,627,345 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.8% |
| |||||||
Apple, Inc. | 184,360 | 67,254,528 | ||||||
Brother Industries Ltd. (Japan) | 5,300 | 95,650 | ||||||
FUJIFILM Holdings Corp. (Japan) | 2,500 | 106,916 | ||||||
Hewlett Packard Enterprise Co. | 55,348 | 538,536 | ||||||
HP, Inc. | 64,448 | 1,123,329 | ||||||
Logitech International SA (Switzerland) | 4,871 | 318,474 | ||||||
NetApp, Inc. | 9,900 | 439,263 | ||||||
Seagate Technology PLC(a) | 10,000 | 484,100 | ||||||
Western Digital Corp. | 13,403 | 591,742 | ||||||
Xerox Holdings Corp. | 8,190 | 125,225 | ||||||
|
| |||||||
71,077,763 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.3% |
| |||||||
EssilorLuxottica SA (France)* | 702 | 90,437 | ||||||
Hanesbrands, Inc. | 15,400 | 173,866 | ||||||
Hermes International (France) | 380 | 319,312 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 955 | 424,682 | ||||||
NIKE, Inc. (Class B Stock) | 56,100 | 5,500,605 | ||||||
Pandora A/S (Denmark) | 342 | 18,702 | ||||||
PVH Corp.(a) | 3,700 | 177,785 | ||||||
Ralph Lauren Corp. | 2,500 | 181,300 | ||||||
Swatch Group AG (The) (Switzerland) | 77 | 3,028 | ||||||
Tapestry, Inc.(a) | 10,100 | 134,128 | ||||||
Under Armour, Inc. (Class A Stock)* | 7,500 | 73,050 | ||||||
Under Armour, Inc. (Class C Stock)* | 7,374 | 65,186 | ||||||
VF Corp. | 14,100 | 859,254 | ||||||
|
| |||||||
8,021,335 | ||||||||
|
| |||||||
Tobacco — 0.4% | ||||||||
Altria Group, Inc. | 84,100 | 3,300,925 | ||||||
British American Tobacco PLC (United Kingdom) | 15,271 | 589,330 | ||||||
Imperial Brands PLC (United Kingdom) | 13,705 | 262,122 | ||||||
Japan Tobacco, Inc. (Japan) | 18,000 | 333,955 | ||||||
Philip Morris International, Inc. | 70,500 | 4,939,230 | ||||||
Swedish Match AB (Sweden) | 567 | 40,013 | ||||||
|
| |||||||
9,465,575 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
AerCap Holdings NV | 4,100 | 126,280 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Trading Companies & Distributors (cont’d.) |
| |||||||
Ashtead Group PLC | 1,560 | $ | 52,828 | |||||
Brenntag AG (Germany) | 513 | 27,059 | ||||||
Bunzl PLC (United Kingdom) | 1,184 | 31,923 | ||||||
Fastenal Co. | 26,000 | 1,113,840 | ||||||
Ferguson PLC | 4,211 | 344,701 | ||||||
ITOCHU Corp. (Japan) | 4,700 | 101,217 | ||||||
Marubeni Corp. (Japan) | 5,400 | 24,430 | ||||||
Mitsui & Co. Ltd. (Japan) | 5,600 | 82,785 | ||||||
MonotaRO Co. Ltd. (Japan) | 500 | 20,025 | ||||||
Toyota Tsusho Corp. (Japan) | 700 | 17,785 | ||||||
United Rentals, Inc.* | 3,300 | 491,832 | ||||||
W.W. Grainger, Inc. | 2,040 | 640,886 | ||||||
|
| |||||||
3,075,591 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.0% |
| |||||||
Aena SME SA (Spain), 144A* | 231 | 30,954 | ||||||
|
| |||||||
Water Utilities — 0.0% | ||||||||
American Water Works Co., Inc. | 8,100 | 1,042,146 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 16,400 | 491,755 | ||||||
NTT DOCOMO, Inc. (Japan) | 8,500 | 226,222 | ||||||
Softbank Corp. (Japan) | 9,900 | 126,142 | ||||||
T-Mobile US, Inc.* | 22,800 | 2,374,620 | ||||||
Vodafone Group PLC (United Kingdom) | 5,190 | 8,281 | ||||||
|
| |||||||
3,227,020 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,204,111,031 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.4% |
| |||||||
iShares Core S&P 500 ETF | 32,950 | 10,204,286 | ||||||
iShares MSCI EAFE ETF | 3,059 | 186,201 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 10,390,487 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.1% |
| |||||||
Automobiles — 0.0% | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 75 | 3,641 | ||||||
Porsche Automobil Holding SE (Germany) (PRFC)* | 540 | 31,281 | ||||||
Volkswagen AG (Germany) | 629 | 96,170 | ||||||
|
| |||||||
131,092 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 7.130%, (Capital Security, fixed to floating preferred) | 20,000 | 530,000 | ||||||
|
| |||||||
Capital Markets — 0.1% | ||||||||
State Street Corp., 5.350%, (Capital Security, fixed to floating preferred)(rr) | 30,000 | 786,000 | ||||||
|
| |||||||
Household Products — 0.0% |
| |||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 612 | 57,049 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 1,504,141 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES — 7.8% |
| |||||||||||||||
Automobiles — 2.3% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-01, Class C |
| |||||||||||||||
3.500% | 01/18/24 | 1,200 | $ | 1,248,546 | ||||||||||||
Series 2019-01, Class B |
| |||||||||||||||
3.130% | 02/18/25 | 600 | 623,046 | |||||||||||||
Series 2019-01, Class C |
| |||||||||||||||
3.360% | 02/18/25 | 700 | 727,448 | |||||||||||||
Series 2019-02, Class C |
| |||||||||||||||
2.740% | 04/18/25 | 1,400 | 1,441,205 | |||||||||||||
Series 2019-03, Class C |
| |||||||||||||||
2.320% | 07/18/25 | 2,300 | 2,345,905 | |||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
4.000% | 03/20/25 | 1,100 | 1,110,130 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
3.350% | 09/22/25 | 2,000 | 2,026,573 | |||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 2,700 | 2,662,192 | |||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
2.330% | 08/20/26 | 1,300 | 1,242,315 | |||||||||||||
Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2019-03, Class B |
| |||||||||||||||
2.650% | 02/15/24 | 900 | 907,970 | |||||||||||||
Ford Auto Securitization Trust (Canada), |
| |||||||||||||||
Series 2019-BA, Class A2, 144A |
| |||||||||||||||
2.321% | 10/15/23 | CAD | 1,700 | 1,258,596 | ||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2017-02, Class A, 144A |
| |||||||||||||||
2.360% | 03/15/29 | 4,200 | 4,321,835 | |||||||||||||
Series 2018-01, Class A, 144A |
| |||||||||||||||
3.190% | 07/15/31 | 2,700 | 2,891,203 | |||||||||||||
Series 2018-02, Class A, 144A |
| |||||||||||||||
3.470% | 01/15/30 | 2,200 | 2,328,223 | |||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.520% | 07/15/30 | 3,900 | 4,172,092 | |||||||||||||
Series 2020-01, Class A, 144A |
| |||||||||||||||
2.040% | 08/15/31 | 2,500 | 2,540,307 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2017-03, Class A |
| |||||||||||||||
2.480% | 09/15/24 | 1,400 | 1,415,907 | |||||||||||||
Series 2018-02, Class A |
| |||||||||||||||
3.170% | 03/15/25 | 9,700 | 9,981,120 | |||||||||||||
Series 2019-02, Class A |
| |||||||||||||||
3.060% | 04/15/26 | 1,000 | 1,046,124 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 300 | 316,560 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2017-02A, Class B, 144A |
| |||||||||||||||
2.550% | 11/14/23 | 556 | 556,282 | |||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 3,800 | 3,854,159 | |||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 3,600 | 3,870,463 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2019-03, Class C |
| |||||||||||||||
2.490% | 10/15/25 | 1,300 | 1,313,800 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Automobiles (cont’d.) |
| |||||||||||||||
Toyota Auto Loan Extended Note Trust, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
2.560% | 11/25/31 | 1,700 | $ | 1,809,389 | ||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
1.350% | 05/25/33 | 400 | 405,979 | |||||||||||||
|
| |||||||||||||||
56,417,369 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 3.5% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.488%(c) | 07/22/32 | 2,500 | 2,444,354 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.499%(c) | 07/15/29 | 500 | 491,507 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 07/15/29 | 1,000 | 984,794 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.955%(c) | 01/17/28 | 970 | 958,798 | |||||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 04/15/29 | 2,500 | 2,462,704 | |||||||||||||
CBAM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%) |
| |||||||||||||||
2.495%(c) | 10/20/32 | 4,000 | 3,925,237 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
2.335%(c) | 10/17/31 | 7,000 | 6,849,744 | |||||||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.182%(c) | 11/15/26 | 757 | 743,509 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.229%(c) | 04/15/31 | 1,000 | 971,686 | |||||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.541%(c) | 02/05/31 | 248 | 241,680 | |||||||||||||
HPS Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
3.122%(c) | 07/22/32 | 2,500 | 2,453,274 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) |
| |||||||||||||||
2.275%(c) | 10/19/28 | 7,000 | 6,894,337 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.323%(c) | 10/23/29 | 1,250 | $ | 1,228,524 | ||||||||||||
Jamestown CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
2.605%(c) | 04/20/32 | 4,750 | 4,665,232 | |||||||||||||
Jefferson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.310%(c) | 10/20/31 | 4,250 | 4,138,637 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
| |||||||||||||||
2.229%(c) | 04/21/31 | 3,488 | 3,393,431 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.339%(c) | 07/15/31 | 2,500 | 2,425,204 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
2.535%(c) | 04/17/30 | 1,750 | 1,706,972 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
2.465%(c) | 07/20/32 | 7,000 | 6,882,233 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.215%(c) | 04/17/31 | 2,989 | 2,898,463 | |||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.010%(c) | 10/30/30 | 746 | 724,695 | |||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.525%(c) | 07/20/32 | 2,500 | 2,431,274 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-02A, Class A1R2, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.235%(c) | 07/20/30 | 5,000 | 4,881,568 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.644%(c) | 11/14/29 | 500 | 491,916 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
2.435%(c) | 07/17/26 | 1,313 | 1,309,914 | |||||||||||||
TIAA CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.335%(c) | 07/20/31 | 1,750 | 1,697,253 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) |
| |||||||||||||||
2.595%(c) | 07/20/32 | 7,500 | 7,415,239 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.201%(c) | 01/25/31 | 1,750 | $ | 1,706,287 | ||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.099%(c) | 07/15/27 | 874 | 866,419 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
2.285%(c) | 01/17/31 | 2,000 | 1,946,337 | |||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
2.335%(c) | 10/20/31 | 3,750 | 3,620,183 | |||||||||||||
York CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.448%(c) | 07/22/32 | 2,000 | 1,960,503 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.589%(c) | 07/15/29 | 1,238 | 1,217,377 | |||||||||||||
|
| |||||||||||||||
87,029,285 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.1% |
| |||||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.985%(c) | 09/14/32 | 1,199 | 1,195,137 | |||||||||||||
Oportun Funding LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,100 | 1,104,260 | |||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 800 | 799,384 | |||||||||||||
|
| |||||||||||||||
3,098,781 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.2% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2017-B, Class A5, 144A |
| |||||||||||||||
2.720% | 06/15/40 | 2,100 | 2,214,727 | |||||||||||||
Series 2018-A, Class A5, 144A |
| |||||||||||||||
3.610% | 03/10/42 | 500 | 538,832 | |||||||||||||
Series 2019-A, Class A5, 144A |
| |||||||||||||||
3.080% | 11/12/41 | 1,600 | 1,722,925 | |||||||||||||
Series 2019-B, Class A5, 144A |
| |||||||||||||||
2.290% | 11/12/41 | 1,600 | 1,694,160 | |||||||||||||
|
| |||||||||||||||
6,170,644 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.1% |
| |||||||||||||||
CDC Mortgage Capital Trust, |
| |||||||||||||||
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
1.835%(c) | 03/25/33 | 67 | 67,214 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Equity Loans (cont’d.) |
| |||||||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||||
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
| |||||||||||||||
1.085%(c) | 07/25/32 | 22 | $ | 21,963 | ||||||||||||
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 0.850%) |
| |||||||||||||||
1.460%(c) | 09/25/32 | 1,370 | 1,340,402 | |||||||||||||
|
| |||||||||||||||
1,429,579 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% |
| |||||||||||||||
Sierra Timeshare Receivables Funding LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
3.500% | 06/20/35 | 821 | 834,112 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
2.590% | 05/20/36 | 1,303 | 1,303,050 | |||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||||
2.985%(c) | 06/25/24 | 2,240 | 2,100,989 | |||||||||||||
|
| |||||||||||||||
4,238,151 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.4% |
| |||||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,075 | 1,100,342 | |||||||||||||
CWABS, Inc., Asset-Backed Certificates, |
| |||||||||||||||
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.500%) |
| |||||||||||||||
0.935%(c) | 03/25/34 | 494 | 489,555 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 165 | 167,504 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 981 | 979,111 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 123 | 123,883 | |||||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.530%) |
| |||||||||||||||
0.980%(c) | 06/25/34 | 159 | 151,284 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 01/25/61 | 1,098 | 1,123,509 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 04/16/23 | EUR | 1,867 | 1,944,769 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 722 | 743,688 | |||||||||||||
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.785%(c) | 02/25/57 | 1,774 | 1,758,344 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 1,820 | 1,885,396 | |||||||||||||
Series 2018-02, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 03/25/58 | 106 | 110,852 | |||||||||||||
Series 2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 80 | 85,732 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (cont’d.) |
| |||||||||||||||
Series 2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 631 | $ | 670,477 | ||||||||||||
|
| |||||||||||||||
11,334,446 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 1.0% |
| |||||||||||||||
Commonbond Student Loan Trust, |
| |||||||||||||||
Series 2017-BGS, Class A1, 144A |
| |||||||||||||||
2.680% | 09/25/42 | 1,275 | 1,295,757 | |||||||||||||
Series 2018-AGS, Class A1, 144A |
| |||||||||||||||
3.210% | 02/25/44 | 966 | 993,411 | |||||||||||||
Series 2018-CGS, Class A1, 144A |
| |||||||||||||||
3.870% | 02/25/46 | 341 | 354,153 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2017-C, Class A2B, 144A |
| |||||||||||||||
2.810% | 11/25/42 | 896 | 917,539 | |||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.540% | 05/26/43 | 1,574 | 1,592,985 | |||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
2.730% | 10/25/48 | 1,000 | 1,030,109 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-A, Class A2, 144A |
| |||||||||||||||
3.190% | 02/18/42 | 3,247 | 3,323,587 | |||||||||||||
Series 2018-CA, Class A2, 144A |
| |||||||||||||||
3.520% | 06/16/42 | 1,200 | 1,238,302 | |||||||||||||
Series 2019-CA, Class A2, 144A |
| |||||||||||||||
3.130% | 02/15/68 | 1,400 | 1,444,377 | |||||||||||||
Series 2019-EA, Class A2A, 144A |
| |||||||||||||||
2.640% | 05/15/68 | 1,500 | 1,532,735 | |||||||||||||
Series 2020-BA, Class A2, 144A |
| |||||||||||||||
2.120% | 01/15/69 | 1,100 | 1,117,357 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
3.690% | 06/15/48 | 2,600 | 2,725,568 | |||||||||||||
Series 2019-B, Class A2FX, 144A |
| |||||||||||||||
3.090% | 08/17/48 | 1,400 | 1,454,509 | |||||||||||||
Series 2019-C, Class A2FX, 144A |
| |||||||||||||||
2.370% | 11/16/48 | 1,700 | 1,735,438 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.340% | 08/25/47 | 2,200 | 2,274,814 | |||||||||||||
Series 2020-A, Class A2FX, 144A |
| |||||||||||||||
2.540% | 05/15/46 | 1,700 | 1,761,549 | |||||||||||||
|
| |||||||||||||||
24,792,190 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 194,510,445 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.6% |
| |||||||||||||||
Assurant Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-01A, Class AS, 144A |
| |||||||||||||||
3.172% | 05/15/49 | 3,100 | 3,179,335 | |||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2018-C02, Class A4 |
| |||||||||||||||
4.047% | 12/15/51 | 3,850 | 4,462,569 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B03, Class A4 |
| |||||||||||||||
3.761% | 04/10/51 | 3,600 | 4,111,826 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C04, Class A3 |
| |||||||||||||||
3.014% | 05/10/58 | 2,500 | $ | 2,655,331 | ||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 974 | 1,038,114 | |||||||||||||
Series 2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 2,700 | 2,883,879 | |||||||||||||
Series 2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 4,000 | 4,408,067 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A2 |
| |||||||||||||||
2.928% | 02/10/47 | 590 | 591,777 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 2,088 | 2,233,739 | |||||||||||||
Series 2014-LC17, Class A4 |
| |||||||||||||||
3.648% | 10/10/47 | 5,000 | 5,412,894 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 2,500 | 2,716,371 | |||||||||||||
Series 2017-C08, Class A3 |
| |||||||||||||||
3.127% | 06/15/50 | 3,800 | 4,107,249 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2015-M08, Class AB2 |
| |||||||||||||||
2.829%(cc) | 01/25/25 | 738 | 791,639 | |||||||||||||
Series 2015-M17, Class A2 |
| |||||||||||||||
3.015%(cc) | 11/25/25 | 2,917 | 3,188,394 | |||||||||||||
Series 2017-M01, Class A2 |
| |||||||||||||||
2.497%(cc) | 10/25/26 | 1,600 | 1,725,625 | |||||||||||||
Series 2017-M04, Class A2 |
| |||||||||||||||
2.670%(cc) | 12/25/26 | 8,600 | 9,387,394 | |||||||||||||
Series 2017-M08, Class A2 |
| |||||||||||||||
3.061%(cc) | 05/25/27 | 5,900 | 6,594,676 | |||||||||||||
Series 2018-M04, Class A2 |
| |||||||||||||||
3.147%(cc) | 03/25/28 | 3,075 | 3,469,196 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K0055, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 03/25/26 | 4,558 | 301,220 | |||||||||||||
Series K0069, Class A2 |
| |||||||||||||||
3.187%(cc) | 09/25/27 | 3,500 | 4,002,500 | |||||||||||||
Series K0072, Class A2 |
| |||||||||||||||
3.444% | 12/25/27 | 1,400 | 1,629,411 | |||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 05/25/22 | 18,211 | 385,412 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.548%(cc) | 06/25/22 | 5,135 | 113,094 | |||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 4,200 | 4,774,028 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 4,100 | 4,700,331 | |||||||||||||
Series K069, Class AM |
| |||||||||||||||
3.248%(cc) | 09/25/27 | 750 | 853,396 | |||||||||||||
Series K070, Class A2 |
| |||||||||||||||
3.303%(cc) | 11/25/27 | 5,200 | 5,994,278 | |||||||||||||
Series K070, Class AM |
| |||||||||||||||
3.364% | 12/25/27 | 1,100 | 1,270,061 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 2,550 | $ | 2,985,773 | ||||||||||||
Series K076, Class A2 |
| |||||||||||||||
3.900% | 04/25/28 | 6,200 | 7,424,203 | |||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 1,825 | 2,175,505 | |||||||||||||
Series K077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 3,470 | 4,137,091 | |||||||||||||
Series K077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 690 | 822,169 | |||||||||||||
Series K080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 5,150 | 6,161,348 | |||||||||||||
Series K081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 2,600 | 3,099,691 | |||||||||||||
Series K086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 800 | 965,435 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 3,100 | 3,835,135 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 1,630 | 1,851,656 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC28, Class A4 |
| |||||||||||||||
3.136% | 02/10/48 | 3,000 | 3,188,684 | |||||||||||||
Series 2015-GC34, Class A3 |
| |||||||||||||||
3.244% | 10/10/48 | 4,800 | 5,160,037 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 4,200 | 4,381,411 | |||||||||||||
Series 2016-GS04, Class A3 |
| |||||||||||||||
3.178% | 11/10/49 | 4,000 | 4,346,437 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C25, Class A4A1 |
| |||||||||||||||
3.408% | 11/15/47 | 700 | 749,399 | |||||||||||||
Series 2015-C27, Class A3A1 |
| |||||||||||||||
2.920% | 02/15/48 | 4,841 | 5,109,357 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP06, Class A3 |
| |||||||||||||||
3.109% | 07/15/50 | 5,581 | 5,853,275 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A3A |
| |||||||||||||||
2.881% | 06/15/49 | 2,500 | 2,657,239 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 498 | 512,509 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,081 | 1,109,457 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2015-UBS08, Class A3 |
| |||||||||||||||
3.540% | 12/15/48 | 5,000 | 5,448,868 | |||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 6,300 | 6,628,255 | |||||||||||||
Series 2019-H06, Class A3 |
| |||||||||||||||
3.158% | 06/15/52 | 5,000 | 5,530,493 | |||||||||||||
Series 2019-H07, Class A2 |
| |||||||||||||||
2.492% | 07/15/52 | 9,400 | 9,769,530 |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C02, Class ASB |
| |||||||||||||||
3.264% | 08/15/50 | 2,500 | $ | 2,685,423 | ||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 5,000 | 5,418,712 | |||||||||||||
Series 2018-C09, Class A3 |
| |||||||||||||||
3.854% | 03/15/51 | 1,800 | 2,017,554 | |||||||||||||
Series 2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 2,900 | 3,335,831 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A4 |
| |||||||||||||||
2.792% | 12/10/45 | 1,400 | 1,426,508 | |||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 967 | 988,677 | |||||||||||||
Series 2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 1,498 | 1,542,417 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||||||
2.642% | 11/15/49 | 4,500 | 4,716,262 | |||||||||||||
Series 2017-C38, Class A4 |
| |||||||||||||||
3.190% | 07/15/50 | 3,300 | 3,623,897 | |||||||||||||
Series 2019-C49, Class A3 |
| |||||||||||||||
3.749% | 03/15/52 | 7,300 | 8,089,707 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 214,729,751 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 10.9% |
| |||||||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/01/50 | (a) | 1,470 | 1,333,894 | ||||||||||||
Embraer Netherlands Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.050% | 06/15/25 | 551 | 489,089 | |||||||||||||
Embraer Overseas Ltd. (Brazil), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.696% | 09/16/23 | 765 | 729,724 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 910 | 1,071,863 | |||||||||||||
|
| |||||||||||||||
3,624,570 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 2,685 | 2,869,607 | |||||||||||||
Vector Group Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/01/25 | 1,000 | 960,260 | |||||||||||||
|
| |||||||||||||||
3,829,867 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.2% |
| |||||||||||||||
American Airlines 2015-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.375% | 11/01/28 | 1,983 | 1,658,865 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines (cont’d.) |
| |||||||||||||||
Continental Airlines 2001-1 Class A-1 Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.703% | 12/15/22 | 13 | $ | 13,068 | ||||||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 300 | 295,261 | |||||||||||||
Continental Airlines 2012-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 04/29/26 | 273 | 249,215 | |||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 198 | 194,348 | |||||||||||||
Southwest Airlines Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 02/10/30 | 1,765 | 1,588,940 | |||||||||||||
|
| |||||||||||||||
3,999,697 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.5% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
1.721%(c) | 04/12/21 | 355 | 353,610 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.350% | 05/04/21 | 1,455 | 1,481,459 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 665 | 547,962 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.336% | 03/18/21 | 515 | 509,850 | |||||||||||||
3.350% | 11/01/22 | 2,845 | 2,733,034 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/02/43 | 740 | 778,441 | |||||||||||||
6.600% | 04/01/36 | 585 | 629,881 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.170%(c) | 04/09/21 | 820 | 812,906 | |||||||||||||
Gtd. Notes |
| |||||||||||||||
3.550% | 04/09/21 | 620 | 627,412 | |||||||||||||
3.950% | 04/13/24 | 1,700 | 1,755,805 | |||||||||||||
Harley-Davidson Financial Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.850% | 01/15/21 | 2,300 | 2,311,661 | |||||||||||||
|
| |||||||||||||||
12,542,021 | ||||||||||||||||
|
| |||||||||||||||
Banks — 2.7% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.431%(c) | 04/12/23 | 400 | 394,505 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 800 | 850,661 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | —(rr) | 275 | 304,343 | |||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | —(rr) | 1,145 | 1,131,286 |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.194%(ff) | 07/23/30 | 1,050 | $ | 1,158,186 | ||||||||||||
3.824%(ff) | 01/20/28 | 615 | 694,736 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,700 | 1,879,941 | |||||||||||||
4.200% | 08/26/24 | 745 | 826,560 | |||||||||||||
4.450% | 03/03/26 | 4,790 | 5,502,246 | |||||||||||||
Bank of America NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
6.000% | 10/15/36 | (a) | 805 | 1,141,691 | ||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 610 | 660,729 | |||||||||||||
3.684% | 01/10/23 | 320 | 331,867 | |||||||||||||
4.375% | 01/12/26 | 323 | 364,622 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | (a) | 705 | 826,096 | ||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.219%(ff) | 06/09/26 | 1,650 | 1,686,370 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | —(rr) | 1,590 | 1,501,033 | |||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | —(rr) | 945 | 923,858 | |||||||||||||
Jr. Sub. Notes, Series T |
| |||||||||||||||
6.250%(ff) | —(rr) | 640 | 679,328 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 10/21/26 | 670 | 734,687 | |||||||||||||
3.700% | 01/12/26 | 1,610 | 1,798,989 | |||||||||||||
3.887%(ff) | 01/10/28 | 560 | 630,317 | |||||||||||||
8.125% | 07/15/39 | (a) | 365 | 631,843 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 1,485 | 1,690,000 | |||||||||||||
4.750% | 05/18/46 | (a) | 440 | 556,525 | ||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.193%(ff) | 06/05/26 | 1,100 | 1,114,342 | |||||||||||||
4.282% | 01/09/28 | 980 | 1,096,161 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 1,240 | 1,256,294 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 1,350 | 1,413,744 | |||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 03/13/26 | 595 | 670,121 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.370%(c) | —(rr) | 1,800 | 1,646,642 | |||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | —(rr) | 560 | 566,140 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/25/26 | 1,165 | 1,303,549 | |||||||||||||
3.814%(ff) | 04/23/29 | 440 | 497,021 | |||||||||||||
3.850% | 01/26/27 | 2,625 | 2,951,504 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
6.750% | 10/01/37 | 225 | $ | 325,632 | ||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240% |
| |||||||||||||||
2.558%(c) | 03/08/21 | 920 | 931,785 | |||||||||||||
ING Groep NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 04/09/24 | 400 | 435,854 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series FF |
| |||||||||||||||
5.000%(ff) | —(rr) | 540 | 518,111 | |||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
4.230%(c) | —(rr) | 979 | 895,522 | |||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | —(rr) | 230 | 200,971 | |||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | —(rr) | 1,175 | 1,204,238 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.782%(ff) | 02/01/28 | 270 | 305,314 | |||||||||||||
3.964%(ff) | 11/15/48 | 2,240 | 2,699,823 | |||||||||||||
4.005%(ff) | 04/23/29 | 1,360 | 1,571,149 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 09/10/24 | 3,525 | 3,902,823 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
4.829%(c) | —(a)(rr) | 640 | 568,067 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | (a) | 930 | 1,200,800 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.750% | 02/25/23 | 610 | 658,069 | |||||||||||||
3.772%(ff) | 01/24/29 | 1,295 | 1,473,740 | |||||||||||||
3.875% | 01/27/26 | 550 | 624,526 | |||||||||||||
4.431%(ff) | 01/23/30 | 455 | 541,938 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.591%(ff) | 07/22/28 | 1,030 | 1,157,837 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 3,050 | 3,511,927 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.445%(ff) | 05/08/30 | 1,570 | 1,819,412 | |||||||||||||
State Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/24/24 | 1,255 | 1,331,661 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 2,895 | 3,026,171 | |||||||||||||
|
| |||||||||||||||
68,321,307 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 02/01/36 | 1,220 | 1,427,187 | |||||||||||||
|
| |||||||||||||||
Building Materials — 0.0% |
| |||||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | 300 | 304,152 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
Braskem Netherlands Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 01/31/50 | 335 | $ | 290,805 | ||||||||||||
Celanese US Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 06/15/21 | 1,160 | 1,210,198 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 03/15/44 | 740 | 801,028 | |||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 07/19/22 | 2,675 | 2,743,003 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 11/15/41 | 350 | 420,113 | |||||||||||||
9.400% | 05/15/39 | 30 | 49,805 | |||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 03/15/44 | 620 | 727,249 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | (a) | 875 | 814,184 | ||||||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 600 | 540,683 | |||||||||||||
6.500% | 09/27/28 | 405 | 357,979 | |||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 06/01/25 | 500 | 600,050 | |||||||||||||
|
| |||||||||||||||
8,555,097 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.200% | 11/01/46 | 875 | 845,053 | |||||||||||||
7.000% | 10/15/37 | (a) | 390 | 499,988 | ||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | 735 | 753,130 | |||||||||||||
5.250% | 01/15/30 | 265 | 273,940 | |||||||||||||
5.875% | 09/15/26 | 150 | 157,129 | |||||||||||||
|
| |||||||||||||||
2,529,240 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.1% |
| |||||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 07/24/24 | 445 | 490,079 | |||||||||||||
Discover Financial Services, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 11/21/22 | 900 | 953,804 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 465 | 532,950 | |||||||||||||
Lehman Brothers Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.250% | 02/06/12 | (d) | 1,850 | 20,720 | ||||||||||||
6.875% | 05/02/18 | (d) | 700 | 8,050 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services (cont’d.) |
| |||||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
U.S. Gov’t. Gtd. Notes, Series GG |
| |||||||||||||||
2.450% | 07/15/24 | 285 | $ | 305,510 | ||||||||||||
U.S. Gov’t. Gtd. Notes, Series NN |
| |||||||||||||||
3.250% | 06/15/25 | 255 | 286,035 | |||||||||||||
|
| |||||||||||||||
2,597,148 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.4% |
| |||||||||||||||
Avista Corp., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.350% | 06/01/48 | 845 | 1,049,476 | |||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.350% | 10/01/36 | 530 | 747,127 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.950% | 05/15/37 | (a) | 335 | 473,977 | ||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage, Series K2 |
| |||||||||||||||
6.950% | 03/15/33 | 300 | 449,258 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series 09-C |
| |||||||||||||||
5.500% | 12/01/39 | 145 | 196,257 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 2,470 | 2,527,497 | |||||||||||||
DTE Electric Co., |
| |||||||||||||||
General Ref. Mortgage, Series A |
| |||||||||||||||
4.050% | 05/15/48 | 1,075 | 1,331,935 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
6.050% | 04/15/38 | 530 | 776,460 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 845 | 1,100,913 | |||||||||||||
Enel Finance International NV (Italy), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 09/14/25 | 1,545 | 1,760,620 | |||||||||||||
Engie Energia Chile SA (Chile), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 01/28/30 | 400 | 416,511 | |||||||||||||
Exelon Corp., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
3.497% | 06/01/22 | 2,397 | 2,502,115 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/01/39 | 1,375 | 1,643,209 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 265 | 339,287 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
5.950% | 10/01/33 | 380 | 541,914 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 140 | 192,438 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 05/15/28 | 2,105 | $ | 2,383,055 | ||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 575 | 650,410 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 1,560 | 1,724,502 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.600% | 09/15/47 | 1,035 | 1,216,362 | |||||||||||||
Ohio Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/01/49 | 465 | 565,888 | |||||||||||||
PECO Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.800% | 06/15/50 | 785 | 808,875 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/15/47 | 980 | 1,055,006 | |||||||||||||
5.000% | 03/15/44 | 495 | 593,203 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/15/21 | 1,260 | 1,285,863 | |||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, MTN |
| |||||||||||||||
3.000% | 05/15/27 | 675 | 741,024 | |||||||||||||
3.700% | 05/01/28 | 850 | 983,412 | |||||||||||||
Sr. Sec’d. Notes, MTN |
| |||||||||||||||
5.800% | 05/01/37 | (a) | 515 | 732,123 | ||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | 1,010 | 1,234,394 | |||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 350 | 399,679 | |||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 690 | 747,419 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 495 | 502,040 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.550% | 07/15/24 | 1,475 | 1,525,642 | |||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/41 | 480 | 582,912 | |||||||||||||
|
| |||||||||||||||
33,780,803 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
FLIR Systems, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 06/15/21 | 650 | 660,365 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
AECOM, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | (a) | 1,000 | 1,074,214 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Engineering & Construction (cont’d.) |
| |||||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 07/31/47 | 1,350 | $ | 1,190,761 | ||||||||||||
|
| |||||||||||||||
2,264,975 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.1% |
| |||||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 10/01/49 | 1,030 | 1,066,375 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/49 | 1,120 | 1,396,820 | |||||||||||||
|
| |||||||||||||||
2,463,195 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/41 | 1,270 | 1,655,333 | |||||||||||||
|
| |||||||||||||||
Gas — 0.2% |
| |||||||||||||||
Dominion Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 12/15/44 | 45 | 51,837 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.490% | 05/15/27 | 2,355 | 2,658,021 | |||||||||||||
Piedmont Natural Gas Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 06/01/29 | 2,090 | 2,384,363 | |||||||||||||
|
| |||||||||||||||
5,094,221 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.1% |
| |||||||||||||||
Abbott Laboratories, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 11/30/46 | 720 | 1,028,878 | |||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 1,125 | 1,201,679 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 200 | 244,611 | ||||||||||||
2.250% | 03/07/39 | EUR | 300 | 378,288 | ||||||||||||
|
| |||||||||||||||
2,853,456 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.2% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 06/15/36 | 480 | 676,404 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 05/15/42 | 330 | 412,413 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 435 | 435,195 | |||||||||||||
HCA, Inc., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 02/01/29 | 575 | 650,055 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (cont’d.) |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.125% | 06/15/39 | 665 | $ | 773,864 | ||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 670 | 875,217 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 160 | 165,955 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 12/01/23 | 725 | 720,985 | |||||||||||||
New York and Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.024% | 08/01/45 | 340 | 417,640 | |||||||||||||
|
| |||||||||||||||
5,127,728 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 405 | 420,584 | |||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 03/01/24 | 600 | 619,996 | |||||||||||||
|
| |||||||||||||||
1,040,580 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 04/01/26 | (a) | 2,010 | 2,108,080 | ||||||||||||
|
| |||||||||||||||
Insurance — 0.2% |
| |||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 1,125 | 1,187,057 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 701 | 930,834 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/30/43 | 165 | 190,015 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/39 | 650 | 985,698 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 105 | 128,951 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 1,430 | 1,707,237 | |||||||||||||
6.850% | 12/16/39 | 122 | 185,907 | |||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/15/20 | 315 | 317,429 | |||||||||||||
|
| |||||||||||||||
5,633,128 | ||||||||||||||||
|
|
Interest Rate | 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 | $ | 808,729 | ||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,060 | 1,115,127 | |||||||||||||
|
| |||||||||||||||
Media — 0.6% |
| |||||||||||||||
AMC Networks, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 04/01/24 | 400 | 396,896 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | 870 | 989,952 | |||||||||||||
6.384% | 10/23/35 | 1,695 | 2,236,626 | |||||||||||||
6.484% | 10/23/45 | 1,000 | 1,335,420 | |||||||||||||
Comcast Cable Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.875% | 06/15/22 | 1,440 | 1,664,152 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 10/15/28 | (a) | 1,455 | 1,742,341 | ||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/20/37 | 677 | 797,247 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | 270 | 326,126 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/44 | 1,340 | 1,497,179 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 850 | 878,501 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 1,265 | 1,813,614 | ||||||||||||||
|
| |||||||||||||||
13,678,054 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.0% |
| |||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250%(ff) | 10/19/75 | 315 | 317,521 | |||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.1% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 800 | 825,566 | |||||||||||||
Pentair Finance Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 07/01/29 | 2,415 | 2,651,424 | |||||||||||||
|
| |||||||||||||||
3,476,990 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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 | 480 | $ | 483,209 | ||||||||||||
2.750% | 01/06/23 | 385 | 402,920 | |||||||||||||
North American Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/26/22 | 226 | 233,631 | |||||||||||||
|
| |||||||||||||||
1,119,760 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.8% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | 950 | 564,004 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 850 | 731,267 | |||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/30/29 | (a) | 1,350 | 1,435,060 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 150 | 168,741 | |||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 04/15/23 | (a) | 2,141 | 2,045,244 | ||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 225 | 219,813 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 255 | 269,035 | |||||||||||||
6.510% | 03/07/22 | 440 | 471,861 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,555 | 1,672,047 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 400 | 430,241 | |||||||||||||
Newfield Exploration Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 01/30/22 | 80 | 80,063 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 595 | 540,956 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 1,000 | 424,074 | |||||||||||||
4.850% | 03/15/21 | 287 | 287,115 | |||||||||||||
6.450% | 09/15/36 | 1,040 | 895,999 | |||||||||||||
Ovintiv, Inc., | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 02/01/38 | 240 | 203,397 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 02/01/29 | 610 | 626,698 | |||||||||||||
6.900% | 03/19/49 | 600 | 631,902 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.093% | 01/15/30 | 577 | $ | 574,505 | ||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 01/21/21 | 205 | 205,505 | |||||||||||||
6.350% | 02/12/48 | 458 | 340,008 | |||||||||||||
6.500% | 03/13/27 | 230 | 209,815 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.490% | 01/23/27 | 346 | 315,679 | |||||||||||||
7.690% | 01/23/50 | 1,682 | 1,393,587 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 1,805 | 1,389,067 | |||||||||||||
6.875% | 08/04/26 | 770 | 727,695 | |||||||||||||
Sinopec Group Overseas Development 2018 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.680% | 08/08/49 | 990 | 1,120,516 | |||||||||||||
Valero Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/01/29 | (a) | 580 | 646,440 | ||||||||||||
|
| |||||||||||||||
18,620,334 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.0% |
| |||||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 12/21/25 | 139 | 152,629 | |||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 675 | 716,362 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.7% |
| |||||||||||||||
AbbVie, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 950 | 1,050,320 | |||||||||||||
4.500% | 05/14/35 | 1,595 | 1,925,345 | |||||||||||||
4.700% | 05/14/45 | 855 | 1,065,490 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.250% | 11/21/49 | 1,480 | 1,789,223 | |||||||||||||
4.550% | 03/15/35 | 1,770 | 2,143,320 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.630% |
| |||||||||||||||
0.927%(c) | 06/25/21 | (a) | 805 | 805,205 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/25/21 | 350 | 358,717 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 372 | 409,244 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 06/15/39 | (a) | 280 | 355,875 | ||||||||||||
4.250% | 10/26/49 | 1,285 | 1,692,280 | |||||||||||||
5.000% | 08/15/45 | 745 | 1,037,367 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.375% | 10/15/28 | 1,870 | 2,212,316 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 03/15/40 | 530 | 563,486 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 210 | $ | 259,624 | ||||||||||||
5.125% | 07/20/45 | 991 | 1,278,605 | |||||||||||||
5.300% | 12/05/43 | 185 | 240,949 | |||||||||||||
Upjohn, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | 1,230 | 1,319,291 | |||||||||||||
|
| |||||||||||||||
18,506,657 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.6% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.650% | 06/01/21 | 610 | 622,736 | |||||||||||||
4.950% | 06/15/28 | 795 | 855,664 | |||||||||||||
5.000% | 05/15/50 | 990 | 938,818 | |||||||||||||
6.125% | 12/15/45 | 120 | 126,122 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 02/15/25 | (a) | 1,055 | 1,169,425 | ||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | 1,140 | 1,222,685 | |||||||||||||
4.700% | 04/15/48 | 750 | 751,843 | |||||||||||||
4.875% | 06/01/25 | 2,275 | 2,538,856 | |||||||||||||
5.200% | 03/01/47 | 25 | 26,684 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.650% | 10/01/36 | 130 | 145,541 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 03/15/30 | 3,495 | 3,344,775 | |||||||||||||
4.500% | 03/15/50 | 245 | 228,049 | |||||||||||||
4.950% | 07/13/47 | 640 | 617,630 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 07/01/22 | 1,315 | 1,311,483 | |||||||||||||
5.300% | 03/01/48 | 80 | 64,939 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.850% | 03/01/48 | 230 | 251,096 | |||||||||||||
4.900% | 01/15/45 | 1,100 | 1,171,177 | |||||||||||||
|
| |||||||||||||||
15,387,523 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/26 | 725 | 792,247 | |||||||||||||
|
| |||||||||||||||
Retail — 0.3% |
| |||||||||||||||
AutoZone, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/18/29 | 1,820 | 2,060,158 | |||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | 3,395 | 3,818,487 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (cont’d.) | ||||||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 10/15/23 | (a) | 500 | $ | 472,887 | |||||||||||
Macy’s Retail Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 01/15/22 | 168 | 150,529 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 1,020 | 990,609 | ||||||||||||
|
| |||||||||||||||
7,492,670 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | (a) | 1,195 | 1,243,060 | ||||||||||||
|
| |||||||||||||||
Semiconductors — 0.0% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 667 | 716,001 | |||||||||||||
|
| |||||||||||||||
Software — 0.0% |
| |||||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.675% | 06/01/60 | 360 | 375,562 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 0.6% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/15/25 | 1,665 | 1,827,254 | |||||||||||||
3.600% | 07/15/25 | 250 | 277,364 | |||||||||||||
3.800% | 02/15/27 | 1,200 | 1,347,161 | |||||||||||||
4.300% | 02/15/30 | 490 | 572,891 | |||||||||||||
4.500% | 05/15/35 | 225 | 265,235 | |||||||||||||
4.550% | 03/09/49 | 4 | 4,715 | |||||||||||||
4.850% | 03/01/39 | 3,615 | 4,386,879 | |||||||||||||
5.350% | 09/01/40 | 113 | 142,053 | |||||||||||||
British Telecommunications PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
9.625% | 12/15/30 | 350 | 572,132 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/27 | (a) | 785 | 760,858 | ||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 250 | 264,468 | |||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 438 | 443,471 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.016% | 12/03/29 | 1,365 | 1,629,750 | |||||||||||||
4.125% | 08/15/46 | 520 | 644,562 | |||||||||||||
4.500% | 08/10/33 | 865 | 1,083,697 | |||||||||||||
4.862% | 08/21/46 | 615 | 833,559 | |||||||||||||
|
| |||||||||||||||
15,056,049 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 08/01/28 | 735 | $ | 1,015,919 | ||||||||||||
CSX Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 05/01/37 | 690 | 966,155 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.590% | 05/17/25 | 120 | 142,686 | |||||||||||||
|
| |||||||||||||||
2,124,760 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 272,112,185 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.7% |
| |||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
4.263% | 09/15/32 | 180 | 214,178 | |||||||||||||
|
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
2.574% | 04/01/31 | 415 | 446,777 | |||||||||||||
6.263% | 04/01/49 | 1,305 | 2,250,916 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,250 | 2,073,963 | |||||||||||||
7.500% | 04/01/34 | 350 | 568,438 | |||||||||||||
7.625% | 03/01/40 | 205 | 356,288 | |||||||||||||
|
| |||||||||||||||
5,696,382 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.1% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, Series B, BABs |
| |||||||||||||||
5.844% | 11/01/50 | 565 | 939,132 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.2% |
| |||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.395% | 01/01/40 | 970 | 1,444,505 | |||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation |
| |||||||||||||||
5.100% | 06/01/33 | 200 | 202,950 | |||||||||||||
General Obligation, Series D, BABs |
| |||||||||||||||
5.000% | 11/01/22 | 2,305 | 2,417,230 | |||||||||||||
|
| |||||||||||||||
4,064,685 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
7.414% | 01/01/40 | 1,000 | 1,699,180 | |||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,100 | 1,440,934 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Ohio — 0.0% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.910% | 06/01/40 | 415 | $ | 592,906 | ||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.879% | 12/01/34 | 275 | 321,255 | |||||||||||||
|
| |||||||||||||||
914,161 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.834% | 11/15/34 | 425 | 617,882 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, Series B, BABs |
| |||||||||||||||
5.511% | 12/01/45 | 505 | 779,503 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Revenue Bonds, Taxable, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 355 | 480,436 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 16,846,473 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.9% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/20 | 20 | 19,901 | |||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series 2015-R04, Class 4A1, 144A |
| |||||||||||||||
3.500%(cc) | 01/27/30 | 104 | 102,357 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series 2005-A, Class 2A1 |
| |||||||||||||||
3.709%(cc) | 02/25/35 | 92 | 89,225 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 04/25/28 | 87 | 86,114 | |||||||||||||
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.535%(c) | 08/25/28 | 148 | 147,167 | |||||||||||||
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.770%(c) | 08/25/28 | 300 | 272,129 | |||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.845%(c) | 06/25/30 | 620 | 620,109 | |||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.595%(c) | 06/25/30 | 160 | 160,000 | |||||||||||||
BVRT Financing Trust, | ||||||||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||||||
2.327% | 09/15/21^ | 4,536 | 4,500,229 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.673%(c) | 11/01/23 | 3,500 | 3,443,174 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Chase Mortgage Finance Trust, |
| |||||||||||||||
Series 2007-A01, Class 1A5 |
| |||||||||||||||
3.988%(cc) | 02/25/37 | 180 | $ | 174,735 | ||||||||||||
CIM Trust, | ||||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.173%(c) | 01/25/57 | 1,831 | 1,830,094 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 1,854 | 1,863,800 | |||||||||||||
Series 2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 1,664 | 1,657,971 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 1,526 | 1,618,966 | |||||||||||||
Freddie Mac REMICS, |
| |||||||||||||||
Series 4535, Class PA |
| |||||||||||||||
3.000% | 03/15/44 | 810 | 847,017 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
1.485%(c) | 03/25/29 | 63 | 62,595 | |||||||||||||
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.385%(c) | 07/25/29 | 139 | 138,925 | |||||||||||||
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 03/25/30 | 589 | 588,621 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 09/25/48 | 2 | 2,360 | |||||||||||||
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 02/25/49 | 93 | 93,140 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.835%(c) | 05/25/29 | 116 | 114,134 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2007-A01, Class 4A1 |
| |||||||||||||||
3.995%(cc) | 07/25/35 | 73 | 69,811 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.673%(c) | 04/01/24 | 118 | 117,781 | |||||||||||||
MetLife Securitization Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/57 | 298 | 317,631 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2019-01, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 10/25/69 | 662 | 697,083 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 1,071 | 1,135,201 | |||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.935%(c) | 01/25/48 | 388 | 384,369 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Oaktown Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.735%(c) | 07/25/28 | 42 | $ | 41,828 | ||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
1.585%(c) | 07/25/29 | 29 | 28,697 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 1,401 | 1,526,890 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.765%(cc) | 02/25/34 | 123 | 118,885 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 22,870,939 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 1.0% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 2,420 | 2,646,019 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 220 | 231,624 | |||||||||||||
4.375% | 07/12/21 | 400 | 411,131 | |||||||||||||
5.000% | 06/15/45 | 430 | 484,982 | |||||||||||||
7.375% | 09/18/37 | 450 | 616,394 | |||||||||||||
Export-Import Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/01/28 | 745 | 775,248 | |||||||||||||
Finnvera OYJ (Finland), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 06/04/25 | 400 | 434,188 | |||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.375% | 03/29/21 | 714 | 742,596 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/30/25 | EUR | 1,200 | 1,462,797 | ||||||||||||
4.450% | 02/11/24 | 355 | 385,257 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.875% | 01/15/24 | 750 | 849,473 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.150% | 07/18/24 | EUR | 1,510 | 1,747,380 | ||||||||||||
4.750% | 01/08/26 | 350 | 394,620 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
3.375% | 10/31/23 | 200 | 218,551 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 10/25/23 | 1,000 | 1,047,530 | |||||||||||||
2.625% | 04/20/22 | 1,400 | 1,451,196 | |||||||||||||
3.000% | 03/12/24 | 200 | 216,652 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/22/24 | 395 | 429,872 | |||||||||||||
4.500% | 04/16/50 | 340 | 415,587 |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series GX |
| |||||||||||||||
2.600% | 04/16/24 | 225 | $ | 241,816 | ||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 10/17/23 | 240 | 262,612 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 800 | 858,597 | |||||||||||||
4.817% | 03/14/49 | 200 | 264,288 | |||||||||||||
5.103% | 04/23/48 | 665 | 908,051 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 960 | 1,188,298 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 10/26/21 | 980 | 994,221 | |||||||||||||
2.875% | 03/04/23 | 1,285 | 1,340,177 | |||||||||||||
4.000% | 04/17/25 | 750 | 832,666 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 1,200 | 1,243,038 | |||||||||||||
3.250% | 06/01/23 | 600 | 644,686 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | (a) | 405 | 518,740 | ||||||||||||
5.100% | 06/18/50 | (a) | 395 | 510,109 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 24,768,396 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.5% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
5.500% | 07/15/36 | (k) | 850 | 1,328,449 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 792 | 823,713 | |||||||||||||
2.500% | 03/01/30 | 451 | 479,346 | |||||||||||||
3.000% | 10/01/28 | 321 | 341,616 | |||||||||||||
3.000% | 06/01/29 | 634 | 674,841 | |||||||||||||
3.000% | 01/01/37 | 205 | 217,373 | |||||||||||||
3.000% | 06/01/42 | 327 | 349,520 | |||||||||||||
3.000% | 10/01/42 | 784 | 840,444 | |||||||||||||
3.000% | 01/01/43 | 705 | 755,490 | |||||||||||||
3.000% | 07/01/43 | 1,859 | 1,992,205 | |||||||||||||
3.500% | 06/01/42 | 329 | 356,497 | |||||||||||||
3.500% | 01/01/47 | 689 | 732,657 | |||||||||||||
3.500% | 02/01/47 | 958 | 1,016,525 | |||||||||||||
4.000% | 06/01/26 | 359 | 381,250 | |||||||||||||
4.000% | 09/01/26 | 131 | 139,280 | |||||||||||||
4.000% | 03/01/38 | 388 | 417,816 | |||||||||||||
4.000% | 10/01/39 | 584 | 640,606 | |||||||||||||
4.000% | 09/01/40 | 873 | 957,079 | |||||||||||||
4.000% | 12/01/40 | 343 | 375,981 | |||||||||||||
4.000% | 10/01/41 | 365 | 400,201 | |||||||||||||
4.000% | 01/01/42 | 128 | 140,376 | |||||||||||||
4.500% | 07/01/20 | 1 | 589 | |||||||||||||
4.500% | 02/01/39 | 75 | 83,178 | |||||||||||||
4.500% | 09/01/39 | 124 | 138,332 | |||||||||||||
4.500% | 10/01/39 | 1,113 | 1,238,306 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.500% | 12/01/39 | 109 | $ | 121,592 | ||||||||||||
4.500% | 07/01/41 | 179 | 193,377 | |||||||||||||
4.500% | 07/01/41 | 1,635 | 1,820,495 | |||||||||||||
4.500% | 08/01/41 | 123 | 133,039 | |||||||||||||
4.500% | 08/01/41 | 186 | 203,351 | |||||||||||||
4.500% | 08/01/41 | 271 | 295,427 | |||||||||||||
4.500% | 10/01/41 | 146 | 157,766 | |||||||||||||
4.500% | 12/01/47 | 304 | 327,671 | |||||||||||||
4.500% | 08/01/48 | 788 | 847,820 | |||||||||||||
5.000% | 05/01/34 | 16 | 18,268 | |||||||||||||
5.000% | 05/01/34 | 233 | 266,846 | |||||||||||||
5.000% | 10/01/35 | 6 | 6,881 | |||||||||||||
5.000% | 07/01/37 | 386 | 442,442 | |||||||||||||
5.000% | 05/01/39 | 51 | 58,738 | |||||||||||||
5.500% | 12/01/33 | 42 | 46,598 | |||||||||||||
5.500% | 01/01/34 | 40 | 44,810 | |||||||||||||
5.500% | 06/01/34 | 75 | 86,105 | |||||||||||||
5.500% | 07/01/34 | 171 | 195,412 | |||||||||||||
5.500% | 05/01/37 | 45 | 51,985 | |||||||||||||
5.500% | 02/01/38 | 353 | 405,273 | |||||||||||||
5.500% | 05/01/38 | 38 | 43,709 | |||||||||||||
5.500% | 07/01/38 | 96 | 110,443 | |||||||||||||
6.000% | 03/01/32 | 138 | 154,874 | |||||||||||||
6.000% | 12/01/33 | 49 | 54,975 | |||||||||||||
6.000% | 11/01/36 | 46 | 52,343 | |||||||||||||
6.000% | 01/01/37 | 38 | 43,623 | |||||||||||||
6.000% | 05/01/37 | 20 | 23,613 | |||||||||||||
6.000% | 02/01/38 | 3 | 4,029 | |||||||||||||
6.000% | 08/01/39 | 51 | 59,141 | |||||||||||||
6.750% | 09/15/29 | 605 | 910,503 | |||||||||||||
6.750% | 03/15/31 | (k) | 550 | 864,845 | ||||||||||||
7.000% | 05/01/31 | 6 | 6,488 | |||||||||||||
7.000% | 06/01/31 | 13 | 13,755 | |||||||||||||
7.000% | 08/01/31 | 106 | 122,538 | |||||||||||||
7.000% | 10/01/31 | 6 | 6,713 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | TBA | 3,500 | 3,572,224 | |||||||||||||
2.000% | TBA | 9,000 | 9,293,906 | |||||||||||||
2.000% | 08/01/31 | 731 | 759,651 | |||||||||||||
2.500% | 01/01/28 | 635 | 666,689 | |||||||||||||
2.500% | 10/01/43 | 623 | 659,806 | |||||||||||||
2.500% | 12/01/46 | 1,316 | 1,393,256 | |||||||||||||
2.500% | 09/01/49 | 3,125 | 3,257,677 | |||||||||||||
2.500% | 11/01/49 | 3,271 | 3,408,088 | |||||||||||||
2.500% | 12/01/49 | 571 | 594,663 | |||||||||||||
3.000% | TBA | 21,000 | 22,079,624 | |||||||||||||
3.000% | 02/01/27 | 1,248 | 1,320,040 | |||||||||||||
3.000% | 08/01/30 | 846 | 891,002 | |||||||||||||
3.000% | 11/01/36 | 1,841 | 1,939,939 | |||||||||||||
3.000% | 12/01/42 | 1,419 | 1,519,872 | |||||||||||||
3.000% | 03/01/43 | 295 | 315,573 | |||||||||||||
3.000% | 11/01/46 | 1,132 | 1,195,642 | |||||||||||||
3.000% | 01/01/47 | 1,601 | 1,693,406 | |||||||||||||
3.000% | 02/01/47 | 1,601 | 1,693,693 | |||||||||||||
3.000% | 03/01/47 | 802 | 848,746 | |||||||||||||
3.500% | 07/01/31 | 845 | 902,952 | |||||||||||||
3.500% | 02/01/33 | 2,293 | 2,418,538 | |||||||||||||
3.500% | 06/01/39 | 486 | 524,088 |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||
3.500% | 01/01/42 | 3,801 | $ | 4,108,664 | ||||||||||
3.500% | 05/01/42 | 1,906 | 2,061,143 | |||||||||||
3.500% | 07/01/42 | 766 | 833,112 | |||||||||||
3.500% | 08/01/42 | 302 | 326,807 | |||||||||||
3.500% | 08/01/42 | 918 | 992,775 | |||||||||||
3.500% | 09/01/42 | 432 | 467,783 | |||||||||||
3.500% | 09/01/42 | 1,629 | 1,763,748 | |||||||||||
3.500% | 11/01/42 | 255 | 276,207 | |||||||||||
3.500% | 03/01/43 | 2,179 | 2,382,950 | |||||||||||
3.500% | 04/01/43 | 530 | 573,903 | |||||||||||
3.500% | 04/01/43 | 718 | 776,696 | |||||||||||
3.500% | 01/01/46 | 1,640 | 1,756,581 | |||||||||||
3.500% | 07/01/46 | 1,832 | 1,946,275 | |||||||||||
3.500% | 11/01/46 | 1,579 | 1,675,628 | |||||||||||
3.500% | 09/01/47 | 1,004 | 1,057,128 | |||||||||||
3.500% | 01/01/48 | 6,748 | 7,116,677 | |||||||||||
3.500% | 05/01/48 | 1,851 | 1,949,753 | |||||||||||
3.500% | 07/01/48 | 1,119 | 1,175,006 | |||||||||||
4.000% | 10/01/41 | 2,324 | 2,550,082 | |||||||||||
4.000% | 09/01/44 | 2,064 | 2,252,945 | |||||||||||
4.000% | 10/01/46 | 472 | 506,392 | |||||||||||
4.000% | 02/01/47 | 603 | 640,650 | |||||||||||
4.000% | 09/01/47 | 1,548 | 1,647,303 | |||||||||||
4.000% | 11/01/47 | 705 | 779,121 | |||||||||||
4.000% | 11/01/47 | 2,691 | 2,868,919 | |||||||||||
4.500% | 07/01/33 | 47 | 51,410 | |||||||||||
4.500% | 08/01/33 | 36 | 39,307 | |||||||||||
4.500% | 09/01/33 | 94 | 102,441 | |||||||||||
4.500% | 10/01/33 | 9 | 10,282 | |||||||||||
4.500% | 10/01/33 | 32 | 35,417 | |||||||||||
4.500% | 10/01/33 | 110 | 119,953 | |||||||||||
4.500% | 01/01/35 | 1 | 1,473 | |||||||||||
4.500% | 07/01/39 | 771 | 857,989 | |||||||||||
4.500% | 08/01/39 | 1,184 | 1,316,967 | |||||||||||
4.500% | 03/01/41 | 395 | 442,035 | |||||||||||
4.500% | 11/01/47 | 3,030 | 3,271,842 | |||||||||||
4.500% | 01/01/49 | 725 | 777,932 | |||||||||||
5.000% | 03/01/34 | 206 | 236,023 | |||||||||||
5.000% | 06/01/35 | 76 | 86,992 | |||||||||||
5.000% | 07/01/35 | 102 | 117,015 | |||||||||||
5.000% | 09/01/35 | 69 | 79,344 | |||||||||||
5.000% | 11/01/35 | 79 | 90,100 | |||||||||||
5.000% | 02/01/36 | 95 | 109,209 | |||||||||||
5.000% | 05/01/36 | 47 | 54,425 | |||||||||||
5.500% | 09/01/33 | 196 | 223,083 | |||||||||||
5.500% | 10/01/33 | 69 | 79,392 | |||||||||||
5.500% | 12/01/33 | 48 | 55,397 | |||||||||||
5.500% | 01/01/34 | 1 | 1,220 | |||||||||||
5.500% | 12/01/34 | 155 | 177,123 | |||||||||||
5.500% | 10/01/35 | 537 | 616,272 | |||||||||||
5.500% | 03/01/36 | 96 | 108,377 | |||||||||||
5.500% | 05/01/36 | 115 | 132,015 | |||||||||||
5.500% | 04/01/37 | 84 | 96,823 | |||||||||||
6.000% | 05/01/21 | 6 | 6,330 | |||||||||||
6.000% | 08/01/22 | 18 | 18,123 | |||||||||||
6.000% | 04/01/33 | 16 | 18,086 | |||||||||||
6.000% | 06/01/33 | 5 | 5,568 | |||||||||||
6.000% | 10/01/33 | 220 | 247,722 |
Interest | Maturity Date | Principal Amount (000)# | Value �� | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||
6.000% | 11/01/33 | 5 | $ | 6,077 | ||||||||||
6.000% | 11/01/33 | 15 | 16,229 | |||||||||||
6.000% | 11/01/33 | 45 | 50,647 | |||||||||||
6.000% | 01/01/34 | 271 | 315,548 | |||||||||||
6.000% | 02/01/34 | 59 | 68,175 | |||||||||||
6.000% | 03/01/34 | 29 | 32,029 | |||||||||||
6.000% | 03/01/34 | 42 | 47,005 | |||||||||||
6.000% | 07/01/34 | 163 | 190,350 | |||||||||||
6.000% | 08/01/34 | 1 | 664 | |||||||||||
6.000% | 10/01/34 | 3 | 3,558 | |||||||||||
6.000% | 11/01/34 | 3 | 2,797 | |||||||||||
6.000% | 11/01/34 | 29 | 32,801 | |||||||||||
6.000% | 01/01/35 | 54 | 60,144 | |||||||||||
6.000% | 01/01/35 | 151 | 169,439 | |||||||||||
6.000% | 02/01/35 | 3 | 2,979 | |||||||||||
6.000% | 02/01/35 | 74 | 82,378 | |||||||||||
6.000% | 02/01/35 | 215 | 251,621 | |||||||||||
6.000% | 03/01/35 | 2 | 2,262 | |||||||||||
6.000% | 04/01/35 | 1 | 884 | |||||||||||
6.000% | 07/01/36 | 35 | 41,197 | |||||||||||
6.000% | 02/01/37 | 63 | 74,010 | |||||||||||
6.000% | 05/01/37 | 24 | 27,735 | |||||||||||
6.000% | 06/01/37 | 1 | 662 | |||||||||||
6.000% | 08/01/37 | — | (r) | 109 | ||||||||||
6.000% | 08/01/37 | 14 | 16,169 | |||||||||||
6.000% | 09/01/37 | — | (r) | 368 | ||||||||||
6.000% | 10/01/37 | 35 | 40,158 | |||||||||||
6.000% | 05/01/38 | 57 | 66,634 | |||||||||||
6.000% | 06/01/38 | 2 | 2,706 | |||||||||||
6.250% | 05/15/29(k) | 610 | 883,585 | |||||||||||
6.500% | 07/01/32 | 41 | 46,656 | |||||||||||
6.500% | 09/01/32 | 2 | 1,729 | |||||||||||
6.500% | 09/01/32 | 51 | 58,762 | |||||||||||
6.500% | 09/01/32 | 59 | 68,420 | |||||||||||
6.500% | 09/01/32 | 70 | 80,313 | |||||||||||
6.500% | 04/01/33 | 79 | 90,984 | |||||||||||
6.500% | 11/01/33 | 21 | 24,284 | |||||||||||
6.500% | 01/01/34 | 31 | 36,356 | |||||||||||
6.500% | 09/01/34 | 59 | 67,466 | |||||||||||
6.500% | 10/01/34 | 65 | 75,409 | |||||||||||
6.500% | 09/01/36 | 49 | 57,031 | |||||||||||
6.500% | 10/01/36 | 18 | 21,542 | |||||||||||
6.500% | 11/01/36 | 21 | 23,215 | |||||||||||
6.500% | 01/01/37 | 39 | 43,137 | |||||||||||
6.500% | 01/01/37 | 103 | 119,434 | |||||||||||
6.625% | 11/15/30(k) | 800 | 1,237,411 | |||||||||||
7.000% | 02/01/32 | 25 | 29,126 | |||||||||||
7.000% | 05/01/32 | 13 | 15,854 | |||||||||||
7.000% | 06/01/32 | 19 | 21,808 | |||||||||||
7.000% | 07/01/32 | 49 | 57,468 | |||||||||||
7.125% | 01/15/30(k) | 3,195 | 4,979,567 | |||||||||||
Government National Mortgage Assoc. |
| |||||||||||||
2.500% | TBA | 4,000 | 4,200,312 | |||||||||||
2.500% | 03/20/43 | 257 | 271,850 | |||||||||||
2.500% | 12/20/46 | 626 | 663,036 | |||||||||||
3.000% | 12/20/44 | 256 | 273,247 | |||||||||||
3.000% | 03/15/45 | 819 | 866,971 | |||||||||||
3.000% | 11/20/45 | 752 | 801,129 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||
3.000% | 03/20/46 | 1,683 | $ | 1,788,285 | ||||||||||
3.000% | 07/20/46 | 4,402 | 4,681,755 | |||||||||||
3.000% | 08/20/46 | 1,171 | 1,245,793 | |||||||||||
3.000% | 10/20/46 | 996 | 1,059,731 | |||||||||||
3.000% | 11/20/46 | 597 | 634,415 | |||||||||||
3.000% | 12/20/46 | 1,068 | 1,134,265 | |||||||||||
3.000% | 01/20/47 | 305 | 323,737 | |||||||||||
3.000% | 04/20/47 | 1,272 | 1,351,652 | |||||||||||
3.500% | TBA | 9,000 | 9,495,703 | |||||||||||
3.500% | 12/20/42 | 1,143 | 1,243,212 | |||||||||||
3.500% | 05/20/43 | 350 | 381,237 | |||||||||||
3.500% | 04/20/45 | 1,371 | 1,468,001 | |||||||||||
3.500% | 07/20/46 | 5,253 | 5,620,924 | |||||||||||
3.500% | 07/20/48 | 4,692 | 4,986,879 | |||||||||||
3.500% | 11/20/48 | 1,573 | 1,663,026 | |||||||||||
4.000% | 06/15/40 | 73 | 79,807 | |||||||||||
4.000% | 05/20/41 | 60 | 65,617 | |||||||||||
4.000% | 12/20/42 | 591 | 650,869 | |||||||||||
4.000% | 08/20/44 | 261 | 284,192 | |||||||||||
4.000% | 11/20/45 | 577 | 624,736 | |||||||||||
4.000% | 12/20/45 | 1,543 | 1,666,878 | |||||||||||
4.000% | 09/20/47 | 5,575 | 5,975,990 | |||||||||||
4.000% | 02/20/49 | 2,548 | 2,705,364 | |||||||||||
4.500% | 04/15/40 | 465 | 518,222 | |||||||||||
4.500% | 01/20/41 | 434 | 484,933 | |||||||||||
4.500% | 02/20/41 | 713 | 796,042 | |||||||||||
4.500% | 03/20/41 | 359 | 393,837 | |||||||||||
4.500% | 06/20/44 | 524 | 574,311 | |||||||||||
4.500% | 09/20/46 | 458 | 498,323 | |||||||||||
4.500% | 11/20/46 | 673 | 736,433 | |||||||||||
4.500% | 03/20/47 | 437 | 476,806 | |||||||||||
4.500% | 05/20/48 | 975 | 1,051,836 | |||||||||||
4.500% | 08/20/48 | 1,680 | 1,797,442 | |||||||||||
5.000% | 10/20/37 | 82 | 92,267 | |||||||||||
5.000% | 04/20/45 | 533 | 600,466 | |||||||||||
5.500% | 08/15/33 | 175 | 192,532 | |||||||||||
5.500% | 08/15/33 | 180 | 198,463 | |||||||||||
5.500% | 09/15/33 | 76 | 82,997 | |||||||||||
5.500% | 12/15/33 | 21 | 23,503 | |||||||||||
5.500% | 03/15/34 | 149 | 164,994 | |||||||||||
5.500% | 12/15/34 | 282 | 329,729 | |||||||||||
5.500% | 07/15/35 | 57 | 66,006 | |||||||||||
5.500% | 04/15/36 | 71 | 78,688 | |||||||||||
6.000% | 11/15/23 | — | (r) | 220 | ||||||||||
6.000% | 05/15/32 | — | (r) | 74 | ||||||||||
6.000% | 04/15/33 | 7 | 7,728 | |||||||||||
6.000% | 12/15/33 | 77 | 85,152 | |||||||||||
6.000% | 01/15/34 | 20 | 22,671 | |||||||||||
6.000% | 01/15/34 | 32 | 36,673 | |||||||||||
6.000% | 01/15/34 | 61 | 72,257 | |||||||||||
6.000% | 06/20/34 | 100 | 116,404 | |||||||||||
6.000% | 07/15/34 | 72 | 85,607 | |||||||||||
6.500% | 10/15/23 | 1 | 728 | |||||||||||
6.500% | 12/15/23 | 2 | 2,561 | |||||||||||
6.500% | 01/15/24 | — | (r) | 380 | ||||||||||
6.500% | 01/15/24 | 1 | 744 | |||||||||||
6.500% | 01/15/24 | 3 | 2,846 | |||||||||||
6.500% | 01/15/24 | 9 | 9,383 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||
6.500% | 01/15/24 | 9 | $ | 9,425 | ||||||||||
6.500% | 01/15/24 | 12 | 13,357 | |||||||||||
6.500% | 01/15/24 | 16 | 17,141 | |||||||||||
6.500% | 01/15/24 | 39 | 42,700 | |||||||||||
6.500% | 02/15/24 | 2 | 1,716 | |||||||||||
6.500% | 02/15/24 | 3 | 3,234 | |||||||||||
6.500% | 02/15/24 | 4 | 4,439 | |||||||||||
6.500% | 02/15/24 | 4 | 4,851 | |||||||||||
6.500% | 02/15/24 | 5 | 5,322 | |||||||||||
6.500% | 02/15/24 | 5 | 6,030 | |||||||||||
6.500% | 03/15/24 | 1 | 861 | |||||||||||
6.500% | 03/15/24 | 1 | 1,058 | |||||||||||
6.500% | 03/15/24 | 3 | 2,984 | |||||||||||
6.500% | 04/15/24 | — | (r) | 308 | ||||||||||
6.500% | 04/15/24 | 1 | 1,216 | |||||||||||
6.500% | 04/15/24 | 1 | 1,432 | |||||||||||
6.500% | 04/15/24 | 1 | 1,654 | |||||||||||
6.500% | 04/15/24 | 5 | 5,992 | |||||||||||
6.500% | 04/15/24 | 8 | 8,279 | |||||||||||
6.500% | 05/15/24 | 3 | 3,381 | |||||||||||
6.500% | 05/15/24 | 3 | 3,476 | |||||||||||
6.500% | 05/15/24 | 12 | 13,743 | |||||||||||
6.500% | 10/15/24 | 12 | 12,809 | |||||||||||
6.500% | 11/15/28 | 4 | 4,964 | |||||||||||
6.500% | 08/15/31 | 5 | 5,883 | |||||||||||
6.500% | 12/15/31 | 10 | 11,325 | |||||||||||
6.500% | 02/15/32 | 34 | 38,931 | |||||||||||
6.500% | 06/15/32 | 22 | 24,471 | |||||||||||
6.500% | 07/15/32 | 37 | 41,773 | |||||||||||
6.500% | 08/15/32 | 5 | 5,269 | |||||||||||
6.500% | 08/15/32 | 6 | 6,824 | |||||||||||
6.500% | 08/15/32 | 7 | 8,027 | |||||||||||
6.500% | 08/15/32 | 25 | 28,912 | |||||||||||
6.500% | 08/15/32 | 175 | 208,536 | |||||||||||
6.500% | 08/15/34 | 24 | 28,199 | |||||||||||
6.500% | 06/15/35 | 34 | 40,938 | |||||||||||
6.500% | 09/15/36 | 48 | 57,802 | |||||||||||
8.000% | 01/15/24 | 6 | 5,689 | |||||||||||
8.000% | 07/15/24 | — | (r) | 344 | ||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes |
| |||||||||||||
7.125% | 05/01/30 | 510 | 790,116 | |||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 212,966,342 | ||||||||||||
|
| |||||||||||||
U.S. TREASURY OBLIGATIONS — 1.0% |
| |||||||||||||
U.S. Treasury Bonds |
| |||||||||||||
2.875% | 05/15/43 | 840 | 1,096,725 | |||||||||||
3.000% | 11/15/44 | 4,390 | 5,875,741 | |||||||||||
3.125% | 02/15/43 | 840 | 1,138,462 | |||||||||||
3.375% | 05/15/44 | 4,215 | 5,959,615 | |||||||||||
3.625% | 02/15/44 | 490 | 717,084 | |||||||||||
3.750% | 11/15/43 | 490 | 729,105 | |||||||||||
U.S. Treasury Notes |
| |||||||||||||
3.125% | 11/15/28 | 6,650 | 8,036,109 | |||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||
2.000%(s) | 08/15/39(k) | 360 | 280,491 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
2.345%(s) | 11/15/43 | (h)(k) | 3,600 | $ | 2,529,141 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 26,362,473 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,201,172,663 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 16.8% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 16.7% |
| |||||||||||||||
PGIM Core Ultra Short Bond |
| 351,018,979 | 351,018,979 | |||||||||||||
PGIM Institutional Money Market Fund |
| 66,133,591 | 66,133,591 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 417,152,570 | ||||||||||||||
|
| |||||||||||||||
Interest | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.143%(n) | 09/17/20 | (k) | 3,075 | 3,074,067 | ||||||||||||
|
| |||||||||||||||
(cost $3,074,047) |
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.0% |
| |||||||||||||||
(cost $149,870) |
| 864,810 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 421,091,447 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—104.9% |
| 2,622,264,110 | ||||||||||||||
|
| |||||||||||||||
OPTION WRITTEN*~ — (0.0)% |
| |||||||||||||||
(premiums received $82,739) |
| (28,031 | ) | |||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—104.9% |
| 2,622,236,079 | ||||||||||||||
Liabilities in excess of other assets(z) — (4.9)% |
| (122,956,630 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 2,499,279,449 | |||||||||||||
|
|
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 instrument. The aggregate value of Level 3 instruments is $4,500,229 and 0.2% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $ 65,058,656; cash collateral of $65,897,731 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(r) | Less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 140.00 | 299 | 299 | $ | 60,734 |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Options Purchased (continued):
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 143.00 | 598 | 598 | $ | 18,688 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded (cost $136,023) | $ | 79,422 | ||||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11% | — | 2,424 | $ | 54,095 | ||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11% | — | 2,357 | 52,481 | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15% | — | 5,892 | 124,488 | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15% | — | 11,696 | 247,615 | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14% | — | 11,860 | 259,723 | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21% | — | 2,357 | 46,986 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded (cost $13,847) | $ | 785,388 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
Total Options Purchased (cost $149,870) | $ | 864,810 | ||||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 142.00 | 897 | 897 | $ | (28,031 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
(premiums received $82,739) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions: | ||||||||||||||
47 | 2 Year U.S. Treasury Notes | Sep. 2020 | $ | 10,378,922 | $ | 6,486 | ||||||||
19 | 5 Year U.S. Treasury Notes | Sep. 2020 | 2,389,102 | 7,932 | ||||||||||
130 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 20,472,969 | 93,493 | ||||||||||
419 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 91,407,469 | 89,596 | ||||||||||
14 | Mini MSCI EAFE Index | Sep. 2020 | 1,244,880 | (15,937 | ) | |||||||||
228 | S&P 500 E-Mini Index | Sep. 2020 | 35,228,280 | 176,758 | ||||||||||
|
| |||||||||||||
358,328 | ||||||||||||||
|
| |||||||||||||
Short Positions: | ||||||||||||||
24 | 10 Year Euro-Bund | Sep. 2020 | 4,759,685 | (41,119 | ) | |||||||||
533 | 10 Year U.S. Treasury Notes | Sep. 2020 | 74,178,612 | (249,482 | ) | |||||||||
27 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 4,821,188 | (60,862 | ) | |||||||||
|
| |||||||||||||
(351,463 | ) | |||||||||||||
|
| |||||||||||||
$ | 6,865 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||||||||
Euro, | ||||||||||||||||||||||||||||||
Expiring 07/02/20 | Morgan Stanley & Co. International PLC | EUR 7,209 | $ | 8,126,956 | $ | 8,099,100 | $ | — | $ | (27,856 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||||||||
Expiring 07/20/20 | Morgan Stanley & Co. International PLC | CAD 1,700 | $ | 1,224,281 | $ | 1,252,282 | $ | — | $ | (28,001 | ) | |||||||||||||||||||
Euro, | ||||||||||||||||||||||||||||||
Expiring 07/02/20 | Citibank, N.A | EUR 7,209 | 7,867,810 | 8,099,100 | — | (231,290 | ) | |||||||||||||||||||||||
Expiring 08/04/20 | Morgan Stanley & Co. International PLC | EUR 7,209 | 8,132,903 | 8,105,081 | 27,822 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 17,224,994 | $ | 17,456,463 | 27,822 | (259,291 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 27,822 | $ | (287,147 | ) | ||||||||||||||||||||||||||
|
|
|
|
Credit default swap agreement outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||
OTC Credit Default Swap Agreement on corporate and/or sovereign issues - Sell Protection(2): | ||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 2,800 | 2.453 | % | $(57,950) | $22,405 | $(80,355) | Bank of America, N.A. |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||||
CDX.NA.IG.33.V1 | 12/20/29 | 1.000%(Q) | 15,600 | $59,282 | $95,816 | $36,534 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | |||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Sell Protection(2): | ||||||||||||||||||
iTraxx.EUR.33.V1 | 06/20/25 | 1.000%(Q) | EUR 25,750 | 0.664% | $208,554 | $490,405 | $281,851 |
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
Notional | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||||
EUR | 2,835 | 05/11/24 | 0.050%(A) | 1 Day EONIA(1)(A) | $(31,287 | ) | $(75,174 | ) | $(43,887 | ) | ||||||||||||||||
EUR | 790 | 05/11/39 | 1.100%(A) | 1 Day EONIA(1)(A) | (7,175 | ) | (201,416 | ) | (194,241 | ) | ||||||||||||||||
70,008 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | — | 1,094,393 | 1,094,393 | ||||||||||||||||||||
40,535 | 09/15/21 | 1.381%(S) | 3 Month LIBOR(2)(Q) | (50,561 | ) | 712,870 | 763,431 | |||||||||||||||||||
19,355 | 09/15/21 | 1.480%(S) | 3 Month LIBOR(2)(Q) | 11,386 | 369,078 | 357,692 | ||||||||||||||||||||
13,105 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | 37,983 | 274,348 | 236,365 | ||||||||||||||||||||
570 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (26,843 | ) | (26,843 | ) | ||||||||||||||||||
860 | 11/15/45 | 1.044%(A) | 1 Day USOIS(1)(A) | — | (76,513 | ) | (76,513 | ) | ||||||||||||||||||
4,480 | 11/15/45 | 1.253%(A) | 1 Day USOIS(1)(A) | (56,367 | ) | (623,493 | ) | (567,126 | ) | |||||||||||||||||
2,120 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (480,842 | ) | (480,842 | ) | ||||||||||||||||||
1,764 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 25,558 | 25,558 | ||||||||||||||||||||
$(96,021 | ) | $ 991,966 | $1,087,987 |
(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, 2020:
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||||
OTC Total Return Swap Agreement: | ||||||||||||||||
Barclays US Agency CMBS Index(M) | 1 Month LIBOR(M) | Barclays Bank PLC | 10/01/20 | 11,000 | $183,545 | $— | $183,545 |
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||
OTC Swap Agreements | $22,405 | $— | $183,545 | $(80,355) |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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 | ||||||||
Citigroup Global Markets, Inc. | $ | 10,000 | $ | 7,275,321 | ||||||
Goldman Sachs & Co. LLC | — | 3,074,067 | ||||||||
|
|
|
| |||||||
Total | $ | 10,000 | $ | 10,349,388 | ||||||
|
|
|
|
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | $ | 1,159,490,177 | $ | 44,620,854 | $ | — | ||||||
Exchange-Traded Funds | 10,390,487 | — | — | |||||||||
Preferred Stocks | 1,316,000 | 188,141 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 56,417,369 | — | |||||||||
Collateralized Loan Obligations | — | 87,029,285 | — | |||||||||
Consumer Loans | — | 3,098,781 | — | |||||||||
Equipment | — | 6,170,644 | — | |||||||||
Home Equity Loans | — | 1,429,579 | — | |||||||||
Other | — | 4,238,151 | — | |||||||||
Residential Mortgage-Backed Securities | — | 11,334,446 | — | |||||||||
Student Loans | — | 24,792,190 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 214,729,751 | — | |||||||||
Corporate Bonds | — | 272,112,185 | — | |||||||||
Municipal Bonds | — | 16,846,473 | — | |||||||||
Residential Mortgage-Backed Securities | — | 18,370,710 | 4,500,229 | |||||||||
Sovereign Bonds | — | 24,768,396 | — | |||||||||
U.S. Government Agency Obligations | — | 212,966,342 | — | |||||||||
U.S. Treasury Obligations | — | 29,436,540 | — | |||||||||
Affiliated Mutual Funds | 417,152,570 | — | — | |||||||||
Options Purchased | 79,422 | 785,388 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,588,428,656 | $ | 1,029,335,225 | $ | 4,500,229 | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Option Written | $ | (28,031 | ) | $ | — | $ | — | |||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 374,265 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contract | — | 27,822 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | 318,385 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 2,477,439 | — | |||||||||
OTC Total Return Swap Agreement | — | 183,545 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 374,265 | $ | 3,007,191 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (367,400 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (287,147 | ) | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* (continued) | ||||||||||||
Liabilities (continued) | ||||||||||||
OTC Credit Default Swap Agreement | $ | — | $ | (57,950 | ) | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreements | — | (1,389,452 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (367,400 | ) | $ | (1,734,549 | ) | $ | — | ||||
|
|
|
|
|
|
* | 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, 2020 were as follows:
Affiliated Mutual Funds (2.6% represents investments purchased with collateral from securities on loan) | 16.7 | % | ||
Commercial Mortgage-Backed Securities | 8.6 | |||
U.S. Government Agency Obligations | 8.5 | |||
Banks | 4.5 | |||
Software | 4.4 | |||
Collateralized Loan Obligations | 3.5 | |||
Pharmaceuticals | 2.9 | |||
Technology Hardware, Storage & Peripherals | 2.8 | |||
IT Services | 2.7 | |||
Interactive Media & Services | 2.6 | |||
Automobiles | 2.4 | |||
Internet & Direct Marketing Retail | 2.3 | |||
Semiconductors & Semiconductor Equipment | 2.3 | |||
Health Care Equipment & Supplies | 1.8 | |||
Health Care Providers & Services | 1.4 | |||
Electric | 1.4 | |||
Capital Markets | 1.4 | |||
Residential Mortgage-Backed Securities | 1.3 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Oil, Gas & Consumable Fuels | 1.3 | |||
Chemicals | 1.2 | |||
Biotechnology | 1.2 | |||
Media | 1.2 | |||
U.S. Treasury Obligations | 1.1 | |||
Insurance | 1.1 | |||
Specialty Retail | 1.1 | |||
Student Loans | 1.0 | |||
Sovereign Bonds | 1.0 | |||
Aerospace & Defense | 1.0 | |||
Entertainment | 1.0 | |||
Electric Utilities | 0.9 | |||
Beverages | 0.9 | |||
Diversified Telecommunication Services | 0.9 | |||
Household Products | 0.8 | |||
Oil & Gas | 0.8 | |||
Machinery | 0.7 | |||
Diversified Financial Services | 0.7 | |||
Food & Staples Retailing | 0.7 | |||
Hotels, Restaurants & Leisure | 0.7 | |||
Municipal Bonds | 0.7 | |||
Pipelines | 0.6 | |||
Telecommunications | 0.6 | |||
Food Products | 0.6 | |||
Industrial Conglomerates | 0.6 |
Life Sciences Tools & Services | 0.6 | % | ||
Auto Manufacturers | 0.5 | |||
Road & Rail | 0.5 | |||
Multi-Utilities | 0.5 | |||
Communications Equipment | 0.5 | |||
Exchange-Traded Funds | 0.4 | |||
Tobacco | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.3 | |||
Retail | 0.3 | |||
Air Freight & Logistics | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Airlines | 0.3 | |||
Multiline Retail | 0.3 | |||
Equipment | 0.2 | |||
Electrical Equipment | 0.2 | |||
Metals & Mining | 0.2 | |||
Consumer Finance | 0.2 | |||
Household Durables | 0.2 | |||
Healthcare-Services | 0.2 | |||
Gas | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Professional Services | 0.2 | |||
Building Products | 0.2 | |||
Other | 0.2 | |||
Agriculture | 0.2 | |||
Containers & Packaging | 0.2 | |||
Miscellaneous Manufacturing | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Consumer Loans | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Personal Products | 0.1 | |||
Healthcare-Products | 0.1 | |||
Commercial Services | 0.1 | |||
Foods | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Engineering & Construction | 0.1 | |||
Transportation | 0.1 | |||
Housewares | 0.1 | |||
Construction Materials | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Construction & Engineering | 0.1 | |||
Auto Components | 0.1 | |||
Home Equity Loans | 0.1 | |||
Savings & Loans | 0.1 | |||
Multi-National | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Machinery-Diversified | 0.0 | *% | ||
Real Estate Management & Development | 0.0 | * | ||
Water Utilities | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Health Care Technology | 0.0 | * | ||
Distributors | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Gas Utilities | 0.0 | * | ||
Lodging | 0.0 | * | ||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Semiconductors | 0.0 | * | ||
Electronics | 0.0 | * | ||
Leisure Products | 0.0 | * | ||
Independent Power & Renewable Electricity Producers | 0.0 | * |
Mining | 0.0 | *% | ||
Building Materials | 0.0 | * | ||
Oil & Gas Services | 0.0 | * | ||
Diversified Consumer Services | 0.0 | * | ||
Transportation Infrastructure | 0.0 | * | ||
Marine | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
|
| |||
104.9 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (4.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary 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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Credit contracts | Due from/to broker-variation margin swaps | $ | 318,385 | * | — | $ | — | |||||
Credit contracts | Premiums paid for OTC swap agreements | 22,405 | — | — | ||||||||
Credit contracts | — | — | Unrealized depreciation on OTC swap agreements | 80,355 | ||||||||
Equity contracts | Due from/to broker-variation margin futures | 176,758 | * | Due from/to broker-variation margin futures | 15,937 | * | ||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 27,822 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 287,147 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 197,507 | * | Due from/to broker-variation margin futures | 351,463 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 2,477,439 | * | Due from/to broker-variation margin swaps | 1,389,452 | * | ||||||
Interest rate contracts | Unaffiliated investments | 864,810 | Options written outstanding, at value | 28,031 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 183,545 | — | — | ||||||||
|
|
|
| |||||||||
$ | 4,268,671 | $ | 2,152,385 | |||||||||
|
|
|
|
* | 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.
A34
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(1) | Options Purchased(1) | Options Written | Futures | Forward Currency Contracts | Swaps | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (37,032 | ) | |||||||||||||||||
Equity contracts | 3,564 | — | — | (1,681,933 | ) | — | — | |||||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | 262,829 | — | ||||||||||||||||||||||||
Interest rate contracts | — | (178,656 | ) | 65,485 | 9,790,964 | — | (13,273,416 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 3,564 | $ | (178,656 | ) | $ | 65,485 | $ | 8,109,031 | $ | 262,829 | $ | (13,310,448 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations
|
| |||||||||||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(2) | Options Purchased(2) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | ||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 442,916 | ||||||||||||||||||
Equity contracts | (11 | ) | — | — | (322,656 | ) | — | — | ||||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | (137,405 | ) | — | |||||||||||||||||||||||
Interest rate contracts | — | 357,560 | 54,708 | 1,237,673 | — | 7,628,248 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (11 | ) | $ | 357,560 | $ | 54,708 | $ | 915,017 | $ | (137,405 | ) | $ | 8,071,164 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Positions(2) | Forward Foreign Purchased(3) | ||||
$118,740 | $419,667 | $185,828,025 | $131,910,639 | $5,294,441 | ||||
Forward Foreign Currency Exchange Contracts—Sold(3) | Interest Rate Agreements(2) | Credit Default Swap Agreements— Buy Protection(2) | ||||||
$14,907,810 | $230,802,754 | $15,600,000 |
Credit Default Swap Agreements— Sell Protection(2) | Total Return Swap Agreements(2) | |||||||||
$11,510,042 | $11,000,000 |
(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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A35
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | ||||||||||||
Securities on Loan | $ | 65,058,656 | $ | (65,058,656 | ) | $ | — | ||||||||
|
|
|
|
|
|
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. | $ | 654,231 | $ | (80,355 | ) | $ | 573,876 | $ | (540,000 | ) | $ | 33,876 | |||||||||||||
Barclays Bank PLC | 337,107 | — | 337,107 | (270,000 | ) | 67,107 | |||||||||||||||||||
Citibank, N.A | — | (231,290 | ) | (231,290 | ) | 231,290 | — | ||||||||||||||||||
Morgan Stanley & Co. International PLC | 27,822 | (55,857 | ) | (28,035 | ) | — | (28,035 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 1,019,160 | $ | (367,502 | ) | $ | 651,658 | $ | (578,710 | ) | $ | 72,948 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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, 2020
ASSETS | ||||
Investments at value, including securities on loan of $65,058,656: | ||||
Unaffiliated investments (cost $1,318,730,846) | $ | 2,205,111,540 | ||
Affiliated investments (cost $416,955,428) | 417,152,570 | |||
Foreign currency, at value (cost $355,733) | 356,412 | |||
Cash | 11,471 | |||
Receivable for investments sold | 45,255,681 | |||
Dividends and interest receivable | 6,247,177 | |||
Due from broker-variation margin futures | 482,120 | |||
Tax reclaim receivable | 316,565 | |||
Unrealized appreciation on OTC swap agreements | 183,545 | |||
Due from broker-variation margin swaps | 83,017 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 27,822 | |||
Premiums paid for OTC swap agreements | 22,405 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 10,000 | |||
Receivable for Portfolio shares sold | 8,542 | |||
Receivable from affiliate | 1,997 | |||
Prepaid expenses | 2,557 | |||
|
| |||
Total Assets | 2,675,273,421 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 106,738,622 | |||
Payable to broker for collateral for securities on loan | 65,897,731 | |||
Management fee payable | 1,127,204 | |||
Payable for Portfolio shares repurchased | 804,033 | |||
Accrued expenses and other liabilities | 560,774 | |||
Due to broker-variation margin futures | 364,857 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 287,147 | |||
Payable to affiliate | 104,292 | |||
Unrealized depreciation on OTC swap agreements | 80,355 | |||
Options written outstanding, at value (proceeds received $82,739) | 28,031 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 175,993,972 | |||
|
| |||
NET ASSETS | $ | 2,499,279,449 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 2,499,279,449 | ||
|
| |||
Net asset value and redemption price per share, $2,499,279,449 / 79,793,188 outstanding shares of beneficial interest | $ | 31.32 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 15,176,424 | ||
Unaffiliated dividend income (net of $108,611 foreign withholding tax, of which $32,562 is reimbursable by an affiliate) | 12,696,332 | |||
Affiliated dividend income | 1,603,649 | |||
Income from securities lending, net (including affiliated income of $188,818) | 192,957 | |||
|
| |||
Total income | 29,669,362 | |||
|
| |||
EXPENSES | ||||
Management fee | 6,751,459 | |||
Custodian and accounting fees | 170,889 | |||
Shareholders’ reports | 149,157 | |||
Audit fee | 24,861 | |||
Trustees’ fees | 19,146 | |||
Legal fees and expenses | 10,139 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 30,991 | |||
|
| |||
Total expenses | 7,161,954 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 22,507,408 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(150,498)) | 59,436,816 | |||
Futures transactions | 8,109,031 | |||
Forward currency contract transactions | 262,829 | |||
Options written transactions | 65,485 | |||
Swap agreements transactions | (13,310,448 | ) | ||
Foreign currency transactions | 352 | |||
|
| |||
54,564,065 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $183,453) | (94,247,802 | ) | ||
Futures | 915,017 | |||
Forward currency contracts | (137,405 | ) | ||
Options written | 54,708 | |||
Swap agreements | 8,071,164 | |||
Foreign currencies | (19,377 | ) | ||
|
| |||
(85,363,695 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (30,799,630 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (8,292,222 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
OPERATIONS | ||||||||||
Net investment income (loss) | $ | 22,507,408 | $ | 50,692,568 | ||||||
Net realized gain (loss) on investment and foreign currency transactions | 54,564,065 | 92,944,851 | ||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (85,363,695 | ) | 279,582,716 | |||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (8,292,222 | ) | 423,220,135 | |||||||
|
|
|
| |||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||
Portfolio shares sold [191,168 and 246,721 shares, respectively] | 5,665,947 | 7,257,351 | ||||||||
Portfolio shares repurchased [3,099,171 and 6,977,375 shares, respectively] | (95,083,430 | ) | (203,275,054 | ) | ||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (89,417,483 | ) | (196,017,703 | ) | ||||||
|
|
|
| |||||||
CAPITAL CONTRIBUTIONS | — | 13,184 | ||||||||
|
|
|
| |||||||
TOTAL INCREASE (DECREASE) | (97,709,705 | ) | 227,215,616 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 2,596,989,154 | 2,369,773,538 | ||||||||
|
|
|
| |||||||
End of period | $ | 2,499,279,449 | $ | 2,596,989,154 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 99.1% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 24.5% |
| |||||||||||||||
Automobiles — 1.0% |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 1,000 | $ | 985,997 | ||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2018-04, Class A |
| |||||||||||||||
4.060% | 11/15/30 | 3,300 | 3,541,316 | |||||||||||||
Hertz Vehicle Financing II LP, |
| |||||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
3.420% | 05/25/25 | 1,531 | 1,515,153 | |||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.670% | 12/26/25 | 1,771 | 1,754,177 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 3,500 | 3,762,950 | |||||||||||||
Series 2019-01A, Class B, 144A |
| |||||||||||||||
3.950% | 11/14/28 | 800 | 850,255 | |||||||||||||
|
| |||||||||||||||
12,409,848 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 17.4% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.488%(c) | 07/22/32 | 4,000 | 3,910,967 | |||||||||||||
Anchorage Credit Opportunities CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 1.950%) |
| |||||||||||||||
3.691%(c) | 01/20/32 | 3,000 | 2,940,651 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.499%(c) | 07/15/29 | 250 | 245,754 | |||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.436%(c) | 07/16/29 | 497 | 490,876 | |||||||||||||
Atrium (Cayman Islands), |
| |||||||||||||||
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.928%(c) | 04/22/27 | 8,182 | 8,092,263 | |||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
2.569%(c) | 10/15/28 | 2,500 | 2,472,554 | |||||||||||||
Battalion CLO Ltd., |
| |||||||||||||||
Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
1.456%(c) | 05/17/31 | 3,000 | 2,907,646 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 10/15/30 | 4,500 | 4,410,462 | |||||||||||||
Series 2019-18A, Class A, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 1.340%) |
| |||||||||||||||
2.559%(c) | 10/15/32 | 2,500 | 2,455,926 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.485%(c) | 01/17/28 | 2,500 | $ | 2,387,314 | ||||||||||||
Carlyle US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.399%(c) | 01/15/30 | 4,000 | 3,918,730 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.358%(c) | 04/22/30 | 7,710 | 7,444,368 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% (Cap N/A, Floor 0.980%) |
| |||||||||||||||
2.000%(c) | 04/24/31 | 1,500 | 1,451,402 | |||||||||||||
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
| |||||||||||||||
2.208%(c) | 01/22/31 | 3,750 | 3,691,036 | |||||||||||||
Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.005%(c) | 04/19/29 | 5,000 | 4,908,280 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.449%(c) | 10/15/29 | 7,500 | 7,349,957 | |||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.439%(c) | 07/15/30 | 5,250 | 5,136,590 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.229%(c) | 04/15/31 | 6,000 | 5,830,114 | |||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.021%(c) | 04/26/31 | 3,500 | 3,384,891 | |||||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.541%(c) | 02/05/31 | 3,973 | 3,866,886 | |||||||||||||
HPS Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
3.122%(c) | 07/22/32 | 4,000 | 3,925,239 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.021%(c) | 04/25/31 | 2,494 | 2,416,145 | |||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.323%(c) | 10/23/29 | 1,250 | 1,228,524 | |||||||||||||
Madison Park Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-21A, Class A1AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
2.569%(c) | 10/15/32 | 1,750 | 1,719,584 |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Mariner CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
| |||||||||||||||
2.101%(c) | 04/25/31 | 5,750 | $ | 5,620,670 | ||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
| |||||||||||||||
2.229%(c) | 04/21/31 | 9,716 | 9,453,130 | |||||||||||||
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.527%(c) | 02/20/31 | 4,000 | 3,910,072 | |||||||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.386%(c) | 01/16/31 | 4,000 | 3,900,073 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.561%(c) | 10/12/30 | 8,000 | 7,800,206 | |||||||||||||
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.339%(c) | 07/15/31 | 6,000 | 5,820,490 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.479%(c) | 07/15/30 | 750 | 742,600 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
2.415%(c) | 10/20/31 | 2,731 | 2,656,020 | |||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.010%(c) | 10/30/30 | 1,243 | 1,207,824 | |||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.525%(c) | 07/20/32 | 4,000 | 3,890,039 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) |
| |||||||||||||||
2.265%(c) | 01/17/31 | 4,000 | 3,915,776 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.644%(c) | 11/14/29 | 3,500 | 3,443,412 | |||||||||||||
Romark WM-R Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.165%(c) | 04/20/31 | 4,000 | 3,886,906 | |||||||||||||
Shackleton CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05RA, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.574%(c) | 05/07/31 | 4,955 | 4,809,115 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
2.061%(c) | 01/26/31 | 3,500 | 3,386,316 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.355%(c) | 10/20/30 | 5,750 | $ | 5,645,267 | ||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.375%(c) | 01/17/30 | 3,484 | 3,432,964 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.435%(c) | 07/20/27 | 6,000 | 5,742,284 | |||||||||||||
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.275%(c) | 01/20/31 | 3,000 | 2,930,124 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.619%(c) | 07/15/27 | 5,000 | 4,838,976 | |||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.201%(c) | 01/25/31 | 4,000 | 3,900,084 | |||||||||||||
Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.591%(c) | 01/25/31 | 1,500 | 1,429,472 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.099%(c) | 07/15/27 | 4,372 | 4,332,094 | |||||||||||||
Voya CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.429%(c) | 10/15/30 | 7,500 | 7,342,057 | |||||||||||||
Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%) |
| |||||||||||||||
1.961%(c) | 04/25/31 | 3,000 | 2,909,952 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
2.285%(c) | 01/17/31 | 6,500 | 6,325,596 | |||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
2.335%(c) | 10/20/31 | 2,750 | 2,654,801 | |||||||||||||
York CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.248%(c) | 01/22/31 | 2,000 | 1,952,186 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.589%(c) | 07/15/29 | 991 | 973,901 | |||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.169%(c) | 04/15/29 | 8,407 | 8,109,153 | |||||||||||||
|
| |||||||||||||||
213,547,719 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Consumer Loans — 1.6% |
| |||||||||||||||
Lendmark Funding Trust, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
4.230% | 04/20/27 | 1,400 | $ | 1,404,657 | ||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.000% | 12/20/27 | 2,100 | 2,019,772 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
2.780% | 04/20/28 | 1,000 | 1,000,145 | |||||||||||||
Mariner Finance Issuance Trust, |
| |||||||||||||||
Series 2019-AA, Class A, 144A |
| |||||||||||||||
2.960% | 07/20/32 | 700 | 690,202 | |||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class B, 144A |
| |||||||||||||||
2.790% | 09/14/32 | 500 | 495,197 | |||||||||||||
Series 2017-01A, Class C, 144A |
| |||||||||||||||
3.350% | 09/14/32 | 500 | 492,785 | |||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.300% | 03/14/29 | 930 | 945,120 | |||||||||||||
Oportun Funding IX LLC, |
| |||||||||||||||
Series 2018-B, Class A, 144A |
| |||||||||||||||
3.910% | 07/08/24 | 1,200 | 1,208,608 | |||||||||||||
Series 2018-B, Class C, 144A |
| |||||||||||||||
5.430% | 07/08/24 | 500 | 465,568 | |||||||||||||
Oportun Funding VII LLC, |
| |||||||||||||||
Series 2017-B, Class A, 144A |
| |||||||||||||||
3.220% | 10/10/23 | 3,000 | 2,990,200 | |||||||||||||
Oportun Funding VIII LLC, |
| |||||||||||||||
Series 2018-A, Class A, 144A |
| |||||||||||||||
3.610% | 03/08/24 | 1,140 | 1,141,849 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,400 | 1,405,422 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 1,000 | 999,230 | |||||||||||||
Oportun Funding XIII LLC, |
| |||||||||||||||
Series 2019-A, Class A, 144A |
| |||||||||||||||
3.080% | 08/08/25 | 1,400 | 1,376,748 | |||||||||||||
PNMAC GMSR Issuer Trust, |
| |||||||||||||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) |
| |||||||||||||||
3.035%(c) | 02/25/23 | 1,280 | 1,254,493 | |||||||||||||
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.835%(c) | 08/25/25 | 1,200 | 1,145,570 | |||||||||||||
|
| |||||||||||||||
19,035,566 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.2% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series 2018-A07, Class A7 |
| |||||||||||||||
3.960% | 10/13/30 | 2,500 | 3,006,561 | |||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.2% |
| |||||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||||||||
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245% (Cap N/A, Floor 0.830%) |
| |||||||||||||||
1.430%(c) | 06/15/33 | 650 | 631,414 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Equity Loans (cont’d.) |
| |||||||||||||||
Centex Home Equity Loan Trust, |
| |||||||||||||||
Series 2004-B, Class AF6 |
| |||||||||||||||
4.686% | 03/25/34 | 90 | $ | 90,454 | ||||||||||||
Floating Rate Mortgage Pass-Through Certificates, |
| |||||||||||||||
Series 2001-02, Class M3, 1 Month LIBOR + 2.925% (Cap N/A, Floor 1.950%) |
| |||||||||||||||
3.110%(c) | 10/25/31 | 200 | 206,075 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.800%) |
| |||||||||||||||
1.385%(c) | 08/25/35 | 157 | 154,073 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 0.680%) |
| |||||||||||||||
1.205%(c) | 10/25/33 | 284 | 281,270 | |||||||||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||||||||
Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.520%) |
| |||||||||||||||
0.965%(c) | 02/25/34 | 1,465 | 1,415,783 | |||||||||||||
|
| |||||||||||||||
2,779,069 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% |
| |||||||||||||||
PNMAC FMSR Issuer Trust, |
| |||||||||||||||
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.535%(c) | 04/25/23 | 120 | 115,511 | |||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||||
2.985%(c) | 06/25/24 | 2,250 | 2,110,369 | |||||||||||||
|
| |||||||||||||||
2,225,880 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 1.5% |
| |||||||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.390%) |
| |||||||||||||||
0.965%(c) | 10/25/34 | 929 | 899,913 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,222 | 1,250,748 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS01, Class A1, 144A |
| |||||||||||||||
4.000% | 01/25/59 | 838 | 850,858 | |||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 910 | 921,270 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 1,427 | 1,424,162 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 492 | 495,531 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520% (Cap N/A, Floor 0.260%) |
| |||||||||||||||
0.705%(c) | 06/25/35 | 476 | 466,396 | |||||||||||||
Structured Asset Investment Loan Trust, |
| |||||||||||||||
Series 2004-07, Class A8, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.600%) |
| |||||||||||||||
1.385%(c) | 08/25/34 | 1,400 | 1,333,118 |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (cont’d.) |
| |||||||||||||||
TFS (Spain), | ||||||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 04/16/23 | EUR | 3,838 | $ | 3,998,590 | |||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 1,794 | 1,847,417 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 2,056 | 2,130,166 | |||||||||||||
Series 2018-02, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 03/25/58 | 260 | 273,434 | |||||||||||||
Series 2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 152 | 163,670 | |||||||||||||
Series 2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 474 | 502,858 | |||||||||||||
Series 2018-06, Class A1A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/58 | 1,623 | 1,707,740 | |||||||||||||
|
| |||||||||||||||
18,265,871 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 2.4% |
| |||||||||||||||
Earnest Student Loan Program LLC, |
| |||||||||||||||
Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.585%(c) | 01/25/41 | 80 | 79,690 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2018-A, Class A, 144A |
| |||||||||||||||
—%(p) | 02/25/43 | 2,980 | 2,553,496 | |||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
—%(p) | 08/25/43 | 2,299 | 2,375,056 | |||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
—%(p) | 11/25/43 | 2,331 | 2,421,548 | |||||||||||||
Series 2019-A, Class R, 144A |
| |||||||||||||||
—%(p) | 10/25/48 | 4,157 | 266,026 | |||||||||||||
SoFi Alternative Trust, |
| |||||||||||||||
Series 2019-B, Class PT, 144A |
| |||||||||||||||
—%(p) | 12/15/45 | 5,561 | 5,798,401 | |||||||||||||
Series 2019-D, Class 1PT, 144A |
| |||||||||||||||
2.460%(cc) | 01/16/46 | 5,029 | 5,201,034 | |||||||||||||
Series 2019-F, Class PT1, 144A |
| |||||||||||||||
1.870%(cc) | 02/15/45 | 4,519 | 4,552,731 | |||||||||||||
SoFi RR Funding III Trust, |
| |||||||||||||||
Series 2020-01, Class A, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 3.750%) |
| |||||||||||||||
3.918%(c) | 11/29/24^ | 2,250 | 2,272,500 | |||||||||||||
SoFi RR Funding Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
1.435%(c) | 11/29/24 | 4,226 | 4,162,694 | |||||||||||||
|
| |||||||||||||||
29,683,176 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 300,953,690 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 0.4% |
| |||||||||||||||
Computers — 0.0% |
| |||||||||||||||
McAfee LLC, | ||||||||||||||||
Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
| |||||||||||||||
9.500%(c) | 09/29/25 | 437 | 431,667 | |||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Foods — 0.1% |
| |||||||||||||||
Sigma Bidco BV (Netherlands), |
| |||||||||||||||
Facility B-4 Loan, 1 Month GBP LIBOR + 4.000% |
| |||||||||||||||
4.109%(c) | 07/02/25 | GBP | 1,550 | $ | 1,820,734 | |||||||||||
|
| |||||||||||||||
Oil & Gas — 0.1% |
| |||||||||||||||
Chesapeake Energy Corp., |
| |||||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 06/23/24 | 1,525 | 865,437 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.1% |
| |||||||||||||||
Nidda Healthcare Holding GmbH (Germany), |
| |||||||||||||||
Term Loan F(GBP), 3 Month GBP LIBOR + 4.500% |
| |||||||||||||||
4.756%(c) | 08/21/26 | GBP | 1,000 | 1,187,470 | ||||||||||||
|
| |||||||||||||||
Retail — 0.1% |
| |||||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD), 1 - 6 Month LIBOR + 8.000% |
| |||||||||||||||
9.072%(c) | 04/20/26^ | 565 | 508,101 | |||||||||||||
EG Finco Ltd. (United Kingdom), |
| |||||||||||||||
Second Lien Term Loan, 6 Month EURIBOR + 7.750% |
| |||||||||||||||
8.750%(c) | 04/20/26 | EUR | 374 | 378,431 | ||||||||||||
|
| |||||||||||||||
886,532 | ||||||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 5,191,840 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.0% |
| |||||||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-UB10, Class A3 |
| |||||||||||||||
2.903% | 07/15/49 | 2,300 | 2,426,407 | |||||||||||||
BANK, | ||||||||||||||||
Series 2017-BNK05, Class A4 |
| |||||||||||||||
3.131% | 06/15/60 | 4,400 | 4,816,362 | |||||||||||||
Series 2017-BNK06, Class A4 |
| |||||||||||||||
3.254% | 07/15/60 | 920 | 1,014,716 | |||||||||||||
Series 2017-BNK08, Class A3 |
| |||||||||||||||
3.229% | 11/15/50 | 1,950 | 2,157,158 | |||||||||||||
Series 2019-BN18, Class A3 |
| |||||||||||||||
3.325% | 05/15/62 | 1,500 | 1,690,080 | |||||||||||||
BBCMS Mortgage Trust, |
| |||||||||||||||
Series 2016-ETC, Class A, 144A |
| |||||||||||||||
2.937% | 08/14/36 | 1,170 | 1,125,031 | |||||||||||||
Series 2016-ETC, Class B, 144A |
| |||||||||||||||
3.189% | 08/14/36 | 510 | 459,734 | |||||||||||||
Series 2016-ETC, Class C, 144A |
| |||||||||||||||
3.391% | 08/14/36 | 430 | 352,744 | |||||||||||||
Series 2016-ETC, Class D, 144A |
| |||||||||||||||
3.729%(cc) | 08/14/36 | 1,560 | 1,173,592 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2019-B09, Class A4 |
| |||||||||||||||
3.751% | 03/15/52 | 3,400 | 3,916,162 | |||||||||||||
BX Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-XL, Class G, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%) |
| |||||||||||||||
2.485%(c) | 10/15/36 | 1,529 | 1,467,419 | |||||||||||||
Series 2020-BXLP, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.185%(c) | 12/15/36 | 1,500 | 1,424,910 |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Cantor Commercial Real Estate Lending, |
| |||||||||||||||
Series 2019-CF01, Class A5 |
| |||||||||||||||
3.786% | 05/15/52 | 4,000 | $ | 4,595,438 | ||||||||||||
Series 2019-CF02, Class A3 |
| |||||||||||||||
2.647% | 11/15/52 | 7,700 | 7,866,697 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD05, Class A3 |
| |||||||||||||||
3.171% | 08/15/50 | 3,500 | 3,807,170 | |||||||||||||
CityLine Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-CLNE, Class B, 144A |
| |||||||||||||||
2.871%(cc) | 11/10/31 | 2,400 | 2,414,468 | |||||||||||||
Series 2016-CLNE, Class C, 144A |
| |||||||||||||||
2.871%(cc) | 11/10/31 | 900 | 861,094 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-UBS04, Class A4 |
| |||||||||||||||
3.420% | 08/10/47 | 3,200 | 3,407,592 | |||||||||||||
Series 2014-UBS05, Class A4 |
| |||||||||||||||
3.838% | 09/10/47 | 3,600 | 3,903,197 | |||||||||||||
Series 2015-DC01, Class A4 |
| |||||||||||||||
3.078% | 02/10/48 | 5,000 | 5,300,833 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 820 | 901,167 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 730 | 803,568 | |||||||||||||
Series 2016-COR01, Class A3 |
| |||||||||||||||
2.826% | 10/10/49 | 2,500 | 2,643,603 | |||||||||||||
Series 2017-COR02, Class A2 |
| |||||||||||||||
3.239% | 09/10/50 | 4,500 | 4,900,083 | |||||||||||||
Credit Suisse Mortgage Capital Certificates, |
| |||||||||||||||
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%) |
| |||||||||||||||
2.335%(c) | 05/15/36 | 2,600 | 2,482,860 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-C16, Class A2 |
| |||||||||||||||
3.067% | 06/15/52 | 1,200 | 1,310,277 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2017-C06, Class A4 |
| |||||||||||||||
3.071% | 06/10/50 | 2,800 | 3,050,384 | |||||||||||||
DBWF Mortgage Trust, |
| |||||||||||||||
Series 2016-85T, Class D, 144A |
| |||||||||||||||
3.935%(cc) | 12/10/36 | 1,400 | 1,408,184 | |||||||||||||
Eleven Madison Mortgage Trust, |
| |||||||||||||||
Series 2015-11MD, Class C, 144A |
| |||||||||||||||
3.673%(cc) | 09/10/35 | 3,000 | 3,032,065 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 05/25/22 | 24,988 | 528,822 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.548%(cc) | 06/25/22 | 14,533 | 320,113 | |||||||||||||
Series K025, Class X1, IO |
| |||||||||||||||
0.934%(cc) | 10/25/22 | 9,868 | 154,034 | |||||||||||||
Series K027, Class X1, IO |
| |||||||||||||||
0.869%(cc) | 01/25/23 | 124,911 | 1,917,423 | |||||||||||||
Series K044, Class X1, IO |
| |||||||||||||||
0.862%(cc) | 01/25/25 | 80,808 | 2,187,455 | |||||||||||||
Series K053, Class X1, IO |
| |||||||||||||||
1.024%(cc) | 12/25/25 | 87,969 | 3,682,143 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 03/25/26 | 13,674 | $ | 903,661 | ||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC30, Class A3 |
| |||||||||||||||
3.119% | 05/10/50 | 2,984 | 3,185,142 | |||||||||||||
Series 2017-GS06, Class A2 |
| |||||||||||||||
3.164% | 05/10/50 | 3,400 | 3,720,577 | |||||||||||||
Series 2019-GC38, Class A3 |
| |||||||||||||||
3.703% | 02/10/52 | 5,800 | 6,604,998 | |||||||||||||
IMT Trust, |
| |||||||||||||||
Series 2017-APTS, Class AFX, 144A |
| |||||||||||||||
3.478% | 06/15/34 | 310 | 328,121 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A3A |
| |||||||||||||||
2.881% | 06/15/49 | 1,070 | 1,137,298 | |||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.414% | 03/15/50 | 1,975 | 2,174,384 | |||||||||||||
Series 2017-C07, Class A4 |
| |||||||||||||||
3.147% | 10/15/50 | 3,600 | 3,939,521 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., |
| |||||||||||||||
Series 2018-AON, Class E, 144A |
| |||||||||||||||
4.767%(cc) | 07/05/31 | 5,875 | 5,790,384 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-JP02, Class A3 |
| |||||||||||||||
2.559% | 08/15/49 | 2,900 | 3,038,369 | |||||||||||||
KKR Industrial Portfolio Trust, |
| |||||||||||||||
Series 2020-AIP, Class E, 144A, 1 Month LIBOR + 2.626% (Cap N/A, Floor 2.626%) |
| |||||||||||||||
2.811%(c) | 03/15/37 | 800 | 767,960 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2012-C05, Class XA, IO, 144A |
| |||||||||||||||
1.579%(cc) | 08/15/45 | 35,046 | 777,627 | |||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,531 | 1,571,730 | |||||||||||||
Series 2013-C10, Class A3 |
| |||||||||||||||
4.103%(cc) | 07/15/46 | 4,340 | 4,637,696 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2017-H01, Class A4 |
| |||||||||||||||
3.259% | 06/15/50 | 2,750 | 3,007,240 | |||||||||||||
Series 2017-HR02, Class A3 |
| |||||||||||||||
3.330% | 12/15/50 | 5,500 | 6,086,153 | |||||||||||||
Series 2019-L03, Class A3 |
| |||||||||||||||
2.874% | 11/15/52 | 1,200 | 1,312,195 | |||||||||||||
Series 2019-MEAD, Class E, 144A |
| |||||||||||||||
3.177% | 11/10/36 | 575 | 439,031 | |||||||||||||
Shops at Crystals Trust, |
| |||||||||||||||
Series 2016-CSTL, Class A, 144A |
| |||||||||||||||
3.126% | 07/05/36 | 140 | 132,909 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C02, Class A3 |
| |||||||||||||||
3.225% | 08/15/50 | 4,400 | 4,748,332 | |||||||||||||
Series 2017-C07, Class A3 |
| |||||||||||||||
3.418% | 12/15/50 | 5,600 | 6,192,336 | |||||||||||||
Series 2018-C10, Class A3 |
| |||||||||||||||
4.048% | 05/15/51 | 2,200 | 2,524,078 | |||||||||||||
Series 2019-C17, Class A3 |
| |||||||||||||||
2.669% | 10/15/52 | 2,000 | 2,123,732 |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2019-C17, Class ASB |
| |||||||||||||||
2.866% | 10/15/52 | 600 | $ | 647,472 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 1,391 | 1,421,223 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-LC16, Class A4 |
| |||||||||||||||
3.548% | 08/15/50 | 4,130 | 4,388,446 | |||||||||||||
Series 2016-C32, Class A3 |
| |||||||||||||||
3.294% | 01/15/59 | 2,250 | 2,426,280 | |||||||||||||
Series 2016-C34, Class A3 |
| |||||||||||||||
2.834% | 06/15/49 | 2,500 | 2,632,590 | |||||||||||||
Series 2016-C35, Class A3 |
| |||||||||||||||
2.674% | 07/15/48 | 4,600 | 4,854,095 | |||||||||||||
Series 2017-C40, Class A3 |
| |||||||||||||||
3.317% | 10/15/50 | 1,370 | 1,492,681 | |||||||||||||
Series 2019-C54, Class A3 |
| |||||||||||||||
2.892% | 12/15/52 | 1,200 | 1,309,309 | |||||||||||||
Series 2020-C56, Class A4 |
| |||||||||||||||
2.194% | 06/15/53 | 3,600 | 3,729,200 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 171,547,755 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 36.4% |
| |||||||||||||||
Aerospace & Defense — 0.5% |
| |||||||||||||||
BAE Systems PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 04/15/30 | 385 | 420,371 | |||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 08/01/59 | 1,450 | 1,239,174 | |||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 12/01/24 | 1,600 | 1,040,035 | |||||||||||||
7.500% | 03/15/25 | 1,525 | 993,703 | |||||||||||||
7.875% | 04/15/27 | 1,825 | 1,191,536 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | (a) | 1,115 | 1,313,326 | ||||||||||||
|
| |||||||||||||||
6,198,145 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 2,810 | 3,003,201 | |||||||||||||
|
| |||||||||||||||
Airlines — 0.3% |
| |||||||||||||||
American Airlines 2016-1 Class AA Pass-Through Trust, |
| |||||||||||||||
3.575% | 07/15/29 | 1,529 | 1,479,080 | |||||||||||||
Continental Airlines 2001-1 Class A-1 Pass-Through Trust, |
| |||||||||||||||
6.703% | 12/15/22 | —(r) | 247 | |||||||||||||
Continental Airlines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
5.983% | 10/19/23 | 1,123 | 1,053,481 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines (cont’d.) |
| |||||||||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
4.750% | 07/12/22 | 228 | $ | 224,961 | ||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
6.821% | 02/10/24 | 736 | 721,032 | |||||||||||||
United Airlines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
6.636% | 01/02/24 | 506 | 430,167 | |||||||||||||
|
| |||||||||||||||
3,908,968 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.9% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
1.721%(c) | 04/12/21 | 425 | 423,336 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.100% | 04/12/21 | 570 | 579,644 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.350% | 05/04/21 | 1,715 | 1,746,187 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 290 | 238,961 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 11/01/22 | 3,800 | 3,650,450 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/02/23 | 1,350 | 1,433,530 | |||||||||||||
6.250% | 10/02/43 | 1,455 | 1,530,584 | |||||||||||||
6.600% | 04/01/36 | 210 | 226,111 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.170%(c) | 04/09/21 | 610 | 604,723 | |||||||||||||
Gtd. Notes |
| |||||||||||||||
3.550% | 04/09/21 | 460 | 465,499 | |||||||||||||
|
| |||||||||||||||
10,899,025 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.5% |
| |||||||||||||||
Adient Global Holdings Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 08/15/24 | EUR | 701 | 696,224 | ||||||||||||
Adient US LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/26 | 175 | 180,982 | |||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 04/01/27 | (a) | 1,225 | 1,188,227 | ||||||||||||
6.625% | 10/15/22 | 272 | 275,277 | |||||||||||||
Cooper-Standard Automotive, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/26 | 1,150 | 729,997 | |||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/25 | (a) | 875 | 888,322 |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Parts & Equipment (cont’d.) |
| |||||||||||||||
Dana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 11/15/27 | (a) | 350 | $ | 347,654 | |||||||||||
LKQ Italia Bondco SpA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/24 | EUR | 1,275 | 1,479,347 | ||||||||||||
|
| |||||||||||||||
5,786,030 | ||||||||||||||||
|
| |||||||||||||||
Banks — 9.3% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.431%(c) | 04/12/23 | 400 | 394,505 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 600 | 637,996 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | —(rr) | 1,655 | 1,635,177 | |||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | —(rr) | 1,575 | 1,407,795 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.300% | 01/11/23 | (a) | 5,870 | 6,251,224 | ||||||||||||
3.593%(ff) | 07/21/28 | 740 | 831,148 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.824%(ff) | 01/20/28 | 3,185 | 3,597,943 | |||||||||||||
3.974%(ff) | 02/07/30 | 685 | 796,237 | |||||||||||||
4.078%(ff) | 04/23/40 | (a) | 2,340 | 2,855,090 | ||||||||||||
4.125% | 01/22/24 | 3,750 | 4,152,610 | |||||||||||||
4.271%(ff) | 07/23/29 | 910 | 1,070,762 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,117 | 1,235,232 | |||||||||||||
4.450% | 03/03/26 | 1,735 | 1,992,985 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 700 | 758,213 | |||||||||||||
3.684% | 01/10/23 | 480 | 497,801 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 475 | 556,590 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.836% | 05/09/28 | 720 | 789,333 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.400% | 08/14/28 | 420 | 486,228 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.800% | 01/10/24 | (a) | 855 | 924,880 | ||||||||||||
BPCE SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.500% | 10/23/27 | (a) | 300 | 325,574 | ||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
4.500% | 03/15/25 | 1,120 | 1,227,612 | |||||||||||||
4.875% | 04/01/26 | 380 | 429,562 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | —(rr) | 1,355 | 1,279,182 | |||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | —(rr) | 1,085 | 1,060,726 | |||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | —(rr) | 350 | 312,546 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Citigroup, Inc., (cont’d.) |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.666%(ff) | 01/29/31 | 1,225 | $ | 1,269,660 | ||||||||||||
3.200% | 10/21/26 | 3,255 | 3,569,261 | |||||||||||||
3.887%(ff) | 01/10/28 | 1,710 | 1,924,718 | |||||||||||||
8.125% | 07/15/39 | (a) | 1,060 | 1,834,941 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 2,630 | 2,993,064 | |||||||||||||
Credit Suisse AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.625% | 09/09/24 | 1,050 | 1,159,364 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290% |
| |||||||||||||||
1.846%(c) | 02/04/21 | 1,025 | 1,019,899 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 02/04/21 | 950 | 962,667 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 900 | 911,826 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.700% | 05/30/24 | 159 | 165,925 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 1,350 | 1,413,744 | |||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 07/27/26 | 280 | 302,677 | |||||||||||||
4.250% | 03/13/26 | 1,150 | 1,295,193 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.370%(c) | —(rr) | 1,950 | 1,783,862 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.272%(ff) | 09/29/25 | 4,063 | 4,372,972 | |||||||||||||
3.750% | 02/25/26 | 125 | 139,866 | |||||||||||||
3.814%(ff) | 04/23/29 | 1,060 | 1,197,369 | |||||||||||||
3.850% | 01/26/27 | 1,765 | 1,984,535 | |||||||||||||
5.750% | 01/24/22 | 4,200 | 4,530,296 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.583%(ff) | 06/19/29 | (a) | 1,000 | 1,152,738 | ||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | —(rr) | 400 | 356,499 | |||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
4.230%(c) | —(a)(rr) | 2,998 | 2,742,365 | |||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | —(rr) | 1,350 | 1,179,611 | |||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | —(rr) | 1,450 | 1,486,082 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 10/01/26 | (a) | 1,740 | 1,907,950 | ||||||||||||
3.200% | 01/25/23 | 470 | 499,522 | |||||||||||||
3.200% | 06/15/26 | 3,020 | 3,350,489 | |||||||||||||
3.509%(ff) | 01/23/29 | 1,435 | 1,616,808 | |||||||||||||
3.782%(ff) | 02/01/28 | 965 | 1,091,214 | |||||||||||||
3.964%(ff) | 11/15/48 | 985 | 1,187,199 | |||||||||||||
4.005%(ff) | 04/23/29 | 1,200 | 1,386,308 | |||||||||||||
4.250% | 10/15/20 | 600 | 606,668 |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
JPMorgan Chase & Co., (cont’d.) |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 10/01/27 | 420 | $ | 487,229 | ||||||||||||
KeyCorp, |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.100% | 03/24/21 | 1,155 | 1,193,684 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
4.829%(c) | —(a)(rr) | 975 | 865,415 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | (a) | 895 | 1,155,608 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.125% | 01/23/23 | (a) | 1,190 | 1,262,119 | ||||||||||||
3.750% | 02/25/23 | 395 | 426,127 | |||||||||||||
3.772%(ff) | 01/24/29 | 1,875 | 2,133,794 | |||||||||||||
4.431%(ff) | 01/23/30 | 1,340 | 1,596,038 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.125% | 07/27/26 | (a) | 2,725 | 3,005,615 | ||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 750 | 863,589 | |||||||||||||
PNC Financial Services Group, Inc. (The), |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
3.900% | 04/29/24 | 975 | 1,074,849 | |||||||||||||
Santander UK Group Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 10/16/20 | 1,550 | 1,558,907 | |||||||||||||
Truist Financial Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series N |
| |||||||||||||||
4.800%(ff) | —(rr) | 960 | 884,993 | |||||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 1,100 | 1,139,524 | |||||||||||||
3.491% | 05/23/23 | 2,970 | 3,105,599 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.068%(ff) | 04/30/41 | 2,675 | 2,788,881 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 3,500 | 3,658,583 | |||||||||||||
|
| |||||||||||||||
114,102,797 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.4% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 02/01/46 | 1,880 | 2,280,358 | |||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.550% | 01/23/49 | 1,440 | 1,925,430 | |||||||||||||
Keurig Dr. Pepper, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.551% | 05/25/21 | 970 | 997,042 | |||||||||||||
|
| |||||||||||||||
5,202,830 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.3% |
| |||||||||||||||
Masonite International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 02/01/28 | 525 | 537,433 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Building Materials (cont’d.) |
| |||||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 11/15/24 | 2,550 | $ | 2,620,113 | ||||||||||||
U.S. Concrete, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 06/01/24 | (a) | 600 | 595,497 | ||||||||||||
|
| |||||||||||||||
3,753,043 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 1.4% |
| |||||||||||||||
Ashland LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/43 | 1,400 | 1,617,009 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/01/43 | (a) | 675 | 728,281 | ||||||||||||
5.375% | 03/15/44 | 700 | 757,729 | |||||||||||||
Chemours Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 05/15/25 | (a) | 1,000 | 955,606 | ||||||||||||
DuPont de Nemours, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.766% | 11/15/20 | 490 | 495,009 | |||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/21 | 3,550 | 3,745,243 | |||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 11/15/43 | 155 | 166,777 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | (a) | 1,150 | 1,070,070 | ||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 06/01/43 | 870 | 1,019,038 | |||||||||||||
5.250% | 01/15/45 | 420 | 523,840 | |||||||||||||
6.125% | 01/15/41 | 450 | 574,194 | |||||||||||||
Sasol Financing International Ltd. (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/14/22 | 1,525 | 1,383,643 | |||||||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 375 | 337,927 | |||||||||||||
Sherwin-Williams Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 08/01/25 | 445 | 490,930 | |||||||||||||
TPC Group, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 08/01/24 | 450 | 404,694 | |||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 04/01/23 | (a) | 3,058 | 3,489,041 | ||||||||||||
|
| |||||||||||||||
17,759,031 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.7% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.700% | 06/01/34 | 920 | 1,176,620 |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services (cont’d.) |
| |||||||||||||||
ERAC USA Finance LLC, (cont’d.) |
| |||||||||||||||
7.000% | 10/15/37 | (a) | 770 | $ | 987,156 | |||||||||||
Gartner, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 07/01/28 | 470 | 474,756 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 04/15/22 | (a) | 1,225 | 1,220,607 | ||||||||||||
Refinitiv US Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 11/15/26 | (a) | 950 | 1,028,304 | ||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/30 | 250 | 242,069 | |||||||||||||
4.875% | 01/15/28 | (a) | 1,325 | 1,357,683 | ||||||||||||
5.250% | 01/15/30 | (a) | 525 | 542,711 | ||||||||||||
5.500% | 05/15/27 | (a) | 975 | 1,009,246 | ||||||||||||
|
| |||||||||||||||
8,039,152 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.1% |
| |||||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 12/15/25 | (a) | 780 | 756,624 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.7% |
| |||||||||||||||
Capital One Financial Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 04/30/21 | 5,235 | 5,345,741 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 650 | 744,984 | |||||||||||||
Lehman Brothers Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
6.875% | 05/02/18 | (d) | 2,740 | 31,510 | ||||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 01/15/27 | 275 | 264,193 | |||||||||||||
8.125% | 07/15/23 | 1,250 | 1,281,787 | |||||||||||||
Power Finance Corp. Ltd. (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.150% | 12/06/28 | 400 | 442,360 | |||||||||||||
|
| |||||||||||||||
8,110,575 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.4% |
| |||||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 07/01/23 | 550 | 588,504 | |||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/25 | (a) | 3,100 | 3,130,429 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 03/15/28 | 1,000 | 977,662 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.300% | 12/01/56 | 235 | 284,035 | |||||||||||||
Dominion Energy South Carolina, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.600% | 06/15/43 | 2,025 | 2,555,083 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 2,710 | $ | 2,773,083 | ||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 2,325 | 3,029,141 | |||||||||||||
Eskom Holdings SOC Ltd. (South Africa), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
6.350% | 08/10/28 | 550 | 551,153 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/26/21 | 520 | 497,232 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/26/21 | 1,300 | 1,243,081 | |||||||||||||
7.125% | 02/11/25 | 390 | 361,902 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/01/39 | 1,900 | 2,270,616 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 400 | 512,132 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 1,150 | 1,580,737 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 680 | 769,181 | |||||||||||||
Kentucky Utilities Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.375% | 10/01/45 | 3,050 | 3,732,896 | |||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 07/13/21 | 250 | 260,108 | |||||||||||||
Narragansett Electric Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.395% | 04/09/30 | 1,050 | 1,182,488 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 06/15/29 | (a) | 375 | 395,383 | ||||||||||||
PacifiCorp, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.300% | 03/15/51 | 380 | 419,427 | |||||||||||||
Tucson Electric Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/15/50 | 1,500 | 1,766,993 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 450 | 456,400 | |||||||||||||
5.625% | 02/15/27 | 600 | 615,755 | |||||||||||||
|
| |||||||||||||||
29,953,421 | ||||||||||||||||
|
| |||||||||||||||
Electrical Components & Equipment — 0.1% |
| |||||||||||||||
WESCO Distribution, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 06/15/25 | 575 | 606,308 | |||||||||||||
7.250% | 06/15/28 | 550 | 579,696 | |||||||||||||
|
| |||||||||||||||
1,186,004 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Sensata Technologies BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/25 | (a) | 1,000 | $ | 1,064,918 | |||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.2% |
| |||||||||||||||
GMR Hyderabad International Airport Ltd. (India), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/27/27 | 345 | 304,902 | |||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/31/26 | 605 | 572,123 | |||||||||||||
5.500% | 07/31/47 | 1,690 | 1,490,657 | |||||||||||||
|
| |||||||||||||||
2,367,682 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 0.4% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 06/15/25 | 950 | 300,263 | |||||||||||||
5.875% | 11/15/26 | 1,200 | 383,032 | |||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 10/15/25 | (a) | 750 | 652,766 | ||||||||||||
Colt Merger Sub, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 07/01/25 | 860 | 865,424 | |||||||||||||
CPUK Finance Ltd. (United Kingdom), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
4.875% | 02/28/47 | GBP | 125 | 143,507 | ||||||||||||
Golden Entertainment, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.625% | 04/15/26 | 875 | 815,422 | |||||||||||||
Penn National Gaming, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 01/15/27 | (a) | 800 | 749,284 | ||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/28 | 350 | 279,440 | |||||||||||||
7.250% | 11/15/29 | 475 | 381,129 | |||||||||||||
|
| |||||||||||||||
4,570,267 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.6% |
| |||||||||||||||
Ingles Markets, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 06/15/23 | 78 | 78,484 | |||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | 1,800 | 1,823,900 | |||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/39 | 645 | 646,461 | |||||||||||||
4.875% | 10/01/49 | 1,325 | 1,371,793 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/39 | 440 | 528,834 | |||||||||||||
4.200% | 04/01/59 | 380 | 486,366 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods (cont’d.) |
| |||||||||||||||
McCormick & Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/15/30 | 2,000 | $ | 2,099,695 | ||||||||||||
|
| |||||||||||||||
7,035,533 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.300% | 11/15/39 | 1,000 | 1,408,826 | |||||||||||||
|
| |||||||||||||||
Gas — 0.4% |
| |||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 08/20/26 | 1,100 | 1,170,179 | |||||||||||||
Korea Gas Corp. (South Korea), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 11/02/20 | 1,750 | 1,770,019 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/01/30 | (a) | 375 | 428,447 | ||||||||||||
4.800% | 02/15/44 | 300 | 367,127 | |||||||||||||
Southern Co. Gas Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.400% | 06/01/43 | 1,050 | 1,193,855 | |||||||||||||
|
| |||||||||||||||
4,929,627 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.3% |
| |||||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 1,275 | 1,361,903 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 200 | 244,611 | ||||||||||||
2.250% | 03/07/39 | EUR | 300 | 378,288 | ||||||||||||
Stryker Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 11/30/27 | EUR | 510 | 627,344 | ||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
1.500% | 10/01/39 | EUR | 600 | 662,025 | ||||||||||||
1.875% | 10/01/49 | EUR | 425 | 455,063 | ||||||||||||
|
| |||||||||||||||
3,729,234 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.9% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/15/37 | 1,900 | 2,699,447 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 01/15/43 | 385 | 486,372 | |||||||||||||
Cigna Holding Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 12/15/20 | 745 | 749,991 | |||||||||||||
DaVita, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/30 | (a) | 1,025 | 1,017,222 |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (cont’d.) |
| |||||||||||||||
Encompass Health Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/01/30 | (a) | 500 | $ | 479,554 | |||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 330 | 330,148 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 1,475 | 1,587,160 | |||||||||||||
5.875% | 02/01/29 | 25 | 28,263 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 240 | 248,932 | |||||||||||||
3.250% | 09/01/24 | 1,495 | 1,609,738 | |||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/27 | (a) | 375 | 371,991 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/28 | 285 | 279,330 | |||||||||||||
5.125% | 11/01/27 | 600 | 593,540 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 08/01/25 | (a) | 600 | 589,367 | ||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 10/15/42 | 220 | 260,287 | |||||||||||||
|
| |||||||||||||||
11,331,342 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.2% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 01/31/25 | 300 | 304,209 | |||||||||||||
5.875% | 06/15/27 | 875 | 908,670 | |||||||||||||
6.625% | 07/15/27 | 1,050 | 1,100,461 | |||||||||||||
|
| |||||||||||||||
2,313,340 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 04/01/26 | (a) | 670 | 702,693 | ||||||||||||
|
| |||||||||||||||
Insurance — 1.0% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 07/10/25 | 2,110 | 2,336,418 | |||||||||||||
4.500% | 07/16/44 | 1,075 | 1,235,493 | |||||||||||||
Liberty Mutual Finance Europe DAC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
1.750% | 03/27/24 | EUR | 800 | 933,736 | ||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 1,030 | 1,086,816 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 06/15/40 | 405 | 570,738 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 09/17/50 | 180 | 199,708 | |||||||||||||
5.000% | 03/30/43 | 350 | 403,062 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (cont’d.) |
| |||||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 150 | $ | 184,216 | ||||||||||||
Sompo International Holdings Ltd. (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 07/15/34 | 1,350 | 1,843,738 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 2,310 | 2,757,844 | |||||||||||||
6.850% | 12/16/39 | 196 | 298,670 | |||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/15/20 | 500 | 503,856 | |||||||||||||
|
| |||||||||||||||
12,354,295 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.1% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | (a) | 1,325 | 1,331,138 | ||||||||||||
Sands China Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 08/08/25 | 400 | 435,032 | |||||||||||||
|
| |||||||||||||||
1,766,170 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.1% |
| |||||||||||||||
Caterpillar, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/09/50 | (a) | 585 | 653,757 | ||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.4% |
| |||||||||||||||
CNH Industrial Capital LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 04/01/21 | 1,050 | 1,077,409 | |||||||||||||
Rockwell Automation, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 01/15/98 | 1,100 | 1,533,830 | |||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,960 | 2,061,933 | |||||||||||||
|
| |||||||||||||||
4,673,172 | ||||||||||||||||
|
| |||||||||||||||
Media — 2.3% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 06/01/29 | 975 | 1,028,557 | |||||||||||||
5.500% | 05/01/26 | 3,300 | 3,420,884 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | 875 | 995,641 | |||||||||||||
6.384% | 10/23/35 | 2,470 | 3,259,272 | |||||||||||||
6.484% | 10/23/45 | 1,125 | 1,502,348 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.250% | 02/15/24 | (a) | 1,234 | 1,144,738 | ||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.450% | 02/01/50 | 955 | 1,081,275 |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (cont’d.) |
| |||||||||||||||
Comcast Corp., (cont’d.) |
| |||||||||||||||
4.150% | 10/15/28 | (a) | 1,820 | $ | 2,179,424 | |||||||||||
4.250% | 10/15/30 | 620 | 758,507 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 2,800 | 3,008,813 | |||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
10.875% | 10/15/25 | 1,500 | 1,612,775 | |||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 08/15/27 | 270 | 144,511 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/26 | 1,000 | 730,164 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/20/37 | 1,010 | 1,189,394 | |||||||||||||
5.300% | 05/15/49 | 265 | 322,990 | |||||||||||||
DISH DBS Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.375% | 07/01/28 | 800 | 800,757 | |||||||||||||
NBCUniversal Media LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.450% | 01/15/43 | 15 | 18,892 | |||||||||||||
TCI Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 02/15/26 | 750 | 1,013,059 | |||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 02/15/25 | (a) | 1,175 | 1,107,091 | ||||||||||||
6.625% | 06/01/27 | (a) | 975 | 930,841 | ||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 11/30/28 | 1,415 | 2,028,667 | |||||||||||||
|
| |||||||||||||||
28,278,600 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.2% |
| |||||||||||||||
Barrick Gold Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/42 | 680 | 887,314 | |||||||||||||
Barrick North America Finance LLC (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 05/01/43 | 410 | 572,074 | |||||||||||||
Newmont Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.625% | 06/09/21 | 825 | 841,977 | |||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 295 | 400,184 | |||||||||||||
|
| |||||||||||||||
2,701,549 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.3% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 1,240 | 1,248,290 | |||||||||||||
4.375% | 06/15/22 | 500 | 525,438 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Multi-National (cont’d.) |
| |||||||||||||||
Inter-American Development Bank (Supranational Bank), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
6.950% | 08/01/26 | 1,500 | $ | 2,008,074 | ||||||||||||
|
| |||||||||||||||
3,781,802 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 2.4% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 06/01/23 | 1,200 | 775,381 | |||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 350 | 227,092 | |||||||||||||
10.000% | 04/01/22 | 575 | 494,320 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 1,000 | 860,315 | |||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 08/01/24 | 125 | 124,562 | |||||||||||||
CITGO Petroleum Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 06/15/25 | 800 | 800,940 | |||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 05/09/23 | (a) | 750 | 783,467 | ||||||||||||
CNX Resources Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 03/14/27 | 975 | 897,163 | |||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 180 | 202,489 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 850 | 830,406 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.950% | 07/19/22 | 390 | 411,465 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.510% | 03/07/22 | 1,665 | 1,785,565 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,500 | 1,612,907 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 1,160 | 1,247,699 | |||||||||||||
4.750% | 04/19/27 | 200 | 216,867 | |||||||||||||
Lukoil International Finance BV (Russia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 11/09/20 | 600 | 610,803 | |||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 03/31/24 | 250 | 214,209 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.125% | 02/01/27 | 425 | 353,049 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 2,000 | 848,148 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
Occidental Petroleum Corp., (cont’d.) |
| |||||||||||||||
6.450% | 09/15/36 | 945 | $ | 814,153 | ||||||||||||
Ovintiv, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 02/01/38 | 200 | 169,497 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 01/14/25 | EUR | 400 | 471,870 | ||||||||||||
5.750% | 02/01/29 | 725 | 744,846 | |||||||||||||
6.625% | 01/16/34 | GBP | 680 | 858,454 | ||||||||||||
6.900% | 03/19/49 | 1,495 | 1,574,488 | |||||||||||||
7.375% | 01/17/27 | 405 | 450,533 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.093% | 01/15/30 | 339 | 337,534 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/26/29 | EUR | 800 | 757,906 | ||||||||||||
6.350% | 02/12/48 | 840 | 623,595 | |||||||||||||
6.500% | 03/13/27 | 2,155 | 1,965,877 | |||||||||||||
6.500% | 01/23/29 | 400 | 349,844 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.490% | 01/23/27 | 1,565 | 1,427,856 | |||||||||||||
6.840% | 01/23/30 | 100 | 87,531 | |||||||||||||
7.690% | 01/23/50 | 1,297 | 1,074,603 | |||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
3.750% | 02/21/24 | EUR | 400 | 413,448 | ||||||||||||
4.875% | 02/21/28 | EUR | 1,050 | 1,022,827 | ||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 1,025 | 788,805 | |||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 02/01/26 | (a) | 1,200 | 1,080,314 | ||||||||||||
Transocean, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 02/01/27 | 700 | 386,629 | |||||||||||||
YPF SA (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 03/23/21 | 235 | 198,542 | |||||||||||||
|
| |||||||||||||||
28,895,999 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Cameron International Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 07/15/38 | 450 | 589,742 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 3.1% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,020 | 1,127,712 | |||||||||||||
4.500% | 05/14/35 | 1,715 | 2,070,199 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.050% | 11/21/39 | 5,135 | 5,995,401 | |||||||||||||
4.550% | 03/15/35 | 2,040 | 2,470,267 | |||||||||||||
4.875% | 02/15/21 | 1,350 | 1,370,806 | |||||||||||||
Bausch Health Americas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 01/31/27 | 320 | 341,010 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/30/28 | (a) | 300 | $ | 282,686 | |||||||||||
5.250% | 01/30/30 | (a) | 300 | 286,017 | ||||||||||||
6.125% | 04/15/25 | 325 | 329,288 | |||||||||||||
6.250% | 02/15/29 | 1,050 | 1,055,858 | |||||||||||||
7.250% | 05/30/29 | 100 | 104,970 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 08/15/27 | 130 | 137,725 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.250% | 08/15/21 | 1,070 | 1,090,681 | |||||||||||||
4.125% | 06/15/39 | (a) | 420 | 533,812 | ||||||||||||
4.250% | 10/26/49 | 650 | 856,017 | |||||||||||||
4.550% | 02/20/48 | 1,145 | 1,546,457 | |||||||||||||
5.000% | 08/15/45 | 750 | 1,044,329 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 10/15/28 | 1,320 | 1,561,635 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 02/25/26 | 3,690 | 4,292,183 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 03/15/40 | 440 | 467,800 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 270 | 333,803 | |||||||||||||
5.050% | 03/25/48 | 655 | 855,380 | |||||||||||||
5.125% | 07/20/45 | 565 | 728,972 | |||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/30/28 | 233 | 150,285 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 07/31/27 | 185 | 194,991 | |||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 1,890 | 2,330,400 | |||||||||||||
Par Pharmaceutical, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/01/27 | 92 | 94,333 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 09/23/26 | 3,745 | 4,159,172 | |||||||||||||
Takeda Pharmaceutical Co. Ltd. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.025% | 07/09/40 | 525 | 528,045 | |||||||||||||
4.000% | 11/26/21 | 600 | 625,816 | |||||||||||||
Upjohn, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | (a) | 555 | 595,290 | ||||||||||||
4.000% | 06/22/50 | 1,030 | 1,101,449 | |||||||||||||
|
| |||||||||||||||
38,662,789 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.3% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 05/15/50 | 280 | 265,524 | |||||||||||||
5.150% | 03/15/45 | 55 | 52,141 |
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
Energy Transfer Operating LP, (cont’d.) |
| |||||||||||||||
5.300% | 04/15/47 | 120 | $ | 118,535 | ||||||||||||
6.125% | 12/15/45 | 90 | 94,591 | |||||||||||||
6.250% | 04/15/49 | 1,400 | 1,491,787 | |||||||||||||
Jr. Sub. Notes, Series G |
| |||||||||||||||
7.125%(ff) | —(rr) | 875 | 750,746 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 01/31/51 | 130 | 136,030 | |||||||||||||
3.950% | 01/31/60 | 145 | 150,984 | |||||||||||||
4.900% | 05/15/46 | 2,110 | 2,465,647 | |||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.375% | 03/30/38 | 375 | 393,025 | |||||||||||||
Magellan Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 03/15/45 | 1,000 | 947,878 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/15/38 | 970 | 969,589 | |||||||||||||
5.200% | 03/01/47 | 115 | 122,746 | |||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 08/15/22 | 50 | 51,537 | |||||||||||||
4.875% | 08/15/27 | (a) | 225 | 247,534 | ||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.850% | 10/15/37 | 1,250 | 1,400,077 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 03/15/50 | 2,685 | 2,499,237 | |||||||||||||
4.950% | 07/13/47 | 450 | 434,271 | |||||||||||||
Phillips 66 Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.680% | 02/15/45 | (a) | 1,900 | 2,022,047 | ||||||||||||
Sunoco Logistics Partners Operations LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.400% | 10/01/47 | 55 | 53,992 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 04/01/44 | (a) | 575 | 479,340 | ||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 01/15/45 | 1,200 | 1,277,647 | |||||||||||||
|
| |||||||||||||||
16,424,905 | ||||||||||||||||
|
| |||||||||||||||
Real Estate — 0.1% |
| |||||||||||||||
Greystar Real Estate Partners LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 12/01/25 | 1,200 | 1,201,136 | |||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/25 | 405 | 398,629 | |||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail — 0.6% |
| |||||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 05/15/28 | (a) | 1,875 | $ | 2,177,416 | |||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.625% | 07/31/20 | 850 | 211,877 | |||||||||||||
8.625% | 07/31/20 | 900 | 223,875 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 10/15/23 | (a) | 1,600 | 1,513,238 | ||||||||||||
6.625% | 04/01/21 | 551 | 571,129 | |||||||||||||
Michaels Stores, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 07/15/27 | (a) | 625 | 543,443 | ||||||||||||
PetSmart, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/25 | 439 | 440,544 | |||||||||||||
Rite Aid Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 04/01/23 | 238 | 231,288 | |||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 06/01/24 | 1,800 | 1,786,577 | |||||||||||||
|
| |||||||||||||||
7,699,387 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | (a) | 1,675 | 1,742,365 | ||||||||||||
|
| |||||||||||||||
Semiconductors — 0.9% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 3,509 | 3,766,790 | |||||||||||||
4.700% | 04/15/25 | 1,250 | 1,407,514 | |||||||||||||
5.000% | 04/15/30 | 2,500 | 2,869,025 | |||||||||||||
NXP BV/NXP Funding LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/23 | 2,675 | 2,928,595 | |||||||||||||
|
| |||||||||||||||
10,971,924 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.3% |
| |||||||||||||||
Fidelity National Information Services, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
0.750% | 05/21/23 | EUR | 400 | 452,575 | ||||||||||||
Fiserv, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 10/01/22 | (a) | 1,162 | 1,228,186 | ||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525% | 06/01/50 | 1,815 | 1,877,244 | |||||||||||||
2.675% | 06/01/60 | 435 | 453,804 | |||||||||||||
|
| |||||||||||||||
4,011,809 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 1.9% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/15/25 | 1,010 | 1,108,425 |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (cont’d.) |
| |||||||||||||||
AT&T, Inc., (cont’d.) |
| |||||||||||||||
3.600% | 07/15/25 | 150 | $ | 166,418 | ||||||||||||
3.800% | 02/15/27 | 1,065 | 1,195,606 | |||||||||||||
4.300% | 02/15/30 | 485 | 567,045 | |||||||||||||
4.550% | 03/09/49 | 774 | 912,356 | |||||||||||||
4.850% | 03/01/39 | 4,230 | 5,133,194 | |||||||||||||
5.150% | 03/15/42 | 800 | 997,765 | |||||||||||||
5.250% | 03/01/37 | 680 | 842,507 | |||||||||||||
5.350% | 09/01/40 | 424 | 533,012 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series P |
| |||||||||||||||
7.600% | 09/15/39 | (a) | 850 | 914,894 | ||||||||||||
Embarq Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.995% | 06/01/36 | 1,700 | 1,910,116 | |||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 07/01/28 | (a) | 1,525 | 1,521,670 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 230 | 243,311 | |||||||||||||
Qwest Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/01/21 | 600 | 632,501 | |||||||||||||
Sprint Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.750% | 03/15/32 | 700 | 1,001,216 | |||||||||||||
Sprint Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 02/15/25 | (a) | 500 | 576,755 | ||||||||||||
7.875% | 09/15/23 | 1,500 | 1,691,109 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.375% | 04/15/40 | 425 | 491,339 | |||||||||||||
4.500% | 04/15/50 | 580 | 682,787 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.016% | 12/03/29 | 120 | 143,275 | |||||||||||||
4.500% | 08/10/33 | 990 | 1,240,300 | |||||||||||||
4.522% | 09/15/48 | 360 | 476,042 | |||||||||||||
|
| |||||||||||||||
22,981,643 | ||||||||||||||||
|
| |||||||||||||||
Textiles — 0.0% |
| |||||||||||||||
Mohawk Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 02/01/23 | (a) | 294 | 310,907 | ||||||||||||
|
| |||||||||||||||
Transportation — 0.0% |
| |||||||||||||||
Lima Metro Line 2 Finance Ltd. (Peru), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.875% | 07/05/34 | 108 | 126,748 | |||||||||||||
|
| |||||||||||||||
Water — 0.1% |
| |||||||||||||||
American Water Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 05/01/50 | (a) | 625 | 706,690 | ||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 447,046,326 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS — 1.9% |
| |||||||||||||||
California — 0.5% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series S3 |
| |||||||||||||||
6.907% | 10/01/50 | 1,125 | $ | 2,041,515 | ||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,550 | 2,571,713 | |||||||||||||
General Obligation Unlimited, Taxable, BABs |
| |||||||||||||||
7.625% | 03/01/40 | 725 | 1,260,043 | |||||||||||||
|
| |||||||||||||||
5,873,271 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.1% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 770 | 1,279,879 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.4% |
| |||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.395% | 01/01/40 | 1,380 | 2,055,068 | |||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation Unlimited, Series A |
| |||||||||||||||
5.000% | 10/01/22 | 20 | 20,946 | |||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||||||
5.000% | 11/01/22 | 2,650 | 2,779,029 | |||||||||||||
|
| |||||||||||||||
4,855,043 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.4% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
7.102% | 01/01/41 | 1,175 | 1,949,995 | |||||||||||||
Taxable, Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 2,050 | 3,483,319 | |||||||||||||
|
| |||||||||||||||
5,433,314 | ||||||||||||||||
|
| |||||||||||||||
Ohio — 0.1% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 695 | 992,940 | |||||||||||||
|
| |||||||||||||||
Oregon — 0.1% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 615 | 894,112 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 800 | 1,234,856 | |||||||||||||
|
| |||||||||||||||
Puerto Rico — 0.1% |
| |||||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, Restructured, Series A-1 |
| |||||||||||||||
5.000% | 07/01/58 | 1,710 | 1,787,685 | |||||||||||||
|
| |||||||||||||||
Texas — 0.0% |
| |||||||||||||||
Texas Private Activity Bond Surface Transportation Corp., |
| |||||||||||||||
Taxable, Revenue Bonds, Series B |
| |||||||||||||||
3.922% | 12/31/49 | 450 | 461,830 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Virginia — 0.1% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Taxable, Revenue Bonds, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 425 | $ | 575,169 | ||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 23,388,099 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.5% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/20 | 25 | 24,615 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 04/25/28 | 416 | 411,351 | |||||||||||||
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.535%(c) | 08/25/28 | 222 | 220,750 | |||||||||||||
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 08/25/28 | 450 | 408,194 | |||||||||||||
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) |
| |||||||||||||||
2.035%(c) | 10/25/28 | 568 | 562,107 | |||||||||||||
Series 2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%) |
| |||||||||||||||
1.635%(c) | 04/25/29 | 268 | 266,947 | |||||||||||||
Series 2019-04A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.585%(c) | 10/25/29 | 174 | 172,982 | |||||||||||||
Series 2019-04A, Class M1B, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.185%(c) | 10/25/29 | 700 | 673,276 | |||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.845%(c) | 06/25/30 | 1,030 | 1,030,180 | |||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.595%(c) | 06/25/30 | 270 | 270,000 | |||||||||||||
BVRT Financing Trust, |
| |||||||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||||||
2.327% | 09/15/21^ | 8,788 | 8,719,193 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.673%(c) | 11/01/23 | 5,400 | 5,312,326 | |||||||||||||
CIM Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.173%(c) | 01/25/57 | 1,172 | 1,171,648 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 1,069 | 1,074,791 | |||||||||||||
Series 2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 1,968 | 1,960,923 | |||||||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||||||
Series 2011-12, Class 3A2, 144A |
| |||||||||||||||
3.772%(cc) | 09/25/47 | 439 | 397,120 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Connecticut Avenue Securities Trust, |
| |||||||||||||||
Series 2019-R04, Class 2M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.285%(c) | 06/25/39 | 980 | $ | 951,844 | ||||||||||||
Series 2019-R07, Class 1M2, 144A, 1 Month LIBOR + 2.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.285%(c) | 10/25/39 | 900 | 872,390 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.585%(c) | 12/26/59^ | 3,004 | 2,995,961 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) |
| |||||||||||||||
1.885%(c) | 11/25/28 | 585 | 566,082 | |||||||||||||
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.985%(c) | 04/25/29 | 180 | 178,978 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, |
| |||||||||||||||
Series 2018-C03, Class 1M2, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%) |
| |||||||||||||||
2.335%(c) | 10/25/30 | 376 | 369,565 | |||||||||||||
Fannie Mae REMICS, |
| |||||||||||||||
Series 2011-116, Class ZA |
| |||||||||||||||
3.500% | 11/25/41 | 2,166 | 2,337,662 | |||||||||||||
Series 2012-34, Class EB |
| |||||||||||||||
4.000% | 04/25/42 | 1,575 | 1,865,622 | |||||||||||||
Freddie Mac REMICS, |
| |||||||||||||||
Series 4289, Class WZ |
| |||||||||||||||
3.000% | 01/15/44 | 767 | 827,783 | |||||||||||||
Series 4768, Class GA |
| |||||||||||||||
3.500% | 09/15/45 | 1,733 | 1,828,938 | |||||||||||||
Series 4768, Class VB |
| |||||||||||||||
3.500% | 06/15/38 | 500 | 524,583 | |||||||||||||
Series 4939, Class KT |
| |||||||||||||||
3.000% | 07/15/48 | 1,000 | 1,044,618 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.535%(c) | 03/25/29 | 152 | 151,697 | |||||||||||||
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.485%(c) | 04/25/29 | 222 | 221,461 | |||||||||||||
Series 2020-DNA03, Class B1, 144A |
| |||||||||||||||
—%(p) | 06/25/50 | 205 | 205,000 | |||||||||||||
Series 2020-DNA03, Class M2, 144A |
| |||||||||||||||
—%(p) | 06/25/50 | 755 | 755,000 | |||||||||||||
Freddie Mac Structured Agency Credit Risk REMIC Trust, |
| |||||||||||||||
Series 2020-DNA02, Class M2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) |
| |||||||||||||||
2.035%(c) | 02/25/50 | 1,220 | 1,156,687 | |||||||||||||
Series 2020-HQA02, Class M2, 144A, 1 Month LIBOR + 3.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.285%(c) | 03/25/50 | 90 | 86,169 |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Freddie Mac Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 09/25/48 | 3 | $ | 2,879 | ||||||||||||
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.835%(c) | 01/25/49 | 222 | 218,427 | |||||||||||||
GCAT LLC, |
| |||||||||||||||
Series 2019-04, Class A1, 144A |
| |||||||||||||||
3.228% | 11/26/49 | 1,813 | 1,784,598 | |||||||||||||
GSMSC Resecuritization Trust, |
| |||||||||||||||
Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||||||
0.325%(c) | 01/26/37 | 163 | 161,148 | |||||||||||||
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||||||
0.325%(c) | 01/26/37 | 1,400 | 1,362,949 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 10/25/28 | 151 | 150,490 | |||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.835%(c) | 05/25/29 | 179 | 176,636 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS06, Class A1, 144A |
| |||||||||||||||
3.000% | 06/25/59 | 651 | 650,598 | |||||||||||||
Series 2020-GS01, Class A1, 144A |
| |||||||||||||||
2.882% | 10/25/59 | 1,359 | 1,345,634 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.673%(c) | 04/01/24 | 604 | 603,629 | |||||||||||||
MetLife Securitization Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/57 | 596 | 635,263 | |||||||||||||
MRA Issuance Trust, |
| |||||||||||||||
Series 2019-03, Class A2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.034%(c) | 07/10/20^ | 1,754 | 1,778,353 | |||||||||||||
Series 2020-01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.573%(c) | 12/08/20 | 5,223 | 5,228,714 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 1,033 | 1,095,135 | |||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.935%(c) | 01/25/48 | 999 | 988,376 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.735%(c) | 07/25/28 | 42 | 41,828 | |||||||||||||
Oaktown Re III Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.585%(c) | 07/25/29 | 46 | 46,318 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series 2020-02, Class PT, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.184%(c) | 06/02/22 | 7,720 | $ | 7,720,000 | ||||||||||||
Radnor Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.585%(c) | 03/25/28 | 27 | 27,016 | |||||||||||||
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.885%(c) | 03/25/28 | 360 | 338,687 | |||||||||||||
Series 2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.385%(c) | 06/25/29 | 47 | 46,562 | |||||||||||||
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%) |
| |||||||||||||||
1.135%(c) | 02/25/30 | 500 | 494,197 | |||||||||||||
Series 2020-01, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%) |
| |||||||||||||||
1.635%(c) | 02/25/30 | 1,500 | 1,375,831 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.765%(cc) | 02/25/34 | 346 | 332,876 | |||||||||||||
Series 2004-18, Class 3A1 |
| |||||||||||||||
3.279%(cc) | 12/25/34 | 1,816 | 1,736,953 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 67,959,540 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 7.2% |
| |||||||||||||||
Argentine Republic Government International Bond (Argentina), |
| |||||||||||||||
Bonds |
| |||||||||||||||
3.380% | 12/31/38 | EUR | 300 | 126,469 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 01/11/23 | 1,625 | 678,632 | |||||||||||||
6.875% | 04/22/21 | 1,775 | 739,294 | |||||||||||||
7.820% | 12/31/33 | EUR | 958 | 463,466 | ||||||||||||
7.820% | 12/31/33 | EUR | 634 | 306,474 | ||||||||||||
8.280% | 12/31/33 | 582 | 262,816 | |||||||||||||
Brazil Minas SPE via State of Minas Gerais (Brazil), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
5.333% | 02/15/28 | 1,284 | 1,297,352 | |||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 250 | 263,209 | |||||||||||||
5.000% | 06/15/45 | 205 | 231,213 | |||||||||||||
Dominican Republic International Bond (Dominican Republic), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 05/06/21 | 750 | 774,538 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 07/19/28 | 575 | 579,230 | |||||||||||||
7.500% | 05/06/21 | 200 | 206,543 | |||||||||||||
Egypt Government International Bond (Egypt), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.750% | 04/11/25 | EUR | 875 | 954,616 | ||||||||||||
4.750% | 04/16/26 | EUR | 1,540 | 1,644,204 | ||||||||||||
6.375% | 04/11/31 | EUR | 1,015 | 1,057,130 |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Ghana Government International Bond (Ghana), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.375% | 02/11/27 | 970 | $ | 907,600 | ||||||||||||
Hellenic Republic Government Bond (Greece), Bonds |
| |||||||||||||||
3.650%(cc) | 02/24/23 | EUR | 1,200 | 1,464,302 | ||||||||||||
3.650%(cc) | 02/24/26 | EUR | 380 | 495,049 | ||||||||||||
3.650%(cc) | 02/24/29 | EUR | 1,000 | 1,360,484 | ||||||||||||
3.650%(cc) | 02/24/31 | EUR | 620 | 861,840 | ||||||||||||
3.650%(cc) | 02/24/32 | EUR | 1,280 | 1,807,561 | ||||||||||||
3.650%(cc) | 02/24/34 | EUR | 640 | 938,645 | ||||||||||||
3.650%(cc) | 02/24/39 | EUR | 1,000 | 1,522,173 | ||||||||||||
3.750% | 01/30/28 | EUR | 3,095 | 4,168,115 | ||||||||||||
3.900% | 01/30/33 | EUR | 1,990 | 2,915,713 | ||||||||||||
4.000% | 01/30/37 | EUR | 378 | 586,811 | ||||||||||||
Hellenic Republic Government International Bond (Greece), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 07/17/34 | EUR | 1,500 | 2,373,374 | ||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 02/21/23 | 436 | 477,749 | |||||||||||||
5.375% | 03/25/24 | 290 | 329,120 | |||||||||||||
5.750% | 11/22/23 | 2,300 | 2,614,028 | |||||||||||||
6.375% | 03/29/21 | 1,126 | 1,171,098 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.450% | 09/18/26 | EUR | 375 | 417,099 | ||||||||||||
3.375% | 07/30/25 | EUR | 3,125 | 3,809,367 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.875% | 07/08/21 | EUR | 1,225 | 1,405,758 | ||||||||||||
3.750% | 06/14/28 | EUR | 1,250 | 1,600,988 | ||||||||||||
Iraq International Bond (Iraq), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.800% | 01/15/28 | 450 | 406,877 | |||||||||||||
6.752% | 03/09/23 | 400 | 370,175 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.500% | 05/23/24 | 1,000 | 1,073,512 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 09/27/23 | 600 | 651,857 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.750% | 09/05/24 | 600 | 624,554 | |||||||||||||
2.000% | 09/08/20 | 800 | 802,113 | |||||||||||||
2.625% | 04/20/22 | 1,000 | 1,036,568 | |||||||||||||
3.000% | 03/12/24 | 600 | 649,955 | |||||||||||||
Lithuania Government International Bond (Lithuania), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 02/01/22 | 1,000 | 1,088,942 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/16/25 | 450 | 486,796 | |||||||||||||
Portugal Government International Bond (Portugal), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
5.125% | 10/15/24 | 12,675 | 14,769,145 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 10/17/23 | 295 | 322,794 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Provincia de Buenos Aires (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 02/15/23 | 120 | $ | 49,283 | ||||||||||||
9.950% | 06/09/21 | 1,940 | 789,883 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.103% | 04/23/48 | 780 | 1,065,082 | |||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.375% | 10/17/24 | 1,000 | 1,014,336 | |||||||||||||
6.875% | 09/27/23 | 260 | 301,488 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
6.000% | 08/04/28 | GBP | 2,060 | 3,154,225 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.375% | 06/15/33 | 4,730 | 5,856,706 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 945 | 1,146,975 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 940 | 1,140,907 | ||||||||||||
4.125% | 03/11/39 | EUR | 254 | 314,404 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.000% | 04/17/25 | 675 | 749,400 | |||||||||||||
Serbia International Bond (Serbia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.250% | 09/28/21 | 2,000 | 2,129,973 | |||||||||||||
Sri Lanka Government International Bond (Sri Lanka), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/18/22 | 800 | 627,969 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 600 | 621,519 | |||||||||||||
Turkey Government International Bond (Turkey), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 03/30/21 | (a) | 500 | 508,122 | ||||||||||||
Ukraine Government International Bond (Ukraine), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 09/01/20 | 145 | 145,718 | |||||||||||||
7.750% | 09/01/21 | 160 | 165,007 | |||||||||||||
7.750% | 09/01/22 | 1,120 | 1,167,584 | |||||||||||||
8.994% | 02/01/24 | 200 | 215,051 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/27/30 | EUR | 1,325 | 1,282,033 | ||||||||||||
7.750% | 09/01/20 | 520 | 522,576 | |||||||||||||
7.750% | 09/01/22 | 930 | 969,511 | |||||||||||||
8.994% | 02/01/24 | 200 | 215,051 | |||||||||||||
9.750% | 11/01/28 | 400 | 457,203 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | (a) | 500 | 640,420 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 88,345,774 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4% |
| |||||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
3.500% | 02/01/47 | 1,601 | 1,722,643 | |||||||||||||
5.500% | 10/01/33 | 507 | 587,110 |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
5.500% | 06/01/34 | 6 | $ | 6,909 | ||||||||||||
6.000% | 11/01/33 | 136 | 154,233 | |||||||||||||
6.000% | 05/01/34 | 53 | 59,150 | |||||||||||||
6.000% | 06/01/34 | 94 | 104,460 | |||||||||||||
6.250% | 07/15/32 | (k) | 830 | 1,303,923 | ||||||||||||
6.500% | 07/01/32 | 17 | 18,729 | |||||||||||||
6.500% | 07/01/32 | 20 | 22,129 | |||||||||||||
6.500% | 08/01/32 | 36 | 40,367 | |||||||||||||
6.500% | 08/01/32 | 39 | 44,053 | |||||||||||||
6.500% | 08/01/32 | 40 | 45,872 | |||||||||||||
6.500% | 09/01/32 | 33 | 37,986 | |||||||||||||
6.500% | 09/01/32 | 99 | 114,511 | |||||||||||||
6.750% | 09/15/29 | (k) | 525 | 790,106 | ||||||||||||
6.750% | 03/15/31 | (k) | 600 | 943,468 | ||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
4.500% | 08/01/40 | 1,829 | 2,034,738 | |||||||||||||
5.500% | 02/01/33 | 15 | 16,954 | |||||||||||||
5.500% | 02/01/33 | 20 | 23,096 | |||||||||||||
5.500% | 03/01/33 | 21 | 24,089 | |||||||||||||
5.500% | 03/01/33 | 38 | 43,097 | |||||||||||||
5.500% | 03/01/33 | 44 | 49,959 | |||||||||||||
5.500% | 04/01/33 | 5 | 5,893 | |||||||||||||
5.500% | 04/01/33 | 26 | 30,121 | |||||||||||||
5.500% | 04/01/33 | 29 | 33,022 | |||||||||||||
5.500% | 04/01/33 | 30 | 34,406 | |||||||||||||
5.500% | 07/01/33 | 26 | 28,613 | |||||||||||||
5.500% | 07/01/33 | 30 | 34,664 | |||||||||||||
5.500% | 08/01/33 | 15 | 17,270 | |||||||||||||
5.500% | 02/01/34 | 26 | 29,942 | |||||||||||||
5.500% | 04/01/34 | 26 | 29,416 | |||||||||||||
5.500% | 06/01/34 | 37 | 41,716 | |||||||||||||
6.000% | 10/01/33 | 3 | 2,788 | |||||||||||||
6.000% | 10/01/33 | 198 | 224,433 | |||||||||||||
6.000% | 03/01/34 | 56 | 62,674 | |||||||||||||
6.000% | 02/01/35 | 177 | 206,817 | |||||||||||||
6.000% | 11/01/36 | 51 | 59,155 | |||||||||||||
6.250% | 05/15/29 | 535 | 774,947 | |||||||||||||
6.500% | 08/01/32 | 97 | 109,138 | |||||||||||||
6.500% | 09/01/32 | 99 | 114,034 | |||||||||||||
6.500% | 09/01/32 | 145 | 172,786 | |||||||||||||
6.500% | 10/01/32 | 77 | 88,763 | |||||||||||||
6.500% | 04/01/33 | 133 | 153,883 | |||||||||||||
6.500% | 11/01/33 | 3 | 3,571 | |||||||||||||
6.625% | 11/15/30 | (k) | 530 | 819,785 | ||||||||||||
7.000% | 05/01/32 | 56 | 60,027 | |||||||||||||
7.000% | 06/01/32 | 7 | 8,775 | |||||||||||||
7.125% | 01/15/30 | 785 | 1,223,462 | |||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
3.500% | 01/20/48 | 404 | 429,729 | |||||||||||||
4.000% | 02/20/49 | 1,009 | 1,071,431 | |||||||||||||
5.500% | 01/15/33 | 59 | 68,886 | |||||||||||||
5.500% | 02/15/33 | 41 | 48,161 | |||||||||||||
5.500% | 05/15/33 | 121 | 133,085 | |||||||||||||
5.500% | 05/15/33 | 177 | 195,096 | |||||||||||||
5.500% | 06/15/33 | 186 | 210,106 | |||||||||||||
5.500% | 09/15/33 | 87 | 97,200 | |||||||||||||
5.500% | 07/15/35 | 57 | 66,006 | |||||||||||||
6.000% | 12/15/32 | 111 | 131,706 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 11/15/33 | 56 | $ | 66,328 | ||||||||||||
6.000% | 01/15/34 | 11 | 12,953 | |||||||||||||
6.000% | 06/20/34 | 302 | 349,213 | |||||||||||||
6.000% | 11/15/34 | 462 | 550,823 | |||||||||||||
6.500% | 09/15/32 | 34 | 37,718 | |||||||||||||
6.500% | 09/15/32 | 139 | 156,729 | |||||||||||||
6.500% | 09/15/32 | 210 | 244,149 | |||||||||||||
6.500% | 11/15/33 | 134 | 154,491 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 16,581,493 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 7.6% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.000% | 02/15/50 | (a) | 2,260 | 2,586,641 | ||||||||||||
2.500% | 05/15/46 | (k) | 965 | 1,196,449 | ||||||||||||
2.875% | 05/15/43 | (a) | 6,420 | 8,382,112 | ||||||||||||
3.000% | 11/15/44 | (a) | 2,360 | 3,158,712 | ||||||||||||
3.000% | 05/15/45 | (k) | 10,715 | 14,381,539 | ||||||||||||
3.000% | 02/15/48 | (k) | 270 | 369,394 | ||||||||||||
3.125% | 02/15/43 | (k) | 11,050 | 14,976,203 | ||||||||||||
3.375% | 05/15/44 | (a) | 2,160 | 3,054,037 | ||||||||||||
3.625% | 08/15/43 | (h) | 10,950 | 15,988,711 | ||||||||||||
3.625% | 02/15/44 | (a) | 2,295 | 3,358,589 | ||||||||||||
3.750% | 11/15/43 | (a) | 4,395 | 6,539,623 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
1.125% | 02/28/22 | (a) | 230 | 233,684 | ||||||||||||
1.500% | 10/31/21 | 210 | 213,716 | |||||||||||||
2.375% | 08/15/24 | 1,780 | 1,935,889 | |||||||||||||
U.S. Treasury Principal Strips |
| |||||||||||||||
2.049%(s) | 11/15/44 | 3,650 | 2,551,150 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
1.434%(s) | 11/15/41 | 1,100 | 813,141 | |||||||||||||
1.450%(s) | 08/15/42 | 285 | 207,037 | |||||||||||||
2.056%(s) | 11/15/38 | (k) | 1,690 | 1,337,609 | ||||||||||||
2.058%(s) | 02/15/39 | 1,725 | 1,356,753 | |||||||||||||
2.169%(s) | 05/15/39 | (h)(k) | 4,925 | 3,860,354 | ||||||||||||
2.394%(s) | 11/15/43 | (a) | 3,019 | 2,120,965 | ||||||||||||
2.762%(s) | 08/15/29 | (k) | 1,200 | 1,121,766 | ||||||||||||
2.857%(s) | 05/15/31 | (k) | 940 | 854,409 | ||||||||||||
3.019%(s) | 11/15/35 | (k) | 1,665 | 1,404,323 | ||||||||||||
3.176%(s) | 08/15/40 | (k) | 2,400 | 1,825,875 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 93,828,681 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
PREFERRED STOCKS — 0.2% |
| |||||||||||||||
Banks — 0.1% |
| |||||||||||||||
Citigroup Capital XIII, 7.130% |
| 45,000 | 1,192,500 | |||||||||||||
|
| |||||||||||||||
Capital Markets — 0.1% |
| |||||||||||||||
State Street Corp. 5.350%, Series G |
| 35,000 | 917,000 | |||||||||||||
|
| |||||||||||||||
TOTAL PREFERRED STOCKS |
| 2,109,500 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,216,952,698 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A56
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 6.8% |
| |||||||
AFFILIATED MUTUAL FUNDS — 6.7% |
| |||||||
PGIM Core Ultra Short | 3,158,241 | $ | 3,158,241 | |||||
PGIM Institutional Money Market Fund (cost $79,245,865; includes $79,218,409 of cash collateral for securities on loan)(b)(w) | 79,278,308 | 79,278,308 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 82,436,549 | ||||||
|
| |||||||
OPTIONS PURCHASED*~ — 0.1% |
| 914,820 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 83,351,369 | ||||||
|
| |||||||
TOTAL INVESTMENTS— 105.9% |
| 1,300,304,067 | ||||||
Liabilities in excess of other assets(z) — (5.9)% |
| (71,973,017 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,228,331,050 | |||||
|
|
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 instrument. The aggregate value of Level 3 instruments is $16,271,330 and 1.3% 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 $77,613,485; cash collateral of $79,218,409 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(p) | Interest rate not available as of June 30, 2020. |
(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 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:
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 3,026 | $ | 67,529 | |||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 7,356 | 155,419 | ||||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 14,601 | 309,117 | ||||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 14,800 | 324,107 | ||||||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 2,942 | 58,648 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased (cost $17,284) | $ | 914,820 | ||||||||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A57
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Long Positions: | ||||||||||||||||||||||
528 | 5 Year U.S. Treasury Notes | Sep. 2020 | $ | 66,391,876 | $ | 120,210 | ||||||||||||||||
169 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 26,614,860 | 121,810 | ||||||||||||||||||
490 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 106,896,563 | 121,329 | ||||||||||||||||||
30 | Euro Schatz Index | Sep. 2020 | 3,779,679 | 3,175 | ||||||||||||||||||
|
| |||||||||||||||||||||
366,524 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
Short Positions: | ||||||||||||||||||||||
2,283 | 2 Year U.S. Treasury Notes | Sep. 2020 | 504,150,612 | (119,843 | ) | |||||||||||||||||
13 | 5 Year Euro-Bobl | Sep. 2020 | 1,971,450 | (16,077 | ) | |||||||||||||||||
64 | 10 Year Euro-Bund | Sep. 2020 | 12,692,494 | (131,810 | ) | |||||||||||||||||
185 | 10 Year U.S. Treasury Notes | Sep. 2020 | 25,746,798 | (20,403 | ) | |||||||||||||||||
43 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 7,678,188 | (56,302 | ) | |||||||||||||||||
|
| |||||||||||||||||||||
(344,435 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||
$ | 22,089 | |||||||||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
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 07/02/20 | Citibank, N.A. | GBP | 5,305 | $ | 6,623,293 | $ | 6,573,502 | $— | $ | (49,791 | ) | |||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/20 | Bank of America, N.A. | EUR | 40,220 | 45,375,107 | 45,189,518 | — | (185,589 | ) | ||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR | 329 | 370,000 | 369,484 | — | (516 | ) | ||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR | 215 | 245,000 | 241,766 | — | (3,234 | ) | ||||||||||||||||
Expiring 07/02/20 | JPMorgan Chase Bank, N.A. | EUR | 264 | 299,408 | 296,191 | — | (3,217 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 52,912,808 | $ | 52,670,461 | — | (242,347 | ) | ||||||||||||||||||
|
|
|
|
|
|
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 07/20/20 | HSBC Bank USA, N.A. | AUD | 559 | $ | 357,957 | $ | 386,062 | $ — | $ | (28,105 | ) | |||||||||||||||
British Pound, | ||||||||||||||||||||||||||
Expiring 07/02/20 | Barclays Bank PLC | GBP | 5,305 | 6,459,103 | 6,573,502 | — | (114,399 | ) | ||||||||||||||||||
Expiring 08/04/20 | Citibank, N.A. | GBP | 5,305 | 6,624,465 | 6,574,935 | 49,530 | — | |||||||||||||||||||
Expiring 08/04/20 | JPMorgan Chase Bank, N.A. | GBP | 409 | 505,066 | 506,519 | — | (1,453 | ) | ||||||||||||||||||
Euro, | ||||||||||||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR | 1,229 | 1,350,000 | 1,381,388 | — | (31,388 | ) | ||||||||||||||||||
Expiring 07/02/20 | Goldman Sachs International | EUR | 932 | 1,057,627 | 1,046,973 | 10,654 | — | |||||||||||||||||||
Expiring 07/02/20 | JPMorgan Chase Bank, N.A. | EUR | 37,749 | 41,205,299 | 42,412,727 | — | (1,207,428 | ) | ||||||||||||||||||
Expiring 07/02/20 | UBS AG | EUR | 1,118 | 1,263,809 | 1,255,870 | 7,939 | — | |||||||||||||||||||
Expiring 08/04/20 | Bank of America, N.A. | EUR | 40,220 | 45,408,007 | 45,222,890 | 185,117 | — | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 104,231,333 | $ | 105,360,866 | 253,240 | (1,382,773 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$253,240 | $ | (1,625,120 | ) | |||||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A58
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||||||||||||
Kingdom of Spain | 06/20/23 | 1.000%(Q) | 2,100 | $ | (37,894 | ) | $ | (36,459 | ) | $ (1,435 | ) | Bank of America, N.A. | ||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 665 | 562 | 2,903 | (2,341 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 655 | 553 | 7,246 | (6,693 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | 185 | 2,725 | (2,540 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | 185 | 2,502 | (2,317 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 215 | 182 | 883 | (701 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 115 | 97 | 502 | (405 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 160 | 2,936 | 1,008 | 1,928 | Citibank, N.A. | |||||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 130 | 2,386 | 981 | 1,405 | Citibank, N.A. | |||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||
$ | (30,808 | ) | $ | (17,709 | ) | $(13,099) | ||||||||||||||||||||
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | ||||||||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 3,700 | 2.453% | $ | (76,577 | ) | $ | 29,607 | $(106,184 | ) | Bank of America, N.A. | ||||||||||||||||||||||
Hellenic Republic | 06/20/23 | 1.000%(Q) | 660 | 1.001% | 142 | (45,296 | ) | 45,438 | Citibank, N.A. | |||||||||||||||||||||||||
Hellenic Republic | 06/20/24 | 1.000%(Q) | 500 | 1.239% | (4,516 | ) | (82,041 | ) | 77,525 | Barclays Bank PLC | ||||||||||||||||||||||||
Hellenic Republic | 12/20/25 | 1.000%(Q) | 1,280 | 1.552% | (36,548 | ) | (188,321 | ) | 151,773 | Bank of America, N.A. | ||||||||||||||||||||||||
Kingdom of Saudi Arabia | 06/20/24 | 1.000%(Q) | 405 | 0.889% | 1,874 | 1,493 | 381 | Morgan Stanley & Co. International PLC | ||||||||||||||||||||||||||
Kingdom of Spain | 06/20/23 | 1.000%(Q) | 2,100 | 0.570% | 27,309 | 22,320 | 4,989 | Bank of America, N.A. | ||||||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 2,205 | 5.232% | (253,303 | ) | (44,179 | ) | (209,124 | ) | Credit Suisse International | |||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 550 | 5.232% | (63,182 | ) | (21,333 | ) | (41,849 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 545 | 5.232% | (62,608 | ) | (25,375 | ) | (37,233 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 5.232% | (21,252 | ) | (8,827 | ) | (12,425 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 5.232% | (21,252 | ) | (8,667 | ) | (12,585 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 180 | 5.232% | (20,678 | ) | (7,015 | ) | (13,663 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 90 | 5.232% | (10,339 | ) | (3,489 | ) | (6,850 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 160 | 5.566% | (28,199 | ) | (13,506 | ) | (14,693 | ) | Citibank, N.A. | |||||||||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 130 | 5.566% | (22,912 | ) | (11,103 | ) | (11,809 | ) | Citibank, N.A. | |||||||||||||||||||||||
State of Illinois | 06/20/24 | 1.000%(Q) | 580 | 2.854% | (37,223 | ) | (5,839 | ) | (31,384 | ) | Citibank, N.A. | |||||||||||||||||||||||
|
|
|
|
|
|
| ||||||||||||||||||||||||||||
$ | (629,264 | ) | $ | (411,571 | ) | $(217,693 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.33.V1 | 12/20/29 | 1.000%(Q) | 42,125 | $ | (298,366 | ) | $ | 258,732 | $557,098 | |||||||||||||||
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020 (4) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): |
| |||||||||||||||||||||||||||
CDX.NA.HY.34.V6 | 06/20/25 | 5.000%(Q) | 84,821 | 5.157 | % | $142,076 | $(447,264 | ) | $(589,340) | |||||||||||||||||||
iTraxx.EUR.33.V1 | 06/20/25 | 1.000%(Q) | EUR | 69,500 | 0.664 | % | 562,895 | 1,323,619 | 760,724 | |||||||||||||||||||
$704,971 | $ 876,355 | $ 171,384 | ||||||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A59
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020 (continued):
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 | $(44,808) | $66,785 | $(111,593) | Deutsche Bank AG |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||
OTC Credit Default Swap Agreements on credit indices - Sell Protection(2): | ||||||||||||||||||||||||||||
CDX.BEIJING 1Y 30% - 100%^ | 12/20/20 | 0.000% | 8,880 | * | $ (2,778) | $(2,437) | $ (341) | Citibank, N.A. | ||||||||||||||||||||
CMBX.NA.6.AA | 05/11/63 | 1.500%(M) | 650 | * | (9,417) | (2,301) | (7,116) | Deutsche Bank AG | ||||||||||||||||||||
$(12,195) | $(4,738) | $(7,457) | ||||||||||||||||||||||||||
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
AUD | 6,000 | 02/13/30 | 1.210%(S) | 6 Month BBSW(2)(S) | $ | (27 | ) | $ | 142,180 | $ | 142,207 | |||||||||||||
BRL | 12,664 | 01/02/25 | 5.903%(T) | 1 Day BROIS(2)(T) | — | 70,399 | 70,399 |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||||||||||||||||
BRL | 6,276 | 01/02/25 | 6.640%(T) | 1 Day BROIS(2)(T) | $ | — | $ | 83,624 | $ | 83,624 | ||||||||||||||||||
BRL | 7,043 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 96,389 | 96,389 | |||||||||||||||||||||
BRL | 18,662 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 254,280 | 254,280 | |||||||||||||||||||||
CNH | 16,230 | 06/14/24 | 2.900%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | 46 | 54,518 | 54,472 | |||||||||||||||||||||
CNH | 46,000 | 06/28/24 | 2.901%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | — | 153,533 | 153,533 | |||||||||||||||||||||
CNH | 16,400 | 09/19/24 | 2.940%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (13 | ) | 60,431 | 60,444 | ||||||||||||||||||||
CNH | 15,700 | 10/10/24 | 2.860%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (8 | ) | 56,226 | 56,234 | ||||||||||||||||||||
COP | 3,909,000 | 02/18/25 | 4.505%(Q) | 1 Day COOIS(2)(Q) | — | 64,380 | 64,380 | |||||||||||||||||||||
COP | 6,724,755 | 02/21/25 | 4.565%(Q) | 1 Day COOIS(2)(Q) | — | 115,453 | 115,453 | |||||||||||||||||||||
COP | 2,761,000 | 02/18/30 | 5.072%(Q) | 1 Day COOIS(2)(Q) | — | 42,211 | 42,211 | |||||||||||||||||||||
COP | 1,932,000 | 02/18/30 | 5.081%(Q) | 1 Day COOIS(2)(Q) | — | 31,313 | 31,313 | |||||||||||||||||||||
COP | 4,156,000 | 02/24/30 | 5.078%(Q) | 1 Day COOIS(2)(Q) | — | 66,529 | 66,529 | |||||||||||||||||||||
EUR | 7,065 | 05/11/21 | (0.300)%(A) | 1 Day EONIA(1)(A) | (6,014 | ) | (15,713 | ) | (9,699 | ) | ||||||||||||||||||
EUR | 8,125 | 05/11/22 | (0.250)%(A) | 1 Day EONIA(1)(A) | (5,161 | ) | (51,418 | ) | (46,257 | ) | ||||||||||||||||||
EUR | 4,650 | 05/11/23 | (0.100)%(A) | 1 Day EONIA(1)(A) | (26,137 | ) | (69,727 | ) | (43,590 | ) | ||||||||||||||||||
EUR | 3,980 | 05/11/24 | 0.050%(A) | 1 Day EONIA(1)(A) | (61,623 | ) | (105,535 | ) | (43,912 | ) | ||||||||||||||||||
EUR | 2,110 | 05/11/25 | 0.100%(A) | 1 Day EONIA(1)(A) | (12,404 | ) | (73,839 | ) | (61,435 | ) | ||||||||||||||||||
EUR | 3,815 | 05/11/26 | 0.250%(A) | 1 Day EONIA(1)(A) | (62,921 | ) | (192,830 | ) | (129,909 | ) | ||||||||||||||||||
EUR | 1,240 | 05/11/36 | 0.950%(A) | 1 Day EONIA(1)(A) | (23,480 | ) | (243,897 | ) | (220,417 | ) | ||||||||||||||||||
GBP | 977 | 10/22/28 | 0.680%(A) | 1 Day SONIA(1)(A) | — | (63,006 | ) | (63,006 | ) | |||||||||||||||||||
GBP | 2,100 | 05/08/30 | 1.100%(A) | 1 Day SONIA(1)(A) | (145,549 | ) | (257,321 | ) | (111,772 | ) | ||||||||||||||||||
GBP | 230 | 05/08/34 | 1.200%(A) | 1 Day SONIA(1)(A) | (9,088 | ) | (40,965 | ) | (31,877 | ) | ||||||||||||||||||
HUF | 99,000 | 02/13/30 | 1.595%(A) | 6 Month BUBOR(2)(S) | — | 10,805 | 10,805 | |||||||||||||||||||||
HUF | 1,548,000 | 02/14/30 | 1.605%(A) | 6 Month BUBOR(2)(S) | — | 172,792 | 172,792 | |||||||||||||||||||||
HUF | 432,000 | 02/18/30 | 1.803%(A) | 6 Month BUBOR(2)(S) | — | 73,973 | 73,973 | |||||||||||||||||||||
JPY | 2,215,030 | 12/17/20 | 0.015%(S) | 6 Month JPY LIBOR(1)(S) | — | (2,772 | ) | (2,772 | ) | |||||||||||||||||||
NZD | 2,100 | 02/14/30 | 1.523%(S) | 3 Month BBR(2)(Q) | — | 111,756 | 111,756 | |||||||||||||||||||||
31,050 | 03/16/21 | 0.109%(T) | 1 Day USOIS(1)(T) | — | (1,765 | ) | (1,765 | ) | ||||||||||||||||||||
62,337 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | — | 974,477 | 974,477 | ||||||||||||||||||||||
65,004 | 09/15/21 | 1.381%(S) | 3 Month LIBOR(2)(Q) | (65,642 | ) | 1,143,193 | 1,208,835 | |||||||||||||||||||||
53,393 | 09/15/21 | 1.480%(S) | 3 Month LIBOR(2)(Q) | 29,906 | 1,018,142 | 988,236 | ||||||||||||||||||||||
62,856 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | 153,816 | 1,315,866 | 1,162,050 | ||||||||||||||||||||||
31,850 | 03/10/22 | 0.330%(A) | 1 Day USOIS(1)(A) | — | (195,813 | ) | (195,813 | ) | ||||||||||||||||||||
5,260 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (247,711 | ) | (247,711 | ) | ||||||||||||||||||||
4,490 | 09/27/22 | 2.360%(A) | 1 Day USOIS(1)(A) | 53 | (287,944 | ) | (287,997 | ) | ||||||||||||||||||||
3,100 | 02/14/30 | 1.382%(A) | 1 Day USOIS(1)(A) | — | (312,666 | ) | (312,666 | ) | ||||||||||||||||||||
3,792 | 11/15/45 | 0.508%(A) | 1 Day USOIS(1)(A) | 19,334 | 149,119 | 129,785 | ||||||||||||||||||||||
869 | 11/15/45 | 0.553%(A) | 1 Day USOIS(1)(A) | — | 24,782 | 24,782 | ||||||||||||||||||||||
515 | 11/15/45 | 1.044%(A) | 1 Day USOIS(1)(A) | — | (45,819 | ) | (45,819 | ) | ||||||||||||||||||||
ZAR | 27,400 | 02/11/30 | 7.481%(Q) | 3 Month JIBAR(2)(Q) | (1,229 | ) | 76,600 | 77,829 | ||||||||||||||||||||
ZAR | 36,800 | 02/28/30 | 7.500%(Q) | 3 Month JIBAR(2)(Q) | (11,266 | ) | 103,570 | 114,836 | ||||||||||||||||||||
ZAR | 19,800 | 03/02/30 | 7.625%(Q) | 3 Month JIBAR(2)(Q) | 548 | 66,037 | 65,489 | |||||||||||||||||||||
ZAR | 22,200 | 03/12/30 | 7.840%(Q) | 3 Month JIBAR(2)(Q) | (205 | ) | 93,488 | 93,693 | ||||||||||||||||||||
ZAR | 14,700 | 03/12/30 | 7.900%(Q) | 3 Month JIBAR(2)(Q) | (141 | ) | 65,798 | 65,939 | ||||||||||||||||||||
ZAR | 58,300 | 03/18/30 | 10.650%(Q) | 3 Month JIBAR(2)(Q) | — | 142,638 | 142,638 | |||||||||||||||||||||
ZAR | 6,400 | 03/27/30 | 9.150%(Q) | 3 Month JIBAR(2)(Q) | (135 | ) | 63,094 | 63,229 | ||||||||||||||||||||
ZAR | 12,600 | 04/01/30 | 8.600%(Q) | 3 Month JIBAR(2)(Q) | (56 | ) | 98,635 | 98,691 | ||||||||||||||||||||
ZAR | 29,700 | 04/03/30 | 9.300%(Q) | 3 Month JIBAR(2)(Q) | (622 | ) | 326,374 | 326,996 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (228,018 | ) | $ | 5,113,864 | $ | 5,341,882 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Total return swap agreements outstanding at June 30, 2020:
Reference Entity | Financing Rate | 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 | 1,200 | $995 | $(3,451) | $4,446 | |||||||||||||||||||
|
|
|
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 138,955 | $ | (509,639 | ) | $ | 287,885 | $ | (633,281 | ) |
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. | $146,000 | $24,674,708 | ||||||||||||||
|
|
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 12,409,848 | $ | — | ||||||
Collateralized Loan Obligations | — | 213,547,719 | — | |||||||||
Consumer Loans | — | 19,035,566 | — | |||||||||
Credit Cards | — | 3,006,561 | — | |||||||||
Home Equity Loans | — | 2,779,069 | — | |||||||||
Other | — | 2,225,880 | — | |||||||||
Residential Mortgage-Backed Securities | — | 18,265,871 | — | |||||||||
Student Loans | — | 27,410,676 | 2,272,500 | |||||||||
Bank Loans | — | 4,683,739 | 508,101 | |||||||||
Commercial Mortgage-Backed Securities | — | 171,547,755 | — | |||||||||
Corporate Bonds | — | 447,046,326 | — | |||||||||
Municipal Bonds | — | 23,388,099 | — | |||||||||
Residential Mortgage-Backed Securities | — | 54,466,033 | 13,493,507 | |||||||||
Sovereign Bonds | — | 88,345,774 | — | |||||||||
U.S. Government Agency Obligations | — | 16,581,493 | — | |||||||||
U.S. Treasury Obligations | — | 93,828,681 | — | |||||||||
Preferred Stocks | 2,109,500 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Affiliated Mutual Funds | $ | 82,436,549 | $ | — | $ | — | ||||||
Options Purchased | — | 914,820 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 84,546,049 | $ | 1,199,483,910 | $ | 16,274,108 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 366,524 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contracts | — | 253,240 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | 1,317,822 | — | |||||||||
OTC Credit Default Swap Agreements | — | 36,411 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 7,198,299 | — | |||||||||
OTC Total Return Swap Agreement | — | 995 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 366,524 | $ | 8,806,767 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (344,435 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (1,625,120 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | (589,340 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (750,708 | ) | (2,778 | ) | |||||||
Centrally Cleared Interest Rate Swap Agreements | — | (1,856,417 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (344,435 | ) | $ | (4,821,585 | ) | $ | (2,778 | ) | |||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Asset-Backed Securities- Student Loans | Bank Loans | Residential Mortgage-Backed Securities | OTC Credit Default Swap Agreements | |||||||||||||
Balance as of 12/31/19 | $ | — | $ | 1,051,134 | $ | 11,680,644 | $ | — | ||||||||
Realized gain (loss) | — | 387 | — | — | ||||||||||||
Change in unrealized appreciation (depreciation) | 22,500 | (24,455 | ) | (51,876 | ) | (1,930 | ) | |||||||||
Purchases/Exchanges/Issuances | 2,250,000 | — | 7,665,442 | — | ||||||||||||
Sales/Paydowns | — | (99,500 | ) | (5,800,703 | ) | — | ||||||||||
Accrued discount/premium | — | 340 | — | — | ||||||||||||
Transfers into Level 3 | — | — | — | (848 | ) | |||||||||||
Transfers out of Level 3 | — | (419,805 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of 06/30/20 | $ | 2,272,500 | $ | 508,101 | $ | 13,493,507 | $ | (2,778 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end | $ | 22,500 | $ | (24,455 | ) | $ | (51,876 | ) | $ | (1,930 | ) | |||||
|
|
|
|
|
|
|
|
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of June 30, 2020 | Valuation Methodology | Unobservable Inputs | |||||||||
Asset-Backed Securities-Student Loans | $ | 2,272,500 | Market Approach | Single Broker Indicative Quote | ||||||||
Bank Loans | 508,101 | Market Approach | Single Broker Indicative Quote | |||||||||
Residential Mortgage-Backed Securities | 13,493,507 | Market Approach | Single Broker Indicative Quote | |||||||||
OTC Credit Default Swap Agreements | (2,778 | ) | Market Approach | Single Broker Indicative Quote | ||||||||
|
| |||||||||||
$ | 16,271,330 | |||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A63
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
It is the Portfolios’ 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 | |||||||
Bank Loans | $ | 419,805 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes | ||||||
OTC Credit Default Swap Agreements | $ | 848 | L2 to L3 | Vendor Pricing to Single Broker Indicative Quote |
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, 2020 were as follows:
Collateralized Loan Obligations | 17.4 | % | ||
Commercial Mortgage-Backed Securities | 14.0 | |||
Banks | 9.4 | |||
U.S. Treasury Obligations | 7.6 | |||
Sovereign Bonds | 7.2 | |||
Residential Mortgage-Backed Securities | 7.0 | |||
Affiliated Mutual Funds (6.4% represents investments purchased with collateral from securities on loan) | 6.7 | |||
Pharmaceuticals | 3.2 | |||
Oil & Gas | 2.5 | |||
Electric | 2.4 | |||
Student Loans | 2.4 | |||
Media | 2.3 | |||
Municipal Bonds | 1.9 | |||
Telecommunications | 1.9 | |||
Consumer Loans | 1.6 | |||
Chemicals | 1.4 | |||
U.S. Government Agency Obligations | 1.4 | |||
Pipelines | 1.3 | |||
Automobiles | 1.0 | |||
Insurance | 1.0 | |||
Healthcare-Services | 0.9 | |||
Semiconductors | 0.9 | |||
Auto Manufacturers | 0.9 | |||
Foods | 0.7 | |||
Retail | 0.7 | |||
Diversified Financial Services | 0.7 | |||
Commercial Services | 0.7 | |||
Aerospace & Defense | 0.5 | |||
Auto Parts & Equipment | 0.5 | |||
Beverages | 0.4 | |||
Gas | 0.4 | |||
Machinery-Diversified | 0.4 | |||
Entertainment | 0.4 |
Software | 0.3 | % | ||
Airlines | 0.3 | |||
Multi-National | 0.3 | |||
Building Materials | 0.3 | |||
Healthcare-Products | 0.3 | |||
Credit Cards | 0.2 | |||
Agriculture | 0.2 | |||
Home Equity Loans | 0.2 | |||
Mining | 0.2 | |||
Engineering & Construction | 0.2 | |||
Home Builders | 0.2 | |||
Other | 0.2 | |||
Lodging | 0.1 | |||
Savings & Loans | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Real Estate | 0.1 | |||
Computers | 0.1 | |||
Electrical Components & Equipment | 0.1 | |||
Electronics | 0.1 | |||
Capital Markets | 0.1 | |||
Options Purchased | 0.1 | |||
Water | 0.1 | |||
Housewares | 0.1 | |||
Machinery-Construction & Mining | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Textiles | 0.0 | * | ||
Transportation | 0.0 | * | ||
|
| |||
105.9 | ||||
Liabilities in excess of other assets | (5.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A64
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Derivatives not accounted for as hedging instruments, carried at fair value | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Credit contracts | Due from/to broker-variation margin swaps | $ | 1,317,822 | * | Due from/to broker-variation margin swaps | $ | 589,340 | * | ||||
Credit contracts | Premiums paid for OTC swap agreements | 138,955 | Premiums received for OTC swap agreements | 506,188 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 283,439 | Unrealized depreciation on OTC swap agreements | 633,281 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 253,240 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 1,625,120 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 366,524 | * | Due from/to broker-variation margin futures | 344,435 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 7,198,299 | * | Due from/to broker-variation margin swaps | 1,856,417 | * | ||||||
Interest rate contracts | — | — | Premiums received for OTC swap agreements | 3,451 | ||||||||
Interest rate contracts | Unaffiliated investments | 914,820 | — | — | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 4,446 | — | — | ||||||||
|
|
|
| |||||||||
$ | 10,477,545 | $ | 5,558,232 | |||||||||
|
|
|
|
* | 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, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Written | Futures |
Forward & Cross | Swaps | ||||||||||||
Credit contracts | $ | (8,252,678 | ) | $ | — | $ | — | $ | (947,531 | ) | ||||||
Foreign exchange contracts | — | — | 1,318,102 | — | ||||||||||||
Interest rate contracts | — | 37,428,843 | — | (43,052,312 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (8,252,678 | ) | $ | 37,428,843 | $ | 1,318,102 | $ | (43,999,843 | ) | ||||||
|
|
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures |
Forward & Cross | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | (33,112 | ) | $ | — | $ | — | $ | 621,651 | |||||||||
Foreign exchange contracts | — | — | — | (352,007 | ) | — | ||||||||||||||
Interest rate contracts | 482,070 | — | 5,005,832 | — | 23,433,118 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 482,070 | $ | (33,112 | ) | $ | 5,005,832 | $ | (352,007 | ) | $ | 24,054,769 | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
DIVERSIFIED BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | Forward Foreign Currency Exchange Contracts— Purchased(3) | ||||
$17,284 | $85,990,000 | $502,890,765 | $628,397,268 | $38,304,425 | ||||
Forward Foreign Currency Exchange Contracts—Sold(3) | Interest Rate Swap Agreements(2) | Credit Default Swap Agreements— Buy Protection(2) | ||||||
$95,297,036 | $735,920,931 | $82,598,177 | ||||||
Credit Default Swap Agreements— Sell Protection(2) | Total Return Swap Agreements(2) | |||||||
$146,799,466 | $1,275,260 |
(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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | ||||||||||||
Securities on Loan | $ | 77,613,485 | $ | (77,613,485 | ) | $ | — | ||||||||
|
|
|
|
|
|
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. | $ | 1,182,449 | $ | (517,988 | ) | $ | 664,461 | $ | (664,461 | ) | $ | — | |||||||||||||
Barclays Bank PLC | 203,702 | (196,440 | ) | 7,262 | — | 7,262 | |||||||||||||||||||
Citibank, N.A. | 117,051 | (435,645 | ) | (318,594 | ) | 318,594 | — | ||||||||||||||||||
Credit Suisse International | 4,446 | (256,754 | ) | (252,308 | ) | 252,308 | — | ||||||||||||||||||
Deutsche Bank AG | 66,785 | (121,010 | ) | (54,225 | ) | — | (54,225 | ) | |||||||||||||||||
Goldman Sachs International | 10,654 | — | 10,654 | — | 10,654 | ||||||||||||||||||||
HSBC Bank USA, N.A. | — | (28,105 | ) | (28,105 | ) | 28,105 | — | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | — | �� | (1,212,098 | ) | (1,212,098 | ) | 1,212,098 | — | |||||||||||||||||
Morgan Stanley & Co. International | |||||||||||||||||||||||||
PLC | 1,874 | — | 1,874 | — | 1,874 | ||||||||||||||||||||
UBS AG | 7,939 | — | 7,939 | — | 7,939 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 1,594,900 | $ | (2,768,040 | ) | $ | (1,173,140 | ) | $ | 1,146,644 | $ | (26,496 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
(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, 2020
ASSETS | ||||
Investments at value, including securities on loan of $77,613,485: | ||||
Unaffiliated investments (cost $1,175,798,075) | $ | 1,217,867,518 | ||
Affiliated investments (cost $82,404,106) | 82,436,549 | |||
Cash | 167,440 | |||
Foreign currency, at value (cost $75,131) | 75,214 | |||
Dividends and interest receivable | 9,457,669 | |||
Receivable for investments sold | 4,220,318 | |||
Due from broker-variation margin swaps | 1,289,929 | |||
Unrealized appreciation on OTC swap agreements | 287,885 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 253,240 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 146,000 | |||
Premiums paid for OTC swap agreements | 138,955 | |||
Receivable for Portfolio shares sold | 127,119 | |||
Tax reclaim receivable | 26,366 | |||
Prepaid expenses and other assets | 104,468 | |||
|
| |||
Total Assets | 1,316,598,670 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 79,218,409 | |||
Payable for investments purchased | 4,997,902 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 1,625,120 | |||
Unrealized depreciation on OTC swap agreements | 633,281 | |||
Premiums received for OTC swap agreements | 509,639 | |||
Due to broker-variation margin futures | 504,722 | |||
Management fee payable | 401,926 | |||
Accrued expenses and other liabilities | 205,860 | |||
Payable for Portfolio shares repurchased | 169,835 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 88,267,620 | |||
|
| |||
NET ASSETS | $ | 1,228,331,050 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 1,228,331,050 | ||
|
| |||
Net asset value and redemption price per share, $1,228,331,050 / 81,479,908 outstanding shares of beneficial interest | $ | 15.08 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 21,979,807 | ||
Affiliated dividend income | 100,215 | |||
Unaffiliated dividend income | 70,426 | |||
Income from securities lending, net (including affiliated income of $68,421) | 70,108 | |||
|
| |||
Total income | 22,220,556 | |||
|
| |||
EXPENSES | ||||
Management fee | 2,399,184 | |||
Custodian and accounting fees | 91,894 | |||
Shareholders’ reports | 64,924 | |||
Audit fee | 28,529 | |||
Trustees’ fees | 11,841 | |||
Legal fees and expenses | 7,853 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 15,648 | |||
|
| |||
Total expenses | 2,625,185 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 19,595,371 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(22,175)) | 5,325,870 | |||
Futures transactions | 37,428,843 | |||
Forward and cross currency contract transactions | 1,318,102 | |||
Options written transactions | (8,252,678 | ) | ||
Swap agreements transactions | (43,999,843 | ) | ||
Foreign currency transactions | (100,887 | ) | ||
|
| |||
(8,280,593 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $28,166) | 2,379,912 | |||
Futures | 5,005,832 | |||
Forward and cross currency contracts | (352,007 | ) | ||
Options written | (33,112 | ) | ||
Swap agreements | 24,054,769 | |||
Foreign currencies | (173,820 | ) | ||
|
| |||
30,881,574 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 22,600,981 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 42,196,352 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 19,595,371 | $ | 41,162,817 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (8,280,593 | ) | 77,712,920 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 30,881,574 | 1,002,602 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 42,196,352 | 119,878,339 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [2,953,433 and 3,069,133 shares, respectively] | 43,565,793 | 43,101,026 | ||||||
Portfolio shares repurchased [3,264,415 and 6,864,355 shares, respectively] | (47,535,823 | ) | (95,800,032 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (3,970,030 | ) | (52,699,006 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 38,226,322 | 67,179,333 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,190,104,728 | 1,122,925,395 | ||||||
|
|
|
| |||||
End of period | $ | 1,228,331,050 | $ | 1,190,104,728 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A67
EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 98.7% |
| |||||||
COMMON STOCKS | ||||||||
Aerospace & Defense — 1.4% |
| |||||||
Northrop Grumman Corp. | 113,274 | $ | 34,824,959 | |||||
Raytheon Technologies Corp. | 481,662 | 29,680,012 | ||||||
|
| |||||||
64,504,971 | ||||||||
|
| |||||||
Automobiles — 3.1% |
| |||||||
General Motors Co. | 913,396 | 23,108,919 | ||||||
Tesla, Inc.*(a) | 110,540 | 119,362,197 | ||||||
|
| |||||||
142,471,116 | ||||||||
|
| |||||||
Banks — 5.1% |
| |||||||
Bank of America Corp. | 2,012,819 | 47,804,451 | ||||||
Citigroup, Inc. | 843,610 | 43,108,471 | ||||||
JPMorgan Chase & Co. | 779,295 | 73,300,488 | ||||||
PNC Financial Services Group, Inc. (The) | 356,809 | 37,539,875 | ||||||
Truist Financial Corp. | 928,081 | 34,849,441 | ||||||
|
| |||||||
236,602,726 | ||||||||
|
| |||||||
Beverages — 0.7% |
| |||||||
PepsiCo, Inc. | 246,730 | 32,632,510 | ||||||
|
| |||||||
Biotechnology — 1.5% |
| |||||||
BioMarin Pharmaceutical, | 244,462 | 30,151,943 | ||||||
Vertex Pharmaceuticals, Inc.* | 139,796 | 40,584,177 | ||||||
|
| |||||||
70,736,120 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
Johnson Controls International PLC | 1,122,321 | 38,316,039 | ||||||
|
| |||||||
Capital Markets — 1.6% |
| |||||||
Goldman Sachs Group, Inc. (The) | 239,754 | 47,380,185 | ||||||
S&P Global, Inc. | 78,602 | 25,897,787 | ||||||
|
| |||||||
73,277,972 | ||||||||
|
| |||||||
Chemicals — 2.1% |
| |||||||
FMC Corp. | 402,333 | 40,080,413 | ||||||
Linde PLC (United Kingdom) | 279,016 | 59,182,084 | ||||||
|
| |||||||
99,262,497 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
Capital One Financial Corp. | 375,691 | 23,514,500 | ||||||
SLM Corp.(a) | 2,482,612 | 17,452,762 | ||||||
|
| |||||||
40,967,262 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
Verizon Communications, Inc. | 914,796 | 50,432,704 | ||||||
|
| |||||||
Electric Utilities — 1.2% |
| |||||||
American Electric Power Co., Inc. | 715,917 | 57,015,630 | ||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
Emerson Electric Co. | 460,709 | 28,577,779 | ||||||
|
| |||||||
Entertainment — 3.8% |
| |||||||
Netflix, Inc.* | 245,286 | 111,614,942 | ||||||
Spotify Technology SA* | 97,611 | 25,202,184 | ||||||
Walt Disney Co. (The) | 348,318 | 38,840,940 | ||||||
�� |
|
| ||||||
175,658,066 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
American Tower Corp. | 230,429 | 59,575,114 | ||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Food & Staples Retailing — 2.1% |
| |||||||
Costco Wholesale Corp. | 154,135 | $ | 46,735,273 | |||||
Walmart, Inc. | 428,409 | 51,314,830 | ||||||
|
| |||||||
98,050,103 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
Mondelez International, Inc. (Class A Stock) | 931,374 | 47,621,153 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
Alcon, Inc. (Switzerland)*(a) | 263,144 | 15,083,414 | ||||||
Danaher Corp. | 143,871 | 25,440,709 | ||||||
DexCom, Inc.* | 32,306 | 13,096,852 | ||||||
Zimmer Biomet Holdings, Inc. | 242,438 | 28,937,400 | ||||||
|
| |||||||
82,558,375 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.5% |
| |||||||
Cigna Corp. | 157,552 | 29,564,633 | ||||||
Laboratory Corp. of America Holdings* | 233,985 | 38,867,248 | ||||||
|
| |||||||
68,431,881 | ||||||||
|
| |||||||
Health Care Technology — 0.3% |
| |||||||
Teladoc Health, Inc.*(a) | 77,911 | 14,868,535 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
McDonald’s Corp. | 132,522 | 24,446,333 | ||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
D.R. Horton, Inc. | 543,350 | 30,128,758 | ||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
Procter & Gamble Co. (The) | 343,025 | 41,015,499 | ||||||
|
| |||||||
Insurance — 2.4% |
| |||||||
Chubb Ltd. | 362,217 | 45,863,916 | ||||||
Marsh & McLennan Cos., | 286,259 | 30,735,629 | ||||||
MetLife, Inc. | 995,673 | 36,361,978 | ||||||
|
| |||||||
112,961,523 | ||||||||
|
| |||||||
Interactive Media & Services — 7.0% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 75,320 | 106,807,526 | ||||||
Alphabet, Inc. (Class C Stock)* | 45,975 | 64,990,720 | ||||||
Facebook, Inc. (Class A Stock)* | 422,552 | 95,948,882 | ||||||
Match Group, Inc.* | 15,114 | 1,617,954 | ||||||
Tencent Holdings Ltd. (China) | 842,145 | 54,302,811 | ||||||
|
| |||||||
323,667,893 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.6% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 243,469 | 52,516,264 | ||||||
Amazon.com, Inc.* | 75,299 | 207,736,387 | ||||||
| �� | |||||||
260,252,651 | ||||||||
|
| |||||||
IT Services — 8.6% |
| |||||||
Adyen NV (Netherlands), 144A* | 47,935 | 70,094,296 | ||||||
Mastercard, Inc. (Class A Stock) | 299,236 | 88,484,085 | ||||||
PayPal Holdings, Inc.* | 408,735 | 71,213,899 | ||||||
Shopify, Inc. (Canada) (Class A Stock)* | 97,604 | 92,645,717 | ||||||
Visa, Inc. (Class A Stock)(a) | 401,478 | 77,553,505 | ||||||
|
| |||||||
399,991,502 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
Illumina, Inc.*(a) | 61,943 | 22,940,590 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A68
EQUITY PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Machinery — 0.6% |
| |||||||
Otis Worldwide Corp. | 500,961 | $ | 28,484,642 | |||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
Dominion Energy, Inc. | 556,566 | 45,182,028 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.9% |
| |||||||
Chevron Corp. | 597,252 | 53,292,796 | ||||||
ConocoPhillips | 863,992 | 36,304,944 | ||||||
|
| |||||||
89,597,740 | ||||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 190,701 | 35,981,465 | ||||||
|
| |||||||
Pharmaceuticals — 6.0% |
| |||||||
AstraZeneca PLC (United Kingdom), ADR | 2,766,843 | 146,338,326 | ||||||
Bristol-Myers Squibb Co. | 530,038 | 31,166,235 | ||||||
Eli Lilly & Co. | 624,110 | 102,466,380 | ||||||
|
| |||||||
279,970,941 | ||||||||
|
| |||||||
Road & Rail — 2.1% |
| |||||||
Uber Technologies, Inc.* | 1,554,828 | 48,324,054 | ||||||
Union Pacific Corp. | 288,307 | 48,744,065 | ||||||
|
| |||||||
97,068,119 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
Broadcom, Inc. | 125,299 | 39,545,617 | ||||||
NVIDIA Corp. | 228,150 | 86,676,466 | ||||||
QUALCOMM, Inc. | 294,618 | 26,872,108 | ||||||
Texas Instruments, Inc.(a) | 286,374 | 36,360,907 | ||||||
|
| |||||||
189,455,098 | ||||||||
|
| |||||||
Software — 13.2% |
| |||||||
Adobe, Inc.* | 224,120 | 97,561,677 | ||||||
Atlassian Corp. PLC (Class A Stock)* | 143,021 | 25,782,396 | ||||||
Coupa Software, Inc.*(a) | 221,801 | 61,447,749 | ||||||
Crowdstrike Holdings, Inc. (Class A Stock)* | 315,503 | 31,641,796 | ||||||
Microsoft Corp. | 1,023,969 | 208,387,931 | ||||||
RingCentral, Inc. (Class A | 150,953 | 43,023,115 | ||||||
salesforce.com, Inc.* | 416,833 | 78,085,326 | ||||||
SAP SE (Germany), ADR(a) | 295,105 | 41,314,700 | ||||||
Trade Desk, Inc. (The) | 65,771 | 26,735,911 | ||||||
|
| |||||||
613,980,601 | ||||||||
|
| |||||||
Specialty Retail — 3.0% |
| |||||||
Advance Auto Parts, Inc. | 118,160 | 16,831,892 | ||||||
Home Depot, Inc. (The) | 190,777 | 47,791,546 | ||||||
Lowe’s Cos., Inc. | 352,215 | 47,591,291 | ||||||
Ross Stores, Inc. | 289,271 | 24,657,460 | ||||||
|
| |||||||
136,872,189 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Technology Hardware, Storage & Peripherals — 5.0% |
| |||||||
Apple, Inc. | 631,155 | $ | 230,245,344 | |||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.3% |
| |||||||
Lululemon Athletica, Inc.* | 255,170 | 79,615,592 | ||||||
NIKE, Inc. (Class B Stock) | 274,168 | 26,882,172 | ||||||
|
| |||||||
106,497,764 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
United Rentals, Inc.* | 188,976 | 28,164,983 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,578,466,216 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 9.0% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond | 54,432,740 | 54,432,740 | ||||||
PGIM Institutional Money Market Fund (cost $359,564,215; includes $359,401,620 of cash collateral for securities on | 360,372,055 | 360,372,055 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 414,804,795 | ||||||
|
| |||||||
TOTAL INVESTMENTS—107.7% |
| 4,993,271,011 | ||||||
Liabilities in excess of other assets — (7.7)% |
| (355,072,358 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,638,198,653 | ||||||
|
|
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 $360,675,868; cash collateral of $359,401,620 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted quoted prices generally in active markets for identical securities.
SEE NOTES TO FINANCIAL STATEMENTS.
A69
EQUITY PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 64,504,971 | $ | — | $— | |||||||
Automobiles | 142,471,116 | — | — | |||||||||
Banks | 236,602,726 | — | — | |||||||||
Beverages | 32,632,510 | — | — | |||||||||
Biotechnology | 70,736,120 | — | — | |||||||||
Building Products | 38,316,039 | — | — | |||||||||
Capital Markets | 73,277,972 | — | — | |||||||||
Chemicals | 99,262,497 | — | — | |||||||||
Consumer Finance | 40,967,262 | — | — | |||||||||
Diversified Telecommunication Services | 50,432,704 | — | — | |||||||||
Electric Utilities | 57,015,630 | — | — | |||||||||
Electrical Equipment | 28,577,779 | — | — | |||||||||
Entertainment | 175,658,066 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 59,575,114 | — | — | |||||||||
Food & Staples Retailing | 98,050,103 | — | — | |||||||||
Food Products | 47,621,153 | — | — | |||||||||
Health Care Equipment & Supplies | 82,558,375 | — | — | |||||||||
Health Care Providers & Services | 68,431,881 | — | — | |||||||||
Health Care Technology | 14,868,535 | — | — | |||||||||
Hotels, Restaurants & Leisure | 24,446,333 | — | — | |||||||||
Household Durables | 30,128,758 | — | — | |||||||||
Household Products | 41,015,499 | — | — | |||||||||
Insurance | 112,961,523 | — | — | |||||||||
Interactive Media & Services | 269,365,082 | 54,302,811 | — | |||||||||
Internet & Direct Marketing Retail | 260,252,651 | — | — | |||||||||
IT Services | 329,897,206 | 70,094,296 | — | |||||||||
Life Sciences Tools & Services | 22,940,590 | — | — | |||||||||
Machinery | 28,484,642 | — | — | |||||||||
Multi-Utilities | 45,182,028 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 89,597,740 | — | — | |||||||||
Personal Products | 35,981,465 | — | — | |||||||||
Pharmaceuticals | 279,970,941 | — | — | |||||||||
Road & Rail | 97,068,119 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 189,455,098 | — | — | |||||||||
Software | 613,980,601 | — | — | |||||||||
Specialty Retail | 136,872,189 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 230,245,344 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 106,497,764 | — | — | |||||||||
Trading Companies & Distributors | 28,164,983 | — | — | |||||||||
Affiliated Mutual Funds | 414,804,795 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,868,873,904 | $ | 124,397,107 | $— | |||||||
|
|
|
|
|
|
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, 2020 were as follows:
Software | 13.2 | % | ||
Affiliated Mutual Funds (7.7% represents investments purchased with collateral from securities on loan) | 9.0 | |||
IT Services | 8.6 | |||
Interactive Media & Services | 7.0 |
Pharmaceuticals | 6.0 | % | ||
Internet & Direct Marketing Retail | 5.6 | |||
Banks | 5.1 | |||
Technology Hardware, Storage & Peripherals | 5.0 | |||
Semiconductors & Semiconductor Equipment | 4.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
EQUITY PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Entertainment | 3.8 | % | ||
Automobiles | 3.1 | |||
Specialty Retail | 3.0 | |||
Insurance | 2.4 | |||
Textiles, Apparel & Luxury Goods | 2.3 | |||
Chemicals | 2.1 | |||
Food & Staples Retailing | 2.1 | |||
Road & Rail | 2.1 | |||
Oil, Gas & Consumable Fuels | 1.9 | |||
Health Care Equipment & Supplies | 1.8 | |||
Capital Markets | 1.6 | |||
Biotechnology | 1.5 | |||
Health Care Providers & Services | 1.5 | |||
Aerospace & Defense | 1.4 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Electric Utilities | 1.2 | |||
Diversified Telecommunication Services | 1.1 | |||
Food Products | 1.0 |
Multi-Utilities | 1.0 | % | ||
Household Products | 0.9 | |||
Consumer Finance | 0.9 | |||
Building Products | 0.8 | |||
Personal Products | 0.8 | |||
Beverages | 0.7 | |||
Household Durables | 0.7 | |||
Electrical Equipment | 0.6 | |||
Machinery | 0.6 | |||
Trading Companies & Distributors | 0.6 | |||
Hotels, Restaurants & Leisure | 0.5 | |||
Life Sciences Tools & Services | 0.5 | |||
Health Care Technology | 0.3 | |||
|
| |||
107.7 | ||||
Liabilities in excess of other assets | (7.7 | ) | ||
|
| |||
|
100.0 |
% | ||
|
|
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities on Loan | $ | 360,675,868 | $ | (359,401,620 | ) | $ | 1,274,248 | ||||||||
|
|
|
|
|
|
(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, 2020
ASSETS | ||||
Investments at value, including securities on loan of $360,675,868: | ||||
Unaffiliated investments (cost $2,776,870,247) | $ | 4,578,466,216 | ||
Affiliated investments (cost $413,996,955) | 414,804,795 | |||
Cash | 44 | |||
Receivable for investments sold | 9,320,795 | |||
Dividends receivable | 1,495,759 | |||
Tax reclaim receivable | 1,159,202 | |||
Receivable for Portfolio shares sold | 2,659 | |||
Prepaid expenses | 4,553 | |||
|
| |||
Total Assets | 5,005,254,023 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 359,401,620 | |||
Payable for investments purchased | 3,531,738 | |||
Management fee payable | 1,690,509 | |||
Payable for Portfolio shares repurchased | 1,399,854 | |||
Payable to affiliate | 656,881 | |||
Accrued expenses and other liabilities | 373,220 | |||
Affiliated transfer agent fee payable | 926 | |||
Distribution fee payable | 332 | |||
Administration fee payable | 290 | |||
|
| |||
Total Liabilities | 367,055,370 | |||
|
| |||
NET ASSETS | $ | 4,638,198,653 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 4,638,198,653 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $4,636,550,416 / 72,090,344 outstanding shares of beneficial interest | $ | 64.32 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $1,648,237 / 26,128 outstanding shares of beneficial interest | $ | 63.08 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $219,789 foreign withholding tax) | $ | 31,781,223 | ||
Income from securities lending, net (including affiliated income of $612,932) | 650,626 | |||
Affiliated dividend income | 572,464 | |||
|
| |||
Total income | 33,004,313 | |||
|
| |||
EXPENSES | ||||
Management fee | 9,810,029 | |||
Distribution fee—Class II | 1,961 | |||
Administration fee—Class II | 1,176 | |||
Shareholders’ reports | 157,821 | |||
Custodian and accounting fees | 152,780 | |||
Trustees’ fees | 30,084 | |||
Audit fee | 15,910 | |||
Legal fees and expenses | 13,247 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 41,960 | |||
|
| |||
Total expenses | 10,230,280 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 22,774,033 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(48,015)) | 17,166,125 | |||
Foreign currency transactions | 84,917 | |||
|
| |||
17,251,042 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $746,962) | 36,398,314 | |||
Foreign currencies | (1,410 | ) | ||
|
| |||
36,396,904 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 53,647,946 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 76,421,979 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
OPERATIONS | ||||||||||
Net investment income (loss) | $ | 22,774,033 | $ | 51,222,459 | ||||||
Net realized gain (loss) on investment and foreign currency transactions | 17,251,042 | 305,388,687 | ||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 36,396,904 | 742,710,537 | ||||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 76,421,979 | 1,099,321,683 | ||||||||
|
|
|
| |||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||
Portfolio shares sold | 6,449,696 | 5,848,700 | ||||||||
Portfolio shares repurchased | (157,391,425 | ) | (313,517,496 | ) | ||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (150,941,729 | ) | (307,668,796 | ) | ||||||
|
|
|
| |||||||
CAPITAL CONTRIBUTIONS | — | 3 | ||||||||
|
|
|
| |||||||
TOTAL INCREASE (DECREASE) | (74,519,750 | ) | 791,652,890 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 4,712,718,403 | 3,921,065,513 | ||||||||
|
|
|
| |||||||
End of period | $ | 4,638,198,653 | $ | 4,712,718,403 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 94.4% |
| |||||||
COMMON STOCKS — 60.0% |
| |||||||
Aerospace & Defense — 1.4% | ||||||||
BAE Systems PLC (United Kingdom) | 18,270 | $ | 109,824 | |||||
Dassault Aviation SA (France)* | 15 | 13,917 | ||||||
General Dynamics Corp. | 67,200 | 10,043,712 | ||||||
Huntington Ingalls Industries, Inc. | 21,500 | 3,751,535 | ||||||
Leonardo SpA (Italy) | 2,329 | 15,577 | ||||||
Lockheed Martin Corp. | 52,300 | 19,085,316 | ||||||
Northrop Grumman Corp. | 50,300 | 15,464,232 | ||||||
Raytheon Technologies Corp. | 164,600 | 10,142,652 | ||||||
|
| |||||||
58,626,765 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% |
| |||||||
Deutsche Post AG (Germany)* | 19,529 | 719,890 | ||||||
Expeditors International of Washington, Inc. | 11,600 | 882,064 | ||||||
SG Holdings Co. Ltd. (Japan) | 10,000 | 326,399 | ||||||
Yamato Holdings Co. Ltd. (Japan) | 1,800 | 38,924 | ||||||
|
| |||||||
1,967,277 | ||||||||
|
| |||||||
Airlines — 0.0% | ||||||||
easyJet PLC (United Kingdom) | 4,258 | 36,069 | ||||||
Qantas Airways Ltd. (Australia) | 4,355 | 11,512 | ||||||
|
| |||||||
47,581 | ||||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
BorgWarner, Inc.(a) | 47,200 | 1,666,160 | ||||||
Cie Generale des Etablissements Michelin SCA (France)* | 4,494 | 464,928 | ||||||
Faurecia SE (France)* | 448 | 17,617 | ||||||
|
| |||||||
2,148,705 | ||||||||
|
| |||||||
Automobiles — 0.4% | ||||||||
Ferrari NV (Italy) | 1,703 | 291,828 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 33,113 | 337,569 | ||||||
General Motors Co. | 599,500 | 15,167,350 | ||||||
Peugeot SA (France)* | 24,097 | 395,460 | ||||||
Subaru Corp. (Japan) | 3,600 | 74,870 | ||||||
Toyota Motor Corp. (Japan) | 12,400 | 777,518 | ||||||
Volkswagen AG (Germany)* | 184 | 29,773 | ||||||
|
| |||||||
17,074,368 | ||||||||
|
| |||||||
Banks — 1.8% | ||||||||
ABN AMRO Bank NV (Netherlands), 144A, CVA | 2,483 | 21,608 | ||||||
Aozora Bank Ltd. (Japan) | 700 | 12,183 | ||||||
Banco de Sabadell SA (Spain) | 34,044 | 11,950 | ||||||
Bank of America Corp. | 275,750 | 6,549,062 | ||||||
Bankia SA (Spain) | 424,270 | 454,116 | ||||||
Bankinter SA (Spain) | 4,015 | 19,264 | ||||||
BankUnited, Inc. | 46,400 | 939,600 | ||||||
Banque Cantonale Vaudoise (Switzerland) | 176 | 17,163 | ||||||
Barclays PLC (United Kingdom) | 88,887 | 126,396 | ||||||
BNP Paribas SA (France)* | 6,632 | 265,155 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 175,500 | 561,003 | ||||||
Chiba Bank Ltd. (The) (Japan) | 3,200 | 15,077 | ||||||
CIT Group, Inc. | 183,600 | 3,806,028 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Banks (cont’d.) | ||||||||
Citigroup, Inc. | 466,550 | $ | 23,840,705 | |||||
Commonwealth Bank of Australia (Australia) | 10,928 | 527,543 | ||||||
Credit Agricole SA (France)* | 6,175 | 59,258 | ||||||
Danske Bank A/S (Denmark)* | 3,600 | 48,213 | ||||||
DBS Group Holdings Ltd. (Singapore) | 10,200 | 152,934 | ||||||
DNB ASA (Norway)* | 5,465 | 72,539 | ||||||
Erste Group Bank AG (Austria)* | 1,675 | 39,646 | ||||||
FNB Corp. | 364,400 | 2,733,000 | ||||||
HSBC Holdings PLC (United Kingdom) | 20,807 | 97,568 | ||||||
Intesa Sanpaolo SpA (Italy)* | 85,472 | 164,604 | ||||||
Japan Post Bank Co. Ltd. (Japan) | 2,400 | 17,829 | ||||||
JPMorgan Chase & Co. | 59,094 | 5,558,382 | ||||||
Mebuki Financial Group, Inc. (Japan) | 240,800 | 558,442 | ||||||
Mediobanca Banca di Credito Finanziario SpA (Italy) | 3,658 | 26,451 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 24,500 | 96,067 | ||||||
Mizrahi Tefahot Bank Ltd. (Israel) | 23,506 | 440,139 | ||||||
Mizuho Financial Group, Inc. (Japan) | 134,200 | 164,442 | ||||||
PacWest Bancorp | 230,400 | 4,541,184 | ||||||
Popular, Inc. (Puerto Rico) | 138,700 | 5,155,479 | ||||||
Raiffeisen Bank International AG (Austria)* | 13,320 | 238,281 | ||||||
Resona Holdings, Inc. (Japan) | 12,400 | 42,357 | ||||||
Seven Bank Ltd. (Japan) | 81,500 | 222,790 | ||||||
Shinsei Bank Ltd. (Japan) | 1,100 | 13,285 | ||||||
Simmons First National Corp. | 111,200 | 1,902,632 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)* | 66,587 | 580,126 | ||||||
Sterling Bancorp(a) | 93,000 | 1,089,960 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 7,600 | 213,757 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 3,000 | 84,162 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock)* | 8,949 | 85,318 | ||||||
Synovus Financial Corp. | 91,500 | 1,878,495 | ||||||
Umpqua Holdings Corp. | 85,100 | 905,464 | ||||||
United Overseas Bank Ltd. (Singapore) | 4,600 | 66,977 | ||||||
Wells Fargo & Co. | 446,200 | 11,422,720 | ||||||
|
| |||||||
75,839,354 | ||||||||
|
| |||||||
Beverages — 1.2% | ||||||||
Asahi Group Holdings Ltd. (Japan) | 8,000 | 280,797 | ||||||
Carlsberg A/S (Denmark) (Class B Stock) | 620 | 82,315 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 2,568 | 15,482 | ||||||
Coca-Cola Co. (The) | 277,700 | 12,407,636 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 10,600 | 400,256 | ||||||
Coca-Cola HBC AG (Switzerland) | 1,175 | 29,616 | ||||||
Keurig Dr. Pepper, Inc.(a) | 491,100 | 13,947,240 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 4,700 | 99,116 | ||||||
Molson Coors Beverage Co. (Class B Stock) | 15,200 | 522,272 | ||||||
Monster Beverage Corp.* | 69,900 | 4,845,468 |
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Beverages (cont’d.) |
| |||||||
PepsiCo, Inc. | 120,420 | $ | 15,926,749 | |||||
|
| |||||||
48,556,947 | ||||||||
|
| |||||||
Biotechnology — 1.9% |
| |||||||
AbbVie, Inc. | 288,700 | 28,344,566 | ||||||
Amgen, Inc. | 23,700 | 5,589,882 | ||||||
Biogen, Inc.* | 37,000 | 9,899,350 | ||||||
CSL Ltd. (Australia) | 183 | 36,562 | ||||||
Gilead Sciences, Inc. | 176,250 | 13,560,675 | ||||||
Vertex Pharmaceuticals, Inc.* | 67,800 | 19,683,018 | ||||||
|
| |||||||
77,114,053 | ||||||||
|
| |||||||
Building Products — 0.7% |
| |||||||
American Woodmark Corp.* | 37,000 | 2,799,050 | ||||||
Carrier Global Corp. | 363,800 | 8,083,636 | ||||||
Cie de Saint-Gobain (France)* | 2,896 | 105,084 | ||||||
Geberit AG (Switzerland) | 212 | 106,583 | ||||||
Johnson Controls International PLC | 169,900 | 5,800,386 | ||||||
Kingspan Group PLC (Ireland) | 870 | 56,330 | ||||||
Masco Corp. | 113,400 | 5,693,814 | ||||||
UFP Industries, Inc. | 115,400 | 5,713,454 | ||||||
|
| |||||||
28,358,337 | ||||||||
|
| |||||||
Capital Markets — 1.7% |
| |||||||
Affiliated Managers Group, Inc. | 132,000 | 9,841,920 | ||||||
Ameriprise Financial, Inc. | 119,650 | 17,952,286 | ||||||
Bank of New York Mellon Corp. (The) | 263,300 | 10,176,545 | ||||||
Credit Suisse Group AG (Switzerland) | 13,950 | 146,039 | ||||||
Deutsche Boerse AG (Germany) | 832 | 151,184 | ||||||
Evercore, Inc. (Class A Stock) | 49,100 | 2,892,972 | ||||||
Hargreaves Lansdown PLC | 1,920 | 38,897 | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 8,600 | 367,899 | ||||||
Intercontinental Exchange, Inc. | 55,500 | 5,083,800 | ||||||
LPL Financial Holdings, Inc. | 40,000 | 3,136,000 | ||||||
Magellan Financial Group Ltd. (Australia) | 13,848 | 566,198 | ||||||
Nomura Holdings, Inc. (Japan) | 124,500 | 556,770 | ||||||
S&P Global, Inc. | 49,300 | 16,243,364 | ||||||
Singapore Exchange Ltd. (Singapore) | 4,600 | 27,666 | ||||||
Standard Life Aberdeen PLC | 14,525 | 48,398 | ||||||
Stifel Financial Corp. | 48,000 | 2,276,640 | ||||||
UBS Group AG (Switzerland) | 46,278 | 538,980 | ||||||
|
| |||||||
70,045,558 | ||||||||
|
| |||||||
Chemicals — 1.0% |
| |||||||
Arkema SA (France) | 386 | 37,092 | ||||||
Asahi Kasei Corp. (Japan) | 7,200 | 59,101 | ||||||
BASF SE (Germany) | 5,283 | 297,430 | ||||||
Cabot Corp. | 10,600 | 392,730 | ||||||
Corteva, Inc. | 532,900 | 14,276,391 | ||||||
Eastman Chemical Co. | 92,700 | 6,455,628 | ||||||
Evonik Industries AG (Germany) | 2,967 | 75,871 | ||||||
Givaudan SA (Switzerland) | 53 | 198,342 | ||||||
Huntsman Corp. | 143,100 | 2,571,507 | ||||||
Linde PLC (United Kingdom) | 38,000 | 8,060,180 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Chemicals (cont’d.) |
| |||||||
LyondellBasell Industries NV | 73,600 | $ | 4,836,992 | |||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 900 | 13,635 | ||||||
Nissan Chemical Corp. (Japan) | 700 | 35,923 | ||||||
Orica Ltd. (Australia) | 2,483 | 28,796 | ||||||
Sensient Technologies Corp. | 17,500 | 912,800 | ||||||
Sherwin-Williams Co. (The) | 1,100 | 635,635 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,500 | 175,558 | ||||||
Showa Denko KK (Japan) | 800 | 17,908 | ||||||
Symrise AG (Germany) | 741 | 86,337 | ||||||
Tosoh Corp. (Japan) | 7,900 | 107,742 | ||||||
Yara International ASA (Norway) | 1,014 | 35,354 | ||||||
|
| |||||||
39,310,952 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Dai Nippon Printing Co. Ltd. (Japan) | 1,400 | 32,084 | ||||||
Deluxe Corp. | 114,700 | 2,700,038 | ||||||
Secom Co. Ltd. (Japan) | 2,100 | 183,538 | ||||||
Toppan Printing Co. Ltd. (Japan) | 5,000 | 83,486 | ||||||
|
| |||||||
2,999,146 | ||||||||
|
| |||||||
Communications Equipment — 0.8% |
| |||||||
Cisco Systems, Inc. | 699,300 | 32,615,352 | ||||||
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock) | 17,683 | 163,988 | ||||||
|
| |||||||
32,779,340 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 9,566 | 243,135 | ||||||
Eiffage SA (France)* | 446 | 40,936 | ||||||
EMCOR Group, Inc. | 92,600 | 6,124,564 | ||||||
HOCHTIEF AG (Germany) | 154 | 13,777 | ||||||
Obayashi Corp. (Japan) | 51,500 | 481,335 | ||||||
Quanta Services, Inc. | 27,700 | 1,086,671 | ||||||
Shimizu Corp. (Japan) | 55,700 | 457,464 | ||||||
Skanska AB (Sweden) (Class B Stock)* | 1,910 | 39,032 | ||||||
Taisei Corp. (Japan) | 1,200 | 43,642 | ||||||
|
| |||||||
8,530,556 | ||||||||
|
| |||||||
Construction Materials — 0.0% |
| |||||||
CRH PLC (Ireland) | 4,617 | 159,179 | ||||||
HeidelbergCement AG (Germany) | 6,165 | 331,985 | ||||||
LafargeHolcim Ltd. (Switzerland)* | 9,663 | 428,850 | ||||||
|
| |||||||
920,014 | ||||||||
|
| |||||||
Consumer Finance — 0.2% |
| |||||||
Discover Financial Services | 124,500 | 6,236,205 | ||||||
Navient Corp. | 185,150 | 1,301,605 | ||||||
OneMain Holdings, Inc. | 41,400 | 1,015,956 | ||||||
|
| |||||||
8,553,766 | ||||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
LKQ Corp.* | 467,100 | 12,238,020 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
Berkshire Hathaway, Inc. | 80,550 | $ | 14,378,981 | |||||
Equitable Holdings, Inc. | 109,800 | 2,118,042 | ||||||
EXOR NV (Netherlands) | 616 | 35,513 | ||||||
M&G PLC (United Kingdom) | 66,755 | 139,071 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 2,100 | 9,940 | ||||||
ORIX Corp. (Japan) | 7,400 | 91,185 | ||||||
Wendel SE (France)* | 160 | 15,282 | ||||||
|
| |||||||
16,788,014 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
AT&T, Inc.(a) | 1,011,100 | 30,565,553 | ||||||
Deutsche Telekom AG (Germany) | 24,662 | 417,207 | ||||||
Elisa OYJ (Finland) | 780 | 47,447 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 27,000 | 629,242 | ||||||
Orange SA (France) | 11,375 | 136,313 | ||||||
Proximus SADP (Belgium) | 928 | 18,944 | ||||||
Telecom Italia SpA (Italy), RSP | 18,981 | 7,395 | ||||||
Telefonica Deutschland Holding AG (Germany) | 42,906 | 127,376 | ||||||
Telenor ASA (Norway) | 4,136 | 60,327 | ||||||
TPG Corp. Ltd. (Australia) | 2,368 | 14,666 | ||||||
United Internet AG (Germany) | 595 | 25,363 | ||||||
Verizon Communications, Inc.(a) | 540,588 | 29,802,616 | ||||||
|
| |||||||
61,852,449 | ||||||||
|
| |||||||
Electric Utilities — 0.8% |
| |||||||
Chubu Electric Power Co., Inc. (Japan) | 37,900 | 474,889 | ||||||
CK Infrastructure Holdings Ltd. | 3,500 | 18,049 | ||||||
Enel SpA (Italy) | 58,735 | 508,725 | ||||||
Exelon Corp. | 409,600 | 14,864,384 | ||||||
Fortum OYJ (Finland) | 2,430 | 46,483 | ||||||
Iberdrola SA (Spain) | 82,171 | 955,119 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 16,900 | 161,511 | ||||||
NRG Energy, Inc. | 299,050 | 9,737,068 | ||||||
Power Assets Holdings Ltd. | 8,000 | 43,498 | ||||||
PPL Corp. | 206,900 | 5,346,296 | ||||||
Red Electrica Corp. SA (Spain) | 2,520 | 47,169 | ||||||
Terna Rete Elettrica Nazionale SpA (Italy) | 8,029 | 55,385 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 2,400 | 22,837 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (Japan)* | 7,600 | 23,353 | ||||||
|
| |||||||
32,304,766 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% |
| |||||||
ABB Ltd. (Switzerland) | 10,512 | 238,417 | ||||||
Acuity Brands, Inc. | 46,000 | 4,404,040 | ||||||
Atkore International Group, Inc.* | 120,050 | 3,283,367 | ||||||
Eaton Corp. PLC | 26,600 | 2,326,968 | ||||||
Fuji Electric Co. Ltd. (Japan) | 700 | 19,139 | ||||||
Legrand SA (France) | 1,508 | 115,302 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Electrical Equipment (cont’d.) | ||||||||
Schneider Electric SE (France) | 7,313 | $ | 818,471 | |||||
|
| |||||||
11,205,704 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||
Hexagon AB (Sweden) (Class B Stock)* | 6,235 | 366,819 | ||||||
Hitachi Ltd. (Japan) | 5,400 | 171,543 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 3,300 | 193,482 | ||||||
TDK Corp. (Japan) | 700 | 69,515 | ||||||
Venture Corp. Ltd. (Singapore) | 1,500 | 17,507 | ||||||
|
| |||||||
818,866 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
TechnipFMC PLC (United Kingdom) | 454,700 | 3,110,148 | ||||||
|
| |||||||
Entertainment — 1.2% |
| |||||||
Activision Blizzard, Inc. | 260,500 | 19,771,950 | ||||||
Electronic Arts, Inc.* | 148,200 | 19,569,810 | ||||||
Netflix, Inc.* | 18,300 | 8,327,232 | ||||||
Nexon Co. Ltd. (Japan) | 2,900 | 65,499 | ||||||
Nintendo Co. Ltd. (Japan) | 1,100 | 491,642 | ||||||
|
| |||||||
48,226,133 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
Apple Hospitality REIT, Inc. | 185,850 | 1,795,311 | ||||||
British Land Co. PLC (The) | 29,197 | 140,301 | ||||||
CapitaLand Commercial Trust (Singapore) | 16,800 | 20,509 | ||||||
CoreCivic, Inc. | 237,550 | 2,223,468 | ||||||
Crown Castle International Corp. | 22,700 | 3,798,845 | ||||||
Equinix, Inc. | 5,800 | 4,073,340 | ||||||
Franklin Street Properties Corp.(a) | 83,550 | 425,270 | ||||||
Gaming & Leisure Properties, Inc.(a) | 298,817 | 10,339,068 | ||||||
Gecina SA (France) | 264 | 32,708 | ||||||
GEO Group, Inc. (The) | 233,450 | 2,761,713 | ||||||
GLP J-REIT (Japan) | 21 | 30,466 | ||||||
Goodman Group (Australia) | 9,150 | 94,566 | ||||||
Japan Prime Realty Investment Corp. (Japan) | 5 | 14,691 | ||||||
Japan Real Estate Investment Corp. (Japan) | 8 | 41,158 | ||||||
Japan Retail Fund Investment Corp. (Japan) | 14 | 17,552 | ||||||
Klepierre SA (France)(a) | 24,451 | 489,317 | ||||||
Land Securities Group PLC | 3,328 | 22,831 | ||||||
Prologis, Inc. | 154,400 | 14,410,152 | ||||||
Retail Properties of America, Inc. | 103,100 | 754,692 | ||||||
Scentre Group (Australia) | 30,744 | 46,367 | ||||||
Service Properties Trust | 99,400 | 704,746 | ||||||
SITE Centers Corp. | 297,900 | 2,412,990 | ||||||
Spirit Realty Capital, Inc.(a) | 118,700 | 4,137,882 | ||||||
Stockland (Australia) | 202,641 | 469,149 | ||||||
United Urban Investment Corp. (Japan) | 17 | 18,418 | ||||||
WP Carey, Inc. | 17,800 | 1,204,170 | ||||||
|
| |||||||
50,479,680 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Food & Staples Retailing — 1.3% |
| |||||||
Coles Group Ltd. (Australia) | 7,599 | $ | 90,793 | |||||
Colruyt SA (Belgium) | 325 | 17,914 | ||||||
ICA Gruppen AB (Sweden) | 231 | 10,976 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 23,896 | 653,999 | ||||||
Kroger Co. (The) | 299,500 | 10,138,075 | ||||||
Seven & iHoldings Co. Ltd. (Japan) | 4,400 | 143,638 | ||||||
Walgreens Boots Alliance, Inc. | 344,300 | 14,594,877 | ||||||
Walmart, Inc. | 235,400 | 28,196,212 | ||||||
Wm Morrison Supermarkets PLC | 13,956 | 33,100 | ||||||
Woolworths Group Ltd. (Australia) | 17,308 | 446,746 | ||||||
|
| |||||||
54,326,330 | ||||||||
|
| |||||||
Food Products — 0.5% |
| |||||||
Archer-Daniels-Midland Co. | 6,650 | 265,335 | ||||||
Bunge Ltd. | 34,500 | 1,418,985 | ||||||
J.M. Smucker Co. (The)(a) | 28,900 | 3,057,909 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 600 | 47,741 | ||||||
Nestle SA (Switzerland) | 12,996 | 1,441,294 | ||||||
Orkla ASA (Norway) | 4,251 | 37,349 | ||||||
Pilgrim’s Pride Corp.* | 247,300 | 4,176,897 | ||||||
Tate & Lyle PLC (United Kingdom) | 14,472 | 119,919 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 500 | 27,972 | ||||||
Tyson Foods, Inc. (Class A Stock) | 143,800 | 8,586,298 | ||||||
WH Group Ltd. (Hong Kong), 144A | 578,500 | 499,207 | ||||||
Wilmar International Ltd. (China) | 32,400 | 95,347 | ||||||
|
| |||||||
19,774,253 | ||||||||
|
| |||||||
Gas Utilities — 0.3% |
| |||||||
Enagas SA (Spain) | 1,273 | 31,195 | ||||||
Naturgy Energy Group SA (Spain) | 19,522 | 363,357 | ||||||
Snam SpA (Italy) | 11,949 | 58,372 | ||||||
UGI Corp. | 332,600 | 10,576,680 | ||||||
|
| |||||||
11,029,604 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
Abbott Laboratories | 287,200 | 26,258,696 | ||||||
Baxter International, Inc. | 141,050 | 12,144,405 | ||||||
Becton, Dickinson & Co. | 53,800 | 12,872,726 | ||||||
Coloplast A/S (Denmark) | 144 | 22,388 | ||||||
DiaSorin SpA (Italy) | 144 | 27,677 | ||||||
Edwards Lifesciences Corp.* | 244,200 | 16,876,662 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) | 3,248 | 74,395 | ||||||
Medtronic PLC | 46,400 | 4,254,880 | ||||||
Quidel Corp.* | 7,700 | 1,722,798 | ||||||
ResMed, Inc. | 8,100 | 1,555,200 | ||||||
Siemens Healthineers AG (Germany), 144A | 847 | 40,776 | ||||||
STERIS PLC | 21,900 | 3,360,336 | ||||||
West Pharmaceutical Services, Inc. | 14,400 | 3,271,248 | ||||||
|
| |||||||
82,482,187 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.9% |
| |||||||
Alfresa Holdings Corp. (Japan) | 1,100 | 22,962 | ||||||
Anthem, Inc. | 73,800 | 19,407,924 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Health Care Providers & Services (cont’d.) |
| |||||||
Cardinal Health, Inc. | 16,800 | $ | 876,792 | |||||
Cigna Corp. | 97,500 | 18,295,875 | ||||||
CVS Health Corp. | 183,350 | 11,912,249 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany)* | 2,754 | 237,607 | ||||||
Fresenius SE & Co. KGaA (Germany)* | 10,686 | 533,976 | ||||||
Humana, Inc. | 1,200 | 465,300 | ||||||
Medipal Holdings Corp. (Japan) | 25,300 | 487,403 | ||||||
Sonic Healthcare Ltd. (Australia) | 701 | 14,825 | ||||||
Suzuken Co. Ltd. (Japan) | 13,600 | 507,693 | ||||||
UnitedHealth Group, Inc. | 83,300 | 24,569,335 | ||||||
Universal Health Services, Inc. | 14,900 | 1,384,061 | ||||||
|
| |||||||
78,716,002 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
M3, Inc. (Japan) | 1,500 | 63,783 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
Carnival PLC | 5,263 | 64,927 | ||||||
Domino’s Pizza, Inc. | 4,800 | 1,773,312 | ||||||
Evolution Gaming Group AB (Sweden), 144A | 4,717 | 284,578 | ||||||
Flutter Entertainment PLC (Ireland) | 866 | 114,219 | ||||||
Galaxy Entertainment Group Ltd. (Macau) | 13,000 | 88,558 | ||||||
McDonald’s Corp. | 101,400 | 18,705,258 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | 4,700 | 253,518 | ||||||
|
| |||||||
21,284,370 | ||||||||
|
| |||||||
Household Durables — 0.2% |
| |||||||
Barratt Developments PLC | 5,762 | 35,660 | ||||||
Berkeley Group Holdings PLC | 9,150 | 473,380 | ||||||
Casio Computer Co. Ltd. (Japan) | 1,100 | 19,282 | ||||||
Husqvarna AB (Sweden) | 2,280 | 18,803 | ||||||
M/I Homes, Inc.* | 74,300 | 2,558,892 | ||||||
Meritage Homes Corp.* | 43,100 | 3,280,772 | ||||||
Persimmon PLC (United Kingdom)* | 1,935 | 55,050 | ||||||
Rinnai Corp. (Japan) | 200 | 16,699 | ||||||
Sekisui House Ltd. (Japan) | 3,600 | 68,514 | ||||||
Sony Corp. (Japan) | 14,700 | 1,011,450 | ||||||
Taylor Wimpey PLC (United Kingdom) | 31,431 | 55,901 | ||||||
|
| |||||||
7,594,403 | ||||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Essity AB (Sweden) (Class B Stock)* | 18,036 | 583,677 | ||||||
Henkel AG & Co. KGaA (Germany) | 601 | 50,154 | ||||||
Kimberly-Clark Corp. | 27,400 | 3,872,990 | ||||||
Lion Corp. (Japan) | 1,300 | 31,225 | ||||||
Procter & Gamble Co. (The) | 348,505 | 41,670,743 | ||||||
Reckitt Benckiser Group PLC | 528 | 48,601 | ||||||
|
| |||||||
46,257,390 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
AES Corp. (The) | 339,400 | $ | 4,917,906 | |||||
Electric Power Development Co. Ltd. (Japan) | 700 | 13,280 | ||||||
Vistra Energy Corp. | 405,300 | 7,546,686 | ||||||
|
| |||||||
12,477,872 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
3M Co. | 132,800 | 20,715,472 | ||||||
CK Hutchison Holdings Ltd. | 71,000 | 456,558 | ||||||
Honeywell International, Inc. | 62,900 | 9,094,711 | ||||||
Siemens AG (Germany) | 4,273 | 507,023 | ||||||
Toshiba Corp. (Japan) | 2,800 | 89,803 | ||||||
|
| |||||||
30,863,567 | ||||||||
|
| |||||||
Insurance — 1.5% | ||||||||
Admiral Group PLC (United Kingdom) | 1,104 | 31,409 | ||||||
Aegon NV (Netherlands) | 159,917 | 479,867 | ||||||
Aflac, Inc. | 98,800 | 3,559,764 | ||||||
Ageas SA/NV (Belgium) | 1,011 | 35,963 | ||||||
AIA Group Ltd. (Hong Kong) | 18,000 | 168,265 | ||||||
Allianz SE (Germany) | 2,427 | 498,600 | ||||||
Allstate Corp. (The) | 74,100 | 7,186,959 | ||||||
American International Group, Inc. | 141,400 | 4,408,852 | ||||||
Aviva PLC (United Kingdom) | 21,609 | 73,742 | ||||||
Direct Line Insurance Group PLC | 7,754 | 26,134 | ||||||
Japan Post Holdings Co. Ltd. (Japan) | 9,100 | 64,838 | ||||||
Japan Post Insurance Co. Ltd. (Japan) | 2,800 | 36,888 | ||||||
Legal & General Group PLC (United Kingdom) | 199,817 | 546,629 | ||||||
Lincoln National Corp.(a) | 196,400 | 7,225,556 | ||||||
Medibank Private Ltd. (Australia) | 15,918 | 32,939 | ||||||
MetLife, Inc. | 421,300 | 15,385,876 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 403 | 105,104 | ||||||
NN Group NV (Netherlands) | 16,946 | 570,412 | ||||||
Old Republic International Corp. | 110,800 | 1,807,148 | ||||||
Principal Financial Group, Inc. | 93,100 | 3,867,374 | ||||||
Progressive Corp. (The) | 89,800 | 7,193,878 | ||||||
Sompo Holdings, Inc. (Japan) | 1,900 | 65,311 | ||||||
Sony Financial Holdings, Inc. (Japan) | 800 | 19,246 | ||||||
Swiss Life Holding AG (Switzerland) | 659 | 245,472 | ||||||
T&D Holdings, Inc. (Japan) | 3,200 | 27,319 | ||||||
Unum Group | 345,700 | 5,735,163 | ||||||
Zurich Insurance Group AG (Switzerland) | 1,960 | 694,221 | ||||||
|
| |||||||
60,092,929 | ||||||||
|
| |||||||
Interactive Media & Services — 3.1% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 19,750 | 28,006,488 | ||||||
Alphabet, Inc. (Class C Stock)* | 21,132 | 29,872,407 | ||||||
Facebook, Inc. (Class A Stock)* | 304,550 | 69,154,168 | ||||||
|
| |||||||
127,033,063 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.3% |
| |||||||
Amazon.com, Inc.* | 33,800 | 93,248,116 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Internet & Direct Marketing Retail (cont’d.) |
| |||||||
Booking Holdings, Inc.* | 10,750 | $ | 17,117,655 | |||||
eBay, Inc. | 368,600 | 19,333,070 | ||||||
Ocado Group PLC (United Kingdom)* | 2,430 | 61,281 | ||||||
PetMed Express, Inc.(a) | 45,100 | 1,607,364 | ||||||
Prosus NV (China)* | 829 | 77,319 | ||||||
Qurate Retail, Inc. (Class A Stock)* | 81,100 | 770,450 | ||||||
Stamps.com, Inc.* | 21,700 | 3,986,073 | ||||||
Zalando SE (Germany), 144A* | 773 | 54,851 | ||||||
|
| |||||||
136,256,179 | ||||||||
|
| |||||||
IT Services — 3.0% |
| |||||||
Accenture PLC (Class A Stock) | 128,650 | 27,623,728 | ||||||
Amdocs Ltd. | 40,400 | 2,459,552 | ||||||
Atos SE (France)* | 558 | 47,884 | ||||||
Automatic Data Processing, Inc. | 41,500 | 6,178,935 | ||||||
Capgemini SE (France) | 2,852 | 329,139 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 283,500 | 16,108,470 | ||||||
Fujitsu Ltd. (Japan) | 2,900 | 339,761 | ||||||
International Business Machines | 154,500 | 18,658,965 | ||||||
Itochu Techno-Solutions Corp. (Japan) | 600 | 22,600 | ||||||
Jack Henry & Associates, Inc. | 4,800 | 883,344 | ||||||
KBR, Inc. | 53,000 | 1,195,150 | ||||||
Leidos Holdings, Inc. | 120,900 | 11,324,703 | ||||||
NEC Corp. (Japan) | 700 | 33,546 | ||||||
Nomura Research Institute Ltd. (Japan) | 17,600 | 480,551 | ||||||
Otsuka Corp. (Japan) | 6,400 | 337,348 | ||||||
PayPal Holdings, Inc.* | 37,300 | 6,498,779 | ||||||
Perspecta, Inc. | 55,900 | 1,298,557 | ||||||
Science Applications International Corp. | 13,300 | 1,033,144 | ||||||
Visa, Inc. (Class A Stock)(a) | 152,500 | 29,458,425 | ||||||
|
| |||||||
124,312,581 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 1,100 | 57,802 | ||||||
Brunswick Corp. | 71,200 | 4,557,512 | ||||||
Sega Sammy Holdings, Inc. (Japan) | 900 | 10,771 | ||||||
|
| |||||||
4,626,085 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Bio-Techne Corp. | 9,800 | 2,587,886 | ||||||
IQVIA Holdings, Inc.* | 61,100 | 8,668,868 | ||||||
QIAGEN NV* | 1,287 | 55,331 | ||||||
Sartorius Stedim Biotech (France) | 159 | 40,438 | ||||||
|
| |||||||
11,352,523 | ||||||||
|
| |||||||
Machinery — 0.5% |
| |||||||
Alfa Laval AB (Sweden)* | 1,770 | 39,192 | ||||||
Allison Transmission Holdings, Inc. | 65,600 | 2,412,768 | ||||||
Amada Co. Ltd. (Japan) | 46,200 | 377,696 | ||||||
ANDRITZ AG (Austria)* | 451 | 16,457 | ||||||
Atlas Copco AB (Sweden) | 17,663 | 752,451 | ||||||
Atlas Copco AB (Sweden) | 2,266 | 83,818 | ||||||
Crane Co. | 37,000 | 2,200,020 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Machinery (cont’d.) | ||||||||
Dover Corp. | 14,600 | $ | 1,409,776 | |||||
Epiroc AB (Sweden) (Class A Stock) | 13,919 | 174,351 | ||||||
Epiroc AB (Sweden) (Class B Stock) | 2,251 | 27,633 | ||||||
GEA Group AG (Germany) | 918 | 29,205 | ||||||
Kone OYJ (Finland) (Class B Stock) | 3,926 | 270,284 | ||||||
MINEBEA MITSUMI, Inc. (Japan) | 2,100 | 38,114 | ||||||
Nabtesco Corp. (Japan) | 700 | 21,604 | ||||||
Oshkosh Corp. | 124,100 | 8,888,042 | ||||||
Otis Worldwide Corp. | 43,400 | 2,467,724 | ||||||
Pentair PLC | 45,200 | 1,717,148 | ||||||
Schindler Holding AG (Switzerland) | 115 | 27,341 | ||||||
SKF AB (Sweden) (Class B Stock) | 2,210 | 41,460 | ||||||
Timken Co. (The) | 1,000 | 45,490 | ||||||
Volvo AB (Sweden) (Class B Stock)* | 8,371 | 131,806 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 13,100 | 8,788 | ||||||
|
| |||||||
21,181,168 | ||||||||
|
| |||||||
Marine — 0.0% |
| |||||||
AP Moller – Maersk A/S (Denmark) | 21 | 22,899 | ||||||
Nippon Yusen KK (Japan) | 900 | 12,671 | ||||||
|
| |||||||
35,570 | ||||||||
|
| |||||||
Media — 0.4% |
| |||||||
Discovery, Inc. (Class C Stock)* | 90,700 | 1,746,882 | ||||||
Publicis Groupe SA (France) | 13,506 | 439,164 | ||||||
Telenet Group Holding NV (Belgium) | 8,980 | 370,981 | ||||||
ViacomCBS, Inc. (Class B Stock)(a) | 598,455 | 13,955,971 | ||||||
|
| |||||||
16,512,998 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
Alumina Ltd. (Australia) | 13,815 | 15,674 | ||||||
Anglo American PLC (South Africa) | 25,126 | 588,353 | ||||||
ArcelorMittal SA (Luxembourg)* | 4,031 | 43,246 | ||||||
BHP Group Ltd. (Australia) | 16,748 | 417,337 | ||||||
BHP Group PLC (Australia) | 22,195 | 458,427 | ||||||
BlueScope Steel Ltd. (Australia) | 3,027 | 24,605 | ||||||
Boliden AB (Sweden) | 1,596 | 36,586 | ||||||
Evolution Mining Ltd. (Australia) | 8,820 | 34,930 | ||||||
Evraz PLC (Russia) | 3,352 | 12,097 | ||||||
Fortescue Metals Group Ltd. (Australia) | 64,961 | 627,125 | ||||||
Newcrest Mining Ltd. (Australia) | 5,053 | 111,675 | ||||||
Northern Star Resources Ltd. (Australia) | 4,104 | 38,587 | ||||||
Nucor Corp. | 82,400 | 3,412,184 | ||||||
Rio Tinto Ltd. (Australia) | 2,129 | 144,554 | ||||||
Rio Tinto PLC (Australia) | 16,464 | 934,473 | ||||||
Steel Dynamics, Inc. | 36,700 | 957,503 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 1,400 | 39,239 | ||||||
|
| |||||||
7,896,595 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
Starwood Property Trust, Inc.(a) | 203,000 | 3,036,880 | ||||||
TPG RE Finance Trust, Inc. | 162,900 | 1,400,940 | ||||||
|
| |||||||
4,437,820 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Multiline Retail — 0.5% |
| |||||||
Dollar General Corp. | 74,600 | $ | 14,212,046 | |||||
Dollar Tree, Inc.* | 55,300 | 5,125,204 | ||||||
Marks & Spencer Group PLC | 11,490 | 14,188 | ||||||
Pan Pacific International Holdings Corp. (Japan) | 2,500 | 54,909 | ||||||
Wesfarmers Ltd. (Australia) | 6,351 | 198,007 | ||||||
|
| |||||||
19,604,354 | ||||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
AGL Energy Ltd. (Australia) | 3,811 | 45,136 | ||||||
National Grid PLC (United Kingdom) | 19,760 | 242,890 | ||||||
Public Service Enterprise Group, Inc. | 271,900 | 13,366,604 | ||||||
RWE AG (Germany) | 1,909 | 67,162 | ||||||
Sempra Energy | 120,000 | 14,067,600 | ||||||
|
| |||||||
27,789,392 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.3% |
| |||||||
Chevron Corp. | 129,900 | 11,590,977 | ||||||
Diamondback Energy, Inc. | 148,500 | 6,210,270 | ||||||
Exxon Mobil Corp. | 20,000 | 894,400 | ||||||
Inpex Corp. (Japan) | 68,100 | 424,470 | ||||||
Kinder Morgan, Inc. | 945,100 | 14,337,167 | ||||||
Koninklijke Vopak NV (Netherlands) | 392 | 20,785 | ||||||
Lundin Energy AB (Sweden) | 11,941 | 292,884 | ||||||
Neste OYJ (Finland) | 2,417 | 94,910 | ||||||
OMV AG (Austria)* | 4,553 | 154,090 | ||||||
ONEOK, Inc. | 50,000 | 1,661,000 | ||||||
Origin Energy Ltd. (Australia) | 99,682 | 406,540 | ||||||
Phillips 66 | 165,400 | 11,892,260 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 23,406 | 375,542 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 5,450 | 83,230 | ||||||
Santos Ltd. (Australia) | 100,593 | 371,673 | ||||||
Teekay Tankers Ltd. (Bermuda) | 82,600 | 1,058,932 | ||||||
TOTAL SA (France) | 13,435 | 519,192 | ||||||
World Fuel Services Corp. | 84,200 | 2,168,992 | ||||||
|
| |||||||
52,557,314 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% |
| |||||||
Oji Holdings Corp. (Japan) | 4,700 | 21,576 | ||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
Coty, Inc. (Class A Stock)(a) | 579,900 | 2,592,153 | ||||||
L’Oreal SA (France)* | 675 | 217,084 | ||||||
Unilever NV (United Kingdom) | 16,496 | 880,306 | ||||||
Unilever PLC (United Kingdom) | 6,580 | 355,058 | ||||||
|
| |||||||
4,044,601 | ||||||||
|
| |||||||
Pharmaceuticals — 3.1% |
| |||||||
Astellas Pharma, Inc. (Japan) | 39,600 | 660,803 | ||||||
AstraZeneca PLC (United Kingdom) | 2,601 | 272,947 | ||||||
Bayer AG (Germany) | 3,571 | 265,966 | ||||||
Bristol-Myers Squibb Co. | 452,200 | 26,589,360 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 14,100 | 754,726 | ||||||
Eisai Co. Ltd. (Japan) | 1,000 | 79,264 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Pharmaceuticals (cont’d.) |
| |||||||
Eli Lilly & Co. | 163,800 | $ | 26,892,684 | |||||
GlaxoSmithKline PLC (United Kingdom) | 50,542 | 1,028,504 | ||||||
Hikma Pharmaceuticals PLC (Jordan) | 795 | 21,908 | ||||||
Hisamitsu Pharmaceutical Co., Inc. (Japan) | 300 | 16,198 | ||||||
Johnson & Johnson | 239,048 | 33,617,320 | ||||||
Merck & Co., Inc. | 360,800 | 27,900,664 | ||||||
Novartis AG (Switzerland) | 18,216 | 1,594,620 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 10,097 | 658,208 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 2,200 | 64,108 | ||||||
Orion OYJ (Finland) (Class B Stock) | 1,522 | 73,506 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 1,300 | 56,661 | ||||||
Pfizer, Inc. | 165,500 | 5,411,850 | ||||||
Recordati SpA (Italy) | 588 | 29,447 | ||||||
Roche Holding AG (Switzerland) | 5,453 | 1,899,392 | ||||||
Sanofi (France) | 6,509 | 667,225 | ||||||
Shionogi & Co. Ltd. (Japan) | 4,600 | 287,979 | ||||||
UCB SA (Belgium) | 738 | 85,779 | ||||||
|
| |||||||
128,929,119 | ||||||||
|
| |||||||
Professional Services — 0.0% | ||||||||
Adecco Group AG (Switzerland) | 832 | 39,367 | ||||||
Nihon M&A Center, Inc. (Japan) | 600 | 27,387 | ||||||
Recruit Holdings Co. Ltd. (Japan) | 12,700 | 437,700 | ||||||
RELX PLC (United Kingdom) | 8,742 | 203,596 | ||||||
Teleperformance (France)* | 276 | 70,380 | ||||||
Wolters Kluwer NV (Netherlands) | 8,664 | 679,811 | ||||||
|
| |||||||
1,458,241 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
Aroundtown SA (Germany)* | 5,214 | 30,046 | ||||||
CBRE Group, Inc. (Class A Stock)*(a) | 58,750 | 2,656,675 | ||||||
CK Asset Holdings Ltd. (Hong Kong) | 14,500 | 86,536 | ||||||
Daito Trust Construction Co. Ltd. (Japan) | 800 | 73,497 | ||||||
Deutsche Wohnen SE (Germany) | 2,048 | 92,289 | ||||||
Hulic Co. Ltd. (Japan) | 1,700 | 15,968 | ||||||
Lendlease Group (Australia) | 3,693 | 31,908 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 6,800 | 100,970 | ||||||
Nomura Real Estate Holdings, Inc. (Japan) | 24,500 | 454,361 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 16,000 | 20,144 | ||||||
|
| |||||||
3,562,394 | ||||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
Aurizon Holdings Ltd. (Australia) | 152,616 | 520,847 | ||||||
CSX Corp. | 112,650 | 7,856,211 | ||||||
Kansas City Southern | 11,700 | 1,746,693 | ||||||
Union Pacific Corp. | 66,400 | 11,226,248 | ||||||
|
| |||||||
21,349,999 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
Advantest Corp. (Japan) | 11,300 | 646,076 | ||||||
Applied Materials, Inc. | 225,000 | 13,601,250 | ||||||
ASML Holding NV (Netherlands) | 962 | 355,454 | ||||||
Disco Corp. (Japan) | 200 | 48,453 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Semiconductors & Semiconductor Equipment (cont’d.) |
| |||||||
Infineon Technologies AG (Germany) | 7,072 | $ | 167,876 | |||||
Intel Corp. | 686,150 | 41,052,354 | ||||||
Lasertec Corp. (Japan) | 400 | 38,120 | ||||||
Micron Technology, Inc.* | 15,100 | 777,952 | ||||||
NVIDIA Corp. | 104,900 | 39,852,559 | ||||||
QUALCOMM, Inc. | 231,900 | 21,151,599 | ||||||
Semtech Corp.* | 45,000 | 2,349,900 | ||||||
Skyworks Solutions, Inc. | 24,700 | 3,158,142 | ||||||
STMicroelectronics NV (Switzerland) | 3,855 | 105,572 | ||||||
SUMCO Corp. (Japan) | 2,900 | 44,811 | ||||||
Synaptics, Inc.*(a) | 16,200 | 973,944 | ||||||
Tokyo Electron Ltd. (Japan) | 1,000 | 246,824 | ||||||
|
| |||||||
124,570,886 | ||||||||
|
| |||||||
Software — 5.9% | ||||||||
Adobe, Inc.* | 62,350 | 27,141,578 | ||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 4,700 | 504,921 | ||||||
Intuit, Inc. | 70,000 | 20,733,300 | ||||||
Microsoft Corp. | 795,300 | 161,851,503 | ||||||
NortonLifeLock, Inc. | 320,400 | 6,353,532 | ||||||
Oracle Corp. | 466,550 | 25,786,219 | ||||||
Oracle Corp. (Japan) | 300 | 35,608 | ||||||
SAP SE (Germany) | 2,621 | 368,353 | ||||||
TeamViewer AG (Germany), 144A* | 720 | 39,631 | ||||||
Trend Micro, Inc. (Japan) | 800 | 44,985 | ||||||
|
| |||||||
242,859,630 | ||||||||
|
| |||||||
Specialty Retail — 1.5% | ||||||||
Asbury Automotive Group, Inc.* | 20,300 | 1,569,799 | ||||||
AutoNation, Inc.* | 174,200 | 6,546,436 | ||||||
Best Buy Co., Inc. | 24,400 | 2,129,388 | ||||||
Hennes & Mauritz AB (Sweden) (Class B Stock) | 3,192 | 46,654 | ||||||
Hikari Tsushin, Inc. (Japan) | 1,300 | 296,455 | ||||||
Home Depot, Inc. (The) | 87,400 | 21,894,574 | ||||||
Industria de Diseno Textil SA (Spain) | 20,531 | 546,172 | ||||||
JD Sports Fashion PLC (United Kingdom) | 38,095 | 294,976 | ||||||
Kingfisher PLC (United Kingdom) | 12,100 | 33,102 | ||||||
Lowe’s Cos., Inc. | 203,000 | 27,429,360 | ||||||
Murphy USA, Inc.* | 12,500 | 1,407,375 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 500 | 97,984 | ||||||
Sonic Automotive, Inc. (Class A Stock) | 12,800 | 408,448 | ||||||
Yamada Denki Co. Ltd. (Japan) | 3,800 | 18,843 | ||||||
|
| |||||||
�� | 62,719,566 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.8% |
| |||||||
Apple, Inc. | 419,900 | 153,179,520 | ||||||
Brother Industries Ltd. (Japan) | 8,100 | 146,182 | ||||||
FUJIFILM Holdings Corp. (Japan) | 4,800 | 205,279 | ||||||
Logitech International SA (Switzerland) | 8,162 | 533,645 | ||||||
Xerox Holdings Corp. | 49,400 | 755,326 | ||||||
|
| |||||||
154,819,952 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.0% |
| |||||||
EssilorLuxottica SA (France)* | 1,020 | 131,403 | ||||||
Hermes International (France) | 495 | 415,946 |
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Textiles, Apparel & Luxury Goods (cont’d.) |
| |||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 1,584 | $ | 704,394 | |||||
Pandora A/S (Denmark) | 570 | 31,171 | ||||||
Swatch Group AG (The) (Switzerland) | 140 | 5,505 | ||||||
|
| |||||||
1,288,419 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.0% |
| |||||||
MGIC Investment Corp. | 202,300 | 1,656,837 | ||||||
|
| |||||||
Tobacco — 0.5% | ||||||||
Altria Group, Inc. | 457,350 | 17,950,988 | ||||||
British American Tobacco PLC (United Kingdom) | 25,333 | 977,636 | ||||||
Imperial Brands PLC (United Kingdom) | 25,608 | 489,780 | ||||||
Japan Tobacco, Inc. (Japan) | 29,800 | 552,881 | ||||||
Swedish Match AB (Sweden) | 945 | 66,688 | ||||||
|
| |||||||
20,037,973 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
AerCap Holdings NV (Ireland)* | 11,900 | 366,520 | ||||||
Ashtead Group PLC (United Kingdom) | 2,552 | 86,422 | ||||||
BMC Stock Holdings, Inc.* | 96,700 | 2,431,038 | ||||||
Brenntag AG (Germany) | 868 | 45,784 | ||||||
Bunzl PLC (United Kingdom) | 1,952 | 52,630 | ||||||
Ferguson PLC | 6,980 | 571,363 | ||||||
GMS, Inc.* | 96,300 | 2,368,017 | ||||||
ITOCHU Corp. (Japan) | 7,700 | 165,824 | ||||||
Marubeni Corp. (Japan) | 9,000 | 40,716 | ||||||
Mitsui & Co. Ltd. (Japan) | 9,200 | 136,003 | ||||||
MonotaRO Co. Ltd. (Japan) | 2,600 | 104,131 | ||||||
Toyota Tsusho Corp. (Japan) | 1,200 | 30,488 | ||||||
Univar Solutions, Inc.* | 95,600 | 1,611,816 | ||||||
W.W. Grainger, Inc. | 10,100 | 3,173,016 | ||||||
WESCO International, Inc.* | 43,100 | 1,513,241 | ||||||
|
| |||||||
12,697,009 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.0% |
| |||||||
Aena SME SA (Spain), 144A* | 369 | 49,446 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
KDDI Corp. (Japan) | 27,200 | 815,593 | ||||||
NTT DOCOMO, Inc. (Japan) | 15,700 | 417,845 | ||||||
Softbank Corp. (Japan) | 11,500 | 146,529 | ||||||
Vodafone Group PLC (United Kingdom) | 8,538 | 13,623 | ||||||
|
| |||||||
1,393,590 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,469,914,069 | ||||||
|
| |||||||
EXCHANGE-TRADED FUND — 0.0% |
| |||||||
iShares MSCI EAFE ETF | 6,088 | 370,576 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.0% |
| |||||||
Automobiles — 0.0% |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 320 | 15,536 | ||||||
Porsche Automobil Holding SE (Germany) (PRFC)* | 884 | 51,209 |
Shares | Value | |||||||
PREFERRED STOCKS (continued) |
| |||||||
Automobiles (cont’d.) |
| |||||||
Volkswagen AG (Germany) (PRFC)* | 1,042 | $ | 159,315 | |||||
|
| |||||||
226,060 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 7.130% | 22,000 | 583,000 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% |
| |||||||
Sartorius AG (Germany) (PRFC) | 40 | 13,240 | ||||||
|
| |||||||
Household Products — 0.0% |
| |||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 1,616 | 150,639 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 972,939 | ||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||||
ASSET-BACKED SECURITIES — 7.1% |
| |||||||||||
Automobiles — 2.0% |
| |||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||
Series 2018-01, Class C |
| |||||||||||
3.500% | 01/18/24 | 1,600 | 1,664,729 | |||||||||
Series 2019-01, Class B |
| |||||||||||
3.130% | 02/18/25 | 1,000 | 1,038,410 | |||||||||
Series 2019-01, Class C |
| |||||||||||
3.360% | 02/18/25 | 1,000 | 1,039,212 | |||||||||
Series 2019-02, Class C |
| |||||||||||
2.740% | 04/18/25 | 2,000 | 2,058,865 | |||||||||
Series 2019-03, Class C |
| |||||||||||
2.320% | 07/18/25 | 3,400 | 3,467,859 | |||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||
4.000% | 03/20/25 | 1,600 | 1,614,735 | |||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||
3.350% | 09/22/25 | 3,000 | 3,039,859 | |||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||
2.360% | 03/20/26 | 4,000 | 3,943,988 | |||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||
2.330% | 08/20/26 | 1,800 | 1,720,128 | |||||||||
Drive Auto Receivables Trust, |
| |||||||||||
Series 2019-03, Class B |
| |||||||||||
2.650% | 02/15/24 | 1,400 | 1,412,398 | |||||||||
Ford Auto Securitization Trust (Canada), |
| |||||||||||
Series 2019-BA, Class A2, 144A |
| |||||||||||
2.321% | 10/15/23 | CAD | 2,500 | 1,850,877 | ||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||
Series 2017-02, Class A, 144A |
| |||||||||||
2.360% | 03/15/29 | 2,500 | 2,572,521 | |||||||||
Series 2018-01, Class A, 144A |
| |||||||||||
3.190% | 07/15/31 | 3,800 | 4,069,101 | |||||||||
Series 2018-02, Class A, 144A |
| |||||||||||
3.470% | 01/15/30 | 3,000 | 3,174,849 | |||||||||
Series 2019-01, Class A, 144A |
| |||||||||||
3.520% | 07/15/30 | 5,900 | 6,311,626 | |||||||||
Series 2020-01, Class A, 144A |
| |||||||||||
2.040% | 08/15/31 | 3,600 | 3,658,042 |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Automobiles (cont’d.) |
| |||||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2017-03, Class A |
| |||||||||||||||
2.480% | 09/15/24 | 1,900 | $ | 1,921,588 | ||||||||||||
Series 2018-02, Class A |
| |||||||||||||||
3.170% | 03/15/25 | 13,350 | 13,736,903 | |||||||||||||
Series 2019-02, Class A |
| |||||||||||||||
3.060% | 04/15/26 | 1,500 | 1,569,186 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 500 | 527,599 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series 2019-02, Class A, 144A |
| |||||||||||||||
2.900% | 04/15/26 | 5,700 | 5,939,586 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2017-02A, Class B, 144A |
| |||||||||||||||
2.550% | 11/14/23 | 1,402 | 1,402,797 | |||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 5,200 | 5,274,112 | |||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 5,500 | 5,913,207 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2019-03, Class C |
| |||||||||||||||
2.490% | 10/15/25 | 1,900 | 1,920,169 | |||||||||||||
Toyota Auto Loan Extended Note Trust, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
2.560% | 11/25/31 | 2,400 | 2,554,431 | |||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
1.350% | 05/25/33 | 600 | 608,969 | |||||||||||||
|
| |||||||||||||||
84,005,746 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 3.2% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.488%(c) | 07/22/32 | 3,750 | 3,666,531 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.499%(c) | 07/15/29 | 500 | 491,508 | |||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
2.569%(c) | 10/15/28 | 4,500 | 4,450,597 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 07/15/29 | 1,500 | 1,477,191 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.955%(c) | 01/17/28 | 1,455 | 1,438,197 | |||||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 04/15/29 | 3,000 | 2,955,245 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.535%(c) | 10/18/26 | 156 | $ | 155,306 | ||||||||||||
CBAM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% (Cap N/A, Floor 1.360%) |
| |||||||||||||||
2.495%(c) | 10/20/32 | 5,800 | 5,691,593 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200% (Cap |
| |||||||||||||||
N/A, Floor 1.200%) |
| |||||||||||||||
2.335%(c) | 10/17/31 | 9,750 | 9,540,714 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.229%(c) | 04/15/31 | 2,000 | 1,943,371 | |||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.021%(c) | 04/26/31 | 4,000 | 3,868,447 | |||||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.541%(c) | 02/05/31 | 248 | 241,680 | |||||||||||||
HPS Loan Management Ltd. (Cayman Islands), |
| |||||||||||||||
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
3.122%(c) | 07/22/32 | 3,750 | 3,679,912 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) |
| |||||||||||||||
2.275%(c) | 10/19/28 | 10,000 | 9,849,053 | |||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.323%(c) | 10/23/29 | 1,250 | 1,228,524 | |||||||||||||
Jamestown CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
2.605%(c) | 04/20/32 | 5,750 | 5,647,386 | |||||||||||||
Jefferson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.310%(c) | 10/20/31 | 6,750 | 6,573,129 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
| |||||||||||||||
2.229%(c) | 04/21/31 | 2,391 | 2,326,924 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
2.535%(c) | 04/17/30 | 2,750 | 2,682,384 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.479%(c) | 07/15/30 | 1,250 | 1,237,667 | |||||||||||||
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
2.465%(c) | 07/20/32 | 10,000 | 9,831,762 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
2.415%(c) | 10/20/31 | 7,449 | $ | 7,243,690 | ||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.010%(c) | 10/30/30 | 1,491 | 1,449,389 | |||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.525%(c) | 07/20/32 | 3,750 | 3,646,911 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) |
| |||||||||||||||
2.265%(c) | 01/17/31 | 1,500 | 1,468,416 | |||||||||||||
Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.276%(c) | 07/16/31 | 2,350 | 2,291,048 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
2.415%(c) | 10/20/31 | 8,750 | 8,643,530 | |||||||||||||
Romark CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%) |
| |||||||||||||||
2.166%(c) | 07/25/31 | 1,000 | 972,887 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
2.435%(c) | 07/17/26 | 788 | 785,948 | |||||||||||||
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.375%(c) | 01/17/30 | 2,489 | 2,452,117 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%) |
| |||||||||||||||
1.975%(c) | 04/20/28 | 4,000 | 3,959,902 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) |
| |||||||||||||||
2.595%(c) | 07/20/32 | 3,000 | 2,966,096 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.201%(c) | 01/25/31 | 2,500 | 2,437,553 | |||||||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.099%(c) | 07/15/27 | 874 | 866,419 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
2.285%(c) | 01/17/31 | 2,750 | 2,676,214 | |||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
2.235%(c) | 07/17/31 | 3,500 | 3,404,814 | |||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
2.335%(c) | 10/20/31 | 5,750 | 5,550,947 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.589%(c) | 07/15/29 | 1,734 | $ | 1,704,327 | ||||||||||||
|
| |||||||||||||||
131,497,329 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.1% |
| |||||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.985%(c) | 09/14/32 | 1,706 | 1,700,772 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 1,600 | 1,606,196 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 1,100 | 1,099,153 | |||||||||||||
|
| |||||||||||||||
4,406,121 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.2% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2017-B, Class A5, 144A |
| |||||||||||||||
2.720% | 06/15/40 | 2,800 | 2,952,969 | |||||||||||||
Series 2018-A, Class A5, 144A |
| |||||||||||||||
3.610% | 03/10/42 | 800 | 862,131 | |||||||||||||
Series 2019-A, Class A5, 144A |
| |||||||||||||||
3.080% | 11/12/41 | 2,500 | 2,692,071 | |||||||||||||
Series 2019-B, Class A5, 144A |
| |||||||||||||||
2.290% | 11/12/41 | 2,400 | 2,541,240 | |||||||||||||
|
| |||||||||||||||
9,048,411 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.1% |
| |||||||||||||||
CDC Mortgage Capital Trust, |
| |||||||||||||||
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
1.835%(c) | 03/25/33 | 53 | 53,352 | |||||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||||
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
| |||||||||||||||
1.085%(c) | 07/25/32 | 20 | 20,229 | |||||||||||||
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275% (Cap N/A, Floor 0.850%) |
| |||||||||||||||
1.460%(c) | 09/25/32 | 1,766 | 1,727,616 | |||||||||||||
|
| |||||||||||||||
1,801,197 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% | ||||||||||||||||
Sierra Timeshare Receivables Funding LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
3.500% | 06/20/35 | 1,094 | 1,112,149 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
2.590% | 05/20/36 | 1,924 | 1,923,550 | |||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||||
2.985%(c) | 06/25/24 | 3,250 | 3,048,310 | |||||||||||||
|
| |||||||||||||||
6,084,009 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.4% |
| |||||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 1,129 | $ | 1,155,755 | ||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 745 | 753,766 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 1,338 | 1,335,152 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 431 | 433,590 | |||||||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-02, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.530%) |
| |||||||||||||||
0.980%(c) | 06/25/34 | 158 | 151,284 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 01/25/61 | 1,526 | 1,561,309 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 04/16/23 | EUR | 2,599 | 2,708,136 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 3,629 | 3,736,150 | |||||||||||||
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.785%(c) | 02/25/57 | 2,523 | 2,500,756 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 2,516 | 2,606,477 | |||||||||||||
Series 2018-02, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 03/25/58 | 246 | 258,654 | |||||||||||||
Series 2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 145 | 155,876 | |||||||||||||
Series 2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 553 | 586,667 | |||||||||||||
|
| |||||||||||||||
17,943,572 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.9% |
| |||||||||||||||
Commonbond Student Loan Trust, |
| |||||||||||||||
Series 2017-BGS, Class A1, 144A |
| |||||||||||||||
2.680% | 09/25/42 | 1,742 | 1,770,868 | |||||||||||||
Series 2018-AGS, Class A1, 144A |
| |||||||||||||||
3.210% | 02/25/44 | 1,342 | 1,379,738 | |||||||||||||
Series 2018-CGS, Class A1, 144A |
| |||||||||||||||
3.870% | 02/25/46 | 511 | 531,229 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2017-C, Class A2B, 144A |
| |||||||||||||||
2.810% | 11/25/42 | 1,195 | 1,223,385 | |||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.540% | 05/26/43 | 2,146 | 2,172,252 | |||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
2.730% | 10/25/48 | 1,400 | 1,442,153 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-A, Class A2, 144A |
| |||||||||||||||
3.190% | 02/18/42 | 4,527 | 4,632,879 | |||||||||||||
Series 2018-CA, Class A2, 144A |
| |||||||||||||||
3.520% | 06/16/42 | 1,700 | 1,754,262 | |||||||||||||
Series 2019-CA, Class A2, 144A |
| |||||||||||||||
3.130% | 02/15/68 | 2,100 | 2,166,565 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (cont’d.) |
| |||||||||||||||
Series 2019-EA, Class A2A, 144A |
| |||||||||||||||
2.640% | 05/15/68 | 2,100 | $ | 2,145,829 | ||||||||||||
Series 2020-BA, Class A2, 144A |
| |||||||||||||||
2.120% | 01/15/69 | 1,600 | 1,625,247 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
3.690% | 06/15/48 | 3,800 | 3,983,523 | |||||||||||||
Series 2019-B, Class A2FX, 144A |
| |||||||||||||||
3.090% | 08/17/48 | 2,100 | 2,181,764 | |||||||||||||
Series 2019-C, Class A2FX, 144A |
| |||||||||||||||
2.370% | 11/16/48 | 2,500 | 2,552,114 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2018-B, Class A2FX, 144A |
| |||||||||||||||
3.340% | 08/25/47 | 3,100 | 3,205,419 | |||||||||||||
Series 2020-A, Class A2FX, 144A |
| |||||||||||||||
2.540% | 05/15/46 | 2,400 | 2,486,892 | |||||||||||||
|
| |||||||||||||||
35,254,119 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 290,040,504 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.2% |
| |||||||||||||||
Assurant Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-01A, Class AS, 144A |
| |||||||||||||||
3.172% | 05/15/49 | 4,000 | 4,102,368 | |||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK04, Class A3 |
| |||||||||||||||
3.362% | 05/15/50 | 6,500 | 7,193,391 | |||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2018-C02, Class A4 |
| |||||||||||||||
4.047% | 12/15/51 | 5,400 | 6,259,188 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B03, Class A4 |
| |||||||||||||||
3.761% | 04/10/51 | 5,000 | 5,710,869 | |||||||||||||
Series 2018-B08, Class A4 |
| |||||||||||||||
3.963% | 01/15/52 | 6,700 | 7,790,383 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 1,282 | 1,365,940 | |||||||||||||
Series 2014-GC23, Class A3 |
| |||||||||||||||
3.356% | 07/10/47 | 2,193 | 2,333,728 | |||||||||||||
Series 2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 5,000 | 5,340,517 | |||||||||||||
Series 2016-GC37, Class A3 |
| |||||||||||||||
3.050% | 04/10/49 | 6,500 | 6,825,769 | |||||||||||||
Series 2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 5,500 | 6,061,092 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A2 |
| |||||||||||||||
2.928% | 02/10/47 | 797 | 798,899 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 2,783 | 2,978,319 | |||||||||||||
Series 2014-CR20, Class A3 |
| |||||||||||||||
3.326% | 11/10/47 | 5,000 | 5,302,559 | |||||||||||||
Series 2015-CR27, Class A3 |
| |||||||||||||||
3.349% | 10/10/48 | 6,100 | 6,636,729 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 3,000 | $ | 3,259,645 | ||||||||||||
Series 2017-C08, Class A3 |
| |||||||||||||||
3.127% | 06/15/50 | 5,300 | 5,728,531 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2015-M17, Class A2 |
| |||||||||||||||
3.015%(cc) | 11/25/25 | 3,792 | 4,144,912 | |||||||||||||
Series 2017-M01, Class A2 |
| |||||||||||||||
2.497%(cc) | 10/25/26 | 2,200 | 2,372,735 | |||||||||||||
Series 2017-M04, Class A2 |
| |||||||||||||||
2.670%(cc) | 12/25/26 | 11,800 | 12,880,377 | |||||||||||||
Series 2017-M08, Class A2 |
| |||||||||||||||
3.061%(cc) | 05/25/27 | 8,250 | 9,221,369 | |||||||||||||
Series 2018-M04, Class A2 |
| |||||||||||||||
3.147%(cc) | 03/25/28 | 4,325 | 4,879,439 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 05/25/22 | 22,023 | 466,080 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.548%(cc) | 06/25/22 | 6,353 | 139,930 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 03/25/26 | 13,671 | 903,500 | |||||||||||||
Series K057, Class AM |
| |||||||||||||||
2.624% | 08/25/26 | 7,230 | 7,868,487 | |||||||||||||
Series K064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 5,900 | 6,706,372 | |||||||||||||
Series K068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 5,600 | 6,419,965 | |||||||||||||
Series K069, Class A2 |
| |||||||||||||||
3.187%(cc) | 09/25/27 | 4,900 | 5,603,499 | |||||||||||||
Series K069, Class AM |
| |||||||||||||||
3.248%(cc) | 09/25/27 | 1,050 | 1,194,755 | |||||||||||||
Series K070, Class A2 |
| |||||||||||||||
3.303%(cc) | 11/25/27 | 7,250 | 8,357,406 | |||||||||||||
Series K070, Class AM |
| |||||||||||||||
3.364% | 12/25/27 | 1,525 | 1,760,767 | |||||||||||||
Series K072, Class A2 |
| |||||||||||||||
3.444% | 12/25/27 | 2,000 | 2,327,730 | |||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 3,575 | 4,185,936 | |||||||||||||
Series K076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 2,575 | 3,069,548 | |||||||||||||
Series K077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 4,800 | 5,722,777 | |||||||||||||
Series K077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 950 | 1,131,971 | |||||||||||||
Series K080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 7,050 | 8,434,467 | |||||||||||||
Series K081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 3,500 | 4,172,661 | |||||||||||||
Series K086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 1,300 | 1,568,832 | |||||||||||||
Series K087, Class AM |
| |||||||||||||||
3.832%(cc) | 12/25/28 | 1,350 | 1,614,773 | |||||||||||||
Series K157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 4,200 | 5,195,990 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 2,260 | $ | 2,567,327 | ||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC28, Class A4 |
| |||||||||||||||
3.136% | 02/10/48 | 4,000 | 4,251,579 | |||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 5,800 | 6,303,687 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 5,800 | 6,050,520 | |||||||||||||
Series 2016-GS04, Class A3 |
| |||||||||||||||
3.178% | 11/10/49 | 5,500 | 5,976,351 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C25, Class A4A1 |
| |||||||||||||||
3.408% | 11/15/47 | 890 | 952,808 | |||||||||||||
Series 2015-C27, Class A3A1 |
| |||||||||||||||
2.920% | 02/15/48 | 5,809 | 6,131,228 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 634 | 652,284 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 1,351 | 1,386,821 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 10,400 | 10,941,881 | |||||||||||||
Series 2018-H04, Class A3 |
| |||||||||||||||
4.043% | 12/15/51 | 1,900 | 2,212,834 | |||||||||||||
Series 2019-H07, Class A2 |
| |||||||||||||||
2.492% | 07/15/52 | 13,500 | 14,030,708 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C02, Class ASB |
| |||||||||||||||
3.264% | 08/15/50 | 3,500 | 3,759,592 | |||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 6,750 | 7,315,261 | |||||||||||||
Series 2018-C09, Class A3 |
| |||||||||||||||
3.854% | 03/15/51 | 2,500 | 2,802,158 | |||||||||||||
Series 2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 4,100 | 4,716,174 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A4 |
| |||||||||||||||
2.792% | 12/10/45 | 1,700 | 1,732,188 | |||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 1,179 | 1,204,950 | |||||||||||||
Series 2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 1,798 | 1,850,901 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||||||
2.642% | 11/15/49 | 8,000 | 8,384,466 | |||||||||||||
Series 2017-C38, Class A4 |
| |||||||||||||||
3.190% | 07/15/50 | 4,600 | 5,051,493 | |||||||||||||
Series 2018-C48, Class A4 |
| |||||||||||||||
4.037% | 01/15/52 | 7,000 | 8,093,737 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 294,401,153 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS — 9.7% |
| |||||||||||||||
Aerospace & Defense — 0.1% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/01/50 | (a) | 2,130 | $ | 1,932,785 | |||||||||||
Embraer Netherlands Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.050% | 06/15/25 | 906 | 804,201 | |||||||||||||
Embraer Overseas Ltd. (Brazil), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.696% | 09/16/23 | 950 | 906,193 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 1,270 | 1,495,897 | |||||||||||||
|
| |||||||||||||||
5,139,076 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.1% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 3,740 | 3,997,143 | |||||||||||||
Vector Group Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/01/25 | 1,450 | 1,392,377 | |||||||||||||
|
| |||||||||||||||
5,389,520 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.1% |
| |||||||||||||||
American Airlines 2015-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.375% | 11/01/28 | 2,453 | 2,052,334 | |||||||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 348 | 343,467 | |||||||||||||
Continental Airlines 2012-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 04/29/26 | 476 | 433,819 | |||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 206 | 202,122 | |||||||||||||
|
| |||||||||||||||
3,031,742 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.5% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
1.721%(c) | 04/12/21 | 495 | 493,062 | |||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.350% | 05/04/21 | 2,010 | 2,046,552 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.291% | 12/08/46 | 1,220 | 1,005,284 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.336% | 03/18/21 | 680 | 673,199 | |||||||||||||
3.350% | 11/01/22 | 4,205 | 4,039,511 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/02/43 | 980 | 1,030,909 | |||||||||||||
6.600% | 04/01/36 | 760 | 818,307 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Manufacturers (cont’d.) |
| |||||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.170%(c) | 04/09/21 | 1,060 | $ | 1,050,829 | ||||||||||||
Gtd. Notes |
| |||||||||||||||
3.550% | 04/09/21 | 805 | 814,624 | |||||||||||||
3.950% | 04/13/24 | 2,800 | 2,891,914 | |||||||||||||
Harley-Davidson Financial Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.850% | 01/15/21 | 4,705 | 4,728,854 | |||||||||||||
|
| |||||||||||||||
19,593,045 | ||||||||||||||||
|
| |||||||||||||||
Banks — 3.0% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.431%(c) | 04/12/23 | 800 | 789,010 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 1,000 | 1,063,327 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | —(rr) | 445 | 492,482 | |||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | —(rr) | 1,665 | 1,645,057 | |||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | —(rr) | 940 | 840,208 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.824%(ff) | 01/20/28 | 955 | 1,078,818 | |||||||||||||
4.125% | 01/22/24 | 4,830 | 5,348,562 | |||||||||||||
4.271%(ff) | 07/23/29 | 510 | 600,097 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 2,000 | 2,211,696 | |||||||||||||
4.450% | 03/03/26 | 8,455 | 9,712,211 | |||||||||||||
Bank of America NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
6.000% | 10/15/36 | 410 | 581,482 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 850 | 920,687 | |||||||||||||
3.684% | 01/10/23 | 585 | 606,695 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | (a) | 3,825 | 4,482,012 | ||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.219%(ff) | 06/09/26 | 2,330 | 2,381,360 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | —(rr) | 2,205 | 2,081,621 | |||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | —(rr) | 1,375 | 1,344,238 | |||||||||||||
Jr. Sub. Notes, Series T |
| |||||||||||||||
6.250%(ff) | —(rr) | 625 | 663,406 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 10/21/26 | 1,870 | 2,050,543 | |||||||||||||
3.700% | 01/12/26 | 6,180 | 6,905,435 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 5,965 | 6,788,452 | |||||||||||||
4.750% | 05/18/46 | (a) | 820 | 1,037,161 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.193%(ff) | 06/05/26 | 1,560 | $ | 1,580,340 | ||||||||||||
4.282% | 01/09/28 | 1,370 | 1,532,389 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 1,640 | 1,661,550 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 2,400 | 2,513,322 | |||||||||||||
Discover Bank, | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 03/13/26 | 970 | 1,092,467 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.370%(c) | —(rr) | 2,215 | 2,026,284 | |||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | —(rr) | 740 | 748,113 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 01/23/25 | 4,100 | 4,471,767 | |||||||||||||
3.750% | 02/25/26 | 1,010 | 1,130,115 | |||||||||||||
3.814%(ff) | 04/23/29 | 540 | 609,980 | |||||||||||||
3.850% | 01/26/27 | 2,910 | 3,271,953 | |||||||||||||
Sub. Notes |
| |||||||||||||||
6.750% | 10/01/37 | 104 | 150,514 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 2.240% |
| |||||||||||||||
2.558%(c) | 03/08/21 | 1,025 | 1,038,130 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | —(rr) | 290 | 258,462 | |||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
4.230%(c) | —(rr) | 978 | 894,608 | |||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | —(rr) | 1,045 | 913,106 | |||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | —(rr) | 1,275 | 1,306,727 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.782%(ff) | 02/01/28 | 695 | 785,900 | |||||||||||||
3.964%(ff) | 11/15/48 | 3,250 | 3,917,154 | |||||||||||||
4.005%(ff) | 04/23/29 | 2,170 | 2,506,907 | |||||||||||||
4.452%(ff) | 12/05/29 | 3,350 | 4,015,302 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 09/10/24 | 3,775 | 4,179,619 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
4.829%(c) | —(rr) | 840 | 745,588 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | (a) | 1,045 | 1,349,286 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.750% | 02/25/23 | 950 | 1,024,862 | |||||||||||||
3.772%(ff) | 01/24/29 | 8,775 | 9,986,157 | |||||||||||||
3.875% | 01/27/26 | 675 | 766,463 | |||||||||||||
4.431%(ff) | 01/23/30 | 515 | 613,403 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.591%(ff) | 07/22/28 | (a) | 1,255 | 1,410,763 | ||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 3,825 | 4,404,302 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
State Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/24/24 | 1,925 | $ | 2,042,587 | ||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 4,175 | 4,364,167 | |||||||||||||
|
| |||||||||||||||
120,936,847 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 02/01/46 | 620 | 752,033 | |||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.550% | 01/23/49 | 450 | 601,697 | |||||||||||||
8.000% | 11/15/39 | 1,285 | 2,017,069 | |||||||||||||
8.200% | 01/15/39 | 250 | 400,185 | |||||||||||||
Constellation Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 05/01/23 | 1,400 | 1,533,220 | |||||||||||||
|
| |||||||||||||||
5,304,204 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.0% |
| |||||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | (a) | 700 | 709,687 | ||||||||||||
|
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
Braskem Netherlands Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 01/31/50 | 485 | 421,016 | |||||||||||||
Celanese US Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 06/15/21 | 1,500 | 1,564,911 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 03/15/44 | 1,015 | 1,098,707 | |||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 07/19/22 | 3,680 | 3,773,553 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 11/15/41 | 45 | 54,015 | |||||||||||||
9.400% | 05/15/39 | 347 | 576,075 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 1,300 | 1,209,644 | |||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 10/01/22 | 780 | 813,944 | |||||||||||||
Orbia Advance Corp. SAB de CV (Mexico), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 09/19/22 | (a) | 2,000 | 2,101,103 | ||||||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 700 | 630,797 | |||||||||||||
6.500% | 09/27/28 | 670 | 592,212 |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (cont’d.) |
| |||||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 06/01/25 | 460 | $ | 552,046 | ||||||||||||
|
| |||||||||||||||
13,388,023 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.200% | 11/01/46 | 975 | 941,631 | |||||||||||||
6.700% | 06/01/34 | 420 | 537,153 | |||||||||||||
7.000% | 10/15/37 | (a) | 380 | 487,168 | ||||||||||||
Massachusetts Institute of Technology, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.885% | 07/01/2116 | 1,500 | 1,865,288 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | 1,190 | 1,219,353 | |||||||||||||
5.250% | 01/15/30 | (a) | 385 | 397,988 | ||||||||||||
5.875% | 09/15/26 | 135 | 141,416 | |||||||||||||
|
| |||||||||||||||
5,589,997 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.1% |
| |||||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 07/24/24 | 480 | 528,624 | |||||||||||||
Discover Financial Services, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 11/21/22 | 900 | 953,804 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 560 | 641,833 | |||||||||||||
Lehman Brothers Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.250% | 02/06/12 | (d) | 1,715 | 19,208 | ||||||||||||
6.875% | 05/02/18 | (d) | 700 | 8,050 | ||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.650% | 02/16/21 | 1,915 | 1,944,407 | |||||||||||||
U.S. Gov’t. Gtd. Notes, Series GG |
| |||||||||||||||
2.450% | 07/15/24 | 475 | 509,183 | |||||||||||||
U.S. Gov’t. Gtd. Notes, Series NN |
| |||||||||||||||
3.250% | 06/15/25 | 330 | 370,163 | |||||||||||||
|
| |||||||||||||||
4,975,272 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.1% |
| |||||||||||||||
Avista Corp., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.350% | 06/01/48 | 1,160 | 1,440,700 | |||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.350% | 10/01/36 | 550 | 775,320 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.950% | 05/15/37 | (a) | 305 | 431,532 | ||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage, Series K2 |
| |||||||||||||||
6.950% | 03/15/33 | 590 | 883,541 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Commonwealth Edison Co., |
| |||||||||||||||
First Mortgage, Series 123 |
| |||||||||||||||
3.750% | 08/15/47 | 1,610 | $ | 1,908,942 | ||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series 09-C |
| |||||||||||||||
5.500% | 12/01/39 | 220 | 297,769 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
4.104% | 04/01/21 | 3,210 | 3,284,722 | |||||||||||||
DTE Electric Co., |
| |||||||||||||||
General Ref. Mortgage, Series A |
| |||||||||||||||
4.050% | 05/15/48 | 1,490 | 1,846,124 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
6.050% | 04/15/38 | 550 | 805,760 | |||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 09/30/42 | 570 | 687,517 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/35 | 670 | 872,914 | |||||||||||||
Enel Finance International NV (Italy), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 09/14/25 | 2,245 | 2,558,311 | |||||||||||||
Engie Energia Chile SA (Chile), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 01/28/30 | 400 | 416,511 | |||||||||||||
Exelon Corp., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
3.497% | 06/01/22 | 3,470 | 3,622,169 | |||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/01/39 | 1,425 | 1,702,962 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 355 | 454,517 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
5.950% | 10/01/33 | 295 | 420,697 | |||||||||||||
Iberdrola International BV (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 09/15/33 | 145 | 199,310 | |||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 05/15/28 | 2,910 | 3,294,390 | |||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 470 | 531,640 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 2,170 | 2,398,827 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.600% | 09/15/47 | 1,580 | 1,856,862 | |||||||||||||
PECO Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.800% | 06/15/50 | 1,110 | 1,143,760 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/15/47 | 1,360 | $ | 1,464,091 | ||||||||||||
5.000% | 03/15/44 | 695 | 832,881 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/15/21 | 1,760 | 1,796,126 | |||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, MTN |
| |||||||||||||||
3.000% | 05/15/27 | 1,130 | 1,240,529 | |||||||||||||
3.700% | 05/01/28 | 1,280 | 1,480,903 | |||||||||||||
Sr. Sec’d. Notes, MTN |
| |||||||||||||||
5.800% | 05/01/37 | 535 | 760,555 | |||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | 1,400 | 1,711,041 | |||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 580 | 662,324 | |||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 860 | 931,566 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 725 | 735,311 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.550% | 07/15/24 | 2,135 | 2,208,302 | |||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/41 | 480 | 582,912 | |||||||||||||
|
| |||||||||||||||
46,241,338 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
FLIR Systems, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 06/15/21 | 900 | 914,352 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
AECOM, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | (a) | 1,050 | 1,127,925 | ||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/30/28 | 700 | 638,787 | |||||||||||||
5.500% | 07/31/47 | 800 | 705,636 | |||||||||||||
|
| |||||||||||||||
2,472,348 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.1% |
| |||||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 10/01/49 | 1,290 | 1,335,557 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/49 | 1,720 | 2,145,116 | |||||||||||||
|
| |||||||||||||||
3,480,673 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/41 | 1,595 | $ | 2,078,942 | ||||||||||||
|
| |||||||||||||||
Gas — 0.1% |
| |||||||||||||||
Dominion Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 12/15/44 | 65 | 74,875 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.490% | 05/15/27 | 3,285 | 3,707,685 | |||||||||||||
|
| |||||||||||||||
3,782,560 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.1% |
| |||||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 1,635 | 1,746,441 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 300 | 366,916 | ||||||||||||
2.250% | 03/07/39 | EUR | 400 | 504,384 | ||||||||||||
|
| |||||||||||||||
2,617,741 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.2% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 06/15/36 | 515 | 725,726 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 05/15/42 | 390 | 487,398 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 640 | 640,287 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 02/01/25 | 555 | 597,202 | |||||||||||||
5.875% | 02/01/29 | (a) | 525 | 593,528 | ||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 940 | 1,227,916 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 190 | 197,071 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 12/01/23 | 1,075 | 1,069,046 | |||||||||||||
New York and Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.024% | 08/01/45 | 445 | 546,617 | |||||||||||||
Providence St. Joseph Health Obligated Group, |
| |||||||||||||||
Unsec’d. Notes, Series 19A |
| |||||||||||||||
2.532% | 10/01/29 | 765 | 798,617 | |||||||||||||
|
| |||||||||||||||
6,883,408 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 525 | 545,202 |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Home Builders (cont’d.) |
| |||||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 03/01/24 | 800 | $ | 826,661 | ||||||||||||
|
| |||||||||||||||
1,371,863 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.1% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 04/01/26 | (a) | 1,695 | 1,777,709 | ||||||||||||
|
| |||||||||||||||
Insurance — 0.2% |
| |||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 1,215 | 1,282,021 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 772 | 1,025,113 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 09/17/50 | 410 | 454,890 | |||||||||||||
5.000% | 03/30/43 | 200 | 230,321 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
6.750% | 11/15/39 | 660 | 1,000,863 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 130 | 159,654 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 1,450 | 1,731,114 | |||||||||||||
6.850% | 12/16/39 | 124 | 188,954 | |||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/15/20 | 350 | 352,699 | |||||||||||||
|
| |||||||||||||||
6,425,629 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.0% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | 980 | 984,540 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,260 | 1,325,528 | |||||||||||||
|
| |||||||||||||||
Media — 0.3% |
| |||||||||||||||
AMC Networks, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 04/01/24 | 600 | 595,344 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | 1,260 | 1,433,723 | |||||||||||||
5.375% | 04/01/38 | 1,950 | 2,366,056 | |||||||||||||
6.384% | 10/23/35 | 875 | 1,154,601 | |||||||||||||
6.484% | 10/23/45 | 1,386 | 1,850,893 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (cont’d.) |
| |||||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/15/24 | 330 | $ | 366,049 | ||||||||||||
6.400% | 05/15/38 | 530 | 786,742 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | 360 | 434,835 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/44 | 1,450 | 1,620,081 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 1,040 | 1,074,872 | |||||||||||||
|
| |||||||||||||||
11,683,196 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.0% |
| |||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250%(ff) | 10/19/75 | 425 | 428,401 | |||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 425 | 576,536 | |||||||||||||
|
| |||||||||||||||
1,004,937 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.0% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 1,200 | 1,238,348 | |||||||||||||
|
| |||||||||||||||
Multi-National — 0.1% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 905 | 911,050 | |||||||||||||
2.750% | 01/06/23 | 315 | 329,662 | |||||||||||||
North American Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/26/22 | 289 | 298,759 | |||||||||||||
|
| |||||||||||||||
1,539,471 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.6% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | 1,400 | 831,164 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 1,200 | 1,032,377 | |||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/30/29 | (a) | 1,950 | 2,072,865 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 210 | 236,238 | |||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 300 | 293,085 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 350 | 369,263 |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
6.510% | 03/07/22 | 580 | $ | 621,999 | ||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,995 | 2,145,166 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 550 | 591,581 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.050% | 11/15/44 | 835 | 759,157 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 2,000 | 848,148 | |||||||||||||
4.850% | 03/15/21 | 575 | 575,230 | |||||||||||||
6.450% | 09/15/36 | 1,155 | 995,076 | |||||||||||||
Ovintiv, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 08/15/34 | 370 | 330,080 | |||||||||||||
6.500% | 02/01/38 | 275 | 233,059 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 02/01/29 | 840 | 862,994 | |||||||||||||
6.900% | 03/19/49 | 1,000 | 1,053,169 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.093% | 01/15/30 | 797 | 793,554 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 01/21/21 | (a) | 330 | 330,814 | ||||||||||||
6.350% | 02/12/48 | 1,536 | 1,140,287 | |||||||||||||
6.500% | 03/13/27 | 330 | 301,039 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.490% | 01/23/27 | 471 | 429,725 | |||||||||||||
7.690% | 01/23/50 | 2,146 | 1,778,024 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 2,265 | 1,743,067 | |||||||||||||
6.875% | 08/04/26 | 670 | 633,189 | |||||||||||||
Sinopec Group Overseas Development 2018 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.680% | 08/08/49 | 1,445 | 1,635,500 | |||||||||||||
|
| |||||||||||||||
22,635,850 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.0% |
| |||||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 12/21/25 | 183 | 200,943 | |||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 800 | 849,021 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.9% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,175 | 1,299,080 | |||||||||||||
4.500% | 05/14/35 | 1,910 | 2,305,586 | |||||||||||||
4.700% | 05/14/45 | 1,460 | 1,819,433 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.250% | 11/21/49 | 2,515 | 3,040,469 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
4.550% | 03/15/35 | 2,190 | $ | 2,651,904 | ||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.630% |
| |||||||||||||||
0.927%(c) | 06/25/21 | 1,115 | 1,115,284 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/25/21 | 500 | 512,453 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 474 | 521,456 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 06/15/39 | (a) | 410 | 521,103 | ||||||||||||
4.250% | 10/26/49 | 1,115 | 1,468,399 | |||||||||||||
4.550% | 02/20/48 | 1,200 | 1,620,741 | |||||||||||||
5.000% | 08/15/45 | 645 | 898,123 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 10/15/28 | 9,285 | 10,984,683 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.780% | 03/25/38 | 310 | 383,255 | |||||||||||||
5.050% | 03/25/48 | 3,685 | 4,812,327 | |||||||||||||
5.125% | 07/20/45 | 610 | 787,032 | |||||||||||||
5.300% | 12/05/43 | 250 | 325,607 | |||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 1,375 | 1,695,397 | |||||||||||||
Upjohn, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | 1,380 | 1,480,180 | |||||||||||||
Wyeth LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.450% | 02/01/24 | 60 | 72,123 | |||||||||||||
|
| |||||||||||||||
38,314,635 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.5% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.650% | 06/01/21 | 675 | 689,093 | |||||||||||||
4.950% | 06/15/28 | 1,115 | 1,200,082 | |||||||||||||
5.000% | 05/15/50 | 1,435 | 1,360,812 | |||||||||||||
6.125% | 12/15/45 | 180 | 189,183 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 02/15/25 | 1,345 | 1,490,878 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | 1,430 | 1,533,719 | |||||||||||||
4.000% | 03/15/28 | 1,980 | 2,096,873 | |||||||||||||
4.875% | 06/01/25 | 3,250 | 3,626,938 | |||||||||||||
5.200% | 03/01/47 | 40 | 42,694 | |||||||||||||
5.500% | 02/15/49 | (a) | 395 | 437,551 | ||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.650% | 10/01/36 | 145 | 162,334 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 03/15/30 | 5,205 | $ | 4,981,275 | ||||||||||||
4.500% | 03/15/50 | 295 | 274,590 | |||||||||||||
4.950% | 07/13/47 | 935 | 902,318 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.300% | 03/01/48 | 125 | 101,467 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.850% | 03/01/48 | (a) | 315 | 343,892 | ||||||||||||
4.900% | 01/15/45 | 1,000 | 1,064,706 | |||||||||||||
5.100% | 09/15/45 | 500 | 546,708 | |||||||||||||
|
| |||||||||||||||
21,045,113 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/26 | 1,050 | 1,147,392 | |||||||||||||
|
| |||||||||||||||
Retail — 0.2% |
| |||||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | 4,705 | 5,291,895 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 10/15/23 | (a) | 750 | 709,330 | ||||||||||||
Macy’s Retail Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 01/15/22 | 201 | 180,097 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 1,375 | 1,335,380 | ||||||||||||
|
| |||||||||||||||
7,516,702 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.0% |
| |||||||||||||||
People’s United Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 12/06/22 | 1,455 | 1,513,517 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 0.0% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 1,052 | 1,129,286 | |||||||||||||
|
| |||||||||||||||
Software — 0.0% |
| |||||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525% | 06/01/50 | 1,425 | 1,473,869 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 0.5% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/15/25 | 1,840 | 2,019,308 | |||||||||||||
3.600% | 07/15/25 | 275 | 305,100 | |||||||||||||
3.800% | 02/15/27 | 1,065 | 1,195,606 | |||||||||||||
4.300% | 02/15/30 | 615 | 719,036 | |||||||||||||
4.550% | 03/09/49 | 139 | 163,847 | |||||||||||||
4.850% | 03/01/39 | 6,690 | 8,118,456 | |||||||||||||
5.250% | 03/01/37 | 65 | 80,534 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (cont’d.) |
| |||||||||||||||
5.350% | 09/01/40 | 82 | $ | 103,082 | ||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/27 | (a) | 1,150 | 1,114,632 | ||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 300 | 317,362 | |||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 625 | 633,530 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.016% | 12/03/29 | 1,900 | 2,268,516 | |||||||||||||
4.125% | 08/15/46 | 725 | 898,668 | |||||||||||||
4.500% | 08/10/33 | 1,205 | 1,509,659 | |||||||||||||
4.862% | 08/21/46 | 860 | 1,165,628 | |||||||||||||
|
| |||||||||||||||
20,612,964 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 08/01/28 | 670 | 926,076 | |||||||||||||
CSX Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.150% | 05/01/37 | 715 | 1,001,160 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.590% | 05/17/25 | 100 | 118,906 | |||||||||||||
|
| |||||||||||||||
2,046,142 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 398,365,430 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.5% |
| |||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, Series B |
| |||||||||||||||
4.263% | 09/15/32 | 240 | 285,571 | |||||||||||||
|
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series F2 |
| |||||||||||||||
6.263% | 04/01/49 | 1,325 | 2,285,413 | |||||||||||||
Taxable, Revenue Bonds |
| |||||||||||||||
2.574% | 04/01/31 | 1,210 | 1,302,649 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.300% | 10/01/39 | 1,270 | 2,107,146 | |||||||||||||
General Obligation Unlimited, Taxable, BABs |
| |||||||||||||||
7.500% | 04/01/34 | 475 | 771,452 | |||||||||||||
7.625% | 03/01/40 | 215 | 373,668 | |||||||||||||
7.550% | 04/01/39 | 245 | 434,400 | |||||||||||||
|
| |||||||||||||||
7,274,728 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 680 | $ | 1,130,283 | ||||||||||||
|
| |||||||||||||||
Illinois — 0.1% |
| |||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.395% | 01/01/40 | 1,030 | 1,533,855 | |||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||||||
5.000% | 11/01/22 | 3,190 | 3,345,321 | |||||||||||||
General Obligation Unlimited, Taxable, Pension |
| |||||||||||||||
5.100% | 06/01/33 | 325 | 329,794 | |||||||||||||
|
| |||||||||||||||
5,208,970 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 1,070 | 1,818,123 | |||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,130 | 1,480,232 | |||||||||||||
|
| |||||||||||||||
Ohio — 0.0% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 455 | 650,054 | |||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series B2 |
| |||||||||||||||
4.879% | 12/01/34 | 300 | 350,460 | |||||||||||||
|
| |||||||||||||||
1,000,514 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 445 | 646,959 | |||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 550 | 848,964 | |||||||||||||
|
| |||||||||||||||
Virginia — 0.0% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Taxable, Revenue Bonds, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 495 | 669,903 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 20,364,247 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.8% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2004-18CB, Class 3A1 |
| |||||||||||||||
5.250% | 09/25/20 | 16 | 15,712 | |||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series 2015-R04, Class 4A1, 144A |
| |||||||||||||||
3.500%(cc) | 01/27/30 | 127 | 125,619 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series 2005-A, Class 2A1 |
| |||||||||||||||
3.709%(cc) | 02/25/35 | 249 | 241,503 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.535%(c) | 08/25/28 | 148 | $ | 147,167 | ||||||||||||
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 08/25/28 | 300 | 272,129 | |||||||||||||
Series 2019-03A, Class M1A, 144A, 1 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
1.285%(c) | 07/25/29 | 404 | 402,227 | |||||||||||||
Series 2019-03A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%) |
| |||||||||||||||
1.785%(c) | 07/25/29 | 1,200 | 1,162,612 | |||||||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.845%(c) | 06/25/30 | 880 | 880,154 | |||||||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
3.595%(c) | 06/25/30 | 230 | 230,000 | |||||||||||||
BVRT Financing Trust, |
| |||||||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||||||
2.327%(cc) | 09/15/21^ | 6,520 | 6,469,079 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.673%(c) | 11/01/23 | 4,700 | 4,623,691 | |||||||||||||
Chase Mortgage Finance Trust, |
| |||||||||||||||
Series 2007-A01, Class 1A5 |
| |||||||||||||||
3.988%(cc) | 02/25/37 | 187 | 180,975 | |||||||||||||
CIM Trust, | ||||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.173%(c) | 01/25/57 | 2,475 | 2,474,016 | |||||||||||||
Series 2017-05, Class A3, 144A |
| |||||||||||||||
4.000%(cc) | 05/25/57 | 600 | 596,137 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
3.015%(cc) | 06/25/57 | 2,639 | 2,652,808 | |||||||||||||
Series 2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 2,306 | 2,296,924 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 2,059 | 2,185,605 | |||||||||||||
Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.585%(c) | 12/26/59^ | 676 | 674,091 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.985%(c) | 04/25/29 | 180 | 178,978 | |||||||||||||
Freddie Mac REMICS, |
| |||||||||||||||
Series 4535, Class PA |
| |||||||||||||||
3.000% | 03/15/44 | 1,170 | 1,223,159 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
1.485%(c) | 03/25/29 | 86 | 85,656 |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.485%(c) | 04/25/29 | 261 | $ | 260,917 | ||||||||||||
Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
1.385%(c) | 07/25/29 | 189 | 188,455 | |||||||||||||
Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 03/25/30 | 726 | 725,965 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 09/25/48 | 3 | 3,256 | |||||||||||||
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 02/25/49 | 124 | 124,187 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.835%(c) | 05/25/29 | 168 | 165,766 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2007-A01, Class 4A1 |
| |||||||||||||||
3.995%(cc) | 07/25/35 | 79 | 75,348 | |||||||||||||
LSTAR Securities Investment Trust, |
| |||||||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.673%(c) | 04/01/24 | 496 | 495,663 | |||||||||||||
MetLife Securitization Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.750%(cc) | 03/25/57 | 447 | 476,447 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2019-01, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 10/25/69 | 993 | 1,045,625 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 1,481 | 1,569,249 | |||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.935%(c) | 01/25/48 | 610 | 604,008 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.735%(c) | 07/25/28 | 56 | 55,214 | |||||||||||||
Oaktown Re III Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.585%(c) | 07/25/29 | 47 | 47,325 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 1,182 | 1,288,313 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.765%(cc) | 02/25/34 | 99 | 95,108 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 34,339,088 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS — 0.8% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 3,350 | $ | 3,662,877 | ||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/26/24 | 175 | 184,246 | |||||||||||||
4.375% | 07/12/21 | 500 | 513,914 | |||||||||||||
5.000% | 06/15/45 | 620 | 699,277 | |||||||||||||
7.375% | 09/18/37 | 625 | 856,103 | |||||||||||||
Export-Import Bank of India (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 02/01/28 | 1,040 | 1,082,226 | |||||||||||||
Finnvera OYJ (Finland), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 06/04/25 | 400 | 434,188 | |||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.375% | 03/29/21 | 924 | 961,007 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/30/25 | EUR | 1,500 | 1,828,496 | ||||||||||||
4.450% | 02/11/24 | 505 | 548,042 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.875% | 01/15/24 | 950 | 1,075,999 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.150% | 07/18/24 | EUR | 2,100 | 2,430,131 | ||||||||||||
4.750% | 01/08/26 | 540 | 608,842 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 04/13/21 | 200 | 202,477 | |||||||||||||
2.125% | 10/25/23 | 1,400 | 1,466,541 | |||||||||||||
2.625% | 04/20/22 | 2,000 | 2,073,137 | |||||||||||||
3.000% | 03/12/24 | 400 | 433,303 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/22/24 | (a) | 515 | 560,466 | ||||||||||||
4.500% | 04/16/50 | 475 | 580,600 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 1,105 | 1,185,937 | |||||||||||||
4.817% | 03/14/49 | 500 | 660,720 | |||||||||||||
5.103% | 04/23/48 | 915 | 1,249,423 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 1,395 | 1,726,746 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 10/26/21 | 1,325 | 1,344,228 | |||||||||||||
2.875% | 03/04/23 | 1,785 | 1,861,646 | |||||||||||||
4.000% | 04/17/25 | 1,035 | 1,149,079 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 06/08/22 | 1,800 | 1,864,557 | |||||||||||||
3.250% | 06/01/23 | 800 | 859,581 | |||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | (a) | 1,025 | 1,312,861 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
5.100% | 06/18/50 | (a) | 545 | $ | 703,821 | |||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 34,120,471 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
5.500% | 07/15/36 | (k) | 1,080 | 1,687,912 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 863 | 897,035 | |||||||||||||
2.500% | 03/01/30 | 451 | 479,346 | |||||||||||||
2.500% | 10/01/32 | 921 | 976,647 | |||||||||||||
3.000% | 10/01/28 | 321 | 341,616 | |||||||||||||
3.000% | 06/01/29 | 793 | 843,551 | |||||||||||||
3.000% | 03/01/32 | 958 | 1,021,598 | |||||||||||||
3.000% | 01/01/37 | 479 | 507,203 | |||||||||||||
3.000% | 01/01/43 | 940 | 1,007,320 | |||||||||||||
3.000% | 07/01/43 | 1,859 | 1,992,205 | |||||||||||||
3.000% | 01/01/47 | 5,607 | 5,924,888 | |||||||||||||
3.500% | 03/01/42 | 562 | 608,066 | |||||||||||||
3.500% | 06/01/42 | 329 | 356,497 | |||||||||||||
3.500% | 01/01/47 | 1,033 | 1,099,303 | |||||||||||||
3.500% | 02/01/47 | 1,251 | 1,327,702 | |||||||||||||
4.000% | 06/01/26 | 419 | 444,792 | |||||||||||||
4.000% | 09/01/26 | 221 | 234,689 | |||||||||||||
4.000% | 10/01/39 | 779 | 854,142 | |||||||||||||
4.000% | 12/01/40 | 343 | 375,981 | |||||||||||||
4.000% | 10/01/41 | 365 | 400,201 | |||||||||||||
4.000% | 01/01/42 | 138 | 151,360 | |||||||||||||
4.000% | 10/01/45 | 507 | 546,636 | |||||||||||||
4.500% | 07/01/20 | 1 | 590 | |||||||||||||
4.500% | 09/01/39 | 249 | 276,664 | |||||||||||||
4.500% | 10/01/39 | 1,417 | 1,576,026 | |||||||||||||
4.500% | 12/01/39 | 437 | 486,369 | |||||||||||||
4.500% | 07/01/41 | 188 | 202,887 | |||||||||||||
4.500% | 07/01/41 | 1,715 | 1,910,027 | |||||||||||||
4.500% | 08/01/41 | 129 | 139,583 | |||||||||||||
4.500% | 08/01/41 | 195 | 213,352 | |||||||||||||
4.500% | 08/01/41 | 285 | 309,957 | |||||||||||||
4.500% | 10/01/41 | 146 | 157,766 | |||||||||||||
4.500% | 10/01/46 | 258 | 279,834 | |||||||||||||
4.500% | 12/01/47 | 1,430 | 1,541,477 | |||||||||||||
5.000% | 05/01/34 | 20 | 23,017 | |||||||||||||
5.000% | 05/01/34 | 186 | 213,477 | |||||||||||||
5.000% | 08/01/35 | 19 | 22,084 | |||||||||||||
5.000% | 09/01/35 | 31 | 35,283 | |||||||||||||
5.000% | 10/01/36 | 31 | 35,996 | |||||||||||||
5.000% | 05/01/37 | 20 | 22,982 | |||||||||||||
5.000% | 07/01/37 | 401 | 459,963 | |||||||||||||
5.000% | 09/01/38 | 48 | 54,782 | |||||||||||||
5.000% | 09/01/38 | 50 | 57,727 | |||||||||||||
5.000% | 09/01/38 | 58 | 66,294 | |||||||||||||
5.000% | 02/01/39 | 19 | 21,954 | |||||||||||||
5.000% | 06/01/39 | 55 | 63,030 | |||||||||||||
5.500% | 02/01/34 | 32 | 35,468 | |||||||||||||
5.500% | 04/01/34 | 301 | 335,225 | |||||||||||||
5.500% | 06/01/34 | 99 | 113,652 | |||||||||||||
5.500% | 06/01/34 | 155 | 177,725 | |||||||||||||
5.500% | 05/01/37 | 45 | 51,985 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
5.500% | 02/01/38 | 353 | $ | 405,273 | ||||||||||||
5.500% | 05/01/38 | 64 | 72,848 | |||||||||||||
5.500% | 07/01/38 | 318 | 364,463 | |||||||||||||
6.000% | 03/01/32 | 138 | 154,874 | |||||||||||||
6.000% | 12/01/33 | 49 | 54,975 | |||||||||||||
6.000% | 07/01/36 | 3 | 3,268 | |||||||||||||
6.000% | 12/01/36 | 8 | 9,048 | |||||||||||||
6.000% | 05/01/37 | 12 | 13,549 | |||||||||||||
6.000% | 12/01/37 | 23 | 26,946 | |||||||||||||
6.000% | 01/01/38 | 4 | 4,064 | |||||||||||||
6.000% | 01/01/38 | 13 | 14,714 | |||||||||||||
6.000% | 01/01/38 | 267 | 310,856 | |||||||||||||
6.000% | 10/01/38 | 71 | 81,954 | |||||||||||||
6.000% | 08/01/39 | 35 | 41,192 | |||||||||||||
6.750% | 09/15/29 | 935 | 1,407,140 | |||||||||||||
6.750% | 03/15/31 | 500 | 786,223 | |||||||||||||
7.000% | 01/01/31 | 20 | 22,953 | |||||||||||||
7.000% | 06/01/31 | 28 | 31,875 | |||||||||||||
7.000% | 09/01/31 | 3 | 3,671 | |||||||||||||
7.000% | 10/01/31 | 37 | 42,304 | |||||||||||||
7.000% | 10/01/32 | 29 | 31,561 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | TBA | 5,000 | 5,103,178 | |||||||||||||
2.000% | TBA | 13,000 | 13,424,531 | |||||||||||||
2.000% | 08/01/31 | 1,218 | 1,266,085 | |||||||||||||
2.500% | TBA | 8,000 | 8,321,334 | |||||||||||||
2.500% | 01/01/28 | 953 | 1,000,034 | |||||||||||||
2.500% | 10/01/43 | 935 | 989,709 | |||||||||||||
2.500% | 12/01/46 | 1,703 | 1,803,037 | |||||||||||||
3.000% | TBA | 23,500 | 24,708,151 | |||||||||||||
3.000% | 02/01/27 | 1,381 | 1,460,439 | |||||||||||||
3.000% | 08/01/30 | 846 | 891,002 | |||||||||||||
3.000% | 11/01/36 | 2,455 | 2,586,586 | |||||||||||||
3.000% | 12/01/42 | 1,117 | 1,196,268 | |||||||||||||
3.000% | 12/01/42 | 1,702 | 1,823,846 | |||||||||||||
3.000% | 03/01/43 | 295 | 315,573 | |||||||||||||
3.000% | 11/01/46 | 315 | 332,516 | |||||||||||||
3.000% | 01/01/47 | 2,403 | 2,541,900 | |||||||||||||
3.000% | 02/01/47 | 1,601 | 1,693,693 | |||||||||||||
3.000% | 03/01/47 | 1,204 | 1,273,119 | |||||||||||||
3.500% | 07/01/31 | 845 | 902,952 | |||||||||||||
3.500% | 11/01/32 | 419 | 451,205 | |||||||||||||
3.500% | 02/01/33 | 1,135 | 1,196,903 | |||||||||||||
3.500% | 05/01/33 | 1,950 | 2,057,061 | |||||||||||||
3.500% | 06/01/39 | 608 | 655,110 | |||||||||||||
3.500% | 01/01/42 | 5,590 | 6,042,153 | |||||||||||||
3.500% | 05/01/42 | 2,668 | 2,885,370 | |||||||||||||
3.500% | 07/01/42 | 766 | 833,112 | |||||||||||||
3.500% | 08/01/42 | 302 | 326,807 | |||||||||||||
3.500% | 08/01/42 | 918 | 992,775 | |||||||||||||
3.500% | 09/01/42 | 864 | 935,566 | |||||||||||||
3.500% | 09/01/42 | 1,560 | 1,688,896 | |||||||||||||
3.500% | 11/01/42 | 511 | 552,415 | |||||||||||||
3.500% | 03/01/43 | 2,774 | 3,032,846 | |||||||||||||
3.500% | 04/01/43 | 530 | 573,903 | |||||||||||||
3.500% | 04/01/43 | 1,196 | 1,294,494 | |||||||||||||
3.500% | 07/01/43 | 245 | 265,027 | |||||||||||||
3.500% | 06/01/45 | 5,717 | 6,111,807 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
3.500% | 07/01/46 | 1,135 | $ | 1,206,142 | ||||||||||||
3.500% | 11/01/46 | 1,579 | 1,675,628 | |||||||||||||
3.500% | 09/01/47 | 1,726 | 1,826,799 | |||||||||||||
3.500% | 01/01/48 | 12,270 | 12,940,627 | |||||||||||||
3.500% | 05/01/48 | 1,851 | 1,949,753 | |||||||||||||
3.500% | 06/01/48 | 5,373 | 5,779,233 | |||||||||||||
4.000% | 12/01/36 | 968 | 1,042,088 | |||||||||||||
4.000% | 10/01/41 | 2,904 | 3,187,603 | |||||||||||||
4.000% | 07/01/44 | 1,061 | 1,160,346 | |||||||||||||
4.000% | 09/01/44 | 2,359 | 2,574,795 | |||||||||||||
4.000% | 10/01/46 | 749 | 802,836 | |||||||||||||
4.000% | 06/01/47 | 1,269 | 1,354,487 | |||||||||||||
4.000% | 09/01/47 | 460 | 490,060 | |||||||||||||
4.000% | 11/01/47 | 986 | 1,089,982 | |||||||||||||
4.000% | 11/01/47 | 2,395 | 2,553,653 | |||||||||||||
4.000% | 12/01/47 | 6,103 | 6,505,484 | |||||||||||||
4.500% | 07/01/33 | 47 | 51,410 | |||||||||||||
4.500% | 08/01/33 | 11 | 11,979 | |||||||||||||
4.500% | 09/01/33 | 40 | 44,180 | |||||||||||||
4.500% | 10/01/33 | 110 | 119,953 | |||||||||||||
4.500% | 03/01/34 | 31 | 33,405 | |||||||||||||
4.500% | 01/01/35 | 2 | 2,303 | |||||||||||||
4.500% | 07/01/39 | 771 | 857,989 | |||||||||||||
4.500% | 08/01/39 | 592 | 658,483 | |||||||||||||
4.500% | 09/01/39 | 407 | 452,786 | |||||||||||||
4.500% | 12/01/39 | 4 | 4,910 | |||||||||||||
4.500% | 03/01/41 | 1,381 | 1,547,122 | |||||||||||||
4.500% | 07/01/42 | 122 | 136,296 | |||||||||||||
5.000% | 03/01/34 | 206 | 236,023 | |||||||||||||
5.000% | 04/01/35 | 494 | 566,254 | |||||||||||||
5.000% | 06/01/35 | 120 | 138,187 | |||||||||||||
5.000% | 07/01/35 | 81 | 92,470 | |||||||||||||
5.000% | 07/01/35 | 122 | 140,418 | |||||||||||||
5.000% | 09/01/35 | 76 | 87,279 | |||||||||||||
5.000% | 11/01/35 | 86 | 99,109 | |||||||||||||
5.000% | 02/01/36 | 68 | 78,363 | |||||||||||||
5.500% | 02/01/33 | 96 | 109,489 | |||||||||||||
5.500% | 08/01/33 | 171 | 192,514 | |||||||||||||
5.500% | 10/01/33 | 46 | 52,928 | |||||||||||||
5.500% | 12/01/33 | 48 | 55,397 | |||||||||||||
5.500% | 12/01/34 | 124 | 141,698 | |||||||||||||
5.500% | 10/01/35 | 483 | 554,645 | |||||||||||||
5.500% | 03/01/36 | 49 | 54,236 | |||||||||||||
5.500% | 04/01/36 | 108 | 122,169 | |||||||||||||
5.500% | 01/01/37 | 60 | 68,922 | |||||||||||||
5.500% | 04/01/37 | 32 | 36,841 | |||||||||||||
5.500% | 05/01/37 | 194 | 222,263 | |||||||||||||
5.500% | 08/01/37 | 240 | 275,883 | |||||||||||||
6.000% | 05/01/21 | 10 | 10,355 | |||||||||||||
6.000% | 10/01/33 | 189 | 212,333 | |||||||||||||
6.000% | 11/01/33 | 23 | 26,101 | |||||||||||||
6.000% | 11/01/33 | 29 | 32,633 | |||||||||||||
6.000% | 01/01/34 | 237 | 276,105 | |||||||||||||
6.000% | 02/01/34 | 94 | 109,268 | |||||||||||||
6.000% | 03/01/34 | 2 | 2,126 | |||||||||||||
6.000% | 03/01/34 | 12 | 13,599 | |||||||||||||
6.000% | 03/01/34 | 28 | 31,337 | |||||||||||||
6.000% | 11/01/34 | 23 | 25,258 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.000% | 01/01/35 | 46 | $ | 52,330 | ||||||||||||
6.000% | 01/01/35 | 113 | 127,079 | |||||||||||||
6.000% | 02/01/35 | 3 | 2,955 | |||||||||||||
6.000% | 02/01/35 | 105 | 117,230 | |||||||||||||
6.000% | 02/01/35 | 186 | 217,563 | |||||||||||||
6.000% | 04/01/35 | 16 | 18,251 | |||||||||||||
6.000% | 12/01/35 | 87 | 96,689 | |||||||||||||
6.000% | 05/01/36 | 39 | 44,965 | |||||||||||||
6.000% | 06/01/36 | 15 | 16,550 | |||||||||||||
6.000% | 02/01/37 | 63 | 74,010 | |||||||||||||
6.000% | 06/01/37 | 24 | 26,825 | |||||||||||||
6.000% | 05/01/38 | 166 | 193,387 | |||||||||||||
6.250% | 05/15/29 | 950 | 1,376,075 | |||||||||||||
6.500% | 09/01/32 | 1 | 1,152 | |||||||||||||
6.500% | 09/01/32 | 13 | 14,428 | |||||||||||||
6.500% | 09/01/32 | 35 | 40,359 | |||||||||||||
6.500% | 09/01/32 | 39 | 45,614 | |||||||||||||
6.500% | 10/01/32 | 40 | 46,277 | |||||||||||||
6.500% | 04/01/33 | 52 | 59,835 | |||||||||||||
6.500% | 11/01/33 | 21 | 24,284 | |||||||||||||
6.500% | 01/01/34 | 31 | 36,356 | |||||||||||||
6.500% | 09/01/34 | 49 | 55,938 | |||||||||||||
6.500% | 10/01/34 | 43 | 50,273 | |||||||||||||
6.500% | 09/01/36 | 108 | 125,924 | |||||||||||||
6.500% | 10/01/36 | 26 | 30,914 | |||||||||||||
6.500% | 11/01/36 | 37 | 41,193 | |||||||||||||
6.500% | 01/01/37 | 39 | 43,137 | |||||||||||||
6.500% | 01/01/37 | 103 | 119,434 | |||||||||||||
6.500% | 09/01/37 | 13 | 15,150 | |||||||||||||
6.625% | 11/15/30 | (k) | 550 | 850,720 | ||||||||||||
7.000% | 02/01/32 | 25 | 29,126 | |||||||||||||
7.000% | 05/01/32 | 13 | 15,854 | |||||||||||||
7.000% | 06/01/32 | 13 | 15,577 | |||||||||||||
7.000% | 07/01/32 | 49 | 57,468 | |||||||||||||
7.125% | 01/15/30 | (k) | 3,600 | 5,610,780 | ||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.500% | TBA | 5,000 | 5,261,133 | |||||||||||||
2.500% | TBA | 6,000 | 6,300,469 | |||||||||||||
2.500% | 03/20/43 | 687 | 727,963 | |||||||||||||
2.500% | 12/20/46 | 860 | 911,674 | |||||||||||||
3.000% | 03/15/45 | 1,024 | 1,083,714 | |||||||||||||
3.000% | 11/20/45 | 1,128 | 1,201,443 | |||||||||||||
3.000% | 03/20/46 | 7,293 | 7,749,237 | |||||||||||||
3.000% | 07/20/46 | 4,889 | 5,200,425 | |||||||||||||
3.000% | 10/20/46 | 1,594 | 1,695,813 | |||||||||||||
3.000% | 12/20/46 | 1,068 | 1,134,265 | |||||||||||||
3.000% | 02/20/47 | 2,210 | 2,346,562 | |||||||||||||
3.500% | TBA | 11,000 | 11,605,859 | |||||||||||||
3.500% | 12/20/42 | 1,715 | 1,864,819 | |||||||||||||
3.500% | 05/20/43 | 350 | 381,237 | |||||||||||||
3.500% | 03/20/45 | 1,411 | 1,510,258 | |||||||||||||
3.500% | 04/20/45 | 1,959 | 2,097,144 | |||||||||||||
3.500% | 07/20/46 | 7,164 | 7,664,896 | |||||||||||||
4.000% | 06/15/40 | 150 | 162,681 | |||||||||||||
4.000% | 05/20/41 | 267 | 294,304 | |||||||||||||
4.000% | 12/20/42 | 591 | 650,869 | |||||||||||||
4.000% | 08/20/44 | 261 | 284,193 | |||||||||||||
4.000% | 11/20/45 | 1,443 | 1,561,840 |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||
4.000% | 12/20/45 | 1,543 | $ | 1,666,878 | ||||||||||
4.000% | 11/20/46 | 351 | 377,433 | |||||||||||
4.000% | 09/20/47 | 5,680 | 6,088,745 | |||||||||||
4.000% | 02/20/49 | 4,079 | 4,331,260 | |||||||||||
4.500% | 04/15/40 | 582 | 647,777 | |||||||||||
4.500% | 01/20/41 | 1,181 | 1,319,738 | |||||||||||
4.500% | 02/20/41 | 740 | 826,255 | |||||||||||
4.500% | 06/20/44 | 787 | 862,538 | |||||||||||
4.500% | 09/20/46 | 458 | 498,323 | |||||||||||
4.500% | 11/20/46 | 897 | 981,910 | |||||||||||
4.500% | 03/20/47 | 873 | 953,612 | |||||||||||
4.500% | 05/20/48 | 1,213 | 1,308,270 | |||||||||||
4.500% | 06/20/48 | 1,633 | 1,759,872 | |||||||||||
4.500% | 08/20/48 | 5,097 | 5,453,068 | |||||||||||
5.000% | 10/20/37 | 108 | 121,571 | |||||||||||
5.000% | 04/20/45 | 704 | 793,272 | |||||||||||
5.500% | 11/15/32 | 69 | 78,852 | |||||||||||
5.500% | 02/15/33 | 51 | 59,216 | |||||||||||
5.500% | 08/15/33 | 90 | 99,353 | |||||||||||
5.500% | 08/15/33 | 156 | 171,738 | |||||||||||
5.500% | 09/15/33 | 41 | 45,560 | |||||||||||
5.500% | 09/15/33 | 80 | 90,945 | |||||||||||
5.500% | 10/15/33 | 65 | 73,782 | |||||||||||
5.500% | 12/15/33 | 11 | 11,751 | |||||||||||
5.500% | 04/15/34 | 307 | 357,780 | |||||||||||
5.500% | 07/15/35 | 56 | 66,006 | |||||||||||
5.500% | 02/15/36 | 113 | 130,665 | |||||||||||
6.000% | 02/15/33 | 2 | 2,014 | |||||||||||
6.000% | 04/15/33 | 18 | 19,840 | |||||||||||
6.000% | 09/15/33 | 12 | 13,177 | |||||||||||
6.000% | 12/15/33 | 34 | 40,954 | |||||||||||
6.000% | 12/15/33 | 77 | 85,152 | |||||||||||
6.000% | 01/15/34 | 19 | 22,963 | |||||||||||
6.000% | 01/15/34 | 32 | 36,673 | |||||||||||
6.000% | 06/20/34 | 67 | 77,603 | |||||||||||
6.000% | 07/15/34 | 144 | 171,214 | |||||||||||
6.000% | 10/15/34 | 159 | 182,186 | |||||||||||
6.500% | 10/15/23 | 1 | 728 | |||||||||||
6.500% | 12/15/23 | 2 | 2,561 | |||||||||||
6.500% | 01/15/24 | 1 | 1,116 | |||||||||||
6.500% | 01/15/24 | 1 | 1,512 | |||||||||||
6.500% | 01/15/24 | 3 | 3,661 | |||||||||||
6.500% | 01/15/24 | 9 | 9,383 | |||||||||||
6.500% | 01/15/24 | 9 | 9,540 | |||||||||||
6.500% | 01/15/24 | 39 | 42,700 | |||||||||||
6.500% | 02/15/24 | —(r) | 172 | |||||||||||
6.500% | 02/15/24 | —(r) | 209 | |||||||||||
6.500% | 02/15/24 | 2 | 1,893 | |||||||||||
6.500% | 02/15/24 | 2 | 1,987 | |||||||||||
6.500% | 02/15/24 | 3 | 3,086 | |||||||||||
6.500% | 02/15/24 | 5 | 5,322 | |||||||||||
6.500% | 02/15/24 | 5 | 6,030 | |||||||||||
6.500% | 02/15/24 | 6 | 7,138 | |||||||||||
6.500% | 02/15/24 | 10 | 10,956 | |||||||||||
6.500% | 02/15/24 | 23 | 25,234 | |||||||||||
6.500% | 04/15/24 | 1 | 645 | |||||||||||
6.500% | 04/15/24 | 1 | 1,229 | |||||||||||
6.500% | 04/15/24 | 1 | 1,594 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
6.500% | 04/15/24 | 1 | $ | 1,654 | ||||||||||||
6.500% | 04/15/24 | 2 | 1,925 | |||||||||||||
6.500% | 04/15/24 | 2 | 2,265 | |||||||||||||
6.500% | 04/15/24 | 7 | 8,279 | |||||||||||||
6.500% | 05/15/24 | 8 | 8,729 | |||||||||||||
6.500% | 05/15/24 | 11 | 12,578 | |||||||||||||
6.500% | 10/15/24 | 12 | 12,809 | |||||||||||||
6.500% | 12/15/30 | 7 | 7,459 | |||||||||||||
6.500% | 01/15/32 | 19 | 21,712 | |||||||||||||
6.500% | 02/15/32 | 16 | 17,811 | |||||||||||||
6.500% | 07/15/32 | 39 | 44,665 | |||||||||||||
6.500% | 08/15/32 | 5 | 5,595 | |||||||||||||
6.500% | 08/15/32 | 8 | 8,482 | |||||||||||||
6.500% | 08/15/32 | 27 | 30,703 | |||||||||||||
6.500% | 08/15/32 | 186 | 221,495 | |||||||||||||
6.500% | 06/15/35 | 5 | 5,558 | |||||||||||||
6.500% | 06/15/35 | 34 | 40,098 | |||||||||||||
6.500% | 07/15/35 | 7 | 7,396 | |||||||||||||
8.000% | 01/15/24 | 6 | 5,689 | |||||||||||||
8.000% | 04/15/25 | 3 | 3,848 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 292,319,447 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.875% | 05/15/43 | (a) | 1,075 | 1,403,547 | ||||||||||||
3.000% | 11/15/44 | 5,060 | 6,772,494 | |||||||||||||
3.125% | 02/15/43 | 965 | 1,307,877 | |||||||||||||
3.375% | 05/15/44 | (a) | 9,210 | 13,022,076 | ||||||||||||
3.625% | 02/15/44 | 490 | 717,084 | |||||||||||||
3.750% | 11/15/43 | 490 | 729,105 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
2.250% | 11/15/25 | 5,000 | 5,508,203 | |||||||||||||
3.125% | 11/15/28 | (k) | 11,625 | 14,048,086 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.000%(s) | 08/15/39 | (h)(k) | 3,780 | 2,945,152 | ||||||||||||
2.228%(s) | 05/15/28 | (k) | 718 | 682,408 | ||||||||||||
2.365%(s) | 08/15/44 | (k) | 3,095 | 2,136,517 | ||||||||||||
2.395%(s) | 11/15/43 | 1,156 | 812,135 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 50,084,684 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,885,292,608 | ||||||||||||||
|
|
Shares | ||||||||
SHORT-TERM INVESTMENTS — 11.4% |
| |||||||
AFFILIATED MUTUAL FUNDS — 11.3% |
| |||||||
PGIM Core Ultra Short Bond | 325,454,314 | 325,454,314 | ||||||
PGIM Institutional Money Market Fund | 140,069,128 | 140,069,128 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 465,523,442 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A96
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.0% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.159% | 09/17/20 | 250 | $ | 249,924 | ||||||||
|
| |||||||||||
(cost $249,914) | ||||||||||||
OPTIONS PURCHASED*~ — 0.1% | ||||||||||||
(cost $211,734) |
| 1,207,241 | ||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 466,980,607 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—105.8% |
| 4,352,273,215 | ||||||||||
|
| |||||||||||
OPTION WRITTEN*~ — (0.0)% |
| |||||||||||
(premiums received $117,053) |
| (39,656 | ) | |||||||||
|
| |||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—105.8% |
| 4,352,233,559 | ||||||||||
Liabilities in excess of other assets(z) — (5.8)% |
| (237,641,773 | ) | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 4,114,591,786 | |||||||||
|
|
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 instrument. The aggregate value of Level 3 instruments is $7,143,170 and 0.2% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $137,365,070; cash collateral of $139,617,982 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(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 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 | Call | 07/24/20 | $ | 140.00 | 423 | 423 | $ | 85,922 | ||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 143.00 | 846 | 846 | 26,438 | |||||||||||||||
|
| |||||||||||||||||||||
Total Exchange Traded (cost $192,434) | $ | 112,360 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A97
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Options Purchased (continued):
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 3,379 | $ | 75,406 | |||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 3,285 | 73,144 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 8,212 | 173,505 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 16,302 | 345,129 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 16,540 | 362,211 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 3,285 | 65,486 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded (cost $19,300) | $ | 1,094,881 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
Total Options Purchased (cost $211,734) | $ | 1,207,241 | ||||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 142.00 | 1,269 | 1,269 | $ | (39,656 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
(premiums received $117,053) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | |||||||||||||
Long Positions: | |||||||||||||||||
13 | 2 Year U.S. Treasury Notes | Sep. 2020 | $ | 2,870,766 | $ | 2,319 | |||||||||||
12 | 5 Year U.S. Treasury Notes | Sep. 2020 | 1,508,906 | 11,421 | |||||||||||||
243 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 38,268,704 | 173,941 | |||||||||||||
5 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 892,813 | 15,149 | |||||||||||||
559 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 121,949,344 | (19,755 | ) | ||||||||||||
22 | Mini MSCI EAFE Index | Sep. 2020 | 1,956,240 | (25,043 | ) | ||||||||||||
|
| ||||||||||||||||
158,032 | |||||||||||||||||
|
| ||||||||||||||||
Short Positions: | |||||||||||||||||
20 | 10 Year Euro-Bund | Sep. 2020 | 3,966,404 | (34,419 | ) | ||||||||||||
885 | 10 Year U.S. Treasury Notes | Sep. 2020 | 123,167,114 | (412,219 | ) | ||||||||||||
|
| ||||||||||||||||
(446,638 | ) | ||||||||||||||||
|
| ||||||||||||||||
$ | (288,606 | ) | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||||||||
Euro, | ||||||||||||||||||||||||||||||
Expiring 07/02/20 | Morgan Stanley & Co. International PLC | EUR 9,530 | $ | 10,744,769 | $ | 10,707,940 | $ | — | $ | (36,829 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A98
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||
Expiring 07/20/20 | Morgan Stanley & Co. International PLC | CAD 2,500 | $ | 1,800,413 | $ | 1,841,591 | $ | — | $ | (41,178 | ) | |||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR 9,530 | 10,402,148 | 10,707,941 | — | (305,793 | ) | |||||||||||||||||
Expiring 08/04/20 | Morgan Stanley & Co. International PLC | EUR 9,530 | 10,752,631 | 10,715,847 | 36,784 | — | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 22,955,192 | $ | 23,265,379 | 36,784 | (346,971 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 36,784 | $ | (383,800 | ) | ||||||||||||||||||||
|
|
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreement on corporate and/or sovereign issues - Sell Protection(2): |
| |||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 4,100 | 2.453% | $ | (84,855 | ) | $ | 32,808 | $ | (117,663 | ) | Bank of America, N.A. | |||||||||||||||||
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.33.V1 | 12/20/29 | 1.000%(Q) | 24,000 | $ | 91,203 | $ | 147,408 | $ | 56,205 | |||||||||||||||
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Sell Protection(2): |
| |||||||||||||||||||||||||||
iTraxx.EUR.33.V1 | 06/20/25 | 1.000%(Q) | EUR | 39,500 | 0.664% | $ | 319,918 | $ | 752,272 | $ | 432,354 | |||||||||||||||||
|
|
|
|
|
|
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | 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 | ) | $ | (103,546 | ) | $ | (60,451 | ) | |||||||||||
EUR | 1,190 | 05/11/39 | 1.100%(A) | 1 Day EONIA(1)(A) | (10,808 | ) | (303,399 | ) | (292,591 | ) | ||||||||||||||
165,795 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | — | 2,591,774 | 2,591,774 | ||||||||||||||||||
53,193 | 09/15/21 | 1.381%(S) | 3 Month LIBOR(2)(Q) | (64,878 | ) | 935,480 | 1,000,358 | |||||||||||||||||
20,385 | 09/15/21 | 1.480%(S) | 3 Month LIBOR(2)(Q) | 11,978 | 388,719 | 376,741 | ||||||||||||||||||
13,965 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | 40,476 | 292,352 | 251,876 | ||||||||||||||||||
685 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (32,259 | ) | (32,259 | ) | ||||||||||||||||
744 | 11/15/45 | 0.508%(A) | 1 Day USOIS(1)(A) | (12,240 | ) | 29,258 | 41,498 | |||||||||||||||||
1,205 | 11/15/45 | 1.044%(A) | 1 Day USOIS(1)(A) | — | (107,207 | ) | (107,207 | ) | ||||||||||||||||
5,001 | 11/15/45 | 1.253%(A) | 1 Day USOIS(1)(A) | (60,276 | ) | (696,002 | ) | (635,726 | ) | |||||||||||||||
3,085 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (699,716 | ) | (699,716 | ) | ||||||||||||||||
2,551 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 36,961 | 36,961 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (138,843 | ) | $ | 2,332,415 | $ | 2,471,258 | ||||||||||||||||||
|
|
|
|
|
|
(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, 2020:
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | ||||||||||||||||||||||||||||
OTC Total Return Swap Agreement: | |||||||||||||||||||||||||||||||||||
Barclays US Agency CMBS | | 1 Month LIBOR(M) | | Barclays Bank PLC | 10/01/20 | 16,000 | $ | 266,974 | $— | $266,974 | |||||||||||||||||||||||||
|
|
|
|
|
|
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||
OTC Swap Agreements | $32,808 | $— | $266,974 | $(117,663) |
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. | $ | — | $ | 9,699,962 | ||||||
Goldman Sachs & Co. LLC | — | 249,924 | ||||||||
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|
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| |||||||
Total | $ | — | $ | 9,949,886 | ||||||
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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.
SEE NOTES TO FINANCIAL STATEMENTS.
A100
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | $ | 2,396,241,053 | $ | 73,673,016 | $ | — | ||||||
Exchange-Traded Fund | 370,576 | — | — | |||||||||
Preferred Stocks | 583,000 | 389,939 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 84,005,746 | — | |||||||||
Collateralized Loan Obligations | — | 131,497,329 | — | |||||||||
Consumer Loans | — | 4,406,121 | — | |||||||||
Equipment | — | 9,048,411 | — | |||||||||
Home Equity Loans | — | 1,801,197 | — | |||||||||
Other | — | 6,084,009 | — | |||||||||
Residential Mortgage-Backed Securities | — | 17,943,572 | — | |||||||||
Student Loans | — | 35,254,119 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 294,401,153 | — | |||||||||
Corporate Bonds | — | 398,365,430 | — | |||||||||
Municipal Bonds | — | 20,364,247 | — | |||||||||
Residential Mortgage-Backed Securities | — | 27,195,918 | 7,143,170 | |||||||||
Sovereign Bonds | — | 34,120,471 | — | |||||||||
U.S. Government Agency Obligations | — | 292,319,447 | — | |||||||||
U.S. Treasury Obligations | — | 50,334,608 | — | |||||||||
Affiliated Mutual Funds | 465,523,442 | — | — | |||||||||
Options Purchased | 112,360 | 1,094,881 | — | |||||||||
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|
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| |||||||
Total | $ | 2,862,830,431 | $ | 1,482,299,614 | $ | 7,143,170 | ||||||
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| |||||||
Liabilities | ||||||||||||
Option Written | $ | (39,656 | ) | $ | — | $ | — | |||||
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|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 202,830 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contract | — | 36,784 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | 488,559 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 4,299,208 | — | |||||||||
OTC Total Return Swap Agreement | — | 266,974 | — | |||||||||
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| |||||||
Total | $ | 202,830 | $ | 5,091,525 | $ | — | ||||||
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|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (491,436 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (383,800 | ) | — | ||||||||
OTC Credit Default Swap Agreement | — | (84,855 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (1,827,950 | ) | — | ||||||||
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|
|
|
|
| |||||||
Total | $ | (491,436 | ) | $ | (2,296,605 | ) | $ | — | ||||
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* | 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, 2020 were as follows:
Affiliated Mutual Funds (3.4% represents investments purchased with collateral from securities on loan) | 11.3 | % |
Commercial Mortgage-Backed Securities | 7.2 | % | ||
U.S. Government Agency Obligations | 7.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Software | 5.9 | % | ||
Banks | 4.8 | |||
Pharmaceuticals | 4.0 | |||
Technology Hardware, Storage & Peripherals | 3.8 | |||
Internet & Direct Marketing Retail | 3.3 | |||
Collateralized Loan Obligations | 3.2 | |||
Interactive Media & Services | 3.1 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
IT Services | 3.0 | |||
Automobiles | 2.4 | |||
Health Care Equipment & Supplies | 2.0 | |||
Health Care Providers & Services | 1.9 | |||
Biotechnology | 1.9 | |||
Capital Markets | 1.7 | |||
Insurance | 1.7 | |||
Aerospace & Defense | 1.5 | |||
Specialty Retail | 1.5 | |||
Diversified Telecommunication Services | 1.5 | |||
Food & Staples Retailing | 1.3 | |||
Beverages | 1.3 | |||
Chemicals | 1.3 | |||
Oil, Gas & Consumable Fuels | 1.3 | |||
Residential Mortgage-Backed Securities | 1.2 | |||
Equity Real Estate Investment Trusts (REITs) | 1.2 | |||
U.S. Treasury Obligations | 1.2 | |||
Entertainment | 1.2 | |||
Household Products | 1.1 | |||
Electric | 1.1 | |||
Student Loans | 0.9 | |||
Sovereign Bonds | 0.8 | |||
Communications Equipment | 0.8 | |||
Electric Utilities | 0.8 | |||
Industrial Conglomerates | 0.8 | |||
Building Products | 0.7 | |||
Media | 0.7 | |||
Multi-Utilities | 0.7 | |||
Oil & Gas | 0.6 | |||
Diversified Financial Services | 0.5 | |||
Road & Rail | 0.5 | |||
Hotels, Restaurants & Leisure | 0.5 | |||
Machinery | 0.5 | |||
Pipelines | 0.5 | |||
Telecommunications | 0.5 | |||
Municipal Bonds | 0.5 | |||
Tobacco | 0.5 | |||
Food Products | 0.5 | |||
Multiline Retail | 0.5 | |||
Auto Manufacturers | 0.5 | |||
Trading Companies & Distributors | 0.3 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Distributors | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
Electrical Equipment | 0.3 | |||
Gas Utilities | 0.3 | |||
Equipment | 0.2 | |||
Consumer Finance | 0.2 | |||
Construction & Engineering | 0.2 |
Metals & Mining | 0.2 | % | ||
Household Durables | 0.2 | |||
Retail | 0.2 | |||
Healthcare-Services | 0.2 | |||
Other | 0.2 | |||
Commercial Services | 0.1 | |||
Agriculture | 0.1 | |||
Leisure Products | 0.1 | |||
Mortgage Real Estate Investment Trusts (REITs) | 0.1 | |||
Consumer Loans | 0.1 | |||
Personal Products | 0.1 | |||
Gas | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Foods | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Airlines | 0.1 | |||
Commercial Services & Supplies | 0.1 | |||
Healthcare-Products | 0.1 | |||
Engineering & Construction | 0.1 | |||
Auto Components | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Transportation | 0.1 | |||
Home Equity Loans | 0.1 | |||
Housewares | 0.1 | |||
Multi-National | 0.1 | |||
Options Purchased | 0.1 | |||
Air Freight & Logistics | 0.0 | * | ||
Thrifts & Mortgage Finance | 0.0 | * | ||
Savings & Loans | 0.0 | * | ||
Professional Services | 0.0 | * | ||
Wireless Telecommunication Services | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Machinery-Diversified | 0.0 | * | ||
Textiles, Apparel & Luxury Goods | 0.0 | * | ||
Miscellaneous Manufacturing | 0.0 | * | ||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Semiconductors | 0.0 | * | ||
Mining | 0.0 | * | ||
Lodging | 0.0 | * | ||
Construction Materials | 0.0 | * | ||
Electronics | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Electronic Equipment, Instruments & Components | 0.0 | * | ||
Building Materials | 0.0 | * | ||
Exchange-Traded Fund | 0.0 | * | ||
Oil & Gas Services | 0.0 | * | ||
Health Care Technology | 0.0 | * | ||
Transportation Infrastructure | 0.0 | * | ||
Marine | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
|
| |||
105.8 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (5.8 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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, 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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Credit contracts | Due from/to broker-variation margin swaps | $ | 488,559* | — | $ | — | ||||||
Credit contracts | Premiums paid for OTC swap agreements | 32,808 | — | — | ||||||||
Credit contracts | — | — | Unrealized depreciation on OTC swap agreements | 117,663 | ||||||||
Equity contracts | — | — | Due from/to broker-variation margin futures | 25,043 | * | |||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 36,784 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 383,800 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 202,830 | * | Due from/to broker-variation margin futures | 466,393 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 4,299,208 | * | Due from/to broker-variation margin swaps | 1,827,950 | |||||||
Interest rate contracts | Unaffiliated investments | 1,207,241 | Options written outstanding, at value | 39,656 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 266,974 | — | — | ||||||||
|
|
|
| |||||||||
$ | 6,534,404 | $ | 2,860,505 | |||||||||
|
|
|
|
* | 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, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(1) | Options Purchased(1) | Options Written | Futures | Forward Currency Contracts | Swaps | ||||||||||||||||||||||||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (60,181 | ) | |||||||||||||||||||||||||||||||||||
Equity contracts | (468 | ) | — | — | (197,318 | ) | — | — | ||||||||||||||||||||||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | 359,349 | — | ||||||||||||||||||||||||||||||||||||||||||
Interest rate contracts | — | (257,616 | ) | 94,601 | 15,889,137 | — | (20,763,582 | ) | ||||||||||||||||||||||||||||||||||||||||
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Total | $ | (468 | ) | $ | (257,616 | ) | $ | 94,601 | $ | 15,691,819 | $ | 359,349 | $ | (20,823,763 | ) | |||||||||||||||||||||||||||||||||
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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 instruments, carried at fair value | Rights(2) | Options Purchased(2) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 686,105 | ||||||||||||
Equity contracts | (18) | — | — | (21,975 | ) | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(2) | Options Purchased(2) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | — | $ | (196,573 | ) | $ | — | |||||||||||||||||
Interest rate contracts | — | 497,291 | 77,397 | 2,281,607 | — | 12,369,978 | ||||||||||||||||||||||||
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Total | $ | (18 | ) | $ | 497,291 | $ | 77,397 | $ | 2,259,632 | $ | (196,573 | ) | $ | 13,056,083 | ||||||||||||||||
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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, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | Forward Foreign Currency Exchange Contracts— Purchased(3) | ||||||
$169,317 | $597,333 | $231,587,888 | $222,611,941 | $7,707,135 |
Forward Foreign Currency Exchange Contracts—Sold(3) | Interest Rate Swap Agreements(2) | Credit Default Swap Agreements— Buy Protection(2) | ||||
$20,189,669 | $386,615,123 | $24,000,000 |
Credit Default Swap Agreements— Sell Protection(2) | Total Return Swap Agreements(2) | |||
$17,526,083 | $16,000,000 |
(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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | ||||||||||||
Securities on Loan | $ | 137,365,070 | $ | (137,365,070 | ) | $ | — | ||||||||
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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. | $ | 913,653 | $ | (117,663 | ) | $ | 795,990 | $ | (795,990 | ) | $ | — | |||||||||||||
Barclays Bank PLC | 481,010 | — | 481,010 | (270,000 | ) | 211,010 | |||||||||||||||||||
Citibank, N.A. | — | (305,793 | ) | (305,793 | ) | 294,559 | (11,234 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
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 | ||||||||||||||||||||
Morgan Stanley & Co. International PLC | $ | 36,784 | $ | (78,007 | ) | $ | (41,223 | ) | $ | — | $ | (41,223 | ) | ||||||||||||
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$ | 1,431,447 | $ | (501,463 | ) | $ | 929,984 | $ | (771,431 | ) | $ | 158,553 | ||||||||||||||
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(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
FLEXIBLE MANAGED PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $137,365,070: | ||||
Unaffiliated investments (cost $3,263,853,104) | $ | 3,886,749,773 | ||
Affiliated investments (cost $465,150,256) | 465,523,442 | |||
Foreign currency, at value (cost $492,000) | 492,521 | |||
Cash | 33,718 | |||
Receivable for investments sold | 57,192,888 | |||
Dividends and interest receivable | 9,741,180 | |||
Tax reclaim receivable | 438,712 | |||
Unrealized appreciation on OTC swap agreements | 266,974 | |||
Due from broker-variation margin swaps | 115,197 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 36,784 | |||
Premiums paid for OTC swap agreements | 32,808 | |||
Receivable for Portfolio shares sold | 4,248 | |||
Receivable from affiliate | 3,279 | |||
Prepaid expenses and other assets | 252,536 | |||
|
| |||
Total Assets | 4,420,884,060 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 162,042,158 | |||
Payable to broker for collateral for securities on loan | 139,617,982 | |||
Management fee payable | 2,023,000 | |||
Payable for Portfolio shares repurchased | 879,220 | |||
Due to broker-variation margin futures | 502,162 | |||
Accrued expenses and other liabilities | 501,788 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 383,800 | |||
Payable to affiliate | 183,919 | |||
Unrealized depreciation on OTC swap agreements | 117,663 | |||
Options written outstanding, at value (proceeds received $117,053) | 39,656 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 306,292,274 | |||
|
| |||
NET ASSETS | $ | 4,114,591,786 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 4,114,591,786 | ||
|
| |||
Net asset value and redemption price per share, $4,114,591,786 / 122,596,992 outstanding shares of beneficial interest | $ | 33.56 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $174,879 foreign withholding tax, of which $39,504 is reimbursable by an affiliate) | $ | 27,349,221 | ||
Interest income | 21,747,036 | |||
Affiliated dividend income | 1,065,914 | |||
Income from securities lending, net (including affiliated income of $274,187) | 275,670 | |||
|
| |||
Total income | 50,437,841 | |||
|
| |||
EXPENSES | ||||
Management fee | 12,063,084 | |||
Custodian and accounting fees | 213,862 | |||
Shareholders’ reports | 159,481 | |||
Trustees’ fees | 28,513 | |||
Audit fee | 23,320 | |||
Legal fees and expenses | 12,957 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 44,597 | |||
|
| |||
Total expenses | 12,551,126 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 37,886,715 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $240,600) | (31,350,619 | ) | ||
Futures transactions | 15,691,819 | |||
Forward currency contract transactions | 359,349 | |||
Options written transactions | 94,601 | |||
Swap agreements transactions | (20,823,763 | ) | ||
Foreign currency transactions | (542 | ) | ||
|
| |||
(36,029,155 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $348,673) | (114,865,955 | ) | ||
Futures | 2,259,632 | |||
Forward currency contracts | (196,573 | ) | ||
Options written | 77,397 | |||
Swap agreements | 13,056,083 | |||
Foreign currencies | (11,320 | ) | ||
|
| |||
(99,680,736 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (135,709,891 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (97,823,176 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
OPERATIONS | ||||||||||
Net investment income (loss) | $ | 37,886,715 | $ | 79,405,892 | ||||||
Net realized gain (loss) on investment and foreign currency transactions | (36,029,155 | ) | 176,760,040 | |||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (99,680,736 | ) | 485,992,068 | |||||||
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| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (97,823,176 | ) | 742,158,000 | |||||||
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| |||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||
Portfolio shares sold [220,120 and 177,562 shares, respectively] | 6,696,631 | 5,636,300 | ||||||||
Portfolio shares repurchased [3,727,810 and 7,989,312 shares, respectively] | (122,137,875 | ) | (253,479,611 | ) | ||||||
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NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (115,441,244 | ) | (247,843,311 | ) | ||||||
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|
| |||||||
CAPITAL CONTRIBUTIONS | — | 14,632 | ||||||||
|
|
|
| |||||||
TOTAL INCREASE (DECREASE) | (213,264,420 | ) | 494,329,321 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 4,327,856,206 | 3,833,526,885 | ||||||||
|
|
|
| |||||||
End of period | $ | 4,114,591,786 | $ | 4,327,856,206 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A106
GLOBAL PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 96.9% |
| |||||||
COMMON STOCKS — 96.4% | ||||||||
Argentina — 0.3% | ||||||||
MercadoLibre, Inc.* | 3,141 | $ | 3,096,304 | |||||
|
| |||||||
Australia — 1.4% | ||||||||
AGL Energy Ltd. | 66,200 | 784,045 | ||||||
Aristocrat Leisure Ltd. | 108,730 | 1,940,430 | ||||||
Beach Energy Ltd. | 395,200 | 421,862 | ||||||
CSL Ltd. | 18,219 | 3,640,022 | ||||||
Fortescue Metals Group Ltd. | 201,900 | 1,949,117 | ||||||
Harvey Norman Holdings Ltd.(a) | 196,000 | 483,116 | ||||||
Inghams Group Ltd. | 268,900 | 595,346 | ||||||
Metcash Ltd. | 412,500 | 777,276 | ||||||
Perenti Global Ltd. | 432,300 | 346,801 | ||||||
Qantas Airways Ltd. | 292,200 | 772,428 | ||||||
Rio Tinto Ltd. | 20,600 | 1,398,685 | ||||||
Service Stream Ltd. | 343,700 | 453,062 | ||||||
St. Barbara Ltd. | 343,600 | 755,906 | ||||||
Stockland, REIT | 200,300 | 463,729 | ||||||
Super Retail Group Ltd. | 105,600 | 592,274 | ||||||
|
| |||||||
15,374,099 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
BAWAG Group AG, 144A* | 15,500 | 537,577 | ||||||
OMV AG* | 33,700 | 1,140,529 | ||||||
Wienerberger AG | 26,400 | 577,086 | ||||||
|
| |||||||
2,255,192 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
Bekaert SA | 22,500 | 442,523 | ||||||
UCB SA | 15,000 | 1,743,484 | ||||||
|
| |||||||
2,186,007 | ||||||||
|
| |||||||
Canada — 1.6% | ||||||||
Brookfield Asset Management, Inc. (Class A Stock) | 92,409 | 3,040,256 | ||||||
Canadian National Railway Co. | 45,270 | 4,005,141 | ||||||
Dollarama, Inc. | 63,758 | 2,120,884 | ||||||
Enbridge, Inc. | 53,950 | 1,641,159 | ||||||
Magna International, Inc. | 47,177 | 2,100,792 | ||||||
TC Energy Corp. | 117,000 | 5,014,620 | ||||||
|
| |||||||
17,922,852 | ||||||||
|
| |||||||
China — 3.1% | ||||||||
Alibaba Group Holding Ltd.* | 271,344 | 7,346,601 | ||||||
Alibaba Group Holding Ltd., ADR* | 31,140 | 6,716,898 | ||||||
China Merchants Bank Co. Ltd. | 673,000 | 3,106,329 | ||||||
China Resources Cement Holdings Ltd. | 1,042,000 | 1,279,712 | ||||||
Kingboard Holdings Ltd. | 216,000 | 563,007 | ||||||
Lee & Man Paper Manufacturing Ltd. | 1,049,000 | 568,971 | ||||||
NetEase, Inc., ADR | 9,229 | 3,962,748 | ||||||
TAL Education Group, ADR* | 68,403 | 4,677,397 | ||||||
Tencent Holdings Ltd. | 116,100 | 7,486,307 | ||||||
|
| |||||||
35,707,970 | ||||||||
|
| |||||||
Denmark — 1.4% | ||||||||
Chr Hansen Holding A/S | 10,056 | 1,038,598 | ||||||
Coloplast A/S (Class B Stock) | 24,882 | 3,868,413 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Denmark (cont’d.) | ||||||||
Danske Bank A/S* | 61,200 | $ | 819,630 | |||||
Dfds A/S* | 11,300 | 351,449 | ||||||
DSV Panalpina A/S | 17,821 | 2,185,158 | ||||||
Novo Nordisk A/S (Class B Stock) | 59,739 | 3,894,296 | ||||||
Orsted A/S, 144A | 28,559 | 3,318,339 | ||||||
Pandora A/S | 10,800 | 590,599 | ||||||
|
| |||||||
16,066,482 | ||||||||
|
| |||||||
Finland — 0.4% | ||||||||
Neste OYJ | 59,471 | 2,335,284 | ||||||
Nordea Bank Abp* | 83,600 | 581,160 | ||||||
Valmet OYJ(a) | 41,500 | 1,089,599 | ||||||
|
| |||||||
4,006,043 | ||||||||
|
| |||||||
France — 4.1% | ||||||||
Airbus SE* | 32,883 | 2,355,790 | ||||||
Arkema SA | 11,900 | 1,143,505 | ||||||
AXA SA* | 54,100 | 1,141,443 | ||||||
BNP Paribas SA* | 23,200 | 927,564 | ||||||
Bouygues SA* | 27,600 | 951,445 | ||||||
Capgemini SE | 34,087 | 3,933,864 | ||||||
Cie Generale des Etablissements Michelin SCA* | 9,600 | 993,170 | ||||||
CNP Assurances* | 42,800 | 498,345 | ||||||
Credit Agricole SA* | 78,500 | 753,315 | ||||||
Engie SA* | 82,000 | 1,017,939 | ||||||
L’Oreal SA* | 10,334 | 3,323,468 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 13,598 | 6,046,940 | ||||||
Natixis SA* | 146,400 | 387,044 | ||||||
Nexity SA | 13,100 | 425,147 | ||||||
Orange SA | 67,300 | 806,496 | ||||||
Peugeot SA* | 30,500 | 500,541 | ||||||
Safran SA* | 31,138 | 3,137,684 | ||||||
Sanofi | 39,700 | 4,069,568 | ||||||
Societe BIC SA | 15,900 | 808,762 | ||||||
Societe Generale SA* | 28,600 | 481,726 | ||||||
Sopra Steria Group | 7,100 | 882,842 | ||||||
Teleperformance* | 7,681 | 1,958,661 | ||||||
TOTAL SA | 58,800 | 2,272,309 | ||||||
TOTAL SA, ADR | 191,892 | 7,380,166 | ||||||
|
| |||||||
46,197,734 | ||||||||
|
| |||||||
Germany — 2.6% | ||||||||
Allianz SE | 8,900 | 1,828,406 | ||||||
Aurubis AG | 10,800 | 668,537 | ||||||
Bayer AG | 20,200 | 1,504,483 | ||||||
Bayerische Motoren Werke AG | 12,500 | 798,284 | ||||||
Covestro AG, 144A* | 21,600 | 826,519 | ||||||
Daimler AG* | 17,600 | 718,958 | ||||||
Deutsche Lufthansa AG*(a) | 54,200 | 546,958 | ||||||
Deutsche Post AG* | 60,200 | 2,219,129 | ||||||
Evonik Industries AG | 36,500 | 933,367 | ||||||
Infineon Technologies AG | 185,475 | 4,402,831 | ||||||
METRO AG | 46,000 | 438,922 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 4,500 | 1,173,616 |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Germany (cont’d.) | ||||||||
Rational AG(a) | 3,915 | $ | 2,204,487 | |||||
Rheinmetall AG | 9,200 | 804,387 | ||||||
SAP SE | 31,707 | 4,456,076 | ||||||
Siemens AG | 10,740 | 1,274,381 | ||||||
Siltronic AG | 8,900 | 914,149 | ||||||
TeamViewer AG, 144A* | 20,377 | 1,121,612 | ||||||
United Internet AG | 24,700 | 1,052,869 | ||||||
Volkswagen AG* | 10,600 | 1,715,206 | ||||||
|
| |||||||
29,603,177 | ||||||||
|
| |||||||
Hong Kong — 0.6% | ||||||||
AIA Group Ltd. | 415,800 | 3,886,921 | ||||||
PAX Global Technology Ltd. | 933,000 | 409,406 | ||||||
Skyworth Group Ltd.*(a) | 1,072,000 | 302,787 | ||||||
Tongda Group Holdings Ltd. | 8,180,000 | 490,266 | ||||||
WH Group Ltd., 144A | 1,291,500 | 1,114,478 | ||||||
Yue Yuen Industrial Holdings Ltd. | 296,500 | 453,958 | ||||||
|
| |||||||
6,657,816 | ||||||||
|
| |||||||
India — 0.5% | ||||||||
HDFC Bank Ltd., ADR | 53,739 | 2,442,975 | ||||||
Reliance Industries Ltd., 144A, GDR | 80,036 | 3,697,059 | ||||||
|
| |||||||
6,140,034 | ||||||||
|
| |||||||
Ireland — 0.4% | ||||||||
Kingspan Group PLC | 62,366 | 4,038,030 | ||||||
Smurfit Kappa Group PLC | 23,100 | 777,927 | ||||||
|
| |||||||
4,815,957 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
A2A SpA | 546,200 | 775,508 | ||||||
Enel SpA | 280,300 | 2,427,782 | ||||||
Leonardo SpA | 97,000 | 648,741 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 87,600 | 633,434 | ||||||
UnipolSai Assicurazioni SpA | 253,700 | 608,465 | ||||||
|
| |||||||
5,093,930 | ||||||||
|
| |||||||
Japan — 5.9% | ||||||||
AGC, Inc. | 42,400 | 1,207,930 | ||||||
Aisan Industry Co. Ltd. | 68,400 | 335,646 | ||||||
Asahi Intecc Co. Ltd. | 54,700 | 1,550,042 | ||||||
Astellas Pharma, Inc. | 152,500 | 2,544,757 | ||||||
Brother Industries Ltd. | 34,700 | 626,237 | ||||||
Credit Saison Co. Ltd. | 42,600 | 486,917 | ||||||
Daikin Industries Ltd. | 23,800 | 3,831,565 | ||||||
Daiwa House Industry Co. Ltd. | 31,900 | 752,047 | ||||||
DTS Corp. | 11,800 | 243,514 | ||||||
EDION Corp. | 63,900 | 647,572 | ||||||
Haseko Corp. | 35,500 | 447,177 | ||||||
Hazama Ando Corp. | 85,900 | 496,637 | ||||||
Hitachi Capital Corp. | 28,500 | 631,256 | ||||||
Hitachi Ltd. | 27,000 | 857,713 | ||||||
Honda Motor Co. Ltd. | 33,200 | 848,259 | ||||||
Hoya Corp. | 35,200 | 3,352,173 | ||||||
Isuzu Motors Ltd. | 78,200 | 706,582 | ||||||
ITOCHU Corp. | 69,900 | 1,505,337 | ||||||
Japan Airlines Co. Ltd. | 35,700 | 647,352 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Japan (cont’d.) | ||||||||
Japan Aviation Electronics Industry Ltd. | 46,000 | $ | 621,945 | |||||
JTEKT Corp. | 22,200 | 172,507 | ||||||
Kaneka Corp. | 14,800 | 384,482 | ||||||
KDDI Corp. | 83,000 | 2,488,758 | ||||||
Keiyo Bank Ltd. (The) | 76,500 | 366,985 | ||||||
Keyence Corp. | 13,500 | 5,644,653 | ||||||
Komatsu Ltd. | 30,800 | 630,424 | ||||||
Lintec Corp. | 30,000 | 713,215 | ||||||
Marubeni Corp. | 173,200 | 783,568 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 23,800 | 863,780 | ||||||
Mitsubishi Chemical Holdings Corp. | 82,800 | 481,792 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 70,200 | 1,063,517 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 274,000 | 1,074,378 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 165,800 | 784,758 | ||||||
Mitsui & Co. Ltd. | 56,300 | 832,280 | ||||||
Mitsui Chemicals, Inc. | 42,400 | 884,765 | ||||||
Mizuho Financial Group, Inc. | 736,200 | 902,102 | ||||||
Nikon Corp. | 45,200 | 378,872 | ||||||
Nippon Telegraph & Telephone Corp. | 117,400 | 2,736,036 | ||||||
Nishi-Nippon Financial Holdings, Inc. | 48,600 | 328,187 | ||||||
Nisshin Oillio Group Ltd. (The) | 21,400 | 669,092 | ||||||
Nomura Holdings, Inc. | 180,800 | 808,546 | ||||||
Nomura Real Estate Holdings, Inc. | 27,200 | 504,434 | ||||||
NTT DOCOMO, Inc. | 22,000 | 585,515 | ||||||
Obayashi Corp. | 84,600 | 790,698 | ||||||
ORIX Corp. | 64,800 | 798,482 | ||||||
Resona Holdings, Inc. | 366,600 | 1,252,260 | ||||||
Sankyu, Inc. | 8,400 | 315,301 | ||||||
Sawai Pharmaceutical Co. Ltd. | 9,200 | 472,514 | ||||||
Shiseido Co. Ltd. | 45,600 | 2,897,045 | ||||||
SKY Perfect JSAT Holdings, Inc. | 151,000 | 561,087 | ||||||
SMC Corp. | 7,600 | 3,893,530 | ||||||
Sompo Holdings, Inc. | 26,600 | 914,361 | ||||||
Sumitomo Corp. | 109,000 | 1,247,673 | ||||||
Sumitomo Forestry Co. Ltd. | 50,100 | 629,074 | ||||||
Sumitomo Heavy Industries Ltd. | 32,300 | 706,973 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 40,900 | 1,150,349 | ||||||
Teijin Ltd. | 67,300 | 1,069,605 | ||||||
Toagosei Co. Ltd. | 28,700 | 281,187 | ||||||
Toho Holdings Co. Ltd. | 12,400 | 231,850 | ||||||
Towa Pharmaceutical Co. Ltd. | 28,200 | 520,749 | ||||||
Toyoda Gosei Co. Ltd. | 15,200 | 316,739 | ||||||
Toyota Motor Corp. | 15,730 | 986,320 | ||||||
Tsubakimoto Chain Co. | 17,000 | 412,992 | ||||||
Ube Industries Ltd. | 30,100 | 517,327 | ||||||
Ulvac, Inc. | 17,900 | 516,604 | ||||||
Yokohama Rubber Co. Ltd. (The) | 45,000 | 635,361 | ||||||
|
| |||||||
67,541,385 | ||||||||
|
| |||||||
Luxembourg — 0.1% | ||||||||
Tenaris SA | 110,223 | 718,212 | ||||||
|
| |||||||
Netherlands — 2.1% | ||||||||
ABN AMRO Bank NV, 144A, CVA | 45,300 | 394,213 | ||||||
Adyen NV, 144A* | 3,006 | 4,395,608 | ||||||
Aegon NV | 215,700 | 647,257 | ||||||
ASML Holding NV | 4,559 | 1,684,527 | ||||||
ING Groep NV | 79,200 | 554,097 |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Netherlands (cont’d.) | ||||||||
Koninklijke Ahold Delhaize NV | 95,900 | $ | 2,624,644 | |||||
NN Group NV | 27,800 | 935,764 | ||||||
NXP Semiconductors NV | 94,473 | 10,773,701 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 69,700 | 1,064,430 | ||||||
Signify NV, 144A* | 46,800 | 1,217,384 | ||||||
|
| |||||||
24,291,625 | ||||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
Air New Zealand Ltd. | 485,600 | 416,961 | ||||||
|
| |||||||
Norway — 0.2% | ||||||||
DNB ASA* | 68,200 | 905,241 | ||||||
Equinor ASA | 41,200 | 589,099 | ||||||
Leroy Seafood Group ASA | 148,600 | 893,701 | ||||||
|
| |||||||
2,388,041 | ||||||||
|
| |||||||
Portugal — 0.0% | ||||||||
Altri SGPS SA | 46,700 | 225,256 | ||||||
|
| |||||||
Singapore — 0.2% | ||||||||
DBS Group Holdings Ltd. | 62,300 | 934,099 | ||||||
Venture Corp. Ltd. | 79,500 | 927,858 | ||||||
|
| |||||||
1,861,957 | ||||||||
|
| |||||||
South Africa — 0.1% | ||||||||
Anglo American PLC | 40,600 | 950,693 | ||||||
Investec PLC | 79,700 | 160,596 | ||||||
|
| |||||||
1,111,289 | ||||||||
|
| |||||||
Spain — 0.5% | ||||||||
Amadeus IT Group SA | 46,737 | 2,444,655 | ||||||
Banco Santander SA* | 199,500 | 489,281 | ||||||
Enagas SA | 18,000 | 441,100 | ||||||
Mapfre SA | 494,400 | 882,586 | ||||||
Repsol SA | 117,700 | 1,041,704 | ||||||
Telefonica SA | 142,000 | 680,211 | ||||||
|
| |||||||
5,979,537 | ||||||||
|
| |||||||
Sweden — 1.4% | ||||||||
Atlas Copco AB (Class A Stock) | 109,610 | 4,669,432 | ||||||
Boliden AB | 35,400 | 811,494 | ||||||
Hexagon AB (Class B Stock)* | 76,445 | 4,497,430 | ||||||
Sandvik AB* | 35,300 | 668,038 | ||||||
Skanska AB (Class B Stock)* | 31,100 | 635,548 | ||||||
SKF AB (Class B Stock) | 70,400 | 1,320,704 | ||||||
Swedbank AB (Class A Stock)* | 18,400 | 236,256 | ||||||
Swedish Orphan Biovitrum AB* | 46,250 | 1,076,240 | ||||||
Volvo AB (Class B Stock)* | 133,200 | 2,097,298 | ||||||
|
| |||||||
16,012,440 | ||||||||
|
| |||||||
Switzerland — 3.0% | ||||||||
Adecco Group AG | 15,300 | 723,939 | ||||||
Baloise Holding AG | 6,000 | 903,634 | ||||||
Credit Suisse Group AG | 136,900 | 1,433,174 | ||||||
Helvetia Holding AG | 4,600 | 431,437 | ||||||
Landis+Gyr Group AG* | 5,300 | 345,246 | ||||||
Lonza Group AG | 9,162 | 4,855,907 | ||||||
Novartis AG | 19,700 | 1,724,529 | ||||||
Partners Group Holding AG | 3,758 | 3,426,061 | ||||||
Roche Holding AG | 18,600 | 6,478,762 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Switzerland (cont’d.) | ||||||||
Sika AG | 16,458 | $ | 3,185,844 | |||||
Straumann Holding AG | 4,034 | 3,486,023 | ||||||
Swiss Life Holding AG | 3,400 | 1,266,470 | ||||||
Temenos AG | 22,198 | 3,478,194 | ||||||
UBS Group AG | 100,600 | 1,171,644 | ||||||
Zurich Insurance Group AG | 4,700 | 1,664,714 | ||||||
|
| |||||||
34,575,578 | ||||||||
|
| |||||||
Taiwan — 0.5% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 489,000 | 5,207,975 | ||||||
|
| |||||||
United Kingdom — 5.1% | ||||||||
3i Group PLC | 92,900 | 962,346 | ||||||
Abcam PLC | 52,935 | 873,424 | ||||||
Ashtead Group PLC | 99,748 | 3,377,901 | ||||||
Aviva PLC | 164,200 | 560,340 | ||||||
Babcock International Group PLC | 113,300 | 438,196 | ||||||
BAE Systems PLC | 251,200 | 1,510,003 | ||||||
Barclays PLC | 373,500 | 531,111 | ||||||
Barratt Developments PLC | 61,900 | 383,092 | ||||||
Bellway PLC | 13,600 | 430,954 | ||||||
BP PLC | 127,200 | 488,065 | ||||||
British American Tobacco PLC | 53,700 | 2,072,359 | ||||||
BT Group PLC | 455,900 | 648,861 | ||||||
Centrica PLC | 457,200 | 218,522 | ||||||
CK Hutchison Holdings Ltd. | 160,300 | 1,030,792 | ||||||
Compass Group PLC | 159,988 | 2,215,792 | ||||||
Crest Nicholson Holdings PLC | 143,814 | 352,521 | ||||||
Diageo PLC | 79,491 | 2,644,922 | ||||||
Dialog Semiconductor PLC* | 14,700 | 677,151 | ||||||
Experian PLC | 133,687 | 4,709,317 | ||||||
GlaxoSmithKline PLC | 159,000 | 3,235,569 | ||||||
Go-Ahead Group PLC (The) | 34,500 | 355,790 | ||||||
Halma PLC | 74,732 | 2,136,946 | ||||||
Imperial Brands PLC | 56,400 | 1,078,709 | ||||||
Inchcape PLC | 66,600 | 404,833 | ||||||
International Consolidated Airlines Group SA | 150,000 | 418,193 | ||||||
J Sainsbury PLC | 458,700 | 1,184,708 | ||||||
Keller Group PLC | 48,200 | 378,945 | ||||||
Kingfisher PLC | 357,200 | 977,192 | ||||||
Legal & General Group PLC | 302,800 | 828,355 | ||||||
Lloyds Banking Group PLC | 1,666,000 | 645,393 | ||||||
London Stock Exchange Group PLC | 37,024 | 3,845,162 | ||||||
Marks & Spencer Group PLC | 279,900 | 345,630 | ||||||
Micro Focus International PLC | 34,519 | 184,788 | ||||||
National Express Group PLC | 114,300 | 266,374 | ||||||
Ninety One PLC* | 14,350 | 36,824 | ||||||
Paragon Banking Group PLC | 105,900 | 461,107 | ||||||
Premier Foods PLC* | 357,756 | 311,271 | ||||||
QinetiQ Group PLC | 88,900 | 327,954 | ||||||
Redrow PLC | 77,600 | 416,815 | ||||||
RELX PLC | 155,318 | 3,617,257 | ||||||
Rentokil Initial PLC | 395,673 | 2,505,581 | ||||||
Royal Mail PLC | 120,900 | 273,388 | ||||||
Segro PLC, REIT | 266,399 | 2,957,527 | ||||||
Spirax-Sarco Engineering PLC | 18,003 | 2,232,630 | ||||||
Tate & Lyle PLC | 141,000 | 1,168,360 |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
United Kingdom (cont’d.) |
| |||||||
Taylor Wimpey PLC | 263,400 | $ | 468,461 | |||||
Tesco PLC | 611,284 | 1,730,154 | ||||||
Vesuvius PLC | 81,100 | 389,227 | ||||||
Vistry Group PLC | 39,863 | 352,723 | ||||||
|
| |||||||
57,661,535 | ||||||||
|
| |||||||
United States — 60.1% |
| |||||||
AbbVie, Inc. | 54,128 | 5,314,287 | ||||||
Adobe, Inc.* | 22,226 | 9,675,200 | ||||||
Alphabet, Inc. (Class C Stock)* | 11,345 | 16,037,405 | ||||||
Amazon.com, Inc.* | 7,108 | 19,609,693 | ||||||
Ameren Corp. | 19,859 | 1,397,279 | ||||||
American International Group, Inc. | 208,058 | 6,487,248 | ||||||
Amphenol Corp. (Class A Stock) | 102,941 | 9,862,777 | ||||||
Applied Materials, Inc. | 99,834 | 6,034,965 | ||||||
Atlassian Corp. PLC | 9,919 | 1,788,098 | ||||||
Autodesk, Inc.* | 64,364 | 15,395,225 | ||||||
Bank of America Corp. | 42,000 | 997,500 | ||||||
Becton, Dickinson & Co. | 20,404 | 4,882,065 | ||||||
Boeing Co. (The) | 18,446 | 3,381,152 | ||||||
Booking Holdings, Inc.* | 300 | 477,702 | ||||||
Brown-Forman Corp. | 164,591 | 10,477,863 | ||||||
Bunge Ltd. | 58,265 | 2,396,439 | ||||||
Capital One Financial Corp. | 9,264 | 579,834 | ||||||
CenterPoint Energy, Inc. | 125,544 | 2,343,907 | ||||||
CF Industries Holdings, Inc. | 87,323 | 2,457,269 | ||||||
Charles Schwab Corp. (The) | 85,368 | 2,880,316 | ||||||
Chubb Ltd. | 61,862 | 7,832,966 | ||||||
Cintas Corp. | 46,040 | 12,263,214 | ||||||
Cisco Systems, Inc. | 114,985 | 5,362,900 | ||||||
Comcast Corp. (Class A Stock) | 89,642 | 3,494,245 | ||||||
Conagra Brands, Inc. | 113,636 | 3,996,578 | ||||||
ConocoPhillips | 55,000 | 2,311,100 | ||||||
Costco Wholesale Corp. | 31,858 | 9,659,664 | ||||||
Cummins, Inc. | 9,700 | 1,680,622 | ||||||
CVS Health Corp. | 94,005 | 6,107,505 | ||||||
Danaher Corp. | 80,339 | 14,206,345 | ||||||
DexCom, Inc.* | 35,956 | 14,576,562 | ||||||
DuPont de Nemours, Inc. | 112,144 | 5,958,211 | ||||||
Edison International | 71,589 | 3,887,999 | ||||||
Edwards Lifesciences Corp.* | 142,665 | 9,859,578 | ||||||
Elanco Animal Health, Inc.* | 84,124 | 1,804,460 | ||||||
Electronic Arts, Inc.* | 128,542 | 16,973,971 | ||||||
Equitable Holdings, Inc. | 120,432 | 2,323,133 | ||||||
Estee Lauder Cos., Inc. (The) | 56,214 | 10,606,458 | ||||||
Exxon Mobil Corp. | 96,172 | 4,300,812 | ||||||
Fifth Third Bancorp | 251,457 | 4,848,091 | ||||||
Fortive Corp. | 179,002 | 12,111,275 | ||||||
Fortune Brands Home & Security, Inc. | 29,797 | 1,904,922 | ||||||
Fox Corp. (Class B Stock) | 104,852 | 2,814,228 | ||||||
Franklin Resources, Inc.(a) | 43,948 | 921,590 | ||||||
General Electric Co. | 1,015,796 | 6,937,887 | ||||||
Genpact Ltd. | 329,066 | 12,017,490 | ||||||
Gilead Sciences, Inc. | 38,022 | 2,925,413 | ||||||
Hologic, Inc.* | 70,339 | 4,009,323 | ||||||
Illinois Tool Works, Inc. | 16,708 | 2,921,394 | ||||||
Illumina, Inc.* | 29,959 | 11,095,316 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
United States (cont’d.) |
| |||||||
International Paper Co. | 131,412 | $ | 4,627,017 | |||||
Intuit, Inc. | 48,967 | 14,503,536 | ||||||
Intuitive Surgical, Inc.*(a) | 24,565 | 13,997,874 | ||||||
Johnson & Johnson | 53,395 | 7,508,939 | ||||||
JPMorgan Chase & Co. | 60,871 | 5,725,526 | ||||||
Kimberly-Clark Corp. | 33,018 | 4,667,094 | ||||||
Kohl’s Corp. | 37,156 | 771,730 | ||||||
L3Harris Technologies, Inc. | 58,066 | 9,852,058 | ||||||
Las Vegas Sands Corp. | 40,845 | 1,860,081 | ||||||
Lululemon Athletica, Inc.* | 44,477 | 13,877,269 | ||||||
Marsh & McLennan Cos., Inc. | 40,402 | 4,337,963 | ||||||
Mastercard, Inc. (Class A Stock) | 53,251 | 15,746,321 | ||||||
McDonald’s Corp. | 3,650 | 673,316 | ||||||
Medtronic PLC. | 68,096 | 6,244,403 | ||||||
Merck & Co., Inc. | 21,425 | 1,656,795 | ||||||
MetLife, Inc. | 126,754 | 4,629,056 | ||||||
Microsoft Corp. | 142,756 | 29,052,274 | ||||||
Morgan Stanley | 204,941 | 9,898,650 | ||||||
News Corp. (Class A Stock) | 180,500 | 2,140,730 | ||||||
NextEra Energy, Inc. | 19,813 | 4,758,488 | ||||||
Nielsen Holdings PLC | 110,505 | 1,642,104 | ||||||
PayPal Holdings, Inc.* | 105,552 | 18,390,325 | ||||||
PepsiCo, Inc. | 17,058 | 2,256,091 | ||||||
Perrigo Co. PLC | 51,228 | 2,831,372 | ||||||
Pfizer, Inc. | 120,916 | 3,953,953 | ||||||
Philip Morris International, Inc. | 66,758 | 4,677,066 | ||||||
Pioneer Natural Resources Co. | 26,078 | 2,547,821 | ||||||
QUALCOMM, Inc. | 86,332 | 7,874,342 | ||||||
Raytheon Technologies Corp. | 20,397 | 1,256,863 | ||||||
Rockwell Automation, Inc. | 9,800 | 2,087,400 | ||||||
Roper Technologies, Inc. | 36,164 | 14,041,035 | ||||||
salesforce.com, Inc.* | 60,428 | 11,319,977 | ||||||
SBA Communications Corp. | 54,223 | 16,154,116 | ||||||
Schlumberger Ltd. | 52,600 | 967,314 | ||||||
Sempra Energy | 15,174 | 1,778,848 | ||||||
Sherwin-Williams Co. (The) | 23,199 | 13,405,542 | ||||||
Signature Bank | 20,093 | 2,148,344 | ||||||
SL Green Realty Corp., REIT(a) | 46,791 | 2,306,328 | ||||||
Southern Co. (The) | 160,712 | 8,332,917 | ||||||
Southwest Airlines Co. | 67,654 | 2,312,414 | ||||||
State Street Corp. | 46,270 | 2,940,459 | ||||||
Stericycle, Inc.*(a) | 31,289 | 1,751,558 | ||||||
TE Connectivity Ltd. | 25,710 | 2,096,651 | ||||||
Texas Instruments, Inc.(a) | 35,627 | 4,523,560 | ||||||
Thermo Fisher Scientific, Inc. | 51,242 | 18,567,026 | ||||||
TJX Cos., Inc. (The) | 27,400 | 1,385,344 | ||||||
Tyson Foods, Inc. (Class A Stock) | 96,235 | 5,746,192 | ||||||
United Parcel Service, Inc. | 64,838 | 7,208,689 | ||||||
Verizon Communications, Inc. | 82,272 | 4,535,655 | ||||||
Walmart, Inc. | 34,977 | 4,189,545 | ||||||
Walt Disney Co. (The) | 26,828 | 2,991,590 | ||||||
Wells Fargo & Co. | 291,963 | 7,474,253 | ||||||
Weyerhaeuser Co. | 214,038 | 4,807,294 | ||||||
Zimmer Biomet Holdings, Inc. | 23,101 | 2,757,335 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
United States (cont’d.) |
| |||||||
Zoetis, Inc. | 116,295 | $ | 15,937,067 | |||||
|
| |||||||
685,914,986 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,099,030,374 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.5% |
| |||||||
Germany — 0.1% | ||||||||
Porsche Automobil Holding SE (PRFC)* | 17,000 | 984,791 | ||||||
|
| |||||||
United States — 0.4% |
| |||||||
Becton, Dickinson & Co., Series B, CVT, 6.000%(a) | 16,525 | 879,130 | ||||||
Elanco Animal Health, Inc., CVT, 5.000% | 2,497 | 95,985 | ||||||
Sempra Energy, Series A, CVT, 6.000% | 21,874 | 2,137,746 | ||||||
Sempra Energy, Series B, CVT, 6.750%(a) | 4,673 | 459,169 | ||||||
Southern Co. (The), CVT, 6.750% | 29,319 | 1,291,795 | ||||||
|
| |||||||
4,863,825 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 5,848,616 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% |
| |||||||
Australia — 0.0% | ||||||||
Super Retail Group Ltd., expiring 07/06/20 | 15,086 | 9,758 | ||||||
|
| |||||||
Spain — 0.0% | ||||||||
Repsol SA, expiring 07/07/20 | 117,700 | 59,797 | ||||||
|
| |||||||
TOTAL RIGHTS |
| 69,555 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,104,948,545 | ||||||
|
|
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 5.8% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond | 30,892,538 | $ | 30,892,538 | |||||
PGIM Institutional Money Market Fund | �� | 35,868,136 | 35,868,136 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 66,760,674 | ||||||
|
| |||||||
TOTAL INVESTMENTS—102.7% |
| 1,171,709,219 | ||||||
Liabilities in excess of other assets — (2.7)% |
| (30,862,097 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,140,847,122 | ||||||
|
|
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 $35,395,801; cash collateral of $35,790,038 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted quoted prices generally in active markets for identical securities.
Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||
Investments in Securities | ||||||||||
Assets | ||||||||||
Common Stocks | ||||||||||
Argentina | $ | 3,096,304 | $ | — | $— | |||||
Australia | — | 15,374,099 | — | |||||||
Austria | — | 2,255,192 | — | |||||||
Belgium | — | 2,186,007 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||
Investments in Securities (continued) | ||||||||||
Assets (continued) | ||||||||||
Common Stocks (continued) | ||||||||||
Canada | $ | 17,922,852 | $ | — | $— | |||||
China | 15,357,043 | 20,350,927 | — | |||||||
Denmark | — | 16,066,482 | — | |||||||
Finland | — | 4,006,043 | — | |||||||
France | 7,380,166 | 38,817,568 | — | |||||||
Germany | — | 29,603,177 | — | |||||||
Hong Kong | — | 6,657,816 | — | |||||||
India | 2,442,975 | 3,697,059 | — | |||||||
Ireland | — | 4,815,957 | — | |||||||
Italy | — | 5,093,930 | — | |||||||
Japan | — | 67,541,385 | — | |||||||
Luxembourg | — | 718,212 | — | |||||||
Netherlands | 10,773,701 | 13,517,924 | — | |||||||
New Zealand | — | 416,961 | — | |||||||
Norway | — | 2,388,041 | — | |||||||
Portugal | — | 225,256 | — | |||||||
Singapore | — | 1,861,957 | — | |||||||
South Africa | — | 1,111,289 | — | |||||||
Spain | — | 5,979,537 | — | |||||||
Sweden | — | 16,012,440 | — | |||||||
Switzerland | — | 34,575,578 | — | |||||||
Taiwan | — | 5,207,975 | — | |||||||
United Kingdom | — | 57,661,535 | — | |||||||
United States | 685,914,986 | — | — | |||||||
Preferred Stocks | ||||||||||
Germany | — | 984,791 | — | |||||||
United States | 4,863,825 | — | — | |||||||
Rights | ||||||||||
Australia | — | 9,758 | — | |||||||
Spain | — | 59,797 | — | |||||||
Affiliated Mutual Funds | 66,760,674 | — | — | |||||||
|
|
|
|
| ||||||
Total | $ | 814,512,526 | $ | 357,196,693 | $— | |||||
|
|
|
|
|
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, 2020 were as follows:
Software | 7.9 | % | ||
Health Care Equipment & Supplies | 7.2 | |||
Affiliated Mutual Funds (3.1% represents investments purchased with collateral from securities on loan) | 5.8 | |||
Pharmaceuticals | 5.2 | |||
IT Services | 5.1 | |||
Insurance | 3.8 | |||
Semiconductors & Semiconductor Equipment | 3.7 | |||
Banks | 3.7 | |||
Machinery | 3.3 | |||
Internet & Direct Marketing Retail | 3.2 | |||
Oil, Gas & Consumable Fuels | 3.1 | |||
Life Sciences Tools & Services | 3.0 | |||
Chemicals | 3.0 | |||
Capital Markets | 2.9 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Equity Real Estate Investment Trusts (REITs) | 2.3 | |||
Industrial Conglomerates | 2.1 | |||
Entertainment | 2.1 |
Interactive Media & Services | 2.1 | % | ||
Electric Utilities | 2.0 | |||
Aerospace & Defense | 2.0 | |||
Food & Staples Retailing | 1.9 | |||
Textiles, Apparel & Luxury Goods | 1.8 | |||
Commercial Services & Supplies | 1.7 | |||
Food Products | 1.5 | |||
Personal Products | 1.5 | |||
Beverages | 1.3 | |||
Biotechnology | 1.3 | |||
Professional Services | 1.1 | |||
Air Freight & Logistics | 1.0 | |||
Multi-Utilities | 1.0 | |||
Diversified Telecommunication Services | 1.0 | |||
Building Products | 0.9 | |||
Media | 0.7 | |||
Tobacco | 0.7 | |||
Trading Companies & Distributors | 0.7 | |||
Automobiles | 0.7 |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Hotels, Restaurants & Leisure | 0.7 | % | ||
Metals & Mining | 0.6 | |||
Health Care Providers & Services | 0.5 | |||
Containers & Packaging | 0.5 | |||
Communications Equipment | 0.5 | |||
Airlines | 0.4 | |||
Road & Rail | 0.4 | |||
Diversified Consumer Services | 0.4 | |||
Household Products | 0.4 | |||
Auto Components | 0.4 | |||
Diversified Financial Services | 0.4 | |||
Specialty Retail | 0.4 | |||
Multiline Retail | 0.3 | |||
Electrical Equipment | 0.3 | |||
Wireless Telecommunication Services | 0.3 | |||
Household Durables | 0.2 | |||
Construction & Engineering | 0.2 |
Construction Materials | 0.2 | % | ||
Energy Equipment & Services | 0.2 | |||
Consumer Finance | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Technology Hardware, Storage & Peripherals | 0.1 | |||
Thrifts & Mortgage Finance | 0.1 | |||
Gas Utilities | 0.0 | * | ||
Distributors | 0.0 | * | ||
Marine | 0.0 | * | ||
|
| |||
102.7 | ||||
Liabilities in excess of other assets | (2.7 | ) | ||
|
| |||
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, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging instruments, carried at fair value | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 69,555 | — | $ | — | ||||||
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
For the six months ended June 30, 2020, the Portfolio did not have any net realized gain (loss) on derivatives in the Statement of Operations.
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(1) | |||||||||||
Equity contracts | $ | 4,216 | ||||||||||
|
|
(1) | 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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A113
GLOBAL PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities on Loan | $ | 35,395,801 | $ | (35,395,801 | ) | $ | — | ||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
GLOBAL PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $35,395,801: | ||||
Unaffiliated investments (cost $828,035,170) | $ | 1,104,948,545 | ||
Affiliated investments (cost $66,699,520) | 66,760,674 | |||
Foreign currency, at value (cost $2,840,762) | 2,797,223 | |||
Cash | 9,426 | |||
Tax reclaim receivable | 2,017,670 | |||
Dividends and interest receivable | 1,268,295 | |||
Receivable for investments sold | 1,263,833 | |||
Receivable from affiliate | 4,948 | |||
Receivable for Portfolio shares sold | 306 | |||
Prepaid expenses | 1,199 | |||
|
| |||
Total Assets | 1,179,072,119 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 35,790,038 | |||
Payable to affiliate | 869,355 | |||
Management fee payable | 668,009 | |||
Payable for investments purchased | 366,546 | |||
Payable for Portfolio shares repurchased | 290,458 | |||
Accrued expenses and other liabilities | 239,665 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 38,224,997 | |||
|
| |||
NET ASSETS | $ | 1,140,847,122 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 1,140,847,122 | ||
|
| |||
Net asset value and redemption price per share, $1,140,847,122 / 29,212,675 outstanding shares of beneficial interest | $ | 39.05 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) |
| |||
INCOME |
| |||
Unaffiliated dividend income (net of $738,467 foreign withholding tax, of which $111,234 is reimbursable by an affiliate) | $ | 10,379,805 | ||
Affiliated dividend income | 228,176 | |||
Income from securities lending, net (including affiliated income of $68,181) | 92,924 | |||
|
| |||
Total income | 10,700,905 | |||
|
| |||
EXPENSES | ||||
Management fee | 4,203,401 | |||
Custodian and accounting fees | 156,883 | |||
Shareholders’ reports | 59,160 | |||
Audit fee | 14,302 | |||
Trustees’ fees | 11,587 | |||
Legal fees and expenses | 7,774 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 22,528 | |||
|
| |||
Total expenses | 4,480,947 | |||
Less: Fee waiver and/or expense reimbursement | (195,132 | ) | ||
|
| |||
Net expenses | 4,285,815 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 6,415,090 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(34,885)) | 32,291,249 | |||
Foreign currency transactions | (136,505 | ) | ||
|
| |||
32,154,744 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $52,112) | (115,249,788 | ) | ||
Foreign currencies | (66,486 | ) | ||
|
| |||
(115,316,274 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (83,161,530 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (76,746,440 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
OPERATIONS | ||||||||||
Net investment income (loss) | $ | 6,415,090 | $ | 16,320,560 | ||||||
Net realized gain (loss) on investment and foreign currency transactions | 32,154,744 | 49,044,379 | ||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (115,316,274 | ) | 235,305,845 | |||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (76,746,440 | ) | 300,670,784 | |||||||
|
|
|
| |||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||
Portfolio shares sold [162,916 and 589,747 shares, respectively] | 6,025,228 | 22,043,834 | ||||||||
Portfolio shares repurchased [1,405,213 and 1,764,963 shares, respectively] | (52,119,862 | ) | (65,786,251 | ) | ||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (46,094,634 | ) | (43,742,417 | ) | ||||||
|
|
|
| |||||||
CAPITAL CONTRIBUTIONS | — | 85,664 | ||||||||
|
|
|
| |||||||
TOTAL INCREASE (DECREASE) | (122,841,074 | ) | 257,014,031 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 1,263,688,196 | 1,006,674,165 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,140,847,122 | $ | 1,263,688,196 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A115
GOVERNMENT INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 101.0% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 10.5% |
| |||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
AGL Core CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-02A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.525%(c) | 04/20/32 | 1,000 | $ | 986,459 | ||||||||||||
Series 2020-04A, Class A, 144A, 3 Month LIBOR + 2.210% (Cap N/A, Floor 2.210%) |
| |||||||||||||||
2.893%(c) | 04/20/28 | 2,000 | 2,001,329 | |||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.436%(c) | 07/16/29 | 1,243 | 1,227,189 | |||||||||||||
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.476%(c) | 01/16/30 | 250 | 244,844 | |||||||||||||
Battalion CLO Ltd., |
| |||||||||||||||
Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
3.012%(c) | 01/17/33 | 2,500 | 2,451,327 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
| |||||||||||||||
2.455%(c) | 01/20/32 | 750 | 733,395 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.358%(c) | 04/22/30 | 1,990 | 1,921,127 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.439%(c) | 07/15/30 | 2,000 | 1,956,796 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%) |
| |||||||||||||||
2.709%(c) | 04/15/29 | 2,000 | 1,970,797 | |||||||||||||
Octagon Investment Partners 45 Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
2.549%(c) | 10/15/32 | 2,250 | 2,225,607 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.010%(c) | 10/30/30 | 3,728 | 3,623,473 | |||||||||||||
Race Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.429%(c) | 10/15/30 | 1,000 | 975,314 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
2.293%(c) | 10/23/31 | 1,000 | 966,961 | |||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%) |
| |||||||||||||||
2.505%(c) | 01/20/32 | 1,000 | 979,147 | |||||||||||||
Trimaran Cavu Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) |
| |||||||||||||||
2.595%(c) | 07/20/32 | 2,500 | 2,471,746 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (con’d.) |
| |||||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.195%(c) | 10/20/29 | 1,250 | $ | 1,220,965 | ||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 25,956,476 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 19.0% |
| |||||||||||||||
Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-C04, Class A4 |
| |||||||||||||||
2.661% | 08/15/52 | 3,000 | 3,207,491 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2019-CD08, Class A3 |
| |||||||||||||||
2.657% | 08/15/57 | 4,000 | 4,276,873 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2012-M02, Class A2 |
| |||||||||||||||
2.717% | 02/25/22 | 110 | 112,313 | |||||||||||||
Series 2015-M08, Class AB2 |
| |||||||||||||||
2.829%(cc) | 01/25/25 | 288 | 308,932 | |||||||||||||
Series 2015-M10, Class A2 |
| |||||||||||||||
3.092%(cc) | 04/25/27 | 1,600 | 1,780,252 | |||||||||||||
Series 2015-M17, Class A2 |
| |||||||||||||||
3.015%(cc) | 11/25/25 | 1,458 | 1,594,197 | |||||||||||||
Series 2016-M11, Class A2 |
| |||||||||||||||
2.369%(cc) | 07/25/26 | 1,200 | 1,291,620 | |||||||||||||
Series 2016-M13, Class A2 |
| |||||||||||||||
2.565%(cc) | 09/25/26 | 2,100 | 2,221,195 | |||||||||||||
Series 2018-M14, Class A1 |
| |||||||||||||||
3.697%(cc) | 08/25/28 | 882 | 983,421 | |||||||||||||
Series 2019-M01, Class A2 |
| |||||||||||||||
3.673%(cc) | 09/25/28 | 1,100 | 1,288,317 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K0019, Class X1, IO |
| |||||||||||||||
1.730%(cc) | 03/25/22 | 15,306 | 346,788 | |||||||||||||
Series K0020, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 05/25/22 | 8,047 | 170,298 | |||||||||||||
Series K0021, Class X1, IO |
| |||||||||||||||
1.548%(cc) | 06/25/22 | 8,703 | 191,684 | |||||||||||||
Series K0025, Class X1, IO |
| |||||||||||||||
0.934%(cc) | 10/25/22 | 24,365 | 380,314 | |||||||||||||
Series K0060, Class AM |
| |||||||||||||||
3.300%(cc) | 10/25/26 | 1,930 | 2,185,717 | |||||||||||||
Series K0064, Class AM |
| |||||||||||||||
3.327%(cc) | 03/25/27 | 1,100 | 1,250,341 | |||||||||||||
Series K0068, Class AM |
| |||||||||||||||
3.315% | 08/25/27 | 1,700 | 1,948,918 | |||||||||||||
Series K0076, Class AM |
| |||||||||||||||
3.900% | 04/25/28 | 425 | 506,624 | |||||||||||||
Series K0077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 900 | 1,073,021 | |||||||||||||
Series K0077, Class AM |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 180 | 214,479 | |||||||||||||
Series K0078, Class AM |
| |||||||||||||||
3.920% | 06/25/28 | 525 | 627,369 | |||||||||||||
Series K0079, Class AM |
| |||||||||||||||
3.930% | 06/25/28 | 675 | 807,056 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K0080, Class AM |
| |||||||||||||||
3.986%(cc) | 07/25/28 | 1,900 | $ | 2,273,119 | ||||||||||||
Series K0081, Class AM |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 1,500 | 1,788,283 | |||||||||||||
Series K0083, Class AM |
| |||||||||||||||
4.030%(cc) | 10/25/28 | 250 | 302,380 | |||||||||||||
Series K0084, Class AM |
| |||||||||||||||
3.880%(cc) | 10/25/28 | 1,300 | 1,541,582 | |||||||||||||
Series K0085, Class AM |
| |||||||||||||||
4.060%(cc) | 10/25/28 | 650 | 785,474 | |||||||||||||
Series K0086, Class A2 |
| |||||||||||||||
3.859%(cc) | 11/25/28 | 1,400 | 1,688,870 | |||||||||||||
Series K0086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 200 | 241,359 | |||||||||||||
Series K0087, Class AM |
| |||||||||||||||
3.832%(cc) | 12/25/28 | 200 | 239,226 | |||||||||||||
Series K0088, Class AM |
| |||||||||||||||
3.761%(cc) | 01/25/29 | 520 | 621,598 | |||||||||||||
Series K0090, Class AM |
| |||||||||||||||
3.492%(cc) | 03/25/29 | 800 | 941,225 | |||||||||||||
Series K0091, Class AM |
| |||||||||||||||
3.566% | 03/25/29 | 850 | 1,006,848 | |||||||||||||
Series K0151, Class A3 |
| |||||||||||||||
3.511% | 04/25/30 | 400 | 469,941 | |||||||||||||
Series K0152, Class A2 |
| |||||||||||||||
3.080% | 01/25/31 | 140 | 162,675 | |||||||||||||
Series K0157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 1,700 | 2,103,139 | |||||||||||||
Series K0157, Class A3 |
| |||||||||||||||
3.990%(cc) | 08/25/33 | 280 | 356,697 | |||||||||||||
Series K0158, Class A2 |
| |||||||||||||||
3.900%(cc) | 12/25/30 | 700 | 860,738 | |||||||||||||
Series K1514, Class A2 |
| |||||||||||||||
2.859% | 10/25/34 | 2,720 | 3,137,944 | |||||||||||||
Series KC03, Class A2 |
| |||||||||||||||
3.499% | 01/25/26 | 650 | 711,948 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 1,100 | 1,249,584 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 47,249,850 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 1.2% |
| |||||||||||||||
Diversified Financial Services |
| |||||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.650% | 02/16/21 | 1,655 | 1,680,414 | |||||||||||||
U.S. Gov’t. Gtd. Notes, Series BB |
| |||||||||||||||
4.300% | 12/15/21 | 1,255 | 1,324,568 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 3,004,982 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% |
| |||||||||||||||
Government National Mortgage Assoc., |
| |||||||||||||||
Series 2015-143, Class WA |
| |||||||||||||||
4.000% | 10/20/45 | 465 | 509,754 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2003-E, Class A1, 1 Month LIBOR + 0.620% (Cap 11.750%, Floor 0.310%) |
| |||||||||||||||
0.805%(c) | 10/25/28 | 13 | $ | 12,468 | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 4A3 |
| |||||||||||||||
3.765%(cc) | 02/25/34 | 57 | 54,686 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 576,908 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.8% |
| |||||||||||||||
Fannie Mae Principal Strip, MTN |
| |||||||||||||||
2.001%(s) | 10/08/27 | 350 | 326,570 | |||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | 1,025 | 1,221,102 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.000% | 01/01/32 | 253 | 262,791 | |||||||||||||
2.500% | 03/01/30 | 451 | 479,346 | |||||||||||||
3.000% | 06/01/29 | 317 | 337,420 | |||||||||||||
3.000% | 01/01/37 | 664 | 702,838 | |||||||||||||
3.000% | 06/01/45 | 373 | 395,810 | |||||||||||||
3.000% | 01/01/48 | 724 | 762,638 | |||||||||||||
3.500% | 12/01/32 | 578 | 612,070 | |||||||||||||
3.500% | 07/01/42 | 531 | 574,642 | |||||||||||||
3.500% | 10/01/42 | 847 | 914,210 | |||||||||||||
3.500% | 08/01/43 | 1,030 | 1,113,604 | |||||||||||||
3.500% | 09/01/45 | 398 | 427,484 | |||||||||||||
3.500% | 10/01/45 | 447 | 478,003 | |||||||||||||
3.500% | 02/01/47 | 431 | 457,436 | |||||||||||||
3.500% | 07/01/47 | 1,087 | 1,150,246 | |||||||||||||
3.500% | 03/01/48 | 1,392 | 1,473,903 | |||||||||||||
4.000% | 06/01/26 | 39 | 41,810 | |||||||||||||
4.000% | 09/01/26 | 148 | 156,459 | |||||||||||||
4.000% | 09/01/40 | 306 | 334,451 | |||||||||||||
4.000% | 12/01/40 | 328 | 359,618 | |||||||||||||
4.000% | 12/01/40 | 343 | 375,981 | |||||||||||||
4.000% | 11/01/43 | 623 | 684,867 | |||||||||||||
4.500% | 09/01/39 | 1,120 | 1,244,989 | |||||||||||||
4.500% | 08/01/48 | 555 | 596,614 | |||||||||||||
5.000% | 06/01/33 | 244 | 277,128 | |||||||||||||
5.000% | 05/01/34 | 221 | 253,139 | |||||||||||||
5.500% | 05/01/37 | 45 | 51,985 | |||||||||||||
5.500% | 02/01/38 | 151 | 173,688 | |||||||||||||
5.500% | 05/01/38 | 64 | 72,848 | |||||||||||||
6.000% | 09/01/34 | 69 | 76,621 | |||||||||||||
6.000% | 01/01/37 | 69 | 80,533 | |||||||||||||
6.000% | 09/01/38 | 43 | 50,742 | |||||||||||||
6.000% | 08/01/39 | 51 | 59,141 | |||||||||||||
6.250% | 07/15/32 | 30 | 47,130 | |||||||||||||
6.500% | 09/01/32 | 20 | 23,189 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN |
| |||||||||||||||
1.846%(s) | 11/15/38 | 600 | 424,226 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.000% | 08/01/31 | 244 | 253,217 | |||||||||||||
2.000% | 10/01/34 | 106 | 109,289 | |||||||||||||
2.500% | TBA | 3,000 | 3,120,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
2.500% | 03/01/24 | 56 | $ | 58,850 | ||||||||||||
2.500% | 06/01/28 | 1,390 | 1,480,549 | |||||||||||||
2.500% | 06/01/34 | 579 | 606,739 | |||||||||||||
2.500% | 02/01/43 | 172 | 181,875 | |||||||||||||
2.500% | 12/01/46 | 619 | 655,650 | |||||||||||||
3.000% | TBA | 2,000 | 2,102,822 | |||||||||||||
3.000% | 02/01/31 | 789 | 829,307 | |||||||||||||
3.000% | 11/01/36 | 614 | 646,646 | |||||||||||||
3.000% | 03/01/43 | 820 | 878,656 | |||||||||||||
3.000% | 07/01/43 | 755 | 815,899 | |||||||||||||
3.000% | 07/01/43 | 920 | 985,162 | |||||||||||||
3.000% | 09/01/46 | 970 | 1,023,635 | |||||||||||||
3.000% | 11/01/46 | 380 | 401,897 | |||||||||||||
3.000% | 11/01/46 | 502 | 529,903 | |||||||||||||
3.000% | 12/01/47 | 1,097 | 1,168,021 | |||||||||||||
3.000% | 06/01/50 | 590 | 621,630 | |||||||||||||
3.500% | 07/01/31 | 845 | 902,952 | |||||||||||||
3.500% | 02/01/33 | 164 | 172,977 | |||||||||||||
3.500% | 06/01/39 | 243 | 262,044 | |||||||||||||
3.500% | 04/01/42 | 415 | 451,316 | |||||||||||||
3.500% | 06/01/42 | 723 | 786,624 | |||||||||||||
3.500% | 07/01/42 | 432 | 465,188 | |||||||||||||
3.500% | 07/01/42 | 766 | 833,112 | |||||||||||||
3.500% | 06/01/45 | 1,504 | 1,608,073 | |||||||||||||
3.500% | 07/01/46 | 722 | 767,545 | |||||||||||||
3.500% | 12/01/46 | 369 | 392,551 | |||||||||||||
3.500% | 12/01/46 | 861 | 930,474 | |||||||||||||
3.500% | 11/01/48 | 1,112 | 1,176,418 | |||||||||||||
4.000% | 09/01/40 | 1,129 | 1,233,626 | |||||||||||||
4.000% | 06/01/42 | 849 | 931,915 | |||||||||||||
4.000% | 09/01/44 | 590 | 643,699 | |||||||||||||
4.000% | 09/01/44 | 946 | 1,031,437 | |||||||||||||
4.000% | 04/01/45 | 540 | 582,759 | |||||||||||||
4.000% | 07/01/45 | 511 | 548,641 | |||||||||||||
4.000% | 10/01/45 | 706 | 762,361 | |||||||||||||
4.000% | 10/01/46 | 243 | 260,781 | |||||||||||||
4.000% | 02/01/47 | 301 | 320,325 | |||||||||||||
4.000% | 06/01/47 | 406 | 433,436 | |||||||||||||
4.000% | 07/01/47 | 436 | 464,372 | |||||||||||||
4.000% | 10/01/47 | 1,223 | 1,303,096 | |||||||||||||
4.000% | 11/01/47 | 326 | 347,436 | |||||||||||||
4.000% | 11/01/47 | 553 | 589,547 | |||||||||||||
4.500% | 05/01/40 | 1,640 | 1,826,189 | |||||||||||||
4.500% | 04/01/42 | 621 | 690,669 | |||||||||||||
5.000% | 12/01/31 | 25 | 27,492 | |||||||||||||
5.000% | 03/01/34 | 274 | 314,697 | |||||||||||||
5.000% | 06/01/35 | 120 | 138,187 | |||||||||||||
5.000% | 07/01/35 | 61 | 70,209 | |||||||||||||
5.000% | 05/01/36 | 81 | 93,549 | |||||||||||||
5.500% | 02/01/34 | 198 | 227,276 | |||||||||||||
5.500% | 09/01/34 | 198 | 226,652 | |||||||||||||
5.500% | 02/01/35 | 202 | 229,894 | |||||||||||||
5.500% | 06/01/35 | 34 | 37,837 | |||||||||||||
5.500% | 06/01/35 | 104 | 115,249 | |||||||||||||
5.500% | 09/01/35 | 37 | 40,956 | |||||||||||||
5.500% | 09/01/35 | 98 | 109,357 | |||||||||||||
5.500% | 10/01/35 | 206 | 235,301 | |||||||||||||
5.500% | 11/01/35 | 102 | 112,491 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
5.500% | 11/01/35 | 252 | $ | 283,762 | ||||||||||||
5.500% | 11/01/35 | 373 | 428,665 | |||||||||||||
6.000% | 05/01/21 | 3 | 3,452 | |||||||||||||
6.000% | 12/01/33 | 10 | 11,260 | |||||||||||||
6.000% | 02/01/34 | 94 | 109,270 | |||||||||||||
6.000% | 08/01/34 | — | (r) | 424 | ||||||||||||
6.000% | 11/01/34 | — | (r) | 542 | ||||||||||||
6.000% | 12/01/34 | 1 | 1,010 | |||||||||||||
6.000% | 01/01/35 | 20 | 21,861 | |||||||||||||
6.000% | 01/01/36 | 59 | 65,883 | |||||||||||||
6.000% | 05/01/38 | 36 | 42,251 | |||||||||||||
6.500% | 07/01/32 | 160 | 189,690 | |||||||||||||
6.500% | 08/01/32 | 66 | 74,890 | |||||||||||||
6.500% | 10/01/32 | 209 | 250,794 | |||||||||||||
6.500% | 10/01/37 | 103 | 123,329 | |||||||||||||
6.625% | 11/15/30 | 435 | 672,842 | |||||||||||||
7.000% | 12/01/31 | — | (r) | 508 | ||||||||||||
7.000% | 12/01/31 | 67 | 78,800 | |||||||||||||
7.000% | 01/01/36 | 16 | 18,454 | |||||||||||||
8.000% | 10/01/23 | — | (r) | 101 | ||||||||||||
8.000% | 09/01/24 | 1 | 808 | |||||||||||||
8.000% | 11/01/24 | 1 | 933 | |||||||||||||
8.000% | 01/01/26 | — | (r) | 220 | ||||||||||||
9.000% | 02/01/25 | 6 | 6,745 | |||||||||||||
9.000% | 04/01/25 | 3 | 3,351 | |||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.500% | TBA | 1,000 | 1,050,078 | |||||||||||||
2.500% | TBA(tt) | 4,500 | 4,735,020 | |||||||||||||
2.500% | 12/20/46 | 235 | 248,638 | |||||||||||||
3.000% | 03/15/45 | 1,229 | 1,300,456 | |||||||||||||
3.000% | 07/20/46 | 1,114 | 1,184,929 | |||||||||||||
3.000% | 09/20/46 | 1,189 | 1,263,671 | |||||||||||||
3.000% | 10/20/46 | 295 | 313,595 | |||||||||||||
3.000% | 04/20/47 | 1,242 | 1,319,470 | |||||||||||||
3.000% | 12/20/48 | 825 | 876,838 | |||||||||||||
3.000% | 04/20/49 | 935 | 992,080 | |||||||||||||
3.500% | 01/20/43 | 905 | 983,676 | |||||||||||||
3.500% | 04/20/43 | 438 | 476,520 | |||||||||||||
3.500% | 03/20/45 | 705 | 755,129 | |||||||||||||
3.500% | 04/20/45 | 587 | 628,304 | |||||||||||||
3.500% | 04/20/46 | 986 | 1,057,345 | |||||||||||||
3.500% | 07/20/46 | 1,514 | 1,619,982 | |||||||||||||
3.500% | 07/20/48 | 1,444 | 1,534,269 | |||||||||||||
3.500% | 11/20/48 | 383 | 404,629 | |||||||||||||
3.500% | 01/20/49 | 615 | 652,208 | |||||||||||||
4.000% | 06/15/40 | 153 | 165,747 | |||||||||||||
4.000% | 08/20/46 | 574 | 618,627 | |||||||||||||
4.000% | 11/20/46 | 351 | 377,433 | |||||||||||||
4.000% | 09/20/47 | 579 | 620,150 | |||||||||||||
4.000% | 02/20/49 | 1,009 | 1,071,431 | |||||||||||||
4.500% | 02/20/41 | 428 | 477,625 | |||||||||||||
4.500% | 03/20/41 | 365 | 400,102 | |||||||||||||
4.500% | 06/20/44 | 272 | 298,513 | |||||||||||||
4.500% | 09/20/46 | 341 | 370,927 | |||||||||||||
4.500% | 11/20/46 | 673 | 736,433 | |||||||||||||
4.500% | 01/20/47 | 84 | 92,008 | |||||||||||||
5.000% | 07/15/33 | 120 | 137,506 | |||||||||||||
5.000% | 09/15/33 | 175 | 198,410 |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
5.000% | 04/15/34 | 77 | $ | 83,966 | ||||||||||||
5.000% | 10/20/48 | 216 | 236,537 | |||||||||||||
5.500% | 03/15/34 | 229 | 266,556 | |||||||||||||
5.500% | 03/15/36 | 50 | 58,087 | |||||||||||||
6.500% | 07/15/32 | 16 | 18,316 | |||||||||||||
6.500% | 08/15/32 | 2 | 2,308 | |||||||||||||
6.500% | 08/15/32 | 3 | 3,484 | |||||||||||||
6.500% | 08/15/32 | 11 | 12,793 | |||||||||||||
6.500% | 08/15/32 | 76 | 91,110 | |||||||||||||
7.000% | 05/15/23 | 2 | 2,123 | |||||||||||||
7.000% | 06/15/23 | 1 | 605 | |||||||||||||
7.000% | 06/15/23 | 3 | 2,881 | |||||||||||||
7.000% | 06/15/23 | 5 | 5,379 | |||||||||||||
7.000% | 07/15/23 | — | (r) | 354 | ||||||||||||
7.000% | 07/15/23 | 8 | 8,431 | |||||||||||||
7.000% | 08/15/23 | 1 | 1,436 | |||||||||||||
7.000% | 08/15/23 | 3 | 3,369 | |||||||||||||
7.000% | 09/15/23 | 1 | 907 | |||||||||||||
7.000% | 10/15/23 | 2 | 1,786 | |||||||||||||
7.000% | 10/15/23 | 2 | 1,889 | |||||||||||||
7.000% | 11/15/23 | 2 | 2,158 | |||||||||||||
7.000% | 11/15/23 | 5 | 5,653 | |||||||||||||
7.000% | 01/15/24 | 35 | 37,105 | |||||||||||||
7.000% | 05/15/24 | 26 | 27,211 | |||||||||||||
7.000% | 08/15/28 | 32 | 37,845 | |||||||||||||
7.500% | 12/15/25 | 2 | 1,672 | |||||||||||||
7.500% | 12/15/25 | 23 | 25,687 | |||||||||||||
7.500% | 02/15/26 | 5 | 4,557 | |||||||||||||
8.500% | 09/15/24 | 36 | 38,631 | |||||||||||||
8.500% | 04/15/25 | 4 | 4,536 | |||||||||||||
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes |
| |||||||||||||||
2.903%(s) | 11/15/25 | 450 | 419,282 | |||||||||||||
2.938%(s) | 05/15/26 | 440 | 405,939 | |||||||||||||
2.975%(s) | 02/15/26 | 325 | 304,948 | |||||||||||||
5.500% | 09/18/33 | 300 | 447,949 | |||||||||||||
Residual Funding Corp., Principal Strip, Bonds, PO |
| |||||||||||||||
1.875%(s) | 01/15/30 | 285 | 252,099 | |||||||||||||
3.143%(s) | 04/15/30 | 2,305 | 2,024,589 | |||||||||||||
Resolution Funding Corp., Interest Strip, Bonds |
| |||||||||||||||
1.636%(s) | 04/15/28 | 500 | 457,191 | |||||||||||||
2.197%(s) | 01/15/30 | 140 | 123,629 | |||||||||||||
2.477%(s) | 01/15/29 | 300 | 266,993 | |||||||||||||
3.624%(s) | 04/15/30 | 500 | 437,159 | |||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes |
| |||||||||||||||
0.750% | 05/15/25 | 325 | 329,053 | |||||||||||||
2.875% | 02/01/27 | 175 | 197,233 | |||||||||||||
5.880% | 04/01/36 | 230 | 357,727 | |||||||||||||
6.750% | 11/01/25 | 510 | 672,950 | |||||||||||||
7.125% | 05/01/30 | 530 | 821,100 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 94,101,036 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 32.3% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.875% | 05/15/43 | (a)(k) | 4,290 | 5,601,131 | ||||||||||||
3.000% | 11/15/44 | 170 | 227,534 | |||||||||||||
3.125% | 02/15/43 | 130 | 176,191 | |||||||||||||
3.625% | 08/15/43 | 6,090 | 8,892,352 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
3.750% | 11/15/43 | (a) | 21,640 | $ | 32,199,644 | |||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.625% | 05/15/30 | 150 | 149,531 | |||||||||||||
2.375% | 08/15/24 | 6,980 | 7,591,295 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
0.807%(s) | 11/15/29 | 15 | 13,951 | |||||||||||||
1.225%(s) | 02/15/41 | 130 | 98,120 | |||||||||||||
1.351%(s) | 08/15/43 | 205 | 144,893 | |||||||||||||
1.374%(s) | 05/15/42 | 380 | 277,548 | |||||||||||||
1.450%(s) | 08/15/42 | 60 | 43,587 | |||||||||||||
1.463%(s) | 11/15/42 | 155 | 111,800 | |||||||||||||
1.488%(s) | 11/15/41 | 730 | 539,630 | |||||||||||||
1.982%(s) | 08/15/39 | 2,120 | 1,651,778 | |||||||||||||
1.990%(s) | 02/15/39 | 2,900 | 2,280,918 | |||||||||||||
2.010%(s) | 08/15/30 | 1,060 | 974,165 | |||||||||||||
2.022%(s) | 02/15/37 | 240 | 197,194 | |||||||||||||
2.056%(s) | 11/15/38 | 345 | 273,062 | |||||||||||||
2.169%(s) | 05/15/39 | 990 | 775,990 | |||||||||||||
2.172%(s) | 02/15/28 | (k) | 550 | 523,897 | ||||||||||||
2.334%(s) | 08/15/41 | (a) | 3,115 | 2,319,093 | ||||||||||||
2.353%(s) | 02/15/44 | 780 | 544,598 | |||||||||||||
2.365%(s) | 05/15/44 | 2,860 | 1,982,338 | |||||||||||||
2.370%(s) | 05/15/29 | 565 | 530,107 | |||||||||||||
2.380%(s) | 05/15/41 | 1,855 | 1,389,221 | |||||||||||||
2.434%(s) | 11/15/45 | 345 | 232,767 | |||||||||||||
2.436%(s) | 02/15/46 | 390 | 261,498 | |||||||||||||
2.506%(s) | 11/15/43 | (a) | 4,315 | 3,031,456 | ||||||||||||
2.741%(s) | 08/15/27 | 2,575 | 2,464,858 | |||||||||||||
2.763%(s) | 08/15/29 | 500 | 467,402 | |||||||||||||
2.856%(s) | 05/15/31 | 500 | 454,473 | |||||||||||||
3.018%(s) | 11/15/35 | 695 | 586,189 | |||||||||||||
3.176%(s) | 08/15/40 | 800 | 608,625 | |||||||||||||
4.096%(s) | 02/15/42 | (k) | 3,725 | 2,732,928 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 80,349,764 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 251,239,016 | ||||||||||||||
|
|
Shares | ||||||||
SHORT-TERM INVESTMENTS — 18.7% |
| |||||||
AFFILIATED MUTUAL FUNDS — 18.5% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 8,408,183 | 8,408,183 | ||||||
PGIM Institutional Money Market Fund (cost $37,762,502; includes $37,748,707 of cash collateral for securities on loan)(b)(w) | 37,777,617 | 37,777,617 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 46,185,800 | ||||||
|
| |||||||
OPTIONS PURCHASED*~ — 0.2% | ||||||||
(cost $61,600) |
| 429,333 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 46,615,133 | ||||||
|
| |||||||
TOTAL INVESTMENTS, BEFORE OPTIONS |
| 297,854,149 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A119
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Value | ||||
OPTION WRITTEN*~ — (0.0)% (premiums received $33,206) | $ | (11,250 | ) | |
|
| |||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN—119.7% | 297,842,899 | |||
Liabilities in excess of other assets(z) — (19.7)% | (49,028,655 | ) | ||
|
| |||
NET ASSETS — 100.0% | $ | 248,814,244 | ||
|
|
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. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,772,386; cash collateral of $37,748,707 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 4,500,000 is 1.8% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $140.00 | 120 | 120 | $ | 24,375 | |||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $143.00 | 240 | 240 | 7,500 | ||||||||||||||
|
| |||||||||||||||||||
Total Exchange Traded (cost $54,591) | $ | 31,875 | ||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 1,227 | $ | 27,382 | |||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 1,193 | 26,563 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 2,982 | 63,004 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 5,920 | 125,332 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 6,000 | 131,395 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 1,193 | 23,782 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total OTC Traded (cost $7,009) | $ | 397,458 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Total Options Purchased (cost $61,600) | $ | 429,333 | ||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $142.00 | 360 | 360 | $ | (11,250 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
(premiums received $33,206) |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||||||
Long Positions: | ||||||||||||||||||||
275 | 5 Year U.S. Treasury Notes | Sep. 2020 | $ | 34,579,102 | $ | 69,012 | ||||||||||||||
8 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 1,259,875 | 5,747 | ||||||||||||||||
|
| |||||||||||||||||||
74,759 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Positions: | ||||||||||||||||||||
13 | 2 Year U.S. Treasury Notes | Sep. 2020 | 2,870,766 | (698 | ) | |||||||||||||||
119 | 10 Year U.S. Treasury Notes | Sep. 2020 | 16,561,454 | (57,959 | ) | |||||||||||||||
302 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 53,925,875 | (238,925 | ) | |||||||||||||||
23 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 5,017,594 | (61,334 | ) | |||||||||||||||
|
| |||||||||||||||||||
(358,916 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ | (284,157 | ) | ||||||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
12,354 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | $ | — | $ | 193,123 | $ | 193,123 | |||||||||||||||
20,373 | 09/15/21 | 1.381%(S) | 3 Month LIBOR(2)(Q) | (26,376 | ) | 358,290 | 384,666 | |||||||||||||||||
13,720 | 09/15/21 | 1.480%(S) | 3 Month LIBOR(2)(Q) | 8,070 | 261,624 | 253,554 | ||||||||||||||||||
23,760 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | 26,781 | 497,406 | 470,625 | ||||||||||||||||||
1,350 | 08/09/49 | 1.508% (A) | 1 Day USOIS(1)(A) | (107,931 | ) | (306,196 | ) | (198,265 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (99,456 | ) | $ | 1,004,247 | $ | 1,103,703 | ||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 2,826,632 | ||||||
|
|
|
|
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 25,956,476 | $ | — | ||||||
Commercial Mortgage-Backed Securities | — | 47,249,850 | — | |||||||||
Corporate Bonds | — | 3,004,982 | — | |||||||||
Residential Mortgage-Backed Securities | — | 576,908 | — | |||||||||
U.S. Government Agency Obligations | — | 94,101,036 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 80,349,764 | $ | — | ||||||
Affiliated Mutual Funds | 46,185,800 | — | — | |||||||||
Options Purchased | 31,875 | 397,458 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 46,217,675 | $ | 251,636,474 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Option Written | $ | (11,250 | ) | $ | — | $ | — | |||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 74,759 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 1,301,968 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 74,759 | $ | 1,301,968 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (358,916 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreement | — | (198,265 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (358,916 | ) | $ | (198,265 | ) | $ | — | ||||
|
|
|
|
|
|
* | 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, 2020 were as follows:
U.S. Government Agency Obligations | 37.8 | % | ||
U.S. Treasury Obligations | 32.3 | |||
Commercial Mortgage-Backed Securities | 19.0 | |||
Affiliated Mutual Funds (15.2% represents investments purchased with collateral from securities on loan) | 18.5 | |||
Collateralized Loan Obligations | 10.5 | |||
Diversified Financial Services | 1.2 | |||
Residential Mortgage-Backed Securities | 0.2 |
Options Purchased | 0.2 | % | ||
|
| |||
119.7 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (19.7 | ) | ||
|
| |||
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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | $ | 74,759 | * | Due from/to broker-variation margin futures | $ | 358,916 | * | ||||
Interest rate contracts | Due from/to broker-variation margin swaps | 1,301,968 | * | Due from/to broker-variation margin swaps | 198,265 | |||||||
Interest rate contracts | Unaffiliated investments | 429,333 | Options written outstanding, at value | 11,250 | ||||||||
|
|
|
| |||||||||
$ | 1,806,060 | $ | 568,431 | |||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A122
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||||||
Interest rate contracts | $ | (67,112 | ) | $ | 24,607 | $ | (2,614,470 | ) | $ | (6,797,136 | ) | |||||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(2) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | 186,877 | $ | 21,956 | $ | (938,576 | ) | $ | 3,943,213 | |||||||
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | |||
$47,577 | $165,333 | $66,748,791 | $96,250,508 |
Interest Rate Swap Agreements(2) |
$107,020,933 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | ||||||||||||
Securities on Loan | $ | 36,772,386 | $ | (36,772,386 | ) | $ | — | ||||||||
|
|
|
|
|
|
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. | $ | 319,731 | $ | — | $ | 319,731 | $ | (270,000 | ) | $ | 49,731 | ||||||||||||||
Barclays Bank PLC | 77,727 | — | 77,727 | — | 77,727 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 397,458 | $ | — | $ | 397,458 | $ | (270,000 | ) | $ | 127,458 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A123
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(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.
A124
GOVERNMENT INCOME PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $36,772,386: | ||||
Unaffiliated investments (cost $231,214,353) | $ | 251,668,349 | ||
Affiliated investments (cost $46,170,685) | 46,185,800 | |||
Cash | 9,067 | |||
Receivable for investments sold | 4,730,589 | |||
Interest receivable | 855,328 | |||
Due from broker-variation margin futures | 173,003 | |||
Due from broker-variation margin swaps | 20,490 | |||
Receivable for Portfolio shares sold | 12,948 | |||
Prepaid expenses and other assets | 8,784 | |||
|
| |||
Total Assets | 303,664,358 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 37,748,707 | |||
Payable for investments purchased | 16,850,993 | |||
Accrued expenses and other liabilities | 114,933 | |||
Management fee payable | 81,426 | |||
Payable for Portfolio shares repurchased | 41,879 | |||
Options written outstanding, at value (proceeds received $33,206) | 11,250 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 54,850,114 | |||
|
| |||
NET ASSETS | $ | 248,814,244 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 248,814,244 | ||
|
| |||
Net asset value and redemption price per share, $248,814,244 / 17,283,159 outstanding shares of beneficial interest | $ | 14.40 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 2,862,698 | ||
Affiliated dividend income | 55,910 | |||
Affiliated income from securities lending, net | 14,534 | |||
|
| |||
Total income | 2,933,142 | |||
|
| |||
EXPENSES | ||||
Management fee | 486,141 | |||
Shareholders’ reports | 47,918 | |||
Custodian and accounting fees | 46,440 | |||
Audit fee | 17,783 | |||
Legal fees and expenses | 6,156 | |||
Trustees’ fees | 6,107 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 7,956 | |||
|
| |||
Total expenses | 623,813 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 2,309,329 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $147,150) | 1,650,093 | |||
Futures transactions | (2,614,470 | ) | ||
Options written transactions | 24,607 | |||
Swap agreements transactions | (6,797,136 | ) | ||
|
| |||
(7,736,906 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(163,837)) | 17,231,301 | |||
Futures | (938,576 | ) | ||
Options written | 21,956 | |||
Swap agreements | 3,943,213 | |||
|
| |||
20,257,894 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 12,520,988 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 14,830,317 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 2,309,329 | $ | 5,492,268 | ||||
Net realized gain (loss) on investment transactions | (7,736,906 | ) | 8,921,459 | |||||
Net change in unrealized appreciation (depreciation) on investments | 20,257,894 | 719,183 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 14,830,317 | 15,132,910 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [612,569 and 2,289,238 shares, respectively] | 8,661,546 | 29,826,157 | ||||||
Portfolio shares repurchased [946,424 and 2,084,878 shares, respectively] | (13,270,864 | ) | (27,448,072 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (4,609,318 | ) | 2,378,085 | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 10,220,999 | 17,510,995 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 238,593,245 | 221,082,250 | ||||||
|
|
|
| |||||
End of period | $ | 248,814,244 | $ | 238,593,245 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A125
GOVERNMENT MONEY MARKET PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
REPURCHASE AGREEMENT(m) — 0.4% |
| |||||||||||||||
Bank of America Securities, Inc., 0.09%, dated 06/30/20, due 07/01/20 in the amount of $3,056,008 |
| 3,056 | $ | 3,056,000 | ||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 59.1% |
| |||||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.015)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.156%(c) | 09/01/20 | 6,000 | 6,001,560 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.140%(c) | 07/21/20 | 7,000 | 7,000,016 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.055)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.123%(c) | 02/03/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.180%(c) | 07/09/20 | 5,000 | 4,999,995 | |||||||||||||
0.185%(c) | 09/25/20 | 4,500 | 4,499,825 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.010% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.201%(c) | 08/12/20 | 6,000 | 5,999,965 | |||||||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.110% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.295%(c) | 03/25/21 | 6,000 | 5,999,424 | |||||||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.120%(c) | 02/09/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.160%(c) | 01/14/21 | 1,500 | 1,500,000 | |||||||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.105% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.185%(c) | 01/15/21 | 6,000 | 6,000,000 | |||||||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.110% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.190%(c) | 05/18/21 | 6,000 | 6,000,000 | |||||||||||||
Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.110%(c) | 07/28/20 | 5,000 | 5,000,000 | |||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
0.110%(n) | 07/31/20 | 2,000 | 1,999,817 | |||||||||||||
0.120%(n) | 08/26/20 | 2,000 | 1,999,627 | |||||||||||||
0.121%(n) | 08/21/20 | 6,000 | 5,998,971 | |||||||||||||
0.145% | 09/22/20 | 6,000 | 6,000,000 | |||||||||||||
0.147%(n) | 09/25/20 | 8,000 | 7,997,191 | |||||||||||||
0.150%(n) | 09/23/20 | 10,000 | 9,996,500 | |||||||||||||
0.160%(n) | 08/24/20 | 1,100 | 1,099,736 | |||||||||||||
0.165%(n) | 09/02/20 | 3,800 | 3,798,903 | |||||||||||||
0.165%(n) | 09/11/20 | 4,775 | 4,773,424 | |||||||||||||
0.240%(n) | 08/04/20 | 7,000 | 6,998,413 | |||||||||||||
0.260%(n) | 07/15/20 | 7,000 | 6,999,292 | |||||||||||||
0.270%(n) | 09/18/20 | 7,000 | 6,995,852 | |||||||||||||
0.303%(n) | 09/01/20 | 17,000 | 16,991,148 | |||||||||||||
0.308%(n) | 07/10/20 | 8,000 | 7,999,385 | |||||||||||||
1.750% | 08/26/20 | 5,500 | 5,499,987 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.010)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.164%(c) | 04/05/21 | 8,000 | 8,000,000 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(continued) |
| |||||||||||||||
0.174%(c) | 08/28/20 | 12,000 | $ | 12,000,497 | ||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.030)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.161%(c) | 08/12/20 | 8,000 | 7,999,495 | |||||||||||||
Federal Home Loan Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.177%(c) | 05/10/21 | 8,000 | 8,000,000 | |||||||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.120)% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.436%(c) | 11/03/20 | 6,000 | 6,000,289 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.110%(c) | 07/17/20 | 2,000 | 2,000,000 | |||||||||||||
0.110%(c) | 09/04/20 | 7,000 | 7,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.120%(c) | 08/25/20 | 4,500 | 4,500,063 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.125%(c) | 08/14/20 | 9,000 | 9,000,000 | |||||||||||||
0.125%(c) | 09/28/20 | 2,000 | 2,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.130%(c) | 01/22/21 | 13,000 | 12,999,036 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.155%(c) | 06/11/21 | 7,000 | 6,990,281 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.160%(c) | 03/04/21 | 15,000 | 15,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.085% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.165%(c) | 09/11/20 | 13,000 | 13,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.090% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.170%(c) | 11/20/20 | 5,000 | 5,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.180%(c) | 09/15/20 | 7,000 | 7,000,000 | |||||||||||||
0.180%(c) | 12/24/20 | 7,500 | 7,500,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.200%(c) | 10/07/20 | 2,500 | 2,500,000 | |||||||||||||
0.200%(c) | 12/11/20 | 5,000 | 5,000,000 | |||||||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.160% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.240%(c) | 05/07/21 | 5,000 | 5,002,156 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
0.120%(n) | 08/19/20 | 7,000 | 6,998,857 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.020% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.100%(c) | 07/10/20 | 13,000 | 12,999,886 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.025% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.105%(c) | 02/26/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.110%(c) | 01/22/21 | 6,000 | 5,997,453 | |||||||||||||
0.110%(c) | 02/05/21 | 6,000 | 5,997,826 |
SEE NOTES TO FINANCIAL STATEMENTS.
A126
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
0.110%(c) | 02/19/21 | 5,000 | $ | 4,999,030 | ||||||||||||
0.110%(c) | 02/24/21 | 7,000 | 7,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.120%(c) | 09/10/20 | 6,000 | 6,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.125%(c) | 08/27/21 | 3,000 | 3,000,000 | |||||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.480%(c) | 10/21/21 | 5,000 | 5,000,000 | |||||||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.140%(c) | 07/30/20 | 2,000 | 2,000,000 | |||||||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.070% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.150%(c) | 12/11/20 | 7,000 | 6,995,258 | |||||||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.155%(c) | 10/30/20 | 6,000 | 5,999,799 | |||||||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.200%(c) | 03/16/21 | 6,000 | 6,000,000 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 395,628,957 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS(n) — 41.5% |
| |||||||||||||||
U.S. Cash Management Bill |
| |||||||||||||||
0.131% | 09/08/20 | 6,000 | 5,998,494 | |||||||||||||
0.165% | 12/01/20 | 8,000 | 7,994,390 | |||||||||||||
0.170% | 11/03/20 | 6,000 | 5,996,458 | |||||||||||||
0.180% | 11/10/20 | 6,500 | 6,495,710 | |||||||||||||
0.190% | 11/17/20 | 5,000 | 4,996,332 | |||||||||||||
0.245% | 09/15/20 | 7,000 | 6,996,379 | |||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.053% | 10/01/20 | 17,000 | 16,994,667 | |||||||||||||
0.078% | 07/02/20 | 12,000 | 11,999,974 | |||||||||||||
0.104% | 07/21/20 | 12,000 | 11,999,306 | |||||||||||||
0.108% | 07/14/20 | 7,000 | 6,999,727 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS(n) (continued) |
| |||||||||||||||
0.114% | 07/07/20 | 21,500 | $ | 21,499,590 | ||||||||||||
0.117% | 08/06/20 | 7,000 | 6,999,181 | |||||||||||||
0.118% | 08/04/20 | 15,000 | 14,998,331 | |||||||||||||
0.120% | 07/09/20 | 6,000 | 5,999,840 | |||||||||||||
0.123% | 08/13/20 | 8,000 | 7,998,825 | |||||||||||||
0.130% | 08/25/20 | 8,000 | 7,998,411 | |||||||||||||
0.132% | 08/27/20 | 18,000 | 17,996,228 | |||||||||||||
0.137% | 07/28/20 | 12,000 | 11,998,768 | |||||||||||||
0.148% | 09/03/20 | 24,000 | 23,993,698 | |||||||||||||
0.155% | 11/12/20 | 5,000 | 4,997,115 | |||||||||||||
0.156% | 07/23/20 | 8,000 | 7,999,237 | |||||||||||||
0.159% | 09/24/20 | 21,000 | 20,992,122 | |||||||||||||
0.160% | 08/11/20 | 5,000 | 4,999,089 | |||||||||||||
0.160% | 09/10/20 | 8,000 | 7,997,476 | |||||||||||||
0.175% | 10/22/20 | 7,000 | 6,996,155 | |||||||||||||
0.178% | 09/17/20 | 6,000 | 5,997,686 | |||||||||||||
0.220% | 10/08/20 | 5,000 | 4,996,975 | |||||||||||||
0.305% | 07/16/20 | 7,000 | 6,999,110 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 277,929,274 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS—101.0% |
| 676,614,231 | ||||||||||||||
Liabilities in excess of other assets — (1.0)% |
| (6,867,926 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 669,746,305 | |||||||||||||
|
|
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, 2020. |
(m) | The Repurchase Agreement is collateralized by FHLB (coupon rate 3.150%, maturity date 07/17/34), with the value, including accrued interest, of $3,121,440. |
(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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Repurchase Agreement | $— | $ 3,056,000 | $— |
SEE NOTES TO FINANCIAL STATEMENTS.
A127
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | |||||||||||||
Investments in Securities (continued) | |||||||||||||||
Assets (continued) | |||||||||||||||
U.S. Government Agency Obligations | $— | $395,628,957 | $— | ||||||||||||
U.S. Treasury Obligations | — | 277,929,274 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total | $— | $676,614,231 | $— | ||||||||||||
|
|
|
|
|
|
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, 2020 were as follows:
U.S. Government Agency Obligations | 59.1 | % | ||
U.S. Treasury Obligations | 41.5 | |||
Repurchase Agreement | 0.4 | |||
|
| |||
101.0 | ||||
Liabilities in excess of other assets | (1.0 | ) | ||
|
| |||
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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Counterparty | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||||||
Repurchase Agreement | Bank of America Securities, Inc. | $ | 3,056,000 | $ | (3,056,000 | ) | $ | — | |||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A128
GOVERNMENT MONEY MARKET PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 676,614,231 | ||
Cash | 476 | |||
Receivable for Portfolio shares sold | 1,628,262 | |||
Interest receivable | 79,224 | |||
Prepaid expenses | 587 | |||
|
| |||
Total Assets | 678,322,780 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 7,996,967 | |||
Payable for Portfolio shares repurchased | 411,398 | |||
Accrued expenses and other liabilities | 86,103 | |||
Management fee payable | 81,081 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 8,576,475 | |||
|
| |||
NET ASSETS | $ | 669,746,305 | ||
|
| |||
Net assets were comprised of: Partners’ Equity | $ | 669,746,305 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $656,509,855 / 65,648,226 outstanding shares of beneficial interest | $ | 10.00 | ||
|
| |||
Class III: | ||||
Net asset value and redemption price per share, $13,236,450 / 1,323,645 outstanding shares of beneficial interest | $ | 10.00 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
Interest income | $ | 2,685,423 | ||
|
| |||
EXPENSES | ||||
Management fee | 923,601 | |||
Distribution fee—Class III | 1,296 | |||
Shareholders’ reports | 52,160 | |||
Custodian and accounting fees | 40,707 | |||
Audit fee | 12,478 | |||
Trustees’ fees | 8,057 | |||
Legal fees and expenses | 6,473 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,886) | 5,311 | |||
Miscellaneous | 7,749 | |||
|
| |||
Total expenses | 1,057,832 | |||
Less: Fee waivers and/or expense reimbursement | (135,849 | ) | ||
Less: Distribution fee waiver | (1,296 | ) | ||
|
| |||
Net expenses | 920,687 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 1,764,736 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions | 25,701 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,790,437 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,764,736 | $ | 10,597,982 | ||||
Net realized gain (loss) on investment transactions | 25,701 | 59,675 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,790,437 | 10,657,657 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | ||||||||
Class I | (1,790,426 | ) | (10,650,252 | ) | ||||
Class III | (11 | ) | — | |||||
|
|
|
| |||||
(1,790,437 | ) | (10,650,252 | ) | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 323,417,774 | 518,391,129 | ||||||
Portfolio shares issued in reinvestment of distributions | 1,790,437 | 10,650,252 | ||||||
Portfolio shares repurchased | (255,013,672 | ) | (465,881,208 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 70,194,539 | 63,160,173 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 70,194,539 | 63,167,578 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 599,551,766 | 536,384,188 | ||||||
|
|
|
| |||||
End of period | $ | 669,746,305 | $ | 599,551,766 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A129
HIGH YIELD BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 97.1% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 10.8% |
| |||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
Adams Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.319%(c) | 07/15/26 | 1,078 | $ | 1,069,297 | ||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
2.569%(c) | 10/15/28 | 4,200 | 4,153,890 | |||||||||||||
Cathedral Lake CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-04A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
| |||||||||||||||
2.385%(c) | 10/20/28 | 5,000 | 4,897,832 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.449%(c) | 10/15/29 | 5,000 | 4,899,972 | |||||||||||||
Flatiron CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.890% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.109%(c) | 04/15/27 | 1,061 | 1,053,787 | |||||||||||||
JMP Credit Advisors CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
2.415%(c) | 07/17/29 | 4,963 | 4,847,873 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%) |
| |||||||||||||||
2.709%(c) | 04/15/29 | 4,175 | 4,114,038 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-13A, Class A1R, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.840%(c) | 07/30/27 | 495 | 487,830 | |||||||||||||
Regatta Funding LP (Cayman Islands), |
| |||||||||||||||
Series 2013-02A, Class A1R2, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 01/15/29 | 5,000 | 4,957,557 | |||||||||||||
Riserva CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-03A, Class AR, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.275%(c) | 10/18/28 | 5,000 | 4,938,611 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-02A, Class AR, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 1.290%) |
| |||||||||||||||
2.425%(c) | 10/20/28 | 2,500 | 2,480,183 | |||||||||||||
Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
2.193%(c) | 01/23/29 | 5,000 | 4,921,027 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-06A, Class AR, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||||||
2.419%(c) | 01/15/29 | 2,500 | 2,478,607 | |||||||||||||
Series 2018-IA, Class A1, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.830%) |
| |||||||||||||||
1.821%(c) | 04/26/28 | 4,981 | 4,924,048 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (cont’d.) |
| |||||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
2.415%(c) | 07/20/29 | 1,991 | $ | 1,970,963 | ||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 52,195,515 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 5.2% |
| |||||||||||||||
Chemicals — 0.8% |
| |||||||||||||||
Nouryon USA LLC (Netherlands), |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.188%(c) | 10/01/25 | 596 | 557,405 | |||||||||||||
Solenis International LP, |
| |||||||||||||||
First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000% |
| |||||||||||||||
4.363%(c) | 06/26/25 | 1,561 | 1,493,142 | |||||||||||||
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500% |
| |||||||||||||||
8.863%(c) | 06/26/26 | 1,931 | 1,652,899 | |||||||||||||
|
| |||||||||||||||
3,703,446 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||||||
Initial Term Loan, 3 Month LIBOR + 2.750% |
| |||||||||||||||
3.750%(c) | 06/07/23 | 600 | 568,000 | |||||||||||||
|
| |||||||||||||||
Computers — 1.0% |
| |||||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Term Loan, 3 Month LIBOR + 10.500% |
| |||||||||||||||
11.500%(c) | 05/09/24^ | 100 | 101,000 | |||||||||||||
McAfee LLC, |
| |||||||||||||||
Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
| |||||||||||||||
9.500%(c) | 09/29/25 | 2,798 | 2,760,706 | |||||||||||||
Term B USD Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.934%(c) | 09/30/24 | 2,152 | 2,087,719 | |||||||||||||
|
| |||||||||||||||
4,949,425 | ||||||||||||||||
|
| |||||||||||||||
Electric — 0.5% |
| |||||||||||||||
Calpine Corp., |
| |||||||||||||||
Term Loan (05/15), 1 Month LIBOR + 2.250% |
| |||||||||||||||
2.430%(c) | 01/15/24 | 734 | 707,150 | |||||||||||||
Heritage Power LLC, |
| |||||||||||||||
Term Loan B, 3 Month LIBOR + 6.000% |
| |||||||||||||||
7.771%(c) | 07/30/26^ | 1,985 | 1,846,050 | |||||||||||||
|
| |||||||||||||||
2,553,200 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Tiger Merger Sub Co., |
| |||||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 06/30/25 | 575 | 568,531 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.2% |
| |||||||||||||||
Landry’s Finance Acquisition Co., |
| |||||||||||||||
B Term Loan, 3 Month LIBOR + 12.000% |
| |||||||||||||||
13.000%(c) | 10/06/23^ | 775 | 813,750 | |||||||||||||
|
| |||||||||||||||
Entertainment — 0.6% |
| |||||||||||||||
Playtika Holding Corp., |
| |||||||||||||||
Term B Loan, 3 Month LIBOR + 6.000% |
| |||||||||||||||
7.072%(c) | 12/10/24 | 2,072 | 2,067,559 |
SEE NOTES TO FINANCIAL STATEMENTS.
A130
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Entertainment (cont’d.) |
| |||||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Initial Term B-5 Loan, 1 - 3 Month LIBOR + 2.750% |
| |||||||||||||||
3.302%(c) | 08/14/24 | 419 | $ | 367,923 | ||||||||||||
Twin River Worldwide Holdings, Inc., |
| |||||||||||||||
Term B-1 Facility Loan, 3 Month LIBOR + 8.000% |
| |||||||||||||||
9.000%(c) | 05/11/26^ | 500 | 517,500 | |||||||||||||
|
| |||||||||||||||
2,952,982 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.6% |
| |||||||||||||||
Chesapeake Energy Corp., |
| |||||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 06/23/24 | 3,600 | 2,043,000 | |||||||||||||
Citgo Petroleum Corp., |
| |||||||||||||||
2019 Incremental Term B Loan, 3 Month LIBOR + 5.000% |
| |||||||||||||||
6.000%(c) | 03/27/24^ | 766 | 731,186 | |||||||||||||
|
| |||||||||||||||
2,774,186 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.1% |
| |||||||||||||||
Mallinckrodt International Finance SA, |
| |||||||||||||||
2017 Term B Loan, 6 Month LIBOR + 2.750% |
| |||||||||||||||
3.500%(c) | 09/24/24 | 521 | 386,352 | |||||||||||||
2018 Incremental Term Loan, 3 Month LIBOR + 3.000% |
| |||||||||||||||
3.750%(c) | 02/24/25 | 174 | 126,488 | |||||||||||||
|
| |||||||||||||||
512,840 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.1% |
| |||||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD), 1 - 6 Month LIBOR + 8.000% |
| |||||||||||||||
9.072%(c) | 04/20/26^ | 467 | 420,574 | |||||||||||||
|
| |||||||||||||||
Software — 0.8% |
| |||||||||||||||
Boxer Parent Co., Inc., |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 4.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.428%(c) | 10/02/25 | 613 | 578,474 | |||||||||||||
Finastra USA, Inc., |
| |||||||||||||||
Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250% |
| |||||||||||||||
8.250%(c) | 06/13/25 | 1,075 | 927,571 | |||||||||||||
Informatica LLC, |
| |||||||||||||||
Second Lien Initial Loan |
| |||||||||||||||
7.125% | 02/25/25 | 500 | 499,375 | |||||||||||||
Kronos, Inc., |
| |||||||||||||||
Second Lien Initial Term Loan, 1 Month LIBOR + 8.250% |
| |||||||||||||||
9.250%(c) | 11/01/24 | 525 | 522,562 | |||||||||||||
TIBCO Software, Inc., |
| |||||||||||||||
Second Lien Term Loan, 1 Month LIBOR + 7.250% |
| |||||||||||||||
7.430%(c) | 03/03/28 | 850 | 812,813 | |||||||||||||
Term Loan B-3, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.930%(c) | 06/30/26 | 448 | 426,762 | |||||||||||||
|
| |||||||||||||||
3,767,557 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.3% |
| |||||||||||||||
West Corp., |
| |||||||||||||||
Initial Term B Loan, 3 Month LIBOR + 4.000% |
| |||||||||||||||
5.000%(c) | 10/10/24 | 149 | 127,073 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Telecommunications (cont’d.) |
| |||||||||||||||
Xplornet Communications, Inc. (Canada), |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 4.750% |
| |||||||||||||||
4.928%(c) | 06/10/27 | 1,375 | $ | 1,310,833 | ||||||||||||
|
| |||||||||||||||
1,437,906 | ||||||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 25,022,397 | ||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BOND — 0.0% |
| |||||||||||||||
Telecommunications | ||||||||||||||||
Digicel Group 0.5 Ltd. (Jamaica), |
| |||||||||||||||
Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A |
| |||||||||||||||
7.000% | – | (rr) | 416 | 29,093 | ||||||||||||
|
| |||||||||||||||
(cost $8,312) |
| |||||||||||||||
CORPORATE BONDS — 80.2% |
| |||||||||||||||
Advertising — 0.8% |
| |||||||||||||||
Mood Media Borrower LLC/Mood Media Co-Issuer, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A, Cash pays ((6 Month LIBOR + 14.000%)/(1—Statutory Reserves)) or PIK 8.000% |
| |||||||||||||||
15.909%(c) | 12/31/23^ | 317 | 88,639 | |||||||||||||
National CineMedia LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 04/15/28 | 575 | 481,099 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 08/15/26 | 1,625 | 1,138,101 | |||||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 06/15/25 | 475 | 481,779 | |||||||||||||
Terrier Media Buyer, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.875% | 12/15/27 | (a) | 1,900 | 1,826,957 | ||||||||||||
|
| |||||||||||||||
4,016,575 | ||||||||||||||||
|
| |||||||||||||||
Aerospace & Defense — 3.3% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.150% | 05/01/30 | 1,900 | 2,117,558 | |||||||||||||
5.805% | 05/01/50 | 2,450 | 2,888,787 | |||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.450% | 05/01/34 | 375 | 235,650 | |||||||||||||
7.500% | 12/01/24 | 3,225 | 2,096,320 | |||||||||||||
7.500% | 03/15/25 | 1,150 | 749,350 | |||||||||||||
7.875% | 04/15/27 | (a) | 3,825 | 2,497,330 | ||||||||||||
8.750% | 12/01/21 | 2,325 | 1,892,328 | |||||||||||||
Howmet Aerospace, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 05/01/25 | (a) | 400 | 434,477 | ||||||||||||
Spirit AeroSystems, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/15/25 | (a) | 800 | 793,779 | ||||||||||||
SSL Robotics LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.750% | 12/31/23 | 975 | 1,044,350 | |||||||||||||
TransDigm UK Holdings PLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/26 | 200 | 186,298 |
SEE NOTES TO FINANCIAL STATEMENTS.
A131
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (cont’d.) |
| |||||||||||||||
TransDigm, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 06/15/26 | 332 | $ | 303,025 | ||||||||||||
6.500% | 07/15/24 | (a) | 625 | 600,667 | ||||||||||||
6.500% | 05/15/25 | 175 | 163,945 | |||||||||||||
|
| |||||||||||||||
16,003,864 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.5% |
| |||||||||||||||
Vector Group Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
10.500% | 11/01/26 | 350 | 351,681 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/01/25 | 1,925 | 1,848,501 | |||||||||||||
|
| |||||||||||||||
2,200,182 | ||||||||||||||||
|
| |||||||||||||||
Apparel — 0.2% |
| |||||||||||||||
William Carter Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 05/15/25 | 575 | 592,411 | |||||||||||||
Wolverine World Wide, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 09/01/26 | 150 | 145,166 | |||||||||||||
6.375% | 05/15/25 | 425 | 446,353 | |||||||||||||
|
| |||||||||||||||
1,183,930 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 1.9% |
| |||||||||||||||
Allison Transmission, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 10/01/27 | 175 | 173,698 | |||||||||||||
5.875% | 06/01/29 | 225 | 234,117 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 01/15/43 | 1,250 | 985,864 | |||||||||||||
5.291% | 12/08/46 | 3,575 | 2,945,812 | |||||||||||||
9.000% | 04/22/25 | 725 | 783,931 | |||||||||||||
9.625% | 04/22/30 | 440 | 521,560 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.584% | 03/18/24 | 625 | 631,200 | |||||||||||||
Navistar International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 11/01/25 | 2,575 | 2,441,472 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 05/01/25 | 600 | 644,037 | |||||||||||||
|
| |||||||||||||||
9,361,691 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 1.9% |
| |||||||||||||||
Adient Global Holdings Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 08/15/26 | 2,175 | 1,802,383 | |||||||||||||
Adient US LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.000% | 04/15/25 | 200 | 215,525 | |||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.250% | 04/01/25 | (a) | 725 | 712,286 | ||||||||||||
6.250% | 03/15/26 | (a) | 2,373 | 2,304,430 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Parts & Equipment (cont’d.) |
| |||||||||||||||
Cooper-Standard Automotive, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/26 | 1,175 | $ | 745,867 | ||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/25 | (a) | 475 | 482,232 | ||||||||||||
6.500% | 06/01/26 | (a) | 1,775 | 1,839,015 | ||||||||||||
Dana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 11/15/27 | 175 | 173,827 | |||||||||||||
5.625% | 06/15/28 | 150 | 148,800 | |||||||||||||
Titan International, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.500% | 11/30/23 | 1,100 | 719,622 | |||||||||||||
|
| |||||||||||||||
9,143,987 | ||||||||||||||||
|
| |||||||||||||||
Banks — 0.2% |
| |||||||||||||||
CIT Group, Inc., |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
6.125% | 03/09/28 | (a) | 975 | 1,054,025 | ||||||||||||
|
| |||||||||||||||
Building Materials — 1.8% |
| |||||||||||||||
Cornerstone Building Brands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 04/15/26 | (a) | 1,250 | 1,261,971 | ||||||||||||
Griffon Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 03/01/28 | (a) | 1,625 | 1,606,053 | ||||||||||||
JELD-WEN, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 12/15/25 | 350 | 335,964 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 05/15/25 | 225 | 235,187 | |||||||||||||
Masonite International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 02/01/28 | 450 | 460,657 | |||||||||||||
Patrick Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 10/15/27 | 675 | 697,266 | |||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 07/15/30 | 675 | 667,894 | |||||||||||||
4.750% | 01/15/28 | (a) | 825 | 836,417 | ||||||||||||
5.000% | 02/15/27 | 290 | 296,088 | |||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 03/15/27 | (a) | 300 | 307,242 | ||||||||||||
U.S. Concrete, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 06/01/24 | (a) | 2,000 | 1,984,989 | ||||||||||||
|
| |||||||||||||||
8,689,728 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 4.2% |
| |||||||||||||||
Ashland LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/43 | 1,705 | 1,969,286 |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (cont’d.) |
| |||||||||||||||
Atotech Alpha 2 BV (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500% |
| |||||||||||||||
8.750% | 06/01/23 | (a) | 1,375 | $ | 1,373,221 | |||||||||||
Atotech Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/25 | 450 | 445,450 | |||||||||||||
Chemours Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 05/15/27 | (a) | 1,690 | 1,531,379 | ||||||||||||
6.625% | 05/15/23 | (a) | 490 | 469,012 | ||||||||||||
7.000% | 05/15/25 | (a) | 1,355 | 1,294,847 | ||||||||||||
Cornerstone Chemical Co., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 08/15/24 | 1,110 | 996,831 | |||||||||||||
Element Solutions, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 12/01/25 | (a) | 390 | 394,284 | ||||||||||||
Hexion, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.875% | 07/15/27 | (a) | 1,400 | 1,301,596 | ||||||||||||
Minerals Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 07/01/28 | 290 | 294,345 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 06/01/27 | 1,486 | 1,307,427 | |||||||||||||
Olin Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.500% | 06/01/25 | 625 | 696,869 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.250% | 04/01/25 | 1,180 | 1,150,997 | |||||||||||||
Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.000% | 10/01/26 | (a) | 1,365 | 1,402,666 | ||||||||||||
TPC Group, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 08/01/24 | 1,220 | 1,097,170 | |||||||||||||
Tronox Finance PLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 10/01/25 | (a) | 1,700 | 1,569,346 | ||||||||||||
Tronox, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 04/15/26 | 820 | 767,271 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/25 | 550 | 556,221 | |||||||||||||
Venator Finance Sarl/Venator Materials LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 07/15/25 | (a) | 1,155 | 822,840 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 07/01/25 | 500 | 511,382 | |||||||||||||
WR Grace & Co-Conn, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 06/15/27 | 300 | 303,880 | |||||||||||||
|
| |||||||||||||||
20,256,320 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services — 2.8% |
| |||||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.625% | 07/15/26 | 375 | $ | 393,537 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 07/15/27 | (a) | 1,325 | 1,395,921 | ||||||||||||
AMN Healthcare, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/27 | 375 | 365,271 | |||||||||||||
Brink’s Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 07/15/25 | 655 | 666,817 | |||||||||||||
Gartner, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 07/01/28 | 220 | 222,226 | |||||||||||||
Laureate Education, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 05/01/25 | (a) | 1,845 | 1,918,405 | ||||||||||||
Nielsen Co. Luxembourg SARL (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 10/01/21 | 258 | 257,879 | |||||||||||||
Refinitiv US Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 11/15/26 | (a) | 62 | 67,110 | ||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/30 | (a) | 500 | 484,139 | ||||||||||||
4.875% | 01/15/28 | (a) | 4,000 | 4,098,667 | ||||||||||||
5.250% | 01/15/30 | (a) | 1,000 | 1,033,735 | ||||||||||||
5.500% | 05/15/27 | (a) | 650 | 672,830 | ||||||||||||
6.500% | 12/15/26 | 450 | 472,589 | |||||||||||||
Verscend Escrow Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 08/15/26 | (a) | 1,640 | 1,766,940 | ||||||||||||
|
| |||||||||||||||
13,816,066 | ||||||||||||||||
|
| |||||||||||||||
Computers — 1.1% |
| |||||||||||||||
Banff Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 09/01/26 | (a) | 2,820 | 2,840,781 | ||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 12/15/25 | (a) | 1,417 | 1,374,534 | ||||||||||||
NCR Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.125% | 04/15/25 | (a) | 275 | 291,596 | ||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 06/01/25 | 300 | 307,347 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/25 | (a) | 529 | 536,522 | ||||||||||||
|
| |||||||||||||||
5,350,780 | ||||||||||||||||
|
| |||||||||||||||
Distribution/Wholesale — 0.4% |
| |||||||||||||||
Core & Main Holdings LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.625% or PIK 9.375% |
| |||||||||||||||
8.625% | 09/15/24 | (a) | 1,275 | 1,276,123 |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Distribution/Wholesale (cont’d.) |
| |||||||||||||||
H&E Equipment Services, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 09/01/25 | (a) | 475 | $ | 481,018 | |||||||||||
Performance Food Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 10/15/27 | (a) | 125 | 120,639 | ||||||||||||
|
| |||||||||||||||
1,877,780 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 2.9% |
| |||||||||||||||
Alliance Data Systems Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 12/15/24 | 800 | 719,036 | |||||||||||||
Fairstone Financial, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.875% | 07/15/24 | 755 | 750,992 | |||||||||||||
LPL Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 09/15/25 | 1,125 | 1,139,269 | |||||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 01/15/27 | 1,050 | 1,008,735 | |||||||||||||
9.125% | 07/15/26 | (a) | 4,650 | 4,917,096 | ||||||||||||
Springleaf Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 01/15/28 | 1,125 | 1,111,744 | |||||||||||||
6.875% | 03/15/25 | 1,100 | 1,130,212 | |||||||||||||
7.125% | 03/15/26 | (a) | 2,975 | 3,077,936 | ||||||||||||
|
| |||||||||||||||
13,855,020 | ||||||||||||||||
|
| |||||||||||||||
Electric — 3.1% |
| |||||||||||||||
Calpine Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/25 | (a) | 5,570 | 5,624,674 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 03/15/28 | (a) | 4,400 | 4,301,714 | ||||||||||||
Keystone Power Pass-Through Holders LLC/Conemaugh Power Pass-Through Holders, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.000% | 12/01/23 | 171 | 162,857 | |||||||||||||
Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A |
| |||||||||||||||
13.000% | 06/01/24 | 580 | 579,742 | |||||||||||||
Mirant Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
0.000%(cc) | 07/15/49^ | 250 | 250 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 01/15/27 | 700 | 733,225 | |||||||||||||
PG&E Corp., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.000% | 07/01/28 | 385 | 382,891 | |||||||||||||
5.250% | 07/01/30 | 305 | 306,478 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A | ||||||||||||||||
5.000% | 07/31/27 | 815 | 826,591 | |||||||||||||
5.500% | 09/01/26 | 1,350 | 1,381,745 | |||||||||||||
5.625% | 02/15/27 | (a) | 633 | 649,622 | ||||||||||||
|
| |||||||||||||||
14,949,789 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electrical Components & Equipment — 0.2% |
| |||||||||||||||
WESCO Distribution, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 06/15/25 | 500 | $ | 527,225 | ||||||||||||
7.250% | 06/15/28 | 585 | 616,585 | |||||||||||||
|
| |||||||||||||||
1,143,810 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Itron, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/15/26 | 450 | 448,388 | |||||||||||||
|
| |||||||||||||||
Energy-Alternate Sources — 0.1% |
| |||||||||||||||
Enviva Partners LP/Enviva Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 01/15/26 | 450 | 467,966 | |||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.7% |
| |||||||||||||||
AECOM, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | (a) | 775 | 832,516 | ||||||||||||
5.875% | 10/15/24 | 525 | 567,850 | |||||||||||||
PowerTeam Services LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.033% | 12/04/25 | 550 | 560,128 | |||||||||||||
TopBuild Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 05/01/26 | 1,275 | 1,310,815 | |||||||||||||
|
| |||||||||||||||
3,271,309 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 3.9% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 06/15/25 | 2,325 | 734,855 | |||||||||||||
5.875% | 11/15/26 | 2,250 | 718,185 | |||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 10/15/25 | (a) | 3,025 | 2,632,821 | ||||||||||||
Colt Merger Sub, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 07/01/25 | 505 | 508,185 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.125% | 07/01/27 | 535 | 520,287 | |||||||||||||
Eldorado Resorts, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 04/01/25 | 350 | 365,852 | |||||||||||||
7.000% | 08/01/23 | (a) | 600 | 616,601 | ||||||||||||
Golden Entertainment, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.625% | 04/15/26 | (a) | 2,025 | 1,887,119 | ||||||||||||
International Game Technology PLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.250% | 01/15/29 | (a) | 400 | 390,670 | ||||||||||||
6.250% | 01/15/27 | (a) | 450 | 458,996 | ||||||||||||
6.500% | 02/15/25 | 975 | 996,063 | |||||||||||||
Jacobs Entertainment, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.875% | 02/01/24 | 1,325 | 1,144,230 |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Entertainment (cont’d.) |
| |||||||||||||||
Merlin Entertainments Ltd. (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/26 | 200 | $ | 192,784 | ||||||||||||
Motion Bondco DAC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 11/15/27 | 900 | 797,084 | |||||||||||||
Penn National Gaming, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 01/15/27 | (a) | 1,525 | 1,428,323 | ||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 11/15/29 | (a) | 525 | 421,248 | ||||||||||||
8.250% | 03/15/26 | (a) | 1,752 | 1,554,757 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.625% | 07/01/25 | 1,075 | 1,005,218 | |||||||||||||
Six Flags Entertainment Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 07/31/24 | (a) | 550 | 493,158 | ||||||||||||
Twin River Worldwide Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/27 | 1,375 | 1,306,658 | |||||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 10/01/29 | (a) | 470 | 420,025 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.750% | 04/15/25 | 175 | 176,317 | |||||||||||||
|
| |||||||||||||||
18,769,436 | ||||||||||||||||
|
| |||||||||||||||
Food Service — 0.1% |
| |||||||||||||||
Aramark Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 05/01/25 | (a) | 400 | 413,015 | ||||||||||||
|
| |||||||||||||||
Foods — 2.0% |
| |||||||||||||||
B&G Foods, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 09/15/27 | (a) | 485 | 485,634 | ||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | (a) | 1,325 | 1,342,593 | ||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 04/15/29 | (a) | 655 | 694,709 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/30 | (a) | 2,100 | 2,151,234 | ||||||||||||
Pilgrim’s Pride Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 03/15/25 | 275 | 274,167 | |||||||||||||
5.875% | 09/30/27 | (a) | 2,150 | 2,151,170 | ||||||||||||
Post Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 12/15/29 | 1,700 | 1,759,660 | |||||||||||||
US Foods, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/24 | (a) | 1,100 | 1,045,755 | ||||||||||||
|
| |||||||||||||||
9,904,922 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Gas — 0.9% |
| |||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 05/20/25 | 1,475 | $ | 1,522,594 | ||||||||||||
5.625% | 05/20/24 | 250 | 259,602 | |||||||||||||
5.750% | 05/20/27 | (a) | 1,475 | 1,562,962 | ||||||||||||
5.875% | 08/20/26 | 975 | 1,037,204 | |||||||||||||
|
| |||||||||||||||
4,382,362 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 3.5% |
| |||||||||||||||
Acadia Healthcare Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 03/01/24 | 150 | 152,499 | |||||||||||||
DaVita, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/30 | (a) | 800 | 793,929 | ||||||||||||
Hadrian Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 05/01/26 | 375 | 341,036 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 12/01/23 | 250 | 248,615 | |||||||||||||
6.250% | 01/15/27 | (a) | 825 | 825,073 | ||||||||||||
Polaris Intermediate Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.500% or PIK 9.250% |
| |||||||||||||||
8.500% | 12/01/22 | (a) | 2,935 | 2,585,505 | ||||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.750% | 12/01/26 | (a) | 3,425 | 3,532,981 | ||||||||||||
Surgery Center Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 07/01/25 | (a) | 575 | 519,316 | ||||||||||||
10.000% | 04/15/27 | (a) | 725 | 732,821 | ||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
5.125% | 05/01/25 | 200 | 193,533 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/27 | (a) | 1,375 | 1,363,966 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/28 | 230 | 225,424 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 06/15/23 | 1,650 | 1,637,389 | |||||||||||||
6.875% | 11/15/31 | 2,025 | 1,824,951 | |||||||||||||
7.000% | 08/01/25 | (a) | 1,840 | 1,807,392 | ||||||||||||
|
| |||||||||||||||
16,784,430 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 4.9% |
| |||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 08/01/25 | 1,500 | 1,493,291 | |||||||||||||
9.875% | 04/01/27 | 1,125 | 1,193,340 | |||||||||||||
Beazer Homes USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 10/15/27 | (a) | 1,550 | 1,480,476 | ||||||||||||
6.750% | 03/15/25 | 850 | 836,014 | |||||||||||||
7.250% | 10/15/29 | 1,025 | 991,451 |
SEE NOTES TO FINANCIAL STATEMENTS.
A135
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Home Builders (cont’d.) |
| |||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 02/15/30 | 800 | $ | 667,106 | ||||||||||||
6.250% | 09/15/27 | (a) | 625 | 597,322 | ||||||||||||
6.375% | 05/15/25 | 2,050 | 2,034,223 | |||||||||||||
Century Communities, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 06/01/27 | (a) | 1,100 | 1,134,435 | ||||||||||||
Forestar Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 03/01/28 | (a) | 500 | 482,914 | ||||||||||||
8.000% | 04/15/24 | 750 | 776,064 | |||||||||||||
KB Home, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.800% | 11/15/29 | (a) | 350 | 343,738 | ||||||||||||
6.875% | 06/15/27 | 750 | 820,241 | |||||||||||||
M/I Homes, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 02/01/28 | 625 | 624,405 | |||||||||||||
5.625% | 08/01/25 | 425 | 433,469 | |||||||||||||
Mattamy Group Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 03/01/30 | (a) | 1,000 | 964,150 | ||||||||||||
5.250% | 12/15/27 | (a) | 475 | 474,147 | ||||||||||||
Meritage Homes Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 06/06/27 | 675 | 696,582 | |||||||||||||
6.000% | 06/01/25 | 1,125 | 1,200,829 | |||||||||||||
New Home Co., Inc. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.250% | 04/01/22 | 700 | 650,886 | |||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 01/31/25 | 875 | 887,276 | |||||||||||||
5.875% | 06/15/27 | 675 | 700,974 | |||||||||||||
6.000% | 09/01/23 | 375 | 385,405 | |||||||||||||
6.625% | 07/15/27 | 1,875 | 1,965,110 | |||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 03/01/24 | 275 | 284,165 | |||||||||||||
5.875% | 04/15/23 | 1,150 | 1,183,800 | |||||||||||||
TRI Pointe Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.700% | 06/15/28 | 240 | 245,313 | |||||||||||||
|
| |||||||||||||||
23,547,126 | ||||||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.2% |
| |||||||||||||||
Spectrum Brands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/29 | 800 | 790,055 | |||||||||||||
5.500% | 07/15/30 | 150 | 150,119 | |||||||||||||
|
| |||||||||||||||
940,174 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Housewares — 0.0% |
| |||||||||||||||
CD&R Smokey Buyer, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 07/15/25 | 30 | $ | 31,280 | ||||||||||||
|
| |||||||||||||||
Iron/Steel — 0.2% |
| |||||||||||||||
Cleveland-Cliffs, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 03/15/26 | 200 | 193,806 | |||||||||||||
9.875% | 10/17/25 | 610 | 638,509 | |||||||||||||
|
| |||||||||||||||
832,315 | ||||||||||||||||
|
| |||||||||||||||
Leisure Time — 0.5% |
| |||||||||||||||
NCL Corp. Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
12.250% | 05/15/24 | 300 | 313,547 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.625% | 12/15/24 | (a) | 900 | 550,472 | ||||||||||||
Royal Caribbean Cruises Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.125% | 06/15/23 | 135 | 133,837 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.875% | 06/01/23 | 230 | 236,303 | |||||||||||||
11.500% | 06/01/25 | 125 | 130,275 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 11/28/20 | (a) | 575 | 557,753 | ||||||||||||
5.250% | 11/15/22 | 150 | 117,871 | |||||||||||||
Viking Cruises Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 09/15/27 | 950 | 566,678 | |||||||||||||
|
| |||||||||||||||
2,606,736 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 2.0% |
| |||||||||||||||
Boyd Gaming Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 04/01/26 | 1,000 | 950,345 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.625% | 06/01/25 | 275 | 287,500 | |||||||||||||
Hilton Domestic Operating Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 05/01/26 | (a) | 1,425 | 1,415,677 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 05/01/25 | 225 | 224,999 | |||||||||||||
5.750% | 05/01/28 | 250 | 253,361 | |||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series EE |
| |||||||||||||||
5.750% | 05/01/25 | 225 | 244,905 | |||||||||||||
MGM Resorts International, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 04/15/27 | 450 | 434,207 | |||||||||||||
6.000% | 03/15/23 | 1,300 | 1,309,989 | |||||||||||||
6.750% | 05/01/25 | (a) | 1,250 | 1,242,105 | ||||||||||||
7.750% | 03/15/22 | (a) | 500 | 508,652 | ||||||||||||
Station Casinos LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 02/15/28 | (a) | 950 | 797,753 | ||||||||||||
5.000% | 10/01/25 | 350 | 308,347 |
SEE NOTES TO FINANCIAL STATEMENTS.
A136
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Lodging (cont’d.) |
| |||||||||||||||
Wyndham Destinations, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 03/01/30 | 425 | $ | 395,217 | ||||||||||||
Wynn Macau Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 12/15/29 | (a) | 925 | 903,537 | ||||||||||||
5.500% | 01/15/26 | 600 | 591,611 | |||||||||||||
|
| |||||||||||||||
9,868,205 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.5% |
| |||||||||||||||
ATS Automation Tooling Systems, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 06/15/23 | 600 | 605,758 | |||||||||||||
Maxim Crane Works Holdings Capital LLC, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
10.125% | 08/01/24 | 2,050 | 2,016,928 | |||||||||||||
|
| |||||||||||||||
2,622,686 | ||||||||||||||||
|
| |||||||||||||||
Media — 6.3% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 05/01/32 | (a) | 1,300 | 1,317,368 | ||||||||||||
4.750% | 03/01/30 | 2,375 | 2,432,844 | |||||||||||||
5.000% | 02/01/28 | 755 | 779,715 | |||||||||||||
5.375% | 06/01/29 | 200 | 210,986 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.250% | 02/15/24 | (a) | 7,635 | 7,082,715 | ||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 12/01/30 | (a) | 575 | 571,475 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/01/28 | 275 | 300,025 | |||||||||||||
10.875% | 10/15/25 | 560 | 602,103 | |||||||||||||
Cumulus Media New Holdings, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 07/01/26 | (a) | 490 | 452,235 | ||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 08/15/27 | 4,220 | 2,258,655 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/26 | 1,020 | 744,767 | |||||||||||||
DISH DBS Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/15/23 | 285 | 284,761 | |||||||||||||
7.750% | 07/01/26 | (a) | 2,350 | 2,490,662 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.375% | 07/01/28 | 565 | 565,535 | |||||||||||||
Entercom Media Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/27 | (a) | 875 | 786,841 | ||||||||||||
Gray Television, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 07/15/26 | (a) | 1,335 | 1,329,978 | ||||||||||||
7.000% | 05/15/27 | (a) | 335 | 345,584 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (cont’d.) |
| |||||||||||||||
iHeartCommunications, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.375% | 05/01/27 | (a) | 1,150 | $ | 1,054,948 | |||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.375% | 05/01/26 | 325 | 323,769 | |||||||||||||
Midcontinent Communications/Midcontinent Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/27 | 300 | 306,047 | |||||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.625% | 02/15/25 | (a) | 900 | 900,235 | ||||||||||||
6.875% | 02/15/23 | 1,735 | 1,761,287 | |||||||||||||
Scripps Escrow, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 07/15/27 | (a) | 310 | 293,738 | ||||||||||||
Sinclair Television Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 02/15/27 | (a) | 685 | 623,409 | ||||||||||||
5.875% | 03/15/26 | 275 | 270,511 | |||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 02/15/25 | (a) | 1,760 | 1,658,281 | ||||||||||||
6.625% | 06/01/27 | (a) | 975 | 930,841 | ||||||||||||
|
| |||||||||||||||
30,679,315 | ||||||||||||||||
|
| |||||||||||||||
Mining — 2.6% |
| |||||||||||||||
Constellium SE, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 02/15/26 | (a) | 1,175 | 1,184,489 | ||||||||||||
6.625% | 03/01/25 | (a) | 636 | 645,514 | ||||||||||||
Eldorado Gold Corp. (Turkey), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 06/01/24 | 1,300 | 1,392,001 | |||||||||||||
First Quantum Minerals Ltd. (Zambia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 03/01/24 | 720 | 679,330 | |||||||||||||
7.250% | 05/15/22 | (a) | 600 | 586,868 | ||||||||||||
7.250% | 04/01/23 | 135 | 128,774 | |||||||||||||
7.500% | 04/01/25 | (a) | 1,575 | 1,496,503 | ||||||||||||
Freeport-McMoRan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 03/15/23 | 1,100 | 1,101,512 | |||||||||||||
Hecla Mining Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.250% | 02/15/28 | (a) | 625 | 634,415 | ||||||||||||
IAMGOLD Corp. (Burkina Faso), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 04/15/25 | 1,385 | 1,400,804 | |||||||||||||
New Gold, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 05/15/25 | (a) | 1,015 | 1,028,622 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 07/15/27 | 725 | 747,124 | |||||||||||||
Novelis Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 09/30/26 | (a) | 1,660 | 1,659,974 | ||||||||||||
|
| |||||||||||||||
12,685,930 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A137
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Miscellaneous Manufacturing — 0.3% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 425 | $ | 438,582 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 05/15/30 | (a) | 570 | 563,297 | ||||||||||||
FXI Holdings, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.875% | 11/01/24 | 644 | 560,605 | |||||||||||||
|
| |||||||||||||||
1,562,484 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 6.5% |
| |||||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.875% | 12/15/24 | (d) | 5,200 | 52 | ||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | 2,770 | 1,644,518 | |||||||||||||
5.125% | 12/01/22 | 775 | 559,804 | |||||||||||||
5.375% | 11/01/21 | 750 | 693,557 | |||||||||||||
5.625% | 06/01/23 | 1,450 | 936,918 | |||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 1,825 | 1,184,123 | |||||||||||||
10.000% | 04/01/22 | 2,050 | 1,762,359 | |||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 08/01/24 | (a) | 2,050 | 2,042,824 | ||||||||||||
CITGO Petroleum Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 06/15/25 | 875 | 876,028 | |||||||||||||
CNX Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 04/15/22 | 711 | 701,978 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 03/14/27 | 1,700 | 1,564,284 | |||||||||||||
CrownRock LP/CrownRock Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 10/15/25 | 350 | 313,857 | |||||||||||||
Diamond Offshore Drilling, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 08/15/25 | (d) | 1,025 | 102,500 | ||||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/30/28 | 1,250 | 1,204,216 | |||||||||||||
6.625% | 07/15/25 | 230 | 231,771 | |||||||||||||
Extraction Oil & Gas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 02/01/26 | (d) | 2,000 | 387,282 | ||||||||||||
7.375% | 05/15/24 | (d) | 950 | 183,839 | ||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 12/01/24 | 75 | 63,074 | |||||||||||||
5.750% | 10/01/25 | (a) | 1,275 | 1,059,985 | ||||||||||||
6.250% | 11/01/28 | 900 | 715,090 | |||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 03/31/24 | 225 | 192,788 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
MEG Energy Corp. (Canada), (cont’d.) |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.125% | 02/01/27 | (a) | 675 | $ | 560,726 | |||||||||||
Nabors Industries Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 01/15/28 | 700 | 432,377 | |||||||||||||
Nabors Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 02/01/25 | 2,750 | 1,112,709 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 08/15/22 | (a) | 375 | 349,382 | ||||||||||||
2.700% | 02/15/23 | (a) | 1,425 | 1,311,886 | ||||||||||||
2.900% | 08/15/24 | (a) | 1,025 | 876,243 | ||||||||||||
3.125% | 02/15/22 | 25 | 24,087 | |||||||||||||
4.850% | 03/15/21 | 50 | 50,020 | |||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 05/15/25 | 990 | 1,056,310 | |||||||||||||
Precision Drilling Corp. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.750% | 12/15/23 | 525 | 366,294 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 01/15/26 | 1,225 | 762,913 | |||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 05/15/25 | 775 | 584,905 | |||||||||||||
5.000% | 03/15/23 | 380 | 324,110 | |||||||||||||
5.875% | 07/01/22 | 799 | 738,788 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 02/01/26 | 850 | 765,222 | |||||||||||||
Seventy Seven Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 07/15/22^ | (d) | 275 | 3 | ||||||||||||
Sunoco LP/Sunoco Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 02/15/26 | 850 | 825,640 | |||||||||||||
5.875% | 03/15/28 | 100 | 99,594 | |||||||||||||
Transocean, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 11/01/25 | 1,875 | 1,045,816 | |||||||||||||
7.500% | 01/15/26 | 1,175 | 640,414 | |||||||||||||
8.000% | 02/01/27 | 825 | 455,670 | |||||||||||||
Valaris PLC (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 10/01/44 | 400 | 29,464 | |||||||||||||
7.375% | 06/15/25 | 75 | 7,287 | |||||||||||||
7.750% | 02/01/26 | 2,050 | 152,952 | |||||||||||||
WPX Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 09/15/24 | (a) | 800 | 790,695 | ||||||||||||
5.250% | 10/15/27 | 1,000 | 935,346 | |||||||||||||
5.750% | 06/01/26 | 275 | 265,669 | |||||||||||||
8.250% | 08/01/23 | 325 | 362,436 | |||||||||||||
|
| |||||||||||||||
31,347,805 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A138
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Packaging & Containers — 0.9% |
| |||||||||||||||
ARD Finance SA (Luxembourg), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, Cash coupon 6.500% or PIK 7.250% |
| |||||||||||||||
6.500% | 06/30/27 | (a) | 950 | $ | 940,722 | |||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.125% | 08/15/26 | (a) | 375 | 368,769 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 08/15/27 | 825 | 809,698 | |||||||||||||
Owens-Brockway Glass Container, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 08/15/25 | 200 | 210,120 | |||||||||||||
6.625% | 05/13/27 | (a) | 725 | 764,971 | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 07/15/24 | (a) | 900 | 903,925 | ||||||||||||
TriMas Corp., | ||||||||||||||||
Gtd. Notes, 144A | ||||||||||||||||
4.875% | 10/15/25 | 337 | 337,992 | |||||||||||||
|
| |||||||||||||||
4,336,197 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.7% |
| |||||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/30/28 | (a) | 725 | 683,158 | ||||||||||||
5.250% | 01/30/30 | (a) | 250 | 238,348 | ||||||||||||
6.125% | 04/15/25 | (a) | 2,615 | 2,649,502 | ||||||||||||
6.250% | 02/15/29 | (a) | 1,225 | 1,231,834 | ||||||||||||
7.000% | 01/15/28 | 775 | 799,150 | |||||||||||||
7.250% | 05/30/29 | 1,510 | 1,585,055 | |||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/30/28 | 631 | 406,995 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 07/31/27 | (a) | 413 | 435,305 | ||||||||||||
Par Pharmaceutical, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/01/27 | 154 | 157,905 | |||||||||||||
|
| |||||||||||||||
8,187,252 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 2.7% |
| |||||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 09/15/24 | 375 | 319,787 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 01/15/28 | (a) | 1,825 | 1,454,866 | ||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 07/15/27 | (a) | 395 | 398,466 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.450% | 11/03/36 | 200 | 180,016 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Jr. Sub. Notes, Series G |
| |||||||||||||||
7.125%(ff) | – | (rr) | 775 | 664,946 | ||||||||||||
EQM Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 07/01/25 | 250 | 252,547 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
EQM Midstream Partners LP, (cont’d.) |
| |||||||||||||||
6.500% | 07/01/27 | 310 | $ | 317,366 | ||||||||||||
Global Partners LP/GLP Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 06/15/23 | 950 | 912,604 | |||||||||||||
7.000% | 08/01/27 | 260 | 240,589 | |||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.768% | 12/15/37 | 675 | 825,608 | |||||||||||||
Rockies Express Pipeline LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 04/15/40 | 2,269 | 2,181,852 | |||||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 09/15/24 | 875 | 794,175 | |||||||||||||
5.500% | 01/15/28 | (a) | 2,025 | 1,731,951 | ||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 04/15/26 | (a) | 375 | 372,684 | ||||||||||||
6.750% | 03/15/24 | 675 | 679,111 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100%(cc) | 02/01/25 | 200 | 190,220 | |||||||||||||
3.950% | 06/01/25 | (a) | 575 | 539,397 | ||||||||||||
4.050%(cc) | 02/01/30 | (a) | 850 | 817,619 | ||||||||||||
|
| |||||||||||||||
12,873,804 | ||||||||||||||||
|
| |||||||||||||||
Real Estate — 1.0% |
| |||||||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.875% | 11/15/25 | (a) | 1,675 | 1,602,552 | ||||||||||||
Greystar Real Estate Partners LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 12/01/25 | (a) | 1,825 | 1,826,728 | ||||||||||||
Hunt Cos., Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/15/26 | 1,825 | 1,663,040 | |||||||||||||
|
| |||||||||||||||
5,092,320 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||||||||||
Diversified Healthcare Trust, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.750% | 06/15/25 | (a) | 700 | 752,298 | ||||||||||||
ESH Hospitality, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 05/01/25 | 1,325 | 1,281,825 | |||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/26 | (a) | 230 | 251,334 | ||||||||||||
5.750% | 06/01/28 | 275 | 304,894 | |||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 01/15/28 | (a) | 1,175 | 1,146,773 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/25 | 185 | 182,090 |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 10/15/27 | (a) | 1,225 | $ | 1,260,503 | |||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 06/01/25 | (a) | 935 | 956,026 | ||||||||||||
RHP Hotel Properties LP/RHP Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 04/15/23 | 75 | 70,804 | |||||||||||||
Ryman Hospitality Properties, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 10/15/27 | 125 | 111,209 | |||||||||||||
Sabra Health Care LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 08/15/26 | 400 | 404,716 | |||||||||||||
VICI Properties LP/VICI Note Co., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 12/01/29 | 745 | 730,354 | |||||||||||||
|
| |||||||||||||||
7,452,826 | ||||||||||||||||
|
| |||||||||||||||
Retail — 4.0% |
| |||||||||||||||
Brinker International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/24 | 175 | 163,374 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 05/15/23 | 850 | 786,058 | |||||||||||||
CEC Entertainment, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.000% | 02/15/22 | (d) | 2,000 | 226,849 | ||||||||||||
eG Global Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.500% | 10/30/25 | (a) | 1,075 | 1,104,898 | ||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., |
| |||||||||||||||
Gtd. Notes, (original cost $ 739,750; purchased 06/02/16 - 01/28/19)(f) |
| |||||||||||||||
6.750% | 06/15/23 | 850 | 705,779 | |||||||||||||
Sr. Unsec’d. Notes, (original cost $ 590,875; purchased 02/11/14 - |
| |||||||||||||||
08/28/19)(f) | ||||||||||||||||
6.500% | 05/01/21 | 625 | 520,461 | |||||||||||||
Sr. Unsec’d. Notes, (original cost $ 940,625; purchased 01/06/15 - |
| |||||||||||||||
04/10/19)(f) | ||||||||||||||||
6.750% | 01/15/22 | 975 | 811,119 | |||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.625% | 07/31/20 | 2,100 | 523,461 | |||||||||||||
8.625% | 07/31/20 | 2,875 | 715,156 | |||||||||||||
Golden Nugget, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.750% | 10/01/25 | 2,350 | 1,382,232 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 10/15/24 | 1,550 | 1,110,286 | |||||||||||||
Michaels Stores, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 07/15/27 | (a) | 1,300 | 1,130,362 | ||||||||||||
PetSmart, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 03/15/23 | 950 | 937,102 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (cont’d.) |
| |||||||||||||||
PetSmart, Inc., (cont’d.) |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/25 | (a) | 2,037 | $ | 2,044,166 | |||||||||||
Rite Aid Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 04/01/23 | 1,396 | 1,356,627 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 07/01/25 | 504 | 505,470 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 2,600 | 2,525,081 | ||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 04/30/25 | 175 | 190,699 | |||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 06/01/24 | (a) | 1,175 | 1,166,238 | ||||||||||||
5.750% | 03/01/25 | 175 | 175,463 | |||||||||||||
5.875% | 03/01/27 | 150 | 149,185 | |||||||||||||
Superior Plus LP/Superior General Partner, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 07/15/26 | (a) | 1,075 | 1,112,754 | ||||||||||||
|
| |||||||||||||||
19,342,820 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.1% |
| |||||||||||||||
Microchip Technology, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 09/01/25 | (a) | 330 | 332,063 | ||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
Boxer Parent Co., Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.125% | 10/02/25 | (a) | 325 | 340,912 | ||||||||||||
Dun & Bradstreet Corp. (The), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.875% | 08/15/26 | 285 | 302,050 | |||||||||||||
RP Crown Parent LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.375% | 10/15/24 | (a) | 1,555 | 1,556,325 | ||||||||||||
|
| |||||||||||||||
2,199,287 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 6.6% |
| |||||||||||||||
C&W Senior Financing DAC (Ireland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 09/15/27 | (a) | 775 | 767,731 | ||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series P |
| |||||||||||||||
7.600% | 09/15/39 | 165 | 177,597 | |||||||||||||
CommScope Technologies LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/15/25 | (a) | 2,140 | 2,064,521 | ||||||||||||
CommScope, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 07/01/28 | 610 | 609,697 | |||||||||||||
8.250% | 03/01/27 | (a) | 435 | 446,821 | ||||||||||||
Digicel Group 0.5 Ltd. (Jamaica), |
| |||||||||||||||
Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% or PIK 10.000% |
| |||||||||||||||
10.000% | 04/01/24 | 1,227 | 844,682 |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (cont’d.) |
| |||||||||||||||
Digicel Group 0.5 Ltd. (Jamaica), (cont’d.) |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% or PIK 8.000% |
| |||||||||||||||
8.000% | 04/01/25 | 614 | $ | 151,571 | ||||||||||||
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. (Jamaica), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 12/31/26 | 363 | 219,794 | |||||||||||||
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% |
| |||||||||||||||
13.000% | 12/31/25 | 735 | 623,480 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 05/25/24 | 850 | 829,144 | |||||||||||||
8.750% | 05/25/24 | (a) | 908 | 885,491 | ||||||||||||
Digicel Ltd. (Jamaica), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 03/01/23 | 4,710 | 2,424,610 | |||||||||||||
Embarq Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.995% | 06/01/36 | (a) | 6,775 | 7,612,375 | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 08/01/23 | (d) | 1,945 | 1,109,628 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.750% | 07/15/25 | (d) | 3,955 | 2,425,284 | ||||||||||||
Intelsat Luxembourg SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.125% | 06/01/23 | (d) | 1,690 | 92,950 | ||||||||||||
Intrado Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 10/15/25 | (a) | 3,884 | 3,094,221 | ||||||||||||
Northwestern Bell Telephone, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 05/01/30 | 100 | 104,963 | |||||||||||||
ORBCOMM, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.000% | 04/01/24 | 1,255 | 1,198,464 | |||||||||||||
Sprint Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 11/15/28 | (a) | 430 | 524,441 | ||||||||||||
8.750% | 03/15/32 | 1,991 | 2,847,744 | |||||||||||||
Sprint Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 02/15/25 | (a) | 1,385 | 1,597,611 | ||||||||||||
Zayo Group Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.125% | 03/01/28 | (a) | 1,125 | 1,093,407 | ||||||||||||
|
| |||||||||||||||
31,746,227 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.6% |
| |||||||||||||||
XPO Logistics, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 05/01/25 | 170 | 178,010 | |||||||||||||
6.750% | 08/15/24 | (a) | 2,650 | 2,775,920 | ||||||||||||
|
| |||||||||||||||
2,953,930 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 388,586,157 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.0% |
| |||||||||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||||||
Series 2005-07, Class 1A1 |
| |||||||||||||||
3.180%(cc) | 10/25/35 | 5 | $ | 3,724 | ||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2005-43, Class 4A3 |
| |||||||||||||||
3.354%(cc) | 10/25/35 | 2 | 2,061 | |||||||||||||
Series 2006-HY13, Class 4A1 |
| |||||||||||||||
3.843%(cc) | 02/25/37 | 3 | 2,637 | |||||||||||||
Series 2006-OA09, Class 2A1A, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%) |
| |||||||||||||||
0.400%(c) | 07/20/46 | 4 | 2,652 | |||||||||||||
American Home Mortgage Assets Trust, |
| |||||||||||||||
Series 2006-04, Class 1A12, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%) |
| |||||||||||||||
0.395%(c) | 10/25/46 | 21 | 13,381 | |||||||||||||
American Home Mortgage Investment Trust, |
| |||||||||||||||
Series 2005-02, Class 4A1, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%) |
| |||||||||||||||
2.015%(c) | 09/25/45 | 1 | 637 | |||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series 2006-B, Class 2A1 |
| |||||||||||||||
3.687%(cc) | 03/20/36 | 5 | 4,744 | |||||||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||||||
Series 2007-10, Class 22AA |
| |||||||||||||||
3.934%(cc) | 09/25/37 | 13 | 11,800 | |||||||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||||||
Series 2006-05, Class 2A1A, 1 Month LIBOR + 0.180% (Cap N/A, Floor 0.180%) |
| |||||||||||||||
0.374%(c) | 07/19/46 | 6 | 3,218 | |||||||||||||
IndyMac INDX Mortgage Loan Trust, |
| |||||||||||||||
Series 2006-AR12, Class A1, 1 Month LIBOR + 0.190% (Cap N/A, Floor 0.190%) |
| |||||||||||||||
0.375%(c) | 09/25/46 | 5 | 4,197 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2007-S03, Class 1A96 |
| |||||||||||||||
6.000% | 08/25/37 | 13 | 9,833 | |||||||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||||||
Series 2006-OA01, Class 1A1, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%) |
| |||||||||||||||
0.395%(c) | 04/25/46 | 3 | 2,639 | |||||||||||||
RALI Trust, |
| |||||||||||||||
Series 2006-QA02, Class 3A1 |
| |||||||||||||||
5.760%(cc) | 02/25/36 | 14 | 10,994 | |||||||||||||
Residential Asset Securitization Trust, |
| |||||||||||||||
Series 2007-A05, Class 2A3 |
| |||||||||||||||
6.000% | 05/25/37 | 3 | 2,677 | |||||||||||||
WaMu Mortgage Pass-Through Certificates Trust, |
| |||||||||||||||
Series 2007-HY01, Class 2A3 |
| |||||||||||||||
3.611%(cc) | 02/25/37 | 3 | 2,613 | |||||||||||||
Series 2007-HY01, Class 4A1 |
| |||||||||||||||
3.592%(cc) | 02/25/37 | 4 | 3,267 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 81,074 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A141
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS — 0.9% | ||||||||
Chemicals — 0.0% |
| |||||||
Hexion Holdings Corp. (Class B Stock)* | 23,260 | $ | 157,005 | |||||
|
| |||||||
Electric Utilities — 0.7% |
| |||||||
GenOn Energy Holdings, Inc. (Class A Stock)*^ | 11,836 | 2,663,100 | ||||||
Keycon Power Holdings LLC*^ | 2,150 | 533,200 | ||||||
|
| |||||||
3,196,300 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.2% |
| |||||||
Vistra Energy Corp | 44,042 | 820,062 | ||||||
|
| |||||||
Media — 0.0% |
| |||||||
Mood Media Corp.*^ | 71,972 | 7 | ||||||
Mood Media Corp., (OOTC)*^ | 88,166 | 9 | ||||||
|
| |||||||
16 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||
Frontera Energy Corp. (Colombia) | 7,600 | 18,901 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 4,192,284 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.0% |
| |||||||
Capital Markets — 0.0% |
| |||||||
Goldman Sachs Group, Inc. (The), Series K, 6.375% | 11,850 | 309,996 | ||||||
|
| |||||||
Construction Materials — 0.0% |
| |||||||
New Millennium Homes LLC^ | 408 | 4,493 | ||||||
|
| |||||||
Media — 0.0% |
| |||||||
Adelphia Communications Corp.^ | 700 | 1 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 314,490 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 470,421,010 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 30.3% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond | 3,149,429 | 3,149,429 | ||||||
PGIM Institutional Money Market Fund (cost $143,298,851; includes $143,237,589 of cash collateral for securities on | 143,351,923 | 143,351,923 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 146,501,352 | ||||||
|
| |||||||
TOTAL INVESTMENTS—127.4% |
| 616,922,362 | ||||||
Liabilities in excess of other assets(z) — (27.4)% |
| (132,567,538 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 484,354,824 | ||||||
|
|
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 instrument. The aggregate value of Level 3 instruments is $7,719,762 and 1.6% 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 $140,435,276; cash collateral of $143,237,589 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $2,271,250. The aggregate value of $2,037,359 is 0.4% of net assets. |
(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. |
(p) | Interest rate not available as of June 30, 2020. |
(rr) | Perpetual security with no stated maturity 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.
A142
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions: | ||||||||||||||
135 | 2 Year U.S. Treasury Notes | Sep. 2020 | $ | 29,811,797 | $ | 6,879 | ||||||||
32 | 5 Year U.S. Treasury Notes | Sep. 2020 | 4,023,750 | 8,599 | ||||||||||
135 | 10 Year U.S. Treasury Notes | Sep. 2020 | 18,788,204 | 60,720 | ||||||||||
24 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 4,285,500 | 24,869 | ||||||||||
|
| |||||||||||||
101,067 | ||||||||||||||
|
| |||||||||||||
Short Position: | ||||||||||||||
4 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 872,625 | (44,127 | ) | |||||||||
|
| |||||||||||||
$ | 56,940 | |||||||||||||
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.34.V6 | 06/20/25 | 5.000%(Q) | 32,286 | $ | 1,741,202 | $ | 161,276 | $ | (1,579,926 | ) | ||||||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
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. | $ | 3,433,000 | $ | — | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A143
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 52,195,515 | $ | — | ||||||
Bank Loans | — | 20,592,337 | 4,430,060 | |||||||||
Convertible Bond | — | 29,093 | — | |||||||||
Corporate Bonds | — | 388,497,265 | 88,892 | |||||||||
Residential Mortgage-Backed Securities | — | 81,074 | — | |||||||||
Common Stocks | 995,968 | — | 3,196,316 | |||||||||
Preferred Stocks | 309,996 | — | 4,494 | |||||||||
Affiliated Mutual Funds | 146,501,352 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 147,807,316 | $ | 461,395,284 | $ | 7,719,762 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 101,067 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (44,127 | ) | $ | — | $ | — | |||||
Centrally Cleared Credit Default Swap Agreement | — | (1,579,926 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (44,127 | ) | $ | (1,579,926 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loan | Corporate Bonds | Common Stocks | Preferred stocks | Warrants | ||||||||||||||||
Balance as of 12/31/19 | $ | 4,999,235 | $ | 253 | $ | 2,433,876 | $ | 7,762 | 5,508 | |||||||||||
Realized gain (loss) | 404 | — | (13,090 | ) | — | (6,838 | ) | |||||||||||||
Change in unrealized appreciation (depreciation) | 5,550 | (138,877 | ) | 131,449 | (3,268 | ) | 1,335 | |||||||||||||
Purchases/Exchanges/Issuances | 1,327,000 | 24,105 | — | — | — | |||||||||||||||
Sales/Paydowns | (187,983 | ) | — | (919 | ) | — | (5 | ) | ||||||||||||
Accrued discount/premium | 4,667 | (38,589 | ) | — | — | — | ||||||||||||||
Transfers into Level 3 | — | 242,000 | 645,000 | — | — | |||||||||||||||
Transfers out of Level 3 | (1,718,813 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of 06/30/20 | $ | 4,430,060 | $ | 88,892 | $ | 3,196,316 | $ | 4,494 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end | $ | 5,550 | $ | (138,877 | ) | $ | 124,904 | $ | (3,268 | ) | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of | Valuation | Unobservable Inputs | |||||
Bank Loans | $ | 4,430,060 | Market Approach | Single Broker Indicative Quote | ||||
Corporate Bonds | 88,639 | Enterprise Value | Estimated EBITDA |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 3 Securities | Fair Value as of June 30, 2020 | Valuation Methodology | Unobservable Inputs | |||||
Corporate Bonds | $ 253 | Worthless | Estimated Future Distributions | |||||
Common Stocks | 533,200 | Enterprise Value | Discounted Cash Flow | |||||
Common Stocks | 16 | Stale Pricing | Unadjusted Last Trade Price | |||||
Common Stocks | 2,663,100 | Market Approach | Single Broker Indicative Quote | |||||
Preferred Stocks | 1 | Worthless | Estimated Future Distributions | |||||
Preferred Stocks | 4,493 | Formula Pricing | Estimated Future Distributions | |||||
|
| |||||||
$7,719,762 | ||||||||
|
|
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||
Bank Loans | $1,718,813 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes | |||
Corporate Bonds | $ 242,000 | L2 to L3 | Proxy Price to Enterprise Value Evaluated Bid to Enterprise | |||
Common Stocks | $ 645,000 | L2 to L3 | 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, 2020 were as follows:
Affiliated Mutual Funds (29.6% represents investments purchased with collateral from securities on loan) | 30.3 | % | ||
Collateralized Loan Obligations | 10.8 | |||
Oil & Gas | 7.1 | |||
Telecommunications | 6.9 | |||
Media | 6.3 | |||
Chemicals | 5.0 | |||
Home Builders | 4.9 | |||
Entertainment | 4.5 | |||
Retail | 4.1 | |||
Electric | 3.6 | |||
Healthcare-Services | 3.5 | |||
Aerospace & Defense | 3.3 | |||
Commercial Services | 2.9 | |||
Diversified Financial Services | 2.9 | |||
Pipelines | 2.7 | |||
Mining | 2.6 | |||
Computers | 2.1 | |||
Foods | 2.0 | |||
Lodging | 2.0 | |||
Auto Manufacturers | 1.9 | |||
Auto Parts & Equipment | 1.9 | |||
Pharmaceuticals | 1.8 | |||
Building Materials | 1.8 | |||
Real Estate Investment Trusts (REITs) | 1.5 | |||
Software | 1.3 | |||
Real Estate | 1.0 | |||
Gas | 0.9 | |||
Packaging & Containers | 0.9 | |||
Engineering & Construction | 0.9 |
Advertising | 0.8 | % | ||
Electric Utilities | 0.7 | |||
Transportation | 0.6 | |||
Machinery-Diversified | 0.5 | |||
Leisure Time | 0.5 | |||
Agriculture | 0.5 | |||
Distribution/Wholesale | 0.4 | |||
Miscellaneous Manufacturing | 0.3 | |||
Apparel | 0.2 | |||
Electrical Components & Equipment | 0.2 | |||
Banks | 0.2 | |||
Electronics | 0.2 | |||
Household Products/Wares | 0.2 | |||
Iron/Steel | 0.2 | |||
Independent Power & Renewable Electricity Producers | 0.2 | |||
Energy-Alternate Sources | 0.1 | |||
Food Service | 0.1 | |||
Semiconductors | 0.1 | |||
Capital Markets | 0.0 | * | ||
Residential Mortgage-Backed Securities | 0.0 | * | ||
Housewares | 0.0 | * | ||
Oil, Gas & Consumable Fuels | 0.0 | * | ||
Construction Materials | 0.0 | * | ||
|
| |||
127.4 | ||||
Liabilities in excess of other assets | (27.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A145
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Credit contracts | — | $ | — | Due from/to broker-variation margin swaps | $ | 1,579,926 | * | |||||
Interest rate contracts | Due from/to broker-variation margin futures | 101,067 | * | Due from/to broker-variation margin futures | 44,127 | * | ||||||
|
|
|
| |||||||||
$ | 101,067 | $ | 1,624,053 | |||||||||
|
|
|
|
* | 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, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Warrants(1) | Futures | Swaps | ||||||||||||
Credit contracts | $ | — | $ | — | $ | 6,863,583 | |||||||||
Equity contracts | (6,838 | ) | — | — | |||||||||||
Interest rate contracts | — | 2,356,283 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | (6,838 | ) | $ | 2,356,283 | $ | 6,863,583 | ||||||||
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Warrants(2) | Futures | Swaps | ||||||||||||
Credit contracts. | $ | — | $ | — | $ | (725,241 | ) | ||||||||
Equity contracts | 1,335 | — | — | ||||||||||||
Interest rate contracts | — | 138,254 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 1,335 | $ | 138,254 | $ | (725,241 | ) | ||||||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures Contracts— Positions(1) | Futures Contracts— Short Positions(1) | |||
$46,116,040 | $1,199,156 |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Credit Default Swap Agreements— Buy Protection(1) |
$22,083,250 |
(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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities on Loan | $ | 140,435,276 | $ | (140,435,276 | ) | $ | — | ||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A147
HIGH YIELD BOND PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $140,435,276: | ||||
Unaffiliated investments (cost $503,341,020) | $ | 470,421,010 | ||
Affiliated investments (cost $146,448,280) | 146,501,352 | |||
Cash | 445,602 | |||
Dividends and interest receivable | 7,520,601 | |||
Receivable for investments sold | 4,181,056 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 3,433,000 | |||
Receivable for Portfolio shares sold | 13,224 | |||
Tax reclaim receivable | 4,019 | |||
Prepaid expenses | 544 | |||
|
| |||
Total Assets | 632,520,408 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 143,237,589 | |||
Payable for investments purchased | 3,986,375 | |||
Due to broker-variation margin swaps | 289,101 | |||
Accrued expenses and other liabilities | 241,656 | |||
Management fee payable | 202,922 | |||
Payable for Portfolio shares repurchased | 180,166 | |||
Due to broker-variation margin futures | 22,830 | |||
Payable to affiliate | 4,019 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 148,165,584 | |||
|
| |||
NET ASSETS | $ | 484,354,824 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 484,354,824 | ||
|
| |||
Net asset value and redemption price per share, $484,354,824 / 87,572,437 outstanding shares of beneficial interest | $ | 5.53 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Interest income | $ | 17,077,552 | ||
Income from securities lending, net (including affiliated income of $167,990) | 173,745 | |||
Affiliated dividend income. | 72,459 | |||
Unaffiliated dividend income (net of $468 foreign withholding tax, of which $110 is reimbursable by an affiliate) | 25,440 | |||
|
| |||
Total income | 17,349,196 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,327,019 | |||
Shareholders’ reports | 58,410 | |||
Custodian and accounting fees | 56,785 | |||
Audit fee | 22,029 | |||
Trustees’ fees | 7,889 | |||
Legal fees and expenses | 6,682 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 11,688 | |||
|
| |||
Total expenses | 1,495,814 | |||
Less: Fee waiver and/or expense reimbursement | (120,535 | ) | ||
|
| |||
Net expenses | 1,375,279 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 15,973,917 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(81,888)) | (2,378,551 | ) | ||
Futures transactions | 2,356,283 | |||
Swap agreements transactions | 6,863,583 | |||
|
| |||
6,841,315 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $34,359) | (43,989,209 | ) | ||
Futures | 138,254 | |||
Swap agreements | (725,241 | ) | ||
Foreign currencies | (1 | ) | ||
|
| |||
(44,576,197 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (37,734,882 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (21,760,965 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||||
Net investment income (loss) | $ | 15,973,917 | $ | 31,788,697 | ||||||
Net realized gain (loss) on investment and foreign currency transactions | 6,841,315 | 8,036,970 | ||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (44,576,197 | ) | 35,874,540 | |||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (21,760,965 | ) | 75,700,207 | |||||||
|
|
|
| |||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||
Portfolio shares sold [1,611,031 and 2,682,266 shares, respectively] | 8,870,658 | 14,608,943 | ||||||||
Portfolio shares repurchased [4,551,496 and 7,713,371 shares, respectively] | (24,756,556 | ) | (41,998,343 | ) | ||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (15,885,898 | ) | (27,389,400 | ) | ||||||
|
|
|
| |||||||
TOTAL INCREASE (DECREASE) | (37,646,863 | ) | 48,310,807 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 522,001,687 | 473,690,880 | ||||||||
|
|
|
| |||||||
End of period | $ | 484,354,824 | $ | 522,001,687 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A148
JENNISON PORTFOLIO
|
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 99.1% |
| |||||||
COMMON STOCKS | ||||||||
Aerospace & Defense — 0.9% | ||||||||
Boeing Co. (The) | 130,222 | $ | 23,869,693 | |||||
|
| |||||||
Automobiles — 4.0% | ||||||||
Tesla, Inc.*(a) | 97,353 | 105,122,743 | ||||||
|
| |||||||
Biotechnology — 2.2% | ||||||||
BioMarin Pharmaceutical, Inc.*(a) | 165,843 | 20,455,076 | ||||||
Vertex Pharmaceuticals, Inc.* | 126,213 | 36,640,896 | ||||||
|
| |||||||
57,095,972 | ||||||||
|
| |||||||
Capital Markets — 2.5% | ||||||||
Goldman Sachs Group, Inc. (The) | 162,303 | 32,074,319 | ||||||
S&P Global, Inc. | 106,206 | 34,992,753 | ||||||
|
| |||||||
67,067,072 | ||||||||
|
| |||||||
Entertainment — 5.1% | ||||||||
Netflix, Inc.* | 240,710 | 109,532,679 | ||||||
Spotify Technology SA* | 101,181 | 26,123,922 | ||||||
|
| |||||||
135,656,601 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.7% |
| |||||||
American Tower Corp. | 67,381 | 17,420,684 | ||||||
|
| |||||||
Food & Staples Retailing — 1.5% | ||||||||
Costco Wholesale Corp. | 134,325 | 40,728,683 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
Danaher Corp. | 85,431 | 15,106,764 | ||||||
DexCom, Inc.* | 67,761 | 27,470,309 | ||||||
Intuitive Surgical, Inc.* | 17,585 | 10,020,461 | ||||||
|
| |||||||
52,597,534 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.6% |
| |||||||
Guardant Health, Inc.* | 89,580 | 7,267,626 | ||||||
Humana, Inc. | 20,847 | 8,083,424 | ||||||
|
| |||||||
15,351,050 | ||||||||
|
| |||||||
Health Care Technology — 0.6% | ||||||||
Teladoc Health, Inc.*(a) | 88,685 | 16,924,645 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
Chipotle Mexican Grill, Inc.* | 35,775 | 37,648,179 | ||||||
|
| |||||||
Interactive Media & Services — 10.0% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 43,498 | 61,682,339 | ||||||
Alphabet, Inc. (Class C Stock)* | 43,396 | 61,345,019 | ||||||
Facebook, Inc. (Class A Stock)* | 409,400 | 92,962,458 | ||||||
Match Group, Inc.* | 26,308 | 2,816,271 | ||||||
Tencent Holdings Ltd. (China) | 716,954 | 46,230,302 | ||||||
|
| |||||||
265,036,389 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 9.4% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 239,037 | 51,560,281 | ||||||
Amazon.com, Inc.* | 71,744 | 197,928,782 | ||||||
|
| |||||||
249,489,063 | ||||||||
|
| |||||||
IT Services — 14.3% |
| |||||||
Adyen NV (Netherlands), 144A* | 37,932 | 55,467,129 | ||||||
Mastercard, Inc. (Class A Stock) | 295,382 | 87,344,457 | ||||||
PayPal Holdings, Inc.* | 356,353 | 62,087,383 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
IT Services (cont’d.) | ||||||||
Shopify, Inc. (Canada) | 73,432 | $ | 69,701,654 | |||||
Twilio, Inc. (Class A Stock)* | 157,928 | 34,652,562 | ||||||
Visa, Inc. (Class A Stock)(a) | 367,762 | 71,040,586 | ||||||
|
| |||||||
380,293,771 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Illumina, Inc.*(a) | 43,497 | 16,109,114 | ||||||
|
| |||||||
Personal Products — 1.5% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 217,971 | 41,126,768 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% | ||||||||
AstraZeneca PLC (United Kingdom), ADR | 1,025,310 | 54,228,646 | ||||||
Eli Lilly & Co. | 242,716 | 39,849,113 | ||||||
|
| |||||||
94,077,759 | ||||||||
|
| |||||||
Road & Rail — 2.5% | ||||||||
Uber Technologies, Inc.* | 1,388,175 | 43,144,479 | ||||||
Union Pacific Corp. | 141,006 | 23,839,884 | ||||||
|
| |||||||
66,984,363 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
NVIDIA Corp. | 209,925 | 79,752,607 | ||||||
|
| |||||||
Software — 20.6% | ||||||||
Adobe, Inc.* | 182,215 | 79,320,012 | ||||||
Atlassian Corp. PLC (Class A Stock)* | 144,554 | 26,058,750 | ||||||
Coupa Software, Inc.*(a) | 115,150 | 31,901,156 | ||||||
Crowdstrike Holdings, Inc. | 241,788 | 24,248,918 | ||||||
Microsoft Corp. | 773,673 | 157,450,192 | ||||||
RingCentral, Inc. (Class A Stock)* | 98,654 | 28,117,377 | ||||||
salesforce.com, Inc.* | 422,491 | 79,145,239 | ||||||
ServiceNow, Inc.* | 59,442 | 24,077,576 | ||||||
Splunk, Inc.*(a) | 216,976 | 43,113,131 | ||||||
Trade Desk, Inc. (The) | 53,090 | 21,581,085 | ||||||
Workday, Inc. (Class A Stock)* | 160,316 | 30,036,806 | ||||||
|
| |||||||
545,050,242 | ||||||||
|
| |||||||
Specialty Retail — 2.0% | ||||||||
Carvana Co.*(a) | 85,328 | 10,256,425 | ||||||
Home Depot, Inc. (The) | 168,572 | 42,228,972 | ||||||
|
| |||||||
52,485,397 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.5% |
| |||||||
Apple, Inc. | 397,419 | 144,978,451 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 4.7% |
| |||||||
Kering SA (France) | 50,114 | 27,390,637 | ||||||
Lululemon Athletica, Inc.* | 195,985 | 61,149,280 | ||||||
NIKE, Inc. (Class B Stock) | 358,863 | 35,186,517 | ||||||
|
| |||||||
123,726,434 | ||||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,628,593,214 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A149
JENNISON PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 10.5% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 26,283,839 | $ | 26,283,839 | |||||
PGIM Institutional Money Market Fund (cost $250,835,397; includes $250,744,265 of cash collateral for securities on | 251,299,684 | 251,299,684 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 277,583,523 | ||||||
|
| |||||||
TOTAL INVESTMENTS—109.6% |
| 2,906,176,737 | ||||||
Liabilities in excess of other assets — (9.6)% |
| (254,506,038 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,651,670,699 | ||||||
|
|
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 $252,621,915; cash collateral of $250,744,265 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted quoted prices generally in active markets for identical securities.
Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 23,869,693 | $ | — | $ | — | ||||||
Automobiles | 105,122,743 | — | — | |||||||||
Biotechnology | 57,095,972 | — | — | |||||||||
Capital Markets | 67,067,072 | — | — | |||||||||
Entertainment | 135,656,601 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 17,420,684 | — | — | |||||||||
Food & Staples Retailing | 40,728,683 | — | — | |||||||||
Health Care Equipment & Supplies | 52,597,534 | — | — | |||||||||
Health Care Providers & Services | 15,351,050 | — | — | |||||||||
Health Care Technology | 16,924,645 | — | — | |||||||||
Hotels, Restaurants & Leisure | 37,648,179 | — | — | |||||||||
Interactive Media & Services | 218,806,087 | 46,230,302 | — | |||||||||
Internet & Direct Marketing Retail | 249,489,063 | — | — | |||||||||
IT Services | 324,826,642 | 55,467,129 | — | |||||||||
Life Sciences Tools & Services | 16,109,114 | — | — | |||||||||
Personal Products | 41,126,768 | — | — | |||||||||
Pharmaceuticals | 94,077,759 | — | — | |||||||||
Road & Rail | 66,984,363 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 79,752,607 | — | — | |||||||||
Software | 545,050,242 | — | — | |||||||||
Specialty Retail | 52,485,397 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 144,978,451 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 96,335,797 | 27,390,637 | — | |||||||||
Affiliated Mutual Funds | 277,583,523 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 2,777,088,669 | $ | 129,088,068 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A150
JENNISON PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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, 2020 were as follows:
Software | 20.6 | % | ||
IT Services | 14.3 | |||
Affiliated Mutual Funds (9.5% represents investments purchased with collateral from securities on loan) | 10.5 | |||
Interactive Media & Services | 10.0 | |||
Internet & Direct Marketing Retail | 9.4 | |||
Technology Hardware, Storage & Peripherals | 5.5 | |||
Entertainment | 5.1 | |||
Textiles, Apparel & Luxury Goods | 4.7 | |||
Automobiles | 4.0 | |||
Pharmaceuticals | 3.5 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Capital Markets | 2.5 | |||
Road & Rail | 2.5 | |||
Biotechnology | 2.2 |
Health Care Equipment & Supplies | 2.0 | % | ||
Specialty Retail | 2.0 | |||
Personal Products | 1.5 | |||
Food & Staples Retailing | 1.5 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Aerospace & Defense | 0.9 | |||
Equity Real Estate Investment Trusts (REITs) | 0.7 | |||
Health Care Technology | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Health Care Providers & Services | 0.6 | |||
|
| |||
109.6 | ||||
Liabilities in excess of other assets | (9.6 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities on Loan | $ | 252,621,915 | $ | (250,744,265 | ) | $ | 1,877,650 | ||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A151
JENNISON PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $252,621,915: | ||||
Unaffiliated investments (cost $1,027,076,023) | $ | 2,628,593,214 | ||
Affiliated investments (cost $277,119,236) | 277,583,523 | |||
Receivable for investments sold | 6,495,732 | |||
Tax reclaim receivable | 295,506 | |||
Dividends receivable | 190,380 | |||
Receivable for Portfolio shares sold | 46,527 | |||
Prepaid expenses | 2,209 | |||
|
| |||
Total Assets | 2,913,207,091 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 250,744,265 | |||
Payable for investments purchased | 7,877,258 | |||
Management fee payable | 1,261,618 | |||
Payable for Portfolio shares repurchased | 1,106,690 | |||
Accrued expenses and other liabilities | 395,353 | |||
Payable to affiliate | 127,577 | |||
Distribution fee payable | 14,127 | |||
Administration fee payable | 8,578 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 261,536,392 | |||
|
| |||
NET ASSETS | $ | 2,651,670,699 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 2,651,670,699 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $2,580,674,514 / 26,478,198 outstanding shares of beneficial interest | $ | 97.46 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $70,996,185 / 764,357 outstanding shares of beneficial interest | $ | 92.88 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $79,628 foreign withholding tax) | $ | 6,658,357 | ||
Income from securities lending, net (including affiliated income of $433,945) | 448,421 | |||
Affiliated dividend income | 98,071 | |||
|
| |||
Total income | 7,204,849 | |||
|
| |||
EXPENSES | ||||
Management fee | 6,922,552 | |||
Distribution fee—Class II | 80,020 | |||
Administration fee—Class II | 48,012 | |||
Custodian and accounting fees | 97,637 | |||
Shareholders’ reports | 69,160 | |||
Trustees’ fees | 18,063 | |||
Audit fee | 14,221 | |||
Legal fees and expenses | 9,356 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 24,731 | |||
|
| |||
Total expenses | 7,289,064 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | (84,215 | ) | ||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON | ||||
INVESTMENT AND FOREIGN CURRENCY | ||||
TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(199,722)) | 73,219,177 | |||
Foreign currency transactions | 99,037 | |||
|
| |||
73,318,214 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $420,208) | 360,145,980 | |||
Foreign currencies | (222 | ) | ||
|
| |||
360,145,758 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 433,463,972 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 433,379,757 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||
OPERATIONS | ||||||||||||||
Net investment income (loss) | $ | (84,215 | ) | $ | 2,474,359 | |||||||||
Net realized gain (loss) on investment and foreign currency transactions | 73,318,214 | 202,672,704 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 360,145,758 | 396,791,561 | ||||||||||||
|
|
|
| |||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 433,379,757 | 601,938,624 | ||||||||||||
|
|
|
| |||||||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||||||
Portfolio shares sold | 22,810,560 | 23,869,409 | ||||||||||||
Portfolio shares repurchased | (112,336,231 | ) | (182,369,022 | ) | ||||||||||
|
|
|
| |||||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (89,525,671 | ) | (158,499,613 | ) | ||||||||||
|
|
|
| |||||||||||
CAPITAL CONTRIBUTIONS | — | 8,215 | ||||||||||||
|
|
|
| |||||||||||
TOTAL INCREASE (DECREASE) | 343,854,086 | 443,447,226 | ||||||||||||
NET ASSETS: | ||||||||||||||
Beginning of period | 2,307,816,613 | 1,864,369,387 | ||||||||||||
|
|
|
| |||||||||||
End of period | $ | 2,651,670,699 | $ | 2,307,816,613 | ||||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A152
NATURAL RESOURCES PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 99.6% |
| |||||||
COMMON STOCKS — 97.0% |
| |||||||
Automobile Manufacturers — 0.8% | ||||||||
Tesla, Inc.*(a) | 2,400 | $ | 2,591,544 | |||||
|
| |||||||
Commodity Chemicals — 2.1% | ||||||||
Dow, Inc.(a) | 49,740 | 2,027,402 | ||||||
LG Chem Ltd. (South Korea) | 7,430 | 3,049,776 | ||||||
Methanex Corp. (Canada)(a) | 68,435 | 1,237,305 | ||||||
|
| |||||||
6,314,483 | ||||||||
|
| |||||||
Construction Materials — 1.2% | ||||||||
HeidelbergCement AG (Germany) | 65,630 | 3,534,170 | ||||||
|
| |||||||
Copper — 5.1% | ||||||||
Antofagasta PLC (Chile) | 315,905 | 3,687,734 | ||||||
First Quantum Minerals Ltd. (Zambia) | 522,924 | 4,167,676 | ||||||
Freeport-McMoRan, Inc. | 359,220 | 4,156,175 | ||||||
Lundin Mining Corp. (Chile) | 679,514 | 3,643,829 | ||||||
|
| |||||||
15,655,414 | ||||||||
|
| |||||||
Diversified Chemicals — 0.8% | ||||||||
BASF SE (Germany) | 41,665 | 2,345,716 | ||||||
|
| |||||||
Diversified Metals & Mining — 7.5% |
| |||||||
BHP Group Ltd. (Australia) | 469,692 | 11,704,071 | ||||||
Rio Tinto PLC (Australia) | 201,556 | 11,440,031 | ||||||
|
| |||||||
23,144,102 | ||||||||
|
| |||||||
Electric Utilities — 3.6% | ||||||||
Enel SpA (Italy) | 396,125 | 3,430,985 | ||||||
NextEra Energy, Inc. | 10,205 | 2,450,935 | ||||||
Orsted A/S (Denmark), 144A | 25,280 | 2,937,344 | ||||||
Xcel Energy, Inc. | 35,950 | 2,246,875 | ||||||
|
| |||||||
11,066,139 | ||||||||
|
| |||||||
Electrical Components & Equipment — 3.2% |
| |||||||
AMETEK, Inc. | 18,465 | 1,650,217 | ||||||
Generac Holdings, Inc.* | 12,755 | 1,555,217 | ||||||
Schneider Electric SE (France) | 22,845 | 2,556,814 | ||||||
Sunrun, Inc.* | 108,955 | 2,148,592 | ||||||
Varta AG (Germany)*(a) | 16,690 | 1,894,663 | ||||||
|
| |||||||
9,805,503 | ||||||||
|
| |||||||
Electronic Components — 1.0% | ||||||||
Samsung SDI Co. Ltd. (South Korea) | 10,500 | 3,214,842 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals — 1.9% |
| |||||||
FMC Corp. | 57,685 | 5,746,580 | ||||||
|
| |||||||
Gold — 3.4% | ||||||||
Barrick Gold Corp. (Canada) | 199,720 | 5,380,457 | ||||||
Newmont Corp. | 83,655 | 5,164,860 | ||||||
|
| |||||||
10,545,317 | ||||||||
|
| |||||||
Heavy Electrical Equipment — 2.4% |
| |||||||
NEL ASA (Norway)*(a) | 1,364,305 | 2,675,781 | ||||||
TPI Composites, Inc.* | 71,735 | 1,676,447 | ||||||
Vestas Wind Systems A/S (Denmark) | 30,342 | 3,104,785 | ||||||
|
| |||||||
7,457,013 | ||||||||
|
| |||||||
Industrial Gases — 5.9% | ||||||||
Air Liquide SA (France) | 48,267 | 6,996,551 | ||||||
Air Products & Chemicals, Inc. | 7,635 | 1,843,547 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Industrial Gases (cont’d.) | ||||||||
Linde PLC (United Kingdom) | 44,020 | $ | 9,337,082 | |||||
|
| |||||||
18,177,180 | ||||||||
|
| |||||||
Industrial Machinery — 1.1% | ||||||||
Chart Industries, Inc.* | 70,975 | 3,441,578 | ||||||
|
| |||||||
Integrated Oil & Gas — 20.1% | ||||||||
BP PLC (United Kingdom) | 1,938,926 | 7,439,639 | ||||||
Chevron Corp. | 135,870 | 12,123,680 | ||||||
Equinor ASA (Norway) | 190,440 | 2,723,010 | ||||||
Exxon Mobil Corp. | 327,710 | 14,655,191 | ||||||
Occidental Petroleum Corp.(a) | 142,490 | 2,607,567 | ||||||
Repsol SA (Spain) | 265,080 | 2,346,090 | ||||||
Royal Dutch Shell PLC (Netherlands), (Class A Stock) | 441,360 | 7,081,483 | ||||||
Suncor Energy, Inc. (Canada) | 197,939 | 3,337,377 | ||||||
TOTAL SA (France) | 248,126 | 9,588,757 | ||||||
|
| |||||||
61,902,794 | ||||||||
|
| |||||||
Metal & Glass Containers — 2.1% | ||||||||
Ball Corp. | 46,345 | 3,220,514 | ||||||
Crown Holdings, Inc.* | 48,410 | 3,152,943 | ||||||
|
| |||||||
6,373,457 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services — 0.9% |
| |||||||
Baker Hughes Co. | 185,360 | 2,852,690 | ||||||
|
| |||||||
Oil & Gas Exploration & Production — 9.1% |
| |||||||
Concho Resources, Inc. | 46,315 | 2,385,223 | ||||||
ConocoPhillips | 143,520 | 6,030,710 | ||||||
Diamondback Energy, Inc. | 69,235 | 2,895,408 | ||||||
EOG Resources, Inc. | 77,961 | 3,949,504 | ||||||
Hess Corp. | 55,145 | 2,857,063 | ||||||
Noble Energy, Inc. | 156,535 | 1,402,554 | ||||||
Parsley Energy, Inc. (Class A Stock) | 170,240 | 1,818,163 | ||||||
Pioneer Natural Resources Co. | 45,786 | 4,473,292 | ||||||
WPX Energy, Inc.* | 342,030 | 2,182,151 | ||||||
|
| |||||||
27,994,068 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing — 9.9% |
| |||||||
Marathon Petroleum Corp. | 218,580 | 8,170,520 | ||||||
Neste OYJ (Finland) | 118,007 | 4,633,854 | ||||||
Phillips 66 | 80,055 | 5,755,955 | ||||||
Reliance Industries Ltd. (India) | 132,356 | 2,995,901 | ||||||
Renewable Energy Group, Inc.*(a) | 68,105 | 1,687,642 | ||||||
Valero Energy Corp. | 123,667 | 7,274,093 | ||||||
|
| |||||||
30,517,965 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation — 3.9% |
| |||||||
Kinder Morgan, Inc. | 284,665 | 4,318,368 | ||||||
TC Energy Corp. (Canada) | 59,771 | 2,553,563 | ||||||
Williams Cos., Inc. (The) | 264,540 | 5,031,551 | ||||||
|
| |||||||
11,903,482 | ||||||||
|
| |||||||
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 | — | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A153
NATURAL RESOURCES PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Railroads — 1.8% | ||||||||
Kansas City Southern | 19,395 | $ | 2,895,480 | |||||
Union Pacific Corp. | 16,045 | 2,712,728 | ||||||
|
| |||||||
5,608,208 | ||||||||
|
| |||||||
Renewable Electricity — 0.9% | ||||||||
Scatec Solar ASA (Norway), 144A* | 70,310 | 1,149,171 | ||||||
Sunnova Energy International, | 92,330 | 1,576,073 | ||||||
|
| |||||||
2,725,244 | ||||||||
|
| |||||||
Semiconductor Equipment — 1.6% | ||||||||
Enphase Energy, Inc.* | 54,165 | 2,576,629 | ||||||
SolarEdge Technologies, Inc.*(a) | 16,330 | 2,266,277 | ||||||
|
| |||||||
4,842,906 | ||||||||
|
| |||||||
Specialty Chemicals — 6.7% | ||||||||
Axalta Coating Systems Ltd.* | 65,225 | 1,470,824 | ||||||
DuPont de Nemours, Inc. | 23,635 | 1,255,728 | ||||||
Ecolab, Inc. | 34,688 | 6,901,178 | ||||||
PPG Industries, Inc. | 31,190 | 3,308,011 | ||||||
Sherwin-Williams Co. (The) | 7,950 | 4,593,907 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 25,000 | 2,925,971 | ||||||
|
| |||||||
20,455,619 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 298,216,014 | |||||||
|
| |||||||
EXCHANGE-TRADED FUND — 2.6% |
| |||||||
Invesco Solar ETF(a) | 217,235 | 7,842,184 | ||||||
|
| |||||||
(cost $5,300,381) | ||||||||
Units | ||||||||
RIGHTS* — 0.0% | ||||||||
Integrated Oil & Gas | ||||||||
Repsol SA (Spain), expiring 07/07/20 | 265,080 | 134,673 | ||||||
|
| |||||||
(cost $146,559) | ||||||||
TOTAL LONG-TERM INVESTMENTS | 306,192,871 | |||||||
|
|
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 6.0% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 1,638,651 | $ | 1,638,651 | |||||
PGIM Institutional Money Market Fund (cost $16,708,789; includes $16,699,852 of cash collateral for securities on loan)(b)(w) | 16,735,788 | 16,735,788 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 18,374,439 | ||||||
|
| |||||||
TOTAL INVESTMENTS—105.6% |
| 324,567,310 | ||||||
Liabilities in excess of other assets — (5.6)% |
| (17,212,915 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 307,354,395 | ||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report:
* | Non-income producing security. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments 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 $16,521,161; cash collateral of $16,699,852 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 23,144,102 | $— | |||||||
Canada | 12,508,702 | — | — | |||||||||
Chile | 3,643,829 | 3,687,734 | — | |||||||||
Denmark | — | 6,042,129 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
NATURAL RESOURCES PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Finland | $ | — | $ | 4,633,854 | $— | |||||||
France | — | 19,142,122 | — | |||||||||
Germany | — | 7,774,549 | — | |||||||||
India | — | 2,995,901 | — | |||||||||
Italy | — | 3,430,985 | — | |||||||||
Japan | — | 2,925,971 | — | |||||||||
Netherlands | — | 7,081,483 | — | |||||||||
Norway | — | 6,547,962 | — | |||||||||
South Africa | — | — | — | |||||||||
South Korea | — | 6,264,618 | — | |||||||||
Spain | — | 2,346,090 | — | |||||||||
United Kingdom | 9,337,082 | 7,439,639 | — | |||||||||
United States | 165,101,586 | — | — | |||||||||
Zambia | 4,167,676 | — | — | |||||||||
Exchange-Traded Fund | ||||||||||||
United States | 7,842,184 | — | — | |||||||||
Rights | ||||||||||||
Spain | — | 134,673 | — | |||||||||
Affiliated Mutual Funds | 18,374,439 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 220,975,498 | $ | 103,591,812 | $— | |||||||
|
|
|
|
|
|
Country Classification:
The country classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
United States (including 5.4% of collateral for securities on loan) | 62.2 | % | ||
Australia | 7.5 | |||
France | 6.2 | |||
United Kingdom | 5.4 | |||
Canada | 4.0 | |||
Germany | 2.6 | |||
Chile | 2.4 | |||
Netherlands | 2.3 | |||
Norway | 2.2 | |||
South Korea | 2.0 | |||
Denmark | 2.0 | |||
Finland | 1.5 |
Zambia | 1.4 | % | ||
Italy | 1.1 | |||
India | 1.0 | |||
Japan | 1.0 | |||
Spain | 0.8 | |||
South Africa | 0.0 | * | ||
|
| |||
105.6 | ||||
Liabilities in excess of other assets | (5.6 | ) | ||
|
| |||
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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||
Equity contracts | Unaffiliated investments | $ | 134,673 | — | $— | |||||
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A155
NATURAL RESOURCES PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
For the six months ended June 30, 2020, the Portfolio did not have any realized gain (loss) on derivatives in the Statement of Operations.
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(1) | ||||
Equity contracts | $(11,886 | ) | |||
|
|
(1) | 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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities on Loan | $ | 16,521,161 | $ | (16,521,161 | ) | $ | — | ||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A156
NATURAL RESOURCES PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $16,521,161: | ||||
Unaffiliated investments (cost $270,399,865) | $ | 306,192,871 | ||
Affiliated investments (cost $18,347,440) | 18,374,439 | |||
Cash | 2,026 | |||
Foreign currency, at value (cost $1,428) | 1,437 | |||
Tax reclaim receivable | 770,862 | |||
Dividends receivable | 343,503 | |||
Receivable for Portfolio shares sold | 11,089 | |||
Prepaid expenses | 441 | |||
|
| |||
Total Assets | 325,696,668 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 16,699,852 | |||
Payable for investments purchased | 604,908 | |||
Payable to affiliate | 566,532 | |||
Payable for Portfolio shares repurchased | 191,779 | |||
Accrued expenses and other liabilities | 150,391 | |||
Management fee payable | 113,705 | |||
Distribution fee payable | 8,861 | |||
Administration fee payable | 5,319 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 18,342,273 | |||
|
| |||
NET ASSETS | $ | 307,354,395 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 307,354,395 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $265,132,793 / 13,321,799 outstanding shares of beneficial interest | $ | 19.90 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $42,221,602 / 2,207,473 outstanding shares of beneficial interest | $ | 19.13 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $245,471 foreign withholding tax, of which $4,544 is reimbursable by an affiliate) | $ | 5,515,993 | ||
Income from securities lending, net (including affiliated income of $61,912) | 172,131 | |||
Affiliated dividend income | 51,491 | |||
|
| |||
Total income | 5,739,615 | |||
|
| |||
EXPENSES | ||||
Management fee | 699,413 | |||
Distribution fee—Class II | 53,420 | |||
Administration fee—Class II | 32,052 | |||
Shareholders’ reports | 61,737 | |||
Custodian and accounting fees | 46,430 | |||
Audit fee | 15,918 | |||
Trustees’ fees | 6,720 | |||
Legal fees and expenses | 6,257 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 10,682 | |||
|
| |||
Total expenses | 937,941 | |||
Less: Fee waivers and/or expense reimbursement | (12,434 | ) | ||
|
| |||
Net expenses | 925,507 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 4,814,108 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(17,818)) | (47,453,453 | ) | ||
Foreign currency transactions | (152,745 | ) | ||
|
| |||
(47,606,198 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $25,007) | (25,056,092 | ) | ||
Foreign currencies | 738 | |||
|
| |||
(25,055,354 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (72,661,552 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (67,847,444 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
OPERATIONS | ||||||||||
Net investment income (loss) | $ | 4,814,108 | $ | 11,602,931 | ||||||
Net realized gain (loss) on investment and foreign currency transactions | (47,606,198 | ) | (12,742,060 | ) | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (25,055,354 | ) | 40,509,829 | |||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (67,847,444 | ) | 39,370,700 | |||||||
|
|
|
| |||||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||||
Portfolio shares sold | 14,602,549 | 11,326,229 | ||||||||
Portfolio shares repurchased | (21,068,392 | ) | (41,844,684 | ) | ||||||
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (6,465,843 | ) | (30,518,455 | ) | ||||||
|
|
|
| |||||||
CAPITAL CONTRIBUTIONS | — | 6,508 | ||||||||
|
|
|
| |||||||
TOTAL INCREASE (DECREASE) | (74,313,287 | ) | 8,858,753 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 381,667,682 | 372,808,929 | ||||||||
|
|
|
| |||||||
End of period | $ | 307,354,395 | $ | 381,667,682 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A157
SMALL CAPITALIZATION STOCK PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 99.7% |
| |||||||
COMMON STOCKS — 99.6% |
| |||||||
Aerospace & Defense — 1.5% | ||||||||
AAR Corp. | 33,371 | $ | 689,779 | |||||
Aerojet Rocketdyne Holdings, Inc.* | 73,355 | 2,907,792 | ||||||
AeroVironment, Inc.* | 21,934 | 1,746,604 | ||||||
Cubic Corp.(a) | 31,803 | 1,527,498 | ||||||
Moog, Inc. (Class A Stock) | 30,474 | 1,614,513 | ||||||
National Presto Industries, Inc. | 5,169 | 451,719 | ||||||
Park Aerospace Corp. | 19,594 | 218,277 | ||||||
Triumph Group, Inc. | 52,600 | 473,926 | ||||||
|
| |||||||
9,630,108 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 26,540 | 1,142,016 | ||||||
Echo Global Logistics, Inc.* | 27,030 | 584,389 | ||||||
Forward Air Corp. | 28,406 | 1,415,187 | ||||||
Hub Group, Inc. (Class A Stock)* | 34,030 | 1,628,676 | ||||||
|
| |||||||
4,770,268 | ||||||||
|
| |||||||
Airlines — 0.6% | ||||||||
Allegiant Travel Co.(a) | 13,404 | 1,463,851 | ||||||
Hawaiian Holdings, Inc.(a) | 46,630 | 654,685 | ||||||
SkyWest, Inc. | 50,910 | 1,660,684 | ||||||
|
| |||||||
3,779,220 | ||||||||
|
| |||||||
Auto Components — 2.1% | ||||||||
American Axle & Manufacturing Holdings, Inc.* | 114,740 | 872,024 | ||||||
Cooper Tire & Rubber Co.(a) | 51,040 | 1,409,214 | ||||||
Cooper-Standard Holdings, Inc.* | 16,980 | 224,985 | ||||||
Dorman Products, Inc.*(a) | 29,320 | 1,966,492 | ||||||
Fox Factory Holding Corp.*(a) | 41,650 | 3,440,707 | ||||||
Garrett Motion, Inc. (Switzerland)* | 76,700 | 424,918 | ||||||
Gentherm, Inc.* | 33,100 | 1,287,590 | ||||||
LCI Industries | 25,529 | 2,935,324 | ||||||
Motorcar Parts of America, Inc.*(a) | 19,280 | 340,678 | ||||||
Standard Motor Products, Inc. | 20,399 | 840,439 | ||||||
|
| |||||||
13,742,371 | ||||||||
|
| |||||||
Automobiles — 0.3% | ||||||||
Winnebago Industries, Inc. | 34,281 | 2,283,800 | ||||||
|
| |||||||
Banks — 7.5% | ||||||||
Allegiance Bancshares, Inc. | 19,050 | 483,679 | ||||||
Ameris Bancorp | 66,240 | 1,562,602 | ||||||
Banc of California, Inc. | 44,870 | 485,942 | ||||||
Banner Corp. | 35,680 | 1,355,840 | ||||||
Berkshire Hills Bancorp, Inc. | 43,800 | 482,676 | ||||||
Boston Private Financial Holdings, Inc. | 83,012 | 571,123 | ||||||
Brookline Bancorp, Inc. | 80,082 | 807,227 | ||||||
Cadence BanCorp. | 127,800 | 1,132,308 | ||||||
Central Pacific Financial Corp. | 28,320 | 453,970 | ||||||
City Holding Co.(a) | 16,424 | 1,070,352 | ||||||
Columbia Banking System, Inc.(a) | 72,648 | 2,059,207 | ||||||
Community Bank System, Inc.(a) | 52,906 | 3,016,700 | ||||||
Customers Bancorp, Inc.* | 29,350 | 352,787 | ||||||
CVB Financial Corp. | 130,650 | 2,448,381 | ||||||
Dime Community Bancshares, Inc. | 29,071 | 399,145 | ||||||
Eagle Bancorp, Inc. | 32,700 | 1,070,925 | ||||||
First BanCorp. (Puerto Rico) | 220,822 | 1,234,395 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Banks (cont’d.) | ||||||||
First Commonwealth Financial Corp. | 99,510 | $ | 823,943 | |||||
First Financial Bancorp | 99,403 | 1,380,708 | ||||||
First Midwest Bancorp, Inc. | 115,920 | 1,547,532 | ||||||
Franklin Financial Network, Inc. | 13,800 | 355,350 | ||||||
Great Western Bancorp, Inc.(a) | 55,830 | 768,221 | ||||||
Hanmi Financial Corp. | 30,836 | 299,418 | ||||||
Heritage Financial Corp.(a) | 36,400 | 728,000 | ||||||
Hope Bancorp, Inc. | 125,004 | 1,152,537 | ||||||
Independent Bank Corp. | 33,436 | 2,243,221 | ||||||
Independent Bank Group, Inc. | 37,150 | 1,505,318 | ||||||
National Bank Holdings Corp. | 31,040 | 838,080 | ||||||
NBT Bancorp, Inc.(a) | 44,260 | 1,361,438 | ||||||
OFG Bancorp (Puerto Rico) | 52,070 | 696,176 | ||||||
Old National Bancorp | 167,227 | 2,301,043 | ||||||
Pacific Premier Bancorp, Inc.(a) | 82,015 | 1,778,085 | ||||||
Preferred Bank | 13,850 | 593,472 | ||||||
S&T Bancorp, Inc. | 38,623 | 905,709 | ||||||
Seacoast Banking Corp. of Florida*(a) | 53,500 | 1,091,400 | ||||||
ServisFirst Bancshares, Inc.(a) | 47,050 | 1,682,508 | ||||||
Simmons First National Corp. (Class A Stock) | 110,596 | 1,892,297 | ||||||
Southside Bancshares, Inc. | 31,486 | 872,792 | ||||||
Tompkins Financial Corp. | 12,434 | 805,350 | ||||||
Triumph Bancorp, Inc.*(a) | 22,500 | 546,075 | ||||||
United Community Banks, Inc. | 79,477 | 1,599,077 | ||||||
Veritex Holdings, Inc. | 46,520 | 823,404 | ||||||
Westamerica BanCorp | 27,350 | 1,570,437 | ||||||
|
| |||||||
49,148,850 | ||||||||
|
| |||||||
Beverages — 0.3% | ||||||||
Coca-Cola Consolidated, Inc.(a) | 4,750 | 1,088,653 | ||||||
MGP Ingredients, Inc.(a) | 13,450 | 493,682 | ||||||
National Beverage Corp.*(a) | 11,900 | 726,138 | ||||||
|
| |||||||
2,308,473 | ||||||||
|
| |||||||
Biotechnology — 2.5% | ||||||||
Anika Therapeutics, Inc.* | 14,400 | 543,312 | ||||||
Coherus Biosciences, Inc.*(a) | 61,900 | 1,105,534 | ||||||
Cytokinetics, Inc.*(a) | 60,350 | 1,422,449 | ||||||
Eagle Pharmaceuticals, Inc.* | 10,340 | 496,113 | ||||||
Emergent BioSolutions, Inc.*(a) | 45,257 | 3,578,924 | ||||||
Enanta Pharmaceuticals, Inc.*(a) | 16,470 | 826,959 | ||||||
Momenta Pharmaceuticals, Inc.* | 119,480 | 3,975,100 | ||||||
Myriad Genetics, Inc.* | 75,600 | 857,304 | ||||||
REGENXBIO, Inc.* | 32,150 | 1,184,084 | ||||||
Spectrum Pharmaceuticals, Inc.* | 116,200 | 392,756 | ||||||
Vanda Pharmaceuticals, Inc.* | 54,670 | 625,425 | ||||||
Xencor, Inc.*(a) | 50,420 | 1,633,104 | ||||||
|
| |||||||
16,641,064 | ||||||||
|
| |||||||
Building Products — 2.6% | ||||||||
AAON, Inc.(a) | 41,219 | 2,237,779 | ||||||
American Woodmark Corp.* | 15,880 | 1,201,322 | ||||||
Apogee Enterprises, Inc. | 26,708 | 615,352 | ||||||
Gibraltar Industries, Inc.* | 32,958 | 1,582,314 | ||||||
Griffon Corp.(a) | 43,829 | 811,713 | ||||||
Insteel Industries, Inc. | 18,550 | 353,748 |
SEE NOTES TO FINANCIAL STATEMENTS.
A158
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Building Products (cont’d.) | ||||||||
Patrick Industries, Inc. | 22,450 | $ | 1,375,062 | |||||
PGT Innovations, Inc.* | 59,820 | 937,978 | ||||||
Quanex Building Products Corp. | 33,278 | 461,899 | ||||||
Resideo Technologies, Inc.* | 124,650 | 1,460,898 | ||||||
Simpson Manufacturing Co., Inc. | 40,153 | 3,387,307 | ||||||
UFP Industries, Inc. | 62,052 | 3,072,195 | ||||||
|
| |||||||
17,497,567 | ||||||||
|
| |||||||
Capital Markets — 0.9% | ||||||||
Blucora, Inc.* | 48,562 | 554,578 | ||||||
Brightsphere Investment Group, Inc.(a) | 63,250 | 788,095 | ||||||
Donnelley Financial Solutions, Inc.* | 30,687 | 257,771 | ||||||
Greenhill & Co., Inc. | 14,520 | 145,055 | ||||||
INTL. FCStone, Inc.* | 16,600 | 913,000 | ||||||
Piper Sandler Cos | 14,715 | 870,539 | ||||||
Virtus Investment Partners, Inc. | 7,360 | 855,894 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock)(a) | 66,600 | 1,032,966 | ||||||
WisdomTree Investments, Inc. | 120,400 | 417,788 | ||||||
|
| |||||||
5,835,686 | ||||||||
|
| |||||||
Chemicals — 2.8% | ||||||||
AdvanSix, Inc.* | 28,230 | 331,420 | ||||||
American Vanguard Corp. | 26,898 | 370,117 | ||||||
Balchem Corp. | 32,813 | 3,112,641 | ||||||
Ferro Corp.* | 83,440 | 996,274 | ||||||
FutureFuel Corp. | 26,000 | 310,700 | ||||||
GCP Applied Technologies, Inc.* | 54,650 | 1,015,397 | ||||||
Hawkins, Inc. | 9,550 | 406,639 | ||||||
HB Fuller Co. | 52,188 | 2,327,585 | ||||||
Innospec, Inc. | 24,920 | 1,925,070 | ||||||
Koppers Holdings, Inc.* | 21,280 | 400,915 | ||||||
Kraton Corp.* | 32,340 | 558,835 | ||||||
Livent Corp.*(a) | 148,060 | 912,050 | ||||||
Quaker Chemical Corp.(a) | 13,248 | 2,459,491 | ||||||
Rayonier Advanced Materials, Inc.* | 50,520 | 141,961 | ||||||
Stepan Co.(a) | 20,340 | 1,975,014 | ||||||
Tredegar Corp. | 25,135 | 387,079 | ||||||
Trinseo SA(a) | 38,800 | 859,808 | ||||||
|
| |||||||
18,490,996 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.8% |
| |||||||
ABM Industries, Inc. | 67,633 | 2,455,078 | ||||||
Brady Corp. (Class A Stock)(a) | 49,162 | 2,301,765 | ||||||
Harsco Corp.* | 79,750 | 1,077,422 | ||||||
Interface, Inc. | 59,262 | 482,393 | ||||||
Matthews International Corp. | 31,770 | 606,807 | ||||||
Pitney Bowes, Inc.(a) | 173,650 | 451,490 | ||||||
RR Donnelley & Sons Co. | 70,083 | 83,399 | ||||||
Team, Inc.*(a) | 30,860 | 171,890 | ||||||
UniFirst Corp. | 15,510 | 2,775,514 | ||||||
US Ecology, Inc. | 25,950 | 879,186 | ||||||
Viad Corp. | 20,577 | 391,375 | ||||||
|
| |||||||
11,676,319 | ||||||||
|
| |||||||
Communications Equipment — 1.1% | ||||||||
ADTRAN, Inc. | 48,460 | 529,668 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Communications Equipment (cont’d.) | ||||||||
Applied Optoelectronics, Inc.*(a) | 19,350 | $ | 210,334 | |||||
CalAmp Corp.* | 34,440 | 275,864 | ||||||
Comtech Telecommunications Corp. | 25,159 | 424,936 | ||||||
Digi International, Inc.* | 29,364 | 342,091 | ||||||
Extreme Networks, Inc.* | 122,000 | 529,480 | ||||||
Harmonic, Inc.* | 97,324 | 462,289 | ||||||
NETGEAR, Inc.* | 30,016 | 777,114 | ||||||
Plantronics, Inc.(a) | 33,850 | 496,918 | ||||||
Viavi Solutions, Inc.* | 231,390 | 2,947,909 | ||||||
|
| |||||||
6,996,603 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% | ||||||||
Aegion Corp.* | 30,907 | 490,494 | ||||||
Arcosa, Inc. | 48,950 | 2,065,690 | ||||||
Comfort Systems USA, Inc. | 37,034 | 1,509,135 | ||||||
Granite Construction, Inc.(a) | 47,440 | 908,002 | ||||||
MYR Group, Inc.* | 16,920 | 539,917 | ||||||
|
| |||||||
5,513,238 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
U.S. Concrete, Inc.* | 16,150 | 400,520 | ||||||
|
| |||||||
Consumer Finance — 1.0% | ||||||||
Encore Capital Group, Inc.*(a) | 28,190 | 963,534 | ||||||
Enova International, Inc.* | 30,489 | 453,372 | ||||||
EZCORP, Inc. (Class A Stock)* | 52,421 | 330,252 | ||||||
Green Dot Corp. (Class A Stock)* | 49,500 | 2,429,460 | ||||||
PRA Group, Inc.*(a) | 46,207 | 1,786,363 | ||||||
World Acceptance Corp.*(a) | 5,352 | 350,663 | ||||||
|
| |||||||
6,313,644 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
Myers Industries, Inc. | 36,270 | 527,729 | ||||||
|
| |||||||
Distributors — 0.2% | ||||||||
Core-Mark Holding Co., Inc. | 45,790 | 1,142,689 | ||||||
|
| |||||||
Diversified Consumer Services — 0.3% | ||||||||
American Public Education, Inc.* | 14,983 | 443,497 | ||||||
Perdoceo Education Corp.* | 70,080 | 1,116,374 | ||||||
Regis Corp.*(a) | 24,300 | 198,774 | ||||||
|
| |||||||
1,758,645 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
ATN International, Inc. | 11,100 | 672,327 | ||||||
Cincinnati Bell, Inc.* | 51,130 | 759,280 | ||||||
Cogent Communications Holdings, Inc.(a) | 42,600 | 3,295,536 | ||||||
Consolidated Communications Holdings, Inc.*(a) | 74,140 | 501,928 | ||||||
Iridium Communications, Inc.*(a) | 99,320 | 2,526,701 | ||||||
Vonage Holdings Corp.* | 234,100 | 2,355,046 | ||||||
|
| |||||||
10,110,818 | ||||||||
|
| |||||||
Electric Utilities — 0.4% | ||||||||
El Paso Electric Co. | 41,368 | 2,771,656 | ||||||
|
| |||||||
Electrical Equipment — 0.8% | ||||||||
AZZ, Inc. | 26,642 | 914,353 | ||||||
Encore Wire Corp. | 20,891 | 1,019,899 | ||||||
Powell Industries, Inc. | 8,972 | 245,743 |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Electrical Equipment (cont’d.) | ||||||||
Sunrun, Inc.* | 80,600 | $ | 1,589,432 | |||||
Vicor Corp.*(a) | 18,781 | 1,351,293 | ||||||
|
| |||||||
5,120,720 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.8% |
| |||||||
Arlo Technologies, Inc.*(a) | 78,554 | 202,669 | ||||||
Badger Meter, Inc.(a) | 29,614 | 1,863,313 | ||||||
Bel Fuse, Inc. (Class B Stock) | 9,972 | 106,999 | ||||||
Benchmark Electronics, Inc. | 36,970 | 798,552 | ||||||
CTS Corp. | 32,754 | 656,390 | ||||||
Daktronics, Inc.(a) | 37,408 | 162,725 | ||||||
ePlus, Inc.* | 13,710 | 969,023 | ||||||
Fabrinet (Thailand)* | 37,280 | 2,327,018 | ||||||
FARO Technologies, Inc.*(a) | 17,984 | 963,942 | ||||||
Insight Enterprises, Inc.*(a) | 35,815 | 1,762,098 | ||||||
Itron, Inc.*(a) | 36,280 | 2,403,550 | ||||||
Knowles Corp.* | 87,150 | 1,329,909 | ||||||
Methode Electronics, Inc. | 37,696 | 1,178,377 | ||||||
MTS Systems Corp. | 18,035 | 317,236 | ||||||
OSI Systems, Inc.* | 17,000 | 1,268,880 | ||||||
PC Connection, Inc. | 11,200 | 519,232 | ||||||
Plexus Corp.* | 29,680 | 2,094,221 | ||||||
Rogers Corp.* | 18,981 | 2,365,033 | ||||||
Sanmina Corp.* | 69,240 | 1,733,770 | ||||||
ScanSource, Inc.* | 25,703 | 619,185 | ||||||
TTM Technologies, Inc.*(a) | 100,249 | 1,188,953 | ||||||
|
| |||||||
24,831,075 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.5% | ||||||||
Archrock, Inc. | 130,360 | 846,036 | ||||||
Bristow Group, Inc.* | 6,707 | 93,429 | ||||||
Core Laboratories NV(a) | 45,050 | 915,416 | ||||||
DMC Global, Inc.(a) | 14,950 | 412,620 | ||||||
Dril-Quip, Inc.*(a) | 35,600 | 1,060,524 | ||||||
Exterran Corp.* | 28,230 | 152,160 | ||||||
Geospace Technologies Corp.* | 13,450 | 101,144 | ||||||
Helix Energy Solutions Group, Inc.* | 144,410 | 501,103 | ||||||
Helmerich & Payne, Inc. | 109,050 | 2,127,565 | ||||||
Matrix Service Co.* | 26,513 | 257,706 | ||||||
Nabors Industries Ltd.(a) | 6,936 | 256,771 | ||||||
Newpark Resources, Inc.* | 89,750 | 200,143 | ||||||
Oceaneering International, Inc.* | 100,250 | 640,597 | ||||||
Oil States International, Inc.*(a) | 61,350 | 291,412 | ||||||
Patterson-UTI Energy, Inc.(a) | 188,200 | 653,054 | ||||||
ProPetro Holding Corp.* | 83,150 | 427,391 | ||||||
RPC, Inc.*(a) | 51,950 | 160,006 | ||||||
SEACOR Holdings, Inc.* | 17,891 | 506,673 | ||||||
US Silica Holdings, Inc.(a) | 73,820 | 266,490 | ||||||
Valaris PLC (Saudi Arabia)*(a) | 200,400 | 130,641 | ||||||
|
| |||||||
10,000,881 | ||||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
Glu Mobile, Inc.* | 133,550 | 1,238,009 | ||||||
Marcus Corp. (The) | 23,308 | 309,297 | ||||||
|
| |||||||
1,547,306 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 7.8% |
| |||||||
Acadia Realty Trust | 87,365 | 1,133,998 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||
Agree Realty Corp.(a) | 54,660 | $ | 3,591,709 | |||||
Alexander & Baldwin, Inc. | 68,800 | 838,672 | ||||||
American Assets Trust, Inc.(a) | 48,780 | 1,358,035 | ||||||
Armada Hoffler Properties, Inc. | 57,320 | 570,334 | ||||||
Brandywine Realty Trust | 171,900 | 1,871,991 | ||||||
CareTrust REIT, Inc. | 97,205 | 1,668,038 | ||||||
Cedar Realty Trust, Inc. | 85,616 | 84,760 | ||||||
Chatham Lodging Trust | 47,600 | 291,312 | ||||||
Community Healthcare Trust, Inc. | 20,900 | 854,810 | ||||||
DiamondRock Hospitality Co. | 202,220 | 1,118,277 | ||||||
Diversified Healthcare Trust | 240,450 | 1,063,991 | ||||||
Easterly Government Properties, Inc. | 76,250 | 1,762,900 | ||||||
Essential Properties Realty Trust, Inc. | 93,350 | 1,385,314 | ||||||
Four Corners Property Trust, Inc. | 71,409 | 1,742,380 | ||||||
Franklin Street Properties Corp.(a) | 108,852 | 554,057 | ||||||
Getty Realty Corp. | 34,814 | 1,033,280 | ||||||
Global Net Lease, Inc. | 90,660 | 1,516,742 | ||||||
Hersha Hospitality Trust | 36,390 | 209,606 | ||||||
Independence Realty Trust, Inc.(a) | 96,100 | 1,104,189 | ||||||
Industrial Logistics Properties Trust(a) | 66,200 | 1,360,410 | ||||||
Innovative Industrial Properties, Inc.(a) | 18,900 | 1,663,578 | ||||||
Investors Real Estate Trust | 12,350 | 870,551 | ||||||
iStar, Inc.(a) | 73,750 | 908,600 | ||||||
Kite Realty Group Trust(a) | 85,122 | 982,308 | ||||||
Lexington Realty Trust | 280,036 | 2,954,380 | ||||||
LTC Properties, Inc.(a) | 39,796 | 1,499,115 | ||||||
National Storage Affiliates Trust(a) | 62,950 | 1,804,147 | ||||||
NexPoint Residential Trust, Inc.(a) | 22,200 | 784,770 | ||||||
Office Properties Income Trust(a) | 49,000 | 1,272,530 | ||||||
Pennsylvania Real Estate Investment | 59,522 | 80,950 | ||||||
Retail Opportunity Investments Corp. | 117,860 | 1,335,354 | ||||||
Retail Properties of America, Inc. | 216,000 | 1,581,120 | ||||||
RPT Realty | 81,280 | 565,709 | ||||||
Safehold, Inc.(a) | 13,450 | 773,240 | ||||||
Saul Centers, Inc. | 12,070 | 389,499 | ||||||
SITE Centers Corp. | 143,400 | 1,161,540 | ||||||
Summit Hotel Properties, Inc.(a) | 106,800 | 633,324 | ||||||
Tanger Factory Outlet Centers, Inc.(a) | 94,850 | 676,280 | ||||||
Uniti Group, Inc. | 197,000 | 1,841,950 | ||||||
Universal Health Realty Income Trust(a) | 12,930 | 1,027,806 | ||||||
Urstadt Biddle Properties, Inc. (Class A Stock) | 30,290 | 359,845 | ||||||
Washington Prime Group, Inc.(a) | 187,700 | 157,818 | ||||||
Washington Real Estate Investment Trust | 83,550 | 1,854,810 | ||||||
Whitestone REIT | 42,750 | 310,792 | ||||||
Xenia Hotels & Resorts, Inc. | 115,150 | 1,074,349 | ||||||
|
| |||||||
51,679,170 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% | ||||||||
Andersons, Inc. (The) | 33,374 | 459,226 | ||||||
Chefs’ Warehouse, Inc. (The)* | 31,350 | 425,733 | ||||||
PriceSmart, Inc. | 22,750 | 1,372,507 | ||||||
SpartanNash Co. | 36,226 | 769,803 |
SEE NOTES TO FINANCIAL STATEMENTS.
A160
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Food & Staples Retailing (cont’d.) | ||||||||
United Natural Foods, Inc.*(a) | 54,450 | $ | 991,535 | |||||
|
| |||||||
4,018,804 | ||||||||
|
| |||||||
Food Products — 1.2% | ||||||||
B&G Foods, Inc.(a) | 65,130 | 1,587,869 | ||||||
Calavo Growers, Inc.(a) | 16,630 | 1,046,193 | ||||||
Cal-Maine Foods, Inc.*(a) | 30,810 | 1,370,429 | ||||||
Fresh Del Monte Produce, Inc. | 30,500 | 750,910 | ||||||
J&J Snack Foods Corp. | 15,158 | 1,927,037 | ||||||
John B. Sanfilippo & Son, Inc. | 9,120 | 778,210 | ||||||
Seneca Foods Corp. (Class A Stock)* | 6,920 | 233,965 | ||||||
|
| |||||||
7,694,613 | ||||||||
|
| |||||||
Gas Utilities — 0.6% | ||||||||
Northwest Natural Holding Co. | 31,055 | 1,732,559 | ||||||
South Jersey Industries, Inc.(a) | 93,764 | 2,343,162 | ||||||
|
| |||||||
4,075,721 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.8% |
| |||||||
AngioDynamics, Inc.* | 37,900 | 385,443 | ||||||
Cardiovascular Systems, Inc.* | 35,790 | 1,129,174 | ||||||
CONMED Corp. | 28,979 | 2,086,198 | ||||||
CryoLife, Inc.* | 38,203 | 732,352 | ||||||
Cutera, Inc.* | 17,700 | 215,409 | ||||||
Glaukos Corp.*(a) | 40,400 | 1,552,168 | ||||||
Heska Corp.*(a) | 8,600 | 801,262 | ||||||
Inogen, Inc.* | 18,600 | 660,672 | ||||||
Integer Holdings Corp.* | 33,354 | 2,436,510 | ||||||
Invacare Corp. | 34,902 | 222,326 | ||||||
Lantheus Holdings, Inc.*(a) | 67,000 | 958,100 | ||||||
LeMaitre Vascular, Inc.(a) | 16,850 | 444,840 | ||||||
Meridian Bioscience, Inc.* | 43,505 | 1,013,231 | ||||||
Merit Medical Systems, Inc.*(a) | 56,258 | 2,568,178 | ||||||
Mesa Laboratories, Inc.(a) | 4,140 | 897,552 | ||||||
Natus Medical, Inc.* | 34,315 | 748,753 | ||||||
Neogen Corp.* | 53,723 | 4,168,905 | ||||||
OraSure Technologies, Inc.*(a) | 72,270 | 840,500 | ||||||
Orthofix Medical, Inc.* | 19,450 | 622,400 | ||||||
Surmodics, Inc.* | 13,792 | 596,366 | ||||||
Tactile Systems Technology, Inc.*(a) | 19,550 | 809,956 | ||||||
Varex Imaging Corp.*(a) | 39,650 | 600,698 | ||||||
Zynex, Inc.*(a) | 15,550 | 386,729 | ||||||
|
| |||||||
24,877,722 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
Addus HomeCare Corp.* | 13,800 | 1,277,328 | ||||||
AMN Healthcare Services, Inc.*(a) | 47,719 | 2,158,808 | ||||||
BioTelemetry, Inc.* | 34,720 | 1,568,997 | ||||||
Community Health Systems, Inc.*(a) | 121,110 | 364,541 | ||||||
CorVel Corp.* | 8,970 | 635,883 | ||||||
Covetrus, Inc.* | 98,850 | 1,768,426 | ||||||
Cross Country Healthcare, Inc.* | 38,023 | 234,222 | ||||||
Ensign Group, Inc. (The)(a) | 51,230 | 2,143,975 | ||||||
Hanger, Inc.* | 38,350 | 635,076 | ||||||
Magellan Health, Inc.* | 22,561 | 1,646,502 | ||||||
Owens & Minor, Inc.(a) | 63,650 | 485,013 | ||||||
Pennant Group, Inc. (The)* | 26,665 | 602,629 | ||||||
Providence Service Corp. (The)* | 11,650 | 919,302 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Health Care Providers & Services (cont’d.) |
| |||||||
RadNet, Inc.* | 42,450 | $ | 673,682 | |||||
Select Medical Holdings Corp.* | 108,810 | 1,602,771 | ||||||
Tivity Health, Inc.*(a) | 44,268 | 501,556 | ||||||
US Physical Therapy, Inc.(a) | 13,040 | 1,056,501 | ||||||
|
| |||||||
18,275,212 | ||||||||
|
| |||||||
Health Care Technology — 1.6% | ||||||||
Allscripts Healthcare Solutions, Inc.* | 164,350 | 1,112,650 | ||||||
Computer Programs & Systems, Inc. | 12,886 | 293,672 | ||||||
HealthStream, Inc.* | 25,660 | 567,856 | ||||||
HMS Holdings Corp.*(a) | 89,770 | 2,907,650 | ||||||
NextGen Healthcare, Inc.* | 49,634 | 544,981 | ||||||
Omnicell, Inc.* | 43,282 | 3,056,575 | ||||||
Simulations Plus, Inc.(a) | 12,450 | 744,759 | ||||||
Tabula Rasa HealthCare, Inc.*(a) | 20,800 | 1,138,384 | ||||||
|
| |||||||
10,366,527 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
BJ’s Restaurants, Inc. | 22,612 | 473,495 | ||||||
Bloomin’ Brands, Inc.(a) | 88,780 | 946,395 | ||||||
Brinker International, Inc. | 45,650 | 1,095,600 | ||||||
Cheesecake Factory, Inc. (The)(a) | 42,450 | 972,954 | ||||||
Chuy’s Holdings, Inc.*(a) | 16,900 | 251,472 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 48,070 | 640,773 | ||||||
Dine Brands Global, Inc.(a) | 16,675 | 702,018 | ||||||
El Pollo Loco Holdings, Inc.*(a) | 20,000 | 295,200 | ||||||
Fiesta Restaurant Group, Inc.* | 20,150 | 128,557 | ||||||
Monarch Casino & Resort, Inc.* | 12,131 | 413,424 | ||||||
Red Robin Gourmet Burgers, Inc.*(a) | 13,063 | 133,243 | ||||||
Ruth’s Hospitality Group, Inc. | 31,898 | 260,288 | ||||||
Shake Shack, Inc. (Class A Stock)*(a) | 35,640 | 1,888,207 | ||||||
Wingstop, Inc.(a) | 30,050 | 4,176,048 | ||||||
|
| |||||||
12,377,674 | ||||||||
|
| |||||||
Household Durables — 2.5% | ||||||||
Cavco Industries, Inc.* | 8,800 | 1,697,080 | ||||||
Century Communities, Inc.*(a) | 29,050 | 890,673 | ||||||
Ethan Allen Interiors, Inc.(a) | 23,389 | 276,692 | ||||||
Installed Building Products, Inc.* | 21,500 | 1,478,770 | ||||||
iRobot Corp.*(a) | 28,310 | 2,375,209 | ||||||
La-Z-Boy, Inc.(a) | 46,721 | 1,264,270 | ||||||
LGI Homes, Inc.*(a) | 22,180 | 1,952,505 | ||||||
M/I Homes, Inc.* | 28,970 | 997,727 | ||||||
MDC Holdings, Inc. | 51,215 | 1,828,376 | ||||||
Meritage Homes Corp.* | 35,887 | 2,731,718 | ||||||
Tupperware Brands Corp.(a) | 49,000 | 232,750 | ||||||
Universal Electronics, Inc.* | 14,144 | 662,222 | ||||||
|
| |||||||
16,387,992 | ||||||||
|
| |||||||
Household Products — 0.7% | ||||||||
Central Garden & Pet Co.* | 9,750 | 350,903 | ||||||
Central Garden & Pet Co. (Class A | 39,808 | 1,345,112 | ||||||
WD-40 Co.(a) | 13,879 | 2,752,206 | ||||||
|
| |||||||
4,448,221 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
Raven Industries, Inc. | 36,430 | 783,609 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A161
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Insurance — 3.1% | ||||||||
Ambac Financial Group, Inc.* | 46,450 | $ | 665,164 | |||||
American Equity Investment Life Holding Co. | 92,920 | 2,296,053 | ||||||
AMERISAFE, Inc. | 19,614 | 1,199,592 | ||||||
eHealth, Inc.* | 26,041 | 2,558,268 | ||||||
Employers Holdings, Inc. | 30,815 | 929,072 | ||||||
HCI Group, Inc.(a) | 6,430 | 296,937 | ||||||
Horace Mann Educators Corp. | 41,920 | 1,539,722 | ||||||
James River Group Holdings Ltd.(a) | 31,050 | 1,397,250 | ||||||
Kinsale Capital Group, Inc.(a) | 21,050 | 3,267,170 | ||||||
Palomar Holdings, Inc.*(a) | 18,000 | 1,543,680 | ||||||
ProAssurance Corp. | 54,546 | 789,281 | ||||||
Safety Insurance Group, Inc. | 14,760 | 1,125,598 | ||||||
Stewart Information Services Corp. | 24,062 | 782,256 | ||||||
Third Point Reinsurance Ltd. (Bermuda)* | 81,400 | 611,314 | ||||||
United Fire Group, Inc. | 21,651 | 599,949 | ||||||
United Insurance Holdings Corp. | 20,800 | 162,656 | ||||||
Universal Insurance Holdings, Inc. | 30,240 | 536,760 | ||||||
|
| |||||||
20,300,722 | ||||||||
|
| |||||||
Interactive Media & Services — 0.1% |
| |||||||
QuinStreet, Inc.* | 47,450 | 496,327 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.7% |
| |||||||
Liquidity Services, Inc.* | 27,200 | 162,112 | ||||||
PetMed Express, Inc.(a) | 20,531 | 731,725 | ||||||
Shutterstock, Inc.(a) | 19,500 | 681,915 | ||||||
Stamps.com, Inc.* | 16,560 | 3,041,906 | ||||||
|
| |||||||
4,617,658 | ||||||||
|
| |||||||
IT Services — 2.2% | ||||||||
Cardtronics PLC (Class A Stock)*(a) | 36,460 | 874,311 | ||||||
CSG Systems International, Inc. | 33,554 | 1,388,800 | ||||||
EVERTEC, Inc. (Puerto Rico)(a) | 60,550 | 1,701,455 | ||||||
ExlService Holdings, Inc.* | 34,850 | 2,209,490 | ||||||
ManTech International Corp. (Class A Stock) | 27,500 | 1,883,475 | ||||||
NIC, Inc. | 68,050 | 1,562,428 | ||||||
Perficient, Inc.*(a) | 33,614 | 1,202,709 | ||||||
Sykes Enterprises, Inc.* | 38,260 | 1,058,272 | ||||||
TTEC Holdings, Inc. | 17,947 | 835,612 | ||||||
Unisys Corp.*(a) | 53,050 | 578,775 | ||||||
Virtusa Corp.* | 30,600 | 993,582 | ||||||
|
| |||||||
14,288,909 | ||||||||
|
| |||||||
Leisure Products — 1.0% | ||||||||
Callaway Golf Co.(a) | 95,390 | 1,670,279 | ||||||
Sturm Ruger & Co., Inc.(a) | 16,867 | 1,281,892 | ||||||
Vista Outdoor, Inc.* | 58,650 | 847,492 | ||||||
YETI Holdings, Inc.*(a) | 68,000 | 2,905,640 | ||||||
|
| |||||||
6,705,303 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Luminex Corp. | 43,220 | 1,405,947 | ||||||
Medpace Holdings, Inc.*(a) | 27,300 | 2,539,446 | ||||||
NeoGenomics, Inc.*(a) | 111,450 | 3,452,721 | ||||||
|
| |||||||
7,398,114 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Machinery — 5.7% | ||||||||
Alamo Group, Inc. | 9,860 | $ | 1,012,030 | |||||
Albany International Corp. (Class A Stock) | 31,214 | 1,832,574 | ||||||
Astec Industries, Inc. | 22,990 | 1,064,667 | ||||||
Barnes Group, Inc. | 48,166 | 1,905,447 | ||||||
Chart Industries, Inc.* | 35,750 | 1,733,518 | ||||||
CIRCOR International, Inc.* | 20,278 | 516,683 | ||||||
Enerpac Tool Group Corp. | 53,984 | 950,118 | ||||||
EnPro Industries, Inc. | 20,828 | 1,026,612 | ||||||
ESCO Technologies, Inc. | 26,441 | 2,235,058 | ||||||
Federal Signal Corp. | 61,180 | 1,818,881 | ||||||
Franklin Electric Co., Inc. | 38,930 | 2,044,604 | ||||||
Greenbrier Cos., Inc. (The)(a) | 33,080 | 752,570 | ||||||
Hillenbrand, Inc. | 75,868 | 2,053,747 | ||||||
John Bean Technologies Corp.(a) | 32,217 | 2,771,306 | ||||||
Lindsay Corp.(a) | 11,029 | 1,016,984 | ||||||
Lydall, Inc.* | 17,806 | 241,449 | ||||||
Meritor, Inc.* | 73,330 | 1,451,934 | ||||||
Mueller Industries, Inc. | 57,618 | 1,531,486 | ||||||
Proto Labs, Inc.*(a) | 27,050 | 3,042,314 | ||||||
SPX Corp.* | 45,220 | 1,860,803 | ||||||
SPX FLOW, Inc.* | 43,280 | 1,620,403 | ||||||
Standex International Corp. | 12,620 | 726,281 | ||||||
Tennant Co. | 18,760 | 1,219,588 | ||||||
Titan International, Inc.(a) | 48,900 | 71,394 | ||||||
Wabash National Corp.(a) | 53,640 | 569,657 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 27,911 | 2,260,791 | ||||||
|
| |||||||
37,330,899 | ||||||||
|
| |||||||
Marine — 0.2% | ||||||||
Matson, Inc. | 43,650 | 1,270,215 | ||||||
|
| |||||||
Media — 0.4% | ||||||||
EW Scripps Co. (The) (Class A Stock)(a) | 55,661 | 487,034 | ||||||
Gannett Co., Inc.(a) | 131,620 | 181,635 | ||||||
Meredith Corp.(a) | 40,800 | 593,640 | ||||||
Scholastic Corp. | 30,770 | 921,254 | ||||||
TechTarget, Inc.* | 23,200 | 696,696 | ||||||
|
| |||||||
2,880,259 | ||||||||
|
| |||||||
Metals & Mining — 1.2% | ||||||||
Arconic Corp.* | 97,400 | 1,356,782 | ||||||
Century Aluminum Co.*(a) | 50,843 | 362,511 | ||||||
Cleveland-Cliffs, Inc.(a) | 404,596 | 2,233,370 | ||||||
Haynes International, Inc.(a) | 12,680 | 296,205 | ||||||
Kaiser Aluminum Corp. | 16,060 | 1,182,337 | ||||||
Materion Corp. | 20,628 | 1,268,416 | ||||||
Olympic Steel, Inc. | 9,018 | 105,961 | ||||||
SunCoke Energy, Inc. | 82,650 | 244,644 | ||||||
TimkenSteel Corp.*(a) | 40,510 | 157,584 | ||||||
Warrior Met Coal, Inc.(a) | 51,900 | 798,741 | ||||||
|
| |||||||
8,006,551 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
Apollo Commercial Real Estate Finance, Inc.(a) | 145,200 | 1,424,412 | ||||||
ARMOUR Residential REIT, Inc. | 65,550 | 615,514 |
SEE NOTES TO FINANCIAL STATEMENTS.
A162
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Mortgage Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||
Capstead Mortgage Corp. | 97,100 | $ | 533,079 | |||||
Granite Point Mortgage Trust, Inc.(a) | 55,950 | 401,721 | ||||||
Invesco Mortgage Capital, Inc.(a) | 182,551 | 682,740 | ||||||
KKR Real Estate Finance Trust, Inc.(a) | 23,650 | 392,117 | ||||||
New York Mortgage Trust, Inc.(a) | 382,600 | 998,586 | ||||||
PennyMac Mortgage Investment Trust | 101,330 | 1,776,315 | ||||||
Ready Capital Corp. | 38,403 | 333,722 | ||||||
Redwood Trust, Inc.(a) | 116,550 | 815,850 | ||||||
|
| |||||||
7,974,056 | ||||||||
|
| |||||||
Multiline Retail — 0.6% | ||||||||
Big Lots, Inc.(a) | 39,850 | 1,673,700 | ||||||
Macy’s, Inc.(a) | 314,300 | 2,162,384 | ||||||
|
| |||||||
3,836,084 | ||||||||
|
| |||||||
Multi-Utilities — 0.4% | ||||||||
Avista Corp. | 68,323 | 2,486,274 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.5% |
| |||||||
Bonanza Creek Energy, Inc.* | 18,850 | 279,357 | ||||||
Callon Petroleum Co.*(a) | 399,600 | 459,540 | ||||||
CONSOL Energy, Inc.* | 26,130 | 132,479 | ||||||
Denbury Resources, Inc.*(a) | 502,350 | 138,699 | ||||||
Dorian LPG Ltd.* | 27,300 | 211,302 | ||||||
Green Plains, Inc.*(a) | 33,690 | 344,143 | ||||||
Gulfport Energy Corp.*(a) | 145,550 | 158,650 | ||||||
Laredo Petroleum, Inc.*(a) | 9,162 | 126,985 | ||||||
Matador Resources Co.*(a) | 111,200 | 945,200 | ||||||
Oasis Petroleum, Inc.*(a) | 291,900 | 218,925 | ||||||
Par Pacific Holdings, Inc.* | 38,900 | 349,711 | ||||||
PDC Energy, Inc.*(a) | 96,988 | 1,206,531 | ||||||
Penn Virginia Corp.* | 13,650 | 130,085 | ||||||
QEP Resources, Inc.(a) | 243,500 | 314,115 | ||||||
Range Resources Corp.(a) | 215,450 | 1,212,983 | ||||||
Renewable Energy Group, Inc.*(a) | 39,600 | 981,288 | ||||||
REX American Resources Corp.* | 5,580 | 387,085 | ||||||
Ring Energy, Inc.*(a) | 58,000 | 67,280 | ||||||
SM Energy Co.(a) | 107,250 | 402,187 | ||||||
Southwestern Energy Co.*(a) | 548,900 | 1,405,184 | ||||||
Talos Energy, Inc.* | 20,350 | 187,220 | ||||||
|
| |||||||
9,658,949 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% | ||||||||
Boise Cascade Co. | 39,790 | 1,496,502 | ||||||
Clearwater Paper Corp.* | 16,900 | 610,597 | ||||||
Mercer International, Inc. (Germany) | 40,600 | 331,296 | ||||||
Neenah, Inc. | 17,038 | 842,699 | ||||||
P.H. Glatfelter Co. | 44,750 | 718,238 | ||||||
Schweitzer-Mauduit International, Inc. | 31,696 | 1,058,963 | ||||||
|
| |||||||
5,058,295 | ||||||||
|
| |||||||
Personal Products — 0.5% | ||||||||
Inter Parfums, Inc. | 17,900 | 861,885 | ||||||
Medifast, Inc.(a) | 11,990 | 1,663,852 | ||||||
USANA Health Sciences, Inc.* | 12,400 | 910,532 | ||||||
|
| |||||||
3,436,269 | ||||||||
|
| |||||||
Pharmaceuticals — 1.4% | ||||||||
AMAG Pharmaceuticals, Inc.*(a) | 34,750 | 265,837 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Pharmaceuticals (cont’d.) |
| |||||||
Amphastar Pharmaceuticals, Inc.*(a) | 34,250 | $ | 769,255 | |||||
ANI Pharmaceuticals, Inc.* | 9,590 | 310,141 | ||||||
Corcept Therapeutics, Inc.*(a) | 104,600 | 1,759,372 | ||||||
Endo International PLC* | 207,300 | 711,039 | ||||||
Innoviva, Inc.* | 67,800 | 947,844 | ||||||
Lannett Co., Inc.*(a) | 33,700 | 244,662 | ||||||
Pacira BioSciences, Inc.*(a) | 42,780 | 2,244,667 | ||||||
Phibro Animal Health Corp. (Class A Stock) | 20,500 | 538,535 | ||||||
Supernus Pharmaceuticals, Inc.* | 53,310 | 1,266,112 | ||||||
|
| |||||||
9,057,464 | ||||||||
|
| |||||||
Professional Services — 1.2% | ||||||||
Exponent, Inc. | 52,340 | 4,235,876 | ||||||
Forrester Research, Inc.* | 10,932 | 350,261 | ||||||
Heidrick & Struggles International, Inc. | 19,624 | 424,271 | ||||||
Kelly Services, Inc. (Class A Stock) | 33,739 | 533,583 | ||||||
Korn Ferry | 55,900 | 1,717,807 | ||||||
Resources Connection, Inc. | 30,500 | 365,085 | ||||||
TrueBlue, Inc.* | 36,648 | 559,615 | ||||||
|
| |||||||
8,186,498 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
Marcus & Millichap, Inc.* | 23,950 | 691,197 | ||||||
RE/MAX Holdings, Inc. (Class A Stock) | 18,400 | 578,312 | ||||||
Realogy Holdings Corp.(a) | 117,100 | 867,711 | ||||||
St. Joe Co. (The)*(a) | 31,650 | 614,643 | ||||||
|
| |||||||
2,751,863 | ||||||||
|
| |||||||
Road & Rail — 0.8% | ||||||||
ArcBest Corp. | 25,645 | 679,849 | ||||||
Heartland Express, Inc. | 47,048 | 979,539 | ||||||
Marten Transport Ltd. | 39,600 | 996,336 | ||||||
Saia, Inc.*(a) | 26,500 | 2,946,270 | ||||||
|
| |||||||
5,601,994 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
Advanced Energy Industries, Inc.* | 38,837 | 2,632,760 | ||||||
Axcelis Technologies, Inc.* | 33,350 | 928,798 | ||||||
Brooks Automation, Inc. | 74,895 | 3,313,355 | ||||||
CEVA, Inc.* | 22,400 | 838,208 | ||||||
Cohu, Inc. | 42,297 | 733,430 | ||||||
Diodes, Inc.*(a) | 42,370 | 2,148,159 | ||||||
DSP Group, Inc.* | 23,578 | 374,419 | ||||||
FormFactor, Inc.* | 77,300 | 2,267,209 | ||||||
Ichor Holdings Ltd.* | 23,150 | 615,327 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore) | 63,382 | 1,320,247 | ||||||
MaxLinear, Inc.*(a) | 66,850 | 1,434,601 | ||||||
Onto Innovation, Inc.*(a) | 48,287 | 1,643,689 | ||||||
PDF Solutions, Inc.* | 28,600 | 559,416 | ||||||
Photronics, Inc.* | 66,080 | 735,470 | ||||||
Power Integrations, Inc.(a) | 30,330 | 3,582,883 | ||||||
Rambus, Inc.* | 114,970 | 1,747,544 | ||||||
SMART Global Holdings, Inc.*(a) | 13,900 | 377,802 | ||||||
Ultra Clean Holdings, Inc.* | 40,570 | 918,099 | ||||||
Veeco Instruments, Inc.*(a) | 50,143 | 676,429 | ||||||
|
| |||||||
26,847,845 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A163
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Software — 2.7% | ||||||||
8x8, Inc.*(a) | 105,200 | $ | 1,683,200 | |||||
Agilysys, Inc.* | 20,282 | 363,859 | ||||||
Alarm.com Holdings, Inc.*(a) | 43,090 | 2,792,663 | ||||||
Bottomline Technologies DE, Inc.* | 38,560 | 1,957,691 | ||||||
Ebix, Inc.(a) | 22,597 | 505,269 | ||||||
LivePerson, Inc.*(a) | 62,510 | 2,589,790 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 7,870 | 930,942 | ||||||
OneSpan, Inc.* | 33,100 | 924,483 | ||||||
Progress Software Corp. | 45,447 | 1,761,071 | ||||||
SPS Commerce, Inc.* | 35,450 | 2,663,004 | ||||||
Xperi Holding Corp. | 116,735 | 1,723,009 | ||||||
|
| |||||||
17,894,981 | ||||||||
|
| |||||||
Specialty Retail — 3.4% | ||||||||
Abercrombie & Fitch Co. (Class A | 62,500 | 665,000 | ||||||
America’s Car-Mart, Inc.* | 6,400 | 562,368 | ||||||
Asbury Automotive Group, Inc.* | 19,660 | 1,520,308 | ||||||
Barnes & Noble Education, Inc.* | 38,526 | 61,642 | ||||||
Bed Bath & Beyond, Inc.(a) | 128,450 | 1,361,570 | ||||||
Boot Barn Holdings, Inc.*(a) | 29,320 | 632,139 | ||||||
Buckle, Inc. (The)(a) | 28,959 | 454,077 | ||||||
Caleres, Inc. | 40,454 | 337,386 | ||||||
Cato Corp. (The) (Class A Stock)(a) | 21,253 | 173,850 | ||||||
Chico’s FAS, Inc. | 120,050 | 165,669 | ||||||
Children’s Place, Inc. (The)(a) | 14,815 | 554,377 | ||||||
Conn’s, Inc.*(a) | 19,400 | 195,746 | ||||||
Designer Brands, Inc. (Class A | 55,100 | 373,027 | ||||||
Express, Inc.*(a) | 63,930 | 98,452 | ||||||
GameStop Corp. (Class A Stock)*(a) | 65,730 | 285,268 | ||||||
Genesco, Inc.*(a) | 14,162 | 306,749 | ||||||
Group 1 Automotive, Inc. | 17,354 | 1,144,843 | ||||||
Guess?, Inc.(a) | 44,620 | 431,476 | ||||||
Haverty Furniture Cos., Inc.(a) | 17,511 | 280,176 | ||||||
Hibbett Sports, Inc.*(a) | 16,796 | 351,708 | ||||||
Lithia Motors, Inc. (Class A Stock) | 22,540 | 3,410,978 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 29,022 | 402,245 | ||||||
MarineMax, Inc.* | 21,742 | 486,803 | ||||||
Michaels Cos., Inc. (The)*(a) | 77,300 | 546,511 | ||||||
Monro, Inc.(a) | 33,852 | 1,859,829 | ||||||
Office Depot, Inc. | 532,550 | 1,251,493 | ||||||
Rent-A-Center, Inc.(a) | 49,150 | 1,367,353 | ||||||
Shoe Carnival, Inc.(a) | 8,960 | 262,259 | ||||||
Signet Jewelers Ltd.(a) | 53,100 | 545,337 | ||||||
Sleep Number Corp.*(a) | 28,050 | 1,168,002 | ||||||
Sonic Automotive, Inc. (Class A Stock) | 24,447 | 780,104 | ||||||
Zumiez, Inc.* | 20,400 | 558,552 | ||||||
|
| |||||||
22,595,297 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% |
| |||||||
3D Systems Corp.*(a) | 120,100 | 839,499 | ||||||
Diebold Nixdorf, Inc.*(a) | 78,650 | 476,619 | ||||||
|
| |||||||
1,316,118 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
Capri Holdings Ltd.* | 151,600 | 2,369,508 | ||||||
Crocs, Inc.*(a) | 68,393 | 2,518,230 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Textiles, Apparel & Luxury Goods (cont’d.) |
| |||||||
Fossil Group, Inc.*(a) | 47,000 | $ | 218,550 | |||||
G-III Apparel Group Ltd.*(a) | 43,900 | 583,431 | ||||||
Kontoor Brands, Inc. | 47,370 | 843,660 | ||||||
Movado Group, Inc.(a) | 16,467 | 178,502 | ||||||
Oxford Industries, Inc.(a) | 17,066 | 751,075 | ||||||
Steven Madden Ltd.(a) | 77,635 | 1,916,808 | ||||||
Unifi, Inc.* | 14,780 | 190,366 | ||||||
Vera Bradley, Inc.* | 23,200 | 103,008 | ||||||
Wolverine World Wide, Inc. | 82,424 | 1,962,516 | ||||||
|
| |||||||
11,635,654 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.4% |
| |||||||
Axos Financial, Inc.*(a) | 52,690 | 1,163,395 | ||||||
Flagstar Bancorp, Inc. | 35,200 | 1,035,936 | ||||||
HomeStreet, Inc. | 23,760 | 584,734 | ||||||
Meta Financial Group, Inc. | 32,300 | 586,891 | ||||||
NMI Holdings, Inc. (Class A Stock)* | 86,000 | 1,382,880 | ||||||
Northfield Bancorp, Inc. | 43,700 | 503,424 | ||||||
Northwest Bancshares, Inc. | 120,160 | 1,228,636 | ||||||
Provident Financial Services, Inc. | 60,860 | 879,427 | ||||||
TrustCo Bank Corp. | 97,295 | 615,877 | ||||||
Walker & Dunlop, Inc. | 29,320 | 1,489,749 | ||||||
|
| |||||||
9,470,949 | ||||||||
|
| |||||||
Tobacco — 0.3% | ||||||||
Universal Corp. | 24,800 | 1,054,248 | ||||||
Vector Group Ltd. | 121,182 | 1,219,091 | ||||||
|
| |||||||
2,273,339 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
Applied Industrial Technologies, Inc. | 39,338 | 2,454,298 | ||||||
DXP Enterprises, Inc.* | 16,450 | 327,520 | ||||||
Foundation Building Materials, Inc.* | 17,850 | 278,639 | ||||||
GMS, Inc.* | 42,850 | 1,053,681 | ||||||
Kaman Corp. | 28,052 | 1,166,963 | ||||||
NOW, Inc.* | 110,950 | 957,498 | ||||||
Veritiv Corp.* | 12,590 | 213,526 | ||||||
|
| |||||||
6,452,125 | ||||||||
|
| |||||||
Water Utilities — 0.8% | ||||||||
American States Water Co. | 37,482 | 2,947,210 | ||||||
California Water Service Group | 49,460 | 2,359,242 | ||||||
|
| |||||||
5,306,452 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
Shenandoah Telecommunications Co. | 47,560 | 2,344,232 | ||||||
Spok Holdings, Inc. | 17,520 | 163,812 | ||||||
|
| |||||||
2,508,044 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 655,469,018 | ||||||
|
| |||||||
EXCHANGE-TRADED FUND — 0.1% |
| |||||||
iShares Core S&P Small-Cap | 14,100 | 962,889 | ||||||
|
| |||||||
(cost $723,161) | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 656,431,907 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A164
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 29.7% |
| |||||||
AFFILIATED MUTUAL FUNDS — 29.7% |
| |||||||
PGIM Core Ultra Short Bond | 792,289 | $ | 792,289 | |||||
PGIM Institutional Money Market Fund (cost $194,095,254; includes $194,012,291 of cash collateral for securities on | 194,381,939 | 194,381,939 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 195,174,228 | ||||||
|
|
Interest Rate | Maturity Date |
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.0% |
| |||||||||
U.S. Treasury Bills |
| |||||||||
0.150% | 09/17/20 | 250 | 249,924 | |||||||
|
| |||||||||
(cost $249,919) |
| |||||||||
TOTAL SHORT-TERM INVESTMENTS | 195,424,152 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS—129.4% | 851,856,059 | |||||||||
Liabilities in excess of other assets(z) — (29.4)% | (193,704,599 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 658,151,460 | ||||||||
|
|
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 $191,215,870; cash collateral of $194,012,291 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown is the effective yield at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Position: |
| |||||||||||||
22 | Russell 2000 E-Mini Index | Sep. 2020 | $ | 1,581,360 | $(221) |
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 | $—
| $249,924
|
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.
A165
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 9,630,108 | $ | — | $— | |||||||
Air Freight & Logistics | 4,770,268 | — | — | |||||||||
Airlines | 3,779,220 | — | — | |||||||||
Auto Components | 13,742,371 | — | — | |||||||||
Automobiles | 2,283,800 | — | — | |||||||||
Banks | 49,148,850 | — | — | |||||||||
Beverages | 2,308,473 | — | — | |||||||||
Biotechnology | 16,641,064 | — | — | |||||||||
Building Products | 17,497,567 | — | — | |||||||||
Capital Markets | 5,835,686 | — | — | |||||||||
Chemicals | 18,490,996 | — | — | |||||||||
Commercial Services & Supplies | 11,676,319 | — | — | |||||||||
Communications Equipment | 6,996,603 | — | — | |||||||||
Construction & Engineering | 5,513,238 | — | — | |||||||||
Construction Materials | 400,520 | — | — | |||||||||
Consumer Finance | 6,313,644 | — | — | |||||||||
Containers & Packaging | 527,729 | — | — | |||||||||
Distributors | 1,142,689 | — | — | |||||||||
Diversified Consumer Services | 1,758,645 | — | — | |||||||||
Diversified Telecommunication Services | 10,110,818 | — | — | |||||||||
Electric Utilities | 2,771,656 | — | — | |||||||||
Electrical Equipment | 5,120,720 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 24,831,075 | — | — | |||||||||
Energy Equipment & Services | 10,000,881 | — | — | |||||||||
Entertainment | 1,547,306 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 51,679,170 | — | — | |||||||||
Food & Staples Retailing | 4,018,804 | — | — | |||||||||
Food Products | 7,694,613 | — | — | |||||||||
Gas Utilities | 4,075,721 | — | — | |||||||||
Health Care Equipment & Supplies | 24,877,722 | — | — | |||||||||
Health Care Providers & Services | 18,275,212 | — | — | |||||||||
Health Care Technology | 10,366,527 | — | — | |||||||||
Hotels, Restaurants & Leisure | 12,377,674 | — | — | |||||||||
Household Durables | 16,387,992 | — | — | |||||||||
Household Products | 4,448,221 | — | — | |||||||||
Industrial Conglomerates | 783,609 | — | — | |||||||||
Insurance | 20,300,722 | — | — | |||||||||
Interactive Media & Services | 496,327 | — | — | |||||||||
Internet & Direct Marketing Retail | 4,617,658 | — | — | |||||||||
IT Services | 14,288,909 | — | — | |||||||||
Leisure Products | 6,705,303 | — | — | |||||||||
Life Sciences Tools & Services | 7,398,114 | — | — | |||||||||
Machinery | 37,330,899 | — | — | |||||||||
Marine | 1,270,215 | — | — | |||||||||
Media | 2,880,259 | — | — | |||||||||
Metals & Mining | 8,006,551 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 7,974,056 | — | — | |||||||||
Multiline Retail | 3,836,084 | — | — | |||||||||
Multi-Utilities | 2,486,274 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 9,658,949 | — | — | |||||||||
Paper & Forest Products | 5,058,295 | — | — | |||||||||
Personal Products | 3,436,269 | — | — | |||||||||
Pharmaceuticals | 9,057,464 | — | — | |||||||||
Professional Services | 8,186,498 | — | — | |||||||||
Real Estate Management & Development | 2,751,863 | — | — | |||||||||
Road & Rail | 5,601,994 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 26,847,845 | — | — | |||||||||
Software | 17,894,981 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A166
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Specialty Retail | $ | 22,595,297 | $ | — | $— | |||||||
Technology Hardware, Storage & Peripherals | 1,316,118 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 11,635,654 | — | — | |||||||||
Thrifts & Mortgage Finance | 9,470,949 | — | — | |||||||||
Tobacco | 2,273,339 | — | — | |||||||||
Trading Companies & Distributors | 6,452,125 | — | — | |||||||||
Water Utilities | 5,306,452 | — | — | |||||||||
Wireless Telecommunication Services | 2,508,044 | — | — | |||||||||
Exchange-Traded Fund | 962,889 | — | — | |||||||||
Affiliated Mutual Funds | 195,174,228 | — | — | |||||||||
U.S. Treasury Obligation | — | 249,924 | — | |||||||||
|
|
|
|
|
|
| ||||||
Total | $ | 851,606,135 | $ | 249,924 | $— | |||||||
|
|
|
|
|
|
| ||||||
Other Financial Instruments* | ||||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (221 | ) | $ | — | $— | ||||||
|
|
|
|
|
|
|
* | 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, 2020 were as follows:
Affiliated Mutual Funds (29.5% represents investments purchased with collateral from securities on loan) | 29.7 | % | ||
Equity Real Estate Investment Trusts (REITs) | 7.8 | |||
Banks | 7.5 | |||
Machinery | 5.7 | |||
Semiconductors & Semiconductor Equipment | 4.1 | |||
Health Care Equipment & Supplies | 3.8 | |||
Electronic Equipment, Instruments & Components | 3.8 | |||
Specialty Retail | 3.4 | |||
Insurance | 3.1 | |||
Chemicals | 2.8 | |||
Health Care Providers & Services | 2.8 | |||
Software | 2.7 | |||
Building Products | 2.6 | |||
Biotechnology | 2.5 | |||
Household Durables | 2.5 | |||
IT Services | 2.2 | |||
Auto Components | 2.1 | |||
Hotels, Restaurants & Leisure | 1.9 | |||
Commercial Services & Supplies | 1.8 | |||
Textiles, Apparel & Luxury Goods | 1.8 | |||
Health Care Technology | 1.6 | |||
Diversified Telecommunication Services | 1.5 | |||
Energy Equipment & Services | 1.5 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Aerospace & Defense | 1.5 | |||
Thrifts & Mortgage Finance | 1.4 | |||
Pharmaceuticals | 1.4 | |||
Professional Services | 1.2 | |||
Metals & Mining | 1.2 | |||
Mortgage Real Estate Investment Trusts (REITs) | 1.2 | |||
Food Products | 1.2 |
Life Sciences Tools & Services | 1.1 | % | ||
Communications Equipment | 1.1 | |||
Leisure Products | 1.0 | |||
Trading Companies & Distributors | 1.0 | |||
Consumer Finance | 1.0 | |||
Capital Markets | 0.9 | |||
Road & Rail | 0.8 | |||
Construction & Engineering | 0.8 | |||
Water Utilities | 0.8 | |||
Electrical Equipment | 0.8 | |||
Paper & Forest Products | 0.8 | |||
Air Freight & Logistics | 0.7 | |||
Internet & Direct Marketing Retail | 0.7 | |||
Household Products | 0.7 | |||
Gas Utilities | 0.6 | |||
Food & Staples Retailing | 0.6 | |||
Multiline Retail | 0.6 | |||
Airlines | 0.6 | |||
Personal Products | 0.5 | |||
Media | 0.4 | |||
Electric Utilities | 0.4 | |||
Real Estate Management & Development | 0.4 | |||
Wireless Telecommunication Services | 0.4 | |||
Multi-Utilities | 0.4 | |||
Beverages | 0.3 | |||
Automobiles | 0.3 | |||
Tobacco | 0.3 | |||
Diversified Consumer Services | 0.3 | |||
Entertainment | 0.2 | |||
Technology Hardware, Storage & Peripherals | 0.2 | |||
Marine | 0.2 | |||
Distributors | 0.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A167
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Exchange-Traded Fund | 0.1 | % | ||
Industrial Conglomerates | 0.1 | |||
Containers & Packaging | 0.1 | |||
Interactive Media & Services | 0.1 | |||
Construction Materials | 0.1 | |||
U.S. Treasury Obligation | 0.0 | * | ||
|
| |||
129.4 | ||||
Liabilities in excess of other assets | (29.4 | ) | ||
|
| |||
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 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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and | Fair Value | ||||
Equity contracts | — | $— | Due from/to broker-variation margin futures | $221* | ||||
|
|
* | 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, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | (363,009 | ) | |
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(1) | Futures | ||||||||
Equity contracts | $ | 16,987 | $ | (29,990 | ) | |||||
|
|
|
|
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures Contracts— Long Positions(1) |
$2,662,090 |
(1) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A168
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||
Securities on Loan | $191,215,870 | $(191,215,870) | $— |
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A169
SMALL CAPITALIZATION STOCK PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $191,215,870: | ||||
Unaffiliated investments (cost $539,582,360) | $ | 656,681,831 | ||
Affiliated investments (cost $194,887,543) | 195,174,228 | |||
Receivable for investments sold | 6,010,161 | |||
Dividends and interest receivable | 688,749 | |||
Due from broker-variation margin futures | 15,840 | |||
Receivable for Portfolio shares sold | 14,176 | |||
Tax reclaim receivable | 1,309 | |||
Prepaid expenses | 817 | |||
|
| |||
Total Assets | 858,587,111 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 194,012,291 | |||
Payable for investments purchased | 5,438,738 | |||
Payable for Portfolio shares repurchased | 423,729 | |||
Accrued expenses and other liabilities | 304,584 | |||
Management fee payable | 189,966 | |||
Payable to custodian | 64,108 | |||
Payable to affiliate | 1,309 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 200,435,651 | |||
|
| |||
NET ASSETS | $ | 658,151,460 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 658,151,460 | ||
|
| |||
Net asset value and redemption price per share, $658,151,460 / 18,638,510 outstanding shares of beneficial interest | $ | 35.31 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $5,490 foreign withholding tax) | $ | 4,116,783 | ||
Income from securities lending, net (including affiliated income of $189,621) | 473,212 | |||
Affiliated dividend income | 10,155 | |||
Interest income | 417 | |||
|
| |||
Total income | 4,600,567 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,174,178 | |||
Shareholders’ reports | 55,711 | |||
Custodian and accounting fees | 50,619 | |||
Audit fee | 12,730 | |||
Trustees’ fees | 9,152 | |||
Legal fees and expenses | 7,095 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 12,728 | |||
|
| |||
Total expenses | 1,327,525 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 3,273,042 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(139,466)) | 506,900 | |||
Futures transactions | (363,009 | ) | ||
|
| |||
143,891 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $252,965) | (151,856,052 | ) | ||
Futures | (29,990 | ) | ||
|
| |||
(151,886,042 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | (151,742,151 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (148,469,109 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | ||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||
OPERATIONS | |||||||||||||||
Net investment income (loss) | $ | 3,273,042 | $ | 9,157,915 | |||||||||||
Net realized gain (loss) on investment transactions | 143,891 | 51,329,626 | |||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (151,886,042 | ) | 98,364,111 | ||||||||||||
|
|
|
| ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (148,469,109 | ) | 158,851,652 | ||||||||||||
|
|
|
| ||||||||||||
PORTFOLIO SHARE TRANSACTIONS | |||||||||||||||
Portfolio shares sold [233,043 and 457,311 shares, respectively] | 7,775,086 | 18,453,240 | |||||||||||||
Portfolio shares repurchased [973,874 and 1,807,785 shares, respectively] | (35,115,507 | ) | (71,967,512 | ) | |||||||||||
|
|
|
| ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (27,340,421 | ) | (53,514,272 | ) | |||||||||||
|
|
|
| ||||||||||||
TOTAL INCREASE (DECREASE) | (175,809,530 | ) | 105,337,380 | ||||||||||||
NET ASSETS: | |||||||||||||||
Beginning of period | 833,960,990 | 728,623,610 | |||||||||||||
|
|
|
| ||||||||||||
End of period | $ | 658,151,460 | $ | 833,960,990 | |||||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A170
STOCK INDEX PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 97.9% |
| |||||||
COMMON STOCKS — 97.5% |
| |||||||
Aerospace & Defense — 1.7% |
| |||||||
Boeing Co. (The) | 93,536 | $ | 17,145,149 | |||||
General Dynamics Corp. | 41,300 | 6,172,698 | ||||||
Howmet Aerospace, Inc. | 69,992 | 1,109,373 | ||||||
Huntington Ingalls Industries, Inc. | 7,400 | 1,291,226 | ||||||
L3Harris Technologies, Inc. | 38,980 | 6,613,737 | ||||||
Lockheed Martin Corp. | 43,758 | 15,968,169 | ||||||
Northrop Grumman Corp. | 27,726 | 8,524,081 | ||||||
Raytheon Technologies Corp. | 258,148 | 15,907,080 | ||||||
Teledyne Technologies, Inc.* | 5,500 | 1,710,225 | ||||||
Textron, Inc. | 41,450 | 1,364,120 | ||||||
TransDigm Group, Inc.(a) | 8,800 | 3,890,040 | ||||||
|
| |||||||
79,695,898 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
C.H. Robinson Worldwide, | 24,100 | 1,905,346 | ||||||
Expeditors International of Washington, Inc. | 30,100 | 2,288,804 | ||||||
FedEx Corp. | 42,640 | 5,978,981 | ||||||
United Parcel Service, Inc. (Class B Stock) | 123,600 | 13,741,848 | ||||||
|
| |||||||
23,914,979 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
Alaska Air Group, Inc. | 22,000 | 797,720 | ||||||
American Airlines Group, | 70,100 | 916,207 | ||||||
Delta Air Lines, Inc.(a) | 101,200 | 2,838,660 | ||||||
Southwest Airlines Co. | 89,737 | 3,067,211 | ||||||
United Airlines Holdings, | 43,900 | 1,519,379 | ||||||
|
| |||||||
9,139,177 | ||||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
Aptiv PLC | 44,900 | 3,498,608 | ||||||
BorgWarner, Inc.(a) | 37,000 | 1,306,100 | ||||||
|
| |||||||
4,804,708 | ||||||||
|
| |||||||
Automobiles — 0.2% | ||||||||
Ford Motor Co.(a) | 682,959 | 4,152,391 | ||||||
General Motors Co. | 221,200 | 5,596,360 | ||||||
|
| |||||||
9,748,751 | ||||||||
|
| |||||||
Banks — 3.6% | ||||||||
Bank of America Corp. | 1,382,882 | 32,843,447 | ||||||
Citigroup, Inc. | 368,722 | 18,841,694 | ||||||
Citizens Financial Group, Inc. | 77,400 | 1,953,576 | ||||||
Comerica, Inc. | 25,850 | 984,885 | ||||||
Fifth Third Bancorp | 125,849 | 2,426,369 | ||||||
First Republic Bank | 29,600 | 3,137,304 | ||||||
Huntington Bancshares, Inc. | 183,075 | 1,654,083 | ||||||
JPMorgan Chase & Co. | 538,895 | 50,688,464 | ||||||
KeyCorp | 177,600 | 2,163,168 | ||||||
M&T Bank Corp. | 23,700 | 2,464,089 | ||||||
People’s United Financial, | 77,900 | 901,303 | ||||||
PNC Financial Services Group, Inc. (The) | 77,093 | 8,110,955 | ||||||
Regions Financial Corp. | 171,712 | 1,909,437 | ||||||
SVB Financial Group* | 9,300 | 2,004,429 | ||||||
Truist Financial Corp. | 235,226 | 8,832,736 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Banks (cont’d.) | ||||||||
U.S. Bancorp | 242,381 | $ | 8,924,468 | |||||
Wells Fargo & Co. | 664,876 | 17,020,826 | ||||||
Zions Bancorp NA(a) | 30,000 | 1,020,000 | ||||||
|
| |||||||
165,881,233 | ||||||||
|
| |||||||
Beverages — 1.6% | ||||||||
Brown-Forman Corp. (Class B Stock)(a) | 32,025 | 2,038,712 | ||||||
Coca-Cola Co. (The) | 678,350 | 30,308,678 | ||||||
Constellation Brands, Inc. (Class A Stock) | 29,700 | 5,196,015 | ||||||
Molson Coors Beverage Co. (Class B Stock)(a) | 33,200 | 1,140,752 | ||||||
Monster Beverage Corp.* | 68,300 | 4,734,556 | ||||||
PepsiCo, Inc. | 245,294 | 32,442,584 | ||||||
|
| |||||||
75,861,297 | ||||||||
|
| |||||||
Biotechnology — 2.4% | ||||||||
AbbVie, Inc. | 310,389 | 30,473,992 | ||||||
Alexion Pharmaceuticals, Inc.* | 39,200 | 4,399,808 | ||||||
Amgen, Inc. | 104,694 | 24,693,127 | ||||||
Biogen, Inc.* | 29,915 | 8,003,758 | ||||||
Gilead Sciences, Inc. | 222,600 | 17,126,844 | ||||||
Incyte Corp.* | 31,400 | 3,264,658 | ||||||
Regeneron Pharmaceuticals, Inc.* | 17,810 | 11,107,207 | ||||||
Vertex Pharmaceuticals, Inc.* | 45,500 | 13,209,105 | ||||||
|
| |||||||
112,278,499 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
A.O. Smith Corp. | 24,800 | 1,168,576 | ||||||
Allegion PLC(a) | 16,533 | 1,690,003 | ||||||
Carrier Global Corp. | 142,767 | 3,172,283 | ||||||
Fortune Brands Home & Security, Inc.(a) | 25,100 | 1,604,643 | ||||||
Johnson Controls International PLC | 137,115 | 4,681,106 | ||||||
Masco Corp. | 51,230 | 2,572,258 | ||||||
Trane Technologies PLC | 42,200 | 3,754,956 | ||||||
|
| |||||||
18,643,825 | ||||||||
|
| |||||||
Capital Markets — 2.6% | ||||||||
Ameriprise Financial, Inc. | 22,750 | 3,413,410 | ||||||
Bank of New York Mellon Corp. (The) | 148,949 | 5,756,879 | ||||||
BlackRock, Inc. | 26,740 | 14,548,967 | ||||||
Cboe Global Markets, Inc. | 19,800 | 1,846,944 | ||||||
Charles Schwab Corp. (The) | 200,500 | 6,764,870 | ||||||
CME Group, Inc. | 63,310 | 10,290,407 | ||||||
E*TRADE Financial Corp. | 40,710 | 2,024,508 | ||||||
Franklin Resources, Inc.(a) | 50,800 | 1,065,276 | ||||||
Goldman Sachs Group, Inc. (The) | 54,820 | 10,833,528 | ||||||
Intercontinental Exchange, Inc. | 97,990 | 8,975,884 | ||||||
Invesco Ltd.(a) | 70,800 | 761,808 | ||||||
MarketAxess Holdings, Inc. | 6,700 | 3,356,164 | ||||||
Moody’s Corp. | 28,620 | 7,862,773 | ||||||
Morgan Stanley | 205,310 | 9,916,473 | ||||||
MSCI, Inc. | 14,900 | 4,973,918 | ||||||
Nasdaq, Inc. | 20,300 | 2,425,241 | ||||||
Northern Trust Corp. | 37,500 | 2,975,250 | ||||||
Raymond James Financial, Inc. | 22,600 | 1,555,558 |
SEE NOTES TO FINANCIAL STATEMENTS.
A171
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Capital Markets (cont’d.) | ||||||||
S&P Global, Inc. | 43,080 | $ | 14,193,999 | |||||
State Street Corp. | 63,975 | 4,065,611 | ||||||
T. Rowe Price Group, Inc. | 41,100 | 5,075,850 | ||||||
|
| |||||||
122,683,318 | ||||||||
|
| |||||||
Chemicals — 1.7% | ||||||||
Air Products & Chemicals, Inc. | 38,800 | 9,368,648 | ||||||
Albemarle Corp.(a) | 18,600 | 1,436,106 | ||||||
Celanese Corp. | 21,400 | 1,847,676 | ||||||
CF Industries Holdings, Inc. | 39,800 | 1,119,972 | ||||||
Corteva, Inc.(a) | 132,356 | 3,545,817 | ||||||
Dow, Inc.(a) | 130,222 | 5,307,849 | ||||||
DuPont de Nemours, Inc. | 130,056 | 6,909,875 | ||||||
Eastman Chemical Co. | 24,400 | 1,699,216 | ||||||
Ecolab, Inc. | 44,400 | 8,833,380 | ||||||
FMC Corp. | 23,150 | 2,306,203 | ||||||
International Flavors & Fragrances, Inc.(a) | 18,740 | 2,294,901 | ||||||
Linde PLC (United Kingdom) | 92,900 | 19,705,019 | ||||||
LyondellBasell Industries NV (Class A Stock)(a) | 45,400 | 2,983,688 | ||||||
Mosaic Co. (The) | 60,800 | 760,608 | ||||||
PPG Industries, Inc. | 41,500 | 4,401,490 | ||||||
Sherwin-Williams Co. (The) | 14,500 | 8,378,825 | ||||||
|
| |||||||
80,899,273 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Cintas Corp.(a) | 14,900 | 3,968,764 | ||||||
Copart, Inc.* | 35,900 | 2,989,393 | ||||||
Republic Services, Inc. | 37,435 | 3,071,542 | ||||||
Rollins, Inc. | 24,750 | 1,049,152 | ||||||
Waste Management, Inc. | 69,130 | 7,321,558 | ||||||
|
| |||||||
18,400,409 | ||||||||
|
| |||||||
Communications Equipment — 0.9% |
| |||||||
Arista Networks, Inc.*(a) | 9,600 | 2,016,288 | ||||||
Cisco Systems, Inc. | 746,275 | 34,806,266 | ||||||
F5 Networks, Inc.* | 11,000 | 1,534,280 | ||||||
Juniper Networks, Inc. | 59,700 | 1,364,742 | ||||||
Motorola Solutions, Inc. | 30,127 | 4,221,696 | ||||||
|
| |||||||
43,943,272 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
Jacobs Engineering Group, Inc. | 23,800 | 2,018,240 | ||||||
Quanta Services, Inc. | 26,200 | 1,027,826 | ||||||
|
| |||||||
3,046,066 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc. | 11,000 | 2,272,270 | ||||||
Vulcan Materials Co. | 23,300 | 2,699,305 | ||||||
|
| |||||||
4,971,575 | ||||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
American Express Co. | 118,500 | 11,281,200 | ||||||
Capital One Financial Corp. | 82,069 | 5,136,699 | ||||||
Discover Financial Services | 55,805 | 2,795,272 | ||||||
Synchrony Financial | 100,830 | 2,234,393 | ||||||
|
| |||||||
21,447,564 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Amcor PLC(a) | 284,200 | $ | 2,901,682 | |||||
Avery Dennison Corp. | 14,900 | 1,699,941 | ||||||
Ball Corp. | 57,800 | 4,016,522 | ||||||
International Paper Co. | 70,167 | 2,470,580 | ||||||
Packaging Corp. of America | 16,700 | 1,666,660 | ||||||
Sealed Air Corp. | 28,620 | 940,167 | ||||||
Westrock Co. | 45,261 | 1,279,076 | ||||||
|
| |||||||
14,974,628 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co. | 25,925 | 2,254,438 | ||||||
LKQ Corp.* | 55,100 | 1,443,620 | ||||||
|
| |||||||
3,698,058 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% |
| |||||||
H&R Block, Inc.(a) | 35,900 | 512,652 | ||||||
|
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 344,060 | 61,418,151 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
AT&T, Inc. | 1,261,771 | 38,143,338 | ||||||
CenturyLink, Inc.(a) | 172,143 | 1,726,594 | ||||||
Verizon Communications, Inc. | 727,538 | 40,109,170 | ||||||
|
| |||||||
79,979,102 | ||||||||
|
| |||||||
Electric Utilities — 1.8% | ||||||||
Alliant Energy Corp. | 42,000 | 2,009,280 | ||||||
American Electric Power Co., Inc. | 87,440 | 6,963,722 | ||||||
Duke Energy Corp.(a) | 128,748 | 10,285,678 | ||||||
Edison International | 62,900 | 3,416,099 | ||||||
Entergy Corp. | 35,000 | 3,283,350 | ||||||
Evergy, Inc. | 40,700 | 2,413,103 | ||||||
Eversource Energy | 57,200 | 4,763,044 | ||||||
Exelon Corp. | 170,573 | 6,190,094 | ||||||
FirstEnergy Corp. | 94,780 | 3,675,568 | ||||||
NextEra Energy, Inc. | 86,075 | 20,672,633 | ||||||
NRG Energy, Inc. | 46,400 | 1,510,784 | ||||||
Pinnacle West Capital Corp.(a) | 20,200 | 1,480,458 | ||||||
PPL Corp. | 135,000 | 3,488,400 | ||||||
Southern Co. (The) | 185,200 | 9,602,620 | ||||||
Xcel Energy, Inc. | 91,995 | 5,749,687 | ||||||
|
| |||||||
85,504,520 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% | ||||||||
AMETEK, Inc. | 40,200 | 3,592,674 | ||||||
Eaton Corp. PLC | 72,761 | 6,365,132 | ||||||
Emerson Electric Co. | 107,200 | 6,649,616 | ||||||
Rockwell Automation, Inc. | 20,420 | 4,349,460 | ||||||
|
| |||||||
20,956,882 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
Amphenol Corp. (Class A Stock) | 52,300 | 5,010,863 | ||||||
CDW Corp. | 25,200 | 2,927,736 | ||||||
Corning, Inc.(a) | 134,900 | 3,493,910 | ||||||
FLIR Systems, Inc. | 24,100 | 977,737 | ||||||
IPG Photonics Corp.* | 6,600 | 1,058,574 | ||||||
Keysight Technologies, Inc.* | 33,300 | 3,355,974 | ||||||
TE Connectivity Ltd. | 59,000 | 4,811,450 |
SEE NOTES TO FINANCIAL STATEMENTS.
A172
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Electronic Equipment, Instruments & Components (cont’d.) |
| |||||||
Zebra Technologies Corp. (Class A Stock)* | 9,500 | $ | 2,431,525 | |||||
|
| |||||||
24,067,769 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
Baker Hughes Co. | 114,048 | 1,755,199 | ||||||
Halliburton Co. | 154,000 | 1,998,920 | ||||||
National Oilwell Varco, | 68,400 | 837,900 | ||||||
Schlumberger Ltd. | 242,798 | 4,465,055 | ||||||
TechnipFMC PLC (United Kingdom) | 74,200 | 507,528 | ||||||
|
| |||||||
9,564,602 | ||||||||
|
| |||||||
Entertainment — 2.0% | ||||||||
Activision Blizzard, Inc. | 135,700 | 10,299,630 | ||||||
Electronic Arts, Inc.* | 51,500 | 6,800,575 | ||||||
Live Nation Entertainment, | 24,800 | 1,099,384 | ||||||
Netflix, Inc.* | 77,290 | 35,170,041 | ||||||
Take-Two Interactive Software, Inc.* | 20,000 | 2,791,400 | ||||||
Walt Disney Co. (The) | 317,072 | 35,356,699 | ||||||
|
| |||||||
91,517,729 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
Alexandria Real Estate Equities, Inc. | 21,480 | 3,485,130 | ||||||
American Tower Corp. | 78,000 | 20,166,120 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 27,387 | 1,030,847 | ||||||
AvalonBay Communities, Inc. | 24,518 | 3,791,464 | ||||||
Boston Properties, Inc. | 25,300 | 2,286,614 | ||||||
Crown Castle International Corp. | 73,500 | 12,300,225 | ||||||
Digital Realty Trust, Inc.(a) | 46,300 | 6,579,693 | ||||||
Duke Realty Corp. | 64,500 | 2,282,655 | ||||||
Equinix, Inc. | 15,525 | 10,903,207 | ||||||
Equity Residential | 61,300 | 3,605,666 | ||||||
Essex Property Trust, Inc. | 11,670 | 2,674,414 | ||||||
Extra Space Storage, | 22,800 | 2,106,036 | ||||||
Federal Realty Investment Trust | 12,400 | 1,056,604 | ||||||
Healthpeak Properties, Inc. | 85,800 | 2,364,648 | ||||||
Host Hotels & Resorts, | 127,426 | 1,374,927 | ||||||
Iron Mountain, Inc.(a) | 50,830 | 1,326,663 | ||||||
Kimco Realty Corp.(a) | 74,500 | 956,580 | ||||||
Mid-America Apartment Communities, Inc. | 20,100 | 2,304,867 | ||||||
Prologis, Inc. | 130,328 | 12,163,512 | ||||||
Public Storage | 26,750 | 5,133,057 | ||||||
Realty Income Corp. | 58,300 | 3,468,850 | ||||||
Regency Centers Corp. | 29,700 | 1,362,933 | ||||||
SBA Communications Corp. | 19,830 | 5,907,754 | ||||||
Simon Property Group, Inc. | 53,861 | 3,683,015 | ||||||
SL Green Realty Corp.(a) | 14,900 | 734,421 | ||||||
UDR, Inc. | 51,400 | 1,921,332 | ||||||
Ventas, Inc.(a) | 65,404 | 2,395,094 | ||||||
Vornado Realty Trust(a) | 28,257 | 1,079,700 | ||||||
Welltower, Inc. | 71,200 | 3,684,600 | ||||||
Weyerhaeuser Co. | 130,730 | 2,936,196 | ||||||
|
| |||||||
125,066,824 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
Costco Wholesale Corp. | 77,792 | 23,587,312 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Food & Staples Retailing (cont’d.) |
| |||||||
Kroger Co. (The) | 140,700 | $ | 4,762,695 | |||||
Sysco Corp. | 89,500 | 4,892,070 | ||||||
Walgreens Boots Alliance, Inc. | 131,500 | 5,574,285 | ||||||
Walmart, Inc. | 250,100 | 29,956,978 | ||||||
|
| |||||||
68,773,340 | ||||||||
|
| |||||||
Food Products — 1.1% | ||||||||
Archer-Daniels-Midland | 97,938 | 3,907,726 | ||||||
Campbell Soup Co.(a) | 30,600 | 1,518,678 | ||||||
Conagra Brands, Inc. | 85,400 | 3,003,518 | ||||||
General Mills, Inc.(a) | 106,000 | 6,534,900 | ||||||
Hershey Co. (The) | 26,100 | 3,383,082 | ||||||
Hormel Foods Corp.(a) | 48,800 | 2,355,576 | ||||||
J.M. Smucker Co. (The)(a) | 20,100 | 2,126,781 | ||||||
Kellogg Co.(a) | 43,700 | 2,886,822 | ||||||
Kraft Heinz Co. (The) | 109,237 | 3,483,568 | ||||||
Lamb Weston Holdings, | 25,700 | 1,643,001 | ||||||
McCormick & Co., Inc.(a) | 21,700 | 3,893,197 | ||||||
Mondelez International, Inc. (Class A Stock) | 253,811 | 12,977,357 | ||||||
Tyson Foods, Inc. (Class A Stock) | 51,800 | 3,092,978 | ||||||
|
| |||||||
50,807,184 | ||||||||
|
| |||||||
Gas Utilities — 0.0% | ||||||||
Atmos Energy Corp. | 21,000 | 2,091,180 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.7% |
| |||||||
Abbott Laboratories | 310,925 | 28,427,873 | ||||||
ABIOMED, Inc.* | 8,200 | 1,980,792 | ||||||
Align Technology, Inc.* | 12,600 | 3,457,944 | ||||||
Baxter International, Inc. | 90,300 | 7,774,830 | ||||||
Becton, Dickinson & Co. | 52,049 | 12,453,764 | ||||||
Boston Scientific Corp.* | 244,499 | 8,584,360 | ||||||
Cooper Cos., Inc. (The) | 8,830 | 2,504,541 | ||||||
Danaher Corp. | 110,800 | 19,592,764 | ||||||
DENTSPLY SIRONA, Inc.(a) | 39,300 | 1,731,558 | ||||||
DexCom, Inc.* | 15,800 | 6,405,320 | ||||||
Edwards Lifesciences Corp.* | 111,150 | 7,681,576 | ||||||
Hologic, Inc.* | 47,400 | 2,701,800 | ||||||
IDEXX Laboratories, Inc.* | 15,200 | 5,018,432 | ||||||
Intuitive Surgical, Inc.*(a) | 20,390 | 11,618,834 | ||||||
Medtronic PLC | 235,828 | 21,625,428 | ||||||
ResMed, Inc. | 25,300 | 4,857,600 | ||||||
STERIS PLC | 15,200 | 2,332,288 | ||||||
Stryker Corp. | 56,870 | 10,247,405 | ||||||
Teleflex, Inc. | 8,200 | 2,984,636 | ||||||
Varian Medical Systems, Inc.*(a) | 16,200 | 1,984,824 | ||||||
West Pharmaceutical Services, Inc. | 13,300 | 3,021,361 | ||||||
Zimmer Biomet Holdings, Inc.(a) | 36,386 | 4,343,033 | ||||||
|
| |||||||
171,330,963 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
AmerisourceBergen Corp. | 27,300 | 2,751,021 | ||||||
Anthem, Inc. | 44,600 | 11,728,908 | ||||||
Cardinal Health, Inc. | 52,575 | 2,743,889 | ||||||
Centene Corp.* | 102,468 | 6,511,841 | ||||||
Cigna Corp. | 65,952 | 12,375,893 | ||||||
CVS Health Corp. | 229,199 | 14,891,059 | ||||||
DaVita, Inc.*(a) | 16,200 | 1,282,068 |
SEE NOTES TO FINANCIAL STATEMENTS.
A173
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Health Care Providers & Services (cont’d.) |
| |||||||
HCA Healthcare, Inc. | 47,000 | $ | 4,561,820 | |||||
Henry Schein, Inc.*(a) | 26,500 | 1,547,335 | ||||||
Humana, Inc. | 23,500 | 9,112,125 | ||||||
Laboratory Corp. of America Holdings* | 17,400 | 2,890,314 | ||||||
McKesson Corp. | 28,707 | 4,404,228 | ||||||
Quest Diagnostics, Inc. | 23,800 | 2,712,248 | ||||||
UnitedHealth Group, Inc. | 166,830 | 49,206,509 | ||||||
Universal Health Services, Inc. (Class B Stock) | 14,800 | 1,374,772 | ||||||
|
| |||||||
128,094,030 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp.(a) | 55,100 | 3,777,105 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% |
| |||||||
Carnival Corp.(a) | 75,900 | 1,246,278 | ||||||
Chipotle Mexican Grill, Inc.* | 4,540 | 4,777,714 | ||||||
Darden Restaurants, Inc. | 21,550 | 1,632,843 | ||||||
Domino’s Pizza, Inc. | 6,800 | 2,512,192 | ||||||
Hilton Worldwide Holdings, Inc. | 49,700 | 3,650,465 | ||||||
Las Vegas Sands Corp. | 59,300 | 2,700,522 | ||||||
Marriott International, Inc. (Class A Stock) | 47,623 | 4,082,720 | ||||||
McDonald’s Corp. | 132,810 | 24,499,461 | ||||||
MGM Resorts International(a) | 90,400 | 1,518,720 | ||||||
Norwegian Cruise Line Holdings | 37,500 | 616,125 | ||||||
Royal Caribbean Cruises | 30,300 | 1,524,090 | ||||||
Starbucks Corp. | 208,100 | 15,314,079 | ||||||
Wynn Resorts Ltd. | 17,000 | 1,266,330 | ||||||
Yum! Brands, Inc. | 53,100 | 4,614,921 | ||||||
|
| |||||||
69,956,460 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
D.R. Horton, Inc. | 59,600 | 3,304,820 | ||||||
Garmin Ltd. | 25,400 | 2,476,500 | ||||||
Leggett & Platt, Inc. | 23,800 | 836,570 | ||||||
Lennar Corp. (Class A Stock) | 49,900 | 3,074,838 | ||||||
Mohawk Industries, Inc.* | 10,900 | 1,109,184 | ||||||
Newell Brands, Inc.(a) | 71,149 | 1,129,846 | ||||||
NVR, Inc.* | 620 | 2,020,425 | ||||||
PulteGroup, Inc. | 45,185 | 1,537,646 | ||||||
Whirlpool Corp.(a) | 11,367 | 1,472,367 | ||||||
|
| |||||||
16,962,196 | ||||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
Church & Dwight Co., Inc.(a) | 43,100 | 3,331,630 | ||||||
Clorox Co. (The) | 22,300 | 4,891,951 | ||||||
Colgate-Palmolive Co.(a) | 151,300 | 11,084,238 | ||||||
Kimberly-Clark Corp. | 60,688 | 8,578,249 | ||||||
Procter & Gamble Co. (The) | 439,176 | 52,512,274 | ||||||
|
| |||||||
80,398,342 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.0% |
| |||||||
AES Corp. (The) | 116,500 | 1,688,085 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
3M Co. | 101,570 | 15,843,904 | ||||||
General Electric Co. | 1,531,847 | 10,462,515 | ||||||
Honeywell International, Inc. | 125,900 | 18,203,881 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Industrial Conglomerates (cont’d.) |
| |||||||
Roper Technologies, Inc. | 18,300 | $ | 7,105,158 | |||||
|
| |||||||
51,615,458 | ||||||||
|
| |||||||
Insurance — 1.8% | ||||||||
Aflac, Inc. | 129,200 | 4,655,076 | ||||||
Allstate Corp. (The) | 57,428 | 5,569,942 | ||||||
American International Group, Inc. | 152,629 | 4,758,972 | ||||||
Aon PLC (Class A Stock) | 41,325 | 7,959,195 | ||||||
Arthur J Gallagher & Co. | 32,800 | 3,197,672 | ||||||
Assurant, Inc. | 10,700 | 1,105,203 | ||||||
Chubb Ltd. | 79,630 | 10,082,750 | ||||||
Cincinnati Financial Corp. | 26,728 | 1,711,394 | ||||||
Everest Re Group Ltd. | 7,200 | 1,484,640 | ||||||
Globe Life, Inc.(a) | 17,575 | 1,304,592 | ||||||
Hartford Financial Services Group, Inc. (The) | 63,300 | 2,440,215 | ||||||
Lincoln National Corp.(a) | 36,263 | 1,334,116 | ||||||
Loews Corp. | 46,026 | 1,578,231 | ||||||
Marsh & McLennan Cos., Inc. | 89,000 | 9,555,930 | ||||||
MetLife, Inc. | 137,980 | 5,039,030 | ||||||
Principal Financial Group, Inc. | 45,700 | 1,898,378 | ||||||
Progressive Corp. (The) | 103,400 | 8,283,374 | ||||||
Travelers Cos., Inc. (The)(a) | 45,598 | 5,200,452 | ||||||
Unum Group | 37,456 | 621,395 | ||||||
W.R. Berkley Corp. | 25,500 | 1,460,895 | ||||||
Willis Towers Watson PLC | 22,800 | 4,490,460 | ||||||
|
| |||||||
83,731,912 | ||||||||
|
| |||||||
Interactive Media & Services — 5.4% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 52,949 | 75,084,330 | ||||||
Alphabet, Inc. (Class C Stock)* | 51,980 | 73,479,448 | ||||||
Facebook, Inc. (Class A Stock)* | 425,320 | 96,577,412 | ||||||
Twitter, Inc.*(a) | 137,300 | 4,090,167 | ||||||
|
| |||||||
249,231,357 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.8% |
| |||||||
Amazon.com, Inc.* | 74,260 | 204,869,973 | ||||||
Booking Holdings, Inc.* | 7,430 | 11,831,086 | ||||||
eBay, Inc. | 122,000 | 6,398,900 | ||||||
Expedia Group, Inc. | 24,600 | 2,022,120 | ||||||
|
| |||||||
225,122,079 | ||||||||
|
| |||||||
IT Services — 5.6% | ||||||||
Accenture PLC (Class A Stock) | 111,800 | 24,005,696 | ||||||
Akamai Technologies, | 28,500 | 3,052,065 | ||||||
Automatic Data Processing, Inc. | 76,460 | 11,384,129 | ||||||
Broadridge Financial Solutions, Inc. | 20,500 | 2,586,895 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 96,700 | 5,494,494 | ||||||
DXC Technology Co. | 45,350 | 748,275 | ||||||
Fidelity National Information Services, Inc. | 107,800 | 14,454,902 | ||||||
Fiserv, Inc.* | 100,900 | 9,849,858 | ||||||
FleetCor Technologies, Inc.* | 15,400 | 3,873,562 | ||||||
Gartner, Inc.* | 15,700 | 1,904,881 | ||||||
Global Payments, Inc. | 52,863 | 8,966,622 | ||||||
International Business Machines Corp.(a) | 155,925 | 18,831,062 |
SEE NOTES TO FINANCIAL STATEMENTS.
A174
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
IT Services (cont’d.) | ||||||||
Jack Henry & Associates, Inc. | 13,500 | $ | 2,484,405 | |||||
Leidos Holdings, Inc. | 23,400 | 2,191,878 | ||||||
Mastercard, Inc. (Class A | 156,200 | 46,188,340 | ||||||
Paychex, Inc. | 55,950 | 4,238,213 | ||||||
PayPal Holdings, Inc.* | 206,600 | 35,995,918 | ||||||
VeriSign, Inc.* | 18,200 | 3,764,306 | ||||||
Visa, Inc. (Class A Stock)(a) | 299,000 | 57,757,830 | ||||||
Western Union Co. (The)(a) | 75,004 | 1,621,587 | ||||||
|
| |||||||
259,394,918 | ||||||||
|
| |||||||
Leisure Products — 0.0% |
| |||||||
Hasbro, Inc. | 22,350 | 1,675,132 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
Agilent Technologies, Inc. | 54,782 | 4,841,085 | ||||||
Bio-Rad Laboratories, Inc. (Class A Stock)* | 3,600 | 1,625,364 | ||||||
Illumina, Inc.* | 25,960 | 9,614,286 | ||||||
IQVIA Holdings, Inc.* | 31,700 | 4,497,596 | ||||||
Mettler-Toledo International, Inc.* | 4,320 | 3,479,976 | ||||||
PerkinElmer, Inc. | 19,800 | 1,942,182 | ||||||
Thermo Fisher Scientific, Inc. | 70,600 | 25,581,204 | ||||||
Waters Corp.*(a) | 11,600 | 2,092,640 | ||||||
|
| |||||||
53,674,333 | ||||||||
|
| |||||||
Machinery — 1.5% |
| |||||||
Caterpillar, Inc. | 97,600 | 12,346,400 | ||||||
Cummins, Inc. | 27,000 | 4,678,020 | ||||||
Deere & Co. | 55,650 | 8,745,398 | ||||||
Dover Corp. | 25,600 | 2,471,936 | ||||||
Flowserve Corp. | 23,600 | 673,072 | ||||||
Fortive Corp. | 51,900 | 3,511,554 | ||||||
IDEX Corp. | 13,400 | 2,117,736 | ||||||
Illinois Tool Works, Inc. | 51,475 | 9,000,404 | ||||||
Ingersoll Rand, Inc.* | 58,837 | 1,654,496 | ||||||
Otis Worldwide Corp. | 71,383 | 4,058,837 | ||||||
PACCAR, Inc. | 60,828 | 4,552,976 | ||||||
Parker-Hannifin Corp. | 22,687 | 4,157,846 | ||||||
Pentair PLC | 29,907 | 1,136,167 | ||||||
Snap-on, Inc.(a) | 9,900 | 1,371,249 | ||||||
Stanley Black & Decker, Inc. | 26,735 | 3,726,324 | ||||||
Westinghouse Air Brake Technologies Corp. | 32,012 | 1,842,931 | ||||||
Xylem, Inc. | 31,800 | 2,065,728 | ||||||
|
| |||||||
68,111,074 | ||||||||
|
| |||||||
Media — 1.2% |
| |||||||
Charter Communications, Inc. (Class A Stock)* | 26,740 | 13,638,470 | ||||||
Comcast Corp. (Class A Stock) | 798,592 | 31,129,116 | ||||||
Discovery, Inc. (Class A Stock)*(a) | 28,000 | 590,800 | ||||||
Discovery, Inc. (Class C Stock)* | 61,400 | 1,182,564 | ||||||
DISH Network Corp. (Class A Stock)* | 45,075 | 1,555,538 | ||||||
Fox Corp. (Class A | 62,166 | 1,667,292 | ||||||
Fox Corp. (Class B Stock) | 29,466 | 790,867 | ||||||
Interpublic Group of Cos., Inc. (The) | 68,962 | 1,183,388 | ||||||
News Corp. (Class A | 68,125 | 807,963 | ||||||
News Corp. (Class B Stock) | 22,800 | 272,460 | ||||||
Omnicom Group, Inc.(a) | 38,300 | 2,091,180 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Media (cont’d.) | ||||||||
ViacomCBS, Inc. (Class B Stock)(a) | 94,866 | $ | 2,212,275 | |||||
|
| |||||||
57,121,913 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
Freeport-McMoRan, Inc. | 254,512 | 2,944,704 | ||||||
Newmont Corp. | 143,803 | 8,878,397 | ||||||
Nucor Corp. | 53,900 | 2,231,999 | ||||||
|
| |||||||
14,055,100 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Dollar General Corp. | 44,800 | 8,534,848 | ||||||
Dollar Tree, Inc.* | 42,047 | 3,896,916 | ||||||
Kohl’s Corp.(a) | 28,500 | 591,945 | ||||||
Target Corp. | 89,468 | 10,729,897 | ||||||
|
| |||||||
23,753,606 | ||||||||
|
| |||||||
Multi-Utilities — 0.9% |
| |||||||
Ameren Corp.(a) | 43,200 | 3,039,552 | ||||||
CenterPoint Energy, Inc. | 88,110 | 1,645,014 | ||||||
CMS Energy Corp.(a) | 49,800 | 2,909,316 | ||||||
Consolidated Edison, Inc. | 58,300 | 4,193,519 | ||||||
Dominion Energy, Inc.(a) | 145,340 | 11,798,701 | ||||||
DTE Energy Co. | 33,700 | 3,622,750 | ||||||
NiSource, Inc. | 65,500 | 1,489,470 | ||||||
Public Service Enterprise Group, Inc. | 88,700 | 4,360,492 | ||||||
Sempra Energy | 49,954 | 5,856,108 | ||||||
WEC Energy Group, Inc.(a) | 55,376 | 4,853,706 | ||||||
|
| |||||||
43,768,628 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
Apache Corp. | 62,650 | 845,775 | ||||||
Cabot Oil & Gas Corp. | 74,700 | 1,283,346 | ||||||
Chevron Corp. | 332,662 | 29,683,430 | ||||||
Concho Resources, Inc. | 35,300 | 1,817,950 | ||||||
ConocoPhillips | 192,529 | 8,090,069 | ||||||
Devon Energy Corp. | 70,100 | 794,934 | ||||||
Diamondback Energy, Inc.(a) | 28,300 | 1,183,506 | ||||||
EOG Resources, Inc. | 102,100 | 5,172,386 | ||||||
Exxon Mobil Corp. | 744,304 | 33,285,275 | ||||||
Hess Corp. | 45,475 | 2,356,060 | ||||||
HollyFrontier Corp. | 26,200 | 765,040 | ||||||
Kinder Morgan, Inc. | 341,643 | 5,182,724 | ||||||
Marathon Oil Corp.(a) | 137,994 | 844,523 | ||||||
Marathon Petroleum Corp. | 113,887 | 4,257,096 | ||||||
Noble Energy, Inc. | 83,100 | 744,576 | ||||||
Occidental Petroleum | 156,728 | 2,868,122 | ||||||
ONEOK, Inc. | 72,540 | 2,409,779 | ||||||
Phillips 66 | 78,464 | 5,641,562 | ||||||
Pioneer Natural Resources Co. | 29,400 | 2,872,380 | ||||||
Valero Energy Corp. | 72,200 | 4,246,804 | ||||||
Williams Cos., Inc. (The) | 212,600 | 4,043,652 | ||||||
|
| |||||||
118,388,989 | ||||||||
|
| |||||||
Personal Products — 0.2% | ||||||||
Coty, Inc. (Class A Stock)(a) | 56,000 | 250,320 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 39,200 | 7,396,256 | ||||||
|
| |||||||
7,646,576 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A175
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Pharmaceuticals — 4.2% | ||||||||
Bristol-Myers Squibb Co. | 405,240 | $ | 23,828,112 | |||||
Eli Lilly & Co. | 149,100 | 24,479,238 | ||||||
Johnson & Johnson | 465,996 | 65,533,018 | ||||||
Merck & Co., Inc. | 447,903 | 34,636,339 | ||||||
Mylan NV* | 91,500 | 1,471,320 | ||||||
Perrigo Co. PLC | 23,900 | 1,320,953 | ||||||
Pfizer, Inc. | 973,523 | 31,834,202 | ||||||
Zoetis, Inc. | 84,200 | 11,538,768 | ||||||
|
| |||||||
194,641,950 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
Equifax, Inc. | 21,400 | 3,678,232 | ||||||
IHS Markit Ltd. | 70,400 | 5,315,200 | ||||||
Nielsen Holdings PLC | 62,900 | 934,694 | ||||||
Robert Half International, | 21,600 | 1,141,128 | ||||||
Verisk Analytics, Inc. | 28,800 | 4,901,760 | ||||||
|
| |||||||
15,971,014 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)*(a) | 58,800 | 2,658,936 | ||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
CSX Corp. | 136,672 | 9,531,505 | ||||||
J.B. Hunt Transport Services, Inc.(a) | 15,100 | 1,817,134 | ||||||
Kansas City Southern | 17,500 | 2,612,575 | ||||||
Norfolk Southern Corp.(a) | 46,000 | 8,076,220 | ||||||
Old Dominion Freight Line, Inc. | 17,250 | 2,925,428 | ||||||
Union Pacific Corp. | 122,300 | 20,677,261 | ||||||
|
| |||||||
45,640,123 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.7% |
| |||||||
Advanced Micro Devices, Inc.* | 205,800 | 10,827,138 | ||||||
Analog Devices, Inc. | 65,223 | 7,998,949 | ||||||
Applied Materials, Inc. | 162,100 | 9,798,945 | ||||||
Broadcom, Inc. | 69,920 | 22,067,451 | ||||||
Intel Corp. | 753,900 | 45,105,837 | ||||||
KLA Corp. | 27,900 | 5,425,992 | ||||||
Lam Research Corp. | 25,500 | 8,248,230 | ||||||
Maxim Integrated Products, Inc. | 47,500 | 2,878,975 | ||||||
Microchip Technology, Inc.(a) | 42,000 | 4,423,020 | ||||||
Micron Technology, Inc.* | 194,200 | 10,005,184 | ||||||
NVIDIA Corp. | 108,590 | 41,254,427 | ||||||
Qorvo, Inc.* | 20,486 | 2,264,318 | ||||||
QUALCOMM, Inc. | 201,150 | 18,346,891 | ||||||
Skyworks Solutions, Inc. | 30,400 | 3,886,944 | ||||||
Texas Instruments, Inc.(a) | 164,600 | 20,899,262 | ||||||
Xilinx, Inc. | 44,200 | 4,348,838 | ||||||
|
| |||||||
217,780,401 | ||||||||
|
| |||||||
Software — 9.1% | ||||||||
Adobe, Inc.* | 85,375 | 37,164,591 | ||||||
ANSYS, Inc.* | 15,100 | 4,405,123 | ||||||
Autodesk, Inc.* | 38,670 | 9,249,477 | ||||||
Cadence Design Systems, Inc.* | 49,700 | 4,769,212 | ||||||
Citrix Systems, Inc. | 20,800 | 3,076,528 | ||||||
Fortinet, Inc.* | 25,400 | 3,486,658 | ||||||
Intuit, Inc. | 46,000 | 13,624,740 | ||||||
Microsoft Corp. | 1,343,530 | 273,421,791 | ||||||
NortonLifeLock, Inc. | 102,411 | 2,030,810 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Software (cont’d.) |
| |||||||
Oracle Corp. | 373,095 | $ | 20,620,961 | |||||
Paycom Software, | 8,700 | 2,694,651 | ||||||
salesforce.com, Inc.* | 159,600 | 29,897,868 | ||||||
ServiceNow, Inc.* | 33,300 | 13,488,498 | ||||||
Synopsys, Inc.* | 26,400 | 5,148,000 | ||||||
Tyler Technologies, Inc.* | 6,100 | 2,115,968 | ||||||
|
| |||||||
425,194,876 | ||||||||
|
| |||||||
Specialty Retail — 2.4% |
| |||||||
Advance Auto Parts, Inc. | 12,560 | 1,789,172 | ||||||
AutoZone, Inc.* | 4,280 | 4,828,354 | ||||||
Best Buy Co., Inc. | 41,025 | 3,580,252 | ||||||
CarMax, Inc.*(a) | 29,100 | 2,605,905 | ||||||
Gap, Inc. (The)(a) | 37,187 | 469,300 | ||||||
Home Depot, Inc. (The) | 191,269 | 47,914,797 | ||||||
L Brands, Inc.(a) | 41,796 | 625,686 | ||||||
Lowe’s Cos., Inc. | 135,275 | 18,278,358 | ||||||
O’Reilly Automotive, Inc.* | 13,360 | 5,633,511 | ||||||
Ross Stores, Inc. | 63,700 | 5,429,788 | ||||||
Tiffany & Co. | 19,000 | 2,316,860 | ||||||
TJX Cos., Inc. (The) | 214,100 | 10,824,896 | ||||||
Tractor Supply Co. | 21,200 | 2,793,948 | ||||||
Ulta Beauty, Inc.* | 10,270 | 2,089,123 | ||||||
|
| |||||||
109,179,950 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.0% |
| |||||||
Apple, Inc. | 721,605 | 263,241,504 | ||||||
Hewlett Packard Enterprise Co. | 232,166 | 2,258,975 | ||||||
HP, Inc. | 259,966 | 4,531,207 | ||||||
NetApp, Inc.(a) | 41,200 | 1,828,044 | ||||||
Seagate Technology | 41,100 | 1,989,651 | ||||||
Western Digital Corp.(a) | 52,168 | 2,303,217 | ||||||
Xerox Holdings Corp. | 32,902 | 503,072 | ||||||
|
| |||||||
276,655,670 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
Hanesbrands, Inc.(a) | 62,100 | 701,109 | ||||||
NIKE, Inc. (Class B Stock) | 219,400 | 21,512,170 | ||||||
PVH Corp.(a) | 13,300 | 639,065 | ||||||
Ralph Lauren Corp.(a) | 9,200 | 667,184 | ||||||
Tapestry, Inc.(a) | 50,300 | 667,984 | ||||||
Under Armour, Inc. (Class A Stock)* | 34,300 | 334,082 | ||||||
Under Armour, Inc. (Class C | 33,303 | 294,399 | ||||||
VF Corp. | 57,444 | 3,500,637 | ||||||
|
| |||||||
28,316,630 | ||||||||
|
| |||||||
Tobacco — 0.7% |
| |||||||
Altria Group, Inc. | 329,300 | 12,925,025 | ||||||
Philip Morris International, Inc. | 273,800 | 19,182,428 | ||||||
|
| |||||||
32,107,453 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. | 100,600 | 4,309,704 | ||||||
United Rentals, Inc.* | 13,440 | 2,003,098 | ||||||
W.W. Grainger, Inc. | 7,820 | 2,456,731 | ||||||
|
| |||||||
8,769,533 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A176
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc. | 31,800 | $ | 4,091,388 | |||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
T-Mobile US, Inc.* | 94,800 | 9,873,420 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 4,534,672,065 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.4% |
| |||||||
iShares Core S&P 500 ETF(a) | 39,800 | 12,325,662 | ||||||
SPDR S&P 500 ETF Trust(a) | 14,000 | 4,317,040 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 16,642,702 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,551,314,767 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 8.7% |
| |||||||
AFFILIATED MUTUAL FUNDS — 8.5% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 86,852,887 | 86,852,887 | ||||||
PGIM Institutional Money Market Fund (cost $307,942,579; includes $307,768,313 of cash collateral for securities on loan)(b)(w) | 308,848,059 | 308,848,059 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 395,700,946 | ||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION(k)(n) — 0.2% |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.130% | 09/17/20 | 7,400 | 7,397,755 | |||||||||||||
|
| |||||||||||||||
(cost $7,397,920) |
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 403,098,701 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS—106.6% |
| 4,954,413,468 | ||||||||||||||
Liabilities in excess of other assets(z) — (6.6)% |
| (305,247,234 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 4,649,166,234 | |||||||||||||
|
|
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 $304,362,116; cash collateral of $307,768,313 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | |||||||||||||
Long Position: | |||||||||||||||||
589 | S&P 500 E-Mini Index | Sep. 2020 | $ | 91,006,390 | $ | 833,558 | |||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A177
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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 | $— | $7,397,755 |
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 79,695,898 | $ | — | $— | |||||||
Air Freight & Logistics | 23,914,979 | — | — | |||||||||
Airlines | 9,139,177 | — | — | |||||||||
Auto Components | 4,804,708 | — | — | |||||||||
Automobiles | 9,748,751 | — | — | |||||||||
Banks | 165,881,233 | — | — | |||||||||
Beverages | 75,861,297 | — | — | |||||||||
Biotechnology | 112,278,499 | — | — | |||||||||
Building Products | 18,643,825 | — | — | |||||||||
Capital Markets | 122,683,318 | — | — | |||||||||
Chemicals | 80,899,273 | — | — | |||||||||
Commercial Services & Supplies | 18,400,409 | — | — | |||||||||
Communications Equipment | 43,943,272 | — | — | |||||||||
Construction & Engineering | 3,046,066 | — | — | |||||||||
Construction Materials | 4,971,575 | — | — | |||||||||
Consumer Finance | 21,447,564 | — | — | |||||||||
Containers & Packaging | 14,974,628 | — | — | |||||||||
Distributors | 3,698,058 | — | — | |||||||||
Diversified Consumer Services | 512,652 | — | — | |||||||||
Diversified Financial Services | 61,418,151 | — | — | |||||||||
Diversified Telecommunication Services | 79,979,102 | — | — | |||||||||
Electric Utilities | 85,504,520 | — | — | |||||||||
Electrical Equipment | 20,956,882 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 24,067,769 | — | — | |||||||||
Energy Equipment & Services | 9,564,602 | — | — | |||||||||
Entertainment | 91,517,729 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 125,066,824 | — | — | |||||||||
Food & Staples Retailing | 68,773,340 | — | — | |||||||||
Food Products | 50,807,184 | — | — | |||||||||
Gas Utilities | 2,091,180 | — | — | |||||||||
Health Care Equipment & Supplies | 171,330,963 | — | — | |||||||||
Health Care Providers & Services | 128,094,030 | — | — | |||||||||
Health Care Technology | 3,777,105 | — | — | |||||||||
Hotels, Restaurants & Leisure | 69,956,460 | — | — | |||||||||
Household Durables | 16,962,196 | — | — | |||||||||
Household Products | 80,398,342 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 1,688,085 | — | — | |||||||||
Industrial Conglomerates | 51,615,458 | — | — | |||||||||
Insurance | 83,731,912 | — | — | |||||||||
Interactive Media & Services | 249,231,357 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A178
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Internet & Direct Marketing Retail | $ | 225,122,079 | $ | — | $— | |||||||
IT Services | 259,394,918 | — | — | |||||||||
Leisure Products | 1,675,132 | — | — | |||||||||
Life Sciences Tools & Services | 53,674,333 | — | — | |||||||||
Machinery | 68,111,074 | — | — | |||||||||
Media | 57,121,913 | — | — | |||||||||
Metals & Mining | 14,055,100 | — | — | |||||||||
Multiline Retail | 23,753,606 | — | — | |||||||||
Multi-Utilities | 43,768,628 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 118,388,989 | — | — | |||||||||
Personal Products | 7,646,576 | — | — | |||||||||
Pharmaceuticals | 194,641,950 | — | — | |||||||||
Professional Services | 15,971,014 | — | — | |||||||||
Real Estate Management & Development | 2,658,936 | — | — | |||||||||
Road & Rail | 45,640,123 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 217,780,401 | — | — | |||||||||
Software | 425,194,876 | — | — | |||||||||
Specialty Retail | 109,179,950 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 276,655,670 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 28,316,630 | — | — | |||||||||
Tobacco | 32,107,453 | — | — | |||||||||
Trading Companies & Distributors | 8,769,533 | — | — | |||||||||
Water Utilities | 4,091,388 | — | — | |||||||||
Wireless Telecommunication Services | 9,873,420 | — | — | |||||||||
Exchange-Traded Funds | 16,642,702 | — | — | |||||||||
Affiliated Mutual Funds | 395,700,946 | — | — | |||||||||
U.S. Treasury Obligation | — | 7,397,755 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,947,015,713 | $ | 7,397,755 | $— | |||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 833,558 | $ | — | $— | |||||||
|
|
|
|
|
|
* | 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, 2020 were as follows:
Software | 9.1 | % | ||
Affiliated Mutual Funds (6.6% represents investments purchased with collateral from securities on loan) | 8.5 | |||
Technology Hardware, Storage & Peripherals | 6.0 | |||
IT Services | 5.6 | |||
Interactive Media & Services | 5.4 | |||
Internet & Direct Marketing Retail | 4.8 | |||
Semiconductors & Semiconductor Equipment | 4.7 | |||
Pharmaceuticals | 4.2 | |||
Health Care Equipment & Supplies | 3.7 | |||
Banks | 3.6 | |||
Health Care Providers & Services | 2.8 | |||
Equity Real Estate Investment Trusts (REITs) | 2.7 | |||
Capital Markets | 2.6 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Biotechnology | 2.4 |
Specialty Retail | 2.4 | % | ||
Entertainment | 2.0 | |||
Electric Utilities | 1.8 | |||
Insurance | 1.8 | |||
Chemicals | 1.7 | |||
Household Products | 1.7 | |||
Diversified Telecommunication Services | 1.7 | |||
Aerospace & Defense | 1.7 | |||
Beverages | 1.6 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Food & Staples Retailing | 1.5 | |||
Machinery | 1.5 | |||
Diversified Financial Services | 1.3 | |||
Media | 1.2 | |||
Life Sciences Tools & Services | 1.2 | |||
Industrial Conglomerates | 1.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A179
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Food Products | 1.1 | % | ||
Road & Rail | 1.0 | |||
Communications Equipment | 0.9 | |||
Multi-Utilities | 0.9 | |||
Tobacco | 0.7 | |||
Textiles, Apparel & Luxury Goods | 0.6 | |||
Electronic Equipment, Instruments & Components | 0.5 | |||
Air Freight & Logistics | 0.5 | |||
Multiline Retail | 0.5 | |||
Consumer Finance | 0.5 | |||
Electrical Equipment | 0.5 | |||
Building Products | 0.4 | |||
Commercial Services & Supplies | 0.4 | |||
Household Durables | 0.4 | |||
Exchange-Traded Funds | 0.4 | |||
Professional Services | 0.3 | |||
Containers & Packaging | 0.3 | |||
Metals & Mining | 0.3 | |||
Wireless Telecommunication Services | 0.2 | |||
Automobiles | 0.2 | |||
Energy Equipment & Services | 0.2 |
Airlines | 0.2 | % | ||
Trading Companies & Distributors | 0.2 | |||
Personal Products | 0.2 | |||
U.S. Treasury Obligation | 0.2 | |||
Construction Materials | 0.1 | |||
Auto Components | 0.1 | |||
Water Utilities | 0.1 | |||
Health Care Technology | 0.1 | |||
Distributors | 0.1 | |||
Construction & Engineering | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Gas Utilities | 0.0 | * | ||
Independent Power & Renewable Electricity Producers | 0.0 | * | ||
Leisure Products | 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, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||
Equity contracts | Due from/to broker-variation margin futures | $ | 833,558 | * | — | $— | ||||
|
|
|
* | 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, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(1) | Futures | ||||||||
Equity contracts | $ | 14,163 | $ | (6,854,822 | ) | |||||
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | (435,489 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A180
STOCK INDEX PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures |
$85,821,290 |
(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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities on Loan | $304,362,116 | $(304,362,116) | $— |
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A181
STOCK INDEX PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $304,362,116: | ||||
Unaffiliated investments (cost $1,418,255,156) | $ | 4,558,712,522 | ||
Affiliated investments (cost $394,795,466) | 395,700,946 | |||
Cash | 43,186 | |||
Dividends and interest receivable | 3,596,406 | |||
Due from broker-variation margin futures | 1,251,625 | |||
Receivable for investments sold | 401,788 | |||
Receivable for Portfolio shares sold | 209,968 | |||
Tax reclaim receivable | 5,592 | |||
Prepaid expenses | 4,407 | |||
|
| |||
Total Assets | 4,959,926,440 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 307,768,313 | |||
Management fee payable | 1,115,655 | |||
Payable for Portfolio shares repurchased | 1,001,283 | |||
Payable for investments purchased | 630,724 | |||
Accrued expenses and other liabilities | 243,305 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 310,760,206 | |||
|
| |||
NET ASSETS | $ | 4,649,166,234 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 4,649,166,234 | ||
|
| |||
Net asset value and redemption price per share, $4,649,166,234 / 64,690,052 outstanding shares of beneficial interest | $ | 71.87 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 43,720,833 | ||
Income from securities lending, net (including affiliated income of $664,750) | 685,349 | |||
Affiliated dividend income | 533,088 | |||
Interest income | 3,405 | |||
|
| |||
Total income | 44,942,675 | |||
|
| |||
EXPENSES | ||||
Management fee | 6,545,107 | |||
Custodian and accounting fees | 130,781 | |||
Shareholders’ reports | 78,159 | |||
Trustees’ fees | 31,267 | |||
Legal fees and expenses | 13,532 | |||
Audit fee | 12,462 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 40,461 | |||
|
| |||
Total expenses | 6,857,081 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 38,085,594 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $13,503) | 5,344,743 | |||
Futures transactions | (6,854,822 | ) | ||
|
| |||
(1,510,079 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $863,655) | (194,319,219 | ) | ||
Futures | (435,489 | ) | ||
|
| |||
(194,754,708 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | (196,264,787 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (158,179,193 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 38,085,594 | $ | 72,524,098 | ||||
Net realized gain (loss) on investment transactions | (1,510,079 | ) | 79,062,396 | |||||
Net change in unrealized appreciation (depreciation) on investments | (194,754,708 | ) | 988,963,592 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (158,179,193 | ) | 1,140,550,086 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [2,356,978 and 2,978,605 shares, respectively] | 170,616,971 | 192,206,253 | ||||||
Portfolio shares repurchased [1,737,399 and 3,748,907 shares, respectively] | (120,172,544 | ) | (248,177,505 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 50,444,427 | (55,971,252 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (107,734,766 | ) | 1,084,578,834 | |||||
NET ASSETS: | ||||||||
Beginning of period | 4,756,901,000 | 3,672,322,166 | ||||||
|
|
|
| |||||
End of period | $ | 4,649,166,234 | $ | 4,756,901,000 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A182
VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 99.2% |
| |||||||
COMMON STOCKS | ||||||||
Aerospace & Defense — 2.7% | ||||||||
Northrop Grumman Corp. | 50,350 | $ | 15,479,604 | |||||
Raytheon Technologies Corp. | 255,549 | 15,746,930 | ||||||
|
| |||||||
31,226,534 | ||||||||
|
| |||||||
Automobiles — 1.2% | ||||||||
General Motors Co. | 568,110 | 14,373,183 | ||||||
|
| |||||||
Banks — 11.2% | ||||||||
Bank of America Corp. | 916,221 | 21,760,249 | ||||||
Citigroup, Inc. | 489,394 | 25,008,034 | ||||||
JPMorgan Chase & Co. | 453,423 | 42,648,967 | ||||||
PNC Financial Services Group, Inc. (The) | 162,401 | 17,086,209 | ||||||
Truist Financial Corp. | 521,133 | 19,568,544 | ||||||
Wells Fargo & Co. | 190,309 | 4,871,910 | ||||||
|
| |||||||
130,943,913 | ||||||||
|
| |||||||
Beverages — 1.7% | ||||||||
PepsiCo, Inc. | 151,559 | 20,045,193 | ||||||
|
| |||||||
Biotechnology — 1.3% | ||||||||
AbbVie, Inc. | 156,213 | 15,336,992 | ||||||
|
| |||||||
Building Products — 1.8% | ||||||||
Johnson Controls International PLC | 606,485 | 20,705,398 | ||||||
|
| |||||||
Capital Markets — 2.0% | ||||||||
Goldman Sachs Group, Inc. (The) | 119,360 | 23,587,923 | ||||||
|
| |||||||
Chemicals — 5.9% | ||||||||
Dow, Inc.(a) | 440,609 | 17,959,223 | ||||||
FMC Corp. | 200,514 | 19,975,205 | ||||||
Linde PLC (United Kingdom) | 146,712 | 31,119,082 | ||||||
|
| |||||||
69,053,510 | ||||||||
|
| |||||||
Communications Equipment — 1.0% | ||||||||
Cisco Systems, Inc. | 258,199 | 12,042,401 | ||||||
|
| |||||||
Consumer Finance — 2.1% | ||||||||
Capital One Financial Corp. | 220,443 | 13,797,528 | ||||||
SLM Corp.(a) | 1,526,236 | 10,729,439 | ||||||
|
| |||||||
24,526,967 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% | ||||||||
Crown Holdings, Inc.* | 181,169 | 11,799,537 | ||||||
|
| |||||||
Diversified Telecommunication Services — 3.7% |
| |||||||
AT&T, Inc.(a) | 558,698 | 16,889,441 | ||||||
Verizon Communications, Inc. | 473,753 | 26,118,003 | ||||||
|
| |||||||
43,007,444 | ||||||||
|
| |||||||
Electric Utilities — 1.8% | ||||||||
American Electric Power Co., Inc. | 266,172 | 21,197,938 | ||||||
|
| |||||||
Electrical Equipment — 1.2% | ||||||||
Emerson Electric Co. | 229,773 | 14,252,819 | ||||||
|
| |||||||
Entertainment — 1.5% | ||||||||
Walt Disney Co. (The) | 162,608 | 18,132,418 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.2% |
| |||||||
Alexandria Real Estate Equities, Inc. | 60,257 | 9,776,698 | ||||||
American Campus Communities, Inc. | 313,051 | 10,944,263 |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||
American Tower Corp. | 65,299 | $ | 16,882,404 | |||||
|
| |||||||
37,603,365 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% | ||||||||
Walmart, Inc. | 223,812 | 26,808,201 | ||||||
|
| |||||||
Food Products — 1.7% | ||||||||
Mondelez International, Inc. (Class A Stock) | 388,287 | 19,853,114 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
Zimmer Biomet Holdings, Inc. | 141,160 | 16,848,858 | ||||||
|
| |||||||
Health Care Providers & Services — 3.1% |
| |||||||
Cigna Corp. | 86,505 | 16,232,663 | ||||||
Laboratory Corp. of America Holdings* | 119,427 | 19,838,019 | ||||||
|
| |||||||
36,070,682 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% | ||||||||
McDonald’s Corp. | 78,171 | 14,420,204 | ||||||
|
| |||||||
Household Durables — 1.4% | ||||||||
D.R. Horton, Inc. | 294,790 | 16,346,106 | ||||||
|
| |||||||
Household Products — 2.7% | ||||||||
Procter & Gamble Co. (The) | 147,739 | 17,665,152 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 149,619 | 13,771,906 | ||||||
|
| |||||||
31,437,058 | ||||||||
|
| |||||||
Insurance — 5.4% | ||||||||
Chubb Ltd. | 204,273 | 25,865,047 | ||||||
Marsh & McLennan Cos., Inc. | 112,756 | 12,106,612 | ||||||
MetLife, Inc. | 452,906 | 16,540,127 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 51,772 | 8,854,565 | ||||||
|
| |||||||
63,366,351 | ||||||||
|
| |||||||
Interactive Media & Services — 2.0% | ||||||||
Alphabet, Inc. (Class A Stock)* | 16,130 | 22,873,147 | ||||||
|
| |||||||
Machinery — 1.2% | ||||||||
Otis Worldwide Corp. | 249,848 | 14,206,357 | ||||||
|
| |||||||
Media — 1.0% | ||||||||
Comcast Corp. (Class A Stock) | 299,140 | 11,660,477 | ||||||
|
| |||||||
Multi-Utilities — 3.5% | ||||||||
Ameren Corp.(a) | 271,793 | 19,123,355 | ||||||
Dominion Energy, Inc. | 269,904 | 21,910,807 | ||||||
|
| |||||||
41,034,162 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.7% | ||||||||
Chevron Corp. | 340,666 | 30,397,627 | ||||||
ConocoPhillips | 328,012 | 13,783,064 | ||||||
Suncor Energy, Inc. (Canada)(a) | 598,657 | 10,093,357 | ||||||
Williams Cos., Inc. (The) | 630,846 | 11,998,691 | ||||||
|
| |||||||
66,272,739 | ||||||||
|
| |||||||
Pharmaceuticals — 5.7% | ||||||||
AstraZeneca PLC (United Kingdom), ADR | 483,095 | 25,550,894 | ||||||
Bristol-Myers Squibb Co. | 340,842 | 20,041,510 |
SEE NOTES TO FINANCIAL STATEMENTS.
A183
VALUE PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS (continued) |
| |||||||
Pharmaceuticals (cont’d.) | ||||||||
Eli Lilly & Co. | 130,254 | $ | 21,385,102 | |||||
|
| |||||||
66,977,506 | ||||||||
|
| |||||||
Road & Rail — 2.3% | ||||||||
Union Pacific Corp. | 162,018 | 27,392,383 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.8% |
| |||||||
Broadcom, Inc. | 69,200 | 21,840,212 | ||||||
QUALCOMM, Inc. | 182,409 | 16,637,525 | ||||||
Texas Instruments, Inc.(a) | 139,782 | 17,748,121 | ||||||
|
| |||||||
56,225,858 | ||||||||
|
| |||||||
Software — 3.4% | ||||||||
Microsoft Corp. | 121,245 | 24,674,570 | ||||||
SAP SE (Germany), ADR(a) | 105,922 | 14,829,080 | ||||||
|
| |||||||
39,503,650 | ||||||||
|
| |||||||
Specialty Retail — 3.9% | ||||||||
Advance Auto Parts, Inc. | 69,520 | 9,903,124 | ||||||
Lowe’s Cos., Inc. | 165,340 | 22,340,741 | ||||||
Ross Stores, Inc. | 151,218 | 12,889,822 | ||||||
|
| |||||||
45,133,687 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.8% |
| |||||||
Apple, Inc. | 58,864 | 21,473,587 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.4% |
| |||||||
United Rentals, Inc.* | 111,411 | 16,604,696 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,162,344,358 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 8.8% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond | 8,168,033 | 8,168,033 |
Shares | Value | |||||||
AFFILIATED MUTUAL FUNDS (continued) |
| |||||||
PGIM Institutional Money Market Fund (cost $94,069,138; includes $94,028,094 of cash collateral for securities on loan)(b)(w) | 94,282,248 | $ | 94,282,248 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 102,450,281 | ||||||
|
| |||||||
TOTAL INVESTMENTS—108.0% |
| 1,264,794,639 | ||||||
Liabilities in excess of other assets — (8.0)% |
| (93,312,686 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,171,481,953 | ||||||
|
|
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 $92,292,469; cash collateral of $94,028,094 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted quoted prices generally in active markets for identical securities.
Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 31,226,534 | $ | — | $— | |||||||
Automobiles | 14,373,183 | — | — | |||||||||
Banks | 130,943,913 | — | — | |||||||||
Beverages | 20,045,193 | — | — | |||||||||
Biotechnology | 15,336,992 | — | — | |||||||||
Building Products | 20,705,398 | — | — | |||||||||
Capital Markets | 23,587,923 | — | — | |||||||||
Chemicals | 69,053,510 | — | — | |||||||||
Communications Equipment | 12,042,401 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A184
VALUE PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Consumer Finance | $ | 24,526,967 | $ | — | $— | |||||||
Containers & Packaging | 11,799,537 | — | — | |||||||||
Diversified Telecommunication Services | 43,007,444 | — | — | |||||||||
Electric Utilities | 21,197,938 | — | — | |||||||||
Electrical Equipment | 14,252,819 | — | — | |||||||||
Entertainment | 18,132,418 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 37,603,365 | — | — | |||||||||
Food & Staples Retailing | 26,808,201 | — | — | |||||||||
Food Products | 19,853,114 | — | — | |||||||||
Health Care Equipment & Supplies | 16,848,858 | — | — | |||||||||
Health Care Providers & Services | 36,070,682 | — | — | |||||||||
Hotels, Restaurants & Leisure | 14,420,204 | — | — | |||||||||
Household Durables | 16,346,106 | — | — | |||||||||
Household Products | 17,665,152 | 13,771,906 | — | |||||||||
Insurance | 63,366,351 | — | — | |||||||||
Interactive Media & Services | 22,873,147 | — | — | |||||||||
Machinery | 14,206,357 | — | — | |||||||||
Media | 11,660,477 | — | — | |||||||||
Multi-Utilities | 41,034,162 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 66,272,739 | — | — | |||||||||
Pharmaceuticals | 66,977,506 | — | — | |||||||||
Road & Rail | 27,392,383 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 56,225,858 | — | — | |||||||||
Software | 39,503,650 | — | — | |||||||||
Specialty Retail | 45,133,687 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 21,473,587 | — | — | |||||||||
Trading Companies & Distributors | 16,604,696 | — | — | |||||||||
Affiliated Mutual Funds | 102,450,281 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,251,022,733 | $ | 13,771,906 | $— | |||||||
|
|
|
|
|
|
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, 2020 were as follows:
Banks | 11.2 | % | ||
Affiliated Mutual Funds (8.0% represents investments purchased with collateral from securities on loan) | 8.8 | |||
Chemicals | 5.9 | |||
Pharmaceuticals | 5.7 | |||
Oil, Gas & Consumable Fuels | 5.7 | |||
Insurance | 5.4 | |||
Semiconductors & Semiconductor Equipment | 4.8 | |||
Specialty Retail | 3.9 | |||
Diversified Telecommunication Services | 3.7 | |||
Multi-Utilities | 3.5 | |||
Software | 3.4 | |||
Equity Real Estate Investment Trusts (REITs) | 3.2 | |||
Health Care Providers & Services | 3.1 | |||
Household Products | 2.7 | |||
Aerospace & Defense | 2.7 | |||
Road & Rail | 2.3 | |||
Food & Staples Retailing | 2.3 | |||
Consumer Finance | 2.1 | |||
Capital Markets | 2.0 | |||
Interactive Media & Services | 2.0 | |||
Technology Hardware, Storage & Peripherals | 1.8 |
Electric Utilities | 1.8 | % | ||
Building Products | 1.8 | |||
Beverages | 1.7 | |||
Food Products | 1.7 | |||
Entertainment | 1.5 | |||
Health Care Equipment & Supplies | 1.4 | |||
Trading Companies & Distributors | 1.4 | |||
Household Durables | 1.4 | |||
Biotechnology | 1.3 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Automobiles | 1.2 | |||
Electrical Equipment | 1.2 | |||
Machinery | 1.2 | |||
Communications Equipment | 1.0 | |||
Containers & Packaging | 1.0 | |||
Media | 1.0 | |||
|
| |||
108.0 | ||||
Liabilities in excess of other assets | (8.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A185
VALUE PORTFOLIO (CONTINUED) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||
Securities on Loan | $92,292,469 | $(92,292,469) | $— |
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A186
VALUE PORTFOLIO (CONTINUED) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $92,292,469: | ||||
Unaffiliated investments (cost $899,608,177) | $ | 1,162,344,358 | ||
Affiliated investments (cost $102,237,171) | 102,450,281 | |||
Cash | 18,170 | |||
Receivable for investments sold | 7,682,394 | |||
Tax reclaim receivable | 972,245 | |||
Dividends receivable | 773,880 | |||
Receivable for Portfolio shares sold | 16,279 | |||
Prepaid expenses | 1,398 | |||
|
| |||
Total Assets | 1,274,259,005 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 94,028,094 | |||
Payable for investments purchased | 7,098,551 | |||
Payable to affiliate | 702,904 | |||
Payable for Portfolio shares repurchased | 414,045 | |||
Management fee payable | 392,484 | |||
Accrued expenses and other liabilities | 137,536 | |||
Distribution fee payable | 1,570 | |||
Administration fee payable | 942 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 102,777,052 | |||
|
| |||
NET ASSETS | $ | 1,171,481,953 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 1,171,481,953 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $1,163,975,213 / 38,134,082 outstanding shares of beneficial interest | $ | 30.52 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $7,506,740 / 251,633 outstanding shares of beneficial interest. | $ | 29.83 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $127,981 foreign withholding tax) | $ | 16,694,782 | ||
Affiliated dividend income | 173,954 | |||
Income from securities lending, net (including affiliated income of $108,747) | 119,271 | |||
|
| |||
Total income | 16,988,007 | |||
|
| |||
EXPENSES | ||||
Management fee | 2,430,457 | |||
Distribution fee—Class II | 9,455 | |||
Administration fee—Class II | 5,673 | |||
Shareholders’ reports | 63,591 | |||
Custodian and accounting fees | 51,883 | |||
Audit fee | 14,221 | |||
Trustees’ fees | 12,333 | |||
Legal fees and expenses | 7,992 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 17,448 | |||
|
| |||
Total expenses | 2,618,365 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 14,369,642 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(25,274)) | (20,952,138 | ) | ||
Foreign currency transactions | 29,826 | |||
|
| |||
(20,922,312 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $203,312) | (208,634,349 | ) | ||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (229,556,661 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (215,187,019 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 14,369,642 | $ | 27,742,089 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (20,922,312 | ) | 77,291,466 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (208,634,349 | ) | 205,709,175 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (215,187,019 | ) | 310,742,730 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 7,774,270 | 9,202,811 | ||||||
Portfolio shares repurchased | (59,727,731 | ) | (113,897,764 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (51,953,461 | ) | (104,694,953 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 1,759 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (267,140,480 | ) | 206,049,536 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,438,622,433 | 1,232,572,897 | ||||||
|
|
|
| |||||
End of period | $ | 1,171,481,953 | $ | 1,438,622,433 | ||||
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|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A187
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 an open-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 for purposes of the 1940 Act, except for Natural Resources Portfolio which is a non-diversified portfolio for purposes of the 1940 Act, and therefore, may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio.
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 a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-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
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redeem Portfolio shares.
Various inputs determine how the Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 - Fair Value Measurements and Disclosures.
Common 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 in open-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. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating
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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 Rule 22e-4 under the 1940 Act, the Series Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that each Portfolio (excluding money market portfolios and closed-end funds) limit their 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. A Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Subject to the Board approved LRMP, the Portfolios with the exception of Government Money Market Portfolio may invest up to 15% of their respective net assets in illiquid securities. Separately and subject to guidelines adopted by the Board, the Government Money Market Portfolio may invest up to 5% of its net assets in illiquid securities.
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 Portfolios’ 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.
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
B3
portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased 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.
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
B4
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 acquired 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, the Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.
Repurchase Agreements: Certain Portfolios entered into repurchase agreements. In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Swap Agreements: Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment
B5
objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
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.
Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. The Portfolios’ maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.
Master Netting Arrangements: The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty
B6
permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of June 30, 2020, 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 that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Delayed-Delivery Transactions: Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the
B7
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 in the Statement of Operations.
Mortgage Dollar Rolls: Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s
B8
understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced below. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. Agreements
The Series Fund, on behalf of the Portfolios, has a management agreement with PGIM Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with each of PGIM, Inc., which provides subadvisory services to the Portfolios through PGIM Limited (commenced as a subadviser on April 27, 2020), PGIM Fixed Income (“PFI”) (a business unit 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”), QMA LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.
The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.
Portfolio | Management Fee | Effective Management Fee, Net of Waiver, if Applicable | ||||
Conservative Balanced Portfolio | 0.55% | 0.55 | % | |||
Diversified Bond Portfolio | 0.40 | 0.40 | ||||
Equity Portfolio | 0.45 | 0.45 | ||||
Flexible Managed Portfolio | 0.60 | 0.60 | ||||
Global Portfolio | 0.75 | 0.72 | * | |||
Government Income Portfolio | 0.40 | 0.40 | ||||
Government Money Market Portfolio | 0.30 | 0.26 | ** | |||
High Yield Bond Portfolio | 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 | 0.29 | |||||
Value Portfolio | 0.40 | 0.40 |
* The Manager has contractually agreed, through June 30, 2021, to waive a portion of its management fee equal to an annual rate of 0.0323% of the average daily net assets of the Portfolio. Effective March 1, 2020, the Manager has contractually agreed to waive an additional 0.004% of its investment management fee through June 30, 2021.
** The Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Manager at any time without notice. During the period ended June 30, 2020, the Manager has reimbursed the Portfolio as a result of this voluntary agreement in the amount of $135,849, 0.04% of the Government Money Market Portfolio’s average daily net assets.
B9
*** The Manager has contractually agreed through June 30, 2021 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, 2021, 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, 2020, the subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one subadviser is listed, each subadviser provides services to a segment of the Portfolio:
Portfolio | Subadviser(s) | |
Conservative Balanced Portfolio | PFI, PGIM Limited & QMA | |
Diversified Bond Portfolio | PFI & PGIM Limited | |
Equity Portfolio | Jennison | |
Flexible Managed Portfolio | PFI, PGIM Limited & QMA | |
Global Portfolio | Brown, LSV, QMA, T. Rowe & William Blair | |
Government Income Portfolio | PFI | |
Government Money Market Portfolio | PFI | |
High Yield Bond Portfolio | PFI & PGIM Limited | |
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 Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I, Class II and Class III shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II and Class III shares pursuant to a plan of distribution (the “Class II Plan” and “Class III Plan”, together, the Plans), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. Pursuant to the Plans, the Class II and Class III shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II and Class III shares.
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, 2020, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 84,072 | ||
Global Portfolio | 14,456 | |||
Jennison Portfolio | 37,350 | |||
Value Portfolio | 23,422 |
PIMS, PGIM Investments, PGIM, Inc., PGIM Limited, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential.
B10
3. Other Transactions with Affiliates
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the SEC, the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no 17a-7 transactions were entered into by the Portfolios.
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In September 2019, the Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Manager’s ability to manage the Portfolios.
In February 2016, Prudential, the parent company of the Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.
In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Series Fund’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Series Fund’s independent trustees. The excess withholding tax
B11
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 years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
Prudential instituted a process in consultation with the Series Fund’s independent trustees to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.
The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2020 Payments | ||||
Conservative Balanced Portfolio | $ | 32,562 | |||
Flexible Managed Portfolio | 39,504 | ||||
Global Portfolio | 111,234 | ||||
High Yield Bond Portfolio | 110 | ||||
Natural Resources Portfolio | 4,544 |
The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2020 Payments | ||||
Conservative Balanced Portfolio | $ | 1,480 | |||
Flexible Managed Portfolio | 3,066 | ||||
Global Portfolio | 87,287 | ||||
High Yield Bond Portfolio | 119 | ||||
Natural Resources Portfolio | 28,888 | ||||
Value Portfolio | 17,182 |
B12
The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | Capital Contributions | ||||||
Conservative Balance 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, 2020, were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 774,107,521 | $ | 905,783,541 | ||||
Diversified Bond Portfolio | 137,723,811 | 153,071,010 | ||||||
Equity Portfolio | 1,402,634,456 | 1,524,096,986 | ||||||
Flexible Managed Portfolio | 2,226,886,889 | 2,427,231,366 | ||||||
Global Portfolio | 178,043,807 | 213,443,784 | ||||||
Government Income Portfolio | 85,472,789 | 92,903,821 | ||||||
High Yield Bond Portfolio | 155,218,798 | 146,905,113 | ||||||
Jennison Portfolio | 706,251,086 | 798,873,404 | ||||||
Natural Resources Portfolio | 247,015,278 | 244,251,213 | ||||||
Small Capitalization Stock Portfolio | 69,004,669 | 86,638,623 | ||||||
Stock Index Portfolio | 124,300,604 | 42,273,613 | ||||||
Value Portfolio | 261,342,529 | 275,822,466 |
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, is presented as follows:
Conservative Balanced Portfolio |
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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* |
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$255,146,173 | $ | 379,552,543 | $ | 283,679,737 | $ | — | $ | — | $ | 351,018,979 | 351,018,979 | $ | 1,603,649 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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75,225,305 | 554,947,424 | 564,072,093 | 183,453 | (150,498 | ) | 66,133,591 | 66,133,591 | 188,818 | ** | |||||||||||||||||||
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$330,371,478 | $ | 934,499,967 | $ | 847,751,830 | $ | 183,453 | $ | (150,498 | ) | $ | 417,152,570 | $ | 1,792,467 | |||||||||||||||
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Diversified Bond Portfolio |
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Value, 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* |
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$ 2,890,447 | $ | 155,175,756 | $ | 154,907,962 | $ | — | $ | — | $ | 3,158,241 | 3,158,241 | $ | 100,215 |
B13
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 Institutional Money Market Fund* |
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33,315,035 | $ | 131,835,026 | $ | 85,877,744 | $ | 28,166 | $ | (22,175 | ) | $ | 79,278,308 | 79,278,308 | $ | 68,421 | ** | |||||||||||||
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$ 36,205,482 | $ | 287,010,782 | $ | 240,785,706 | $ | 28,166 | $ | (22,175 | ) | $ | 82,436,549 | $ | 168,636 | |||||||||||||||
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Equity Portfolio |
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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* |
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$ 54,364,910 | $ | 651,224,476 | $ | 651,156,646 | $ | — | $ | — | $ | 54,432,740 | 54,432,740 | $ | 572,464 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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220,901,277 | 1,388,849,094 | 1,250,077,263 | 746,962 | (48,015 | ) | 360,372,055 | 360,372,055 | 612,932 | ** | |||||||||||||||||||
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$275,266,187 | $ | 2,040,073,570 | $ | 1,901,233,909 | $ | 746,962 | $ | (48,015 | ) | $ | 414,804,795 | $ | 1,185,396 | |||||||||||||||
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Flexible Managed Portfolio |
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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* |
| |||||||||||||||||||||||||||
$153,379,057 | $ | 583,524,549 | $ | 411,449,292 | $ | — | $ | — | $ | 325,454,314 | 325,454,314 | $ | 1,065,914 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
117,674,766 | 769,271,911 | 747,466,822 | 348,673 | 240,600 | 140,069,128 | 140,069,128 | 274,187 | ** | ||||||||||||||||||||
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$271,053,823 | $ | 1,352,796,460 | $ | 1,158,916,114 | $ | 348,673 | $ | 240,600 | $ | 465,523,442 | $ | 1,340,101 | ||||||||||||||||
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Global Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 35,350,796 | $ | 146,574,563 | $ | 151,032,821 | $ | — | $ | — | $ | 30,892,538 | 30,892,538 | $ | 228,176 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
46,466,559 | 189,378,321 | 199,993,971 | 52,112 | (34,885 | ) | 35,868,136 | 35,868,136 | 68,181 | ** | |||||||||||||||||||
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$ 81,817,355 | $ | 335,952,884 | $ | 351,026,792 | $ | 52,112 | $ | (34,885 | ) | $ | 66,760,674 | $ | 296,357 | |||||||||||||||
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Government Income Portfolio |
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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* |
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$ 7,285,947 | $ | 31,751 | $ | 7,277,989 | $ | (178,952 | ) | $ | 139,243 | $ | — | — | $ | 31,751 | ||||||||||||||
PGIM Core Ultra Short Bond Fund* |
| |||||||||||||||||||||||||||
5,041,716 | 65,167,571 | 61,801,104 | — | — | 8,408,183 | 8,408,183 | 24,159 |
B14
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 Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
$ — | $ | 68,370,693 | $ | 30,616,098 | $ | 15,115 | $ | 7,907 | $ | 37,777,617 | 37,777,617 | 14,534 | ** | |||||||||||||||
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$ 12,327,663 | $ | 133,570,015 | $ | 99,695,191 | $ | (163,837 | ) | $ | 147,150 | $ | 46,185,800 | $ | 70,444 | |||||||||||||||
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High Yield Bond Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 2,970,312 | $ | 73,838,704 | $ | 73,659,587 | $ | — | $ | — | $ | 3,149,429 | 3,149,429 | $ | 72,459 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
82,327,001 | 195,026,611 | 133,954,160 | 34,359 | (81,888 | ) | 143,351,923 | 143,351,923 | 167,990 | ** | |||||||||||||||||||
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$ 85,297,313 | $ | 268,865,315 | $ | 207,613,747 | $ | 34,359 | $ | (81,888 | ) | $ | 146,501,352 | $ | 240,449 | |||||||||||||||
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Jennison Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 5,324,539 | $ | 340,567,940 | $ | 319,608,640 | $ | — | $ | — | $ | 26,283,839 | 26,283,839 | $ | 98,071 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
199,541,309 | 1,053,901,222 | 1,002,363,333 | 420,208 | (199,722 | ) | 251,299,684 | 251,299,684 | 433,945 | ** | |||||||||||||||||||
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$204,865,848 | $ | 1,394,469,162 | $ | 1,321,971,973 | $ | 420,208 | $ | (199,722 | ) | $ | 277,583,523 | $ | 532,016 | |||||||||||||||
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Natural Resources Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 5,623,570 | $ | 101,419,012 | $ | 105,403,931 | $ | — | $ | — | $ | 1,638,651 | 1,638,651 | $ | 51,491 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
19,123,729 | 153,847,136 | 156,242,266 | 25,007 | (17,818 | ) | 16,735,788 | 16,735,788 | 61,912 | ** | |||||||||||||||||||
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$ 24,747,299 | $ | 255,266,148 | $ | 261,646,197 | $ | 25,007 | $ | (17,818 | ) | $ | 18,374,439 | $ | 113,403 | |||||||||||||||
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Small Capitalization Stock Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 1,885,364 | $ | 22,914,564 | $ | 24,007,639 | $ | — | $ | — | $ | 792,289 | 792,289 | $ | 10,155 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
170,444,676 | 341,340,362 | 317,516,598 | 252,965 | (139,466 | ) | 194,381,939 | 194,381,939 | 189,621 | ** | |||||||||||||||||||
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$172,330,040 | $ | 364,254,926 | $ | 341,524,237 | $ | 252,965 | $ | (139,466 | ) | $ | 195,174,228 | $ | 199,776 | |||||||||||||||
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B15
Stock Index Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 88,663,837 | $ | 181,610,431 | $ | 183,421,381 | $ | — | $ | — | $ | 86,852,887 | 86,852,887 | $ | 533,088 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
238,544,735 | 2,310,189,091 | 2,240,762,925 | 863,655 | 13,503 | 308,848,059 | 308,848,059 | 664,750 | ** | ||||||||||||||||||||
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$327,208,572 | $ | 2,491,799,522 | $ | 2,424,184,306 | $ | 863,655 | $ | 13,503 | $ | 395,700,946 | $ | 1,197,838 | ||||||||||||||||
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Value Portfolio |
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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* |
| |||||||||||||||||||||||||||
$ 30,863,588 | $ | 128,867,687 | $ | 151,563,242 | $ | — | $ | — | $ | 8,168,033 | 8,168,033 | $ | 173,954 | |||||||||||||||
PGIM Institutional Money Market Fund* |
| |||||||||||||||||||||||||||
34,639,237 | 456,771,801 | 397,306,828 | 203,312 | (25,274 | ) | 94,282,248 | 94,282,248 | 108,747 | ** | |||||||||||||||||||
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$ 65,502,825 | $ | 585,639,488 | $ | 548,870,070 | $ | 203,312 | $ | (25,274 | ) | $ | 102,450,281 | $ | 282,701 | |||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. Tax Information
All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions.After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
6. Borrowings
The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end.
| SCA | |
Term of Commitment | 10/3/2019 – 10/1/2020 | |
Total Commitment | $ 1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | |
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent |
B16
SCA | ||
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The following Portfolios utilized the SCA during the reporting period ended June 30, 2020. 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, 2020 | ||||||||||||||||||||
Government Income Portfolio | $ | 789,000 | 2.86 | % | 3 | $ | 789,000 | $ | — | ||||||||||||||||
High Yield Bond Portfolio | 103,000 | 1.38 | 1 | 103,000 | — | ||||||||||||||||||||
Jennison Portfolio | 615,667 | 1.95 | 9 | 1,230,000 | — | ||||||||||||||||||||
Natural Resources Portfolio | 286,364 | 1.88 | 11 | 823,000 | — | ||||||||||||||||||||
Small Capitalization Stock Portfolio | 552,667 | 2.08 | 3 | 895,000 | — |
7. Capital and Ownership
The Portfolios offer Class I shares and certain Portfolios offer Class II and/or Class III shares. All share classes are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I and Class III shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
As of June 30, 2020, the following number of shares of the Portfolios were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
Portfolio | Number of Shares | Percentage of Outstanding Shares | ||
Conservative Balanced Portfolio | 79,793,188 | 100.0% | ||
Diversified Bond Portfolio | 80,499,836 | 98.8% | ||
Equity Portfolio - Class I | 72,090,344 | 100.0% | ||
Flexible Managed Portfolio | 122,596,992 | 100.0% | ||
Global Portfolio | 29,212,675 | 100.0% | ||
Government Income Portfolio | 17,283,159 | 100.0% | ||
Government Money Market Portfolio - Class I | 65,605,372 | 99.9% | ||
Government Money Market Portfolio - Class III | 1,323,645 | 100.0% | ||
High Yield Bond Portfolio | 87,572,437 | 100.0% | ||
Jennison Portfolio - Class I | 26,478,198 | 100.0% | ||
Natural Resources Portfolio - Class I | 13,321,799 | 100.0% | ||
Small Capitalization Stock Portfolio | 18,638,510 | 100.0% | ||
Stock Index Portfolio | 64,690,052 | 100.0% | ||
Value Portfolio - Class I | 38,134,082 | 100.0% |
B17
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Affiliated | Unaffiliated | |||||||||||
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | Number of Shareholders | Percentage of Outstanding Shares | ||||||||
Conservative Balanced Portfolio | 3 | 100.0% | — | —% | ||||||||
Diversified Bond Portfolio | 3 | 98.8 | — | — | ||||||||
Equity Portfolio | 3 | 99.9 | — | — | ||||||||
Flexible Managed Portfolio | 3 | 100.0 | — | — | ||||||||
Global Portfolio | 2 | 97.8 | — | — | ||||||||
Government Income Portfolio | 2 | 98.4 | — | — | ||||||||
Government Money Market Portfolio | 3 | 98.0 | — | — | ||||||||
High Yield Bond Portfolio | 3 | 100.0 | — | — | ||||||||
Jennison Portfolio | 2 | 93.1 | — | — | ||||||||
Natural Resources Portfolio | 2 | 84.0 | 1 | 10.9 | ||||||||
Small Capitalization Stock Portfolio | 2 | 96.4 | — | — | ||||||||
Stock Index Portfolio | 3 | 100.0 | — | — | ||||||||
Value Portfolio | 2 | 95.2 | — | — |
Transactions in shares of beneficial interest of the Equity, Government Money Market, Jennison, Natural Resources and Value Portfolios were as follows:
Equity Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 126,073 | $ | 6,449,664 | |||||
Portfolio shares repurchased | (2,599,726 | ) | (157,268,375 | ) | ||||
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| |||||
Net increase (decrease) in shares outstanding | (2,473,653 | ) | $ | (150,818,711 | ) | |||
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| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 102,565 | $ | 5,848,661 | |||||
Portfolio shares repurchased | (5,496,601 | ) | (313,401,998 | ) | ||||
Capital contributions | — | 3 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (5,394,036 | ) | $ | (307,553,334 | ) | |||
|
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|
| |||||
Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 1 | $ | 32 | |||||
Portfolio shares repurchased | (2,031 | ) | (123,050 | ) | ||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | (2,030 | ) | $ | (123,018 | ) | |||
|
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|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 1 | $ | 39 | |||||
Portfolio shares repurchased | (2,102 | ) | (115,498 | ) | ||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | (2,101 | ) | $ | (115,459 | ) | |||
|
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|
|
B18
Government Money Market Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 30,697,714 | $ | 306,977,142 | |||||
Shares issued in reinvestment of dividends and distributions | 179,043 | 1,790,426 | ||||||
Portfolio shares repurchased | (25,180,948 | ) | (251,809,479 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | 5,695,809 | $ | 56,958,089 | |||||
|
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|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 51,839,113 | $ | 518,391,129 | |||||
Shares issued in reinvestment of dividends and distributions | 1,065,025 | 10,650,252 | ||||||
Portfolio shares repurchased | (46,588,121 | ) | (465,881,208 | ) | ||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | 6,316,017 | $ | 63,160,173 | |||||
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| |||||
Class III: | ||||||||
Period ended June 30, 2020*: | ||||||||
Portfolio shares sold | 1,644,063 | $ | 16,440,632 | |||||
Shares issued in reinvestment of dividends and distributions | 1 | 11 | ||||||
Portfolio shares repurchased | (320,419 | ) | (3,204,193 | ) | ||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | 1,323,645 | $ | 13,236,450 | |||||
|
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|
|
* | Commencement of offering was May 18, 2020. |
Jennison Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 235,369 | $ | 19,011,674 | |||||
Portfolio shares repurchased | (1,221,086 | ) | (101,710,521 | ) | ||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | (985,717 | ) | $ | (82,698,847 | ) | |||
|
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|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 235,080 | $ | 17,277,706 | |||||
Portfolio shares repurchased | (2,232,184 | ) | (162,672,928 | ) | ||||
Capital contributions | — | 7,972 | ||||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | (1,997,104 | ) | $ | (145,387,250 | ) | |||
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| |||||
Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 47,594 | $ | 3,798,886 | |||||
Portfolio shares repurchased | (134,035 | ) | (10,625,710 | ) | ||||
|
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|
| |||||
Net increase (decrease) in shares outstanding | (86,441 | ) | $ | (6,826,824 | ) | |||
|
|
|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 95,620 | $ | 6,591,703 | |||||
Portfolio shares repurchased | (286,365 | ) | (19,696,094 | ) | ||||
Capital contributions | — | 243 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (190,745 | ) | $ | (13,104,148 | ) | |||
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|
B19
Natural Resources Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 236,075 | $ | 4,222,445 | |||||
Portfolio shares repurchased | (561,902 | ) | (11,630,080 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (325,827 | ) | $ | (7,407,635 | ) | |||
|
|
|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 141,517 | $ | 3,361,228 | |||||
Portfolio shares repurchased | (1,244,941 | ) | (29,748,209 | ) | ||||
Capital contributions | — | 5,677 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (1,103,424 | ) | $ | (26,381,304 | ) | |||
|
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|
| |||||
Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 607,046 | $ | 10,380,104 | |||||
Portfolio shares repurchased | (509,212 | ) | (9,438,312 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | 97,834 | $ | 941,792 | |||||
|
|
|
| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 350,913 | $ | 7,965,001 | |||||
Portfolio shares repurchased | (520,257 | ) | (12,096,475 | ) | ||||
Capital contributions | — | 831 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (169,344 | ) | $ | (4,130,643 | ) | |||
|
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|
|
Value Portfolio
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 250,582 | $ | 7,543,560 | |||||
Portfolio shares repurchased | (1,844,798 | ) | (59,626,647 | ) | ||||
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| |||||
Net increase (decrease) in shares outstanding | (1,594,216 | ) | $ | (52,083,087 | ) | |||
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| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 236,977 | $ | 7,891,251 | |||||
Portfolio shares repurchased | (3,462,544 | ) | (113,465,025 | ) | ||||
Capital contributions | — | 1,750 | ||||||
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|
|
| |||||
Net increase (decrease) in shares outstanding | (3,225,567 | ) | $ | (105,572,024 | ) | |||
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| |||||
Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 8,674 | $ | 230,710 | |||||
Portfolio shares repurchased | (3,326 | ) | (101,084 | ) | ||||
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| |||||
Net increase (decrease) in shares outstanding | 5,348 | $ | 129,626 | |||||
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| |||||
Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 41,074 | $ | 1,311,560 | |||||
Portfolio shares repurchased | (13,237 | ) | (432,739 | ) | ||||
Capital contributions | — | 9 | ||||||
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| |||||
Net increase (decrease) in shares outstanding | 27,837 | $ | 878,830 | |||||
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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. For further information on the risks applicable to any given Portfolio, please refer to the Prospectus and Statement of Additional Information of that Portfolio.
B20
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 Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
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 the Portfolios 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 Portfolios invest. 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.
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.
LIBOR Risk: Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Portfolios or the financial instruments
B21
in which the Portfolios invest cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Portfolios’ performance and/or net asset value. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
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: A non-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 a non-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 a non-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 include so-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 Portfolios 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 Portfolios. Since certain Portfolios concentrate in the real estate industry, the holdings of such Portfolios can vary significantly from broad market indexes. As a result, the performance of such Portfolios can deviate from the performance of such indexes.
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 periods of deflation, holders at maturity receive no less than the par value of the bond. However, if the Portfolios purchase
B22
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 Portfolios 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.
B23
Financial Highlights
(unaudited)
Conservative Balanced Portfolio | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 31.40 | $ | 26.50 | $ | 27.17 | $ | 24.18 | $ | 22.54 | $ | 22.45 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.28 | 0.59 | 0.53 | 0.45 | 0.42 | 0.39 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (0.36 | ) | 4.31 | (1.20 | ) | 2.54 | 1.20 | (0.30 | ) | |||||||||||||||||||||||||
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Total from investment operations | (0.08 | ) | 4.90 | (0.67 | ) | 2.99 | 1.62 | 0.09 | ||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (b)(c) | — | 0.02 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 31.32 | $ | 31.40 | $ | 26.50 | $ | 27.17 | $ | 24.18 | $ | 22.54 | ||||||||||||||||||||||
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Total Return(e) | (0.25 | )% | 18.49 | %(f) | (2.47 | )%(f) | 12.37 | % | 7.28 | %(g) | 0.40 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,499 | $ | 2,597 | $ | 2,370 | $ | 2,595 | $ | 2,473 | $ | 2,554 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 2,469 | $ | 2,506 | $ | 2,535 | $ | 2,535 | $ | 2,487 | $ | 2,522 | ||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.58 | %(i) | 0.59 | % | 0.59 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.58 | %(i) | 0.59 | % | 0.59 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||||||||||||||
Net investment income (loss) | 1.83 | %(i) | 2.02 | % | 1.94 | % | 1.75 | % | 1.79 | % | 1.70 | % | ||||||||||||||||||||||
Portfolio turnover rate(j) | 36 | % | 90 | % | 101 | % | 136 | % | 185 | % | 208 | % | ||||||||||||||||||||||
Diversified Bond Portfolio | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 14.55 | $ | 13.12 | $ | 13.14 | $ | 12.28 | $ | 11.64 | $ | 11.66 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.49 | 0.45 | 0.42 | 0.43 | 0.41 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.29 | 0.94 | (0.48 | ) | 0.44 | 0.21 | (0.43 | ) | ||||||||||||||||||||||||||
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Total from investment operations | 0.53 | 1.43 | (0.03 | ) | 0.86 | 0.64 | (0.02 | ) | ||||||||||||||||||||||||||
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Capital Contributions | — | — | 0.01 | (b) | — | — | (c)(d) | — | ||||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 15.08 | $ | 14.55 | $ | 13.12 | $ | 13.14 | $ | 12.28 | $ | 11.64 | ||||||||||||||||||||||
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Total Return(e) | 3.64 | % | 10.90 | % | (0.15 | )%(k) | 7.00 | % | 5.50 | %(f) | (0.17 | )% | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,228 | $ | 1,190 | $ | 1,123 | $ | 1,145 | $ | 1,105 | $ | 1,085 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 1,206 | $ | 1,166 | $ | 1,132 | $ | 1,123 | $ | 1,121 | $ | 1,074 | ||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.44 | %(i) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.46 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.44 | %(i) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.46 | % | ||||||||||||||||||||||
Net investment income (loss) | 3.27 | %(i) | 3.53 | % | 3.44 | % | 3.28 | % | 3.52 | % | 3.48 | % | ||||||||||||||||||||||
Portfolio turnover rate(j) | 15 | % | 48 | % | 51 | % | 71 | % | 49 | % | 81 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 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 portfolio turnover rate may be higher. |
(k) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(unaudited)
Equity Portfolio—Class I | ||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 63.18 | $ | 49.02 | $ | 51.52 | $ | 40.96 | $ | 39.47 | $ | 38.56 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.31 | 0.66 | 0.53 | 0.41 | 0.38 | 0.34 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.83 | 13.50 | (3.07 | ) | 10.15 | 1.07 | 0.57 | |||||||||||||||||||||||||||
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Total from investment operations | 1.14 | 14.16 | (2.54 | ) | 10.56 | 1.45 | 0.91 | |||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.04 | (b) | — | 0.04 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 64.32 | $ | 63.18 | $ | 49.02 | $ | 51.52 | $ | 40.96 | $ | 39.47 | ||||||||||||||||||||||
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Total Return(e) | 1.80 | % | 28.89 | %(f) | (4.85 | )%(g) | 25.78 | % | 3.78 | %(h) | 2.36 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,637 | $ | 4,711 | $ | 3,920 | $ | 4,416 | $ | 3,742 | $ | 3,846 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 4,382 | $ | 4,407 | $ | 4,497 | $ | 4,099 | $ | 3,615 | $ | 3,959 | ||||||||||||||||||||||
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) | 1.04 | %(j) | 1.16 | % | 0.98 | % | 0.89 | % | 1.01 | % | 0.86 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 32 | % | 43 | % | 37 | % | 55 | % | 39 | % | 37 | % | ||||||||||||||||||||||
Equity Portfolio—Class II | ||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 62.09 | $ | 48.37 | $ | 51.04 | $ | 40.74 | $ | 39.42 | $ | 38.66 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.19 | 0.43 | 0.32 | 0.23 | 0.23 | 0.18 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.80 | 13.29 | (3.03 | ) | 10.07 | 1.05 | 0.58 | |||||||||||||||||||||||||||
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Total from investment operations | 0.99 | 13.72 | (2.71 | ) | 10.30 | 1.28 | 0.76 | |||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.04 | (b) | — | 0.04 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 63.08 | $ | 62.09 | $ | 48.37 | $ | 51.04 | $ | 40.74 | $ | 39.42 | ||||||||||||||||||||||
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Total Return(e) | 1.59 | % | 28.36 | %(f) | (5.23 | )%(g) | 25.28 | % | 3.35 | %(h) | 1.97 | % | ||||||||||||||||||||||
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) | 0.64 | %(j) | 0.76 | % | 0.59 | % | 0.50 | % | 0.61 | % | 0.46 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 32 | % | 43 | % | 37 | % | 55 | % | 39 | % | 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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 (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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(unaudited)
Flexible Managed Portfolio | ||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 34.32 | $ | 28.63 | $ | 29.88 | $ | 25.99 | $ | 23.95 | $ | 23.71 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.30 | 0.61 | 0.53 | 0.45 | 0.44 | 0.42 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.06 | ) | 5.08 | (1.78 | ) | 3.44 | 1.58 | (0.18 | ) | |||||||||||||||||||||||||
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Total from investment operations | (0.76 | ) | 5.69 | (1.25 | ) | 3.89 | 2.02 | 0.24 | ||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (b)(c) | — | 0.02 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 33.56 | $ | 34.32 | $ | 28.63 | $ | 29.88 | $ | 25.99 | $ | 23.95 | ||||||||||||||||||||||
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Total Return(e) | (2.21 | )% | 19.87 | %(f) | (4.18 | )%(f) | 14.97 | % | 8.52 | %(g) | 1.01 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,115 | $ | 4,328 | $ | 3,834 | $ | 4,230 | $ | 3,890 | $ | 3,769 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 4,043 | $ | 4,127 | $ | 4,157 | $ | 4,043 | $ | 3,799 | $ | 3,878 | ||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.62 | %(i) | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | 0.63 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.62 | %(i) | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | 0.63 | % | ||||||||||||||||||||||
Net investment income (loss) | 1.88 | %(i) | 1.92 | % | 1.75 | % | 1.62 | % | 1.78 | % | 1.74 | % | ||||||||||||||||||||||
Portfolio turnover rate(j)(k) | 58 | % | 125 | % | 139 | % | 175 | % | 203 | % | 213 | % | ||||||||||||||||||||||
Global Portfolio | ||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 41.49 | $ | 31.83 | $ | 34.33 | $ | 27.50 | $ | 26.33 | $ | 25.72 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.21 | 0.52 | 0.47 | 0.42 | 0.34 | 0.34 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions. | (2.65 | ) | 9.14 | (2.99 | ) | 6.41 | 0.81 | 0.27 | ||||||||||||||||||||||||||
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Total from investment operations | (2.44 | ) | 9.66 | (2.52 | ) | 6.83 | 1.15 | 0.61 | ||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.02 | (b) | — | 0.02 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 39.05 | $ | 41.49 | $ | 31.83 | $ | 34.33 | $ | 27.50 | $ | 26.33 | ||||||||||||||||||||||
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Total Return(e) | (5.88 | )% | 30.39 | %(f) | (7.28 | )%(l) | 24.84 | % | 4.44 | %(m) | 2.37 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,141 | $ | 1,264 | $ | 1,007 | $ | 1,133 | $ | 955 | $ | 965 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 1,127 | $ | 1,158 | $ | 1,140 | $ | 1,052 | $ | 942 | $ | 813 | ||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.76 | %(i) | 0.77 | % | 0.77 | % | 0.79 | % | 0.80 | % | 0.81 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.79 | %(i) | 0.80 | % | 0.80 | % | 0.81 | % | 0.81 | % | 0.82 | % | ||||||||||||||||||||||
Net investment income (loss) | 1.14 | %(i) | 1.41 | % | 1.33 | % | 1.34 | % | 1.29 | % | 1.28 | % | ||||||||||||||||||||||
Portfolio turnover rate(j) | 16 | % | 26 | % | 28 | % | 33 | % | 40 | % | 33 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 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 portfolio 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 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 13.54 | $ | 12.70 | $ | 12.62 | $ | 12.26 | $ | 12.00 | $ | 11.92 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.13 | 0.31 | 0.28 | 0.23 | 0.20 | 0.18 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.73 | 0.53 | (0.20 | ) | 0.13 | 0.06 | (0.10 | ) | ||||||||||||||||||||||||||
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Total from investment operations | 0.86 | 0.84 | 0.08 | 0.36 | 0.26 | 0.08 | ||||||||||||||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | (c)(d) | — | ||||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 14.40 | $ | 13.54 | $ | 12.70 | $ | 12.62 | $ | 12.26 | $ | 12.00 | ||||||||||||||||||||||
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Total Return(e) | 6.35 | % | 6.61 | % | 0.63 | %(f) | 2.94 | % | 2.17 | %(f) | 0.67 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 249 | $ | 239 | $ | 221 | $ | 244 | $ | 226 | $ | 232 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 244 | $ | 235 | $ | 231 | $ | 252 | $ | 236 | $ | 325 | ||||||||||||||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.51 | %(h) | 0.52 | % | 0.51 | % | 0.53 | % | 0.51 | % | 0.48 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.51 | %(h) | 0.52 | % | 0.51 | % | 0.53 | % | 0.51 | % | 0.48 | % | ||||||||||||||||||||||
Net investment income (loss) | 1.90 | %(h) | 2.34 | % | 2.28 | % | 1.84 | % | 1.60 | % | 1.48 | % | ||||||||||||||||||||||
Portfolio turnover rate(i)(j) | 53 | % | 269 | % | 284 | % | 495 | % | 705 | % | 746 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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) | 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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(unaudited)
Government Money Market Portfolio—Class I | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
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) | 0.03 | 0.19 | 0.15 | 0.06 | 0.01 | — | (b) | |||||||||||||||||||||||||||
Less Dividends and Distributions: | (0.03 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | (0.01 | ) | — | (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(d) | 0.30 | % | 1.92 | % | 1.53 | % | 0.56 | % | 0.10 | % | 0.00 | %(e) | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 657 | $ | 600 | $ | 536 | $ | 560 | $ | 724 | $ | 651 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 618 | $ | 563 | $ | 560 | $ | 665 | $ | 717 | $ | 725 | ||||||||||||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.30 | %(g) | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.19 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.34 | %(g) | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.44 | % | ||||||||||||||||||||||
Net investment income (loss) | 0.57 | %(g) | 1.88 | % | 1.52 | % | 0.55 | % | 0.09 | % | — | %(e) |
Government Money Market Portfolio—Class III | ||||||||||
May 18, 2020(a) through June 30, 2020 | ||||||||||
Per Share Operating Performance: | ||||||||||
Net Asset Value, beginning of period | $ | 10.00 | ||||||||
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Income (Loss) From Investment Operations: | ||||||||||
Net investment income (loss) and realized gains (losses) | — | (b) | ||||||||
Less Dividends and Distributions: | — | (c) | ||||||||
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Net asset value, end of period | $ | 10.00 | ||||||||
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Total Return(d) | 0.00 | %(e) | ||||||||
Ratios/Supplemental Data: | ||||||||||
Net assets, end of period (in millions) | $ | 13 | ||||||||
Average net assets (in millions) | $ | 4 | ||||||||
Ratios to average net assets(f): | ||||||||||
Expenses after waivers and/or expense reimbursement | 0.19 | %(g) | ||||||||
Expenses before waivers and/or expense reimbursement | 0.59 | %(g) | ||||||||
Net investment income (loss) | — | %(e)(g) |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Less than $0.005 per share. |
(c) | Less than $(0.005) per share. |
(d) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(e) | Less than 0.005%. |
(f) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(g) | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
(unaudited)
High Yield Bond Portfolio | ||||||||||||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.77 | $ | 4.96 | $ | 5.17 | $ | 5.10 | $ | 4.68 | $ | 5.11 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.18 | 0.34 | 0.33 | 0.32 | 0.32 | 0.31 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (0.42 | ) | 0.47 | (0.39 | ) | 0.07 | 0.42 | (0.42 | ) | |||||||||||||||||||||||||
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Total from investment operations | (0.24 | ) | 0.81 | (0.06 | ) | 0.39 | 0.74 | (0.11 | ) | |||||||||||||||||||||||||
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Less Dividends and Distributions | — | — | (0.15 | ) | (0.32 | ) | (0.32 | ) | (0.32 | ) | ||||||||||||||||||||||||
Capital Contributions | — | — | — | (b)(c) | — | — | (c)(d) | — | ||||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 5.53 | $ | 5.77 | $ | 4.96 | $ | 5.17 | $ | 5.10 | $ | 4.68 | ||||||||||||||||||||||
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Total Return(e) | (4.16 | )% | 16.33 | % | (1.26 | )%(f) | 7.80 | % | 16.24 | %(f) | (2.45 | )% | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 484 | $ | 522 | $ | 474 | $ | 508 | $ | 3,568 | $ | 3,160 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 485 | $ | 507 | $ | 499 | $ | 3,549 | $ | 3,362 | $ | 3,251 | ||||||||||||||||||||||
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 | % | 0.62 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||||||
Net investment income (loss) | 6.62 | %(h) | 6.28 | % | 6.50 | % | 6.17 | % | 6.61 | % | 6.21 | % | ||||||||||||||||||||||
Portfolio turnover rate(i) | 31 | % | 58 | % | 47 | % | 54 | %(j) | 39 | % | 46 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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) | 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 portfolio 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 of in-kind transactions. If such transactions were included, the portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
(unaudited)
Jennison Portfolio—Class I | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 81.62 | $ | 61.21 | $ | 61.69 | $ | 45.13 | $ | 45.54 | $ | 40.85 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | — | (b) | 0.09 | 0.13 | 0.13 | 0.10 | 0.06 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 15.84 | 20.32 | (0.61 | ) | 16.43 | (0.55 | ) | 4.63 | ||||||||||||||||||||||||||
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Total from investment operations | 15.84 | 20.41 | (0.48 | ) | 16.56 | (0.45 | ) | 4.69 | ||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (b)(c) | — | 0.04 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 97.46 | $ | 81.62 | $ | 61.21 | $ | 61.69 | $ | 45.13 | $ | 45.54 | ||||||||||||||||||||||
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Total Return(e) | 19.41 | % | 33.34 | %(f) | (0.78 | )%(f) | 36.69 | % | (0.90 | )%(g) | 11.48 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,581 | $ | 2,242 | $ | 1,803 | $ | 1,937 | $ | 1,520 | $ | 1,655 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 2,256 | $ | 2,073 | $ | 2,052 | $ | 1,761 | $ | 1,529 | $ | 1,651 | ||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.62 | %(i) | 0.62 | % | 0.62 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.62 | %(i) | 0.62 | % | 0.62 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||||||||||||
Net investment income (loss) | 0.00 | %(i)(j) | 0.13 | % | 0.19 | % | 0.25 | % | 0.23 | % | 0.14 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 31 | % | 41 | % | 38 | % | 51 | % | 35 | % | 31 | % | ||||||||||||||||||||||
Jennison Portfolio—Class II | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 77.94 | $ | 58.68 | $ | 59.38 | $ | 43.62 | $ | 44.19 | $ | 39.80 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.16 | ) | (0.19 | ) | (0.14 | ) | (0.08 | ) | (0.07 | ) | (0.11 | ) | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 15.10 | 19.45 | (0.56 | ) | 15.84 | (0.54 | ) | 4.50 | ||||||||||||||||||||||||||
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Total from investment operations | 14.94 | 19.26 | (0.70 | ) | 15.76 | (0.61 | ) | 4.39 | ||||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (b)(c) | — | 0.04 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 92.88 | $ | 77.94 | $ | 58.68 | $ | 59.38 | $ | 43.62 | $ | 44.19 | ||||||||||||||||||||||
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Total Return(e) | 19.17 | % | 32.82 | %(f) | (1.18 | )%(f) | 36.13 | % | (1.29 | )%(g) | 11.03 | % | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 71 | $ | 66 | $ | 61 | $ | 60 | $ | 41 | $ | 60 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 64 | $ | 64 | $ | 70 | $ | 49 | $ | 50 | $ | 50 | ||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.02 | %(i) | 1.02 | % | 1.02 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 1.02 | %(i) | 1.02 | % | 1.02 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||||||||||||
Net investment income (loss) | (0.40 | )%(i) | (0.27 | )% | (0.22 | )% | (0.16 | )% | (0.17 | )% | (0.26 | )% | ||||||||||||||||||||||
Portfolio turnover rate(k) | 31 | % | 41 | % | 38 | % | 51 | % | 35 | % | 31 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 (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) | Less than 0.005%. |
(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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
(unaudited)
Natural Resources Portfolio—Class I | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 24.34 | $ | 21.99 | $ | 26.84 | $ | 26.89 | $ | 21.45 | $ | 29.87 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.31 | 0.72 | 0.60 | 0.40 | 0.26 | 0.29 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (4.75 | ) | 1.63 | (5.46 | ) | (0.45 | ) | 5.15 | (8.71 | ) | ||||||||||||||||||||||||
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Total from investment operations | (4.44 | ) | 2.35 | (4.86 | ) | (0.05 | ) | 5.41 | (8.42 | ) | ||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.01 | (b) | — | 0.03 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 19.90 | $ | 24.34 | $ | 21.99 | $ | 26.84 | $ | 26.89 | $ | 21.45 | ||||||||||||||||||||||
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Total Return(e) | (18.24 | )% | 10.69 | %(f) | (18.07 | )%(g) | (0.19 | )% | 25.36 | %(h) | (28.19 | )% | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 265 | $ | 332 | $ | 324 | $ | 425 | $ | 456 | $ | 386 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 270 | $ | 339 | $ | 398 | $ | 410 | $ | 416 | $ | 515 | ||||||||||||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.54 | %(j) | 0.53 | % | 0.51 | % | 0.52 | % | 0.56 | % | 0.48 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.55 | %(j) | 0.54 | % | 0.52 | % | 0.53 | % | 0.57 | % | 0.51 | % | ||||||||||||||||||||||
Net investment income (loss) | 3.15 | %(j) | 3.04 | % | 2.30 | % | 1.60 | % | 1.08 | % | 1.06 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 79 | % | 132 | % | 108 | % | 114 | % | 140 | % | 29 | % | ||||||||||||||||||||||
Natural Resources Portfolio—Class II | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 23.44 | $ | 21.26 | $ | 26.06 | $ | 26.20 | $ | 20.99 | $ | 29.35 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.26 | 0.61 | 0.49 | 0.29 | 0.15 | 0.18 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (4.57 | ) | 1.57 | (5.30 | ) | (0.43 | ) | 5.03 | (8.54 | ) | ||||||||||||||||||||||||
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Total from investment operations | (4.31 | ) | 2.18 | (4.81 | ) | (0.14 | ) | 5.18 | (8.36 | ) | ||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.01 | (b) | — | 0.03 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 19.13 | $ | 23.44 | $ | 21.26 | $ | 26.06 | $ | 26.20 | $ | 20.99 | ||||||||||||||||||||||
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Total Return(e) | (18.39 | )% | 10.25 | %(f) | (18.42 | )%(g) | (0.53 | )% | 24.82 | %(h) | (28.48 | )% | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 42 | $ | 49 | $ | 48 | $ | 53 | $ | 42 | $ | 30 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 43 | $ | 50 | $ | 52 | $ | 48 | $ | 38 | $ | 41 | ||||||||||||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.94 | %(j) | 0.93 | % | 0.91 | % | 0.92 | % | 0.96 | % | 0.88 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.95 | %(j) | 0.94 | % | 0.92 | % | 0.93 | % | 0.97 | % | 0.91 | % | ||||||||||||||||||||||
Net investment income (loss) | 2.78 | %(j) | 2.63 | % | 1.93 | % | 1.21 | % | 0.64 | % | 0.66 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 79 | % | 132 | % | 108 | % | 114 | % | 140 | % | 29 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 (18.11)% and (18.46)% for Class I and Class II, respectively. |
(h) | Total return for the period 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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
(unaudited)
Small Capitalization Stock Portfolio | ||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 43.03 | $ | 35.15 | $ | 38.51 | $ | 34.08 | $ | 26.94 | $ | 27.57 | ||||||||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.17 | 0.46 | 0.40 | 0.39 | 0.35 | 0.30 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (7.89 | ) | 7.42 | (3.76 | ) | 4.04 | 6.72 | (0.93 | ) | |||||||||||||||||||||||||||||||
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Total from investment operations | (7.72 | ) | 7.88 | (3.36 | ) | 4.43 | 7.07 | (0.63 | ) | |||||||||||||||||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | 0.07 | (d) | — | ||||||||||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 35.31 | $ | 43.03 | $ | 35.15 | $ | 38.51 | $ | 34.08 | $ | 26.94 | ||||||||||||||||||||||||||||
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Total Return(e) | (17.94 | )% | 22.42 | % | (8.73 | )%(f) | 13.00 | % | 26.50 | %(g) | (2.29 | )% | ||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 658 | $ | 834 | $ | 729 | $ | 850 | $ | 811 | $ | 682 | ||||||||||||||||||||||||||||
Average net assets (in millions) | $ | 675 | $ | 794 | $ | 871 | $ | 811 | $ | 704 | $ | 732 | ||||||||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.40 | %(i) | 0.39 | % | 0.39 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.40 | %(i) | 0.39 | % | 0.39 | % | 0.40 | % | 0.42 | % | 0.45 | % | ||||||||||||||||||||||||||||
Net investment income (loss) | 0.98 | %(i) | 1.15 | % | 0.98 | % | 1.11 | % | 1.21 | % | 1.06 | % | ||||||||||||||||||||||||||||
Portfolio turnover rate(j) | 10 | % | 19 | % | 18 | % | 17 | % | 20 | % | 16 | % | ||||||||||||||||||||||||||||
Stock Index Portfolio | ||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 74.24 | $ | 56.64 | $ | 59.38 | $ | 50.70 | $ | 48.59 | $ | 49.33 | ||||||||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.59 | 1.12 | 1.00 | 0.92 | 0.89 | 0.86 | ||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (2.96 | ) | 16.48 | (3.74 | ) | 9.75 | 4.52 | (0.26 | ) | |||||||||||||||||||||||||||||||
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Total from investment operations | (2.37 | ) | 17.60 | (2.74 | ) | 10.67 | 5.41 | 0.60 | ||||||||||||||||||||||||||||||||
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Less Dividends and Distributions | — | — | — | (1.99 | ) | (3.37 | ) | (1.34 | ) | |||||||||||||||||||||||||||||||
Capital Contributions | — | — | — | — | 0.07 | (d) | — | |||||||||||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 71.87 | $ | 74.24 | $ | 56.64 | $ | 59.38 | $ | 50.70 | $ | 48.59 | ||||||||||||||||||||||||||||
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Total Return(e) | (3.19 | )% | 31.07 | % | (4.61 | )% | 21.46 | % | 11.83 | %(k) | 1.18 | % | ||||||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,649 | $ | 4,757 | $ | 3,672 | $ | 3,928 | $ | 3,305 | $ | 3,010 | ||||||||||||||||||||||||||||
Average net assets (in millions) | $ | 4,465 | $ | 4,298 | $ | 4,051 | $ | 3,630 | $ | 3,122 | $ | 3,299 | ||||||||||||||||||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.31 | %(i) | 0.31 | % | 0.31 | % | 0.32 | % | 0.32 | % | 0.32 | % | ||||||||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.31 | %(i) | 0.31 | % | 0.31 | % | 0.32 | % | 0.34 | % | 0.37 | % | ||||||||||||||||||||||||||||
Net investment income (loss) | 1.72 | %(i) | 1.69 | % | 1.63 | % | 1.69 | % | 1.84 | % | 1.74 | % | ||||||||||||||||||||||||||||
Portfolio turnover rate(j) | 1 | % | 3 | % | 4 | % | 4 | % | 5 | % | 9 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 portfolio turnover rate may be higher. |
(k) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
Financial Highlights
(unaudited)
Value Portfolio—Class I | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value , beginning of period | $ | 35.99 | $ | 28.55 | $ | 31.68 | $ | 27.08 | $ | 24.31 | $ | 26.48 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.37 | 0.67 | 0.56 | 0.47 | 0.46 | 0.39 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (5.84 | ) | 6.77 | (3.71 | ) | 4.13 | 2.28 | (2.56 | ) | |||||||||||||||||||||||||
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Total from investment operations | (5.47 | ) | 7.44 | (3.15 | ) | 4.60 | 2.74 | (2.17 | ) | |||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.02 | (b) | — | 0.03 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 30.52 | $ | 35.99 | $ | 28.55 | $ | 31.68 | $ | 27.08 | $ | 24.31 | ||||||||||||||||||||||
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Total Return(e) | (15.20 | )% | 26.06 | %(f) | (9.88 | )%(g) | 16.99 | % | 11.39 | %(h) | (8.19 | )% | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,164 | $ | 1,430 | $ | 1,226 | $ | 1,480 | $ | 1,375 | $ | 1,355 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 1,214 | $ | 1,354 | $ | 1,417 | $ | 1,413 | $ | 1,290 | $ | 1,493 | ||||||||||||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.43 | %(j) | 0.43 | % | 0.43 | % | 0.43 | % | 0.42 | % | 0.43 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.43 | %(j) | 0.43 | % | 0.43 | % | 0.43 | % | 0.42 | % | 0.43 | % | ||||||||||||||||||||||
Net investment income (loss) | 2.37 | %(j) | 2.04 | % | 1.76 | % | 1.63 | % | 1.90 | % | 1.52 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 22 | % | 25 | % | 23 | % | 16 | % | 24 | % | 32 | % | ||||||||||||||||||||||
Value Portfolio—Class II | ||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 35.25 | $ | 28.07 | $ | 31.27 | $ | 26.84 | $ | 24.19 | $ | 26.45 | ||||||||||||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.30 | 0.53 | 0.42 | 0.35 | 0.37 | 0.29 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (5.72 | ) | 6.65 | (3.64 | ) | 4.08 | 2.25 | (2.55 | ) | |||||||||||||||||||||||||
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Total from investment operations | (5.42 | ) | 7.18 | (3.22 | ) | 4.43 | 2.62 | (2.26 | ) | |||||||||||||||||||||||||
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Capital Contributions | — | — | (b)(c) | 0.02 | (b) | — | 0.03 | (d) | — | |||||||||||||||||||||||||
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Net Asset Value, end of period | $ | 29.83 | $ | 35.25 | $ | 28.07 | $ | 31.27 | $ | 26.84 | $ | 24.19 | ||||||||||||||||||||||
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Total Return(e) | (15.38 | )% | 25.58 | %(f) | (10.23 | )%(g) | 16.51 | % | 10.95 | %(h) | (8.54 | )% | ||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 8 | $ | 9 | $ | 6 | $ | 8 | $ | 7 | $ | 10 | ||||||||||||||||||||||
Average net assets (in millions) | $ | 8 | $ | 7 | $ | 7 | $ | 7 | $ | 8 | $ | 10 | ||||||||||||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.83 | %(j) | 0.83 | % | 0.83 | % | 0.83 | % | 0.82 | % | 0.83 | % | ||||||||||||||||||||||
Expenses before waivers and/or expense reimbursement | 0.83 | %(j) | 0.83 | % | 0.83 | % | 0.83 | % | 0.82 | % | 0.83 | % | ||||||||||||||||||||||
Net investment income (loss) | 1.97 | %(j) | 1.63 | % | 1.36 | % | 1.23 | % | 1.53 | % | 1.12 | % | ||||||||||||||||||||||
Portfolio turnover rate(k) | 22 | % | 25 | % | 23 | % | 16 | % | 24 | % | 32 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 (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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C10
The Prudential Series Fund
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), each Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). Each Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolios’ investment manager, to serve as the administrator of each Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
Each Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, each Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of each Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that each Portfolio’s LRMP was reasonably designed to assess and manage that Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that each Portfolio’s investment strategies continue to be appropriate given each Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in a Portfolio, including liquidity risks presented by each Portfolio’s investment portfolio, is found in a Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C11
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 June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, 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 a Portfolio-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., PGIM Limited (PGIML), 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 the day-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 from 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, PGIML, 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.
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 the one-, three-, five- and ten-year periods ended December 31, 2019, 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 2019. 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 | ||||
2nd Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio underperformed its benchmark index over the one-year period, and outperformed over all other 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 | ||||
2nd 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 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 2nd Quartile | 3rd Quartile | 4th Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Gross Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three-year period, though it underperformed its benchmark index over the remaining periods. |
• | The Board considered the Manager’s assertion that it believes the Portfolio’s more recent underperformance to be temporary, and primarily attributable to performance challenges in calendar year 2019. |
• | The Board considered information provided by the Manager indicating that the Portfolio outperformed both its benchmark and peer median over the trailing three-year period ending March 31, 2020; and that the Portfolio outperformed both its benchmark and peer median in three out of the last five 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 | ||||
3rd Quartile | 2nd 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 the five- and ten-year periods, though it underperformed its benchmark index over the remaining periods. |
• | The Board noted that the Fund’s underperformance during the periods identified above was largely the result of underperformance during one year, 2020. In that regard, the Board noted that when it considered the performance of the Fund one year before, the Fund ranked in the first quartile of its Peer Universe over all periods ended December 31, 2018. |
• | 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: 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. |
Government Income Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd Quartile | 1st Quartile | 2nd Quartile | |||||
Actual Management Fees: 2nd 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. |
Government Money Market Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 3rd Quartile | 3rd Quartile | 3rd 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 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 all periods. |
• | 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, 2021. |
• | 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 | ||||
2nd Quartile | 2nd 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 the three-, five- and ten-year periods, though it underperformed its benchmark index over the remaining 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 | ||||
3rd Quartile | 2nd Quartile | 3rd Quartile | 4th 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 considered information provided by the Manager indicating that the Portfolio’s recent performance had improved, with the Portfolio outperforming its benchmark index for the trailing one-year period and the median of its Peer Universe for the trailing one-, three-, and five-year periods, each through March 31, 2020. |
• | The Board noted that the Manager had contractually agreed to waive 0.008% of its management fee through June 30, 2021. |
• | 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 | ||||
3rd Quartile | 2nd 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 | ||||
2nd Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 4th 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. |
Value Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one- and three-year periods, though it underperformed its benchmark index over the five- and ten-year periods. |
• | The Board noted the Manager’s belief that the underperformance was temporary and considered information provided by the Manager indicating that the Portfolio’s three-year performance improved. |
• | 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 recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.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 at www.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.
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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) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 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, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. 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 each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report 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, 2020 |
∎ | 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, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This 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 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2020 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
SP International Growth Portfolio |
| |||||||
Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
Adyen NV, 144A | IT Services | Netherlands | 3.2% | |||||
Tencent Holdings Ltd. | Interactive Media & Services | China | 2.8% | |||||
LVMH Moet Hennessy Louis Vuitton SE | Textiles, Apparel & Luxury Goods | France | 2.5% | |||||
Shopify, Inc. (Class A Stock) | IT Services | Canada | 2.4% | |||||
MercadoLibre, Inc. | Internet & Direct Marketing Retail | Argentina | 2.4% | |||||
L’Oreal SA | Personal Products | France | 2.1% | |||||
Lululemon Athletica, Inc. | Textiles, Apparel & Luxury Goods | United States | 2.0% | |||||
Experian PLC | Professional Services | United Kingdom | 1.9% | |||||
Sea Ltd., ADR | Entertainment | Taiwan | 1.7% | |||||
Meituan Dianping (Class B Stock) | Internet & Direct Marketing Retail | China | 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.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2020 |
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, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning January 1, 2020 | Ending June 30, 2020 | 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 | $ | 1,035.60 | 1.01 | % | $ | 5.11 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.84 | 1.01 | % | $ | 5.07 | ||||||||||
SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,033.60 | 1.41 | % | $ | 7.13 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,017.85 | 1.41 | % | $ | 7.07 |
* 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 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP INTERNATIONAL GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 98.7% | ||||||||
COMMON STOCKS — 97.2% | Shares | Value | ||||||
Argentina — 2.4% | ||||||||
MercadoLibre, Inc.* | 2,021 | $ | 1,992,241 | |||||
|
| |||||||
Australia — 1.5% | ||||||||
Aristocrat Leisure Ltd. | 14,960 | 266,981 | ||||||
Cochlear Ltd. | 3,824 | 503,151 | ||||||
CSL Ltd. | 2,508 | 501,080 | ||||||
|
| |||||||
1,271,212 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
BAWAG Group AG, 144A* | 8,996 | 312,003 | ||||||
|
| |||||||
Belgium — 0.3% | ||||||||
KBC Group NV | 3,814 | 220,450 | ||||||
|
| |||||||
Canada — 4.0% | ||||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 3,739 | 117,243 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 12,676 | 417,041 | ||||||
Canadian National Railway Co. | 6,257 | 553,571 | ||||||
Dollarama, Inc. | 8,747 | 290,965 | ||||||
Shopify, Inc. (Class A Stock)* | 2,143 | 2,034,136 | ||||||
|
| |||||||
3,412,956 | ||||||||
|
| |||||||
China — 11.9% | ||||||||
Alibaba Group Holding Ltd.* | 47,840 | 1,295,261 | ||||||
Alibaba Group Holding Ltd., ADR* | 5,918 | 1,276,513 | ||||||
China Merchants Bank Co. Ltd. (Class H Stock) | 92,500 | 426,947 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. (Class A Stock) | 56,802 | 744,055 | ||||||
Kweichow Moutai Co. Ltd. (Class A Stock) | 3,392 | 702,471 | ||||||
Meituan Dianping (Class B Stock)* | 62,169 | 1,387,181 | ||||||
NetEase, Inc., ADR | 1,271 | 545,742 | ||||||
TAL Education Group, ADR* | 9,383 | 641,609 | ||||||
Tencent Holdings Ltd. | 35,994 | 2,320,949 | ||||||
Wuxi Biologics Cayman, Inc., 144A* | 37,567 | 690,921 | ||||||
|
| |||||||
10,031,649 | ||||||||
|
| |||||||
Denmark — 3.3% | ||||||||
Chr Hansen Holding A/S | 1,381 | 142,632 | ||||||
Coloplast A/S (Class B Stock) | 3,426 | 532,641 | ||||||
DSV Panalpina A/S | 2,454 | 300,902 | ||||||
Novo Nordisk A/S (Class B Stock) | 21,199 | 1,381,931 | ||||||
Orsted A/S, 144A | 3,932 | 456,869 | ||||||
|
| |||||||
2,814,975 | ||||||||
|
| |||||||
Finland — 0.4% | ||||||||
Neste OYJ | 8,188 | 321,523 | ||||||
|
| |||||||
France — 11.5% | ||||||||
Air Liquide SA | 1,311 | 190,036 | ||||||
Airbus SE* | 4,511 | 323,175 | ||||||
Arkema SA | 1,133 | 108,873 | ||||||
Capgemini SE | 3,949 | 455,741 | ||||||
Dassault Systemes SE | 4,963 | 859,920 | ||||||
Kering SA | 916 | 500,655 | ||||||
L’Oreal SA* | 5,479 | 1,762,075 |
COMMON STOCKS (continued) | Shares | Value | ||||||
France (continued) | ||||||||
LVMH Moet Hennessy Louis Vuitton SE | 4,684 | $ | 2,082,943 | |||||
Pernod Ricard SA | 6,710 | 1,059,109 | ||||||
Remy Cointreau SA(a) | 3,472 | 473,372 | ||||||
Safran SA* | 4,272 | 430,477 | ||||||
Schneider Electric SE | 3,506 | 392,392 | ||||||
Teleperformance* | 3,109 | 792,797 | ||||||
TOTAL SA(a) | 7,809 | 301,777 | ||||||
|
| |||||||
9,733,342 | ||||||||
|
| |||||||
Germany — 5.1% | ||||||||
adidas AG* | 635 | 167,793 | ||||||
Brenntag AG | 5,510 | 290,635 | ||||||
CTS Eventim AG & Co. KGaA* | 5,145 | 215,327 | ||||||
Deutsche Boerse AG | 1,521 | 276,383 | ||||||
Gerresheimer AG | 5,817 | 538,857 | ||||||
Infineon Technologies AG | 36,679 | 870,691 | ||||||
Rational AG(a) | 539 | 303,504 | ||||||
SAP SE | 4,989 | 701,150 | ||||||
SAP SE, ADR(a) | 3,693 | 517,020 | ||||||
Scout24 AG, 144A | 3,974 | 309,878 | ||||||
TeamViewer AG, 144A* | 2,748 | 151,258 | ||||||
|
| |||||||
4,342,496 | ||||||||
|
| |||||||
Hong Kong — 1.6% |
| |||||||
AIA Group Ltd. | 94,400 | 882,456 | ||||||
Techtronic Industries Co. Ltd. | 49,700 | 490,309 | ||||||
|
| |||||||
1,372,765 | ||||||||
|
| |||||||
India — 1.3% |
| |||||||
HDFC Bank Ltd., ADR | 6,717 | 305,355 | ||||||
Infosys Ltd., ADR(a) | 26,876 | 259,622 | ||||||
Reliance Industries Ltd., 144A, GDR | 10,724 | 495,368 | ||||||
|
| |||||||
1,060,345 | ||||||||
|
| |||||||
Ireland — 2.0% |
| |||||||
AerCap Holdings NV* | 3,645 | 112,266 | ||||||
CRH PLC | 14,622 | 502,291 | ||||||
Kerry Group PLC (Class A Stock) | 3,455 | 429,834 | ||||||
Kingspan Group PLC | 8,556 | 553,978 | ||||||
Smurfit Kappa Group PLC | 3,662 | 123,323 | ||||||
|
| |||||||
1,721,692 | ||||||||
|
| |||||||
Israel — 1.4% |
| |||||||
Check Point Software Technologies Ltd.*(a) | 4,962 | 533,067 | ||||||
Nice Ltd., ADR*(a) | 3,307 | 625,817 | ||||||
|
| |||||||
1,158,884 | ||||||||
|
| |||||||
Italy — 2.3% |
| |||||||
Brunello Cucinelli SpA* | 19,063 | 569,003 | ||||||
Ferrari NV | 6,490 | 1,112,134 | ||||||
Nexi SpA, 144A* | 17,075 | 296,879 | ||||||
|
| |||||||
1,978,016 | ||||||||
|
| |||||||
Japan — 7.9% |
| |||||||
Asahi Intecc Co. Ltd. | 7,500 | 212,528 | ||||||
Bridgestone Corp. | 10,400 | 334,328 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (continued) |
| |||||||
Daikin Industries Ltd. | 4,900 | $ | 788,851 | |||||
Freee KK* | 4,476 | 203,252 | ||||||
GMO Payment Gateway, Inc. | 5,240 | 546,062 | ||||||
Hoya Corp. | 8,400 | 799,950 | ||||||
Kao Corp. | 2,300 | 182,186 | ||||||
Keyence Corp. | 1,900 | 794,433 | ||||||
Menicon Co. Ltd. | 10,087 | 496,213 | ||||||
Sanwa Holdings Corp. | 28,900 | 259,440 | ||||||
SCSK Corp. | 2,400 | 116,786 | ||||||
Shionogi & Co. Ltd. | 4,200 | 262,937 | ||||||
Shiseido Co. Ltd. | 6,300 | 400,250 | ||||||
SMC Corp. | 1,000 | 512,307 | ||||||
Terumo Corp. | 5,700 | 216,327 | ||||||
Tokio Marine Holdings, Inc. | 4,000 | 174,183 | ||||||
Toyota Motor Corp. | 5,800 | 363,678 | ||||||
|
| |||||||
6,663,711 | ||||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
Tenaris SA | 15,122 | 98,535 | ||||||
|
| |||||||
Netherlands — 6.0% |
| |||||||
Adyen NV, 144A* | 1,857 | 2,715,450 | ||||||
ASML Holding NV | 3,705 | 1,368,979 | ||||||
Heineken NV | 4,377 | 405,377 | ||||||
Koninklijke Philips NV* | 6,150 | 288,493 | ||||||
NXP Semiconductors NV | 2,473 | 282,021 | ||||||
|
| |||||||
5,060,320 | ||||||||
|
| |||||||
Singapore — 0.3% |
| |||||||
DBS Group Holdings Ltd. | 18,600 | 278,880 | ||||||
|
| |||||||
Spain — 0.4% |
| |||||||
Amadeus IT Group SA | 6,412 | 335,390 | ||||||
|
| |||||||
Sweden — 2.0% |
| |||||||
Assa Abloy AB (Class B Stock) | 19,204 | 393,811 | ||||||
Atlas Copco AB (Class A Stock) | 15,038 | 640,625 | ||||||
Autoliv, Inc. | 930 | 59,995 | ||||||
Hexagon AB (Class B Stock)* | 10,525 | 619,209 | ||||||
|
| |||||||
1,713,640 | ||||||||
|
| |||||||
Switzerland — 9.9% |
| |||||||
Alcon, Inc.* | 12,464 | 721,630 | ||||||
Givaudan SA | 273 | 1,021,650 | ||||||
Julius Baer Group Ltd. | 6,607 | 279,630 | ||||||
Lonza Group AG | 1,929 | 1,022,380 | ||||||
Novartis AG | 5,805 | 508,167 | ||||||
Partners Group Holding AG | 848 | 773,097 | ||||||
Roche Holding AG | 3,796 | 1,322,225 | ||||||
SGS SA | 113 | 277,804 | ||||||
SIG Combibloc Group AG* | 22,409 | 363,769 | ||||||
Sika AG | 2,258 | 437,091 | ||||||
Sonova Holding AG* | 2,129 | 426,274 | ||||||
Straumann Holding AG | 555 | 479,609 | ||||||
Temenos AG | 3,056 | 478,843 | ||||||
UBS Group AG | 22,421 | 261,127 | ||||||
|
| |||||||
8,373,296 | ||||||||
|
| |||||||
Taiwan — 3.3% |
| |||||||
Sea Ltd., ADR*(a) | 13,128 | 1,407,847 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Taiwan (continued) |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 67,000 | $ | 713,567 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 11,644 | 661,030 | ||||||
|
| |||||||
2,782,444 | ||||||||
|
| |||||||
United Kingdom — 13.0% |
| |||||||
Abcam PLC | 23,694 | 390,949 | ||||||
Ashtead Group PLC | 10,306 | 349,006 | ||||||
AstraZeneca PLC | 6,447 | 676,543 | ||||||
Barratt Developments PLC | 24,242 | 150,031 | ||||||
Bunzl PLC | 23,467 | 632,716 | ||||||
Compass Group PLC | 22,072 | 305,691 | ||||||
DCC PLC | 6,503 | 544,556 | ||||||
Diageo PLC | 17,078 | 568,240 | ||||||
Electrocomponents PLC | 47,135 | 393,577 | ||||||
Experian PLC | 45,622 | 1,607,101 | ||||||
Fevertree Drinks PLC | 15,282 | 389,353 | ||||||
Halma PLC | 10,263 | 293,468 | ||||||
London Stock Exchange Group PLC | 7,411 | 769,676 | ||||||
Prudential PLC | 20,371 | 309,085 | ||||||
Reckitt Benckiser Group PLC | 5,475 | 503,955 | ||||||
RELX PLC | 37,768 | 879,593 | ||||||
Rentokil Initial PLC | 72,731 | 460,566 | ||||||
Rightmove PLC | 24,653 | 167,613 | ||||||
Segro PLC, REIT | 36,677 | 407,183 | ||||||
Smith & Nephew PLC | 14,243 | 267,145 | ||||||
Spectris PLC | 6,758 | 211,477 | ||||||
Spirax-Sarco Engineering PLC | 2,472 | 306,563 | ||||||
St. James’s Place PLC | 22,032 | 261,260 | ||||||
Unilever NV | 3,324 | 177,385 | ||||||
|
| |||||||
11,022,732 | ||||||||
|
| |||||||
United States — 4.9% |
| |||||||
Aon PLC (Class A Stock) | 2,149 | 413,897 | ||||||
Atlassian Corp. PLC (Class A Stock)* | 6,758 | 1,218,265 | ||||||
Ferguson PLC | 5,266 | 431,060 | ||||||
Lululemon Athletica, Inc.* | 5,330 | 1,663,013 | ||||||
QIAGEN NV* | 4,287 | 184,307 | ||||||
Samsonite International SA, 144A* | 95,092 | 96,940 | ||||||
Sensata Technologies Holding PLC* | 2,317 | 86,262 | ||||||
|
| |||||||
4,093,744 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 82,167,241 | |||||||
|
| |||||||
PREFERRED STOCK — 1.5% |
| |||||||
Germany |
| |||||||
Sartorius AG (PRFC) | 3,947 | 1,306,475 | ||||||
|
| |||||||
(cost $299,482) | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 83,473,716 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 6.0% |
| |||||||
AFFILIATED MUTUAL FUNDS — 5.3% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 453,403 | 453,403 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
AFFILIATED MUTUAL FUNDS (continued) |
| |||||||
PGIM Institutional Money Market Fund (cost $3,973,441; includes $3,972,033 of cash collateral for securities on loan)(b)(w) | 3,979,390 | $ | 3,979,390 | |||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 4,432,793 | ||||||
|
| |||||||
UNAFFILIATED FUND — 0.7% |
| |||||||
BlackRock Liquidity FedFund | 604,575 | 604,575 | ||||||
|
| |||||||
(cost $604,575) | ||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 5,037,368 | ||||||
|
| |||||||
TOTAL INVESTMENTS—104.7% |
| 88,511,084 | ||||||
Liabilities in excess of other assets — (4.7)% |
| (3,936,761 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 84,574,323 | |||||
|
|
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
GDR — Global Depositary Receipt
LIBOR — London Interbank Offered Rate
OTC — Over-the-counter
PRFC — Preference Shares
REITs — Real Estate Investment Trust
* | 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 $3,866,428; cash collateral of $3,972,033 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Argentina | $ | 1,992,241 | $ | — | $ | — | ||||||
Australia | — | 1,271,212 | — | |||||||||
Austria | — | 312,003 | — | |||||||||
Belgium | — | 220,450 | — | |||||||||
Canada | 3,412,956 | — | — | |||||||||
China | 2,463,864 | 7,567,785 | — | |||||||||
Denmark | — | 2,814,975 | — | |||||||||
Finland | — | 321,523 | — | |||||||||
France | — | 9,733,342 | — | |||||||||
Germany | 517,020 | 3,825,476 | — | |||||||||
Hong Kong | — | 1,372,765 | — | |||||||||
India | 564,977 | 495,368 | — | |||||||||
Ireland | 112,266 | 1,609,426 | — | |||||||||
Israel | 1,158,884 | — | — | |||||||||
Italy | — | 1,978,016 | — | |||||||||
Japan | — | 6,663,711 | — | |||||||||
Luxembourg | — | 98,535 | — | |||||||||
Netherlands | 282,021 | 4,778,299 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Singapore | $ | — | $ | 278,880 | $ | — | ||||||
Spain | — | 335,390 | — | |||||||||
Sweden | 59,995 | 1,653,645 | — | |||||||||
Switzerland | — | 8,373,296 | — | |||||||||
Taiwan | 2,068,877 | 713,567 | — | |||||||||
United Kingdom | — | 11,022,732 | — | |||||||||
United States | 3,381,437 | 712,307 | — | |||||||||
Preferred Stock | ||||||||||||
Germany | — | 1,306,475 | — | |||||||||
Affiliated Mutual Funds | 4,432,793 | — | — | |||||||||
Unaffiliated Fund | 604,575 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 21,051,906 | $ | 67,459,178 | $ | — | ||||||
|
|
|
|
|
|
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, 2020 were as follows:
IT Services | 7.9 | % | ||
Health Care Equipment & Supplies | 7.6 | |||
Internet & Direct Marketing Retail | 7.0 | |||
Software | 6.3 | |||
Textiles, Apparel & Luxury Goods | 6.1 | |||
Pharmaceuticals | 5.8 | |||
Affiliated Mutual Funds (4.7% represents investments purchased with collateral from securities on loan) | 5.3 | |||
Semiconductors & Semiconductor Equipment | 4.5 | |||
Beverages | 4.3 | |||
Professional Services | 4.1 | |||
Capital Markets | 3.5 | |||
Interactive Media & Services | 3.4 | |||
Personal Products | 3.0 | |||
Life Sciences Tools & Services | 2.8 | |||
Machinery | 2.7 | |||
Entertainment | 2.7 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Building Products | 2.4 | |||
Chemicals | 2.2 | |||
Insurance | 2.1 | |||
Trading Companies & Distributors | 2.0 | |||
Banks | 1.9 | |||
Automobiles | 1.7 | |||
Oil, Gas & Consumable Fuels | 1.4 | |||
Biotechnology | 1.1 |
Aerospace & Defense | 0.9 | % | ||
Diversified Consumer Services | 0.8 | |||
Hotels, Restaurants & Leisure | 0.7 | |||
Road & Rail | 0.7 | |||
Unaffiliated Fund | 0.7 | |||
Industrial Conglomerates | 0.6 | |||
Household Products | 0.6 | |||
Construction Materials | 0.6 | |||
Electrical Equipment | 0.6 | |||
Containers & Packaging | 0.5 | |||
Commercial Services & Supplies | 0.5 | |||
Electric Utilities | 0.5 | |||
Food Products | 0.5 | |||
Equity Real Estate Investment Trusts (REITs) | 0.5 | |||
Auto Components | 0.5 | |||
Air Freight & Logistics | 0.4 | |||
Multiline Retail | 0.3 | |||
Household Durables | 0.2 | |||
Food & Staples Retailing | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
|
| |||
104.7 | ||||
Liabilities in excess of other assets | (4.7 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
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 | $ | 3,866,428 | $ | (3,866,428 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $3,866,428: | ||||
Unaffiliated investments (cost $56,212,009) | $ | 84,078,291 | ||
Affiliated investments (cost $4,426,844) | 4,432,793 | |||
Foreign currency, at value (cost $63,390) | 64,367 | |||
Cash | 1,157 | |||
Tax reclaim receivable | 324,327 | |||
Dividends receivable | 59,007 | |||
Receivable for investments sold | 28,963 | |||
Receivable from affiliate | 768 | |||
Receivable for Portfolio shares sold | 450 | |||
Prepaid expenses | 155 | |||
|
| |||
Total Assets | 88,990,278 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 3,972,033 | |||
Payable to affiliate | 155,930 | |||
Accrued expenses and other liabilities | 100,318 | |||
Payable for Portfolio shares repurchased | 88,567 | |||
Payable for investments purchased | 51,367 | |||
Management fee payable | 46,769 | |||
Affiliated transfer agent fee payable | 926 | |||
Distribution fee payable | 28 | |||
Administration fee payable | 17 | |||
|
| |||
Total Liabilities | 4,415,955 | |||
|
| |||
NET ASSETS | $ | 84,574,323 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 84,574,323 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $84,433,564 / 8,785,250 outstanding shares of beneficial interest | $ | 9.61 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $140,759 / 15,246 outstanding shares of beneficial interest | $ | 9.23 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $72,597 foreign withholding tax, of which $10,465 is reimbursable by an affiliate) | $ | 545,678 | ||
Income from securities lending, net (including affiliated income of $4,807) | 5,838 | |||
Affiliated dividend income | 5,813 | |||
|
| |||
Total income | 557,329 | |||
|
| |||
EXPENSES | ||||
Management fee | 332,286 | |||
Distribution fee—Class II | 161 | |||
Administration fee—Class II | 97 | |||
Custodian and accounting fees | 73,560 | |||
Shareholders’ reports | 18,855 | |||
Audit fee | 15,068 | |||
Legal fees and expenses | 5,847 | |||
Trustees’ fees | 5,361 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 13,457 | |||
|
| |||
Total expenses | 470,004 | |||
Less: Fee waivers and/or expense reimbursement | (74,958 | ) | ||
|
| |||
Net expenses | 395,046 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 162,283 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(3,474)) | 1,370,271 | |||
Foreign currency transactions | (9,288 | ) | ||
|
| |||
1,360,983 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $5,638) | 1,137,285 | |||
Foreign currencies | 2,830 | |||
|
| |||
1,140,115 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 2,501,098 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,663,381 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 162,283 | $ | 511,862 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 1,360,983 | 4,000,687 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 1,140,115 | 17,472,656 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 2,663,381 | 21,985,205 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 2,118,957 | 2,564,427 | ||||||
Portfolio shares repurchased | (5,952,479 | ) | (9,145,577 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (3,833,522 | ) | (6,581,150 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 87,941 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (1,170,141 | ) | 15,491,996 | |||||
NET ASSETS: | ||||||||
Beginning of period | 85,744,464 | 70,252,468 | ||||||
|
|
|
| |||||
End of period | $ | 84,574,323 | $ | 85,744,464 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A6
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 an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”). The information presented in these financial statements pertains to the SP International Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.
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 reporting period-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 Portfolio’s 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 the Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, 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
B1
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 Rule 22e-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 Portfolio 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 Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) 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 Portfolio’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 investment 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.
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
B2
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 to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 in the Statement of Operations.
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 the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. 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 Financial, Inc. (“Prudential”) as referenced below. 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 the ex-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 entered into an investment management agreement with the Manager. 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, 2021 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, 2021 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 0.66% for the reporting period ended June 30, 2020.
The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I 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, 2020, brokerage commission recaptured under these agreements was $1,837.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential.
3. | Other Transactions with Affiliates |
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-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. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities Exchange Commission (“SEC”), the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no 17a-7 transactions were entered into by the Portfolio.
In March 2019, the following Portfolio was reimbursed by the Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for the affected Portfolio 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 year ended December 31, 2019.
Portfolio | Capital Contributions | |||
SP International Growth Portfolio | $ | 12 |
b.) Foreign Withholding Tax Reclaim Matters
In September 2019, the Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Manager’s ability to manage the Portfolio.
In February 2016, Prudential, the parent company of the Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The per share amount of opportunity loss payment to the Portfolios is disclosed in the 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
B5
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 Portfolio 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 NetAssets” and “Financial Highlights” as “Capital Contributions” for the fiscal years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Series Fund’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
Prudential instituted a process in consultation with the Series Fund’s independent trustees to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.
The following amount has been 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 a partnership for tax purposes.
Portfolio | 2020 Payments | |||
SP International Growth Portfolio | $ | 10,465 |
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 | 2020 Payments | |||
SP International Growth Portfolio | $ | 1,545 |
The following capital contributions, as described above, has been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolio’s status as a partnership for tax purposes.
Portfolio | Capital Contributions | |||
SP International Growth Portfolio | $ | 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, 2020, were $17,785,004 and $20,532,783, respectively.
B6
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, 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* | ||||||||||||||||||||||||||||||
$1,090,611 | $ | 7,654,250 | $ | 8,291,458 | $ | — | $ | — | $ | 453,403 | 453,403 | $ | 5,813 | |||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
2,068,861 | 13,147,652 | 11,239,287 | 5,638 | (3,474 | ) | 3,979,390 | 3,979,390 | 4,807 | ** | |||||||||||||||||||||
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$3,159,472 | $ | 20,801,902 | $ | 19,530,745 | $ | 5,638 | $ | (3,474 | ) | $ | 4,432,793 | $ | 10,620 | |||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
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. Since tax authorities can examine previously filed tax returns, the Portfolio’s U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
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 table below provides details of the current SCA in effect at the reporting period-end.
SCA | ||
Term of Commitment | 10/3/2019 – 10/1/2020 | |
Total Commitment | $ 1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | |
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent |
* | Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Portfolio did not utilize the SCA during the reporting period ended June 30, 2020.
B7
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 of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the 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, 2020, the following number of shares of the Portfolio were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
Portfolio | Number of Shares | Percentage of Outstanding Shares | ||||||
SP International Growth Portfolio—Class I | 8,785,250 | 100.0 | % |
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Affiliated | Unaffiliated | |||||||||||||||
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | Number of Shareholders | Percentage of Outstanding Shares | ||||||||||||
SP International Growth Portfolio | 3 | 95.1 | % | — | — | % |
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 241,699 | $ | 2,118,946 | |||||
Portfolio shares repurchased | (682,707 | ) | (5,949,389 | ) | ||||
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Net increase (decrease) in shares outstanding | (441,008 | ) | $ | (3,830,443 | ) | |||
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Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 315,282 | $ | 2,564,427 | |||||
Portfolio shares repurchased | (1,100,350 | ) | (9,130,186 | ) | ||||
Capital contributions | — | 87,795 | ||||||
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Net increase (decrease) in shares outstanding | (785,068 | ) | $ | (6,477,964 | ) | |||
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Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 1 | $ | 11 | |||||
Portfolio shares repurchased | (370 | ) | (3,090 | ) | ||||
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Net increase (decrease) in shares outstanding | (369 | ) | $ | (3,079 | ) | |||
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Year ended December 31, 2019: | ||||||||
Portfolio shares repurchased | (1,885 | ) | $ | (15,391 | ) | |||
Capital contributions | — | 146 | ||||||
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Net increase (decrease) in shares outstanding | (1,885 | ) | $ | (15,245 | ) | |||
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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. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.
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
B8
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.
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 Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
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.
B9
Financial Highlights
(Unaudited)
SP International Growth Portfolio—Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 9.28 | $ | 7.01 | $ | 8.05 | $ | 5.92 | $ | 6.14 | $ | 5.94 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.02 | 0.05 | 0.07 | 0.05 | 0.05 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.31 | 2.21 | (1.12 | ) | 2.08 | (0.28 | ) | 0.17 | ||||||||||||||||
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Total from investment operations | 0.33 | 2.26 | (1.05 | ) | 2.13 | (0.23 | ) | 0.20 | ||||||||||||||||
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Capital Contributions | — | 0.01 | (c)(d) | 0.01 | (d) | — | 0.01 | (e) | — | |||||||||||||||
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Net Asset Value, end of period | $ | 9.61 | $ | 9.28 | $ | 7.01 | $ | 8.05 | $ | 5.92 | $ | 6.14 | ||||||||||||
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Total Return(f) | 3.56 | % | 32.38 | %(g) | (12.92 | )%(h) | 35.98 | % | (3.58 | )%(i) | 3.37 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 84.4 | $ | 85.6 | $ | 70.1 | $ | 84.3 | $ | 63.9 | $ | 71.5 | ||||||||||||
Average net assets (in millions) | $ | 78.5 | $ | 79.6 | $ | 81.8 | $ | 75.1 | $ | 66.7 | $ | 76.2 | ||||||||||||
Ratios to average net assets(j): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.01 | %(k) | 1.01 | % | 1.01 | % | 1.01 | % | 1.03 | % | 1.22 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.20 | %(k) | 1.24 | % | 1.20 | % | 1.34 | % | 1.25 | % | 1.23 | % | ||||||||||||
Net investment income (loss) | 0.42 | %(k) | 0.64 | % | 0.83 | % | 0.67 | % | 0.80 | % | 0.51 | % | ||||||||||||
Portfolio turnover rate(l) | 23 | % | 26 | % | 37 | % | 45 | % | 57 | % | 48 | % |
SP International Growth Portfolio—Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 8.93 | $ | 6.77 | $ | 7.81 | $ | 5.76 | $ | 6.01 | $ | 5.83 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | — | (b) | 0.02 | 0.03 | 0.03 | 0.04 | 0.01 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.30 | 2.13 | (1.08 | ) | 2.02 | (0.30 | ) | 0.17 | ||||||||||||||||
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Total from investment operations | 0.30 | 2.15 | (1.05 | ) | 2.05 | (0.26 | ) | 0.18 | ||||||||||||||||
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Capital Contributions | — | 0.01 | (c)(d) | 0.01 | (d) | — | 0.01 | (e) | — | |||||||||||||||
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Net Asset Value, end of period | $ | 9.23 | $ | 8.93 | $ | 6.77 | $ | 7.81 | $ | 5.76 | $ | 6.01 | ||||||||||||
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Total Return(f) | 3.36 | % | 31.91 | %(g) | (13.32 | )%(h) | 35.59 | % | (4.16 | )%(i) | 3.09 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.3 | $ | 6.1 | ||||||||||||
Average net assets (in millions) | $ | 0.1 | $ | 0.1 | $ | 0.1 | $ | 0.3 | $ | 4.3 | $ | 6.8 | ||||||||||||
Ratios to average net assets(j): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.41 | %(k) | 1.41 | % | 1.41 | % | 1.41 | % | 1.43 | % | 1.62 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.60 | %(k) | 1.64 | % | 1.60 | % | 1.72 | % | 1.65 | % | 1.63 | % | ||||||||||||
Net investment income (loss) | 0.02 | %(k) | 0.24 | % | 0.44 | % | 0.39 | % | 0.61 | % | 0.13 | % | ||||||||||||
Portfolio turnover rate(l) | 23 | % | 26 | % | 37 | % | 45 | % | 57 | % | 48 | % |
(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 the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(d) | 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. |
(e) | 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. |
(f) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 32.24% and 31.76% 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 (13.04)% and (13.45)% for Class I and Class II, respectively. |
(i) | 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. |
(j) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(k) | Annualized. |
(l) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
The Prudential Series Fund
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolio’s investment manager, to serve as the administrator of the Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Portfolio’s investment strategies continue to be appropriate given the Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C2
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 June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, 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 a Portfolio-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 the day-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 the one-, three-, five- and ten-year periods ended December 31, 2019, 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 2019. 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 | 1st 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, 2021. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 1.01% of the Portfolio’s average daily net assets through June 30, 2021. |
• | 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 recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.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 at www.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.
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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) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 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, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. 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 each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report 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, 2020 |
∎ | 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, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This 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 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2020 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
SP Prudential U.S. Emerging Growth Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
O’Reilly Automotive, Inc. | Specialty Retail | 2.4% | ||||
Splunk, Inc. | Software | 2.0% | ||||
Tractor Supply Co. | Specialty Retail | 1.9% | ||||
Spotify Technology SA | Entertainment | 1.9% | ||||
Synopsys, Inc. | Software | 1.8% | ||||
Trade Desk, Inc. (The) (Class A Stock) | Software | 1.8% | ||||
ResMed, Inc. | Health Care Equipment & Supplies | 1.7% | ||||
Lululemon Athletica, Inc. | Textiles, Apparel & Luxury Goods | 1.5% | ||||
Teladoc Health, Inc. | Health Care Technology | 1.4% | ||||
Ball Corp. | Containers & Packaging | 1.4% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2020 |
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, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | 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 | $ | 1,115.60 | 0.68 | % | $ | 3.58 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.48 | 0.68 | % | $ | 3.42 | ||||||||||
SP Prudential US Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,113.30 | 1.08 | % | $ | 5.67 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.49 | 1.08 | % | $ | 5.42 |
* 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 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 99.2% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 0.7% | ||||||||
HEICO Corp. (Class A Stock) | 25,283 | $ | 2,053,991 | |||||
|
| |||||||
Automobiles — 1.4% | ||||||||
Tesla, Inc.*(a) | 1,823 | 1,968,494 | ||||||
Thor Industries, Inc.(a) | 21,619 | 2,303,072 | ||||||
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4,271,566 | ||||||||
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Banks — 1.0% | ||||||||
East West Bancorp, Inc. | 23,232 | 841,928 | ||||||
First Republic Bank | 21,062 | 2,232,361 | ||||||
|
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3,074,289 | ||||||||
|
| |||||||
Biotechnology — 5.3% | ||||||||
Agios Pharmaceuticals, Inc.* | 28,882 | 1,544,610 | ||||||
Alnylam Pharmaceuticals, Inc.* | 20,723 | 3,069,284 | ||||||
BioMarin Pharmaceutical, Inc.*(a) | 12,451 | 1,535,706 | ||||||
Exact Sciences Corp.*(a) | 35,331 | 3,071,677 | ||||||
Exelixis, Inc.* | 94,568 | 2,245,044 | ||||||
Intercept Pharmaceuticals, Inc.*(a) | 9,491 | 454,714 | ||||||
Neurocrine Biosciences, Inc.* | 18,604 | 2,269,688 | ||||||
Seattle Genetics, Inc.* | 9,009 | 1,530,809 | ||||||
|
| |||||||
15,721,532 | ||||||||
|
| |||||||
Building Products — 2.6% | ||||||||
AZEK Co., Inc. (The)* | 34,491 | 1,098,883 | ||||||
Fortune Brands Home & Security, Inc.(a) | 34,981 | 2,236,335 | ||||||
Trane Technologies PLC(a) | 23,724 | 2,110,962 | ||||||
Trex Co., Inc.*(a) | 17,654 | 2,296,256 | ||||||
|
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7,742,436 | ||||||||
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| |||||||
Capital Markets — 5.0% | ||||||||
Blackstone Group, Inc. (The) (Class A Stock)(a) | 20,739 | 1,175,072 | ||||||
Charles Schwab Corp. (The) | 40,004 | 1,349,735 | ||||||
Evercore, Inc. (Class A Stock) | 19,900 | 1,172,508 | ||||||
MarketAxess Holdings, Inc. | 6,691 | 3,351,656 | ||||||
MSCI, Inc. | 10,289 | 3,434,674 | ||||||
Nasdaq, Inc. | 14,527 | 1,735,540 | ||||||
S&P Global, Inc. | 4,971 | 1,637,845 | ||||||
TD Ameritrade Holding Corp. | 28,093 | 1,022,023 | ||||||
|
| |||||||
14,879,053 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.1% | ||||||||
Copart, Inc.* | 41,198 | 3,430,557 | ||||||
Waste Connections, Inc. | 29,064 | 2,725,913 | ||||||
|
| |||||||
6,156,470 | ||||||||
|
| |||||||
Communications Equipment — 0.8% | ||||||||
Arista Networks, Inc.*(a) | 10,930 | 2,295,628 | ||||||
|
| |||||||
Containers & Packaging — 2.0% | ||||||||
Avery Dennison Corp. | 16,711 | 1,906,558 | ||||||
Ball Corp. | 58,342 | 4,054,186 | ||||||
|
| |||||||
5,960,744 | ||||||||
|
| |||||||
Electrical Equipment — 2.0% | ||||||||
AMETEK, Inc. | 26,994 | 2,412,454 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electrical Equipment (cont’d.) |
| |||||||
Generac Holdings, Inc.* | 28,043 | $ | 3,419,283 | |||||
|
| |||||||
5,831,737 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.6% | ||||||||
Amphenol Corp. (Class A Stock) | 35,720 | 3,422,333 | ||||||
Keysight Technologies, Inc.* | 35,013 | 3,528,610 | ||||||
Zebra Technologies Corp. (Class A Stock)* | 14,871 | 3,806,233 | ||||||
|
| |||||||
10,757,176 | ||||||||
|
| |||||||
Entertainment — 3.1% | ||||||||
Spotify Technology SA*(a) | 22,293 | 5,755,830 | ||||||
Take-Two Interactive Software, Inc.* | 24,364 | 3,400,483 | ||||||
|
| |||||||
9,156,313 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.0% | ||||||||
Cooper Cos., Inc. (The) | 5,749 | 1,630,646 | ||||||
DexCom, Inc.* | 5,787 | 2,346,050 | ||||||
Insulet Corp.* | 14,430 | 2,803,172 | ||||||
ResMed, Inc. | 26,757 | 5,137,344 | ||||||
|
| |||||||
11,917,212 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% | ||||||||
Acadia Healthcare Co., Inc.*(a) | 34,337 | 862,545 | ||||||
Amedisys, Inc.* | 9,891 | 1,963,759 | ||||||
Centene Corp.* | 30,259 | 1,922,960 | ||||||
McKesson Corp. | 23,374 | 3,586,039 | ||||||
|
| |||||||
8,335,303 | ||||||||
|
| |||||||
Health Care Technology — 2.7% | ||||||||
Teladoc Health, Inc.*(a) | 21,402 | 4,084,358 | ||||||
Veeva Systems, Inc. (Class A Stock)*(a) | 17,133 | 4,016,318 | ||||||
|
| |||||||
8,100,676 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% | ||||||||
Chipotle Mexican Grill, Inc.* | 3,829 | 4,029,486 | ||||||
Las Vegas Sands Corp. | 37,046 | 1,687,075 | ||||||
|
| |||||||
5,716,561 | ||||||||
|
| |||||||
Household Durables — 2.4% | ||||||||
Garmin Ltd. | 37,882 | 3,693,495 | ||||||
Helen of Troy Ltd.*(a) | 8,105 | 1,528,279 | ||||||
NVR, Inc.* | 602 | 1,961,767 | ||||||
|
| |||||||
7,183,541 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.7% | ||||||||
Carlisle Cos., Inc. | 17,071 | 2,042,887 | ||||||
|
| |||||||
Insurance — 1.1% | ||||||||
Progressive Corp. (The) | 29,027 | 2,325,353 | ||||||
Selectquote, Inc.*(a) | 39,284 | 995,064 | ||||||
|
| |||||||
3,320,417 | ||||||||
|
| |||||||
Interactive Media & Services — 1.0% | ||||||||
Match Group, Inc.*(a) | 27,989 | 2,996,222 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.7% | ||||||||
Booking Holdings, Inc.* | 1,350 | 2,149,659 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services — 6.2% |
| |||||||
Booz Allen Hamilton Holding Corp. | 51,761 | $ | 4,026,488 | |||||
FleetCor Technologies, Inc.* | 11,719 | 2,947,680 | ||||||
Global Payments, Inc. | 18,760 | 3,182,071 | ||||||
MongoDB, Inc.*(a) | 11,929 | 2,700,010 | ||||||
Okta, Inc.* | 18,862 | 3,776,738 | ||||||
Square, Inc. (Class A Stock)* | 15,990 | 1,677,991 | ||||||
|
| |||||||
18,310,978 | ||||||||
|
| |||||||
Leisure Products — 0.6% | ||||||||
Brunswick Corp. | 26,515 | 1,697,225 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% | ||||||||
Illumina, Inc.* | 4,043 | 1,497,325 | ||||||
Mettler-Toledo International, Inc.* | 3,759 | 3,028,062 | ||||||
|
| |||||||
4,525,387 | ||||||||
|
| |||||||
Machinery — 3.1% | ||||||||
Ingersoll Rand, Inc.* | 54,957 | 1,545,391 | ||||||
ITT, Inc. | 30,737 | 1,805,491 | ||||||
Nordson Corp. | 15,592 | 2,957,958 | ||||||
Stanley Black & Decker, Inc. | 21,331 | 2,973,115 | ||||||
|
| |||||||
9,281,955 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
New York Times Co. (The) (Class A | 58,275 | 2,449,298 | ||||||
|
| |||||||
Pharmaceuticals — 3.2% | ||||||||
Catalent, Inc.* | 32,464 | 2,379,611 | ||||||
Horizon Therapeutics PLC* | 51,708 | 2,873,931 | ||||||
Jazz Pharmaceuticals PLC* | 18,527 | 2,044,269 | ||||||
Royalty Pharma PLC (Class A Stock)* | 43,146 | 2,094,738 | ||||||
|
| |||||||
9,392,549 | ||||||||
|
| |||||||
Professional Services — 4.3% | ||||||||
CoStar Group, Inc.* | 4,679 | 3,325,225 | ||||||
Equifax, Inc. | 18,249 | 3,136,638 | ||||||
FTI Consulting, Inc.* | 23,960 | 2,744,618 | ||||||
IHS Markit Ltd | 49,513 | 3,738,232 | ||||||
|
| |||||||
12,944,713 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% | ||||||||
CBRE Group, Inc. (Class A Stock)*(a) | 31,072 | 1,405,076 | ||||||
|
| |||||||
Road & Rail — 1.6% | ||||||||
Lyft, Inc. (Class A Stock)*(a) | 38,418 | 1,268,178 | ||||||
Old Dominion Freight Line, Inc. | 19,978 | 3,388,069 | ||||||
|
| |||||||
4,656,247 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.4% | ||||||||
Advanced Micro Devices, Inc.* | 50,164 | 2,639,128 | ||||||
Cree, Inc.*(a) | 14,920 | 883,115 | ||||||
Enphase Energy, Inc.*(a) | 67,918 | 3,230,859 | ||||||
Entegris, Inc.(a) | 46,587 | 2,750,962 | ||||||
KLA Corp. | 18,066 | 3,513,476 | ||||||
Lam Research Corp. | 6,701 | 2,167,506 | ||||||
Microchip Technology, Inc.(a) | 31,711 | 3,339,485 | ||||||
Xilinx, Inc. | 36,686 | 3,609,536 | ||||||
|
| |||||||
22,134,067 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Software — 13.7% |
| |||||||
Cadence Design Systems, Inc.* | 42,070 | $ | 4,037,037 | |||||
Coupa Software, Inc.*(a) | 7,497 | 2,076,969 | ||||||
Crowdstrike Holdings, Inc. (Class A Stock)* | 33,142 | 3,323,811 | ||||||
HubSpot, Inc.* | 10,676 | 2,395,161 | ||||||
Intuit, Inc. | 6,024 | 1,784,248 | ||||||
Medallia, Inc.*(a) | 31,474 | 794,404 | ||||||
RingCentral, Inc. (Class A Stock)* | 13,957 | 3,977,884 | ||||||
ServiceNow, Inc.* | 3,946 | 1,598,367 | ||||||
Slack Technologies, Inc. (Class A Stock)*(a) | 44,264 | 1,376,168 | ||||||
Splunk, Inc.* | 30,148 | 5,990,408 | ||||||
Synopsys, Inc.* | 27,016 | 5,268,120 | ||||||
Trade Desk, Inc. (The) (Class A | 12,908 | 5,247,102 | ||||||
Zscaler, Inc.*(a) | 25,020 | 2,739,690 | ||||||
|
| |||||||
40,609,369 | ||||||||
|
| |||||||
Specialty Retail — 7.9% | ||||||||
Burlington Stores, Inc.* | 12,338 | 2,429,722 | ||||||
CarMax, Inc.*(a) | 27,473 | 2,460,207 | ||||||
National Vision Holdings, Inc.*(a) | 53,058 | 1,619,330 | ||||||
O’Reilly Automotive, Inc.* | 16,802 | 7,084,900 | ||||||
Ross Stores, Inc. | 21,045 | 1,793,876 | ||||||
Tractor Supply Co. | 43,780 | 5,769,766 | ||||||
Ulta Beauty, Inc.* | 11,117 | 2,261,420 | ||||||
|
| |||||||
23,419,221 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
Lululemon Athletica, Inc.* | 14,511 | 4,527,577 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 295,017,075 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 16.3% |
| |||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond Fund(w) | 2,996,779 | 2,996,779 | ||||||
PGIM Institutional Money Market Fund | 45,300,307 | 45,300,307 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 48,297,086 | ||||||
|
| |||||||
TOTAL INVESTMENTS—115.5% |
| 343,314,161 | ||||||
Liabilities in excess of other assets — (15.5)% |
| (46,052,624 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 297,261,537 | ||||||
|
|
Below is a list of the abbreviation(s) used in the semiannual report:
LIBOR | — | London Interbank Offered Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
* | 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 $44,864,252; cash collateral of $45,170,133 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 2,053,991 | $ | — | $ | — | ||||||
Automobiles | 4,271,566 | — | — | |||||||||
Banks | 3,074,289 | — | — | |||||||||
Biotechnology | 15,721,532 | — | — | |||||||||
Building Products | 7,742,436 | — | — | |||||||||
Capital Markets | 14,879,053 | — | — | |||||||||
Commercial Services & Supplies | 6,156,470 | — | — | |||||||||
Communications Equipment | 2,295,628 | — | — | |||||||||
Containers & Packaging | 5,960,744 | — | — | |||||||||
Electrical Equipment | 5,831,737 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 10,757,176 | — | — | |||||||||
Entertainment | 9,156,313 | — | — | |||||||||
Health Care Equipment & Supplies | 11,917,212 | — | — | |||||||||
Health Care Providers & Services | 8,335,303 | — | — | |||||||||
Health Care Technology | 8,100,676 | — | — | |||||||||
Hotels, Restaurants & Leisure | 5,716,561 | — | — | |||||||||
Household Durables | 7,183,541 | — | — | |||||||||
Industrial Conglomerates | 2,042,887 | — | — | |||||||||
Insurance | 3,320,417 | — | — | |||||||||
Interactive Media & Services | 2,996,222 | — | — | |||||||||
Internet & Direct Marketing Retail | 2,149,659 | — | — | |||||||||
IT Services | 18,310,978 | — | — | |||||||||
Leisure Products | 1,697,225 | — | — | |||||||||
Life Sciences Tools & Services | 4,525,387 | — | — | |||||||||
Machinery | 9,281,955 | — | — | |||||||||
Media | 2,449,298 | — | — | |||||||||
Pharmaceuticals | 9,392,549 | — | — | |||||||||
Professional Services | 12,944,713 | — | — | |||||||||
Real Estate Management & Development | 1,405,076 | — | — | |||||||||
Road & Rail | 4,656,247 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 22,134,067 | — | — | |||||||||
Software | 40,609,369 | — | — | |||||||||
Specialty Retail | 23,419,221 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Textiles, Apparel & Luxury Goods | $ | 4,527,577 | $ | — | $ | — | ||||||
Affiliated Mutual Funds | 48,297,086 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 343,314,161 | $ | — | $ | — | ||||||
|
|
|
|
|
|
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, 2020 were as follows:
Affiliated Mutual Funds (15.2% represents investments purchased with collateral from securities on loan) | 16.3 | % | ||
Software | 13.7 | |||
Specialty Retail | 7.9 | |||
Semiconductors & Semiconductor Equipment | 7.4 | |||
IT Services | 6.2 | |||
Biotechnology | 5.3 | |||
Capital Markets | 5.0 | |||
Professional Services | 4.3 | |||
Health Care Equipment & Supplies | 4.0 | |||
Electronic Equipment, Instruments & Components | 3.6 | |||
Pharmaceuticals | 3.2 | |||
Machinery | 3.1 | |||
Entertainment | 3.1 | |||
Health Care Providers & Services | 2.8 | |||
Health Care Technology | 2.7 | |||
Building Products | 2.6 | |||
Household Durables | 2.4 | |||
Commercial Services & Supplies | 2.1 | |||
Containers & Packaging | 2.0 | |||
Electrical Equipment | 2.0 |
Hotels, Restaurants & Leisure | 1.9 | % | ||
Road & Rail | 1.6 | |||
Textiles, Apparel & Luxury Goods | 1.5 | |||
Life Sciences Tools & Services | 1.5 | |||
Automobiles | 1.4 | |||
Insurance | 1.1 | |||
Banks | 1.0 | |||
Interactive Media & Services | 1.0 | |||
Media | 0.8 | |||
Communications Equipment | 0.8 | |||
Internet & Direct Marketing Retail | 0.7 | |||
Aerospace & Defense | 0.7 | |||
Industrial Conglomerates | 0.7 | |||
Leisure Products | 0.6 | |||
Real Estate Management & Development | 0.5 | |||
|
| |||
115.5 | ||||
Liabilities in excess of other assets | (15.5 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 44,864,252 | $ | (44,864,252 | ) | $ | — | |||||
|
|
|
|
|
|
(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, 2020
ASSETS | ||||
Investments at value, including securities on loan of $44,864,252: | ||||
Unaffiliated investments (cost $218,109,869) | $ | 295,017,075 | ||
Affiliated investments (cost $48,190,840) | 48,297,086 | |||
Cash | 42,812 | |||
Dividends receivable | 71,424 | |||
Tax reclaim receivable | 13,879 | |||
Prepaid expenses | 304 | |||
|
| |||
Total Assets | 343,442,580 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 45,170,133 | |||
Payable for investments purchased | 485,321 | |||
Payable for Portfolio shares repurchased | 193,669 | |||
Accrued expenses and other liabilities | 176,961 | |||
Management fee payable | 144,652 | |||
Payable to affiliate | 9,253 | |||
Affiliated transfer agent fee payable | 926 | |||
Distribution fee payable | 80 | |||
Administration fee payable | 48 | |||
|
| |||
Total Liabilities | 46,181,043 | |||
|
| |||
NET ASSETS | $ | 297,261,537 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 297,261,537 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $296,881,200 / 14,176,861 outstanding shares of beneficial interest | $ | 20.94 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $380,337 / 19,441 outstanding shares of beneficial interest | $ | 19.56 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $2,049 foreign withholding tax) | $ | 773,426 | ||
Income from securities lending, net (including affiliated income of $79,623) | 99,248 | |||
Affiliated dividend income | 29,328 | |||
|
| |||
Total income | 902,002 | |||
|
| |||
EXPENSES | ||||
Management fee | 808,480 | |||
Distribution fee—Class II | 492 | |||
Administration fee—Class II | 295 | |||
Shareholders’ reports | 43,229 | |||
Custodian and accounting fees | 31,204 | |||
Audit fee | 13,774 | |||
Trustees’ fees | 6,180 | |||
Legal fees and expenses. | 6,124 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 8,539 | |||
|
| |||
Total expenses | 923,629 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | (21,627 | ) | ||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $(63,953)) | 23,841,610 | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $102,222) | 7,127,438 | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 30,969,048 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 30,947,421 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended | Year Ended | |||||||
June 30, 2020 | December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | (21,627 | ) | $ | (20,214 | ) | ||
Net realized gain (loss) on investment transactions | 23,841,610 | 49,633,228 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 7,127,438 | 29,910,391 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 30,947,421 | 79,523,405 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 7,636,092 | 9,574,970 | ||||||
Portfolio shares repurchased | (21,572,137 | ) | (24,181,462 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (13,936,045 | ) | (14,606,492 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 17,011,376 | 64,916,913 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 280,250,161 | 215,333,248 | ||||||
|
|
|
| |||||
End of period | $ | 297,261,537 | $ | 280,250,161 | ||||
|
|
|
|
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 an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”). 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 for purposes of the 1940 Act.
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 reporting period-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 Portfolio’s 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.
Investments in open-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
B1
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 Rule 22e-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 Portfolio 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 Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) 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 Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.
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 to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 in the Statement of Operations.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes
B2
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 Financial, Inc. (“Prudential”) as referenced below. 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 the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. | Agreements |
The Series Fund, on behalf of the Portfolio, has entered into an investment management agreement with the Manager. 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 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.
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 Rule 12b-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, 2020, brokerage commission recaptured under these agreements was $1,669.
PGIM Investments and PIMS are indirect, wholly-owned subsidiaries of Prudential.
B3
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 Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-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. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities Exchange Commission (“SEC”), the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no 17a-7 transactions were entered into by the Portfolio.
b.) | Foreign Withholding Tax Reclaim Matters |
As a result of the Portfolio’s tax status as a partnership, instead of a regulated investment company (RIC), the Portfolio is subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and is subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”).
Prudential has instituted a process to reimburse the Portfolio 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 Portfolio’s partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the Portfolio has the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid the Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by the Portfolio from a foreign tax authority for reclaims for which the 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 Portfolio 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 the Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolio does 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 a partnership for tax purposes.
Portfolio | 2020 Payments | |
SP Prudential U.S. Emerging Growth Portfolio | $1,366 |
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, 2020, were $105,762,245
B4
and $119,683,138, respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, 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* | ||||||||||||||||||||||||||||||
$ | 2,356,856 | $ | 44,357,429 | $ | 43,717,506 | $ | — | $ | — | $ | 2,996,779 | 2,996,779 | $ | 29,328 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
38,479,925 | 191,237,604 | 184,455,491 | 102,222 | (63,953 | ) | 45,300,307 | 45,300,307 | 79,623 | ** | |||||||||||||||||||||
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$ | 40,836,781 | $ | 235,595,033 | $ | 228,172,997 | $ | 102,222 | $ | (63,953 | ) | $ | 48,297,086 | $ | 108,951 | ||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
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. Since tax authorities can examine previously filed tax returns, the Portfolio’s U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
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 table below provides details of the current SCA in effect at the reporting period-end.
SCA | ||
Term of Commitment | 10/3/2019 – 10/1/2020 | |
Total Commitment | $ 1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | |
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent | |
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
B5
The Portfolio utilized the SCA during the reporting period ended June 30, 2020. The average daily balance for the 2 days that the Portfolio had loans outstanding during the period was approximately $273,000, borrowed at a weighted average interest rate of 2.87%. The maximum loan outstanding amount during the period was $416,000. At June 30, 2020, 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 of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the 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, 2020, the following number of shares of the Portfolio were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
Portfolio | Number of Shares | Percentage of Outstanding Shares | ||||
SP Prudential U.S. Emerging Growth Portfolio - Class I | 14,176,861 | 100.0 | % |
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Affiliated | Unaffiliated | |||||||||||||
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | Number of Shareholders | Percentage of Outstanding Shares | ||||||||||
SP Prudential U.S. Emerging Growth Portfolio | 2 | 99.4 | % | — | — | % |
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 423,192 | $ | 7,636,092 | |||||
Portfolio shares repurchased | (1,151,820 | ) | (21,437,442 | ) | ||||
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Net increase (decrease) in shares outstanding | (728,628 | ) | $ | (13,801,350 | ) | |||
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Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 561,212 | $ | 9,543,598 | |||||
Portfolio shares repurchased | (1,420,719 | ) | (23,926,134 | ) | ||||
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Net increase (decrease) in shares outstanding | (859,507 | ) | $ | (14,382,536 | ) | |||
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Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares repurchased | (7,430 | ) | $ | (134,695 | ) | |||
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Net increase (decrease) in shares outstanding | (7,430 | ) | $ | (134,695 | ) | |||
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Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 1,978 | $ | 31,372 | |||||
Portfolio shares repurchased | (16,204 | ) | (255,328 | ) | ||||
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Net increase (decrease) in shares outstanding | (14,226 | ) | $ | (223,956 | ) | |||
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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. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the 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.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
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Financial Highlights
(unaudited)
SP Prudential U.S. Emerging Growth Portfolio—Class I | ||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 18.77 | $ | 13.63 | $ | 14.79 | $ | 12.08 | $ | 11.58 | $ | 11.86 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (— | )(b) | (— | )(b) | 0.02 | 0.02 | 0.01 | — | (c) | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 2.17 | 5.14 | (1.18 | ) | 2.69 | 0.47 | (0.28 | ) | ||||||||||||||||
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Total from investment operations | 2.17 | 5.14 | (1.16 | ) | 2.71 | 0.48 | (0.28 | ) | ||||||||||||||||
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Capital Contributions | — | — | — | (c)(d) | — | 0.02 | (e) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 20.94 | $ | 18.77 | $ | 13.63 | $ | 14.79 | $ | 12.08 | $ | 11.58 | ||||||||||||
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Total Return(f) | 11.56 | % | 37.71 | % | (7.84 | )%(g) | 22.43 | % | 4.32 | %(h) | (2.36 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 296.9 | $ | 279.8 | $ | 214.8 | $ | 249.8 | $ | 217.7 | $ | 223.3 | ||||||||||||
Average net assets (in millions) | $ | 270.6 | $ | 257.0 | $ | 248.2 | $ | 235.7 | $ | 215.0 | $ | 244.7 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.68 | %(j) | 0.70 | % | 0.68 | % | 0.71 | % | 0.69 | % | 0.67 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.68 | %(j) | 0.70 | % | 0.68 | % | 0.71 | % | 0.69 | % | 0.67 | % | ||||||||||||
Net investment income (loss) | (0.02 | )%(j) | (0.01 | )% | 0.15 | % | 0.18 | % | 0.10 | % | (0.01 | )% | ||||||||||||
Portfolio turnover rate(k) | 39 | % | 106 | % | 43 | % | 39 | % | 35 | % | 34 | % | ||||||||||||
SP Prudential U.S. Emerging Growth Portfolio—Class II | ||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 17.57 | $ | 12.81 | $ | 13.95 | $ | 11.44 | $ | 11.02 | $ | 11.33 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | ) | (0.06 | ) | (0.03 | ) | (0.03 | ) | (0.03 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 2.03 | 4.82 | (1.11 | ) | 2.54 | 0.43 | (0.26 | ) | ||||||||||||||||
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Total from investment operations | 1.99 | 4.76 | (1.14 | ) | 2.51 | 0.40 | (0.31 | ) | ||||||||||||||||
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Capital Contributions | — | — | — | (c)(d) | — | 0.02 | (e) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 19.56 | $ | 17.57 | $ | 12.81 | $ | 13.95 | $ | 11.44 | $ | 11.02 | ||||||||||||
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Total Return(f) | 11.33 | % | 37.16 | % | (8.17 | )%(g) | 21.94 | % | 3.81 | %(h) | (2.74 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 0.4 | $ | 0.5 | $ | 0.5 | $ | 0.6 | $ | 0.8 | $ | 0.8 | ||||||||||||
Average net assets (in millions) | $ | 0.4 | $ | 0.6 | $ | 0.6 | $ | 0.8 | $ | 0.8 | $ | 1.0 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.08 | %(j) | 1.10 | % | 1.08 | % | 1.10 | % | 1.09 | % | 1.07 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.08 | %(j) | 1.10 | % | 1.08 | % | 1.10 | % | 1.09 | % | 1.07 | % | ||||||||||||
Net investment income (loss) | (0.42 | )%(j) | (0.40 | )% | (0.24 | )% | (0.22 | )% | (0.30 | )% | (0.40 | )% | ||||||||||||
Portfolio turnover rate(k) | 39 | % | 106 | % | 43 | % | 39 | % | 35 | % | 34 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Less than $(0.005) per share. |
(c) | Less than $0.005 per share. |
(d) | 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. |
(e) | 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. |
(f) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(g) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(h) | 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. |
(i) | Does not include expenses of the investment companies 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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
The Prudential Series Fund
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolio’s investment manager, to serve as the administrator of the Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Portfolio’s investment strategies continue to be appropriate given the Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements: SP Prudential U.S. Emerging Growth
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 Prudential U.S. Emerging Growth Portfolio’s (the Portfolio’s) subadvisory agreement with J.P. Morgan Investment Management, Inc. (JPMorgan 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 June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, 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 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 a Portfolio-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 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 the 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 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 the day-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. 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 the one-, three-, five- and ten-year periods ended December 31, 2019, 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 2019. 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 Prudential U.S. Emerging Growth Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 4th Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one-year period, though it underperformed its benchmark index over all other 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 performance prior to January 2019 was not attributable to the Portfolio’s current subadviser and that the current subadviser should be afforded more time to have a meaningful influence on the Portfolio’s track record. |
• | 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 recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.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 at www.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) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 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, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. 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 each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report 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, 2020 |
∎ | 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, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This 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 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2020 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
SP Small Cap Value Portfolio |
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Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
iShares Russell 2000 Value ETF | Exchange-Traded Fund | 1.7% | ||||
STAG Industrial, Inc. | Equity Real Estate Investment Trusts (REITs) | 1.2% | ||||
Rexnord Corp. | Machinery | 1.0% | ||||
ONE Gas, Inc. | Gas Utilities | 1.0% | ||||
Meritage Homes Corp. | Household Durables | 1.0% | ||||
Darling Ingredients, Inc. | Food Products | 1.0% | ||||
Portland General Electric Co. | Electric Utilities | 1.0% | ||||
KBR, Inc. | IT Services | 1.0% | ||||
Terreno Realty Corp. | Equity Real Estate Investment Trusts (REITs) | 0.9% | ||||
Stifel Financial Corp. | Capital Markets | 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.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2020 |
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, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning January 1, 2020 | Ending June 30, 2020 | 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 | $ | 753.10 | 1.02 | % | $ | 4.45 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.79 | 1.02 | % | $ | 5.12 |
* 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 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP SMALL CAP VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 98.7% | ||||||||
COMMON STOCKS — 97.0% | Shares | Value | ||||||
Aerospace & Defense — 1.0% | ||||||||
AAR Corp. | 17,243 | $ | 356,413 | |||||
Aerojet Rocketdyne Holdings, Inc.* | 13,293 | 526,935 | ||||||
Curtiss-Wright Corp. | 4,980 | 444,614 | ||||||
Ducommun, Inc.* | 11,528 | 401,981 | ||||||
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1,729,943 | ||||||||
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Air Freight & Logistics — 0.5% | ||||||||
Air Transport Services Group, Inc.* | 15,761 | 350,998 | ||||||
Hub Group, Inc. (Class A Stock)* | 10,027 | 479,892 | ||||||
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830,890 | ||||||||
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Airlines — 0.6% | ||||||||
Allegiant Travel Co. | 3,446 | 376,338 | ||||||
SkyWest, Inc. | 17,647 | 575,645 | ||||||
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951,983 | ||||||||
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Auto Components — 1.0% | ||||||||
Adient PLC* | 58,522 | 960,931 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 26,684 | 202,798 | ||||||
Cooper Tire & Rubber Co. | 6,598 | 182,171 | ||||||
Visteon Corp.* | 4,924 | 337,294 | ||||||
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1,683,194 | ||||||||
|
| |||||||
Banks — 16.3% | ||||||||
Amalgamated Bank (Class A Stock) | 15,045 | 190,169 | ||||||
Ameris Bancorp. | 46,975 | 1,108,140 | ||||||
Atlantic Union Bankshares Corp. | 44,296 | 1,025,895 | ||||||
BancorpSouth Bank | 51,644 | 1,174,385 | ||||||
Bank of Hawaii Corp. | 4,338 | 266,397 | ||||||
Banner Corp. | 30,527 | 1,160,026 | ||||||
Brookline Bancorp, Inc. | 57,253 | 577,110 | ||||||
Bryn Mawr Bank Corp. | 10,065 | 278,398 | ||||||
Columbia Banking System, Inc. | 50,799 | 1,439,898 | ||||||
Community Bank System, Inc.(a) | 23,577 | 1,344,361 | ||||||
ConnectOne Bancorp, Inc. | 37,626 | 606,531 | ||||||
CVB Financial Corp. | 69,325 | 1,299,150 | ||||||
FB Financial Corp.(a) | 30,823 | 763,486 | ||||||
First Financial Bankshares, Inc.(a) | 37,471 | 1,082,537 | ||||||
First Merchants Corp. | 39,713 | 1,094,887 | ||||||
First Midwest Bancorp, Inc. | 37,792 | 504,523 | ||||||
First of Long Island Corp. (The) | 7,993 | 130,606 | ||||||
German American Bancorp, Inc. | 17,164 | 533,800 | ||||||
Glacier Bancorp, Inc. | 41,650 | 1,469,828 | ||||||
Great Western Bancorp, Inc. | 31,132 | 428,376 | ||||||
Heritage Financial Corp. | 26,807 | 536,140 | ||||||
Home BancShares, Inc. | 51,326 | 789,394 | ||||||
Independent Bank Corp.(a) | 21,758 | 1,459,744 | ||||||
Lakeland Financial Corp. | 25,377 | 1,182,314 | ||||||
OceanFirst Financial Corp. | 45,249 | 797,740 | ||||||
Pacific Premier Bancorp, Inc. | 37,089 | 804,090 | ||||||
Pinnacle Financial Partners, Inc. | 18,129 | 761,237 | ||||||
Renasant Corp. | 49,825 | 1,240,643 | ||||||
Sandy Spring Bancorp, Inc. | 11,913 | 295,204 | ||||||
South State Corp. | 31,128 | 1,483,560 | ||||||
Towne Bank | 24,331 | 458,396 | ||||||
TriCo Bancshares | 22,986 | 699,924 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (cont’d.) | ||||||||
United Community Banks, Inc. | 59,758 | $ | 1,202,331 | |||||
|
| |||||||
28,189,220 | ||||||||
|
| |||||||
Biotechnology — 0.6% | ||||||||
Arena Pharmaceuticals, Inc.* | 9,742 | 613,259 | ||||||
Emergent BioSolutions, Inc.* | 6,211 | 491,166 | ||||||
|
| |||||||
1,104,425 | ||||||||
|
| |||||||
Building Products — 1.3% | ||||||||
AZEK Co., Inc. (The)* | 13,632 | 434,315 | ||||||
Gibraltar Industries, Inc.* | 10,665 | 512,027 | ||||||
Griffon Corp.(a) | 32,333 | 598,807 | ||||||
Patrick Industries, Inc. | 12,304 | 753,620 | ||||||
|
| |||||||
2,298,769 | ||||||||
|
| |||||||
Capital Markets — 2.2% | ||||||||
Hamilton Lane, Inc. (Class A Stock) | 11,292 | 760,742 | ||||||
Houlihan Lokey, Inc. | 12,888 | 717,088 | ||||||
PJT Partners, Inc. (Class A Stock) | 9,899 | 508,215 | ||||||
Stifel Financial Corp. | 34,209 | 1,622,533 | ||||||
Virtu Financial, Inc. (Class A Stock) | 10,958 | 258,609 | ||||||
|
| |||||||
3,867,187 | ||||||||
|
| |||||||
Chemicals — 1.8% | ||||||||
HB Fuller Co. | 13,010 | 580,246 | ||||||
PolyOne Corp. | 57,493 | 1,508,041 | ||||||
Quaker Chemical Corp. | 1,450 | 269,192 | ||||||
Stepan Co. | 2,866 | 278,289 | ||||||
W R Grace & Co. | 10,286 | 522,632 | ||||||
|
| |||||||
3,158,400 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
ABM Industries, Inc. | 24,483 | 888,733 | ||||||
Brady Corp. (Class A Stock) | 12,573 | 588,668 | ||||||
Casella Waste Systems, Inc. (Class A Stock)* | 11,878 | 619,081 | ||||||
Herman Miller, Inc. | 26,208 | 618,771 | ||||||
|
| |||||||
2,715,253 | ||||||||
|
| |||||||
Communications Equipment — 1.1% | ||||||||
InterDigital, Inc. | 5,472 | 309,880 | ||||||
NetScout Systems, Inc.*(a) | 31,400 | 802,584 | ||||||
Viavi Solutions, Inc.* | 57,161 | 728,231 | ||||||
|
| |||||||
1,840,695 | ||||||||
|
| |||||||
Construction & Engineering — 1.6% | ||||||||
AECOM* | 16,854 | 633,373 | ||||||
EMCOR Group, Inc. | 15,929 | 1,053,544 | ||||||
MasTec, Inc.*(a) | 24,031 | 1,078,271 | ||||||
|
| |||||||
2,765,188 | ||||||||
|
| |||||||
Construction Materials — 0.4% | ||||||||
Summit Materials, Inc. (Class A Stock)* | 47,064 | 756,789 | ||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
FirstCash, Inc. | 7,346 | 495,708 | ||||||
Green Dot Corp. (Class A Stock)* | 6,039 | 296,394 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Consumer Finance (cont’d.) | ||||||||
Oportun Financial Corp.* | 10,861 | $ | 145,972 | |||||
|
| |||||||
938,074 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
Graphic Packaging Holding Co. | 46,352 | 648,464 | ||||||
|
| |||||||
Diversified Consumer Services — 0.3% | ||||||||
Laureate Education, Inc. (Class A Stock)* | 42,580 | 424,310 | ||||||
|
| |||||||
Diversified Financial Services — 0.4% | ||||||||
Alerus Financial Corp. | 7,231 | 142,884 | ||||||
Collier Creek Holdings (Class A Stock)* | 44,378 | 607,979 | ||||||
|
| |||||||
750,863 | ||||||||
|
| |||||||
Electric Utilities — 3.2% | ||||||||
ALLETE, Inc. | 23,939 | 1,307,309 | ||||||
IDACORP, Inc. | 5,921 | 517,318 | ||||||
MGE Energy, Inc. | 8,855 | 571,236 | ||||||
PNM Resources, Inc. | 37,942 | 1,458,490 | ||||||
Portland General Electric Co. | 39,055 | 1,632,890 | ||||||
|
| |||||||
5,487,243 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% | ||||||||
nVent Electric PLC | 27,158 | 508,669 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.2% |
| |||||||
CTS Corp. | 19,757 | 395,930 | ||||||
FARO Technologies, Inc.* | 11,356 | 608,682 | ||||||
II-VI, Inc.*(a) | 7,148 | 337,529 | ||||||
Knowles Corp.* | 42,979 | 655,859 | ||||||
Rogers Corp.* | 4,461 | 555,841 | ||||||
SYNNEX Corp. | 3,314 | 396,918 | ||||||
TTM Technologies, Inc.* | 65,034 | 771,303 | ||||||
|
| |||||||
3,722,062 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.9% | ||||||||
Cactus, Inc. (Class A Stock) | 30,788 | 635,156 | ||||||
ChampionX Corp.* | 101,277 | 988,464 | ||||||
|
| |||||||
1,623,620 | ||||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
Live Nation Entertainment, Inc.* | 1,659 | 73,543 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.6% |
| |||||||
Acadia Realty Trust | 53,008 | 688,044 | ||||||
Columbia Property Trust, Inc. | 60,864 | 799,753 | ||||||
CyrusOne, Inc. | 19,791 | 1,439,795 | ||||||
Healthcare Realty Trust, Inc. | 52,969 | 1,551,462 | ||||||
Hudson Pacific Properties, Inc. | 30,941 | 778,476 | ||||||
Life Storage, Inc. | 7,532 | 715,163 | ||||||
National Health Investors, Inc. | 14,257 | 865,685 | ||||||
Park Hotels & Resorts, Inc. | 51,815 | 512,450 | ||||||
Pebblebrook Hotel Trust(a) | 69,772 | 953,086 | ||||||
Physicians Realty Trust | 69,392 | 1,215,748 | ||||||
Preferred Apartment Communities, Inc. | 28,782 | 218,743 | ||||||
PS Business Parks, Inc. | 10,948 | 1,449,515 | ||||||
RLJ Lodging Trust | 90,781 | 856,973 | ||||||
Safehold, Inc.(a) | 15,090 | 867,524 | ||||||
STAG Industrial, Inc. | 69,164 | 2,027,889 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) | ||||||||
Terreno Realty Corp. | 30,899 | $ | 1,626,523 | |||||
|
| |||||||
16,566,829 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 9,953 | 370,948 | ||||||
Grocery Outlet Holding Corp.* | 9,424 | 384,499 | ||||||
Performance Food Group Co.* | 43,576 | 1,269,805 | ||||||
|
| |||||||
2,025,252 | ||||||||
|
| |||||||
Food Products — 1.8% | ||||||||
Darling Ingredients, Inc.* | 67,547 | 1,663,007 | ||||||
Hostess Brands, Inc.* | 62,237 | 760,536 | ||||||
Nomad Foods Ltd. (United Kingdom)* | 24,301 | 521,257 | ||||||
Simply Good Foods Co. (The)* | 9,049 | 168,130 | ||||||
|
| |||||||
3,112,930 | ||||||||
|
| |||||||
Gas Utilities — 1.5% | ||||||||
Chesapeake Utilities Corp. | 10,798 | 907,032 | ||||||
ONE Gas, Inc. | 22,635 | 1,744,027 | ||||||
|
| |||||||
2,651,059 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% | ||||||||
Avanos Medical, Inc.* | 28,486 | 837,203 | ||||||
CONMED Corp. | 11,788 | 848,618 | ||||||
Globus Medical, Inc. (Class A Stock)* | 14,977 | 714,553 | ||||||
Merit Medical Systems, Inc.* | 11,861 | 541,455 | ||||||
Mesa Laboratories, Inc.(a) | 2,138 | 463,518 | ||||||
|
| |||||||
3,405,347 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.2% | ||||||||
Acadia Healthcare Co., Inc.*(a) | 32,415 | 814,265 | ||||||
AMN Healthcare Services, Inc.* | 6,463 | 292,386 | ||||||
Magellan Health, Inc.* | 6,856 | 500,351 | ||||||
Tenet Healthcare Corp.* | 26,381 | 477,760 | ||||||
|
| |||||||
2,084,762 | ||||||||
|
| |||||||
Health Care Technology — 0.7% | ||||||||
Allscripts Healthcare Solutions, Inc.*(a) | 45,283 | 306,566 | ||||||
HMS Holdings Corp.* | 17,463 | 565,627 | ||||||
Vocera Communications, Inc.* | 15,375 | 325,950 | ||||||
|
| |||||||
1,198,143 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% | ||||||||
Boyd Gaming Corp. | 31,994 | 668,675 | ||||||
Brinker International, Inc. | 21,592 | 518,208 | ||||||
Eldorado Resorts, Inc.*(a) | 13,599 | 544,776 | ||||||
Jack in the Box, Inc. | 12,619 | 934,942 | ||||||
Marriott Vacations Worldwide Corp. | 15,119 | 1,242,933 | ||||||
Papa John’s International, Inc.(a) | 3,894 | 309,222 | ||||||
Penn National Gaming, Inc.*(a) | 7,973 | 243,495 | ||||||
Texas Roadhouse, Inc. | 8,833 | 464,351 | ||||||
|
| |||||||
4,926,602 | ||||||||
|
| |||||||
Household Durables — 2.1% | ||||||||
Helen of Troy Ltd.* | 2,830 | 533,625 | ||||||
KB Home | 20,261 | 621,608 | ||||||
Meritage Homes Corp.* | 22,691 | 1,727,239 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Durables (cont’d.) | ||||||||
TopBuild Corp.* | 6,685 | $ | 760,552 | |||||
|
| |||||||
3,643,024 | ||||||||
|
| |||||||
Insurance — 4.4% | ||||||||
AMERISAFE, Inc. | 9,434 | 576,983 | ||||||
BRP Group, Inc. (Class A Stock)* | 22,428 | 387,332 | ||||||
CNO Financial Group, Inc. | 16,650 | 259,241 | ||||||
Enstar Group Ltd. (Bermuda)* | 5,404 | 825,569 | ||||||
Kemper Corp. | 10,743 | 779,082 | ||||||
Kinsale Capital Group, Inc. | 6,277 | 974,253 | ||||||
Palomar Holdings, Inc.* | 9,875 | 846,880 | ||||||
Primerica, Inc. | 7,675 | 894,905 | ||||||
RLI Corp. | 11,664 | 957,614 | ||||||
Selective Insurance Group, Inc. | 22,113 | 1,166,240 | ||||||
|
| |||||||
7,668,099 | ||||||||
|
| |||||||
IT Services — 1.6% | ||||||||
CACI International, Inc. (Class A Stock)* | 2,600 | 563,888 | ||||||
KBR, Inc. | 72,167 | 1,627,366 | ||||||
ManTech International Corp. (Class A Stock) | 8,170 | 559,563 | ||||||
|
| |||||||
2,750,817 | ||||||||
|
| |||||||
Leisure Products — 0.9% | ||||||||
BRP, Inc. | 10,990 | 467,954 | ||||||
Callaway Golf Co.(a) | 34,028 | 595,831 | ||||||
Malibu Boats, Inc. (Class A Stock)* | 7,897 | 410,249 | ||||||
|
| |||||||
1,474,034 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% | ||||||||
Luminex Corp. | 18,461 | 600,537 | ||||||
PRA Health Sciences, Inc.* | 5,539 | 538,889 | ||||||
Syneos Health, Inc.* | 12,108 | 705,291 | ||||||
|
| |||||||
1,844,717 | ||||||||
|
| |||||||
Machinery — 6.3% | ||||||||
Astec Industries, Inc. | 8,691 | 402,480 | ||||||
Chart Industries, Inc.* | 10,906 | 528,832 | ||||||
CIRCOR International, Inc.* | 12,680 | 323,086 | ||||||
Colfax Corp.*(a) | 32,729 | 913,139 | ||||||
Columbus McKinnon Corp. | 18,220 | 609,459 | ||||||
Enerpac Tool Group Corp. | 28,233 | 496,901 | ||||||
Federal Signal Corp. | 25,082 | 745,688 | ||||||
Kennametal, Inc. | 42,436 | 1,218,338 | ||||||
Navistar International Corp.* | 11,060 | 311,892 | ||||||
Rexnord Corp. | 61,266 | 1,785,904 | ||||||
SPX FLOW, Inc.* | 26,992 | 1,010,580 | ||||||
Timken Co. (The) | 20,980 | 954,380 | ||||||
TriMas Corp.* | 33,083 | 792,338 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 9,344 | 756,864 | ||||||
|
| |||||||
10,849,881 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
Nexstar Media Group, Inc. (Class A Stock) | 12,250 | 1,025,202 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Media (cont’d.) | ||||||||
TEGNA, Inc. | 29,526 | $ | 328,920 | |||||
|
| |||||||
1,354,122 | ||||||||
|
| |||||||
Metals & Mining — 1.7% | ||||||||
Cleveland-Cliffs, Inc.(a) | 82,544 | 455,643 | ||||||
Commercial Metals Co. | 44,759 | 913,084 | ||||||
Constellium SE* | 75,218 | 577,674 | ||||||
Sandstorm Gold Ltd. (Canada)* | 69,403 | 667,657 | ||||||
Warrior Met Coal, Inc. | 21,608 | 332,547 | ||||||
|
| |||||||
2,946,605 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.7% |
| |||||||
Blackstone Mortgage Trust, Inc. (Class A Stock) | 3,198 | 77,040 | ||||||
KKR Real Estate Finance Trust, Inc. | 50,852 | 843,126 | ||||||
PennyMac Mortgage Investment Trust | 69,795 | 1,223,507 | ||||||
Two Harbors Investment Corp.(a) | 160,630 | 809,575 | ||||||
|
| |||||||
2,953,248 | ||||||||
|
| |||||||
Multiline Retail — 0.1% | ||||||||
Big Lots, Inc. | 2,502 | 105,084 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.9% | ||||||||
Brigham Minerals, Inc. (Class A Stock) | 42,122 | 520,207 | ||||||
Euronav NV (Belgium) | 58,184 | 474,200 | ||||||
Falcon Minerals Corp.(a) | 61,745 | 197,584 | ||||||
Golar LNG Ltd. (Cameroon)*(a) | 60,984 | 441,524 | ||||||
Noble Energy, Inc. | 58,986 | 528,515 | ||||||
Parsley Energy, Inc. (Class A Stock) | 77,689 | 829,718 | ||||||
Rattler Midstream, MLP | 35,640 | 345,708 | ||||||
Viper Energy Partners, MLP | 84,003 | 870,271 | ||||||
WPX Energy, Inc.* | 118,601 | 756,674 | ||||||
|
| |||||||
4,964,401 | ||||||||
|
| |||||||
Personal Products — 0.3% | ||||||||
BellRing Brands, Inc. (Class A Stock)* | 20,111 | 401,013 | ||||||
Edgewell Personal Care Co.* | 6,098 | 190,014 | ||||||
|
| |||||||
591,027 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
Prestige Consumer Healthcare, Inc.* | 19,072 | 716,344 | ||||||
|
| |||||||
Professional Services — 1.2% | ||||||||
ASGN, Inc.* | 17,814 | 1,187,838 | ||||||
FTI Consulting, Inc.* | 3,208 | 367,476 | ||||||
ICF International, Inc. | 8,750 | 567,262 | ||||||
|
| |||||||
2,122,576 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.3% |
| |||||||
Kennedy-Wilson Holdings, Inc. | 38,041 | 578,984 | ||||||
|
| |||||||
Road & Rail — 1.3% | ||||||||
ArcBest Corp. | 10,208 | 270,614 | ||||||
Marten Transport Ltd. | 28,427 | 715,223 | ||||||
Saia, Inc.* | 8,384 | 932,133 | ||||||
Werner Enterprises, Inc. | 8,024 | 349,285 | ||||||
|
| |||||||
2,267,255 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.7% |
| |||||||
FormFactor, Inc.* | 7,700 | 225,841 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (cont’d.) |
| |||||||
Lattice Semiconductor Corp.* | 22,677 | $ | 643,800 | |||||
MACOM Technology Solutions Holdings, Inc.* | 688 | 23,633 | ||||||
MKS Instruments, Inc. | 4,825 | 546,383 | ||||||
Onto Innovation, Inc.* | 24,896 | 847,460 | ||||||
Semtech Corp.* | 11,098 | 579,537 | ||||||
|
| |||||||
2,866,654 | ||||||||
|
| |||||||
Software — 1.0% | ||||||||
Bottomline Technologies DE, Inc.* | 13,606 | 690,777 | ||||||
Cloudera, Inc.*(a) | 34,384 | 437,364 | ||||||
Verint Systems, Inc.* | 12,792 | 577,943 | ||||||
|
| |||||||
1,706,084 | ||||||||
|
| |||||||
Specialty Retail — 2.8% | ||||||||
Burlington Stores, Inc.* | 2,193 | 431,867 | ||||||
Five Below, Inc.* | 4,274 | 456,933 | ||||||
Lithia Motors, Inc. (Class A Stock) | 6,368 | 963,669 | ||||||
Michaels Cos., Inc. (The)* | 83,622 | 591,208 | ||||||
Rent-A-Center, Inc. | 25,150 | 699,673 | ||||||
RH*(a) | 2,420 | 602,338 | ||||||
Sally Beauty Holdings, Inc.* | 3,007 | 37,678 | ||||||
Sonic Automotive, Inc. (Class A Stock) | 16,766 | 535,003 | ||||||
Zumiez, Inc.* | 19,675 | 538,702 | ||||||
|
| |||||||
4,857,071 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% |
| |||||||
Crocs, Inc.* | 21,468 | 790,452 | ||||||
Deckers Outdoor Corp.* | 3,034 | 595,847 | ||||||
Wolverine World Wide, Inc. | 32,058 | 763,301 | ||||||
|
| |||||||
2,149,600 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 2.2% | ||||||||
MGIC Investment Corp. | 109,659 | 898,107 | ||||||
NMI Holdings, Inc. (Class A Stock)* | 40,921 | 658,010 | ||||||
Provident Financial Services, Inc. | 32,298 | 466,706 | ||||||
Walker & Dunlop, Inc. | 13,960 | 709,308 | ||||||
Washington Federal, Inc. | 42,443 | 1,139,170 | ||||||
|
| |||||||
3,871,301 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.4% |
| |||||||
Beacon Roofing Supply, Inc.* | 21,784 | 574,444 | ||||||
BMC Stock Holdings, Inc.* | 27,735 | 697,258 | ||||||
Herc Holdings, Inc.* | 15,198 | 467,034 | ||||||
Kaman Corp. | 18,126 | 754,042 | ||||||
|
| |||||||
2,492,778 | ||||||||
|
| |||||||
Water Utilities — 0.4% | ||||||||
SJW Group | 11,129 | 691,222 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 167,504,636 | |||||||
|
|
EXCHANGE-TRADED FUND — 1.7% | Shares | Value | ||||||
iShares Russell 2000 Value ETF(a) | 29,213 | $ | 2,847,099 | |||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS | 170,351,735 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 11.8% |
| |||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond Fund(w) | 4,119,501 | 4,119,501 | ||||||
PGIM Institutional Money Market Fund (cost $16,207,927; includes $16,201,005 of cash collateral for securities on loan)(b)(w) | 16,222,151 | 16,222,151 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 20,341,652 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 110.5% |
| 190,693,387 | ||||||
Liabilities in excess of |
| (18,055,189 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 172,638,198 | ||||||
|
|
Below is a list of the abbreviation(s) used in the semiannual report:
ETF — Exchange-Traded Fund
LIBOR — London Interbank Offered Rate
MLP — Master Limited Partnership
REITs — Real Estate Investment Trust
* | 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 $15,981,795; cash collateral of $16,201,005 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. (w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
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, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 1,729,943 | $ | — | $ | — | ||||||
Air Freight & Logistics | 830,890 | — | — | |||||||||
Airlines | 951,983 | — | — | |||||||||
Auto Components | 1,683,194 | — | — | |||||||||
Banks | 28,189,220 | — | — | |||||||||
Biotechnology | 1,104,425 | — | — | |||||||||
Building Products | 2,298,769 | — | — | |||||||||
Capital Markets | 3,867,187 | — | — | |||||||||
Chemicals | 3,158,400 | — | — | |||||||||
Commercial Services & Supplies | 2,715,253 | — | — | |||||||||
Communications Equipment | 1,840,695 | — | — | |||||||||
Construction & Engineering | 2,765,188 | — | — | |||||||||
Construction Materials | 756,789 | — | — | |||||||||
Consumer Finance | 938,074 | — | — | |||||||||
Containers & Packaging | 648,464 | — | — | |||||||||
Diversified Consumer Services | 424,310 | — | — | |||||||||
Diversified Financial Services | 750,863 | — | — | |||||||||
Electric Utilities | 5,487,243 | — | — | |||||||||
Electrical Equipment | 508,669 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 3,722,062 | — | — | |||||||||
Energy Equipment & Services | 1,623,620 | — | — | |||||||||
Entertainment | 73,543 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 16,566,829 | — | — | |||||||||
Food & Staples Retailing | 2,025,252 | — | — | |||||||||
Food Products | 3,112,930 | — | — | |||||||||
Gas Utilities | 2,651,059 | — | — | |||||||||
Health Care Equipment & Supplies | 3,405,347 | — | — | |||||||||
Health Care Providers & Services | 2,084,762 | — | — | |||||||||
Health Care Technology | 1,198,143 | — | — | |||||||||
Hotels, Restaurants & Leisure | 4,926,602 | — | — | |||||||||
Household Durables | 3,643,024 | — | — | |||||||||
Insurance | 7,668,099 | — | — | |||||||||
IT Services | 2,750,817 | — | — | |||||||||
Leisure Products | 1,474,034 | — | — | |||||||||
Life Sciences Tools & Services | 1,844,717 | — | — | |||||||||
Machinery | 10,849,881 | — | — | |||||||||
Media | 1,354,122 | — | — | |||||||||
Metals & Mining | 2,946,605 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 2,953,248 | — | — | |||||||||
Multiline Retail | 105,084 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 4,964,401 | — | — | |||||||||
Personal Products | 591,027 | — | — | |||||||||
Pharmaceuticals | 716,344 | — | — | |||||||||
Professional Services | 2,122,576 | — | — | |||||||||
Real Estate Management & Development | 578,984 | — | — | |||||||||
Road & Rail | 2,267,255 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 2,866,654 | — | — | |||||||||
Software | 1,706,084 | — | — | |||||||||
Specialty Retail | 4,857,071 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 2,149,600 | — | — | |||||||||
Thrifts & Mortgage Finance | 3,871,301 | — | — | |||||||||
Trading Companies & Distributors | 2,492,778 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Water Utilities | $ | 691,222 | $ | — | $ | — | ||||||
Exchange-Traded Fund | 2,847,099 | — | — | |||||||||
Affiliated Mutual Funds | 20,341,652 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 190,693,387 | $ | — | $ | — | ||||||
|
|
|
|
|
|
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, 2020 were as follows:
Banks | 16.3 | % | ||
Affiliated Mutual Funds (9.4% represents investments purchased with collateral from securities on loan) | 11.8 | |||
Equity Real Estate Investment Trusts (REITs) | 9.6 | |||
Machinery | 6.3 | |||
Insurance | 4.4 | |||
Electric Utilities | 3.2 | |||
Oil, Gas & Consumable Fuels | 2.9 | |||
Hotels, Restaurants & Leisure | 2.9 | |||
Specialty Retail | 2.8 | |||
Thrifts & Mortgage Finance | 2.2 | |||
Capital Markets | 2.2 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
Household Durables | 2.1 | |||
Health Care Equipment & Supplies | 2.0 | |||
Chemicals | 1.8 | |||
Food Products | 1.8 | |||
Mortgage Real Estate Investment Trusts (REITs) | 1.7 | |||
Metals & Mining | 1.7 | |||
Semiconductors & Semiconductor Equipment | 1.7 | |||
Exchange-Traded Fund | 1.7 | |||
Construction & Engineering | 1.6 | |||
IT Services | 1.6 | |||
Commercial Services & Supplies | 1.6 | |||
Gas Utilities | 1.5 | |||
Trading Companies & Distributors | 1.4 | |||
Building Products | 1.3 | |||
Road & Rail | 1.3 | |||
Textiles, Apparel & Luxury Goods | 1.3 | |||
Professional Services | 1.2 | |||
Health Care Providers & Services | 1.2 |
Food & Staples Retailing | 1.2 | % | ||
Life Sciences Tools & Services | 1.1 | |||
Communications Equipment | 1.1 | |||
Aerospace & Defense | 1.0 | |||
Software | 1.0 | |||
Auto Components | 1.0 | |||
Energy Equipment & Services | 0.9 | |||
Leisure Products | 0.9 | |||
Media | 0.8 | |||
Health Care Technology | 0.7 | |||
Biotechnology | 0.6 | |||
Airlines | 0.6 | |||
Consumer Finance | 0.5 | |||
Air Freight & Logistics | 0.5 | |||
Construction Materials | 0.4 | |||
Diversified Financial Services | 0.4 | |||
Pharmaceuticals | 0.4 | |||
Water Utilities | 0.4 | |||
Containers & Packaging | 0.4 | |||
Personal Products | 0.3 | |||
Real Estate Management & Development | 0.3 | |||
Electrical Equipment | 0.3 | |||
Diversified Consumer Services | 0.3 | |||
Multiline Retail | 0.1 | |||
Entertainment | 0.0 | * | ||
|
| |||
110.5 | ||||
Liabilities in excess of other assets | (10.5 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A6
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
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 | $ | 15,981,795 | $ | (15,981,795 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
SP SMALL CAP VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $15,981,795: | ||||
Unaffiliated investments (cost $164,180,987) | $ | 170,351,735 | ||
Affiliated investments (cost $20,327,428) | 20,341,652 | |||
Receivable for investments sold | 1,492,836 | |||
Dividends receivable | 239,571 | |||
Receivable for Portfolio shares sold | 108,161 | |||
Tax reclaim receivable | 15,262 | |||
Prepaid expenses | 254 | |||
|
| |||
Total Assets | 192,549,471 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 16,201,005 | |||
Payable for investments purchased | 3,497,236 | |||
Management fee payable | 126,626 | |||
Accrued expenses and other liabilities | 79,125 | |||
Payable to affiliate | 5,668 | |||
Affiliated transfer agent fee payable | 926 | |||
Payable for Portfolio shares repurchased | 687 | |||
|
| |||
Total Liabilities | 19,911,273 | |||
|
| |||
NET ASSETS | $ | 172,638,198 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 172,638,198 | ||
|
| |||
Net asset value and redemption price per share, $172,638,198 / 8,227,370 outstanding shares of beneficial interest | $ | 20.98 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $9,595 foreign withholding tax) | $ | 1,408,047 | ||
Income from securities lending, net (including affiliated income of $30,568) | 32,017 | |||
Affiliated dividend income | 21,899 | |||
|
| |||
Total income | 1,461,963 | |||
|
| |||
EXPENSES | ||||
Management fee | 793,586 | |||
Shareholders’ reports | 36,506 | |||
Custodian and accounting fees | 33,821 | |||
Audit fee | 14,570 | |||
Legal fees and expenses | 6,077 | |||
Trustees’ fees | 6,007 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 8,465 | |||
|
| |||
Total expenses | 904,344 | |||
Less: Fee waiver and/or expense reimbursement | (7,054 | ) | ||
|
| |||
Net expenses | 897,290 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 564,673 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $(10,220)) | (17,150,759 | ) | ||
Net change in unrealized appreciation (depreciation) on investments (including affiliated of $9,312) | (37,115,985 | ) | ||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | (54,266,744 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (53,702,071 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 564,673 | $ | 1,561,898 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (17,150,759 | ) | 9,490,538 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (37,115,985 | ) | 30,049,911 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (53,702,071 | ) | 41,102,347 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [571,462 and 623,842 shares, respectively] | 11,802,143 | 16,249,716 | ||||||
Portfolio shares repurchased [261,911 and 640,774 shares, respectively] | (6,066,474 | ) | (16,750,272 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 5,735,669 | (500,556 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (47,966,402 | ) | 40,601,791 | |||||
NET ASSETS: | ||||||||
Beginning of period | 220,604,600 | 180,002,809 | ||||||
|
|
|
| |||||
End of period | $ | 172,638,198 | $ | 220,604,600 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A8
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 an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”). The information presented in these financial statements pertains to the SP Small Cap Value Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.
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 reporting period-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 Portfolio’s 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 the Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, 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
B1
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 Rule 22e-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 Portfolio 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 Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) 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 Portfolio’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 investment 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.
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
B2
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 to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 in the Statement of Operations.
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.
Master Limited Partnerships (MLPs): The Portfolio invested in MLPs. Distributions received from the Portfolio’s investment in MLPs generally are comprised of income and return of capital. The Portfolio records investment income and return of capital based on estimates made at the time such distributions are received. Such estimates are based on historical information available from each MLP and other industry sources. These estimates may subsequently be revised based on information received from MLPs after their respective tax reporting periods have concluded.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
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 Financial, Inc. (“Prudential”) as referenced below. 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 the ex-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 entered into an investment management agreement with the Manager. 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 period ended June 30, 2020. 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, 2020, brokerage commission recaptured under these agreements was $0.
PGIM Investments is an indirect, wholly-owned subsidiary of Prudential.
3. | Other Transactions with Affiliates |
a.) | Related Parties |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-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. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities Exchange Commission (“SEC”), the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no 17a-7 transactions were entered into by the Portfolio.
b.) | Foreign Withholding Tax Reclaim Matters |
As a result of the Portfolio’s tax status as a partnership, instead of a regulated investment company (RIC), the Portfolio is subject to higher foreign withholding tax rates on dividend and interest income in certain foreign
B4
jurisdictions and is subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”).
Prudential has instituted a process to reimburse the Portfolio 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 Portfolio’s partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the Portfolio has the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid the Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by the Portfolio from a foreign tax authority for reclaims for which the 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 Portfolio 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 the Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolio does 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.
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, 2020, were $86,884,608 and $78,152,659, respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, 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* | ||||||||||||||||||||||||||||||
$ | 4,283,369 | $ | 20,098,783 | $ | 20,262,651 | $ | — | $ | — | $ | 4,119,501 | 4,119,501 | $ | 21,899 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
19,868,439 | 50,987,896 | 54,633,276 | 9,312 | (10,220 | ) | 16,222,151 | 16,222,151 | 30,568 | ** | |||||||||||||||||||||
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$ | 24,151,808 | $ | 71,086,679 | $ | 74,895,927 | $ | 9,312 | $ | (10,220 | ) | $ | 20,341,652 | $ | 52,467 | ||||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
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. Since tax authorities can examine previously filed tax returns, the Portfolio’s U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
B5
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 table below provides details of the current SCA in effect at the reporting period-end.
SCA | ||
Term of Commitment | 10/3/2019 – 10/1/2020 | |
Total Commitment | $ 1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | |
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent |
* | Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Portfolio did not utilize the SCA during the reporting period ended June 30, 2020.
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, 2020, the following number of shares of the Portfolio were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
Portfolio | Number of Shares | Percentage of Outstanding Shares | ||||||
SP Small Cap Value Portfolio | 8,227,370 | 100.0 | % |
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Affiliated | Unaffiliated | |||||||||||||||
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | Number of Shareholders | Percentage of Outstanding Shares | ||||||||||||
SP Small Cap Value Portfolio | 2 | 99.3 | % | — | — | % |
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. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the 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.
B6
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
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 include so-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 it invests, in addition to the expenses of the Portfolio. Since the Portfolio concentrates in the real estate industry, the holdings of such Portfolio can vary significantly from broad market indexes. As a result, the performance of such Portfolio can deviate from the performance of such indexes.
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.
B7
Financial Highlights (unaudited)
SP Small Cap Value Portfolio | ||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 27.86 | $ | 22.69 | $ | 26.32 | $ | 23.46 | $ | 18.70 | $ | 19.76 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.07 | 0.20 | 0.13 | 0.12 | 0.15 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (6.95 | ) | 4.97 | (3.76 | ) | 2.74 | 4.60 | (1.16 | ) | |||||||||||||||
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Total from investment operations | (6.88 | ) | 5.17 | (3.63 | ) | 2.86 | 4.75 | (1.06 | ) | |||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | 0.01 | (d) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 20.98 | $ | 27.86 | $ | 22.69 | $ | 26.32 | $ | 23.46 | $ | 18.70 | ||||||||||||
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Total Return(e) | (24.69 | )% | 22.79 | % | (13.79 | )%(f) | 12.19 | % | 25.45 | %(g) | (5.36 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 173 | $ | 221 | $ | 180 | $ | 214 | $ | 211 | $ | 190 | ||||||||||||
Average net assets (in millions) | $ | 177 | $ | 207 | $ | 211 | $ | 208 | $ | 189 | $ | 207 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.02 | %(i) | 1.01 | % | 0.99 | % | 1.01 | % | 1.01 | % | 1.02 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.03 | %(i) | 1.02 | % | 1.00 | % | 1.02 | % | 1.02 | % | 1.03 | % | ||||||||||||
Net investment income (loss) | 0.64 | %(i) | 0.76 | % | 0.48 | % | 0.51 | % | 0.75 | % | 0.54 | % | ||||||||||||
Portfolio turnover rate(j) | 44 | % | 56 | % | 58 | % | 62 | % | 57 | % | 94 | % |
(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 dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to 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 25.40%. |
(h) | Does not include expenses of the investment companies 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 portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
The Prudential Series Fund
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolio’s investment manager, to serve as the administrator of the Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Portfolio’s investment strategies continue to be appropriate given the Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C2
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 June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, 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 a Portfolio-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 the day-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. 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 the one-, three-, five- and ten-year periods ended December 31, 2019, 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 2019. 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 | ||||
2nd Quartile | 1st Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 3rd 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. |
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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 recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.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 at www.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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Standard
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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) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 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, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. 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 each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report 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, 2020 |
∎ | 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, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This 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 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2020 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
Jennison 20/20 Focus Portfolio |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 7.3% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 5.0% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 4.7% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 4.6% | ||||
AstraZeneca PLC (United Kingdom), ADR | Pharmaceuticals | 4.2% | ||||
Tesla, Inc. | Automobiles | 3.6% | ||||
Adobe, Inc. | Software | 3.3% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 3.1% | ||||
Netflix, Inc. | Entertainment | 3.0% | ||||
Lululemon Athletica, Inc. | Textiles, Apparel & Luxury Goods | 2.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2020 |
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, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio based on the | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,029.70 | 0.86 | % | $ | 4.34 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.59 | 0.86 | % | $ | 4.32 | ||||||||||
Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,027.60 | 1.26 | % | $ | 6.35 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.60 | 1.26 | % | $ | 6.32 |
* 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 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
JENNISON 20/20 FOCUS PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 99.0% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 1.8% | ||||||||
Raytheon Technologies Corp. | 55,616 | $ | 3,427,058 | |||||
|
| |||||||
Automobiles — 4.2% | ||||||||
General Motors Co. | 43,159 | 1,091,923 | ||||||
Tesla, Inc.*(a) | 6,216 | 6,712,099 | ||||||
|
| |||||||
7,804,022 | ||||||||
|
| |||||||
Banks — 4.5% | ||||||||
JPMorgan Chase & Co. | 45,931 | 4,320,270 | ||||||
PNC Financial Services Group, Inc. (The) | 38,685 | 4,070,049 | ||||||
|
| |||||||
8,390,319 | ||||||||
|
| |||||||
Capital Markets — 1.6% | ||||||||
Goldman Sachs Group, Inc. (The) | 14,861 | 2,936,831 | ||||||
|
| |||||||
Chemicals — 2.3% | ||||||||
Linde PLC (United Kingdom) | 19,737 | 4,186,415 | ||||||
|
| |||||||
Entertainment — 3.0% | ||||||||
Netflix, Inc.* | 12,099 | 5,505,529 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
American Tower Corp. | 7,563 | 1,955,338 | ||||||
|
| |||||||
Food & Staples Retailing — 1.9% | ||||||||
Walmart, Inc. | 29,712 | 3,558,903 | ||||||
|
| |||||||
Food Products — 2.2% | ||||||||
Mondelez International, Inc. (Class A Stock) | 80,704 | 4,126,396 | ||||||
|
| |||||||
Health Care Providers & Services — 1.7% |
| |||||||
Cigna Corp. | 8,262 | 1,550,364 | ||||||
Laboratory Corp. of America Holdings* | 9,878 | 1,640,835 | ||||||
|
| |||||||
3,191,199 | ||||||||
|
| |||||||
Health Care Technology — 1.3% | ||||||||
Teladoc Health, Inc.*(a) | 12,994 | 2,479,775 | ||||||
|
| |||||||
Insurance — 3.6% | ||||||||
Chubb Ltd. | 24,188 | 3,062,685 | ||||||
MetLife, Inc. | 101,016 | 3,689,104 | ||||||
|
| |||||||
6,751,789 | ||||||||
|
| |||||||
Interactive Media & Services — 10.6% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 6,542 | 9,276,883 | ||||||
Facebook, Inc. (Class A Stock)* | 25,083 | 5,695,597 | ||||||
Tencent Holdings Ltd. (China) | 72,587 | 4,680,522 | ||||||
|
| |||||||
19,653,002 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.8% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 9,837 | 2,121,841 | ||||||
Amazon.com, Inc.* | 3,164 | 8,728,906 | ||||||
|
| |||||||
10,850,747 | ||||||||
|
| |||||||
IT Services — 10.7% | ||||||||
Adyen NV (Netherlands), 144A* | 3,492 | 5,106,275 | ||||||
Mastercard, Inc. (Class A Stock) | 14,263 | 4,217,569 | ||||||
PayPal Holdings, Inc.* | 29,684 | 5,171,843 |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (cont’d.) | ||||||||
Shopify, Inc. (Canada) | 5,552 | $ | 5,269,959 | |||||
|
| |||||||
19,765,646 | ||||||||
|
| |||||||
Multi-Utilities — 2.1% | ||||||||
Dominion Energy, Inc. | 48,639 | 3,948,514 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
Chevron Corp. | 34,080 | 3,040,958 | ||||||
|
| |||||||
Pharmaceuticals — 6.1% | ||||||||
AstraZeneca PLC (United Kingdom), ADR | 148,079 | 7,831,898 | ||||||
Eli Lilly & Co. | 21,110 | 3,465,840 | ||||||
|
| |||||||
11,297,738 | ||||||||
|
| |||||||
Road & Rail — 3.8% | ||||||||
Uber Technologies, Inc.* | 98,041 | 3,047,114 | ||||||
Union Pacific Corp. | 23,976 | 4,053,623 | ||||||
|
| |||||||
7,100,737 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.6% |
| |||||||
NVIDIA Corp. | 14,010 | 5,322,539 | ||||||
Texas Instruments, Inc.(a) | 40,072 | 5,087,942 | ||||||
|
| |||||||
10,410,481 | ||||||||
|
| |||||||
Software — 12.9% | ||||||||
Adobe, Inc.* | 14,098 | 6,137,000 | ||||||
Microsoft Corp. | 66,253 | 13,483,148 | ||||||
salesforce.com, Inc.* | 22,797 | 4,270,562 | ||||||
|
| |||||||
23,890,710 | ||||||||
|
| |||||||
Specialty Retail — 3.1% | ||||||||
Lowe’s Cos., Inc. | 29,039 | 3,923,750 | ||||||
Ross Stores, Inc. | 20,785 | 1,771,713 | ||||||
|
| |||||||
5,695,463 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.6% |
| |||||||
Apple, Inc. | 23,319 | 8,506,771 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.9% |
| |||||||
Lululemon Athletica, Inc.* | 17,095 | 5,333,811 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS | 183,808,152 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 8.3% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 2,500,719 | 2,500,719 | ||||||
PGIM Institutional Money Market Fund (cost $12,896,471; includes $12,892,477 of cash collateral for securities on loan)(b)(w) | 12,900,577 | 12,900,577 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 15,401,296 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 107.3% |
| 199,209,448 | ||||||
LIABILITIES IN EXCESS OF |
| (13,544,591 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 185,664,857 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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 | ||
REITs | — | Real Estate Investment Trust |
* | 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 $13,162,161; cash collateral of $12,892,477 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 3,427,058 | $ | — | $ | — | ||||||
Automobiles | 7,804,022 | — | — | |||||||||
Banks | 8,390,319 | — | — | |||||||||
Capital Markets | 2,936,831 | — | — | |||||||||
Chemicals | 4,186,415 | — | — | |||||||||
Entertainment | 5,505,529 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 1,955,338 | — | — | |||||||||
Food & Staples Retailing | 3,558,903 | — | — | |||||||||
Food Products | 4,126,396 | — | — | |||||||||
Health Care Providers & Services | 3,191,199 | — | — | |||||||||
Health Care Technology | 2,479,775 | — | — | |||||||||
Insurance | 6,751,789 | — | — | |||||||||
Interactive Media & Services | 14,972,480 | 4,680,522 | — | |||||||||
Internet & Direct Marketing Retail | 10,850,747 | — | — | |||||||||
IT Services | 14,659,371 | 5,106,275 | — | |||||||||
Multi-Utilities | 3,948,514 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 3,040,958 | — | — | |||||||||
Pharmaceuticals | 11,297,738 | — | — | |||||||||
Road & Rail | 7,100,737 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 10,410,481 | — | — | |||||||||
Software | 23,890,710 | — | — | |||||||||
Specialty Retail | 5,695,463 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 8,506,771 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Textiles, Apparel & Luxury Goods | $ | 5,333,811 | $ | — | $ | — | ||||||
Affiliated Mutual Funds | 15,401,296 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 189,422,651 | $ | 9,786,797 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A3
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (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, 2020 were as follows:
Software | 12.9 | % | ||
IT Services | 10.7 | |||
Interactive Media & Services | 10.6 | |||
Affiliated Mutual Funds (6.9% represents investments purchased with collateral from securities on loan) | 8.3 | |||
Pharmaceuticals | 6.1 | |||
Internet & Direct Marketing Retail | 5.8 | |||
Semiconductors & Semiconductor Equipment | 5.6 | |||
Technology Hardware, Storage & Peripherals | 4.6 | |||
Banks | 4.5 | |||
Automobiles | 4.2 | |||
Road & Rail | 3.8 | |||
Insurance | 3.6 | |||
Specialty Retail | 3.1 | |||
Entertainment | 3.0 | |||
Textiles, Apparel & Luxury Goods | 2.9 |
Chemicals | 2.3 | % | ||
Food Products | 2.2 | |||
Multi-Utilities | 2.1 | |||
Food & Staples Retailing | 1.9 | |||
Aerospace & Defense | 1.8 | |||
Health Care Providers & Services | 1.7 | |||
Oil, Gas & Consumable Fuels | 1.6 | |||
Capital Markets | 1.6 | |||
Health Care Technology | 1.3 | |||
Equity Real Estate Investment Trusts (REITs) | 1.1 | |||
|
| |||
107.3 | ||||
Liabilities in excess of other assets | (7.3 | ) | ||
|
| |||
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 to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 13,162,161 | $ | (12,892,477 | ) | $ | 269,684 | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $13,162,161: | ||||
Unaffiliated investments (cost $116,533,830) | $ | 183,808,152 | ||
Affiliated investments (cost $15,397,190) | 15,401,296 | |||
Cash | 919 | |||
Tax reclaim receivable | 51,592 | |||
Dividends receivable | 50,424 | |||
Receivable for Portfolio shares sold | 2,439 | |||
Prepaid expenses | 235 | |||
|
| |||
Total Assets | 199,315,057 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 12,892,477 | |||
Payable for Portfolio shares repurchased | 352,347 | |||
Loan payable | 157,000 | |||
Management fee payable | 112,648 | |||
Accrued expenses and other liabilities | 74,094 | |||
Distribution fee payable | 23,284 | |||
Payable to affiliate | 20,261 | |||
Administration fee payable | 13,972 | |||
Payable for investments purchased | 3,191 | |||
Affiliated transfer agent fee payable | 926 | |||
|
| |||
Total Liabilities | 13,650,200 | |||
|
| |||
NET ASSETS | $ | 185,664,857 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 185,664,857 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share, $71,290,433 / 1,818,956 outstanding shares of beneficial interest | $ | 39.19 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share, $114,374,424 / 3,076,831 outstanding shares of beneficial interest | $ | 37.17 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) INCOME | ||||
Unaffiliated dividend income (net of $10,944 foreign withholding tax) | $ | 1,306,061 | ||
Affiliated dividend income | 23,516 | |||
Income from securities lending, net (including affiliated income of $10,824) | 11,514 | |||
|
| |||
Total income | 1,341,091 | |||
|
| |||
EXPENSES | ||||
Management fee | 663,463 | |||
Distribution fee—Class II | 137,781 | |||
Administration fee—Class II | 82,668 | |||
Custodian and accounting fees | 44,072 | |||
Shareholders’ reports | 18,207 | |||
Audit fee | 12,232 | |||
Trustees’ fees | 5,953 | |||
Legal fees and expenses | 5,894 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,887) | 5,312 | |||
Miscellaneous | 9,101 | |||
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| |||
Total expenses | 984,683 | |||
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| |||
NET INVESTMENT INCOME (LOSS) | 356,408 | |||
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| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(1,823)) | 182,081 | |||
Foreign currency transactions | 3,234 | |||
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| |||
185,315 | ||||
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| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $3,952) | 4,086,281 | |||
Foreign currencies | 17 | |||
|
| |||
4,086,298 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 4,271,613 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,628,021 | ||
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STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 356,408 | $ | 750,998 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 185,315 | 17,370,193 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 4,086,298 | 28,286,096 | ||||||
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| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 4,628,021 | 46,407,287 | ||||||
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PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold | 4,339,891 | 6,953,016 | ||||||
Portfolio shares repurchased | (16,348,950 | ) | (37,881,197 | ) | ||||
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NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (12,009,059 | ) | (30,928,181 | ) | ||||
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TOTAL INCREASE (DECREASE) | �� | (7,381,038 | ) | 15,479,106 | ||||
NET ASSETS: | ||||||||
Beginning of period | 193,045,895 | 177,566,789 | ||||||
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End of period | $ | 185,664,857 | $ | 193,045,895 | ||||
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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 an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”). The information presented in these financial statements pertains to the Jennison 20/20 Focus Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.
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 reporting period-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 Portfolio’s 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 the Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, 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
B1
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 Rule 22e-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 Portfolio 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 Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) 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 Portfolio’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 investment 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.
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
B2
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 to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 in the Statement of Operations.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. 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 Financial, Inc. (“Prudential”) as referenced below. 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 the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. | Agreements |
The Series Fund, on behalf of the 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
B3
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 Rule 12b-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, 2020, brokerage commission recaptured under these agreements was $4,131.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential.
3. | Other Transactions with Affiliates |
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-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. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Series Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Series Fund’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020, no such transactions were entered into by the Portfolio.
b.) Foreign Withholding Tax Reclaim Matters
As a result of the Portfolio’s tax status as a partnership, instead of a regulated investment company (RIC), the Portfolio is subject to higher foreign withholding tax rates on dividend and interest income in certain foreign
B4
jurisdictions and is subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”).
Prudential has instituted a process to reimburse the Portfolio 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 Portfolio’s partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the Portfolio has the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid the Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by the Portfolio from a foreign tax authority for reclaims for which the 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 Portfolio 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 the Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolio does 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 a partnership for tax purposes.
Portfolio | 2020 Payments | |||
Jennison 20/20 Focus Portfolio | $ | 3,158 |
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, 2020, were $84,565,860 and $96,928,602, respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, is presented as follows:
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* |
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$ 1,649,184 | $ | 47,653,930 | $ | 46,802,395 | $ | — | $ | — | $ | 2,500,719 | 2,500,719 | $ | 23,516 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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550,015 | 74,421,291 | 62,072,858 | 3,952 | (1,823 | ) | 12,900,577 | 12,900,577 | 10,824 | ** | |||||||||||||||||||
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$ 2,199,199 | $ | 122,075,221 | $ | 108,875,253 | $ | 3,952 | $ | (1,823 | ) | $ | 15,401,296 | $ | 34,340 | |||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
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.
B5
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. Since tax authorities can examine previously filed tax returns, the Portfolio’s U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
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 table below provides details of the current SCA in effect at the reporting period-end.
SCA | ||
Term of Commitment | 10/3/2019 – 10/1/2020 | |
Total Commitment | $1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | |
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent |
* | Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Portfolio utilized the SCA during the reporting period ended June 30, 2020. The average daily balance for the 3 days that the Portfolio had loans outstanding during the period was approximately $205,333, borrowed at a weighted average interest rate of 2.48%. The maximum loan outstanding amount during the period was $336,000. At June 30, 2020, the Portfolio had an outstanding loan balance of $157,000.
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 of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the 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, 2020, the following number of shares of the Portfolio were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
Portfolio | Number of Shares | Percentage of Outstanding Shares | ||
Jennison 20/20 Focus Portfolio—Class l | 1,818,956 | 100.0% |
B6
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Affiliated | Unaffiliated | |||||||
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | Number of Shareholders | Percentage of Outstanding Shares | ||||
Jennison 20/20 Focus Portfolio | 1 | 33.6% | 2 | 57.3% |
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 68,909 | $ | 2,513,672 | |||||
Portfolio shares repurchased | (133,486 | ) | (4,852,389 | ) | ||||
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Net increase (decrease) in shares outstanding | (64,577 | ) | $ | (2,338,717 | ) | |||
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Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 98,778 | $ | 3,376,115 | |||||
Portfolio shares repurchased | (212,525 | ) | (7,260,173 | ) | ||||
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Net increase (decrease) in shares outstanding | (113,747 | ) | $ | (3,884,058 | ) | |||
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Class II: | ||||||||
Six months ended June 30, 2020: | ||||||||
Portfolio shares sold | 53,961 | $ | 1,826,219 | |||||
Portfolio shares repurchased | (331,832 | ) | (11,496,561 | ) | ||||
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Net increase (decrease) in shares outstanding | (277,871 | ) | $ | (9,670,342 | ) | |||
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Year ended December 31, 2019: | ||||||||
Portfolio shares sold | 110,457 | $ | 3,576,901 | |||||
Portfolio shares repurchased | (966,559 | ) | (30,621,024 | ) | ||||
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Net increase (decrease) in shares outstanding | (856,102 | ) | $ | (27,044,123 | ) | |||
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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. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the 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 Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
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
B7
or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
B8
Financial Highlights
(Unaudited)
Jennison 20/20 Focus Portfolio—Class I
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 38.06 | $ | 29.52 | $ | 31.19 | $ | 23.94 | $ | 23.56 | $ | 22.16 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.12 | 0.23 | 0.26 | 0.10 | 0.09 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 1.01 | 8.31 | (1.95 | ) | 7.15 | 0.27 | 1.33 | |||||||||||||||||
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Total from investment operations | 1.13 | 8.54 | (1.69 | ) | 7.25 | 0.36 | 1.40 | |||||||||||||||||
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Capital Contributions | — | — | 0.02 | (c) | — | 0.02 | (d) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 39.19 | $ | 38.06 | $ | 29.52 | $ | 31.19 | $ | 23.94 | $ | 23.56 | ||||||||||||
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Total Return(e) | 2.97 | % | 28.93 | % | (5.35 | )%(f) | 30.28 | % | 1.61 | %(g) | 6.32 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 71 | $ | 72 | $ | 59 | $ | 69 | $ | 59 | $ | 65 | ||||||||||||
Average net assets (in millions) | $ | 67 | $ | 66 | $ | 69 | $ | 65 | $ | 60 | $ | 67 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.86 | %(i) | 0.87 | % | 0.82 | % | 0.82 | % | 0.83 | % | 0.83 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.86 | %(i) | 0.87 | % | 0.84 | % | 0.87 | % | 0.83 | % | 0.83 | % | ||||||||||||
Net investment income (loss) | 0.65 | %(i) | 0.66 | % | 0.80 | % | 0.36 | % | 0.39 | % | 0.30 | % | ||||||||||||
Portfolio turnover rate(j) | 48 | % | 61 | % | 42 | % | 99 | % | 69 | % | 64 | % | ||||||||||||
Jennison 20/20 Focus Portfolio—Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 36.17 | $ | 28.17 | $ | 29.88 | $ | 23.03 | $ | 22.75 | $ | 21.49 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.04 | 0.09 | 0.13 | (0.01 | ) | — | (b) | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.96 | 7.91 | (1.86 | ) | 6.86 | 0.26 | 1.28 | |||||||||||||||||
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Total from investment operations | 1.00 | 8.00 | (1.73 | ) | 6.85 | 0.26 | 1.26 | |||||||||||||||||
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Capital Contributions | — | — | 0.02 | (c) | — | 0.02 | (d) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 37.17 | $ | 36.17 | $ | 28.17 | $ | 29.88 | $ | 23.03 | $ | 22.75 | ||||||||||||
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Total Return(e) | 2.76 | % | 28.40 | % | (5.72 | )%(f) | 29.74 | % | 1.23 | %(g) | 5.86 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 114 | $ | 121 | $ | 119 | $ | 156 | $ | 143 | $ | 160 | ||||||||||||
Average net assets (in millions) | $ | 111 | $ | 118 | $ | 147 | $ | 151 | $ | 146 | $ | 169 | ||||||||||||
Ratios to average net assets(h): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.26 | %(i) | 1.27 | % | 1.22 | % | 1.22 | % | 1.23 | % | 1.23 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.26 | %(i) | 1.27 | % | 1.24 | % | 1.27 | % | 1.23 | % | 1.23 | % | ||||||||||||
Net investment income (loss) | 0.25 | %(i) | 0.26 | % | 0.40 | % | (0.04 | )% | (0.01 | )% | (0.10 | )% | ||||||||||||
Portfolio turnover rate(j) | 48 | % | 61 | % | 42 | % | 99 | % | 69 | % | 64 | % |
(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 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 year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (5.41)% and (5.79)% for Class I and Class II, 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 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 turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
The Prudential Series Fund
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Series Fund’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolio’s investment manager, to serve as the administrator of the Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Portfolio’s investment strategies continue to be appropriate given the Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C2
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 June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, 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 a Portfolio-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 the day-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 the one-, three-, five- and ten-year periods ended December 31, 2019, 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 2019. 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.
PSF Jennison 20/20 Focus Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 1st Quartile | 1st Quartile | 4th Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three- and five-year periods, though it underperformed its benchmark index over the remaining periods. |
• | The Board considered the Manager’s assertion that it believes the Portfolio’s more recent underperformance to be temporary, and primarily attributable to performance challenges in calendar year 2019. |
• | The Board considered information provided by the Manager indicating that the Portfolio has outperformed its benchmark and ranked in the first quartile of its Peer Universe over the trailing three- and five-year periods; and that the Portfolio outperformed its benchmark by 327 bps and its peer median by 265 bps during the first quarter of 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. |
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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 recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.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 at www.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
Presorted
Standard
U.S. Postage
PAID
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) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 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 required, as this is not an annual filing.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. | |||
(b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Controls and Procedures – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.
Item 13 – Exhibits
(a) | (1) | Code of Ethics – Not required, as this is not an annual filing. | ||||
(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT. | |||||
(3) | Any written solicitation to purchase securities under Rule 23c-1 – Not applicable. | |||||
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | The Prudential Series Fund |
By: | /s/ Andrew R. French | |
Andrew R. French | ||
Secretary | ||
Date: | August 14, 2020 |
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 14, 2020 | |
By: | /s/ Christian J. Kelly | |
Christian J. Kelly | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | August 14, 2020 |